Annual Report and Financial Statements

(Investment Company With Variable Capital) Annual Report and Financial Statements Year Ended 31 Marc h 2016 A U D I T E D

TABLE OF CONTENTS Report of the Directors 1 Report of the Custodian 6 Report of the Depositary 7 The NT Europe (Ex-UK) Equity Index Fund Investment Review (Unaudited) 8 Portfolio and Schedule of Investments (Unaudited) 10 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 19 The NT Euro Government Bond Index Fund Investment Review (Unaudited) 20 Portfolio and Schedule of Investments (Unaudited) 22 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 28 The NT Index Linked Bond Index Fund Investment Review (Unaudited) 29 Portfolio and Schedule of Investments (Unaudited) 31 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 33 The NT Japan Equity Index Fund Investment Review (Unaudited) 34 Portfolio and Schedule of Investments (Unaudited) 36 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 45 The NT North America Equity Index Fund Investment Review (Unaudited) 46 Portfolio and Schedule of Investments (Unaudited) 48 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 67 The NT Pacific (Ex-Japan) Equity Index Fund Investment Review (Unaudited) 68 Portfolio and Schedule of Investments (Unaudited) 70 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 75 The NT UK Equity Index Fund Investment Review (Unaudited) 76 Portfolio and Schedule of Investments (Unaudited) 78 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 82 The NT Emerging Markets Index Fund Investment Review (Unaudited) 83 Portfolio and Schedule of Investments (Unaudited) 85 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 108 The NT Euro Government Inflation Linked Index Fund Investment Review (Unaudited) 109 Portfolio and Schedule of Investments (Unaudited) 111 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 113 The NT All Country Asia (Ex-Japan) Equity Index Fund Investment Review (Unaudited) 114 Portfolio and Schedule of Investments (Unaudited) 116 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 132 The NT High Quality Euro Government Bond Index Fund Investment Review (Unaudited) 133 Portfolio and Schedule of Investments (Unaudited) 135 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 140 The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund Investment Review (Unaudited) 141 Portfolio and Schedule of Investments (Unaudited) 143 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 163 The NT Emerging Markets Custom ESG Equity Index Fund Investment Review (Unaudited) 164 Portfolio and Schedule of Investments (Unaudited) 166 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 187

TABLE OF CONTENTS (Continued) The NT Emerging Markets Custom Equity Index Fund Investment Review (Unaudited) 188 Portfolio and Schedule of Investments (Unaudited) 190 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 212 The NT US High Yield Fixed Income Fund Investment Review (Unaudited) 213 Portfolio and Schedule of Investments (Unaudited) 215 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 222 The NT Emerging Markets Custom ESG Feeder Fund Investment Review (Unaudited) 223 Portfolio and Schedule of Investments (Unaudited) 225 Portfolio Changes Material Acquisitions and Disposals (Unaudited) 226 Independent Auditor s Report 227 Statement of Comprehensive Income 229 Statement of Financial Position 233 Statement of Changes in Net Assets attributable to holders of Redeemable Participating Shares 235 Statement of Comprehensive Income (2015 Comparatives) 237 Statement of Financial Position (2015 Comparatives) 241 Statement of Changes in Net Assets attributable to holders of Redeemable Participating Shares (2015 Comparatives) 243 Notes Forming Part of the Financial Statements 245 Directors and Other Information 299

REPORT OF THE DIRECTORS The Directors have pleasure in submitting their Annual Report to the Shareholders together with the audited financial statements for the year ended 31 March 2016. Date of Incorporation The Company was incorporated on 13 November 2003 and commenced business on 28 November 2003 when the first investments were made. Principal Activities Northern Trust Investment Funds Plc (the Company ) is an open-ended investment company with variable capital organised under the laws of Ireland and is listed on the Irish Stock Exchange. The Company is organised in the form of an umbrella fund. The Company is authorised by the Central Bank of Ireland as an Undertaking for Collective Investment in Transferable Securities in accordance with the provisions of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011. Results The results for the year are stated in the Statement of Comprehensive Income on page 229 to 232. The net assets under management increased to 4,248,689,403 from 4,162,339,516 during the year ended 31 March 2016. A detailed review of the principal activities and future developments of each Sub-Fund ( the Sub-Funds ) is included in the Investment Manager s Reviews on pages 8, 20, 29, 34, 46, 68, 76, 83, 109, 114, 133, 141, 164, 188, 213 and 223. Future Developments The Company will continue to act as an investment vehicle as set out in its Prospectus. Directors The Directors, who held office during the year ended 31 March 2016 as stated below, are not required to retire by rotation under the Memorandum and Articles of Association. The Directors are: Michael Boyce Gerry Brady Catherine Duffy (appointed 1 May 2015) Eleanor Fitzgerald John Fitzpatrick Willem van Ooijen Irish Irish Irish Irish Irish Dutch Directors' & Secretary s Interests None of the Directors or the Secretary held any interest in the shares of the Company at any time during the year or at 31 March 2016. Cross Liability Risk The Company has segregated liability between its Sub-Funds and accordingly any liability incurred on behalf of or attributable to any Sub-Fund shall be discharged solely out of the assets of that Sub-Fund. Dividends Dividends declared during the year are stated in note 20 on page 298 of the Annual Report. A detailed dividend policy note is included in the Statement of Accounting Policies on pages 247 to 248. Risk Management Objectives and Policies The principal risks and uncertainties faced by the Company are market risk (including price risk, liquidity risk and foreign currency risk), counterparty credit risk, interest rate risk and operational risk which are outlined in note 10, on pages 258 to 284. Soft Commission Arrangements There were no soft commission arrangements affecting the Company during the year under review or in the prior year. 1

REPORT OF THE DIRECTORS (continued) Political Donations There were no political donations made by the Company during the year ended 31 March 2016 (31 March 2015: Nil). Events During the Year On 17 March 2016, Northern Trust Fiduciary Services (Ireland) Limited, previously Custodian of the Company, was appointed Depositary of the Company. Catherine Duffy was appointed as a Director of the Company with effect from 1 May 2015. There were no other material events during the year. Events Since the Year End There have been no events affecting the Company subsequent to the year end which, in the view of the Directors, could be described as significant. Statement of Directors' Responsibilities The Directors are responsible for preparing the Directors Report and financial statements, in accordance with applicable law and regulations. Company law requires the Directors to prepare financial statements for each financial year. Under that law, the Directors have elected to prepare the financial statements in accordance with Financial Reporting Standard 102 ( FRS 102 ), the Financial Reporting Standard applicable in the UK and Republic of Ireland issued by the Financial Reporting Council and published by the Institute of Chartered Accountants in Ireland. The Company s financial statements are required by law to give a true and fair view of the state of affairs of the Company and of the profit or loss for that financial year and comply with the Companies Act 2014. In preparing the financial statements, the Directors are required to: select suitable accounting policies and then apply them consistently; make judgments and estimates that are reasonable and prudent; state whether applicable Accounting Standards have been followed, subject to any material departures disclosed and explained in the financial statements; and prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business. The Directors are responsible for keeping adequate accounting records which disclose with reasonable accuracy at any time the financial position of the Company and to enable them to ensure that the financial statements are prepared in accordance with accounting standards generally accepted in Ireland and comply with the Companies Act 2014 and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 ( the UCITS Regulations ) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2015 (the "Central Bank UCITS Regulations"). They are also responsible for safeguarding the assets of the Company and in fulfilment of this responsibility, they have entrusted the assets of the Company to a Custodian for safekeeping in accordance with the Memorandum and Articles of Association. They are responsible for taking reasonable steps for the prevention and detection of fraud and other irregularities. The Directors are responsible for the maintenance and integrity of the corporate and financial information relating to the Company included on the Manager s website. Legislation in the Republic of Ireland governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions. Accounting Records The Directors are responsible for ensuring that adequate accounting records, as outlined in section 281 of the Companies Act 2014, are kept by the Company. To achieve this, the Directors have appointed experienced administrators and service providers in order to ensure that those requirements are complied with. Those accounting records are maintained at the Company s registered office at: Georges Court 54-62 Townsend Street Dublin 2, Ireland Independent Auditor KPMG, Chartered Accountants, have indicated their willingness to continue in office in accordance with section 383(2) of the Companies Act 2014. 2

REPORT OF THE DIRECTORS (continued) Connected Persons The Central Bank UCITS Regulations require that any transaction carried out with a UCITS by a management company or custodian to the UCITS, the delegates or sub-delegates of the management company or custodian, and any associated or group of such a management company, custodian, delegate or sub-delegate ( connected persons ) must be carried out as if negotiated at arm s length. Transactions must be in the best interests of the Shareholders. The Directors are satisfied that there are arrangements (evidenced by written procedures) in place, to ensure that the obligations set out in Regulation 41(1) of the Central Bank UCITS Regulations are applied to all transactions with connected persons, and are satisfied that transactions with connected persons entered into during the year complied with the obligations set out in Regulation 41(1) of the Central Bank UCITS Regulations. Corporate Governance Statement Corporate Governance Code The European Communities (Directive 2006/46/EC) Regulations (S.I. 450 of 2009 and S.I.83 of 2010) (the Regulations ) requires the Company to include a corporate governance statement in the Company s annual report. The Company is not subject to the European Communities (Takeover Bids (Directive 2004/25/EC)) Regulations 2006. The Board of Directors (the Board ) have put in place a framework for corporate governance which it believes is suitable for an investment company and which enables the Company to comply with the requirements of the IF Code, which was issued by Irish Funds in December 2011, which sets out principles of good governance and a code of best practice. A copy of the IF code can be found at http://www.irishfunds.ie/regulatory-technical/corporate-governance. The Board considers that the Company has complied with the provisions contained in the IF Code throughout this accounting period. The Company is subject to and complies with Irish Statute comprising the Companies Act 2014 and with the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 and the Listing Rules of the Irish Stock Exchange. The Company does not apply additional requirements in addition to those required by the above. Each of the service providers engaged by the Company are subject to their own corporate governance requirements. Financial Reporting Process - description of main features The Board is responsible for establishing and maintaining adequate internal control and risk management systems of the Company in relation to the financial reporting process. Such systems are designed to manage rather than eliminate the risk of failure to achieve the Company s financial reporting objectives and can only provide reasonable and not absolute assurance against material misstatement or loss. The Board has established processes regarding internal control and risk management systems to ensure its effective oversight of the financial reporting process. These include appointing the Administrator, Northern Trust International Fund Administration Services (Ireland) Limited, to maintain the accounting records of the Company independently of the Investment Manager and the Custodian. The Administrator is contractually obliged to maintain adequate accounting records as required by the Administration agreement. To that end the Administrator performs regular reconciliations of its records to those of the Investment Manager and the Custodian. The Administrator is also contractually obliged to prepare for review and approval by the Board the annual report including financial statements intended to give a true and fair view and the half yearly financial statements. The Board evaluates and discusses significant accounting and reporting issues as the need arises. On an annual basis the Board also examines and evaluates the Administrator s financial accounting and reporting routines and monitors and evaluates the external auditors performance, qualifications and independence. The Administrator has operating responsibility for internal control in relation to the financial reporting process and the Administrator s report to the Board. Risk Assessment The Board is responsible for such internal control determined necessary for the preparation of financial statements that are free from material misstatement, whether due to fraud or error, and is also responsible for ensuring the design, implementation and maintenance of internal control to prevent and detect fraud and error. Control Activities The Administrator is contractually obliged to design and maintain control structures to manage the risks which the Board judges to be significant for internal control over financial reporting. These control structures include appropriate division of responsibilities and specific control activities aimed at detecting or preventing the risk of significant deficiencies in financial reporting for every significant account in the financial statements and the related notes in the Company s annual report. Examples of control activities exercised by the Administrator include approval of transactions, analytical procedures, reconciliations and automatic controls in IT systems. Prices not available from external independent sources are subject to Board review and approval. Information and communication The Company s policies and the Board s instructions with relevance for financial reporting are updated and communicated via appropriate channels, such as e-mail, correspondence and meetings to ensure that all financial reporting information requirements are met in a complete and accurate manner. 3

REPORT OF THE DIRECTORS (continued) Corporate Governance Statement (continued) Monitoring The Board receives regular presentations and reviews reports from the Custodian, Investment Manager and Administrator. The Board also has an annual process to ensure that appropriate measures are taken to consider and address the shortcomings identified and measures recommended by the independent auditors. Given the contractual obligations of the Administrator, the Board has concluded that there is currently no need for the Company to have a separate internal audit function in order for the Board to perform effective monitoring and oversight of the internal control and risk management systems of the Company in relation to the financial reporting process. Capital Structure No person holds, at year end or throughout the year, a significant direct or indirect holding of securities in the Company. No person has any special rights of control over the Company s share capital. There are no restrictions on voting rights. With regard to the appointment and replacement of Directors, the Company is governed by its Articles of Association, Irish Statute comprising the Companies Act 2014, the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 and the Listing Rules of the Irish Stock Exchange as applicable to investment funds. The Articles of Association themselves may be amended by special resolution of the shareholders and are subject to approval by the Central Bank. Powers of the Directors The Board is responsible for managing the business affairs of the Company in accordance with the Articles of Association. The Directors may delegate certain functions to the Administrator and other parties, subject to supervision and direction by the Directors. The Directors have delegated the day to day administration of the Company to the Administrator and the investment management and distribution functions to the Investment Manager. Consequently none of the Directors are executive Directors. The Articles of Association provide that the Directors may exercise all the powers of the Company to borrow money, to mortgage or charge its undertaking, property or any part thereof and may delegate these powers to the Investment Manager. The Directors may at any time temporarily suspend the calculation of the Net Asset Value of any Sub-Fund and the issue, repurchase and exchange of Shares, or the payment of repurchase proceeds during: (a) any period when any of the markets on which a substantial portion of the investments of the relevant Sub-Fund, from time to time, are quoted, listed or dealt in is closed, otherwise than for ordinary holidays, or during which dealings therein are restricted or suspended; or (b) any period when, as a result of political, economic, military or monetary events or any circumstances outside the control, responsibility and power of the Directors, disposal or valuation of a substantial portion of the investments of the relevant Sub-Fund is not reasonably practicable without this being seriously detrimental to the interests of Shareholders of the relevant Sub-Fund or if, in the opinion of the Directors, the Net Asset Value of the Sub-Fund cannot be fairly calculated; or (c) any breakdown in the means of communication normally employed in determining the price of a substantial portion of the investments of the relevant Sub-Fund, or when, for any other reason the current prices on any market of any of the investments of the relevant Sub-Fund cannot be promptly and accurately ascertained; or (d) any period during which any transfer of funds involved in the realisation or acquisition of investments of the relevant Sub-Fund cannot, in the opinion of the Directors, be effected at normal prices or rates of exchange; or (e) any period when the Directors are unable to repatriate funds required for the purpose of making payments due on the repurchase of Shares in the relevant Sub-Fund; or (f) any period when the Directors consider it to be in the best interest of the relevant Sub-Fund; or (g) following the circulation to Shareholders of a notice of a general meeting at which a resolution proposing to wind up the Company or terminate the relevant Sub-Fund is to be considered. Notice of any such suspension and notice of the termination of any such suspension shall be given immediately to the Central Bank of Ireland and to The Irish Stock Exchange and shall be notified to Shareholders if in the opinion of the Directors it is likely to exceed fourteen (14) days and will be notified to applicants for shares or to Shareholders requesting the repurchase of shares at the time of application or filing of the written request for such repurchase. Where possible, all reasonable steps will be taken to bring any period of suspension to an end as soon as possible. Registered shares may be transferred by instrument in writing. The instrument of transfer must be accompanied by a certificate from the transferee that it is not acquiring such shares on behalf of or for the benefit of a US Person. In the case of the death of one of the joint Shareholders, the survivor or survivors will be the only person or persons recognised by the Administrator as having any title to or interest in the shares registered in the names of such joint Shareholders. 4

THE NT EUROPE (EX-UK) EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 10 December 2003 Fund Size 243.83 million Benchmark MSCI Europe (ex-uk) Index Performance Data 6 Months 1 Year 3 Years Fund -1.42% -13.29% 8.61% Benchmark -1.46% -13.54% 8.16% Fund Review Portfolio Summary Performance Commentary During the year ending March 2016, the fund returned -13.29% against a benchmark return of -13.54%. Since the fund inception date, in December in 2003, the fund has posted an annualised return of 6.52% against an annualised benchmark return of 6.01%. The ex-post tracking error reported for one year is 0.13% and for three years is 0.17%. During the year the fund experienced a net inflow of 18.62m. MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series for May 2015. For MSCI Europe ex UK, there were one addition and 4 deletions from the index. One-way index turnover was 0.71%. MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series for August 2015. For MSCI Europe ex UK, there were one addition and 2 deletions from the index. One-way index turnover was 0.27%. MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series for November 2015. For MSCI Europe ex UK, there were 7 additions and 3 deletions from the index. One-way index turnover was 0.70%. 8

THE NT EUROPE (EX-UK) EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series for February 2016. For MSCI Europe ex UK, there were 1 addition and 1 deletion from the index. One-way index turnover was 0.21%. The index changes were carefully traded to minimise any deviation from the benchmark [resulting from trading costs] and were used as an opportunity to equitise some of the futures exposure. Northern Trust Global Investments Limited London May 2016 9

THE NT EUROPE (EX-UK) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss Net Assets Investments in Transferable Securities Equities: 98.79% (2015: 98.70%) Austria: 0.40% (2015: 0.43%) 4,169 Andritz 201,175 0.08 14,239 Erste Bank 351,703 0.14 38,441 Immoeast Rts - - 31,571 Immofinanz Rts - - 7,928 OMV 196,020 0.08 5,596 Raiffeisen Bank International 74,511 0.03 5,508 Voestalpine 161,963 0.07 Total Austria 985,372 0.40 Belgium: 3.16% (2015: 2.86%) 10,163 Ageas 354,384 0.15 40,719 Anheuser-Busch InBev 4,448,551 1.83 3,521 Colruyt 180,275 0.07 5,201 Delhaize 477,192 0.20 4,200 Groupe Bruxelles Lambert 304,542 0.12 12,884 KBC Groep 584,096 0.24 7,985 Proximus 239,829 0.10 3,702 Solvay 326,331 0.13 2,661 Telenet 118,375 0.05 6,536 UCB 439,481 0.18 5,039 Umicore 220,456 0.09 Total Belgium 7,693,512 3.16 Denmark: 4.31% (2015: 3.60%) 201 A P Moller - Maersk - A Shares 225,542 0.09 342 A P Moller - Maersk - B Shares 394,316 0.16 5,364 Carlsberg B Shares 449,261 0.19 5,170 Chr Hansen 305,052 0.13 5,605 Coloplast 373,299 0.15 36,049 Danske Bank 895,138 0.37 9,766 DSV 357,328 0.15 2,679 Genmab 326,321 0.13 7,882 ISS 278,133 0.11 99,322 Novo Nordisk Class B 4,735,256 1.94 11,688 Novozymes Class B 461,852 0.19 5,589 Pandora 643,270 0.26 39,380 TDC 169,406 0.07 5,795 Tryg 98,861 0.04 11,362 Vestas Wind Systems 704,566 0.29 10

THE NT EUROPE (EX-UK) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Denmark (continued) 1,163 William Demant 102,792 0.04 Total Denmark 10,520,393 4.31 Finland: 2.18% (2015: 1.88%) 6,922 Elisa 236,525 0.10 22,630 Fortum 301,205 0.12 17,087 Kone 723,805 0.30 5,379 Metso 112,798 0.05 6,185 Neste 178,870 0.07 292,555 Nokia 1,528,600 0.63 5,471 Nokian Renkaat 169,710 0.07 4,949 Orion 143,768 0.06 22,775 Sampo 950,628 0.39 29,304 Stora Enso 230,476 0.09 26,472 UPM - Kymmene 421,434 0.17 7,696 Wartsila 306,070 0.13 Total Finland 5,303,889 2.18 France: 21.49% (2015: 20.94%) 10,976 Accor 408,746 0.17 1,523 Aeroports de Paris 165,474 0.07 17,433 Air Liquide 1,723,949 0.71 29,754 Airbus Group 1,736,146 0.71 8,099 Alstom 181,944 0.08 3,458 Arkema 228,159 0.10 4,449 AtoS 318,459 0.13 99,896 AXA 2,066,848 0.85 53,708 BNP Paribas 2,375,505 0.98 41,788 Bollore 142,664 0.06 191 Bollore RFD 646-9,953 Bouygues 356,815 0.15 13,913 Bureau Veritas 272,347 0.11 8,309 Cap Gemini 686,157 0.28 28,117 Carrefour 679,869 0.28 2,774 Casino Guichard Perrachon 139,754 0.06 2,821 Christian Dior 449,667 0.19 24,289 Cie de Saint-Gobain 940,713 0.39 9,576 Cie Generale des Etablissements Michelin 861,170 0.35 8,332 CNP Assurances 114,190 0.05 54,178 Credit Agricole 515,666 0.21 29,832 Danone 1,864,798 0.77 11

THE NT EUROPE (EX-UK) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets France (continued) 24,286 Vinci 1,590,004 0.65 58,950 Vivendi 1,089,396 0.45 1,383 Wendel 132,298 0.05 10,184 Zodiac Aerospace 179,340 0.07 Total France 52,388,050 21.49 Germany: 19.81% (2015: 20.63%) 10,609 Adidas 1,092,727 0.45 23,177 Allianz 3,313,152 1.36 2,147 Axel Springer 101,703 0.04 46,567 BASF 3,087,392 1.27 41,913 Bayer 4,329,613 1.77 16,767 Bayerische Motoren Werke 1,353,097 0.55 2,681 Bayerische Motoren Werke - Preference Shares 188,367 0.08 5,142 Beiersdorf 407,966 0.17 7,717 Brenntag 387,393 0.16 53,422 Commerzbank 408,197 0.17 5,569 Continental 1,113,800 0.46 48,772 Daimler 3,285,770 1.35 69,975 Deutsche Bank 1,046,126 0.43 9,787 Deutsche Boerse 733,927 0.30 11,250 Deutsche Lufthansa 159,806 0.06 49,130 Deutsche Post 1,199,755 0.49 163,326 Deutsche Telekom 2,576,468 1.06 16,941 Deutsche Wohnen 462,998 0.19 102,166 E.ON 862,077 0.35 6,780 Evonik Industries 178,755 0.07 2,048 Fraport - Frankfurt Airport Services Worldwide 109,179 0.04 19,366 Fresenius 1,243,491 0.51 11,177 Fresenius Medical Care 870,018 0.36 3,328 Fuchs Petrolub 130,674 0.05 9,222 GEA 396,546 0.16 2,953 Hannover Rueck 302,387 0.12 7,265 HeidelbergCement 546,691 0.22 5,280 Henkel 456,034 0.19 9,015 Henkel - Preference Shares 873,553 0.36 3,243 Hugo Boss 186,927 0.08 57,289 Infineon Technologies 716,399 0.29 9,358 K+S 192,447 0.08 448 Kabel Deutschland 44,128 0.02 4,888 Lanxess 206,469 0.08 9,418 Linde 1,205,975 0.49 1,699 MAN 161,609 0.07 6,645 Merck 487,145 0.20 12

THE NT EUROPE (EX-UK) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Germany (continued) 9,464 Metro 257,705 0.10 8,470 Muenchener Rueckversicherungs 1,514,012 0.62 4,593 Osram Licht 208,086 0.09 7,713 Porsche Automobil - Preference Shares 349,322 0.14 10,954 ProSiebenSat.1 Media 494,956 0.20 1,918 RTL 142,776 0.06 25,587 RWE 291,052 0.12 49,777 SAP 3,539,145 1.45 40,187 Siemens 3,743,419 1.54 6,149 Symrise 362,791 0.15 38,846 Telefonica Deutschland 184,946 0.08 18,436 ThyssenKrupp 336,641 0.14 6,399 United Internet 282,228 0.12 1,856 Volkswagen 236,733 0.10 9,406 Volkswagen - Preference Shares 1,052,061 0.43 23,648 Vonovia 747,868 0.31 4,779 Zalando 137,874 0.06 Total Germany 48,300,376 19.81 Ireland: 1.09% (2015: 0.75%) 1,361,023 Bank of Ireland 347,061 0.14 41,426 CRH 1,028,503 0.42 66,122 Irish Bank Resolution - - 7,980 Kerry 653,402 0.27 4,094 Paddy Power Betfair 501,924 0.21 8,189 Ryanair 115,997 0.05 Total Ireland 2,646,887 1.09 Italy: 4.37% (2015: 4.62%) 60,075 Assicurazioni Generali 782,777 0.32 21,062 Atlantia 513,281 0.21 17,604 Banco Popolare SC 106,416 0.04 356,264 Enel 1,388,717 0.57 84,321 Enel Green Power 159,398 0.07 128,965 ENI 1,715,235 0.70 5,856 Exor 184,464 0.08 6,626 Ferrari 241,849 0.10 21,473 Finmeccanica 239,424 0.10 647,529 Intesa Sanpaolo 1,576,086 0.65 43,611 Intesa Sanpaolo (Non Convertible) 99,695 0.04 8,690 Luxottica 421,465 0.17 13

THE NT EUROPE (EX-UK) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Italy (continued) 27,623 Mediobanca 174,854 0.07 9,490 Prysmian 188,946 0.08 299,943 Saipem 105,610 0.04 105,718 Snam 581,978 0.24 579,578 Telecom Italia 549,440 0.23 293,165 Telecom Italia RSP 225,737 0.09 73,972 Terna Rete Elettrica Nazionale 370,970 0.15 243,611 UniCredit 772,247 0.32 44,320 Unione di Banche Italiane 144,129 0.06 51,728 UnipolSai 105,215 0.04 Total Italy 10,647,933 4.37 Luxembourg: 0.21% (2015: 0.42%) 49,126 ArcelorMittal 195,276 0.08 49,126 ArcelorMittal Rts 50,600 0.02 24,973 Tenaris 273,454 0.11 Total Luxembourg 519,330 0.21 Netherlands: 6.89% (2015: 6.00%) 90,844 Aegon 439,140 0.18 4,361 AerCap 148,333 0.06 12,565 Akzo Nobel 752,643 0.31 19,166 Altice Class A 300,140 0.12 5,239 Altice Class B 82,960 0.03 17,566 ASML 1,568,292 0.64 48,464 CNH Industrial 289,572 0.12 3,889 Gemalto 252,668 0.10 11,751 Heineken 935,967 0.38 5,002 Heineken Holding 343,037 0.14 196,218 ING Groep 2,085,797 0.86 42,685 Koninklijke Ahold 843,882 0.35 4,239 Koninklijke Boskalis Westminster 146,436 0.06 9,134 Koninklijke DSM 441,492 0.18 165,128 Koninklijke KPN 608,166 0.25 48,272 Koninklijke Philips 1,208,490 0.50 3,405 Koninklijke Vopak 149,020 0.06 12,297 NN 353,600 0.15 6,993 NXP Semiconductors 497,497 0.20 4,114 OCI 70,802 0.03 10,762 QIAGEN 210,720 0.09 6,634 Randstad 323,142 0.13 50,474 RELX 774,524 0.32 25,587 TNT Express 201,779 0.08 14

THE NT EUROPE (EX-UK) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Netherlands (continued) 82,462 Unilever 3,247,766 1.33 15,125 Wolters Kluwer 530,585 0.22 Total Netherlands 16,806,450 6.89 Norway: 1.26% (2015: 1.38%) 50,124 DNB 520,358 0.21 9,742 Gjensidige Forsikring 145,838 0.06 68,899 Norsk Hydro 249,047 0.10 41,457 Orkla 329,659 0.14 3,620 Schibsted Class A 92,905 0.04 4,276 Schibsted Class B 103,934 0.04 56,469 Statoil 780,639 0.32 38,479 Telenor 546,638 0.22 9,272 Yara International 306,329 0.13 Total Norway 3,075,347 1.26 Portugal: 0.37% (2015: 0.33%) 2,053,819 Banco Comercial Portugues 73,321 0.03 113,071 Banco Espirito Santo 13,569 0.01 119,818 EDP - Energias de Portugal 374,551 0.15 23,877 Galp Energia 263,841 0.11 12,203 Jeronimo Martins 175,479 0.07 Total Portugal 900,761 0.37 Spain: 6.84% (2015: 7.68%) 26,584 Abertis Infraestructuras 384,139 0.16 10,110 ACS Actividades de Construccion y Servicios 264,781 0.11 3,460 Aena 392,537 0.16 21,956 Amadeus IT 827,522 0.34 322,538 Banco Bilbao Vizcaya Argentaria 1,884,267 0.77 253,818 Banco de Sabadell 401,540 0.17 89,756 Banco Popular Espanol 205,272 0.08 32 Banco Popular Espanol Rts 1-731,465 Banco Santander 2,833,695 1.16 224,450 Bankia 186,294 0.08 33,360 Bankinter 207,166 0.08 132,528 CaixaBank 344,175 0.14 2,020 CaixaBank RFD 5,246-29,828 Distribuidora Internacional de Alimentacion 136,195 0.06 11,234 Enagas 296,746 0.12 16,585 Endesa 279,789 0.11 15

THE NT EUROPE (EX-UK) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Spain (continued) 24,013 Ferrovial 453,486 0.19 18,120 Gas Natural 321,992 0.13 15,485 Grifols 303,041 0.12 276,681 Iberdrola 1,621,627 0.67 55,127 Inditex 1,629,830 0.67 42,405 International Consolidated Airlines 297,259 0.12 53,070 Mapfre 100,780 0.04 5,446 Red Electrica de Espana 415,530 0.17 56,160 Repsol 557,107 0.23 227,998 Telefonica 2,246,236 0.92 8,975 Zardoya Otis 91,814 0.04 Total Spain 16,688,067 6.84 Sweden: 6.40% (2015: 6.70%) 15,610 Alfa Laval 224,569 0.09 51,116 Assa Abloy 886,425 0.36 33,972 Atlas Copco Class A 751,298 0.31 19,919 Atlas Copco Class B 412,698 0.17 14,567 Boliden 204,834 0.08 12,554 Electrolux 290,272 0.12 9,706 Getinge 196,579 0.08 48,019 Hennes & Mauritz 1,407,097 0.58 12,989 Hexagon 444,309 0.18 20,196 Husqvarna 129,750 0.05 4,427 ICA Gruppen 128,718 0.05 7,863 Industrivarden 117,800 0.05 12,253 InvestmentKinnevik 305,463 0.13 23,058 Investor 717,350 0.29 10,538 Lundin Petroleum 156,850 0.07 3,515 Millicom International Cellular Receipt 168,825 0.07 153,867 Nordea Bank 1,299,160 0.53 53,241 Sandvik 484,114 0.20 15,165 Securitas 220,794 0.09 75,930 Skandinaviska Enskilda Banken 637,408 0.26 19,172 Skanska 384,561 0.16 20,155 SKF 319,845 0.13 30,817 Svenska Cellulosa 846,318 0.35 76,365 Svenska Handelsbanken 853,920 0.35 45,899 Swedbank 868,992 0.36 9,746 Swedish Match 290,756 0.12 15,527 Tele2 126,563 0.05 154,052 Telefonaktiebolaget LM Ericsson 1,355,752 0.56 133,653 TeliaSonera 610,105 0.25 78,097 Volvo 753,242 0.31 Total Sweden 15,594,367 6.40 16

THE NT EUROPE (EX-UK) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Switzerland: 19.88% (2015: 20.24%) 111,372 ABB 1,912,518 0.78 5,215 Actelion 686,706 0.28 8,297 Adecco 476,323 0.20 4,238 Aryzta 154,679 0.06 2,511 Baloise 281,176 0.12 105 Barry Callebaut 100,546 0.04 5 Chocoladefabriken Lindt & Spruengli 329,839 0.14 50 Chocoladefabriken Lindt & Spruengli - Participating Non Cumulative Shares 273,071 0.11 26,471 Compagnie Financiere Richemont 1,541,508 0.63 91,113 Credit Suisse 1,136,314 0.47 2,088 Dufry 226,347 0.09 395 EMS-Chemie 180,436 0.07 199 Galenica 263,682 0.11 1,924 Geberit 633,464 0.26 475 Givaudan 820,909 0.34 11,244 Julius Baer 425,530 0.17 2,791 Kuehne + Nagel International 349,613 0.14 23,152 LafargeHolcim 959,497 0.39 2,638 Lonza 393,298 0.16 161,542 Nestle 10,635,846 4.36 115,321 Novartis 7,365,479 3.02 1,511 Pargesa 84,807 0.03 820 Partners 290,418 0.12 35,602 Roche 7,722,047 3.17 1,050 Schindler 169,437 0.07 2,216 Schindler- Participating Non Cumulative Shares 360,030 0.15 282 SGS 525,089 0.22 107 Sika 373,175 0.15 2,785 Sonova 313,389 0.13 29,971 STMicroelectronics 146,199 0.06 672 Sulzer 58,807 0.02 2,407 Swatch Group 142,816 0.06 1,561 Swatch Group (Bearer) 476,472 0.20 1,623 Swiss Life 380,285 0.16 3,340 Swiss Prime Site 259,539 0.11 17,901 Swiss Re 1,458,273 0.60 1,323 Swisscom 633,441 0.26 4,712 Syngenta 1,727,130 0.71 185,443 UBS 2,632,217 1.08 7,632 Zurich Insurance 1,561,661 0.64 Total Switzerland 48,462,013 19.88 17

THE NT EUROPE (EX-UK) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets United Kingdom: 0.13% (2015: 0.24%) 46,626 Fiat Chrysler Automobiles 331,045 0.13 Total United Kingdom 331,045 0.13 Total Equities 240,863,792 98.79 Total Investment in Transferable Securities 240,863,792 98.79 UCITS Collective Investment Schemes: 0.59% (2015: 0.78%) 1,418,406 Northern Trust Global Funds - Euro Liquidity Fund 1,415,285 0.58 14,000 Northern Trust Global Funds - Sterling Fund 17,658 0.01 17,000 Northern Trust Global Funds - US Dollar Fund 14,918 - Total Collective Investment Schemes 1,447,861 0.59 Unrealised Fair Value No. of Loss % of Counterparty Contracts Net Assets Financial Derivative Instruments Dealt on a Regulated Market Futures Contracts: (0.03%) (2015: 0.01%) Citigroup Euro Stoxx 50 Index Futures June 2016 1,905,150 65 (47,000) (0.03) Citigroup OBX Index Futures April 2016 159,136 29 (3,064) - Citigroup OMXS 30 Index Futures April 2016 276,527 19 (4,418) - Citigroup Swiss Market Index Futures June 2016 562,344 8 (8,472) - Total Futures Contracts (62,954) (0.03) Total Value of Investments 242,248,699 99.35 Cash at Bank 735,746 0.30 Margin Cash 509,625 0.21 Other Net Assets 333,222 0.14 Net Assets Attributable to Holders of Redeemable Participating Shares 243,827,292 100.00 Portfolio Classification % of Total Assets Transferable securities admitted to an official stock exchange listing 98.70 UCITS Collective investment schemes admitted to an official stock exchange listing 0.59 Other current assets 0.71 100.00 18

THE NT EUROPE (EX-UK) EQUITY INDEX FUND PORTFOLIO CHANGES ACQUISITIONS AND DISPOSALS (UNAUDITED) Schedule of material changes in investments for the year ended 31 March 2016 Acquisitions Cost Nominal Asset Name 17,116 Nestle 1,159,976 12,237 Novartis 958,575 3,762 Roche 923,745 19,455 Total 821,532 112,049 Nokia 750,861 7,132 NXP Semiconductors 612,782 4,094 Paddy Power Betfair 584,377 11,470 Novo Nordisk Class B 577,686 7,984 SAP 554,113 4,452 Bayer 509,593 6,000 Sanofi 486,147 4,170 Anheuser-Busch InBev 456,108 18,807 AXA 431,886 78,514 Banco Santander 400,765 4,305 Siemens 394,500 4,925 Daimler 369,278 2,368 Allianz 354,003 8,810 Unilever 348,121 4,835 BASF 347,518 19,901 UBS 335,913 Disposals Proceeds Nominal Asset Name 8,741 Nestle 580,380 6,168 Novartis 510,677 11,553 Total 481,079 111,000 Alcatel-Lucent 412,920 1,525 Roche 367,826 7,293 Novo Nordisk Class B 363,436 3,159 Sanofi 258,844 1,816 Bayer 205,241 12,451 Pirelli & C. 186,765 1,763 Anheuser-Busch InBev 185,897 2,049 Daimler 148,938 1,733 Siemens 148,135 17,747 Subsea 7 145,626 2,035 BASF 140,373 964 Allianz 138,850 17,765 Transocean 137,129 3,556 Unilever 131,002 1,972 SAP 130,509 7,666 UBS 130,195 5,921 Credit Suisse 128,353 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 19

THE NT EURO GOVERNMENT BOND INDEX FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 13 February 2004 Fund Size 100.29 million Benchmark Citigroup EGBI (EMU Government Bond Index) Performance data 6 Months 1 Year 3 Years Fund 3.89% 0.82% 6.63% Benchmark 3.92% 0.79% 6.61% Fund Review Portfolio Summary *Regional breakdown may not sum to 100% as the fund has a small allocation to cash. Performance commentary For the year ending March 2016, the fund returned 0.82% against a benchmark return of 0.79%. Since inception the fund has outperformed the benchmark, on an annualized basis, by 4 basis points and is up 5.07%. The ex-post tracking error reported for one year is 0.05% and for three years is 0.04%. During the period the fund was subject to a net outflow of 28.44m. The index reconstitutes on a monthly basis to include new government bonds that have been issued and to exclude those bonds, which have fallen below the minimum maturity of 1 year. Overall the modified duration of the benchmark shortened from 7.44 to 7.38 years. During its latest meeting in March, the European Central Bank (ECB) announced an extensive easing package, which included a further cut in all of the main policy rates and expansion of its asset buying programme. The Bank lowered its benchmark refinancing rate by 5bps to 0.0%, the deposit facility rate by 10bps to -0.4% and the lending facility by 5bps to 0.25%. The ECB also increased the asset purchase programme by 20bn to 80bn a month and decided to include investment grade non-bank corporate bonds in the QE universe from Q2. In addition, the Bank decided to launch a new series of four targeted longer-term refinancing operations (TLTRO II), starting in June 2016, each with a maturity of four years. The Euro initially plunged more than 1% against the US Dollar in response to the above measures, but reversed course soon after President Draghi noted that he did not anticipate further interest rate cuts. 20

THE NT EURO GOVERNMENT BOND INDEX FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) The March ECB staff macroeconomic projections were softer with real GDP growth forecasted to grow by 1.4% in 2016 and by 1.7% in 2017. Inflation projection was revised down to 0.1% for 2016 and 1.3% for 2017, from 1.0% and 1.6%, respectively. Making its initial 2018 forecast, the ECB projected a 1.8% real GDP growth and a rise in the inflation rate to 1.6%, still short of its target of almost 2%. The fall in the Eurozone headline HICP inflation slowed in March (-0.1% vs -0.2% in February), while the core inflation edged up from 0.8% YoY in February to 0.9% YoY in March. The unemployment rate fell to 10.3% in January, the third straight month of declines and the lowest since August 2011. The final March composite PMI was revised down by 0.6 points from a more upbeat flash estimate of 53.7 as a result of weakness in the services sector. Although the Eurozone ended the first quarter on somewhat worse footing, the area will continue its subdued recovery, supported by an accommodative monetary policy stance. Meanwhile, citing the economic slowdown in China and other emerging markets, the European Commission trimmed its 2016 growth forecast for the Eurozone to 1.7% from 1.8%. However, it would still mark a moderate increase from the figure of 1.6% in 2015. The inflation estimate for this year was also adjusted down to 0.5% and remains far below the ECB s target. There were no domestic political events that materially changed the investment landscape within which the fund operates. Northern Trust Global Investments Limited London May 2016 21

THE NT EURO GOVERNMENT BOND INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss Net Assets Investments in Transferable Securities Bonds: 98.42% (2015: 98.36%) Austria: 3.73% (2015: 3.80%) 100,000 Austria Government Bond 1.15% 19/10/2018 103,982 0.10 650,000 Austria Government Bond 1.75% 20/10/2023 732,430 0.73 100,000 Austria Government Bond 1.95% 18/06/2019 107,465 0.11 100,000 Austria Government Bond 2.4% 23/05/2034 124,023 0.13 150,000 Austria Government Bond 3.15% 20/06/2044 221,144 0.23 550,000 Austria Government Bond 3.65% 20/04/2022 675,502 0.67 50,000 Austria Government Bond 3.8% 26/01/2062 92,995 0.09 300,000 Austria Government Bond 3.9% 15/07/2020 354,272 0.35 200,000 Austria Government Bond 4.15% 15/03/2037 317,314 0.32 50,000 Austria Government Bond 4.3% 15/09/2017 53,456 0.05 250,000 Austria Government Bond 4.35% 15/03/2019 285,056 0.28 250,000 Austria Government Bond 4.65% 15/01/2018 272,793 0.27 50,000 Austria Government Bond 4.85% 15/03/2026 71,801 0.07 200,000 Austria Government Bond 6.25% 15/07/2027 326,192 0.33 Total Austria 3,738,425 3.73 Belgium: 6.18% (2015: 6.11%) 40,000 Belgium Government Bond 1.6% 22/06/2047 40,896 0.05 100,000 Belgium Government Bond 1.9% 22/06/2038 112,183 0.11 725,000 Belgium Government Bond 2.6% 22/06/2024 866,672 0.86 200,000 Belgium Government Bond 3% 28/09/2019 223,603 0.22 150,000 Belgium Government Bond 3.5% 28/06/2017 157,317 0.16 280,000 Belgium Government Bond 3.75% 28/09/2020 330,980 0.33 150,000 Belgium Government Bond 3.75% 22/06/2045 235,214 0.23 500,000 Belgium Government Bond 4% 28/03/2018 544,418 0.54 250,000 Belgium Government Bond 4% 28/03/2019 283,263 0.28 400,000 Belgium Government Bond 4% 28/03/2022 499,410 0.50 200,000 Belgium Government Bond 4% 28/03/2032 290,663 0.29 450,000 Belgium Government Bond 4.25% 28/09/2022 576,281 0.57 250,000 Belgium Government Bond 4.25% 28/03/2041 409,699 0.41 305,000 Belgium Government Bond 4.5% 28/03/2026 427,038 0.43 450,000 Belgium Government Bond 5% 28/03/2035 754,637 0.75 290,000 Belgium Government Bond 5.5% 28/03/2028 452,281 0.45 Total Belgium 6,204,555 6.18 Finland: 1.56% (2015: 1.50%) 60,000 Finland Government Bond 0.5% 15/04/2026 60,304 0.06 100,000 Finland Government Bond 0.75% 15/04/2031 99,473 0.10 22

THE NT EURO GOVERNMENT BOND INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Finland (continued) 50,000 Finland Government Bond 2.625% 04/07/2042 68,674 0.07 50,000 Finland Government Bond 2.75% 04/07/2028 62,796 0.06 250,000 Finland Government Bond 3.375% 15/04/2020 287,260 0.29 200,000 Finland Government Bond 3.5% 15/04/2021 237,462 0.24 200,000 Finland Government Bond 3.875% 15/09/2017 212,617 0.21 400,000 Finland Government Bond 4% 04/07/2025 536,042 0.53 Total Finland 1,564,628 1.56 France: 23.92% (2015: 23.26%) 350,000 France Government Bond 0.25% 25/11/2020 357,408 0.36 500,000 France Government Bond 0.5% 25/11/2019 514,760 0.51 1,690,000 France Government Bond 0.5% 25/05/2025 1,716,685 1.71 100,000 France Government Bond 1.5% 25/05/2031 108,240 0.11 500,000 France Government Bond 1.75% 25/05/2023 560,525 0.56 300,000 France Government Bond 2.25% 25/10/2022 344,619 0.34 700,000 France Government Bond 2.25% 25/05/2024 817,663 0.82 600,000 France Government Bond 2.5% 25/10/2020 674,658 0.67 800,000 France Government Bond 2.5% 25/05/2030 977,788 0.97 230,000 France Government Bond 2.75% 25/10/2027 284,565 0.28 800,000 France Government Bond 3% 25/04/2022 949,424 0.95 650,000 France Government Bond 3.25% 25/10/2021 772,528 0.77 290,000 France Government Bond 3.25% 25/05/2045 419,808 0.42 1,000,000 France Government Bond 3.5% 25/04/2020 1,153,915 1.15 800,000 France Government Bond 3.5% 25/04/2026 1,041,006 1.04 850,000 France Government Bond 3.75% 25/04/2017 887,736 0.89 900,000 France Government Bond 3.75% 25/04/2021 1,079,887 1.08 740,000 France Government Bond 4% 25/04/2018 807,592 0.81 470,000 France Government Bond 4% 25/10/2038 727,015 0.72 490,000 France Government Bond 4% 25/04/2055 848,306 0.85 850,000 France Government Bond 4.25% 25/10/2017 912,500 0.91 1,160,000 France Government Bond 4.25% 25/10/2018 1,298,603 1.29 970,000 France Government Bond 4.25% 25/04/2019 1,107,507 1.10 560,000 France Government Bond 4.25% 25/10/2023 736,442 0.73 475,000 France Government Bond 4.5% 25/04/2041 805,474 0.80 480,000 France Government Bond 4.75% 25/04/2035 783,319 0.78 480,000 France Government Bond 5.5% 25/04/2029 766,087 0.76 500,000 France Government Bond 5.75% 25/10/2032 869,630 0.87 300,000 France Government Bond 6% 25/10/2025 461,112 0.46 700,000 France Government Bond 8.5% 25/10/2019 921,210 0.92 180,000 France Government Bond 8.5% 25/04/2023 287,870 0.29 Total France 23,993,882 23.92 23

THE NT EURO GOVERNMENT BOND INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Germany: 18.06% (2015: 18.49%) 700,000 Bundesobligation 0.25% 13/04/2018 710,542 0.71 1,150,000 Bundesobligation 0.5% 07/04/2017 1,161,494 1.16 450,000 Bundesobligation 0.5% 13/10/2017 456,791 0.46 850,000 Bundesobligation 0.5% 12/04/2019 875,283 0.87 90,000 Bundesrepublik Deutschland 0.5% 15/02/2026 93,020 0.09 750,000 Bundesrepublik Deutschland 1% 15/08/2025 813,154 0.81 530,000 Bundesrepublik Deutschland 1.5% 15/02/2023 592,434 0.59 250,000 Bundesrepublik Deutschland 1.5% 15/05/2023 280,215 0.28 1,100,000 Bundesrepublik Deutschland 1.5% 15/05/2024 1,241,592 1.23 950,000 Bundesrepublik Deutschland 2% 04/01/2022 1,076,659 1.07 350,000 Bundesrepublik Deutschland 2% 15/08/2023 406,313 0.40 1,000,000 Bundesrepublik Deutschland 2.25% 04/09/2020 1,118,735 1.12 700,000 Bundesrepublik Deutschland 2.25% 04/09/2021 798,759 0.80 500,000 Bundesrepublik Deutschland 2.5% 04/01/2021 568,935 0.56 300,000 Bundesrepublik Deutschland 2.5% 04/07/2044 428,415 0.43 250,000 Bundesrepublik Deutschland 2.5% 15/08/2046 361,420 0.36 50,000 Bundesrepublik Deutschland 3% 04/07/2020 57,324 0.06 500,000 Bundesrepublik Deutschland 3.25% 04/01/2020 570,042 0.57 250,000 Bundesrepublik Deutschland 3.25% 04/07/2042 396,609 0.40 400,000 Bundesrepublik Deutschland 3.75% 04/01/2019 446,946 0.45 350,000 Bundesrepublik Deutschland 4% 04/01/2018 377,722 0.38 450,000 Bundesrepublik Deutschland 4% 04/01/2037 737,912 0.74 650,000 Bundesrepublik Deutschland 4.25% 04/07/2018 719,875 0.72 220,000 Bundesrepublik Deutschland 4.25% 04/07/2039 385,158 0.38 690,000 Bundesrepublik Deutschland 4.75% 04/07/2028 1,062,369 1.06 350,000 Bundesrepublik Deutschland 4.75% 04/07/2034 601,577 0.60 260,000 Bundesrepublik Deutschland 4.75% 04/07/2040 491,004 0.49 300,000 Bundesrepublik Deutschland 5.5% 04/01/2031 515,559 0.51 150,000 Bundesrepublik Deutschland 6.25% 04/01/2024 224,567 0.22 100,000 Bundesrepublik Deutschland 6.25% 04/01/2030 179,229 0.18 35,000 Bundesrepublik Deutschland 6.5% 04/07/2027 59,579 0.06 300,000 Bundesschatzanweisungen 0% 16/06/2017 301,793 0.30 Total Germany 18,111,026 18.06 Ireland: 1.96% (2015: 1.97%) 200,000 Ireland Government Bond 0.8% 15/03/2022 207,502 0.21 100,000 Ireland Government Bond 2% 18/02/2045 107,573 0.11 125,000 Ireland Government Bond 2.4% 15/05/2030 145,963 0.14 200,000 Ireland Government Bond 3.4% 18/03/2024 244,811 0.24 250,000 Ireland Government Bond 4.5% 18/10/2018 280,514 0.28 600,000 Ireland Government Bond 4.5% 18/04/2020 710,619 0.71 190,000 Ireland Government Bond 5.4% 13/03/2025 268,078 0.27 Total Ireland 1,965,060 1.96 24

THE NT EURO GOVERNMENT BOND INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Italy: 23.79% (2015: 23.94%) 450,000 Italy Buoni Poliennali Del Tesoro 0.3% 15/10/2018 453,237 0.45 900,000 Italy Buoni Poliennali Del Tesoro 1.35% 15/04/2022 941,067 0.94 1,100,000 Italy Buoni Poliennali Del Tesoro 1.5% 01/06/2025 1,135,112 1.13 380,000 Italy Buoni Poliennali Del Tesoro 3.25% 01/09/2046 454,678 0.45 600,000 Italy Buoni Poliennali Del Tesoro 3.5% 01/11/2017 633,288 0.63 550,000 Italy Buoni Poliennali Del Tesoro 3.5% 01/06/2018 591,605 0.59 370,000 Italy Buoni Poliennali Del Tesoro 3.5% 01/03/2030 455,638 0.45 620,000 Italy Buoni Poliennali Del Tesoro 3.75% 01/03/2021 722,662 0.72 600,000 Italy Buoni Poliennali Del Tesoro 3.75% 01/08/2021 705,599 0.70 200,000 Italy Buoni Poliennali Del Tesoro 3.75% 01/09/2024 243,193 0.24 600,000 Italy Buoni Poliennali Del Tesoro 4% 01/09/2020 699,238 0.70 550,000 Italy Buoni Poliennali Del Tesoro 4% 01/02/2037 726,704 0.72 1,000,000 Italy Buoni Poliennali Del Tesoro 4.25% 01/02/2019 1,119,265 1.12 480,000 Italy Buoni Poliennali Del Tesoro 4.25% 01/09/2019 547,664 0.55 1,000,000 Italy Buoni Poliennali Del Tesoro 4.25% 01/03/2020 1,159,973 1.16 910,000 Italy Buoni Poliennali Del Tesoro 4.5% 01/02/2018 984,893 0.98 380,000 Italy Buoni Poliennali Del Tesoro 4.5% 01/03/2019 429,266 0.43 600,000 Italy Buoni Poliennali Del Tesoro 4.5% 01/02/2020 699,898 0.70 250,000 Italy Buoni Poliennali Del Tesoro 4.5% 01/03/2026 326,079 0.33 150,000 Italy Buoni Poliennali Del Tesoro 4.75% 01/05/2017 157,735 0.16 650,000 Italy Buoni Poliennali Del Tesoro 4.75% 01/06/2017 686,127 0.68 1,320,000 Italy Buoni Poliennali Del Tesoro 4.75% 01/08/2023 1,690,742 1.69 250,000 Italy Buoni Poliennali Del Tesoro 4.75% 01/09/2044 375,973 0.37 410,000 Italy Buoni Poliennali Del Tesoro 5% 01/03/2022 515,999 0.51 550,000 Italy Buoni Poliennali Del Tesoro 5% 01/03/2025 730,912 0.73 450,000 Italy Buoni Poliennali Del Tesoro 5% 01/08/2034 661,968 0.66 150,000 Italy Buoni Poliennali Del Tesoro 5% 01/08/2039 227,551 0.23 480,000 Italy Buoni Poliennali Del Tesoro 5% 01/09/2040 725,822 0.73 800,000 Italy Buoni Poliennali Del Tesoro 5.25% 01/11/2029 1,152,272 1.15 550,000 Italy Buoni Poliennali Del Tesoro 5.5% 01/09/2022 717,087 0.72 600,000 Italy Buoni Poliennali Del Tesoro 5.5% 01/11/2022 784,896 0.78 400,000 Italy Buoni Poliennali Del Tesoro 5.75% 01/02/2033 625,934 0.62 500,000 Italy Buoni Poliennali Del Tesoro 6% 01/05/2031 781,065 0.78 650,000 Italy Buoni Poliennali Del Tesoro 6.5% 01/11/2027 995,345 0.99 Total Italy 23,858,487 23.79 Netherlands: 5.96% (2015: 6.34%) 350,000 Netherlands Government Bond 0.25% 15/01/2020 358,339 0.36 90,000 Netherlands Government Bond 0.5% 15/07/2026 91,195 0.09 200,000 Netherlands Government Bond 1.25% 15/01/2018 206,189 0.20 775,000 Netherlands Government Bond 2% 15/07/2024 896,660 0.89 550,000 Netherlands Government Bond 2.25% 15/07/2022 633,141 0.63 200,000 Netherlands Government Bond 2.5% 15/01/2033 257,101 0.26 160,000 Netherlands Government Bond 2.75% 15/01/2047 236,176 0.24 250,000 Netherlands Government Bond 3.5% 15/07/2020 291,395 0.29 25

THE NT EURO GOVERNMENT BOND INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Netherlands (continued) 280,000 Netherlands Government Bond 3.75% 15/01/2042 466,893 0.47 500,000 Netherlands Government Bond 4% 15/07/2018 551,007 0.54 260,000 Netherlands Government Bond 4% 15/07/2019 297,912 0.30 245,000 Netherlands Government Bond 4% 15/01/2037 396,786 0.40 600,000 Netherlands Government Bond 4.5% 15/07/2017 638,502 0.64 220,000 Netherlands Government Bond 5.5% 15/01/2028 348,428 0.35 200,000 Netherlands Government Bond 7.5% 15/01/2023 303,558 0.30 Total Netherlands 5,973,282 5.96 Spain: 13.26% (2015: 12.95%) 700,000 Spain Government Bond 1.4% 31/01/2020 730,762 0.73 1,000,000 Spain Government Bond 1.6% 30/04/2025 1,027,270 1.02 290,000 Spain Government Bond 1.95% 30/07/2030 292,746 0.29 400,000 Spain Government Bond 2.1% 30/04/2017 409,296 0.41 550,000 Spain Government Bond 2.15% 31/10/2025 588,701 0.59 480,000 Spain Government Bond 2.75% 30/04/2019 518,423 0.52 70,000 Spain Government Bond 2.9% 31/10/2046 73,741 0.07 700,000 Spain Government Bond 4% 30/04/2020 804,948 0.80 870,000 Spain Government Bond 4.1% 30/07/2018 952,230 0.95 100,000 Spain Government Bond 4.2% 31/01/2037 130,690 0.13 500,000 Spain Government Bond 4.5% 31/01/2018 541,086 0.54 700,000 Spain Government Bond 4.6% 30/07/2019 802,700 0.80 250,000 Spain Government Bond 4.7% 30/07/2041 353,105 0.35 910,000 Spain Government Bond 4.8% 31/01/2024 1,163,990 1.16 400,000 Spain Government Bond 4.9% 30/07/2040 577,502 0.58 200,000 Spain Government Bond 5.15% 31/10/2044 304,114 0.30 700,000 Spain Government Bond 5.4% 31/01/2023 911,103 0.91 520,000 Spain Government Bond 5.5% 30/07/2017 558,145 0.56 520,000 Spain Government Bond 5.5% 30/04/2021 651,742 0.65 350,000 Spain Government Bond 5.75% 30/07/2032 532,868 0.53 360,000 Spain Government Bond 5.9% 30/07/2026 512,223 0.51 580,000 Spain Government Bond 6% 31/01/2029 861,303 0.86 Total Spain 13,298,688 13.26 Total Bonds 98,708,033 98.42 Total Investments in Transferable Securities 98,708,033 98.42 UCITS Collective Investment Schemes: 0.79% (2015: 0.60%) 792,803 Northern Trust Global Funds - Euro Liquidity Fund 791,059 0.79 Total UCITS Collective Investment Schemes 791,059 0.79 26

THE NT EURO GOVERNMENT BOND INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Financial assets at fair value through profit or loss Net Assets Total Value of Investments 99,499,092 99.21 Cash at Bank 1,329 - Other Net Assets 791,186 0.79 Net Assets Attributable to Holders of Redeemable Participating Shares 100,291,607 100.00 Portfolio Classification % of Total Assets Transferable securities admitted to an official stock exchange 96.67 UCITS Collective investment schemes admitted to an official stock exchange listing 0.77 Other current assets 2.56 100.00 27

THE NT EURO GOVERNMENT BOND INDEX FUND PORTFOLIO CHANGES ACQUISITIONS, DISPOSALS AND MATURITIES (UNAUDITED) Schedule of material changes in investments for the year ended 31 March 2016 Acquisitions Cost Nominal Asset Name 1,840,000 France Government Bond 0.5% 25/05/2025 1,780,530 1,050,000 France Government Bond 4% 25/04/2018 1,173,133 1,100,000 Italy Buoni Poliennali Del Tesoro 1.5% 01/06/2025 1,071,744 950,000 French Treasury Note BTAN 1.75% 25/02/2017 977,445 1,000,000 Spain Government Bond 1.6% 30/04/2025 961,210 950,000 Bundesschatzanweisungen 0% 16/06/2017 953,828 800,000 France Government Bond 3.25% 25/10/2021 943,980 825,000 Netherlands Government Bond 2% 15/07/2024 926,730 800,000 Bundesrepublik Deutschland 3.25% 04/01/2020 920,208 800,000 France Government Bond 2.5% 25/05/2030 914,844 900,000 Italy Buoni Poliennali Del Tesoro 1.35% 15/04/2022 905,283 525,000 Bundesrepublik Deutschland 6.5% 04/07/2027 849,305 750,000 Italy Buoni Poliennali Del Tesoro 4.5% 01/02/2018 831,583 800,000 Bundesobligation 0.5% 12/04/2019 819,184 550,000 Spain Government Bond 6% 31/01/2029 793,394 750,000 Bundesrepublik Deutschland 1% 15/08/2025 765,210 750,000 Bundesobligation 0.5% 13/10/2017 762,553 650,000 Italy Buoni Poliennali Del Tesoro 4.5% 01/03/2019 739,343 650,000 Italy Buoni Poliennali Del Tesoro 4.75% 01/06/2017 702,605 600,000 Italy Buoni Poliennali Del Tesoro 4% 01/09/2020 699,848 550,000 Italy Buoni Poliennali Del Tesoro 5% 01/03/2022 687,767 650,000 Bundesobligation 0.25% 13/04/2018 658,245 575,000 Belgium Government Bond 2.6% 22/06/2024 658,090 600,000 Italy Buoni Poliennali Del Tesoro 3.5% 01/11/2017 647,292 Disposals Proceeds Nominal Asset Name 1,450,000 Bundesrepublik Deutschland 3.25% 04/01/2020 1,655,177 1,400,000 Italy Buoni Poliennali Del Tesoro 3.75% 01/08/2021 1,600,023 940,000 Bundesrepublik Deutschland 6.5% 04/07/2027 1,544,918 1,100,000 France Government Bond 8.5% 25/10/2019 1,477,449 1,350,000 Bundesrepublik Deutschland 4% 04/07/2016 1,403,588 1,220,000 Italy Buoni Poliennali Del Tesoro 4.5% 01/03/2019 1,384,759 1,080,000 Spain Government Bond 5.5% 30/04/2021 1,340,559 1,250,000 Italy Buoni Poliennali Del Tesoro 4% 01/02/2017 1,314,109 1,200,000 Italy Buoni Poliennali Del Tesoro 4.75% 01/05/2017 1,276,494 850,000 Bundesrepublik Deutschland 6.25% 04/01/2024 1,249,895 1,150,000 Bundesrepublik Deutschland 3.75% 04/01/2017 1,201,838 1,100,000 Italy Buoni Poliennali Del Tesoro 3.5% 01/06/2018 1,193,886 1,150,000 French Treasury Note BTAN 1.75% 25/02/2017 1,179,557 770,000 France Government Bond 5.5% 25/04/2029 1,155,088 1,100,000 Italy Buoni Poliennali Del Tesoro 3.75% 01/08/2016 1,143,390 990,000 France Government Bond 4.25% 25/10/2018 1,120,827 750,000 Italy Buoni Poliennali Del Tesoro 6.5% 01/11/2027 1,082,664 1,000,000 France Government Bond 5% 25/10/2016 1,057,680 920,000 Italy Buoni Poliennali Del Tesoro 4.25% 01/09/2019 1,048,564 790,000 France Government Bond 4.25% 25/10/2023 1,012,148 900,000 France Government Bond 2.25% 25/05/2024 1,004,700 790,000 Italy Buoni Poliennali Del Tesoro 5% 01/03/2022 974,346 850,000 Bundesrepublik Deutschland 2% 15/08/2023 953,420 550,000 France Government Bond 5.75% 25/10/2032 914,039 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 28

THE NT INDEX LINKED BOND INDEX FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 10 December 2003 Fund Size 40.42 million Benchmark Barclays Capital UK Govt Inflation Linked 5+ Years Index Performance Data 6 Months 1 Year 3 Years Fund 2.99% 2.00% 5.64% Benchmark 2.98% 1.99% 5.63% Fund Review Maturity Profile Performance Commentary For the year ending March 2016, the fund returned 2.00% against a benchmark return of 1.99%. Since inception, the fund has outperformed the benchmark on an annualized basis by 12 basis points and is up 7.96%. The ex-post tracking error reported for one year is 0.02% and for three years is also 0.02%. During the year the fund experienced a net inflow of 1.95m. The benchmark duration during the year lengthened from 22.63 to 23.70years. The Bank of England s (BoE) kept the Bank Rate unchanged at 0.5% and the size of the bond portfolio at 375bn. The Monetary Policy Committee judged the outlook for domestic activity to be little changed from February s inflation report, expecting a softer outlook for inflation and reiterating downside risk, stemming from negative global economic developments. Meanwhile, the latest BoE staff forecasts expect the consumer price inflation to be below 1% YoY until the end of the year, due to the impact of low oil and commodity prices. The Bank also cut its UK growth forecasts for the next three years, pointing to sluggish global economic activity. GDP is expected to expand by 2.2% in 2016, down from a previously expected 2.5% rate. Growth in 2017 and 2018 is pegged at 2.4% and 2.5%, respectively. The BOE had previously forecasted 2017 growth of 2.7%, and 2.6% in 2018. 29

THE NT INDEX LINKED BOND INDEX FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) UK s consumer price inflation was unchanged from January s reading (0.3% YoY), with negative contributions from the transport sector balanced by higher food prices. The Bank expects CPI to pick up to just 0.9% by the final quarter of this year, down from its previous forecast of 1.1%. UK s composite PMI reading was softer than expected (52.8 vs 55.7 consensus) with services PMI (52.7) and manufacturing PMI (50.8) below their long-term averages. This broad-based weakness is a reflection of not only a global slowdown, but also a EU referendum-driven uncertainty pointing to weaker GDP growth in Q1. The unemployment rate remains at 5.1% and the average earnings growth held steady (2.1% 3m/y). The EU membership referendum continues to be the main source of volatility. As part of contingency plans, the BoE announced additional liquidity auctions in June in the event of a Leave vote, in line with steps taken prior to the Scottish referendum. In the environment of intensified uncertainty, Mr Carney s "around the turn of the year" language is nothing more than a distant memory with market participants not expecting a lift-off until at least H2 2017. There were no domestic political events that materially changed the investment landscape within which the fund operates. Northern Trust Global Investments Limited London May 2016 30

THE NT INDEX LINKED BOND INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss Net Assets Investments in Transferable Securities Bonds: 99.86% (2015: 99.77%) United Kingdom: 99.86% (2015: 99.77%) 1,383,600 United Kingdom Gilt Inflation Linked 0.125% 22/03/2024 1,631,929 4.04 362,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2026 406,016 1.00 1,266,200 United Kingdom Gilt Inflation Linked 0.125% 22/03/2029 1,584,168 3.92 1,382,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2044 1,960,685 4.85 612,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2046 830,918 2.06 855,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2058 1,370,599 3.39 1,114,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2068 2,121,178 5.25 185,000 United Kingdom Gilt Inflation Linked 0.125% 22/11/2065 322,628 0.80 1,048,900 United Kingdom Gilt Inflation Linked 0.25% 22/03/2052 1,701,641 4.21 1,093,700 United Kingdom Gilt Inflation Linked 0.375% 22/03/2062 2,201,454 5.45 1,111,100 United Kingdom Gilt Inflation Linked 0.5% 22/03/2050 2,125,857 5.26 1,210,000 United Kingdom Gilt Inflation Linked 0.625% 22/03/2040 2,051,882 5.08 1,043,900 United Kingdom Gilt Inflation Linked 0.625% 22/11/2042 1,871,890 4.63 1,316,700 United Kingdom Gilt Inflation Linked 0.75% 22/03/2034 1,948,255 4.82 1,024,000 United Kingdom Gilt Inflation Linked 0.75% 22/11/2047 2,061,578 5.10 1,115,400 United Kingdom Gilt Inflation Linked 1.125% 22/11/2037 2,137,352 5.29 1,229,684 United Kingdom Gilt Inflation Linked 1.25% 22/11/2027 2,095,590 5.18 1,168,900 United Kingdom Gilt Inflation Linked 1.25% 22/11/2032 1,946,522 4.81 931,026 United Kingdom Gilt Inflation Linked 1.25% 22/11/2055 2,608,297 6.45 1,391,200 United Kingdom Gilt Inflation Linked 1.875% 22/11/2022 2,136,201 5.28 796,455 United Kingdom Gilt Inflation Linked 2% 26/01/2035 1,878,948 4.65 566,611 United Kingdom Gilt Inflation Linked 2.5% 17/07/2024 1,944,439 4.81 423,843 United Kingdom Gilt Inflation Linked 4.125% 22/07/2030 1,428,245 3.53 Total Bonds 40,366,272 99.86 Total Investments in Transferable Securities 40,366,272 99.86 UCITS Collective Investment Schemes: 0.11% (2015: 0.12%) 43,000 Northern Trust Global Funds - Sterling Fund 43,000 0.11 Total UCITS Collective Investment Schemes 43,000 0.11 Total Value of Investments 40,409,272 99.97 Cash at Bank 510 - Other Net Assets 11,041 0.03 Net Assets Attributable to Holders of Redeemable Participating Shares 40,420,823 100.00 31

THE NT INDEX LINKED BOND INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (Continued) Portfolio Classification % of Total Assets Transferable securities admitted to an official stock exchange listing 99.66 UCITS Collective investment schemes admitted to an official stock exchange listing 0.11 Other current assets 0.23 100.00 32

THE NT INDEX LINKED BOND INDEX FUND PORTFOLIO CHANGES ACQUISITIONS, DISPOSALS AND MATURITIES (UNAUDITED) Schedule of material changes in investments for the year ended 31 March 2016 Acquisitions Nominal Asset Name Cost 614,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2046 792,959 308,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2068 541,166 362,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2026 397,529 221,000 United Kingdom Gilt Inflation Linked 0.625% 22/03/2040 366,503 185,000 United Kingdom Gilt Inflation Linked 0.125% 22/11/2065 314,235 192,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2058 293,797 92,000 United Kingdom Gilt Inflation Linked 1.25% 22/11/2055 248,908 207,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2024 241,059 143,000 United Kingdom Gilt Inflation Linked 0.75% 22/03/2034 207,282 119,000 United Kingdom Gilt Inflation Linked 1.25% 22/11/2032 197,289 114,000 United Kingdom Gilt Inflation Linked 1.25% 22/11/2027 192,212 104,000 United Kingdom Gilt Inflation Linked 0.5% 22/03/2050 191,989 55,000 United Kingdom Gilt Inflation Linked 2.5% 17/07/2024 188,357 89,000 United Kingdom Gilt Inflation Linked 1.125% 22/11/2037 168,106 87,000 United Kingdom Gilt Inflation Linked 1.875% 22/11/2022 133,058 65,000 United Kingdom Gilt Inflation Linked 0.375% 22/03/2062 123,128 100,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2029 122,884 62,000 United Kingdom Gilt Inflation Linked 0.75% 22/11/2047 122,746 84,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2044 116,550 48,000 United Kingdom Gilt Inflation Linked 2% 26/01/2035 112,685 63,000 United Kingdom Gilt Inflation Linked 0.625% 22/11/2042 111,345 64,000 United Kingdom Gilt Inflation Linked 0.25% 22/03/2052 100,258 23,000 United Kingdom Gilt Inflation Linked 4.125% 22/07/2030 77,843 Disposals Nominal Asset Name Proceeds 545,560 United Kingdom Gilt Inflation Linked 2.5% 16/04/2020 1,986,931 67,000 United Kingdom Gilt Inflation Linked 2.5% 17/07/2024 223,772 82,000 United Kingdom Gilt Inflation Linked 1.125% 22/11/2037 154,830 86,000 United Kingdom Gilt Inflation Linked 1.25% 22/11/2027 145,323 63,000 United Kingdom Gilt Inflation Linked 0.625% 22/03/2040 101,861 60,000 United Kingdom Gilt Inflation Linked 0.75% 22/03/2034 86,702 24,000 United Kingdom Gilt Inflation Linked 1.25% 22/11/2055 64,165 30,000 United Kingdom Gilt Inflation Linked 0.375% 22/03/2062 56,107 28,000 United Kingdom Gilt Inflation Linked 0.75% 22/11/2047 54,290 29,000 United Kingdom Gilt Inflation Linked 0.5% 22/03/2050 53,059 30,000 United Kingdom Gilt Inflation Linked 1.25% 22/11/2032 49,087 36,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2044 48,902 28,000 United Kingdom Gilt Inflation Linked 0.625% 22/11/2042 48,491 21,000 United Kingdom Gilt Inflation Linked 2% 26/01/2035 48,415 39,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2029 47,576 39,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2024 45,634 30,000 United Kingdom Gilt Inflation Linked 1.875% 22/11/2022 45,630 29,000 United Kingdom Gilt Inflation Linked 0.25% 22/03/2052 44,563 13,000 United Kingdom Gilt Inflation Linked 4.125% 22/07/2030 43,184 21,000 United Kingdom Gilt Inflation Linked 0.125% 22/03/2068 36,210 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 33

THE NT JAPAN EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 13 February 2004 Fund Size 18.64 million Benchmark MSCI Japan Index Performance Data 6 Months 1 Year 3 Years Fund 0.13% -12.31% 8.11% Benchmark 0.13% -12.41% 8.06% Fund Review Portfolio Summary *Sector breakdown may not sum to 100% as the fund has a small allocation to futures for efficient portfolio management. Performance Commentary During the year ending March 2016, the fund returned -12.31% against a benchmark return of -12.41%. Since the fund inception date, the fund has posted an annualised return of 4.00% against an annualised benchmark return of 3.96%. The ex-post tracking error reported for one year is 0.07% and for three years is 0.08%. During the year the fund experienced a net inflow of 2.59m. MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series for May 2015. For MSCI Japan, there were one addition to and one deletion from the index. One-way index turnover was 0.45%. MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series for August 2015. For MSCI Japan, there were 3 additions to and 3 deletions from the index. One-way index turnover was 0.52%. MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series for November 2015. For MSCI Japan, there were 3 additions to and 3 deletions from the index. One-way index turnover was 0.35%. 34

THE NT JAPAN EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series for February 2016. For MSCI Japan, there were no additions to and no deletions from the index. One-way index turnover was 0.15%. The index changes were carefully traded to minimise any deviation from the benchmark (resulting from trading costs) and were used as an opportunity to equitise some of the futures exposure. Northern Trust Global Investments Limited London May 2016 35

THE NT JAPAN EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss Net Assets Investment in Transferable Securities Equities: 98.27% (2015: 97.76%) Basic Materials: 4.59% (2015: 5.22%) 1,287 Air Water 16,741 0.09 10,000 Asahi Kasei 59,408 0.32 2,400 Daicel 28,820 0.15 900 HHN 7,505 0.04 800 Hitachi Chemical 12,648 0.07 1,800 Hitachi Metals 16,316 0.09 3,900 JFE 46,162 0.25 1,300 JSR 16,423 0.09 2,000 Kaneka 15,053 0.08 2,000 Kansai Paint 28,232 0.15 21,929 Kobe Steel 16,950 0.09 2,900 Kuraray 31,156 0.17 10,500 Mitsubishi Chemical 48,163 0.26 3,000 Mitsubishi Gas Chemical 14,194 0.08 8,000 Mitsubishi Materials 19,863 0.11 6,000 Mitsui Chemicals 17,567 0.09 1,300 Nippon Paint 25,344 0.14 5,901 Nippon Steel 99,610 0.53 1,300 Nitto Denko 63,508 0.34 6,000 OJI Paper 21,174 0.11 3,200 Shin-Etsu Chemical 145,509 0.78 12,000 Sumitomo Chemical 47,689 0.26 4,000 Sumitomo Metal Mining 34,900 0.19 7,000 Teijin 21,424 0.11 Total Basic Materials 854,359 4.59 Communications: 7.44% (2015: 6.55%) 1,637 Dentsu 72,213 0.39 1,600 Hakuhodo DY 15,928 0.08 200 Hikari Tsushin 13,382 0.07 1,100 Kakaku.com 17,950 0.10 13,700 KDDI 321,536 1.72 1,500 M3 33,167 0.18 300 Mixi 9,791 0.05 1,100 Nexon 16,481 0.09 5,366 Nippon Telegraph & Telephone 203,111 1.09 11,300 NTT DoCoMo 225,198 1.21 7,200 Rakuten 61,021 0.33 1,480 SBI 13,208 0.07 36

THE NT JAPAN EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Communications (continued) 7,500 SoftBank 314,218 1.69 800 Trend Micro 25,734 0.14 11,600 Yahoo! Japan 43,382 0.23 Total Communications 1,386,320 7.44 Consumer, Cyclical: 25.86% (2015: 26.65%) 200 ABC-Mart 11,259 0.06 5,000 Aeon 63,476 0.34 1,500 Aisin Seiki 49,656 0.27 10,000 All Nippon Airways 24,758 0.13 1,100 Asics 17,220 0.09 1,300 Bandai Namco 24,908 0.13 5,000 Bridgestone 164,156 0.88 2,000 Citizen 9,963 0.05 1,400 Daihatsu Motor 17,336 0.09 4,600 Daiwa House Industry 113,707 0.61 3,800 Denso 134,223 0.72 1,000 Don Quijote 30,528 0.16 400 FamilyMart 18,270 0.10 400 Fast Retailing 112,492 0.60 4,500 Fuji Heavy Industries 139,659 0.75 1,800 Hino Motors 17,103 0.09 500 Hitachi High-Technologies 12,375 0.07 12,800 Honda Motor 308,408 1.65 300 Hoshizaki Electric 21,994 0.12 1,024 Iida 17,549 0.09 2,880 Isetan Mitsukoshi 29,569 0.16 4,500 Isuzu Motors 40,826 0.22 12,200 ITOCHU 132,021 0.71 1,900 J Front Retailing 22,148 0.12 1,000 Japan Airlines 32,183 0.17 1,500 JTEKT 17,099 0.09 797 Koito Manufacturing 31,736 0.17 500 Lawson 36,774 0.20 12,393 Marubeni 55,153 0.29 1,800 Marui 22,669 0.12 4,200 Mazda Motor 57,271 0.31 500 McDonald's Japan 10,407 0.05 10,500 Mitsubishi 156,254 0.84 1,000 Mitsubishi Logistics 11,540 0.06 5,100 Mitsubishi Motors 33,567 0.18 13,300 Mitsui 134,475 0.72 37

THE NT JAPAN EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Consumer, Cyclical (continued) 2,000 NGK Insulators 32,464 0.17 1,400 NGK Spark Plug 23,545 0.13 1,200 NHK Spring 10,091 0.05 890 Nintendo 111,181 0.60 19,200 Nissan Motor 156,128 0.84 600 Nitori 48,298 0.26 700 NOK 10,504 0.06 1,600 Oriental Land 99,563 0.53 17,100 Panasonic 137,983 0.74 200 Ryohin Keikaku 37,164 0.20 400 Sankyo 13,086 0.07 300 Sanrio 5,155 0.03 1,300 Sega Sammy 12,454 0.07 3,000 Sekisui Chemical 32,464 0.17 4,600 Sekisui House 68,221 0.37 200 Shimamura 21,939 0.12 600 Shimano 82,636 0.44 9,800 Sony 221,357 1.19 989 Stanley Electric 19,652 0.11 8,800 Sumitomo 76,849 0.41 5,900 Sumitomo Electric Industries 63,063 0.34 1,200 Sumitomo Rubber Industries 16,293 0.09 2,900 Suzuki Motor 68,176 0.37 2,000 Takashimaya 14,694 0.08 800 Toho 18,495 0.10 12,000 Toray Industries 89,869 0.48 500 Toyoda Gosei 8,479 0.05 1,300 Toyota Industries 51,359 0.28 21,200 Toyota Motor 985,186 5.29 1,700 Toyota Tsusho 33,753 0.18 1,600 USS 22,461 0.12 5,400 Yamada Denki 22,430 0.12 1,300 Yamaha 34,408 0.18 1,900 Yamaha Motor 27,770 0.15 800 Yokohama Rubber 11,562 0.06 Total Consumer, Cyclical 4,821,464 25.86 Consumer, Non-cyclical: 16.59% (2015: 14.06%) 4,000 Ajinomoto 79,310 0.43 1,500 Alfresa 25,285 0.14 3,000 Asahi 82,144 0.44 16,300 Astellas Pharma 190,451 1.02 500 Benesse 12,648 0.07 600 Calbee 20,940 0.11 38

THE NT JAPAN EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Consumer, Non-cyclical (continued) 1,800 Chugai Pharmaceutical 48,977 0.26 4,000 Dai Nippon Printing 31,231 0.17 5,000 Daiichi Sankyo 97,693 0.52 2,000 Eisai 105,715 0.57 400 Hisamitsu Pharmaceutical 15,709 0.09 8,700 Japan Tobacco 318,575 1.71 3,900 Kao 182,790 0.98 1,000 Kikkoman 28,888 0.15 6,300 Kirin 77,619 0.42 300 Kose 25,648 0.14 2,000 Kyowa Hakko Kirin 28,045 0.15 1,000 Medipal 13,913 0.07 980 MEIJI 69,246 0.37 417 Miraca 15,058 0.08 1,600 Mitsubishi Tanabe Pharma 24,447 0.13 1,000 NH Foods 19,363 0.10 1,485 Nisshin Seifun 20,742 0.11 500 Nissin Foods 20,651 0.11 2,100 Olympus 71,733 0.38 3,500 Ono Pharmaceutical 130,212 0.70 3,076 Otsuka 98,179 0.53 700 Park24 17,216 0.09 1,100 Recruit 29,501 0.16 2,800 Santen Pharmaceutical 37,011 0.20 1,600 Secom 104,510 0.56 5,900 Seven & I 220,744 1.18 2,000 Shimadzu 27,561 0.15 2,300 Shionogi 95,121 0.51 2,800 Shiseido 54,916 0.29 500 Sohgo Security Services 23,813 0.13 1,100 Sumitomo Dainippon Pharma 11,131 0.06 1,100 Suntory Beverage & Food 43,543 0.23 546 Suzuken 16,306 0.09 1,108 Sysmex 60,902 0.33 300 Taisho Pharmaceutical 20,893 0.11 6,200 Takeda Pharmaceutical 248,620 1.33 2,300 Terumo 72,459 0.39 4,000 Toppan Printing 29,482 0.16 700 Toyo Suisan Kaisha 22,080 0.12 3,000 Unicharm 57,363 0.31 700 Yakult Honsha 27,245 0.15 904 Yamazaki Baking 16,735 0.09 Total Consumer, Non-cyclical 3,092,364 16.59 39

THE NT JAPAN EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Energy: 0.77% (2015: 0.83%) 600 Idemitsu Kosan 9,411 0.05 7,500 Inpex 49,979 0.27 16,840 JX 57,036 0.31 1,400 Showa Shell Sekiyu 11,040 0.06 2,000 TonenGeneral Sekiyu 15,896 0.08 Total Energy 143,362 0.77 Financial: 16.87% (2015: 17.62%) 3,000 Acom 13,281 0.07 800 AEON Financial Service 16,590 0.09 820 Aeon Mall 10,672 0.06 8,000 Aozora Bank 24,547 0.13 3,000 Bank of Kyoto 17,192 0.09 9,000 Bank of Yokohama 36,540 0.20 5,000 Chiba Bank 21,900 0.12 1,200 Chugoku Bank 10,981 0.06 1,100 Credit Saison 16,825 0.09 8,300 Dai-ichi Life Insurance 88,294 0.47 600 Daito Trust Construction 74,860 0.40 13,000 Daiwa Securities 70,268 0.38 6,000 Fukuoka Financial 17,192 0.09 3,000 Gunma Bank 10,892 0.06 3,000 Hachijuni Bank 11,360 0.06 4,000 Hiroshima Bank 12,836 0.07 8,000 Hokuhoku Financial 9,244 0.05 2,600 Hulic 21,843 0.12 1,800 Iyo Bank 10,358 0.06 4,300 Japan Exchange 57,880 0.31 3,600 Japan Post 42,217 0.23 3,300 Japan Post Bank 35,685 0.19 7 Japan Prime Realty Investment Reits 25,059 0.13 10 Japan Real Estate Investment Reits 50,750 0.27 19 Japan Retail Fund Investment Reits 40,083 0.22 5,000 Joyo Bank 15,069 0.08 2,700 Kyushu Financial 13,681 0.07 10,000 Mitsubishi Estate 163,219 0.88 99,950 Mitsubishi UFJ Financial 406,965 2.18 3,500 Mitsubishi UFJ Lease & Finance 13,499 0.07 7,000 Mitsui Fudosan 153,467 0.82 185,588 Mizuho Financial 243,578 1.31 3,932 MS&AD Insurance 96,274 0.52 11 Nippon Building Fund Reits 57,285 0.31 12 Nippon Prologis REIT Reits 23,601 0.13 28,100 Nomura 110,334 0.59 900 Nomura Real Estate 14,616 0.08 28 Nomura Real Estate Master Fund Reits 36,727 0.20 40

THE NT JAPAN EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Financial (continued) 900 NTT Urban Development 7,737 0.04 10,270 ORIX 128,736 0.69 17,116 Resona 53,668 0.29 900 Seibu 16,731 0.09 4,500 Seven Bank 16,865 0.09 11,858 Shinsei Bank 13,610 0.07 4,000 Shizuoka Bank 25,359 0.14 2,500 Sompo Japan Nipponkoa 62,227 0.33 1,300 Sony Financial 14,596 0.08 9,893 Sumitomo Mitsui Financial 263,546 1.41 25,330 Sumitomo Mitsui Trust 65,184 0.35 3,000 Sumitomo Realty & Development 77,155 0.41 1,400 Suruga Bank 21,621 0.12 4,500 T&D 36,874 0.20 5,300 Tokio Marine 157,246 0.84 1,500 Tokyo Tatemono 16,419 0.09 4,200 Tokyu Fudosan 25,053 0.13 21 United Urban Investment Reits 29,824 0.16 2,000 Yamaguchi Financial 15,974 0.08 Total Financial 3,144,089 16.87 Industrial: 20.23% (2015: 20.68%) 1,500 Alps Electric 22,978 0.12 2,900 Amada 24,861 0.13 7,000 Asahi Glass 33,666 0.18 1,700 Brother Industries 17,175 0.09 1,500 Casio Computer 26,597 0.14 1,100 Central Japan Railway 170,952 0.92 1,800 Daikin Industries 118,220 0.63 2,646 East Japan Railway 200,661 1.08 1,600 FANUC 218,426 1.17 4,000 Fuji Electric 12,149 0.07 3,600 FUJIFILM 125,106 0.67 1,034 Hamamatsu Photonics 25,067 0.13 9,000 Hankyu Hanshin 50,453 0.27 209 Hirose Electric 20,251 0.11 38,000 Hitachi 156,237 0.84 800 Hitachi Construction Machinery 11,168 0.06 3,200 Hoya 106,958 0.57 10,000 IHI 18,582 0.10 300 Japan Airport Terminal 9,369 0.05 2,000 JGC 26,312 0.14 7,000 Kajima 38,585 0.21 2,000 Kamigumi 16,537 0.09 12,000 Kawasaki Heavy Industries 30,450 0.16 4,000 Keihan Electric Railway 24,766 0.13 41

THE NT JAPAN EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Industrial (continued) 4,000 Keikyu 30,918 0.17 5,000 Keio 38,570 0.21 2,000 Keisei Electric Railway 24,719 0.13 373 Keyence 178,783 0.96 14,000 Kintetsu 49,844 0.27 7,200 Komatsu 107,708 0.58 3,300 Konica Minolta 24,632 0.13 8,700 Kubota 104,369 0.56 900 Kurita Water Industries 18,038 0.10 2,500 Kyocera 96,756 0.52 2,200 LIXIL 39,421 0.21 400 Mabuchi Motor 16,365 0.09 900 Makita 49,048 0.26 400 Maruichi Steel Tube 9,635 0.05 3,000 Minebea 20,565 0.11 15,000 Mitsubishi Electric 138,137 0.74 24,000 Mitsubishi Heavy Industries 78,345 0.42 9,000 Mitsui OSK Lines 16,092 0.09 1,600 Murata Manufacturing 169,519 0.91 1,085 Nabtesco 21,398 0.11 7,000 Nagoya Railroad 28,748 0.15 20,000 NEC 44,191 0.24 1,700 Nidec 102,215 0.55 2,800 Nikon 37,645 0.20 3,000 Nippon Electric Glass 13,492 0.07 6,000 Nippon Express 23,985 0.13 14,000 Nippon Yusen 23,720 0.13 3,500 NSK 28,147 0.15 5,000 Obayashi 43,332 0.23 5,000 Odakyu Electric Railway 47,822 0.26 1,600 Omron 41,849 0.22 300 Rinnai 23,282 0.12 5,000 Shimizu 37,242 0.20 400 SMC 81,637 0.44 4,000 Sumitomo Heavy Industries 14,522 0.08 10,000 Taiheiyo Cement 20,222 0.11 8,000 Taisei 46,471 0.25 800 THK 12,967 0.07 8,000 Tobu Railway 35,041 0.19 9,000 Tokyu 66,263 0.36 31,000 Toshiba 53,006 0.28 1,200 TOTO 32,886 0.18 1,200 Toyo Seikan Kaisha 19,750 0.11 1,300 West Japan Railway 70,532 0.38 2,800 Yamato 49,123 0.26 2,000 Yaskawa Electric 20,284 0.11 1,600 Yokogawa Electric 14,528 0.08 Total Industrial 3,771,290 20.23 42

THE NT JAPAN EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Technology: 3.50% (2015: 3.87%) 8,300 Canon 217,415 1.17 14,000 Fujitsu 45,537 0.24 2,600 GungHo Online Entertainment 6,435 0.03 400 Itochu Techno-Solutions 6,633 0.03 700 Konami 18,200 0.10 880 Nomura Research Institute 26,040 0.14 1,000 NTT Data 44,113 0.24 500 Obic 23,228 0.12 300 Oracle 14,803 0.08 400 Otsuka 18,551 0.10 5,800 Ricoh 51,896 0.28 700 Rohm 25,906 0.14 2,200 Seiko Epson 31,227 0.17 1,000 TDK 48,798 0.26 1,300 Tokyo Electron 74,460 0.40 Total Technology 653,242 3.50 Utilities: 2.42% (2015: 2.28%) 5,100 Chubu Electric Power 62,575 0.33 2,100 Chugoku Electric Power 24,922 0.13 1,100 Electric Power Development 30,188 0.16 1,500 Hokuriku Electric Power 18,656 0.10 5,200 Kansai Electric Power 40,466 0.22 3,500 Kyushu Electric Power 29,267 0.16 14,000 Osaka Gas 47,264 0.25 1,200 Shikoku Electric Power 14,138 0.08 3,000 Toho Gas 18,715 0.10 3,500 Tohoku Electric Power 39,678 0.21 10,700 Tokyo Electric Power 51,712 0.28 18,000 Tokyo Gas 73,740 0.40 Total Utilities 451,321 2.42 Total Equities 18,317,811 98.27 Total Investments in Transferable Securities 18,317,811 98.27 UCITS Collective Investment Schemes: 0.28% (2015: 0.36%) 46,899 Northern Trust Global Funds - Euro Liquidity Fund 46,795 0.25 7,000 Northern Trust Global Funds - US Dollar Fund 6,143 0.03 Total UCITS Collective Investment Schemes 52,938 0.28 43

THE NT JAPAN EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Unrealised Fair Value No. of Loss % of Counterparty Contracts Net Assets Financial Derivative Instruments Dealt on a Regulated Market Futures Contracts: 0.00% (2015: 0.01%) Citigroup OSE Mini-TOPIX Index Futures June 2016 326,145 31 (816) - Total Futures Contracts (816) - Net Assets Total Value of Investments 18,369,933 98.55 Cash at Bank 169,171 0.91 Margin Cash 53,820 0.29 Other Net Assets 46,964 0.25 Net Assets Attributable to Holders of Redeemable Participating Shares 18,639,888 100.00 Portfolio Classification % of Total Assets Transferable securities admitted to an official stock exchange listing 97.47 UCITS Collective investment schemes admitted to an official stock exchange listing 0.28 Other current assets 2.25 100.00 44

THE NT JAPAN EQUITY INDEX FUND PORTFOLIO CHANGES ACQUISITIONS AND DISPOSALS (UNAUDITED) Schedule of material changes in investments for the year ended 31 March 2016 Acquisitions Cost Nominal Asset Name 2,900.00 Toyota Motor 158,498 15,100.00 Mitsubishi UFJ Financial 78,217 2,600.00 Sony 64,840 400.00 FANUC 62,429 3,000.00 Mitsubishi Estate 56,954 3,600.00 Japan Post 50,887 1,900.00 Honda Motor 50,199 1,500.00 Sumitomo Mitsui Financial 50,091 1,100.00 Takeda Pharmaceutical 49,080 2,000.00 KDDI 46,590 100.00 Keyence 43,904 1,000.00 SoftBank 43,883 300.00 Nintendo 43,536 3,300.00 Japan Post Bank 43,043 26,200.00 Mizuho Financial 42,032 200.00 Ryohin Keikaku 39,706 1,100.00 Japan Tobacco 38,986 1,500.00 Alps Electric 38,591 7,000.00 Hitachi 36,079 400.00 East Japan Railway 33,543 Disposals Proceeds Nominal Asset Name 1,000.00 Mitsubishi Estate 19,215 100.00 Nintendo 18,420 100.00 FANUC 16,837 500.00 Canon 15,777 400.00 Nippon Telegraph & Telephone 15,678 1,000.00 Kansai Paint 13,949 1,000.00 JGC 13,058 100.00 Shimano 12,789 800.00 Ibiden 11,611 100.00 Shimamura 11,530 600.00 NTT DoCoMo 11,218 907.00 ishares MSCI Japan Fund ETF 10,880 11,000.00 Sharp 10,689 1,554.00 Chiyoda 10,015 200.00 Toyota Motor 9,619 1,000.00 Odakyu Electric Railway 9,617 20.00 Keyence 9,527 100.00 East Japan Railway 8,926 1,000.00 Bank of Kyoto 8,810 1,000.00 Toray Industries 8,595 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 45

THE NT NORTH AMERICA EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 24 February 2004 Fund Size 357.59 million Benchmark MSCI North America Index Performance Data 6 Months 1 Year 3 Years Fund 5.17% -6.06% 14.38% Benchmark 5.17% -6.10% 14.36% Fund Review Portfolio Summary *Sector breakdown may not sum to 100% as the fund has a small allocation to futures for efficient portfolio management. Performance Commentary During the year ending March 2016, the fund returned -6.06% against a benchmark return of -6.10%. Since the fund inception date, the fund has posted an annualised return of 7.33% against an annualised benchmark return of 7.29%. The ex-post tracking error reported for one year is 0.08% and for three years is 0.05%. During the year the fund experienced a net inflow of 24.95m. MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series for May 2015. For MSCI North America, there were 29 additions to and 12 deletions from the index. One-way index turnover was 1.35%. MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series for August 2015. For MSCI North America, there were one addition to and one deletion from the index. One-way index turnover was 0.36%.. MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series for November 2015. For MSCI North America, there were 17 additions to and 14 deletions from the index. One-way index turnover was 0.65%.. 46

THE NT NORTH AMERICA EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series for February 2016. For MSCI North America, there were 7 additions to and 6 deletions from the index. One-way index turnover was 0.62%. The index changes were carefully traded to minimise any deviation from the benchmark (resulting from trading costs) and were used as an opportunity to equitise some of the futures exposure. Northern Trust Global Investments Limited London May 2016 47

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss Net Assets Investment in Transferable Securities Equities: 98.87% (2015: 99.13%) Basic Materials: 2.94% (2015: 3.36%) 4,687 Agnico-Eagle Mines 149,423 0.04 2,818 Agrium 219,234 0.06 4,058 Air Products & Chemicals 512,970 0.14 1,290 Airgas 160,340 0.04 2,094 Albemarle 117,475 0.03 27,357 Alcoa 229,985 0.06 1,385 Ashland 133,644 0.04 2,913 Axalta Coating Systems 74,643 0.02 22,674 Barrick Gold 271,358 0.08 7,861 Cameco 88,906 0.02 2,989 Celanese 171,804 0.05 4,535 CF Industries 124,722 0.03 22,498 Dow Chemical 1,004,123 0.28 3,141 Eastman Chemical 199,091 0.06 5,262 Ecolab 514,956 0.14 17,629 EI du Pont de Nemours 979,569 0.27 15,339 Eldorado Gold 42,459 0.01 11,704 First Quantum Minerals 54,312 0.02 2,715 FMC 96,182 0.03 3,495 Franco-Nevada 189,125 0.05 24,243 Freeport-McMoRan Copper & Gold 219,975 0.06 15,823 Goldcorp 226,188 0.06 1,562 International Flavors & Fragrances 155,946 0.04 7,740 International Paper 278,750 0.08 25,330 Kinross Gold 76,130 0.02 7,859 LyondellBasell Industries 590,209 0.17 1,934 Methanex 54,768 0.02 8,793 Monsanto 677,019 0.19 6,758 Mosaic 160,121 0.05 11,093 Newmont Mining 258,744 0.07 5,786 Nucor 240,163 0.07 17,042 Potash Corp of Saskatchewan 255,638 0.07 5,392 PPG Industries 527,536 0.15 5,872 Praxair 589,751 0.17 1,645 Sherwin-Williams 410,936 0.12 8,625 Silver Wheaton 126,102 0.04 11,638 Teck Resources 77,773 0.02 17,911 Turquoise Hill Resources 40,344 0.01 1,346 West Fraser Timber 47,586 0.01 996 Westlake Chemical 40,468 0.01 48

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Basic Materials (continued) 1,416 WR Grace 88,448 0.03 16,703 Yamana Gold 44,648 0.01 Total Basic Materials 10,521,564 2.94 Communications: 13.33% (2015: 11.65%) 5,871 Alphabet Class A 3,930,486 1.10 6,267 Alphabet Class C 4,096,882 1.15 8,040 Amazon.com 4,188,377 1.17 123,942 AT&T 4,260,285 1.19 3,180 Bell Canada Enterprises 127,699 0.04 4,311 Cablevision Systems 124,841 0.03 8,485 CBS 410,196 0.11 2,936 CDW 106,923 0.03 11,276 CenturyLink 316,247 0.09 1,643 Charter Communications 291,863 0.08 102,840 Cisco Systems 2,569,308 0.72 50,092 Comcast 2,684,936 0.75 22,802 Corning 418,002 0.12 3,153 Discovery Communications - Class A 79,216 0.02 5,604 Discovery Communications - Class C 132,779 0.04 4,820 DISH Network 195,668 0.05 21,249 ebay 444,912 0.12 1,336 Equinix Reits 387,722 0.11 2,470 Expedia 233,702 0.07 1,342 F5 Networks 124,655 0.03 45,765 Facebook 4,582,323 1.28 23,146 Frontier Communications 113,541 0.03 2,572 Harris 175,732 0.05 8,264 Interpublic Group 166,433 0.05 7,272 Juniper Networks 162,791 0.05 6,129 Level 3 Communications 284,250 0.08 5,350 Liberty Global Class A 180,751 0.05 11,667 Liberty Global Class C 384,548 0.11 8,664 Liberty Interactive 191,976 0.05 1,732 Liberty Media Class A 58,713 0.02 4,229 Liberty Media Class C 141,356 0.04 2,335 LinkedIn 234,309 0.07 3,094 Motorola Solutions 205,533 0.06 8,148 Netflix 730,964 0.20 7,977 News Corp 89,392 0.02 6,661 Nielsen 307,813 0.09 4,713 Omnicom Group 344,226 0.10 49

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Communications (continued) 1,650 Palo Alto Networks 236,217 0.07 1,014 Priceline Group 1,146,949 0.32 2,864 Qorvo 126,694 0.04 7,097 Rogers Communications 250,377 0.07 2,627 SBA Communications 230,922 0.06 1,462 Scripps Networks Interactive 84,034 0.02 7,737 Shaw Communications 131,701 0.04 41,936 Sirius XM 145,362 0.04 2,441 Splunk 104,811 0.03 16,855 Sprint 51,472 0.01 13,309 Symantec 214,663 0.06 4,216 TEGNA 86,795 0.02 3,845 TELUS Corporation (Non Canadian) 110,293 0.03 6,979 Thomson Reuters 249,150 0.07 16,028 Time Warner 1,020,430 0.29 5,647 Time Warner Cable 1,013,987 0.28 5,421 T-Mobile US 182,198 0.05 2,265 TripAdvisor 132,177 0.04 24,063 Twenty-First Century Fox Class A 588,720 0.16 9,071 Twenty-First Century Fox Class B 224,476 0.06 11,631 Twitter 168,920 0.05 2,174 VeriSign 168,914 0.05 81,932 Verizon Communications 3,888,274 1.09 7,061 Viacom 255,783 0.07 31,687 Walt Disney 2,761,473 0.77 18,260 Yahoo! 589,838 0.16 1,820 Zillow 37,900 0.01 Total Communications 47,681,880 13.33 Consumer, Cyclical: 10.27% (2015: 10.05%) 1,503 Advance Auto Parts 211,479 0.06 8,197 Alimentation Couche-Tard 321,440 0.09 3,398 American Airlines 122,287 0.03 1,960 Arrow Electronics 110,784 0.03 1,687 Autoliv 175,399 0.05 1,677 AutoNation 68,696 0.02 621 AutoZone 434,158 0.12 3,304 Bed Bath & Beyond 143,926 0.04 6,252 Best Buy 177,978 0.05 4,627 BorgWarner 155,918 0.04 1,536 Canadian Tire 140,881 0.04 4,181 CarMax 187,486 0.05 8,288 Carnival 383,799 0.11 50

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Consumer, Cyclical (continued) 628 Chipotle Mexican Grill 259,549 0.07 5,245 Coach 184,522 0.05 8,896 Costco Wholesale 1,230,163 0.34 22,331 CVS Caremark 2,032,728 0.57 2,534 Darden Restaurants 147,430 0.04 5,681 Delphi Automotive 373,997 0.10 4,049 Delta Air Lines 172,968 0.05 1,703 Dick's Sporting Goods 69,866 0.02 6,024 Dollar General 452,507 0.13 4,553 Dollar Tree 329,464 0.09 2,570 Dollarama 159,349 0.04 6,423 DR Horton 170,389 0.05 5,747 Fastenal 247,118 0.07 2,935 Foot Locker 166,125 0.05 75,696 Ford Motor 896,754 0.25 2,012 GameStop 56,023 0.02 4,459 Gap 115,041 0.03 28,381 General Motors 782,778 0.22 3,165 Genuine Parts 275,964 0.08 4,222 Gildan Activewear 113,431 0.03 5,226 Goodyear Tire & Rubber 151,247 0.04 8,064 Hanesbrands 200,547 0.06 3,548 Harley-Davidson 159,816 0.04 1,341 Harman International Industries 104,781 0.03 2,284 Hasbro 160,544 0.04 9,583 Hilton Worldwide 189,381 0.05 25,621 Home Depot 2,999,965 0.84 4,051 Jarden 209,562 0.06 1,751 Jean Coutu PJC 26,159 0.01 13,125 Johnson Controls 448,845 0.13 3,840 Kohl's 157,064 0.04 4,841 L Brands 373,032 0.10 8,049 Las Vegas Sands 365,032 0.10 1,452 Lear 141,651 0.04 2,781 Leggett & Platt 118,117 0.03 3,373 Lennar 143,143 0.04 1,149 Linamar 48,713 0.01 6,054 LKQ 169,632 0.05 18,355 Lowe's 1,220,123 0.34 2,424 Lululemon Athletica 144,030 0.04 6,658 Macy's 257,603 0.07 7,968 Magna International 301,810 0.08 3,943 Marriott International 246,293 0.07 7,187 Mattel 212,037 0.06 18,499 McDonald's 2,040,239 0.57 51

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Consumer, Cyclical (continued) 9,588 MGM Resorts International 180,393 0.05 3,938 Michael Kors 196,840 0.06 1,227 Mohawk Industries 205,550 0.06 5,256 Newell Rubbermaid 204,281 0.06 27,570 NIKE 1,487,191 0.42 2,488 Nordstrom 124,908 0.03 3,222 Norwegian Cruise Line 156,329 0.04 1,995 O'Reilly Automotive 479,094 0.13 7,337 PACCAR 352,122 0.10 1,229 Polaris Industries 106,210 0.03 6,968 PulteGroup 114,406 0.03 1,667 PVH 144,911 0.04 1,216 Ralph Lauren 102,718 0.03 3,730 Restaurant Brands International 127,644 0.04 8,344 Ross Stores 423,955 0.12 3,574 Royal Caribbean Cruises 257,649 0.07 1,502 Signet Jewelers 163,480 0.05 3,405 Southwest Airlines 133,863 0.04 12,749 Staples 123,401 0.03 29,736 Starbucks 1,557,842 0.44 3,461 Starwood Hotels & Resorts Worldwide 253,391 0.07 11,880 Target 857,783 0.24 1,978 Tesla Motors 398,829 0.11 2,543 Tiffany 163,754 0.05 13,436 TJX 923,795 0.26 3,409 Toll Brothers 88,280 0.03 2,809 Tractor Supply 222,985 0.06 1,214 Ulta Salon Cosmetics & Fragrance 206,398 0.06 3,563 Under Armour 265,236 0.07 1,768 United Continental Holdings 92,872 0.03 6,730 VF 382,462 0.11 1,086 WABCO 101,896 0.03 17,613 Walgreens Boots Alliance 1,302,022 0.36 32,505 Wal-Mart Stores 1,953,637 0.55 1,597 Whirlpool 252,734 0.07 1,201 WW Grainger 246,018 0.07 2,334 Wyndham Worldwide 156,542 0.04 1,529 Wynn Resorts 125,360 0.04 8,842 Yum! Brands 635,091 0.18 Total Consumer, Cyclical 36,731,635 10.27 52

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Consumer, Non-cyclical: 22.56% (2015: 22.45%) 30,216 Abbott Laboratories 1,109,153 0.31 32,719 AbbVie 1,640,042 0.46 3,016 ADT Corp 109,201 0.03 7,171 Aetna 707,000 0.20 4,554 Alexion Pharmaceuticals 556,367 0.16 3,116 Alkermes 93,490 0.03 7,978 Allergan 1,876,481 0.52 1,223 Alliance Data Systems 236,111 0.07 1,480 Alnylam Pharmaceuticals 81,523 0.02 39,741 Altria 2,185,223 0.61 3,864 AmerisourceBergen 293,475 0.08 15,240 Amgen 2,005,119 0.56 5,210 Anthem 635,460 0.18 4,702 Aramark 136,659 0.04 12,406 Archer-Daniels-Midland 395,298 0.11 9,350 Automatic Data Processing 736,070 0.21 1,839 Avery Dennison 116,371 0.03 13,732 Baxalta 486,835 0.14 10,667 Baxter International 384,538 0.11 4,260 Becton Dickinson 567,551 0.16 4,537 Biogen 1,036,437 0.29 3,104 BioMarin Pharmaceutical 224,666 0.06 27,023 Boston Scientific 446,056 0.12 33,764 Bristol-Myers Squibb 1,892,716 0.53 2,447 Brown-Forman 211,448 0.06 2,859 Bunge 142,179 0.04 3,907 Campbell Soup 218,707 0.06 6,601 Cardinal Health 474,707 0.13 15,822 Celgene 1,389,692 0.39 3,425 Centene 185,053 0.05 2,627 Church & Dwight 212,502 0.06 5,170 Cigna 622,641 0.17 2,007 Cintas 158,175 0.04 2,561 Clorox 283,305 0.08 83,223 Coca-Cola 3,387,930 0.95 4,347 Coca-Cola Enterprises 193,556 0.05 17,334 Colgate-Palmolive 1,074,676 0.30 8,611 ConAgra Foods 337,171 0.09 3,419 Constellation Brands 453,316 0.13 967 Cooper Cos 130,656 0.04 1,560 CR Bard 277,447 0.08 3,510 DaVita HealthCare Partners 226,022 0.06 4,868 Dentsply Sirona 263,275 0.07 3,770 Dr Pepper Snapple 295,830 0.08 1,309 Edgewell Personal Care 92,505 0.03 53

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Consumer, Non-cyclical (continued) 4,441 Edwards Lifesciences 343,768 0.10 20,267 Eli Lilly 1,280,704 0.36 3,951 Empire 60,312 0.02 4,452 Endo International 109,977 0.03 3,538 Envision Healthcare 63,337 0.02 2,440 Equifax 244,717 0.07 4,499 Estee Lauder Companies 372,341 0.10 13,581 Express Scripts 818,638 0.23 1,539 FleetCor Technologies 200,892 0.06 11,809 General Mills 656,487 0.18 993 George Weston 78,338 0.02 28,996 Gilead Sciences 2,337,390 0.65 2,551 Global Payments 146,181 0.04 4,675 H&R Block 108,388 0.03 6,583 HCA 450,883 0.13 1,731 Henry Schein 262,229 0.07 3,004 Hershey 242,761 0.07 7,699 Hertz Global 71,143 0.02 4,675 Hologic 141,536 0.04 5,952 Hormel Foods 225,847 0.06 2,982 Humana 478,748 0.13 3,019 Illumina 429,477 0.12 3,273 Incyte 208,147 0.06 779 Intuitive Surgical 410,880 0.11 2,622 Ionis Pharmaceuticals 93,187 0.03 1,232 Jazz Pharmaceuticals 141,141 0.04 2,477 JM Smucker 282,229 0.08 55,812 Johnson & Johnson 5,299,336 1.48 5,205 Kellogg 349,649 0.10 7,344 Kimberly-Clark 866,870 0.24 12,224 Kraft Heinz 842,716 0.24 18,915 Kroger 634,899 0.18 2,085 Laboratory Corp of America 214,309 0.06 4,472 Loblaw 220,634 0.06 2,200 Mallinckrodt 118,306 0.03 1,513 Manpower 108,103 0.03 20,042 MasterCard 1,662,032 0.46 2,327 McCormickInc 203,142 0.06 5,556 McGraw Hill 482,588 0.13 4,653 McKesson 642,082 0.18 3,815 Mead Johnson Nutrition 284,464 0.08 3,286 Medivation 132,588 0.04 1,870 Mednax 106,041 0.03 28,459 Medtronic 1,873,042 0.52 56,327 Merck & Co. 2,615,297 0.73 54

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Consumer, Non-cyclical (continued) 4,779 Metro 146,098 0.04 3,681 Molson Coors Brewing 310,683 0.09 32,378 Mondelez International 1,139,928 0.32 2,928 Monster Beverage 342,711 0.10 3,564 Moody's 301,996 0.08 8,181 Mylan 332,754 0.09 1,749 Patterson Cos 71,415 0.02 22,085 PayPal 748,086 0.21 29,219 PepsiCo 2,627,672 0.73 2,914 Perrigo 327,136 0.09 124,669 Pfizer 3,242,674 0.91 31,164 Philip Morris International 2,683,077 0.75 54,649 Procter & Gamble 3,947,312 1.10 2,751 Quanta Services 54,462 0.02 3,001 Quest Diagnostics 188,163 0.05 1,679 Quintiles Transnational 95,918 0.03 1,551 Regeneron Pharmaceuticals 490,582 0.14 2,771 ResMed 140,599 0.04 17,057 Reynolds American 753,050 0.21 23,002 Rite Aid 164,509 0.05 2,493 Robert Half International 101,903 0.03 3,698 Sabre 93,849 0.03 5,040 Saputo 142,383 0.04 2,684 SEI Investments 101,396 0.03 5,691 St Jude Medical 274,674 0.08 6,856 Stryker 645,501 0.18 11,024 Sysco 452,066 0.13 3,277 Total System Services 136,826 0.04 5,907 Tyson Foods 345,540 0.10 1,995 United Rentals 108,875 0.03 910 United Therapeutics 88,984 0.02 19,281 UnitedHealth 2,180,967 0.61 1,747 Universal Health Services 191,203 0.05 6,459 Valeant Pharmaceuticals International 149,211 0.04 3,014 Vantiv 142,507 0.04 1,929 Varian Medical Systems 135,456 0.04 3,040 Verisk Analytics 213,204 0.06 4,981 Vertex Pharmaceuticals 347,453 0.10 10,159 Western Union 171,969 0.05 3,437 WhiteWave Foods 122,574 0.03 6,469 Whole Foods Market 176,605 0.05 3,778 Zimmer Biomet 353,515 0.10 9,314 Zoetis 362,327 0.10 Total Consumer, Non-cyclical 80,646,224 22.56 55

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Diversified: 0.03% (2015: 0.03%) 6,622 Leucadia National 93,965 0.03 Total Diversified 93,965 0.03 Energy: 7.24% (2015: 8.81%) 2,624 AltaGas 59,460 0.02 10,464 Anadarko Petroleum 427,632 0.12 2,103 Antero Resources 45,897 0.01 7,366 Apache 315,506 0.09 6,897 ARC Resources 88,391 0.02 8,568 Baker Hughes 329,547 0.09 8,090 Cabot Oil & Gas 161,225 0.05 1 California Resources 1-3,839 Cameron International 225,883 0.06 21,802 Canadian Natural Resources 519,627 0.15 16,689 Cenovus Energy 191,352 0.05 4,622 Cheniere Energy 137,214 0.04 37,988 Chevron 3,180,251 0.89 1,914 Cimarex Energy 163,376 0.05 7,991 Columbia Pipeline 176,012 0.05 2,512 Concho Resources 222,730 0.06 25,318 ConocoPhillips 894,700 0.25 2,137 Continental Resources 56,934 0.02 902 Core Laboratories 88,977 0.02 11,003 Crescent Point Energy 134,220 0.04 9,186 Devon Energy 221,196 0.06 18,482 Enbridge 633,976 0.18 17,385 Encana 93,415 0.03 11,003 EOG Resources 700,801 0.20 2,922 EQT 172,466 0.05 83,777 Exxon Mobil 6,145,338 1.72 5,023 FMC Technologies 120,600 0.03 17,165 Halliburton 538,049 0.15 1,982 Helmerich & Payne 102,131 0.03 5,861 Hess 270,793 0.08 3,791 HollyFrontier 117,501 0.03 7,340 Husky Energy 80,524 0.02 5,846 Imperial Oil 172,094 0.05 6,437 Inter Pipeline 116,822 0.03 37,563 Kinder Morgan 588,719 0.16 16,560 Marathon Oil - New York 161,887 0.05 10,752 Marathon Petroleum - New York 350,805 0.10 3,537 Murphy Oil 78,186 0.02 7,945 National Oilwell Varco 216,831 0.06 56

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Energy (continued) 8,396 Noble Energy 231,423 0.06 15,443 Occidental Petroleum 927,352 0.26 2,187 Oceaneering International 63,794 0.02 4,175 ONEOK 109,399 0.03 7,003 Pembina Pipeline 166,814 0.04 3,019 Peyto Exploration & Development 59,174 0.01 10,859 Phillips 66 825,133 0.23 3,270 Pioneer Natural Resources 403,861 0.11 4,818 Plains LP 36,741 0.01 4,277 PrairieSky Royalty 71,499 0.02 3,339 Range Resources 94,877 0.02 25,522 Schlumberger 1,651,746 0.46 4,045 Seven Generations Energy 53,652 0.02 7,132 Southwestern Energy 50,507 0.01 13,719 Spectra Energy 368,392 0.10 32,328 Suncor Energy 793,313 0.22 2,337 Tesoro 176,390 0.05 3,477 Tourmaline Oil 64,872 0.02 14,445 TransCanada 500,398 0.14 9,920 Valero Energy 558,351 0.16 6,043 Veresen 35,956 0.01 2,096 Vermilion Energy 54,051 0.02 15,287 Weatherford International 104,368 0.03 14,013 Williams 197,612 0.06 Total Energy 25,900,744 7.24 Financial: 17.19% (2015: 17.50%) 1,056 Affiliated Managers Group 150,493 0.04 8,321 Aflac 461,049 0.13 319 Alleghany 138,904 0.04 7,587 Allstate Corp 448,542 0.13 9,020 Ally Financial 148,176 0.04 6,958 American Capital Agency Reits 113,753 0.03 16,813 American Express 905,900 0.25 24,917 American International 1,181,838 0.33 8,435 American Tower Reits 757,747 0.21 3,500 Ameriprise Financial 288,741 0.08 19,575 Annaly Capital Management Reits 176,245 0.05 5,566 Aon 510,174 0.14 2,683 Arch Capital 167,401 0.05 3,833 Arthur J. Gallagher & Co. 149,613 0.04 1,418 Assurant 96,002 0.03 2,791 AvalonBay Communities Reits 465,840 0.13 57

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Financial (continued) 2,102 Axis Capital 102,301 0.03 209,043 Bank of America 2,480,156 0.69 12,796 Bank of Montreal 684,704 0.19 22,022 Bank of New York Mellon Corp 711,746 0.20 24,356 Bank of Nova Scotia 1,048,797 0.29 15,585 BB&T 455,016 0.13 23,962 Berkshire Hathaway 2,983,396 0.83 2,517 BlackRock 752,240 0.21 3,151 Boston Properties Reits 351,392 0.10 3,184 Brixmor Property Reits 71,584 0.02 18,018 Brookfield Asset Management 552,171 0.15 1,790 Camden Property Trust Reits 132,088 0.04 8,198 Canadian Imperial Bank of Commerce 539,618 0.15 10,713 Capital One Financial 651,589 0.18 6,308 CBRE Group 159,534 0.04 24,092 Charles Schwab 592,390 0.17 9,335 Chubb 976,057 0.27 4,518 CI Financial 87,972 0.02 3,117 Cincinnati Financial 178,779 0.05 3,682 CIT 100,261 0.03 60,223 Citigroup 2,206,406 0.62 10,459 Citizens Financial 192,283 0.05 6,411 CME 540,368 0.15 3,605 Comerica 119,803 0.03 6,830 Crown Castle International Reits 518,446 0.14 2,962 Digital Realty Trust Reits 230,010 0.06 8,652 Discover Financial Services 386,609 0.11 6,875 Duke Realty Reits 135,986 0.04 5,651 E*TRADE Financial 121,445 0.03 2,639 Eaton Vance 77,627 0.02 8,375 Element Financial 79,548 0.02 7,238 Equity Residential Reits 476,563 0.13 1,299 Essex Property Trust Reits 266,583 0.07 919 Everest Group 159,219 0.04 2,439 Extra Space Storage Reits 200,034 0.06 470 Fairfax Financial 231,841 0.06 1,378 Federal Realty Investment Trust Reits 188,703 0.05 16,369 Fifth Third Bancorp 239,743 0.07 1,836 First Capital Realty 25,685 0.01 2,766 First Republic Bank 161,754 0.05 5,102 FNF 151,777 0.04 7,934 Franklin Resources 271,882 0.08 11,184 General Growth Properties Reits 291,782 0.08 7,673 Goldman Sachs 1,057,003 0.30 5,948 Great-West Lifeco 144,226 0.04 58

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Financial (continued) 3,066 H&R Reits 43,662 0.01 8,304 Hartford Financial Services Group 335,789 0.09 9,430 HCP Reits 269,606 0.08 14,581 Host Hotels & Resorts Reits 213,683 0.06 17,360 Huntington Bancshares 145,333 0.04 2,190 IGM Financial 58,125 0.02 2,151 Industrial Alliance Insurance & Financial Services 57,206 0.02 2,617 Intact Financial 161,446 0.05 2,378 Intercontinental Exchange 490,687 0.14 7,990 Invesco 215,745 0.06 4,177 Iron Mountain Reits 124,297 0.03 879 Jones Lang LaSalle 90,496 0.03 73,874 JPMorgan Chase 3,839,075 1.07 16,621 KeyCorp 161,025 0.05 8,149 Kimco Realty Reits 205,808 0.06 2,108 Legg Mason 64,153 0.02 3,141 Liberty Property Trust Reits 92,228 0.03 4,837 Lincoln National 166,391 0.05 5,610 Loews 188,354 0.05 2,894 M&T Bank 281,895 0.08 2,811 Macerich Reits 195,466 0.05 40,757 Manulife Financial 508,235 0.14 273 Markel 213,592 0.06 10,681 Marsh & McLennan 569,785 0.16 18,682 MetLife 720,361 0.20 1,575 Mid-America Apartment Communities Reits 141,267 0.04 28,894 Morgan Stanley 634,144 0.18 2,211 Nasdaq OMX 128,793 0.04 7,412 National Bank of Canada 213,668 0.06 8,290 Navient 87,079 0.02 10,633 New York Community Bancorp 148,361 0.04 4,275 Northern Trust 244,484 0.07 1,692 Onex 90,871 0.03 6,700 People's United Bank 93,661 0.03 10,267 PNC Financial Services Group 761,950 0.21 4,914 Power Financial 108,252 0.03 7,334 Power of Canada 149,073 0.04 6,090 Principal Financial 210,829 0.06 11,729 Progressive 361,684 0.10 10,298 Prologis Reits 399,250 0.11 8,966 Prudential Financial 568,228 0.16 2,996 Public Storage Reits 725,187 0.20 2,648 Raymond James Financial 110,633 0.03 2,721 Realogy 86,223 0.02 5,154 Realty Income Reits 282,723 0.08 59

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Financial (continued) 1,804 Regency Centers Reits 118,494 0.03 25,454 Regions Financial 175,345 0.05 749 RenaissanceRe 78,762 0.02 2,848 RioCan Real Estate Investment Trust Reits 51,397 0.01 29,964 Royal Bank of Canada 1,521,222 0.43 1,049 Signature Bank 125,304 0.04 6,299 Simon Property Reits 1,148,032 0.32 1,980 SL Green Realty Reits 168,332 0.05 781 Smart Real Estate Investment Trust Reits 17,978 0.01 7,941 State Street 407,799 0.11 11,956 Sun Life Financial 339,873 0.10 10,042 SunTrust Banks 317,946 0.09 16,946 Synchrony Financial 426,197 0.12 5,050 T Rowe Price 325,543 0.09 5,666 TD Ameritrade 156,772 0.04 2,621 Torchmark 124,570 0.04 37,547 Toronto-Dominion Bank 1,428,056 0.40 6,137 Travelers 628,537 0.18 5,609 UDR Reits 189,649 0.05 4,920 Unum 133,497 0.04 35,490 US Bancorp 1,264,130 0.35 6,550 Ventas Reits 361,887 0.10 18,512 VEREIT Reits 144,093 0.04 39,425 Visa 2,645,978 0.74 3,284 Vornado Realty Trust Reits 272,132 0.08 4,611 Voya Financial 120,459 0.03 97,741 Wells Fargo 4,147,914 1.16 7,381 Welltower Reits 449,123 0.13 15,714 Weyerhaeuser Reits 427,203 0.12 2,658 Willis Towers Watson 276,774 0.08 2,232 WR Berkley 110,077 0.03 5,918 XL Group 191,113 0.05 Total Financial 61,500,526 17.19 Industrial: 9.73% (2015: 9.93%) 12,437 3M 1,818,593 0.51 842 Acuity Brands 161,181 0.05 1,220 AGCO 53,209 0.01 6,487 Agilent Technologies 226,850 0.06 153 AMERCO 47,974 0.01 4,940 AMETEK 216,666 0.06 6,364 Amphenol 322,905 0.09 2,657 Avnet 103,291 0.03 60

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Industrial (continued) 2,683 Ball 167,848 0.05 2,193 BE Aerospace 88,755 0.02 12,965 Boeing 1,444,234 0.40 41,939 Bombardier 37,559 0.01 5,826 CAE 59,369 0.02 16,144 Canadian National Railway 888,935 0.25 2,837 Canadian Pacific Railway 332,117 0.09 11,707 Caterpillar 786,323 0.22 506 CCL Industries 84,622 0.02 3,100 CH Robinson Worldwide 201,933 0.06 1,893 Chicago Bridge & Iron 60,783 0.02 2,830 Crown Holdings 123,154 0.03 19,591 CSX 442,691 0.12 3,269 Cummins 315,382 0.09 12,348 Danaher 1,027,889 0.29 6,289 Deere 424,896 0.12 2,994 Dover 169,018 0.05 9,266 Eaton 508,693 0.14 12,863 Emerson Electric 613,830 0.17 3,735 Expeditors International of Washington 159,980 0.04 5,454 FedEx 778,794 0.22 2,664 Finning International 34,467 0.01 11,941 Flextronics International 126,373 0.04 2,685 FLIR Systems 77,637 0.02 2,761 Flowserve 107,600 0.03 2,818 Fluor 132,795 0.04 3,064 Fortune Brands Home & Security 150,679 0.04 2,330 Garmin 81,705 0.02 5,413 General Dynamics 624,023 0.17 190,471 General Electric 5,313,565 1.49 14,679 Honeywell International 1,443,361 0.40 6,481 Illinois Tool Works 582,610 0.16 5,232 Ingersoll-Rand 284,706 0.08 2,632 Jacobs Engineering Group 100,587 0.03 1,864 JB Hunt Transport Services 137,794 0.04 2,093 Kansas City Southern 156,945 0.04 1,558 L-3 Communications 162,014 0.05 5,514 Lockheed Martin 1,071,784 0.30 1,174 Martin Marietta Materials 164,332 0.05 7,047 Masco 194,487 0.05 583 Mettler-Toledo International 176,381 0.05 6,063 Norfolk Southern 442,933 0.12 3,517 Northrop Grumman 610,780 0.17 1,898 Packaging Corp. of America 100,600 0.03 2,846 Parker-Hannifin 277,420 0.08 61

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Industrial (continued) 3,665 Pentair 174,510 0.05 2,217 Progressive Waste Solutions 60,736 0.02 6,126 Raytheon 659,235 0.18 4,628 Republic Services 193,519 0.05 2,772 Rockwell Automation 276,701 0.08 2,575 Rockwell Collins 208,364 0.06 2,033 Roper Technologies 326,069 0.09 4,155 Sealed Air 175,053 0.05 3,484 Sensata Technologies 118,747 0.03 1,133 Snap-on 156,088 0.04 2,960 SNC-Lavalin 95,289 0.03 3,053 Stanley Black & Decker 281,871 0.08 1,722 Stericycle 190,689 0.05 7,971 TE Connectivity 433,122 0.12 5,691 Textron 182,084 0.05 8,021 Thermo Fisher Scientific 996,616 0.28 1,038 TransDigm Group 200,705 0.06 5,205 Trimble Navigation 113,276 0.03 8,233 Tyco International 265,222 0.08 17,320 Union Pacific 1,209,079 0.34 13,824 United Parcel Service 1,279,468 0.36 17,039 United Technologies 1,496,735 0.42 2,835 Vulcan Materials 262,640 0.07 1,959 Wabtec 136,307 0.04 2,640 Waste Connections 149,636 0.04 8,785 Waste Management 454,842 0.13 1,600 Waters 185,224 0.05 5,108 WestRock 174,951 0.05 3,573 Xylem 128,240 0.04 Total Industrial 34,808,070 9.73 Technology: 12.33% (2015: 12.46%) 12,539 Accenture 1,269,800 0.36 10,042 Activision Blizzard 298,207 0.08 10,103 Adobe Systems 831,610 0.23 3,610 Akamai Technologies 176,041 0.05 6,345 Analog Devices 329,569 0.09 1,945 ANSYS 152,692 0.04 112,340 Apple 10,744,537 3.00 24,232 Applied Materials 450,383 0.13 4,652 Autodesk 238,040 0.07 10,296 BlackBerry 73,625 0.02 7,913 Broadcom 1,072,843 0.30 62

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Technology (continued) 6,408 CA 173,141 0.05 2,652 CDK Global 108,333 0.03 6,269 Cerner 291,349 0.08 4,231 CGI 178,173 0.05 3,216 Citrix Systems 221,766 0.06 12,329 Cognizant Technology Solutions 678,363 0.19 373 Constellation Software 134,575 0.04 799 Dun & Bradstreet 72,275 0.02 6,208 Electronic Arts 360,152 0.10 39,007 EMC 912,234 0.26 5,890 Fidelity National Information Services 327,231 0.09 4,693 Fiserv 422,454 0.12 2,436 Fortinet 65,477 0.02 1,677 Gartner 131,490 0.04 36,272 Hewlett Packard Enterprise 564,348 0.16 36,272 HP 392,147 0.11 1,435 IHS 156,351 0.04 3,022 IMS Health 70,409 0.02 95,498 Intel 2,711,035 0.76 18,589 International Business Machines 2,470,540 0.69 5,175 Intuit 472,337 0.13 3,022 KLA-Tencor 193,087 0.05 3,173 Lam Research 229,994 0.07 4,759 Linear Technology 186,092 0.05 7,456 Marvell Technology 67,458 0.02 5,949 Maxim Integrated Products 192,009 0.05 4,196 Microchip Technology 177,480 0.05 21,164 Micron Technology 194,451 0.05 152,970 Microsoft 7,413,921 2.07 1,946 MSCI 126,506 0.04 5,962 NetApp 142,778 0.04 660 NetSuite 39,668 0.01 5,477 Nuance Communications 89,829 0.03 10,460 NVIDIA 327,050 0.09 2,503 Open Text 114,252 0.03 64,243 Oracle 2,306,332 0.65 6,623 Paychex 313,903 0.09 30,272 Qualcomm 1,358,528 0.38 3,769 Red Hat 246,438 0.07 12,828 Salesforce.com 831,110 0.23 4,193 SanDisk 279,938 0.08 6,202 Seagate Technology 187,494 0.05 3,150 ServiceNow 169,117 0.05 3,769 Skyworks Solutions 257,650 0.07 3,166 Synopsys 134,580 0.04 63

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Technology (continued) 1,018 Tableau Software 40,977 0.01 3,167 Teradata 72,925 0.02 20,455 Texas Instruments 1,030,693 0.29 1,673 Vmware 76,798 0.02 4,520 Western Digital 187,376 0.05 2,192 Workday 147,807 0.04 17,611 Xerox 172,471 0.05 5,191 Xilinx 216,058 0.06 Total Technology 44,076,297 12.33 Utilities: 3.25% (2015: 2.89%) 12,930 AES 133,890 0.04 2,437 AGL Resources 139,306 0.04 2,243 Alliant Energy 146,207 0.04 4,822 Ameren 211,998 0.06 9,624 American Electric Power 560,777 0.15 3,488 American Water Works 210,985 0.06 1,636 Atco 43,599 0.01 1,955 Atmos Energy 127,400 0.03 7,640 Calpine 101,706 0.03 2,510 Canadian Utilities 61,901 0.02 8,147 CenterPoint Energy 149,564 0.04 5,938 CMS Energy 221,148 0.06 6,015 Consolidated Edison 404,431 0.11 11,869 Dominion Resources 782,414 0.22 3,695 DTE Energy 293,966 0.08 13,700 Duke Energy 969,958 0.27 6,413 Edison International 404,572 0.11 3,423 Entergy 238,143 0.07 6,261 Eversource Energy 320,536 0.09 19,358 Exelon 609,168 0.17 8,583 FirstEnergy 270,923 0.08 5,443 Fortis 150,334 0.04 3,632 Keyera 97,136 0.03 9,515 NextEra Energy 988,114 0.28 6,685 NRG Energy 76,321 0.02 3,961 OGE Energy 99,516 0.03 10,015 PG&E 524,853 0.15 2,281 Pinnacle West Capital 150,265 0.04 13,622 PPL 455,083 0.13 10,171 Public Service Enterprise 420,746 0.12 2,798 SCANA 172,243 0.05 4,635 Sempra Energy 423,212 0.12 64

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Utilities (continued) 18,078 Southern 820,653 0.23 4,721 TECO Energy 114,053 0.03 6,592 WEC Energy 347,489 0.10 10,110 Xcel Energy 371,024 0.10 Total Utilities 11,613,634 3.25 Total Equities 353,574,539 98.87 Total Investments in Transferable Securities 353,574,539 98.87 UCITS Collective Investment Schemes: 0.86% (2015: 0.52%) 75,539 Northern Trust Global Funds - Euro Liquidity Fund 75,373 0.02 14,000 Northern Trust Global Funds - Sterling Fund 17,658-3,430,000 Northern Trust Global Funds - USD Dollar Fund 3,009,960 0.84 Total UCITS Collective Investment Schemes 3,102,991 0.86 Unrealised Fair Value No. of Gain % of Counterparty Contracts Net Assets Financial Derivative Instruments Dealt on a Regulated Market Futures Contracts: 0.04% (2015: 0.00%) Citigroup MSE S&P/TSX 60 Index June 2016 320,363 3 3,181 - Citigroup CME E-Mini S&P 500 Index Futures June 2016 3,600,544 40 113,502 0.04 Total Futures Contracts 116,683 0.04 Total Value of Investments 356,794,213 99.77 Cash at Bank 96,082 0.03 Margin Cash 363,220 0.10 Other Net Assets 340,538 0.10 Net Assets Attributable to Holders of Redeemable Participating Shares 357,594,053 100.00 65

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Portfolio Classification % of Total Assets Transferable securities admitted to an official stock exchange listing 98.83 UCITS Collective investment schemes admitted to an official stock exchange listing 0.87 Financial derivative instruments dealt on a regulated market 0.03 Other current assets 0.27 100.00 66

THE NT NORTH AMERICA EQUITY INDEX FUND PORTFOLIO CHANGES ACQUISITIONS AND DISPOSALS (UNAUDITED) Schedule of material changes in investments for the year ended 31 March 2016 Acquisitions Cost Nominal Asset Name 7,598 Apple 846,576 8,922 Facebook 779,119 25,524 General Electric 653,244 11,109 Microsoft 466,862 5,921 Exxon Mobil 449,923 11,327 Coca-Cola 428,614 4,612 Johnson & Johnson 426,764 5,529 Procter & Gamble 399,045 888 Amazon.com 395,741 3,014 Berkshire Hathaway 380,707 755 Google Class C 375,018 12,198 Pfizer 369,108 7,191 Wells Fargo 354,969 2,760 Avago Technologies 333,903 10,342 AT&T 322,303 6,997 Verizon Communications 314,458 5,304 JPMorgan Chase 300,806 3,224 Chevron 280,000 8,758 Intel 251,674 17,670 Bank of America 251,639 Disposals Proceeds Nominal Asset Name 2,721 Precision Castparts 586,988 10,496 Broadcom 526,424 4,430 Apple 420,106 5,382 Lorillard 342,178 6,292 Altera 311,542 2,368 Sigma-Aldrich 311,374 3,599 Hospira 292,377 2,257 Chubb Corp 262,247 4,538 Catamaran 252,444 2,851 DIRECTV 240,241 6,640 Oracle 230,134 1,981 Pall 224,885 1,279 Salix Pharmaceuticals 203,324 3,698 American International 195,589 6,455 Synchrony Financial 189,778 2,025 TRW Automotive 186,907 2,220 Keurig Green Mountain 186,828 3,659 Microsoft 179,754 1,981 Omnicare 175,937 2,146 Kraft Foods 170,863 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 67

THE NT PACIFIC (EX-JAPAN) EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 13 February 2004 Fund Size 82.49 million Benchmark MSCI Pacific (Ex-Japan) Index Performance Data 6 Months 1 Year 3 Years Fund 7.98% -14.83% 1.07% Benchmark 7.99% -14.85% 1.00% Fund Review Portfolio Summary *Country breakdown may not sum to 100% as the fund has a small allocation to futures for efficient portfolio management. Performance Commentary During the year ending March 2016, the fund returned -14.83% against a benchmark return of -14.85%. Since the fund inception date, the fund has posted an annualised return of 9.20% against an annualised benchmark return of 8.72%. The ex-post tracking error reported for one year is 0.07% and for three years is 0.09%. During the year the fund experienced a net inflow of 8.55m. MSCI implemented changes to their series of indexes at the end of May 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For Pacific ex Japan, there were one addition to and one deletion from the index. One-way index turnover was 0.54%. MSCI implemented changes to their series of indexes at the end of August 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For Pacific ex Japan, there were no addition to and no deletion from the index. One-way index turnover was 0.15%. MSCI implemented changes to their series of indexes at the end of November 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For Pacific ex Japan, there were six additions to and one deletion from the index. One-way index turnover was 1.74%. 68

THE NT PACIFIC (EX-JAPAN) EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) MSCI implemented changes to their series of indexes at the end of February 2016. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For Pacific ex Japan, there were 1addition and no deletion from the index. One-way index turnover was 1.05%. The index changes were carefully traded to minimise any deviation from the benchmark, mainly preventing pricing impact, and were used as an opportunity to equitise some of the futures exposure. Northern Trust Global Investments Limited London May 2016 69

THE NT PACIFIC (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss Net Assets Investments in Transferable Securities Equities: 98.46% (2015: 98.24%) Australia: 58.70% (2015: 59.54%) 43,817 AGL Energy 544,245 0.66 160,686 Alumina 141,012 0.17 74,845 Amcor 725,018 0.88 191,026 AMP 746,630 0.91 72,199 APA 429,379 0.52 34,865 Aristocrat Leisure 242,416 0.29 41,135 Asciano 248,802 0.30 12,451 ASX 348,220 0.42 135,793 Aurizon 363,000 0.44 114,351 AusNet Services 115,017 0.14 187,959 Australia & New Zealand Banking 2,976,633 3.61 23,848 Bank of Queensland 195,114 0.23 30,029 Bendigo & Adelaide Bank 179,804 0.22 207,836 BHP Billiton 2,365,443 2.87 48,369 Boral 201,785 0.24 102,158 Brambles 835,813 1.01 17,461 Caltex Australia 400,994 0.49 37,524 Challenger 212,523 0.26 6,299 CIMIC 147,804 0.18 36,626 Coca-Cola Amatil 218,563 0.26 3,786 Cochlear 261,451 0.32 110,426 Commonwealth Bank of Australia 5,584,744 6.77 31,341 Computershare 206,912 0.25 23,319 Crown Resorts 196,138 0.24 30,043 CSL 2,057,248 2.49 62,095 Dexus Property Reits 332,821 0.40 153,516 DUET 228,505 0.28 3,372 Flight Centre 98,403 0.12 98,934 Fortescue Metals 170,302 0.20 114,967 Goodman Reits 517,646 0.63 114,515 GPT Reits 386,515 0.47 33,829 Harvey Norman 107,330 0.13 114,207 Healthscope 205,073 0.25 25,896 Iluka Resources 114,676 0.14 111,672 Incitec Pivot 240,475 0.29 157,080 Insurance Australia 591,683 0.72 28,778 James Hardie Industries 346,958 0.42 35,845 Lend Lease 335,613 0.41 19,769 Macquarie 881,972 1.07 174,727 Medibank 345,591 0.42 234,832 Mirvac Reits 306,741 0.37 70

THE NT PACIFIC (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Australia (continued) 169,781 National Australia Bank 3,007,371 3.64 49,604 Newcrest Mining 567,906 0.69 88,552 Oil Search 404,091 0.49 23,903 Orica 248,005 0.30 114,404 Origin Energy 393,091 0.48 16,464 Platinum Asset Management 70,574 0.08 35,836 Qantas Airways 98,457 0.12 88,573 QBE Insurance 652,319 0.79 9,135 Ramsay Health Care 378,380 0.46 3,587 REA 130,828 0.16 27,495 Rio Tinto 792,345 0.96 108,427 Santos 294,969 0.36 345,145 Scentre Reits 1,034,472 1.25 21,021 Seek 229,597 0.28 25,330 Sonic Healthcare 321,118 0.39 348,537 South32 344,684 0.42 154,529 Stockland Reits 445,422 0.54 83,127 Suncorp 668,325 0.81 69,437 Sydney Airport 313,582 0.38 51,352 Tabcorp Holdings 148,366 0.18 96,899 Tatts 247,255 0.30 276,749 Telstra 995,743 1.21 19,820 TPG Telecom 151,723 0.18 131,428 Transurban Group 1,006,973 1.22 47,725 Treasury Wine Estates 310,568 0.38 218,666 Vicinity Centres Reits 470,876 0.57 30,546 Vocus Communications 171,765 0.21 72,855 Wesfarmers 2,038,534 2.47 128,022 Westfield Reits 863,345 1.04 214,874 Westpac Banking 4,402,270 5.34 47,928 Woodside Petroleum 839,901 1.02 82,209 Woolworths 1,226,439 1.49 Total Australia 48,424,306 58.70 Hong Kong: 27.23% (2015: 26.09%) 779,827 AIA 3,877,530 4.70 16,390 ASM Pacific Technology 112,926 0.14 79,692 Bank of East Asia 261,463 0.32 240,111 BOC Hong Kong 628,870 0.76 72,368 Cathay Pacific Airways 109,875 0.13 42,310 Cheung Kong Infrastructure 363,075 0.44 175,389 Cheung Kong Property 991,142 1.20 174,889 CK Hutchison 1,992,462 2.42 71

THE NT PACIFIC (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Hong Kong (continued) 122,855 CLP 975,031 1.18 162,125 First Pacific 106,201 0.13 152,232 Galaxy Entertainment 501,184 0.61 144,695 Hang Lung Properties 242,605 0.29 49,579 Hang Seng Bank 769,012 0.93 74,573 Henderson Land Development 402,015 0.49 164,058 HK Electric Investments 126,770 0.15 170,300 HKT Trust 205,771 0.25 450,439 Hong Kong & China Gas 738,928 0.90 74,405 Hong Kong Exchanges and Clearing 1,572,451 1.91 37,800 Hongkong Land 198,694 0.24 39,315 Hysan Development 147,004 0.18 16,000 Jardine Matheson 801,439 0.97 44,355 Kerry Properties 106,886 0.13 377,386 Li & Fung 195,973 0.24 146,264 Link Reits 761,190 0.92 6,600 Melco Crown Entertainment ADR 95,622 0.11 66,800 MGM China 89,631 0.11 94,708 MTR 411,449 0.50 347,040 New World Development 290,150 0.35 330,204 Noble 94,681 0.11 94,693 NWS 132,628 0.16 262,277 PCCW 148,957 0.18 89,751 Power Assets 805,720 0.98 157,068 Sands China 561,530 0.68 88,901 Shangri-La Asia 89,012 0.11 198,237 Sino Land 275,411 0.33 113,241 SJM Holdings 70,976 0.09 112,350 Sun Hung Kai Properties 1,205,615 1.46 38,179 Swire Pacific 360,669 0.44 74,396 Swire Properties 176,332 0.21 86,996 Techtronic Industries 301,667 0.36 373,000 WH 237,161 0.29 88,318 Wharf 423,656 0.51 58,435 Wheelock 229,073 0.28 94,707 Wynn Macau 128,576 0.16 48,094 Yue Yuen Industrial 145,006 0.18 Total Hong Kong 22,462,019 27.23 Malta: 0.00% (2015: 0.00%) 185,687 BGP Holdings - - Total Malta - - 72

THE NT PACIFIC (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets New Zealand: 1.44% (2015: 1.20%) 63,304 Auckland International Airport 248,002 0.30 45,350 Contact Energy 138,153 0.17 45,488 Fletcher Building 218,669 0.27 78,457 Meridian Energy 125,241 0.15 48,141 Mighty River Power 85,647 0.10 23,294 Ryman Healthcare 118,507 0.14 115,162 Spark New Zealand 256,104 0.31 Total New Zealand 1,190,323 1.44 Singapore: 11.09% (2015: 11.30%) 136,971 Ascendas Real Estate Investment Trust Reits 213,331 0.26 164,435 CapitaLand 328,973 0.40 128,200 CapitaLand Commercial Trust Reits 122,810 0.15 156,400 CapitaLand Mall Trust Reits 213,015 0.26 27,869 City Developments 148,379 0.18 139,164 ComfortDelGro 264,812 0.32 113,907 DBS 1,141,655 1.38 396,000 Genting Singapore 215,481 0.26 203,919 Global Logistic Properties 255,809 0.31 437,301 Golden Agri-Resources 116,840 0.14 356,800 Hutchison Port Holdings 156,553 0.19 7,583 Jardine Cycle & Carriage 197,813 0.24 93,218 Keppel 354,157 0.43 200,286 Oversea-Chinese Banking 1,153,801 1.40 67,239 Sembcorp Industries 132,329 0.16 57,800 Sembcorp Marine 62,150 0.08 35,803 Singapore Airlines 266,449 0.32 53,102 Singapore Exchange 275,110 0.33 104,108 Singapore Press 271,376 0.33 100,100 Singapore Technologies Engineering 210,700 0.25 516,467 Singapore Telecommunications 1,285,683 1.56 42,400 StarHub 92,563 0.11 150,200 Suntec Real Estate Investment Trust Reits 163,951 0.20 83,529 United Overseas Bank 1,027,158 1.25 32,813 UOL 128,300 0.16 127,049 Wilmar International 278,188 0.34 108,201 Yangzijiang Shipbuilding 69,101 0.08 Total Singapore 9,146,487 11.09 Total Equities 81,223,135 98.46 Total Investments in Transferable Securities 81,223,135 98.46 73

THE NT PACIFIC (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets UCITS Collective Investment Schemes: 0.25% (2015: 0.22%) 182,912 Northern Trust Global Funds - Euro Liquidity Fund 182,510 0.22 7,000 Northern Trust Global Funds - Sterling Fund 8,829 0.01 17,000 Northern Trust Global Funds - US Dollar Fund 14,918 0.02 Total UCITS Collective Investment Schemes 206,257 0.25 Unrealised Fair Value No. of Gain/(Loss) % of Counterparty Contracts Net Assets Financial Derivative Instruments Dealt on a Regulated Market Futures Contracts: (0.01%) (2015: 0.02%) Citigroup Hang Seng Index Futures April 2016 235,401 2 4,710 0.01 Citigroup SFE SPI 200 Index Futures June 2016 854,947 10 (13,611) (0.02) Citigroup SGX MSCI Singapore Index Futures April 2016 166,254 8 (166) - Total Futures Contracts (9,067) (0.01) Total Value of Investments 81,420,325 98.70 Cash at Bank 509,550 0.62 Margin Cash 198,758 0.24 Other Net Assets 363,569 0.44 Net Assets Attributable to Holders of Redeemable Participating Shares 82,492,202 100.00 Portfolio Classification % of Total Assets Transferable securities admitted to an official stock exchange listing 98.33 UCITS Collective investment schemes admitted to an official stock exchange listing 0.25 Financial derivative instruments dealt on a regulated market 0.01 Other current assets 1.41 100.00 74

THE NT PACIFIC (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO CHANGES ACQUISITIONS AND DISPOSALS (UNAUDITED) Schedule of material changes in investments for the year ended 31 March 2016 Acquisitions Cost Nominal Asset Name 20,270 Commonwealth Bank of Australia 1,053,850 16,500 Jardine Matheson 884,179 39,132 Westpac Banking 842,753 38,841 Australia & New Zealand Banking 768,151 116,200 AIA 640,084 29,895 National Australia Bank 636,522 94,481 Oil Search 527,787 31,682 BHP Billiton 516,543 12,701 Hong Kong Exchanges and Clearing 328,218 25,000 CK Hutchison 319,644 11,054 Wesfarmers 299,087 4,418 CSL 275,515 40,400 Hongkong Land 267,726 10,980 Caltex Australia 264,649 160,437 DUET 257,580 188,335 South32 254,668 18,000 Sun Hung Kai Properties 234,940 11,421 National Australia Bank 231,029 39,471 Challenger 227,098 4,300 Macquarie 223,603 Disposals Proceeds Nominal Asset Name 8,758 Commonwealth Bank of Australia 446,148 20,931 Westpac Banking 443,965 23,185 CK Hutchison 348,079 62,800 AIA 313,903 17,174 Australia & New Zealand Banking 313,330 14,292 National Australia Bank 262,418 41,221 Toll 260,729 3,026 CSL 199,804 17,577 BHP Billiton 195,296 5,985 Wesfarmers 158,702 26,743 Asciano 157,798 44,339 CYBG 112,138 7,041 Woolworths 107,746 5,200 Hong Kong Exchanges and Clearing 105,756 22,902 ALS 96,047 1,986 Macquarie 95,936 16,000 Wharf 91,642 37,700 Singapore Telecommunications 91,322 77,232 Meridian Energy 88,783 9,622 Amcor 86,129 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 75

THE NT UK EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 17 February 2004 Fund Size 29.90 million Benchmark MSCI UK Index Performance Data 6 Months 1 Year 3 Years Fund -3.63% -14.03% 4.30% Benchmark -3.64% -14.09% 4.26% Fund Review Portfolio Summary *Sector breakdown may not sum to 100% as the fund has a small allocation to futures for efficient portfolio management. Performance Commentary During the year ending March 2016, the fund returned -14.03% against a benchmark return of -14.09%. Since the fund inception date, the fund has posted an annualised return of 4.80% against an annualised benchmark return of 4.84%. The ex-post tracking error reported for one year is 0.05% and for three years is 0.09%. During the year the fund experienced a net outflow of 17.28m. In May 2015, MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series. For MSCI UK, there were 3 additions to and no deletion from the index. One-way index turnover was 0.96%. In August 2015, MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series. For MSCI UK, there were one addition to and no deletion from the index. One-way index turnover was 0.47%. In November 2015, MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series. For MSCI UK, there were two additions to and one deletion from the index. One-way index turnover was 0.57%. 76

THE NT UK EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) In February 2016, MSCI announced the results of its quarterly review for the MSCI Standard Developed and Emerging Market Index Series. For MSCI UK, there were two additions to and one deletion from the index. One-way index turnover was 0.54%. The index changes were carefully traded to minimise any deviation from the benchmark, mainly from pricing impact, and were used as an opportunity to equitise some of the futures exposure. Northern Trust Global Investments Limited London May 2016 77

THE NT UK EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss Net Assets Investment in Transferable Securities Equities: 97.56% (2015: 98.40%) Basic Materials: 5.62% (2015: 7.46%) 20,326 Anglo American Mining 141,541 0.47 5,356 Antofagasta 31,710 0.10 30,664 BHP Billiton 302,757 1.01 1,934 Croda International 74,131 0.25 2,963 Fresnillo 35,597 0.12 177,111 Glencore International 351,389 1.18 2,915 Johnson Matthey 100,887 0.34 5,534 Mondi 93,252 0.31 1,310 Randgold Resources 105,251 0.35 18,050 Rio Tinto 445,194 1.49 Total Basic Materials 1,681,709 5.62 Communications: 9.29% (2015: 9.25%) 13,229 Auto Trader 65,074 0.22 121,963 BT 677,623 2.27 6,305 Inmarsat 78,292 0.26 56,510 ITV 171,916 0.58 11,708 Pearson 129,213 0.43 15,147 Sky 195,632 0.65 384,617 Vodafone 1,073,069 3.59 18,811 WPP 386,023 1.29 Total Communications 2,776,842 9.29 Consumer, Cyclical: 7.98% (2015: 7.05%) 14,215 Barratt Developments 100,493 0.34 2,008 Berkeley 81,501 0.27 6,406 Burberry 110,289 0.37 2,779 Carnival 131,512 0.44 23,904 Compass 370,240 1.24 13,754 Dixons Carphone 73,953 0.25 2,292 easyjet 43,912 0.15 24,215 GKN 88,206 0.29 3,379 InterContinental Hotels 122,359 0.41 32,657 Kingfisher 155,162 0.52 23,289 Marks & Spencer 119,318 0.40 10,151 Merlin Entertainments 59,344 0.20 2,138 Next 145,618 0.49 4,388 Persimmon 115,395 0.38 3,658 Sports Direct International 17,445 0.06 46,489 Taylor Wimpey 111,584 0.37 3,488 Travis Perkins 80,377 0.27 78

THE NT UK EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Consumer, Cyclical (continued) 7,061 TUI 96,095 0.32 2,579 Whitbread 128,813 0.43 12,505 William Hill 51,576 0.17 3,662 Wolseley 181,936 0.61 Total Consumer, Cyclical 2,385,128 7.98 Consumer, Non-cyclical: 32.95% (2015: 28.96%) 3,731 Aggreko 50,682 0.17 7,043 Ashtead 76,751 0.26 5,204 Associated British Foods 219,820 0.73 18,272 AstraZeneca 899,380 3.01 3,642 Babcock International 43,616 0.15 26,951 British American Tobacco 1,390,312 4.65 4,783 Bunzl 122,042 0.41 9,980 Capita 131,163 0.44 2,880 Coca-Cola HBC 53,761 0.18 36,378 Diageo 863,291 2.89 13,873 Experian 217,848 0.73 22,094 G4S 53,114 0.18 70,317 GlaxoSmithKline 1,252,302 4.19 13,928 Imperial Brands 678,621 2.27 2,273 Intertek 90,795 0.30 18,996 J Sainsbury 66,200 0.22 5,745 Mediclinic International 64,925 0.22 9,216 Reckitt Benckiser 782,297 2.61 16,258 RELX 265,348 0.89 14,081 SABMiller 755,874 2.53 8,568 Shire 427,838 1.43 13,163 Smith & Nephew 190,595 0.64 6,715 Tate & Lyle 48,954 0.16 118,068 Tesco 285,624 0.95 18,626 Unilever 740,609 2.48 31,619 WM Morrison Supermarkets 79,243 0.26 Total Consumer, Non-cyclical 9,851,005 32.95 Energy: 12.23% (2015: 13.96%) 265,081 BP 1,170,703 3.92 3,825 Petrofac 44,433 0.15 57,033 Royal Dutch Shell Class A 1,211,385 4.05 57,340 Royal Dutch Shell Class B 1,229,478 4.11 Total Energy 3,655,999 12.23 79

THE NT UK EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Financial: 20.44% (2015: 22.93%) 13,634 3i Group 78,484 0.26 12,661 Aberdeen Asset Management 44,298 0.15 2,978 Admiral 74,484 0.25 58,701 Aviva 337,691 1.13 244,274 Barclays 462,150 1.55 13,792 British Land Reits 121,857 0.41 20,697 Direct Line Insurance 96,640 0.32 11,096 Hammerson Reits 80,962 0.27 3,701 Hargreaves Lansdown 62,738 0.21 283,550 HSBC 1,551,791 5.19 7,946 ICAP 47,585 0.16 13,391 Intu Properties Reits 52,865 0.18 8,007 Investec 51,758 0.17 11,699 Land Securities Reits 162,461 0.54 86,497 Legal & General 256,597 0.86 826,481 Lloyds Banking Group 709,061 2.37 4,627 London Stock Exchange 164,575 0.55 72,679 Old Mutual 177,013 0.59 2,078 Provident Financial 77,711 0.26 37,283 Prudential 611,790 2.04 49,380 Royal Bank of Scotland 138,703 0.46 14,308 RSA Insurance 85,847 0.29 1,771 Schroders 59,931 0.20 10,609 Segro Reits 54,902 0.18 7,419 St James's Place 85,949 0.29 47,525 Standard Chartered 283,259 0.95 27,892 Standard Life 125,275 0.42 16,132 Worldpay 55,975 0.19 Total Financial 6,112,352 20.44 Industrial: 3.19% (2015: 3.59%) 46,266 BAE Systems 297,026 0.99 16,267 Cobham 44,543 0.15 3,972 IMI 47,719 0.16 10,843 Meggitt 55,607 0.18 10,086 Rexam 80,653 0.27 26,989 Rolls-Royce 232,159 0.78 12,700 Royal Mail 77,000 0.26 5,613 Smiths 76,177 0.25 3,154 Weir Group 44,077 0.15 Total Industrial 954,961 3.19 Technology: 1.28% (2015: 1.16%) 20,433 ARM 261,327 0.87 15,414 Sage Group 122,287 0.41 Total Technology 383,614 1.28 80

THE NT UK EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Utilities: 4.58% (2015: 4.04%) 73,981 Centrica 212,470 0.71 54,180 National Grid 674,618 2.26 3,354 Severn Trent 91,926 0.31 14,643 SSE 275,558 0.92 9,723 United Utilities 113,192 0.38 Total Utilities 1,367,764 4.58 Total Equities 29,169,374 97.56 Total Investments in Transferable Securities 29,169,374 97.56 UCITS Collective Investment Schemes: 1.59% (2015: 1.05%) 48,097 Deutsche Bank X-Trackers FTSE 100 ETF 399,929 1.34 17,371 Northern Trust Global Funds - Euro Liquidity Fund 17,333 0.06 46,000 Northern Trust Global Funds - Sterling Fund 58,019 0.19 Total UCITS Collective Investment Schemes 475,281 1.59 Unrealised Fair Value No. of Gain % of Counterparty Contracts Net Assets Financial Derivative Instruments Dealts on a Regulated Market Futures Contracts: 0.00% (2015: 0.00%) Citigroup Liffe FTSE 100 Index Futures June 2016 308,410 4 589 - Total Futures Contracts 589 - Total Value of Investments 29,645,244 99.15 Cash at Bank 1,721 0.01 Margin Cash 61,281 0.20 Other Net Assets 192,117 0.64 Net Assets Attributable to Holders of Redeemable Participating Shares 29,900,363 100.00 Portfolio Classification % of Total Assets Transferable securities admitted to an official stock exchange listing 97.29 UCITS Collective investment schemes admitted to an official stock exchange listing 1.59 Other current assets 1.12 100.00 81

THE NT UK EQUITY INDEX FUND PORTFOLIO CHANGES ACQUISITIONS AND DISPOSALS (UNAUDITED) Schedule of material changes in investments for the year ended 31 March 2016 Acquisitions Cost Nominal Asset Name 305,309 Deutsche Bank X-Trackers FTSE 100 ETF 2,845,171 10,680 Royal Dutch Shell Class A 233,966 30,697 HSBC 217,303 78,853 Taylor Wimpey 201,088 24,157 Barratt Developments 198,219 8,743 Mondi 179,304 16,653 Standard Chartered 131,799 26,267 BP 127,946 2,081 British American Tobacco 106,374 2,078 Provident Financial 106,282 5,495 GlaxoSmithKline 104,421 8,109 St James's Place 102,203 15,453 BT 97,215 30,585 Vodafone 94,240 2,008 Berkeley 84,078 1,427 AstraZeneca 82,217 25,292 Barclays 75,644 13,229 Auto Trader 74,050 2,891 Diageo 72,333 3,102 Royal Dutch Shell Class B 68,200 Disposals Proceeds Nominal Asset Name 285,350 Deutsche Bank X-Trackers FTSE 100 ETF 2,609,720 166,114 HSBC 1,369,058 39,006 Royal Dutch Shell Class A 989,188 159,445 BP 931,097 15,829 British American Tobacco 805,012 41,304 GlaxoSmithKline 800,013 224,724 Vodafone 749,287 46,293 BG 678,782 10,726 AstraZeneca 639,575 485,719 Lloyds Banking Group 586,765 21,411 Diageo 555,394 20,598 Royal Dutch Shell Class B 542,206 140,281 Barclays 541,196 21,871 Prudential 476,574 71,300 BT 456,936 5,504 Reckitt Benckiser 452,098 10,942 Unilever 436,499 10,968 Rio Tinto 402,934 8,270 SABMiller 391,097 5,012 Shire 380,484 8,155 Imperial Brands 377,796 31,405 National Grid 376,179 102,320 Glencore International 340,214 23,107 Standard Chartered 329,661 17,906 BHP Billiton 314,523 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 82

THE NT EMERGING MARKETS INDEX FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 26 October 2007 Fund Size $182.72 million Benchmark MSCI Emerging Markets Index Performance Data 6 Months 1 Years 3 Years Fund 6.42% -11.99% -4.50% Benchmark 6.41% -12.03% -4.50% Fund Review Portfolio Summary *Sector breakdown may not sum to 100% as the fund has a small allocation to futures for efficient portfolio management. Performance Commentary For the year ending March 2016, the fund returned -11.99% against a benchmark return of -12.03%. Since the fund inception date, the fund has posted an annualised return of -3.18% against an annualised benchmark return of -3.16%. The ex-post tracking error reported for one year is 0.25% and for three years is 0.23%. During the year the fund experienced a net inflow of $20.80m. MSCI implemented changes to their series of indexes at the end of May 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 31 additions to and 27 deletions from the index. One-way index turnover was 2.58%. MSCI implemented changes to their series of indexes at the end of August 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 9 additions to and 4 deletions from the index. One-way index turnover was 0.66%. MSCI implemented changes to their series of indexes at the end of November 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 36 additions to and 37 deletions from the index. One-way index turnover was 3.53%. 83

THE NT EMERGING MARKETS INDEX FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) MSCI implemented changes to their series of indexes at the end of February 2016. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 2 additions to and 2 deletions from the index. One-way index turnover was 0.39%. The index changes were carefully traded to minimise any deviation from the benchmark (resulting from trading costs) and were used as an opportunity to equitise some of the futures exposure. Northern Trust Global Investments Limited London May 2016 84

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss US$ Net Assets Investments in Transferable Securities Equities: 98.85% (2015: 99.37%) Brazil: 6.47% (2015: 7.26%) 233,510 Ambev 1,240,028 0.68 5,851 B2W Cia Digital 23,609 0.01 38,288 Banco Bradesco 324,973 0.18 125,605 Banco Bradesco Pref 959,404 0.53 42,802 Banco do Brasil 238,768 0.13 20,078 Banco Santander Brasil 96,028 0.05 34,039 BB Seguridade Participacoes 285,259 0.16 84,444 BM & F Bovespa 366,464 0.20 21,264 BR Malls Participacoes 88,500 0.05 7,500 Braskem Pref 49,541 0.03 32,524 BRF 470,882 0.26 42,800 CCR 169,437 0.09 12,000 Centrais Eletricas Brasileiras Pref 35,553 0.02 10,961 CETIP- Mercados Organizados 124,177 0.07 7,709 Cia Brasileira de Distribuicao Grupo Pao de Acucar Pref 108,435 0.06 16,600 Cia de Saneamento Basico do Estado de Sao Paulo 112,322 0.06 35,921 Cia Energetica de Minas Gerais Pref 81,998 0.04 7,900 Cia Energetica de Sao Paulo Pref 35,354 0.02 4,700 Cia Paranaense de Energia Pref 37,995 0.02 30,400 Cia Siderurgica Nacional 61,332 0.03 42,201 Cielo 416,413 0.23 5,694 Cosan Industria e Comercio 50,433 0.03 9,861 CPFL Energia 54,536 0.03 14,255 Duratex 30,449 0.02 563 Duratex Rts 473-11,603 EDP - Energias do Brasil 41,252 0.02 33,600 Embraer 226,117 0.12 8,500 Equatorial Energia 98,239 0.05 14,000 Estacio Participacoes 46,693 0.03 12,509 Fibria Celulose 107,089 0.06 42,628 Gerdau Pref 78,424 0.04 17,806 Hypermarcas 141,282 0.08 151,521 Itau Unibanco Pref 1,334,360 0.73 177,135 Itausa - Investimentos Itau Pref 408,350 0.22 35,339 JBS 109,188 0.06 27,800 Klabin 151,943 0.08 68,828 Kroton Educacional 222,953 0.12 7,410 Localiza Rent a Car 62,140 0.03 9,150 Lojas Americanas 29,665 0.02 28,902 Lojas Americanas Pref 135,539 0.07 85

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Brazil (continued) 32,090 Lojas Renner 188,248 0.10 1,800 M Dias Branco 34,217 0.02 3,735 Multiplan Empreendimentos Imobiliarios 56,594 0.03 8,300 Natura Cosmeticos 62,156 0.03 12,415 Odontoprev 39,935 0.02 148,799 Petroleo Brasileiro 446,313 0.24 196,124 Petroleo Brasileiro Pref 462,087 0.25 5,400 Porto Seguro 41,506 0.02 10,500 Qualicorp 44,056 0.02 10,591 Raia Drogasil 155,996 0.09 8,424 Sul America 38,150 0.02 18,500 Suzano Papel e Celulose Pref 66,086 0.04 19,173 Telefonica Brasil Pref 244,748 0.13 41,484 Tim Participacoes 93,643 0.05 5,735 TOTVS 44,016 0.03 8,100 Tractebel Energia 83,834 0.05 4,700 Transmissora Alianca de Energia Eletrica 26,762 0.02 18,100 Ultrapar Participacoes 356,433 0.20 64,200 Vale 274,444 0.15 96,500 Vale Pref 309,867 0.17 27,440 WEG 108,475 0.06 Total Brazil 11,833,163 6.47 Chile: 1.28% (2015: 1.37%) 133,660 AES Gener 67,653 0.04 121,955 Aguas Andinas 69,793 0.04 1,216,593 Banco de Chile 131,034 0.07 1,741 Banco de Credito e Inversiones 70,501 0.04 169 Banco de Credito e Inversiones Rts 364-3,316,519 Banco Santander Chile 161,497 0.09 65,685 Cencosud 165,926 0.09 7,548 Cia Cervecerias Unidas 85,188 0.05 402,138 Colbun 112,213 0.06 12,575 Embotelladora Andina Pref 41,350 0.02 164,523 Empresa Nacional de Electricidad 229,207 0.13 62,664 Empresas CMPC 146,443 0.08 23,207 Empresas COPEC 222,511 0.12 164,523 Endesa Americas 1,864-992,984 Enersis Americas 275,436 0.15 972,122 Enersis Chile 1,250-6,311 ENTEL Chile 55,804 0.03 7,404,584 Itau Corpbanca 67,818 0.04 13,223 Latam Airlines 92,863 0.05 2,429 Latam Airlines BDR 13,571 0.01 24,905 SACI Falabella 174,204 0.09 5,012 Sociedad Quimica y Minera de Chile Pref 103,483 0.06 20,078 SONDA 38,733 0.02 Total Chile 2,328,706 1.28 86

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Colombia: 0.47% (2015: 0.60%) 675 Bancolombia ADR 23,072 0.01 17,924 Bancolombia Pref 154,456 0.08 18,327 Cementos Argos 70,909 0.04 517 Corp Financiera Colombiana 6,693-4,001 Corp Financiera Colombiana Class C 50,944 0.03 231,578 Ecopetrol 101,012 0.06 15,350 Grupo Argos 102,529 0.06 185,408 Grupo Aval Acciones y Valores Pref 72,230 0.04 11,898 Grupo de Inversiones Suramericana 158,071 0.09 4,786 Grupo de Inversiones Suramericana Pref 62,469 0.03 21,207 Interconexion Electrica 61,080 0.03 Total Colombia 863,465 0.47 Czech Republic: 0.19% (2015: 0.19%) 7,887 CEZ 139,324 0.08 777 Komercni Banka 171,858 0.09 3,529 O2 Czech Republic 37,243 0.02 Total Czech Republic 348,425 0.19 Egypt: 0.16% (2015: 0.24%) 51,574 Commercial International Bank Egypt 222,908 0.12 118,701 Global Telecom 40,904 0.02 51,209 Talaat Moustafa 36,677 0.02 Total Egypt 300,489 0.16 Greece: 0.41% (2015: 0.34%) 65,440 Alpha Bank AE 146,161 0.08 83,880 Eurobank Ergasias 74,461 0.04 1,962 FF 38,612 0.02 12,466 Hellenic Telecommunications Organization 112,935 0.06 5,430 Jumbo 73,634 0.04 242,114 National Bank of Greece 68,975 0.04 11,726 OPAP 82,579 0.05 284,997 Piraeus Bank 73,722 0.04 6,869 Public Power 24,579 0.01 2,524 Titan Cement 54,332 0.03 Total Greece 749,990 0.41 87

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Hong Kong: 0.91% (2015: 1.34%) 230,000 Belle International 133,139 0.07 85,775 China Gas 126,508 0.07 139,000 China Mengniu Dairy 221,137 0.12 139,111 China Resources Land 356,900 0.20 84,528 Far East Horizon 65,168 0.04 633,783 GCL-Poly Energy 104,588 0.06 590,467 GOME Electrical Appliances 85,260 0.05 61,000 Haier Electronics 106,326 0.06 130,000 New World China Land 132,237 0.07 28,000 Shenzhou International 152,336 0.08 223,000 Sino Biopharmaceutical 167,324 0.09 Total Hong Kong 1,650,923 0.91 Hungary: 0.29% (2015: 0.21%) 1,733 MOL Hungarian Oil and Gas 104,280 0.06 11,648 OTP Bank 292,610 0.16 6,797 Richter Gedeon 135,568 0.07 Total Hungary 532,458 0.29 India: 8.00% (2015: 7.43%) 2,128 ACC 44,406 0.02 40,515 Adani Ports and Special Economic Zone 151,543 0.08 1 Aditya Birla Fashion and Retail 1-34,123 Ambuja Cements 119,828 0.07 3,883 Apollo Hospitals Enterprise 77,944 0.04 58,998 Ashok Leyland 96,752 0.05 14,238 Asian Paints 186,708 0.10 13,129 Aurobindo Pharma 147,681 0.08 29,856 Axis Bank 200,242 0.11 4,044 Bajaj Auto 146,924 0.08 4,952 Bharat Forge 65,289 0.04 27,525 Bharat Heavy Electricals 47,321 0.03 3,948 Bharat Petroleum 53,912 0.03 60,482 Bharti Airtel 320,391 0.18 27,509 Bharti Infratel 158,663 0.09 374 Bosch 117,383 0.06 10,835 Cadila Healthcare 51,850 0.03 21,026 Cairn India 48,848 0.03 17,002 Cipla 131,438 0.07 34,903 Coal India 153,874 0.08 1,571 Container of India 29,496 0.02 26,216 Dabur India 98,930 0.05 4,162 Divi's Laboratories 62,047 0.03 88

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets India (continued) 5,834 Dr Reddy's Laboratories 267,392 0.15 617 Eicher Motors 178,707 0.10 19,498 GAIL India 104,935 0.06 472 GlaxoSmithKline Consumer Healthcare 43,027 0.02 6,988 Glenmark Pharmaceuticals 83,896 0.05 5,974 Godrej Consumer Products 124,563 0.07 28,158 HCL Technologies 346,158 0.19 2,487 Hero MotoCorp 110,626 0.06 55,659 Hindalco Industries 73,921 0.04 37,810 Hindustan Unilever 496,444 0.27 74,262 Housing Development Finance 1,239,821 0.68 55,289 ICICI Bank 197,578 0.11 53,893 Idea Cellular 89,683 0.05 14,572 Indiabulls Housing Finance 143,008 0.08 91,074 Infosys 1,675,495 0.92 111,666 ITC 553,503 0.30 3,862 JSW Steel 74,837 0.04 15,752 Larsen & Toubro 289,410 0.16 13,906 LIC Housing Finance 103,556 0.06 10,963 Lupin 244,887 0.13 18,543 Mahindra & Mahindra 339,009 0.19 12,762 Mahindra & Mahindra Financial Services 47,032 0.03 22,160 Marico 81,750 0.04 5,272 Maruti Suzuki India 295,856 0.16 15,556 Motherson Sumi Systems 62,590 0.03 1,162 Nestle India 101,024 0.06 59,541 NTPC 115,850 0.06 43,248 Oil & Natural Gas 139,823 0.08 3,222 Piramal Enterprises 50,428 0.03 12,869 Power Finance 33,298 0.02 41,783 Reliance Communications 31,547 0.02 64,765 Reliance Industries 1,022,196 0.56 14,005 Rural Electrification 35,149 0.02 393 Shree Cement 73,710 0.04 7,231 Shriram Transport Finance 104,077 0.06 3,403 Siemens 56,511 0.03 75,186 State Bank of India 220,543 0.12 47,888 Sun Pharmaceutical Industries 592,973 0.32 23,577 Tata Consultancy Services 897,295 0.49 40,044 Tata Motors 233,773 0.13 19,595 Tata Motors Class A 85,322 0.05 54,074 Tata Power 52,790 0.03 15,756 Tata Steel 76,065 0.04 11,159 Tech Mahindra 80,033 0.04 1,795 Ultratech Cement 87,517 0.05 3,666 United Breweries 45,801 0.02 2,926 United Spirits 110,434 0.06 13,835 UPL 99,800 0.05 89

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets India (continued) 41,221 Vedanta 55,928 0.03 30,643 Wipro 261,094 0.14 28,898 Zee Entertainment Enterprises 168,856 0.09 Total India 14,610,992 8.00 Indonesia: 2.67% (2015: 2.77%) 646,500 Adaro Energy 31,447 0.02 80,615 AKR Corporindo 42,253 0.02 17,200 Astra Agro Lestari 23,608 0.01 1,012,100 Astra International 553,373 0.30 613,900 Bank Central Asia 615,752 0.34 167,698 Bank Danamon Indonesia 48,058 0.03 468,688 Bank Mandiri Persero 364,064 0.20 362,837 Bank Negara Indonesia Persero 142,289 0.08 555,600 Bank Rakyat Indonesia Persero 478,713 0.26 372,585 Bumi Serpong Damai 51,561 0.03 354,545 Charoen Pokphand Indonesia 95,989 0.05 329,600 Global Mediacom 29,952 0.02 24,962 Gudang Garam 122,928 0.07 18,200 Hanjaya Mandala Sampoerna 135,059 0.07 76,400 Indocement Tunggal Prakarsa 113,649 0.06 54,500 Indofood CBP Sukses Makmur 62,474 0.03 220,600 Indofood Sukses Makmur 120,199 0.07 115,900 Jasa Marga Persero 47,199 0.03 1,016,450 Kalbe Farma 110,767 0.06 945,430 Lippo Karawaci 74,508 0.04 117,900 Matahari Department Store 163,157 0.09 202,900 Media Nusantara Citra 33,358 0.02 534,000 Perusahaan Gas Negara Persero 105,310 0.06 145,900 Semen Indonesia Persero 111,956 0.06 537,556 Summarecon Agung 64,255 0.03 294,500 Surya Citra Media 69,738 0.04 2,523,149 Telekomunikasi Indonesia Persero 632,690 0.35 87,900 Tower Bersama Infrastructure 38,614 0.02 77,100 Unilever Indonesia 249,587 0.14 84,148 United Tractors 97,094 0.05 147,552 XL Axiata 44,510 0.02 Total Indonesia 4,874,111 2.67 Malaysia: 3.45% (2015: 3.53%) 68,400 AirAsia 32,083 0.02 50,300 Alliance Financial 53,504 0.03 100,200 AMMB 118,139 0.06 76,900 Astro Malaysia 58,934 0.03 90

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Malaysia (continued) 131,199 Axiata 198,068 0.11 30,742 Berjaya Sports Toto 24,899 0.01 6,300 British American Tobacco Malaysia 87,262 0.05 135,300 Bumi Armada 27,396 0.01 253,465 CIMB 315,085 0.17 191,480 Dialog 78,526 0.04 174,000 DiGi.Com 220,315 0.12 63,100 Felda Global Ventures 24,422 0.01 84,975 Gamuda 107,158 0.06 114,200 Genting 286,854 0.16 145,200 Genting Malaysia 168,963 0.09 12,600 Genting Plantations 36,171 0.02 28,511 HAP Seng Consolidated 55,027 0.03 30,700 Hartalega 38,164 0.02 32,712 Hong Leong Bank 113,190 0.06 10,246 Hong Leong Financial 40,758 0.02 123,200 IHH Healthcare 207,149 0.11 154,460 IJM Corp 139,752 0.08 146,013 IOI Corp 171,032 0.09 73,349 IOI Properties 43,428 0.02 21,300 Kuala Lumpur Kepong 131,027 0.07 19,500 Lafarge Malaysia 44,983 0.02 244,679 Malayan Banking 565,681 0.31 39,924 Malaysia Airports 69,584 0.04 94,900 Maxis 154,457 0.09 55,480 MISC 126,560 0.07 141,600 Petronas Chemicals 243,531 0.13 11,900 Petronas Dagangan 73,508 0.04 34,000 Petronas Gas 191,721 0.11 23,700 PPB 101,446 0.06 125,404 Public Bank 603,636 0.33 33,966 RHB Capital 51,365 0.03 159,100 SapuraKencana Petroleum 75,849 0.04 156,892 Sime Darby 319,695 0.18 53,502 Telekom Malaysia 90,507 0.05 168,600 Tenaga Nasional 602,405 0.33 29,300 UMW 51,593 0.03 45,500 Westports 48,165 0.03 208,858 YTL Corp 87,794 0.05 83,314 YTL Power International 31,604 0.02 Total Malaysia 6,311,390 3.45 Mexico: 4.50% (2015: 4.68%) 140,600 Alfa 284,601 0.16 1,560,392 America Movil 1,222,801 0.67 20,568 Arca Continental 143,335 0.08 91

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Mexico (continued) 678,281 Cemex 496,706 0.27 24,111 Coca-Cola Femsa Series L 201,974 0.11 9,500 El Puerto de Liverpool 113,228 0.06 121,977 Fibra Uno Administracionde Reits 285,837 0.16 90,865 Fomento Economico Mexicano 884,380 0.48 52,604 Gentera 104,240 0.06 9,870 Gruma 157,635 0.09 15,700 Grupo Aeroportuario del Pacifico 141,209 0.08 10,460 Grupo Aeroportuario del Sureste 158,837 0.09 83,000 Grupo Bimbo 247,338 0.13 27,700 Grupo Carso 130,226 0.07 16,800 Grupo Comercial Chedrauide 53,896 0.03 124,681 Grupo Financiero Banorte 708,825 0.39 118,712 Grupo Financiero Inbursa 238,910 0.13 90,377 Grupo Financiero Santander Mexico 165,326 0.09 32,795 Grupo Lala 90,093 0.05 189,723 Grupo Mexico 461,085 0.25 122,116 Grupo Televisa SAB 677,997 0.37 6,844 Industrias Penoles 86,751 0.05 75,997 Kimberly-Clark de Mexico 184,341 0.10 53,365 Mexichem 131,811 0.07 40,181 OHL Mexico 64,101 0.03 12,600 Promotora y Operadora de Infraestructura 168,895 0.09 258,271 Wal-Mart de Mexico 617,882 0.34 Total Mexico 8,222,260 4.50 Netherlands: 0.52% (2015: 0.00%) 143,168 Steinhoff International 942,740 0.52 Total Netherlands 942,740 0.52 People's Republic of China: 22.69% (2015: 21.59%) 1,800 58.com ADR 100,170 0.05 36,500 AAC Technologies 279,048 0.15 1,154,389 Agricultural Bank of China 415,229 0.23 94,000 Air China 66,775 0.04 24,500 Alibaba ADR 1,936,235 1.06 110,000 Alibaba Health Information Technology 67,079 0.04 510,000 Alibaba Pictures 116,379 0.06 184,000 Aluminum of China 58,593 0.03 62,000 Anhui Conch Cement 166,259 0.09 50,838 ANTA Sports Products 111,946 0.06 101,836 AviChina Industry & Technology 76,411 0.04 6,700 Baidu ADR 1,278,896 0.70 3,941,665 Bank of China 1,636,315 0.90 92

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China (continued) 442,130 Bank of Communications 290,704 0.16 72,000 Beijing Capital International Airport 76,859 0.04 25,000 Beijing Enterprises 136,820 0.07 219,983 Beijing Enterprises Water 137,834 0.08 150,437 Brilliance China Automotive 155,741 0.09 31,600 BYD 181,292 0.10 43,000 CAR 50,448 0.03 425,698 CGN Power 144,341 0.08 444,000 China Cinda Asset Management 155,698 0.09 416,400 China CITIC Bank 254,997 0.14 129,000 China Coal Energy 53,552 0.03 221,000 China Communications Construction 264,121 0.14 114,800 China Communications Services 52,393 0.03 69,500 China Conch Venture 137,091 0.08 4,176,010 China Construction Bank 2,665,006 1.46 131,500 China COSCO 51,030 0.03 46,000 China Everbright 96,548 0.05 178,000 China Everbright Bank 86,515 0.05 120,571 China Everbright International 134,615 0.07 167,000 China Galaxy Securities 162,553 0.09 189,320 China Huishan Dairy 71,271 0.04 26,300 China International Marine Containers 41,231 0.02 198,000 China Jinmao 55,138 0.03 368,000 China Life Insurance 908,074 0.50 153,000 China Longyuan Power 113,223 0.06 54,000 China Medical System 74,910 0.04 229,294 China Merchants Bank 481,850 0.26 56,914 China Merchants International 169,130 0.09 294,235 China Minsheng Banking 274,640 0.15 304,935 China Mobile 3,398,628 1.86 128,000 China National Building Material 59,408 0.03 87,842 China Oilfield Services 68,629 0.04 197,600 China Overseas Land & Investment 625,417 0.34 132,094 China Pacific Insurance 493,870 0.27 1,276,000 China Petroleum & Chemical 837,336 0.46 154,000 China Power International Development 79,814 0.04 204,000 China Railway 154,909 0.08 99,500 China Railway Construction 118,401 0.06 58,414 China Resources Beer 108,747 0.06 44,186 China Resources Gas 126,180 0.07 96,332 China Resources Power 180,082 0.10 169,500 China Shenhua Energy 266,600 0.15 195,000 China Shipping Container Lines 44,498 0.02 85,945 China Southern Airlines 54,183 0.03 90,299 China State Construction International 134,577 0.07 81,314 China Taiping Insurance 178,635 0.10 690,000 China Telecom 364,724 0.20 299,898 China Unicom Hong Kong 395,918 0.22 93

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China (continued) 66,660 China Vanke 163,458 0.09 41,000 Chongqing Changan Automobile 76,803 0.04 117,352 Chongqing Rural Commercial Bank 62,031 0.03 216,137 CITIC 328,808 0.18 109,000 CITIC Securities 255,477 0.14 892,000 CNOOC 1,053,396 0.58 88,511 COSCO Pacific 115,937 0.06 270,373 Country Garden 107,361 0.06 221,079 CRRC 222,602 0.12 202,000 CSPC Pharmaceutical 182,818 0.10 6,400 Ctrip.com International ADR 283,264 0.16 28,700 Dalian Wanda Commercial Properties 170,020 0.09 142,000 Datang International Power Generation 43,754 0.02 136,000 Dongfeng Motor 169,725 0.09 37,221 ENN Energy 204,183 0.11 213,775 Evergrande Real Estate 165,088 0.09 109,360 Fosun International 155,654 0.09 254,625 Geely Automobile 126,056 0.07 67,400 GF Securities 164,404 0.09 155,125 Great Wall Motor 125,995 0.07 142,000 Guangdong Investment 179,593 0.10 111,090 Guangzhou Automobile 115,579 0.06 48,800 Guangzhou R&F Properties 69,961 0.04 27,000 Haitian International 46,296 0.03 160,800 Haitong Securities 274,891 0.15 37,000 Hengan International 321,032 0.18 78,000 Huadian Power International 49,677 0.03 212,000 Huaneng Power International 189,682 0.10 194,650 Huaneng Renewables 60,479 0.03 74,800 Huatai Securities 178,018 0.10 3,658,400 Industrial & Commercial Bank of China 2,046,974 1.12 8,600 JD.com ADR 227,900 0.12 58,000 Jiangsu Expressway 78,066 0.04 64,000 Jiangxi Copper 76,818 0.04 41,988 Kingsoft 98,413 0.05 160,000 Kunlun Energy 139,031 0.08 358,000 Lenovo 278,773 0.15 72,406 Longfor Properties 103,243 0.06 73,500 Luye Pharma 56,855 0.03 2,000 NetEase ADR 287,160 0.16 38,900 New China Life Insurance 137,163 0.08 3,300 New Oriental Education & Technology ADR 114,147 0.06 80,097 Nine Dragons Paper 60,616 0.03 320,000 People's Insurance of China 135,318 0.07 1,040,000 PetroChina 691,854 0.38 196,869 PICC Property & Casualty 360,918 0.20 258,354 Ping An Insurance 1,235,721 0.68 2,300 Qihoo 360 Technology ADR 173,765 0.10 94

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China (continued) 1,400 Qunar Cayman Islands ADR 55,580 0.03 1,316,000 Semiconductor Manufacturing International 117,068 0.06 92,000 Shandong Weigao Medical Polymer 58,593 0.03 136,000 Shanghai Electric 62,069 0.03 18,500 Shanghai Fosun Pharmaceutical 51,041 0.03 24,000 Shanghai Industrial 56,561 0.03 25,900 Shanghai Lujiazui Finance & Trade Zone Development 86,402 0.05 32,500 Shanghai Pharmaceuticals 64,191 0.04 68,000 Shimao Property 100,643 0.06 186,799 Shui On Land 50,333 0.03 173,663 Sino-Ocean Land 82,168 0.04 58,500 Sinopec Engineering 47,364 0.03 168,000 Sinopec Shanghai Petrochemical 85,120 0.05 59,356 Sinopharm 268,216 0.15 87,000 Sinotrans 38,023 0.02 94,500 SOHO China 45,078 0.02 6,600 SouFun ADR 39,534 0.02 115,500 Sun Art Retail 81,750 0.04 98,000 Sunac China 65,952 0.04 1,100 TAL Education ADR 54,648 0.03 256,800 Tencent 5,244,228 2.87 96,000 Tingyi Cayman Islands 107,305 0.06 48,000 TravelSky Technology 78,592 0.04 18,000 Tsingtao Brewery 68,342 0.04 9,900 Vipshop ADR 127,512 0.07 277,000 Want Want China 205,343 0.11 46,400 Weichai Power 51,984 0.03 86,000 Yanzhou Coal Mining 44,904 0.02 3,100 Youku Tudou ADR 85,219 0.05 363,695 Yuexiu Property 52,515 0.03 800 YY ADR 49,272 0.03 74,000 Zhejiang Expressway 79,376 0.04 26,179 Zhuzhou CRRC Times Electric 152,891 0.08 275,000 Zijin Mining 85,089 0.05 35,620 ZTE 65,026 0.04 Total People's Republic of China 41,450,225 22.69 Peru: 0.40% (2015: 0.41%) 1,714 Cia de Minas Buenaventura 12,694 0.01 8,778 Cia de Minas Buenaventura ADR 64,606 0.04 3,356 Credicorp 439,670 0.24 4,314 Southern Copper 119,541 0.06 3,192 Southern Copper - Lima Traded 90,334 0.05 Total Peru 726,845 0.40 95

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Philippines: 1.43% (2015: 1.35%) 97,791 Aboitiz Equity Ventures 138,048 0.08 66,401 Aboitiz Power 63,380 0.03 100,900 Alliance Global Group 36,157 0.02 10,762 Ayala 175,296 0.10 362,100 Ayala Land 277,208 0.15 38,582 Bank of the Philippine Islands 72,899 0.04 80,414 BDO Unibank 178,659 0.10 210,450 DMCI 61,245 0.03 451,100 Energy Development 57,606 0.03 1,660 Globe Telecom 80,035 0.04 3,795 GT Capital 114,563 0.06 23,780 International Container Terminal Services 34,964 0.02 123,880 JG Summit 213,484 0.12 20,430 Jollibee Foods 100,719 0.06 564,600 Megaworld 50,887 0.03 680,100 Metro Pacific Investments 86,702 0.05 18,474 Metropolitan Bank & Trust 33,080 0.02 4,860 Philippine Long Distance Telephone 208,987 0.11 88,900 Robinsons Land 53,867 0.03 8,027 SM Investments 165,526 0.09 409,275 SM Prime 195,104 0.11 43,340 Universal Robina 204,064 0.11 Total Philippines 2,602,480 1.43 Poland: 1.37% (2015: 1.50%) 2,616 Alior Bank 45,658 0.02 1,476 Bank Handlowy w Warszawie 35,890 0.02 29,861 Bank Millennium 46,774 0.03 6,548 Bank Pekao 289,759 0.16 1,671 Bank Zachodni WBK 137,787 0.08 1,134 CCC 48,673 0.03 9,375 Cyfrowy Polsat 61,133 0.03 10,230 Enea 32,763 0.02 10,510 Energa 37,020 0.02 4,198 Eurocash 60,174 0.03 2,236 Grupa Azoty 57,854 0.03 4,181 Grupa Lotos 31,274 0.02 6,656 KGHM Polska Miedz 136,092 0.07 65 LPP 96,053 0.05 733 mbank 66,960 0.04 31,391 Orange Polska 56,846 0.03 41,874 PGE 157,285 0.09 15,995 Polski Koncern Naftowy Orlen S.A. 317,588 0.17 88,885 Polskie Gornictwo Naftowe i Gazownictwo 127,050 0.07 43,569 Powszechna Kasa Oszczednosci Bank Polski 325,430 0.18 28,081 Powszechny Zaklad Ubezpieczen 268,595 0.15 96

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UANUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Poland (continued) 19,742 Synthos 20,368 0.01 51,170 Tauron Polska Energia 41,383 0.02 Total Poland 2,498,409 1.37 Qatar: 0.96% (2015: 0.80%) 4,978 Barwa Real Estate 49,487 0.03 7,939 Commercial Bank QSC 90,806 0.05 6,322 Doha Bank 64,498 0.04 38,766 Ezdan 193,755 0.11 7,774 Industries Qatar 231,209 0.13 18,361 Masraf Al Rayan 180,010 0.10 3,848 Ooredoo 98,276 0.05 1,441 Qatar Electricity & Water 83,103 0.05 13,949 Qatar Gas Transport 91,170 0.05 4,895 Qatar Insurance SAQ 111,439 0.06 979 Qatar Insurance SAQ Rts 8,334-2,849 Qatar Islamic Bank SAQ 81,056 0.04 10,430 Qatar National Bank SAQ 403,291 0.22 17,281 Vodafone Qatar 58,467 0.03 Total Qatar 1,744,901 0.96 Republic of South Korea: 15.40% (2015: 14.93%) 1,605 Amorepacific 542,438 0.30 1,416 Amorepacific Group 181,396 0.10 461 Amorepacific Pref 88,886 0.05 452 BGF retail 64,820 0.04 13,850 BNK Financial 117,476 0.06 3,475 Celltrion 333,644 0.18 3,994 Cheil Worldwide 59,372 0.03 729 CJ 124,624 0.07 367 CJ CheilJedang 111,518 0.06 1,001 CJ E&M 55,845 0.03 351 CJ Korea Express 58,316 0.03 2,697 Coway 227,580 0.12 1,341 Daelim Industrial 106,591 0.06 4,611 Daewoo Engineering & Construction 25,321 0.01 8,830 Daewoo Securities 63,855 0.03 8,295 DGB Financial Group 64,555 0.04 2,188 Dongbu Insurance 145,216 0.08 1,628 Dongsuh Cos 45,768 0.03 366 Doosan 28,292 0.02 2,474 Doosan Heavy Industries & Construction 46,728 0.03 1,051 E-MART 161,289 0.09 2,531 GS 130,578 0.07 97

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Republic of South Korea (continued) 2,629 GS Engineering & Construction 62,759 0.03 1,427 GS Retail 58,834 0.03 14,722 Hana Financial Group 319,260 0.17 3,737 Hankook Tire 177,766 0.10 267 Hanmi Pharm 163,198 0.09 564 Hanmi Science 73,484 0.04 9,150 Hanon Systems 73,610 0.04 459 Hanssem 89,705 0.05 2,202 Hanwha 68,355 0.04 5,261 Hanwha Chemical 114,780 0.06 10,265 Hanwha Life Insurance 60,139 0.03 1,644 Hotel Shilla 95,598 0.05 1,117 Hyosung 140,651 0.08 753 Hyundai Department Store 90,536 0.05 2,803 Hyundai Development 112,625 0.06 4,025 Hyundai Engineering & Construction 148,351 0.08 950 Hyundai Glovis 156,589 0.09 2,088 Hyundai Heavy Industries 194,449 0.11 3,234 Hyundai Marine & Fire Insurance 93,887 0.05 3,399 Hyundai Mobis 740,076 0.41 7,720 Hyundai Motor 1,029,468 0.56 1,919 Hyundai Motor 2nd Pref 177,872 0.10 1,170 Hyundai Motor Pref 106,401 0.06 3,926 Hyundai Steel 190,533 0.10 793 Hyundai Wia 72,810 0.04 13,429 Industrial Bank of Korea 143,849 0.08 1,504 Kakao 130,462 0.07 5,965 Kangwon Land 213,334 0.12 19,285 KB Financial Group 537,100 0.29 281 KCC 102,218 0.06 1,126 KEPCO Plant Service & Engineering 63,114 0.03 13,151 Kia Motors 555,433 0.30 2,870 Korea Aerospace Industries 163,627 0.09 12,873 Korea Electric Power Corporation 677,645 0.37 1,270 Korea Gas 42,589 0.02 1,954 Korea Investment 75,095 0.04 416 Korea Zinc 175,152 0.10 1,626 Korean Air Lines 44,077 0.02 1,465 KT 38,175 0.02 5,501 KT&G 529,127 0.29 658 Kumho Petrochemical 33,487 0.02 4,751 LG 284,578 0.16 2,325 LG Chem 665,825 0.36 373 LG Chem Pref 74,039 0.04 11,654 LG Display 271,071 0.15 5,350 LG Electronics 288,178 0.16 464 LG Household & Health Care 383,421 0.21 700 LG Innotek 48,540 0.03 98

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Republic of South Korea (continued) 10,447 LG Uplus 100,944 0.06 774 Lotte Chemical 231,131 0.13 32 Lotte Chilsung Beverage 50,899 0.03 27 Lotte Confectionery 60,630 0.03 571 Lotte Shopping 125,324 0.07 3,955 Mirae Asset Securities 80,753 0.04 1,382 NAVER 769,792 0.42 874 NCSoft 193,738 0.11 7,337 NH Investment & Securities 63,708 0.03 837 OCI 77,581 0.04 181 Orion 144,661 0.08 63 Ottogi 49,966 0.03 2,114 Paradise 26,804 0.01 3,494 POSCO 670,630 0.37 2,341 Posco Daewoo 44,216 0.02 918 S1 70,961 0.04 3,703 Samsung C&T 463,037 0.25 1,619 Samsung Card 53,301 0.03 3,044 Samsung Electro-Mechanics 156,512 0.09 5,492 Samsung Electronics 6,300,721 3.45 1,016 Samsung Electronics Pref 983,484 0.54 1,776 Samsung Fire & Marine Insurance 458,132 0.25 7,043 Samsung Heavy Industries 68,053 0.04 3,962 Samsung Life Insurance 407,079 0.22 2,754 Samsung SDI 238,410 0.13 1,540 Samsung SDS 235,659 0.13 2,815 Samsung Securities 98,338 0.05 21,316 Shinhan Financial 754,895 0.41 331 Shinsegae 58,756 0.03 1,742 SK 339,687 0.19 29,091 SK Hynix 716,082 0.39 3,212 SK Innovation 483,092 0.27 5,450 SK Networks 30,500 0.02 1,012 SK Telecom 184,507 0.10 2,193 S-Oil 187,736 0.10 16,110 Woori Bank 133,264 0.07 391 Yuhan 95,904 0.05 Total Republic of South Korea 28,144,867 15.40 99

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Romania: 0.08% (2015: 0.00%) 11,410 New Europe Property Investments 145,705 0.08 Total Romania 145,705 0.08 Russian Federation: 3.71% (2015: 3.67%) 78 AK Transneft Pref 215,124 0.12 88,252 Alrosa 91,869 0.05 278,104 Gazprom 614,566 0.34 153,130 Gazprom ADR 660,450 0.36 12,155 Lukoil 476,674 0.26 13,344 Lukoil ADR 512,610 0.28 147 Magnit 23,195 0.01 11,993 Magnit GDR 479,120 0.26 4,467 MegaFon GDR 49,137 0.03 728 MMC Norilsk Nickel 94,729 0.05 12,483 MMC Norilsk Nickel ADR 161,780 0.09 8,084 MMC Norilsk Nickel ADR - London Listed 104,364 0.06 25,760 Mobile TeleSystems ADR 208,398 0.11 56,971 Moscow Exchange MICEX-RTS 89,512 0.05 4,554 Novatek GDR 409,177 0.22 7,691 Rosneft 35,108 0.02 50,251 Rosneft Oil GDR 228,240 0.12 38,849 Rostelecom 57,292 0.03 6,191,929 RusHydro 64,410 0.04 20,710 RusHydro ADR 20,814 0.01 499,757 Sberbank of Russia 821,467 0.45 2,386 Sberbank of Russia ADR 16,559 0.01 7,105 Sberbank of Russia ADR - London Listed 49,451 0.03 6,109 Severstal 65,055 0.04 4,742 Severstal PAO GDR 50,170 0.03 8,654 Sistema GDR 55,905 0.03 55,304 Surgutneftegas 32,847 0.02 2,030 Surgutneftegas ADR 11,896 0.01 28,894 Surgutneftegas ADR - London Listed 168,452 0.09 265,456 Surgutneftegas Pref 178,506 0.10 8,469 Surgutneftegas Pref ADR 56,742 0.03 35,463 Tatneft 191,477 0.10 5,754 Tatneft PAO ADR 183,207 0.10 135,565,383 VTB Bank 155,476 0.09 61,589 VTB Bank GDR 136,481 0.07 Total Russian Federation 6,770,260 3.71 100

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets South Africa: 6.62% (2015: 7.88%) 23,075 African Bank Investments 486-2,551 Anglo American Platinum 62,766 0.03 20,278 AngloGold Ashanti 281,945 0.15 16,793 Aspen Pharmacare 365,569 0.20 17,139 Barclays Africa 174,315 0.10 10,293 Barloworld 52,907 0.03 15,829 Bidvest 401,429 0.22 16,186 Brait 183,782 0.10 1,673 Capitec Bank 65,181 0.04 10,185 Coronation Fund Managers 50,828 0.03 16,824 Discovery 138,980 0.08 7,253 Exxaro Resources 35,506 0.02 168,171 FirstRand 553,062 0.30 33,414 Fortress Income Fund 81,331 0.04 45,659 Fortress Income Fund Class A 48,770 0.03 10,395 Foschini Group 99,964 0.05 38,170 Gold Fields 151,689 0.08 117,902 Growthpoint Properties Reits 196,958 0.11 11,510 Hyprop Investments Reits 92,085 0.05 30,606 Impala Platinum 97,803 0.05 8,637 Imperial 88,320 0.05 11,814 Investec 88,284 0.05 5,248 Liberty 51,584 0.03 49,891 Life Healthcare 121,030 0.07 5,424 Massmart 46,772 0.03 54,994 MMI 93,102 0.05 5,918 Mondi 114,236 0.06 12,274 Mr Price 148,067 0.08 82,985 MTN 762,821 0.42 19,781 Naspers 2,771,868 1.52 10,050 Nedbank 132,731 0.07 46,226 Netcare 113,459 0.06 12,069 Pick n Pay Stores 57,637 0.03 6,011 Pioneer Foods 56,824 0.03 4,268 PSG 58,182 0.03 31,089 Rand Merchant Investment 87,974 0.05 220,994 Redefine Properties Reits 180,005 0.10 23,876 Remgro 406,126 0.22 13,371 Resilient Reits 123,219 0.07 34,346 RMB 143,054 0.08 85,983 Sanlam 400,393 0.22 26,927 Sappi 119,678 0.06 27,689 Sasol 831,235 0.45 23,047 Shoprite 272,057 0.15 37,776 Sibanye Gold 145,474 0.08 7,943 SPAR Group 107,469 0.06 60,125 Standard Bank 541,566 0.30 101

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets South Africa (continued) 11,302 Telkom SA SOC 44,238 0.02 8,115 Tiger Brands 179,443 0.10 21,858 Truworths International 145,968 0.08 17,405 Tsogo Sun 27,975 0.01 18,735 Vodacom 204,483 0.11 49,845 Woolworths 303,889 0.17 Total South Africa 12,104,519 6.62 Taiwan: 12.25% (2015: 12.80%) 141,564 Acer 54,323 0.03 317,023 Advanced Semiconductor Engineering 368,895 0.20 16,382 Advantech 120,381 0.07 120,321 Asia Cement 109,913 0.06 97,000 Asia Pacific Telecom 33,304 0.02 34,759 Asustek Computer 312,123 0.17 437,286 AU Optronics 131,387 0.07 7,000 Casetek 38,062 0.02 32,840 Catcher Technology 269,381 0.15 409,939 Cathay Financial 491,025 0.27 53,270 Chailease 92,855 0.05 224,535 Chang Hwa Commercial Bank 115,114 0.06 81,800 Cheng Shin Rubber Industry 164,444 0.09 22,909 Chicony Electronics 58,938 0.03 135,467 China Airlines 48,405 0.03 670,545 China Development Financial 179,179 0.10 155,127 China Life Insurance Taiwan 119,295 0.07 591,956 China Steel 412,000 0.23 189,736 Chunghwa Telecom 645,541 0.35 214,200 Compal Electronics 134,441 0.07 769,849 CTBC Financial 406,644 0.22 96,598 Delta Electronics 426,203 0.23 357,794 E.Sun Financial 200,109 0.11 8,534 Eclat Textile 112,296 0.06 97,114 Eva Airways 54,314 0.03 80,798 Evergreen MarineTaiwan 30,001 0.02 163,776 Far Eastern New Century 133,834 0.07 78,000 Far EasTone Telecommunications 174,739 0.10 14,420 Feng TAY Enterprise 76,616 0.04 450,979 First Financial 222,799 0.12 162,395 Formosa Chemicals & Fibre 404,676 0.22 58,480 Formosa Petrochemical 168,077 0.09 203,247 Formosa Plastics 503,950 0.28 39,000 Formosa Taffeta 38,111 0.02 45,321 Foxconn Technology 101,671 0.06 334,253 Fubon Financial 425,813 0.23 102

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Taiwan (continued) 14,168 Giant Manufacturing 81,881 0.04 2,000 Hermes Microvision 57,171 0.03 34,670 Highwealth Construction 50,630 0.03 10,284 Hiwin Technologies 45,534 0.02 716,473 Hon Hai Precision Industry 1,887,799 1.03 12,000 Hotai Motor 131,991 0.07 32,846 HTC 94,096 0.05 313,159 Hua Nan Financial 155,684 0.09 426,341 Innolux 149,029 0.08 117,055 Inotera Memories 106,020 0.06 117,069 Inventec 74,205 0.04 5,040 Largan Precision 390,716 0.21 104,647 Lite-On Technology 127,785 0.07 75,110 MediaTek 576,441 0.32 548,406 Mega Financial 390,209 0.21 11,550 Merida Industry 51,140 0.03 234,598 Nan Ya Plastics 492,755 0.27 28,058 Novatek Microelectronics 112,898 0.06 5,000 OBI Pharma 61,366 0.03 96,094 Pegatron 224,231 0.12 7,000 Phison Electronics 56,985 0.03 111,709 Pou Chen 142,309 0.08 32,011 Powertech Technology 72,608 0.04 29,088 President Chain Store 211,942 0.12 135,543 Quanta Computer 236,686 0.13 19,090 Radiant Opto-Electronics 37,013 0.02 23,742 Realtek Semiconductor 65,286 0.04 41,466 Ruentex Development 52,502 0.03 25,691 Ruentex Industries 42,307 0.02 392,984 Shin Kong Financial 78,880 0.04 109,640 Siliconware Precision Industries 177,146 0.10 12,999 Simplo Technology 46,650 0.03 481,577 SinoPac Financial 148,884 0.08 17,152 Standard Foods 42,528 0.02 67,283 Synnex Technology International 69,302 0.04 389,782 Taishin Financial 137,460 0.08 196,197 Taiwan Business Bank 52,000 0.03 167,731 Taiwan Cement 164,166 0.09 363,333 Taiwan Cooperative Financial 162,565 0.09 38,000 Taiwan Fertilizer 57,442 0.03 83,540 Taiwan Mobile 271,251 0.15 1,225,562 Taiwan Semiconductor Manufacturing 6,168,935 3.38 94,000 Teco Electric and Machinery 76,669 0.04 8,405 Transcend Information 25,985 0.01 242,901 Uni-President Enterprises 426,420 0.23 607,515 United Microelectronics 251,055 0.14 41,000 Vanguard International Semiconductor 64,078 0.03 103

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Taiwan (continued) 126,702 Wistron 78,342 0.04 70,364 WPG 74,990 0.04 487,015 Yuanta Financial 174,020 0.10 39,000 Yulon Motor 37,868 0.02 20,550 Zhen Ding Technology 45,973 0.03 Total Taiwan 22,390,687 12.25 Thailand: 2.20% (2015: 2.39%) 22,271 Advanced Info Service 115,217 0.06 29,801 Advanced Info Service Receipt 154,172 0.08 21,600 Airports of Thailand Receipt 246,822 0.14 5,600 Bangkok Bank - Foreign Registered 28,971 0.02 6,300 Bangkok Bank Receipt 32,234 0.02 195,000 Bangkok Dusit Medical Services Receipt 129,704 0.07 328,904 Bangkok Expressway & Metro 51,888 0.03 32,500 Banpu 15,428 0.01 19,600 Banpu Receipt 9,304 0.01 24,516 BEC World 19,687 0.01 29,500 BEC World Receipt 23,689 0.01 263,200 BTS 66,960 0.04 17,999 Bumrungrad Hospital Receipt 108,465 0.06 68,300 Central Pattana Receipt 99,984 0.05 72,720 Charoen Pokphand Foods 50,437 0.03 83,200 Charoen Pokphand Foods Receipt 57,706 0.03 109,424 CP ALL 142,301 0.08 113,700 CP ALL Receipt 147,862 0.08 23,900 Delta Electronics Thailand 59,105 0.03 54,100 Energy Absolute 34,293 0.02 10,910 Glow Energy 28,531 0.02 15,400 Glow Energy Receipt 40,273 0.02 221,598 Home Product Center 51,967 0.03 39,332 Indorama Ventures 25,491 0.01 40,800 Indorama Ventures Receipt 26,442 0.01 270,503 IRPC 38,830 0.02 205,500 IRPC Receipt 29,499 0.02 1,500 Kasikornbank 7,376-56,400 Kasikornbank - Alien Market 280,557 0.15 29,932 Kasikornbank Receipt 147,193 0.08 94,817 Krung Thai Bank 50,400 0.03 81,600 Krung Thai Bank Receipt 43,375 0.02 88,330 Minor International 92,900 0.05 24,771 PTT 197,154 0.11 29,710 PTT Exploration & Production 59,327 0.03 39,706 PTT Exploration & Production Receipt 79,288 0.04 41,644 PTT Global Chemical 71,616 0.04 61,996 PTT Global Chemical Receipt 106,616 0.06 104

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Thailand (continued) 25,404 PTT Receipt 202,192 0.11 14,900 Siam Cement 197,368 0.11 5,550 Siam Cement Receipt 73,516 0.04 40,007 Siam Commercial Bank 160,346 0.09 37,600 Siam Commercial Bank Receipt 150,699 0.08 22,202 Thai Oil 43,703 0.02 18,600 Thai Oil Receipt 36,613 0.02 85,500 Thai Union Frozen Products 50,794 0.03 658,801 TMB Bank 47,191 0.03 420,246 True 90,787 0.05 Total Thailand 4,024,273 2.20 Turkey: 1.52% (2015: 1.49%) 109,774 Akbank 312,670 0.17 9,919 Anadolu Efes Biracilik Ve Malt Sanayii 75,528 0.04 11,723 Arcelik 79,772 0.04 10,595 BIM Birlesik Magazalar 229,721 0.13 3,774 Coca-Cola Icecek 55,061 0.03 98,977 Emlak Konut Gayrimenkul Yatirim Ortakligi Reits 100,886 0.06 21,960 Enka Insaat ve Sanayi 38,060 0.02 69,606 Eregli Demir ve Celik Fabrikalari 104,816 0.06 3,147 Ford Otomotiv Sanayi 41,510 0.02 44,776 Haci Omer Sabanci 154,888 0.08 30,610 KOC 155,566 0.09 29,323 Petkim Petrokimya 41,552 0.02 8,232 TAV Havalimanlari 49,146 0.03 5,641 Tofas Turk Otomobil Fabrikasi 45,798 0.03 6,222 Tupras Turkiye Petrol Rafinerileri 175,344 0.10 27,162 Turk Hava Yollari 75,147 0.04 23,574 Turk Telekomunikasyon 55,927 0.03 43,763 Turkcell Iletisim Hizmetleri 184,179 0.10 115,114 Turkiye Garanti Bankasi 336,875 0.18 29,029 Turkiye Halk Bankasi 107,942 0.06 78,297 Turkiye Is Bankasi 129,582 0.07 36,002 Turkiye Sise ve Cam Fabrikalari 46,797 0.02 40,483 Turkiye Vakiflar Bankasi 67,718 0.04 7,801 Ulker Biskuvi Sanayi 57,904 0.03 40,183 Yapi ve Kredi Bankasi 59,224 0.03 Total Turkey 2,781,613 1.52 United Arab Emirates: 0.90% (2015: 0.58%) 97,131 Abu Dhabi Commercial Bank 177,179 0.10 160,289 Aldar Properties 120,009 0.06 124,300 Arabtec 55,500 0.03 105

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets United Arab Emirates (continued) 8,235 DP World 154,736 0.08 103,389 Dubai Financial Market 38,282 0.02 51,076 Dubai Islamic Bank 82,461 0.04 97,540 Emaar Malls 76,481 0.04 175,581 Emaar Properties 287,775 0.16 86,965 Emirates Telecommunications Group PJSC 438,021 0.24 45,084 First Gulf Bank 144,225 0.08 35,168 National Bank of Abu Dhabi 83,683 0.05 Total United Arab Emirates 1,658,352 0.90 Total Equities 180,612,248 98.85 Total Investments in Transferable Securities 180,612,248 98.85 UCITS Collective Investment Schemes: 0.37% (2015: 0.25%) 206,522 Northern Trust Global Funds - Euro Liquidity Fund 234,824 0.13 448,000 Northern Trust Global Funds - US Dollar Fund 448,000 0.24 Total UCITS Collective Investment Schemes 682,824 0.37 Unrealised Fair Value No. of Gain % of Counterparty US$ Contracts US$ Net Assets Financial Derivative Instruments Dealt on a Regulated Market Futures Contracts: 0.05% (2015: 0.03%) Citigroup Liffe E-Mini MSCI EM Market Index Futures June 2016 2,376,615 57 100,410 0.05 Total Futures Contracts 100,410 0.05 Holdings Financial assets at fair value through profit or loss US$ Net Assets Total Value of Investments 181,395,482 99.27 Cash at Bank 923,360 0.51 Margin Cash 343,376 0.19 Other Net Assets 62,401 0.03 Net Assets Attributable to Holders of Redeemable Participating Shares 182,724,619 100.00 106

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Portfolio Classification % of Total Assets Transferable securities admitted to an official stock exchange listing 98.59 UCITS Collective investment schemes admitted to an official stock exchange listing 0.37 Financial derivative instruments dealt on a regulated market 0.05 Other current assets 0.99 100.00 107

THE NT EMERGING MARKETS INDEX FUND PORTFOLIO CHANGES ACQUISITIONS AND DISPOSALS (UNAUDITED) Schedule of material changes in investments for the year ended 31 March 2016 Acquisitions Cost Nominal Asset Name US$ 25,200 Alibaba ADR 2,107,162 6,900 Baidu ADR 1,493,252 1,088,000 China Construction Bank 925,064 657 Samsung Electronics 652,804 153,000 Taiwan Semiconductor Manufacturing 637,046 31,800 Tencent 576,082 40,500 China Mobile 476,959 86,965 Emirates Telecommunications Group PJSC 388,351 3,800 Ctrip.com International ADR 381,182 5,272 Maruti Suzuki India 365,724 2,000 NetEase ADR 334,690 2,539 Naspers 331,247 120,000 Hon Hai Precision Industry 329,240 11,216 Lupin 319,641 110,000 Haitong Securities 285,094 8,600 JD.com ADR 262,769 395,000 Industrial & Commercial Bank of China 239,383 29,800 Dalian Wanda Commercial Properties 224,592 33,964 Bharti Infratel 223,727 75,600 GF Securities 220,791 Disposals Proceeds Nominal Asset Name US$ 87,000 Taiwan Semiconductor Manufacturing 372,360 348 Samsung Electronics 359,295 15,900 Tencent 296,551 21,500 China Mobile 250,565 29,341 SACI Falabella 210,107 15,326 Mediclinic International 198,708 1,380 Naspers 186,570 281,000 China Construction Bank 186,204 178,900 America Movil 155,366 112,770 Siliconware Precision Industries 152,582 15,800 Fomento Economico Mexicano 141,705 18,800 CIA Souza Cruz 132,385 18,000 Grupo Televisa SAB 117,713 8,840 Uralkali GDR 117,589 1,000 Largan Precision 113,812 232,000 Bank of China 108,458 184,000 Industrial & Commercial Bank of China 107,129 45,980 Gazprom 98,227 5,549 Infosys 93,541 15,500 Ping An Insurance 91,306 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 108

THE NT EURO GOVERNMENT INFLATION LINKED INDEX FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 1 July 2009 Fund Size 546.37 million Benchmark Barclays France + Germany Govt EMU HICP Inflation-Linked All Maturities Index. Performance data 6 Months 1 Year 3 Years Fund 2.14% -2.68% 1.70% Benchmark 2.15% -2.65% 1.70% Fund Review Portfolio Summary Regional breakdown may not sum to 100% as the fund has a small allocation to cash. Performance Commentary For the year ending March 2016, the fund returned -2.68% versus a benchmark return of -2.65%. The fund underperformed the benchmark by 3 basis points. Since inception the fund has underperformed the benchmark, on an annualized basis, by 1 basis point and is up 4.46%. The ex-post tracking error reported for one year is 0.02% and for three years is 0.02%. During the year the fund was subject to a net outflow of 52.27m. The index reconstitutes on a monthly basis to include new inflation-linked government bonds that have been issued and to exclude those bonds, which have fallen below the minimum maturity of 1 year. Overall during the year the benchmark duration lengthened from 8.33 to 8.65 years. During its latest meeting in March, the European Central Bank (ECB) announced an extensive easing package, which included a further cut in all of the main policy rates and expansion of its asset buying programme. The Bank lowered its benchmark refinancing rate by 5bps to 0.0%, the deposit facility rate by 10bps to -0.4% and the lending facility by 5bps to 0.25%. The ECB also increased the asset purchase programme by 20bn to 80bn a month and decided to include investment grade non-bank corporate bonds in the QE universe from Q2. In addition, the Bank decided to launch a new series of four targeted longer-term refinancing operations (TLTRO II), starting in June 2016, each with a maturity of four years. The Euro initially plunged more than 1% against the US Dollar in response to the above measures, but reversed course soon after President Draghi noted that he did not anticipate further interest rate cuts. 109

THE NT EURO GOVERNMENT INFLATION LINKED INDEX FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) The March ECB staff macroeconomic projections were softer with real GDP growth forecasted to grow by 1.4% in 2016 and by 1.7% in 2017. Inflation projection was revised down to 0.1% for 2016 and 1.3% for 2017, from 1.0% and 1.6%, respectively. Making its initial 2018 forecast, the ECB projected a 1.8% real GDP growth and a rise in the inflation rate to 1.6%, still short of its target of almost 2%. The fall in the Eurozone headline HICP inflation slowed in March (-0.1% vs -0.2% in February), while the core inflation edged up from 0.8% YoY in February to 0.9% YoY in March. The unemployment rate fell to 10.3% in January, the third straight month of declines and the lowest since August 2011. The final March composite PMI was revised down by 0.6 points from a more upbeat flash estimate of 53.7 as a result of weakness in the services sector. Although the Eurozone ended the first quarter on somewhat worse footing, the area will continue its subdued recovery, supported by an accommodative monetary policy stance. Meanwhile, citing the economic slowdown in China and other emerging markets, the European Commission trimmed its 2016 growth forecast for the Eurozone to 1.7% from 1.8%. However, it would still mark a moderate increase from the figure of 1.6% in 2015. The inflation estimate for this year was also adjusted down to 0.5% and remains far below the ECB s target. There were no domestic political events that materially changed the investment landscape within which the fund operates. Northern Trust Global Investments Limited London May 2016 110

THE NT EURO GOVERNMENT INFLATION LINKED INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss Net Assets Investment in Transferable Securities Bonds: 99.16% (2015: 99.09%) France: 65.08% (2015: 60.61%) 4,600,000 France Government Bond 0.1% 01/03/2021 4,782,535 0.88 28,400,000 France Government Bond 0.25% 25/07/2018 30,303,368 5.55 30,350,000 France Government Bond 0.25% 25/07/2024 33,063,897 6.05 15,350,000 France Government Bond 0.7% 25/07/2030 17,517,573 3.21 46,550,000 France Government Bond 1.1% 25/07/2022 56,309,208 10.30 27,540,000 France Government Bond 1.8% 25/07/2040 45,805,353 8.38 32,920,000 France Government Bond 1.85% 25/07/2027 44,304,394 8.11 52,950,000 France Government Bond 2.25% 25/07/2020 73,174,253 13.39 26,200,000 France Government Bond 3.15% 25/07/2032 50,342,776 9.21 Total France 355,603,357 65.08 Germany: 34.08% (2015: 38.48%) 38,560,000 Bundesobligation Inflation Linked Bond 0.75% 15/04/2018 41,893,898 7.67 41,250,000 Bundesrepublik Inflation Linked Bond 0.1% 15/04/2023 45,170,814 8.27 16,050,000 Bundesrepublik Inflation Linked Bond 0.1% 15/04/2026 17,436,720 3.19 9,020,000 Bundesrepublik Inflation Linked Bond 0.1% 15/04/2046 10,590,742 1.94 18,400,000 Bundesrepublik Inflation Linked Bond 0.5% 15/04/2030 21,360,560 3.91 41,400,000 Bundesrepublik Inflation Linked Bond 1.75% 15/04/2020 49,730,922 9.10 Total Germany 186,183,656 34.08 Total Bonds 541,787,013 99.16 Total Investments in Transferable Securities 541,787,013 99.16 UCITS Collective Investment Schemes: 0.04% (2015: 0.20%) 205,390 Northern Trust Global Funds - Euro Liquidity Fund 204,938 0.04 Total UCITS Collective Investment Schemes 204,938 0.04 Total Value of Investments 541,991,951 99.20 Cash at Bank 1,000 - Other Net Assets 4,378,327 0.80 Net Assets Attributable to Holders of Redeemable Participating Shares 546,371,278 100.00 111

THE NT EURO GOVERNMENT INFLATION LINKED INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Portfolio Classification % of Total Assets Transferable securities admitted to an official stock exchange listing 98.18 UCITS Collective investment schemes admitted to an official stock exchange listing 0.04 Other current assets 1.78 100.00 112

THE NT EURO GOVERNMENT INFLATION LINKED INDEX FUND PORTFOLIO CHANGES ACQUISITIONS AND DISPOSALS (UNAUDITED) Schedule of material changes in investments for the year 31 March 2016 Acquisitions Cost Nominal Asset Name 13,050,000 Bundesrepublik Inflation Linked Bond 0.1% 15/04/2026 14,364,331 9,000,000 France Government Bond 1.85% 25/07/2027 12,345,499 10,400,000 Bundesrepublik Inflation Linked Bond 0.1% 15/04/2046 11,482,363 9,750,000 France Government Bond 0.25% 25/07/2024 10,804,037 6,800,000 France Government Bond 2.25% 25/07/2020 9,745,730 6,600,000 France Government Bond 1.1% 25/07/2022 8,175,872 4,500,000 France Government Bond 1.8% 25/07/2040 7,761,745 3,600,000 France Government Bond 3.15% 25/07/2032 7,299,591 6,050,000 Bundesrepublik Inflation Linked Bond 0.5% 15/04/2030 7,045,805 4,600,000 France Government Bond 0.1% 01/03/2021 4,782,535 4,000,000 Bundesrepublik Inflation Linked Bond 0.1% 15/04/2023 4,503,216 3,500,000 Bundesrepublik Inflation Linked Bond 1.75% 15/04/2020 4,339,108 3,250,000 France Government Bond 0.25% 25/07/2018 3,520,638 2,700,000 Bundesobligation Inflation Linked Bond 0.75% 15/04/2018 2,990,544 Disposals Proceeds Nominal Asset Name 44,600,000 Bundesrepublik Inflation Linked Bond 1.5% 15/04/2016 52,340,576 11,250,000 France Government Bond 1.1% 25/07/2022 13,598,616 10,200,000 Bundesrepublik Inflation Linked Bond 1.75% 15/04/2020 12,385,202 10,550,000 Bundesrepublik Inflation Linked Bond 0.1% 15/04/2023 11,532,275 5,800,000 France Government Bond 3.15% 25/07/2032 10,804,628 8,940,000 Bundesobligation Inflation Linked Bond 0.75% 15/04/2018 9,790,524 7,330,000 France Government Bond 0.25% 25/07/2018 7,846,038 7,000,000 France Government Bond 0.25% 25/07/2024 7,522,596 4,560,000 France Government Bond 1.8% 25/07/2040 7,191,813 5,180,000 France Government Bond 1.85% 25/07/2027 6,804,181 3,100,000 Bundesrepublik Inflation Linked Bond 0.1% 15/04/2026 3,305,821 2,450,000 Bundesrepublik Inflation Linked Bond 0.5% 15/04/2030 2,799,009 1,800,000 France Government Bond 0.7% 25/07/2030 1,950,107 1,380,000 Bundesrepublik Inflation Linked Bond 0.1% 15/04/2046 1,493,270 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 113

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 3 May 2012 Fund Size $786.91 million Benchmark MSCI AC Asia (ex-japan) Index Performance Data 6 Months 1 Year 3 Years Fund 5.73% -11.65% 0.21% Benchmark 5.66% -11.85% 0.11% Fund Review Portfolio Summary *Country breakdown may not sum to 100% as the fund has a small allocation to futures for efficient portfolio management. Performance Commentary For the year ending March 2016, the fund returned -11.65% against a benchmark return of -11.85%. Since the fund inception date, the fund has posted an annualised return of 4.76% against an annualised benchmark return of 4.60%. The ex-post tracking error reported for one year is 0.27% and for three years is 0.21%. During the year the fund experienced a net inflow of $147.65m. MSCI implemented changes to their series of indexes at the end of May 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI AC Asia ex Japan Index, there were 24 additions to and 15 deletions from the index. The turnover at the MSCI review was 2.45%. MSCI implemented changes to their series of indexes at the end of August 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI AC Asia ex Japan Index, there were 5 additions to and 3 deletions from the index. The One-way index turnover was 0.56%. MSCI implemented changes to their series of indexes at the end of November 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI AC Asia ex Japan Index, there were 34 additions to and 20 deletions from the index. The One-way index turnover was 3.97%. 114

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) MSCI implemented changes to their series of indexes at the end of February 2016. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI AC Asia ex Japan Index, there were 2 additions to and 2 deletions from the index. The One-way index turnover was 0.77%. The index changes were carefully traded to minimise any deviation from the benchmark, mainly from pricing impact, and were used as an opportunity to equitise some of the futures exposure at cheaper than standard commission rates. Northern Trust Global Investments Limited London May 2016 115

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss US$ Net Assets Investments in Transferable Securities Equities: 99.50% (2015: 98.98%) Hong Kong: 13.81% (2015: 13.68%) 3,053,412 AIA 17,301,178 2.20 57,300 ASM Pacific Technology 449,887 0.06 314,225 Bank of East Asia 1,174,817 0.15 1,164,000 Belle International 673,800 0.09 928,000 BOC Hong Kong 2,769,685 0.35 321,000 Cathay Pacific Airways 555,378 0.07 167,000 Cheung Kong Infrastructure 1,633,065 0.21 690,132 Cheung Kong Property 4,444,256 0.56 444,000 China Gas 654,848 0.08 677,988 China Mengniu Dairy 1,078,620 0.14 708,222 China Resources Land 1,816,997 0.23 682,132 CK Hutchison 8,855,831 1.13 487,000 CLP 4,404,413 0.56 420,000 Far East Horizon 323,804 0.04 560,000 First Pacific 418,021 0.05 589,000 Galaxy Entertainment 2,209,732 0.28 3,211,198 GCL-Poly Energy 529,918 0.07 2,925,306 GOME Electrical Appliances 422,397 0.05 319,000 Haier Electronics 556,031 0.07 586,000 Hang Lung Properties 1,119,637 0.14 192,000 Hang Seng Bank 3,393,673 0.43 292,053 Henderson Land Development 1,794,139 0.23 716,881 HK Electric Investments & HK Electric Investments 631,247 0.08 691,780 HKT Trust 952,512 0.12 1,748,048 Hong Kong & China Gas 3,267,780 0.41 293,086 Hong Kong Exchanges and Clearing 7,058,353 0.90 153,300 Hongkong Land 918,267 0.12 161,091 Hysan Development 686,395 0.09 62,700 Jardine Matheson 3,578,916 0.45 169,000 Kerry Properties 464,084 0.06 1,446,000 Li & Fung 855,682 0.11 577,220 Link Reits 3,423,187 0.43 23,400 Melco Crown Entertainment ADR 386,334 0.05 240,000 MGM China 366,967 0.05 376,076 MTR 1,861,822 0.24 662,000 New World China Land 673,390 0.09 1,382,650 New World Development 1,317,310 0.17 1,227,269 Noble 401,009 0.05 403,960 NWS 644,749 0.08 1,093,880 PCCW 707,954 0.09 348,000 Power Assets 3,560,062 0.45 607,600 Sands China 2,475,348 0.31 312,000 Shangri-La Asia 355,983 0.05 142,000 Shenzhou International 772,560 0.10 116

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss US$ Net Assets Hong Kong (continued) 1,170,000 Sino Biopharmaceutical 877,890 0.11 748,122 Sino Land 1,184,410 0.15 490,000 SJM Holdings 349,975 0.04 437,377 Sun Hung Kai Properties 5,348,410 0.68 152,000 Swire Pacific 1,636,294 0.21 291,400 Swire Properties 787,055 0.10 342,500 Techtronic Industries 1,353,388 0.17 1,520,000 WH 1,101,314 0.14 340,000 Wharf 1,858,558 0.23 225,000 Wheelock 1,005,118 0.13 409,200 Wynn Macau 633,065 0.08 180,500 Yue Yuen Industrial 620,163 0.08 Total Hong Kong 108,695,678 13.81 India: 9.48% (2015: 8.81%) 12,199 ACC 254,563 0.03 209,755 Adani Ports and Special Economic Zone 784,572 0.10 1 Aditya Birla Fashion and Retail 2-188,526 Ambuja Cements 662,037 0.08 18,457 Apollo Hospitals Enterprise 370,492 0.05 302,371 Ashok Leyland 495,866 0.06 71,329 Asian Paints 935,363 0.12 66,404 Aurobindo Pharma 746,942 0.09 154,564 Axis Bank 1,036,651 0.13 21,053 Bajaj Auto 764,883 0.10 27,798 Bharat Forge 366,498 0.05 153,175 Bharat Heavy Electricals 263,339 0.03 24,502 Bharat Petroleum 334,587 0.04 299,533 Bharti Airtel 1,586,714 0.20 144,991 Bharti Infratel 836,261 0.11 1,778 Bosch 558,041 0.07 51,943 Cadila Healthcare 248,567 0.03 110,542 Cairn India 256,814 0.03 90,021 Cipla 695,930 0.09 177,949 Coal India 784,510 0.10 8,335 Container of India 156,492 0.02 143,625 Dabur India 541,989 0.07 19,504 Divi's Laboratories 290,767 0.04 30,316 Dr Reddy's Laboratories 1,389,484 0.18 2,960 Eicher Motors 857,331 0.11 102,862 GAIL India 553,589 0.07 3,016 GlaxoSmithKline Consumer Healthcare 274,934 0.03 33,262 Glenmark Pharmaceuticals 399,335 0.05 30,514 Godrej Consumer Products 636,245 0.08 144,839 HCL Technologies 1,780,564 0.23 11,910 Hero MotoCorp 529,779 0.07 117

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets India (continued) 261,678 Hindalco Industries 347,534 0.04 189,951 Hindustan Unilever 2,494,053 0.32 378,442 Housing Development Finance 6,318,177 0.80 283,039 ICICI Bank 1,011,457 0.13 263,954 Idea Cellular 439,242 0.06 77,346 Indiabulls Housing Finance 759,065 0.10 463,012 Infosys 8,518,064 1.08 561,215 ITC 2,781,816 0.35 22,600 JSW Steel 437,940 0.06 79,100 Larsen & Toubro 1,453,297 0.18 71,576 LIC Housing Finance 533,017 0.07 55,768 Lupin 1,245,722 0.16 96,345 Mahindra & Mahindra 1,761,409 0.22 75,292 Mahindra & Mahindra Financial Services 277,474 0.03 104,991 Marico 387,320 0.05 26,321 Maruti Suzuki India 1,477,092 0.19 75,708 Motherson Sumi Systems 304,615 0.04 5,998 Nestle India 521,463 0.07 303,673 NTPC 590,861 0.08 215,953 Oil & Natural Gas 698,185 0.09 19,725 Piramal Enterprises 308,716 0.04 61,465 Power Finance 159,040 0.02 200,225 Reliance Communications 151,176 0.02 328,751 Reliance Industries 5,188,728 0.66 77,952 Rural Electrification 195,638 0.02 1,915 Shree Cement 359,172 0.05 37,109 Shriram Transport Finance 534,115 0.07 18,602 Siemens 308,907 0.04 390,210 State Bank of India 1,144,600 0.14 241,768 Sun Pharmaceutical Industries 2,993,692 0.38 119,995 Tata Consultancy Services 4,566,777 0.58 206,916 Tata Motors 1,207,954 0.15 91,717 Tata Motors Class A 399,360 0.05 242,514 Tata Power 236,755 0.03 86,608 Tata Steel 418,114 0.05 60,775 Tech Mahindra 435,880 0.06 9,160 UltraTech Cement 446,606 0.06 14,196 United Breweries 177,358 0.02 14,730 United Spirits 555,946 0.07 71,860 UPL 518,366 0.07 226,979 Vedanta 307,963 0.04 158,629 Wipro 1,351,601 0.17 145,441 Zee Entertainment Enterprises 849,838 0.11 Total India 74,567,246 9.48 118

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Indonesia: 3.14% (2015: 3.27%) 3,628,400 Adaro Energy 176,495 0.02 479,349 AKR Corporindo 251,243 0.03 84,600 Astra Agro Lestari 116,118 0.01 5,095,500 Astra International 2,786,001 0.35 3,172,700 Bank Central Asia 3,182,271 0.40 835,800 Bank Danamon Indonesia 239,520 0.03 2,403,000 Bank Mandiri Persero 1,866,584 0.24 1,861,200 Bank Negara Indonesia Persero 729,882 0.09 2,789,700 Bank Rakyat Indonesia Persero 2,403,644 0.31 1,886,035 Bumi Serpong Damai 261,001 0.03 1,756,700 Charoen Pokphand Indonesia 475,607 0.06 1,344,400 Global Mediacom 122,172 0.02 117,800 Gudang Garam 580,116 0.07 91,900 Hanjaya Mandala Sampoerna 681,973 0.09 392,200 Indocement Tunggal Prakarsa 583,420 0.07 317,600 Indofood CBP Sukses Makmur 364,066 0.05 1,196,700 Indofood Sukses Makmur 652,048 0.08 434,700 Jasa Marga Persero 177,027 0.02 5,784,500 Kalbe Farma 630,362 0.08 4,748,634 Lippo Karawaci 374,232 0.05 587,900 Matahari Department Store 813,572 0.10 1,049,300 Media Nusantara Citra 172,509 0.02 2,641,600 Perusahaan Gas Negara Persero 520,949 0.07 732,400 Semen Indonesia Persero 562,004 0.07 2,441,568 Summarecon Agung 291,847 0.04 1,389,700 Surya Citra Media 329,084 0.04 12,766,865 Telekomunikasi Indonesia Persero 3,201,344 0.41 474,591 Tower Bersama Infrastructure 208,484 0.03 383,400 Unilever Indonesia 1,241,135 0.16 444,800 United Tractors 513,231 0.07 668,200 XL Axiata 201,569 0.03 Total Indonesia 24,709,510 3.14 Malaysia: 4.09% (2015: 4.18%) 286,400 AirAsia 134,336 0.02 249,900 Alliance Financial 265,817 0.03 508,900 AMMB 600,010 0.08 507,900 Astro Malaysia 389,240 0.05 667,651 Axiata 1,007,937 0.13 151,290 Berjaya Sports Toto 122,537 0.01 35,600 British American Tobacco Malaysia 493,099 0.06 553,800 Bumi Armada 112,137 0.01 1,324,479 CIMB 1,646,475 0.21 1,052,760 Dialog 431,735 0.05 901,900 DiGi.Com 1,141,967 0.15 326,900 Felda Global Ventures 126,520 0.02 119

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Malaysia (continued) 407,500 Gamuda 513,879 0.07 563,200 Genting 1,414,676 0.18 767,600 Genting Malaysia 893,222 0.11 50,300 Genting Plantations 144,396 0.02 163,800 HAP Seng Consolidated 316,138 0.04 158,800 Hartalega 197,406 0.03 171,844 Hong Leong Bank 594,616 0.08 48,614 Hong Leong Financial 193,384 0.02 620,600 IHH Healthcare 1,043,480 0.13 771,400 IJM Corp 697,947 0.09 732,700 IOI Corp 858,244 0.11 359,877 IOI Properties 213,076 0.03 104,400 Kuala Lumpur Kepong 642,215 0.08 105,100 Lafarge Malaysia 242,445 0.03 1,210,382 Malayan Banking 2,798,320 0.36 193,476 Malaysia Airports 337,213 0.04 493,700 Maxis 803,536 0.10 283,500 MISC 646,713 0.08 705,900 Petronas Chemicals 1,214,043 0.15 61,500 Petronas Dagangan 379,892 0.05 174,600 Petronas Gas 984,544 0.13 115,300 PPB 493,531 0.06 644,050 Public Bank 3,100,156 0.39 183,434 RHB Capital 277,396 0.04 803,000 SapuraKencana Petroleum 382,822 0.05 773,381 Sime Darby 1,575,901 0.20 310,483 Telekom Malaysia 525,231 0.07 850,300 Tenaga Nasional 3,038,109 0.39 140,200 UMW 246,873 0.03 236,800 Westports 250,669 0.03 1,205,654 YTL Corp 506,798 0.06 488,605 YTL Power International 185,348 0.02 Total Malaysia 32,184,029 4.09 People's Republic of China: 26.85% (2015: 26.07%) 8,900 58.com ADR 495,285 0.06 183,000 AAC Technologies 1,399,063 0.18 5,820,000 Agricultural Bank of China 2,093,431 0.26 446,000 Air China 316,824 0.04 125,600 Alibaba ADR 9,926,168 1.26 604,000 Alibaba Health Information Technology 368,324 0.05 2,450,000 Alibaba Pictures 559,076 0.07 944,000 Aluminum of China 300,608 0.04 309,000 Anhui Conch Cement 828,616 0.10 278,000 ANTA Sports Products 612,159 0.08 120

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China (continued) 556,000 AviChina Industry & Technology 417,185 0.05 34,300 Baidu ADR 6,547,184 0.83 20,036,994 Bank of China 8,318,018 1.06 2,251,000 Bank of Communications 1,480,052 0.19 356,000 Beijing Capital International Airport 380,025 0.05 128,000 Beijing Enterprises 700,518 0.09 1,070,000 Beijing Enterprises Water 670,426 0.08 750,000 Brilliance China Automotive 776,441 0.10 159,000 BYD 912,197 0.12 211,000 CAR 247,546 0.03 2,424,400 CGN Power 822,037 0.10 2,141,000 China Cinda Asset Management 750,787 0.09 2,016,000 China CITIC Bank 1,234,569 0.16 610,000 China Coal Energy 253,231 0.03 1,112,000 China Communications Construction 1,328,972 0.17 692,000 China Communications Services 315,821 0.04 327,500 China Conch Venture 646,002 0.08 21,407,000 China Construction Bank 13,661,312 1.74 750,000 China COSCO 291,044 0.04 226,000 China Everbright 474,345 0.06 797,000 China Everbright Bank 387,375 0.05 656,010 China Everbright International 732,419 0.09 884,000 China Galaxy Securities 860,460 0.11 1,019,000 China Huishan Dairy 383,609 0.05 138,400 China International Marine Containers 216,971 0.03 1,058,000 China Jinmao 294,626 0.04 1,891,991 China Life Insurance 4,668,662 0.59 791,000 China Longyuan Power 585,356 0.07 286,000 China Medical System 396,743 0.05 1,153,145 China Merchants Bank 2,423,276 0.31 303,877 China Merchants International 903,026 0.11 1,476,200 China Minsheng Banking 1,377,892 0.17 1,558,996 China Mobile 17,375,664 2.21 718,000 China National Building Material 333,241 0.04 470,035 China Oilfield Services 367,227 0.05 992,000 China Overseas Land & Investment 3,139,746 0.40 660,187 China Pacific Insurance 2,468,291 0.31 6,525,995 China Petroleum & Chemical 4,282,486 0.54 845,000 China Power International Development 437,940 0.06 996,000 China Railway 756,321 0.10 483,000 China Railway Construction 574,752 0.07 327,877 China Resources Beer 610,393 0.08 238,989 China Resources Gas 682,469 0.09 516,012 China Resources Power 964,627 0.12 884,000 China Shenhua Energy 1,390,412 0.18 817,000 China Shipping Container Lines 186,435 0.02 419,801 China Southern Airlines 264,657 0.03 464,000 China State Construction International 691,524 0.09 121

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China (continued) 399,294 China Taiping Insurance 877,190 0.11 3,510,000 China Telecom 1,855,335 0.23 1,495,961 China Unicom Hong Kong 1,974,930 0.25 345,900 China Vanke 848,189 0.11 231,900 Chongqing Changan Automobile 434,408 0.06 583,000 Chongqing Rural Commercial Bank 308,165 0.04 1,094,404 CITIC 1,664,911 0.21 526,500 CITIC Securities 1,234,024 0.16 4,483,998 CNOOC 5,295,321 0.67 471,201 COSCO Pacific 617,208 0.08 1,424,627 Country Garden 565,696 0.07 1,141,219 CRRC 1,149,083 0.15 1,060,000 CSPC Pharmaceutical 959,344 0.12 34,100 Ctrip.com International ADR 1,509,266 0.19 147,000 Dalian Wanda Commercial Properties 870,832 0.11 710,000 Datang International Power Generation 218,770 0.03 716,000 Dongfeng Motor 893,552 0.11 188,000 ENN Energy 1,031,309 0.13 1,014,471 Evergrande Real Estate 783,426 0.10 524,448 Fosun International 746,454 0.09 1,340,000 Geely Automobile 663,388 0.08 329,000 GF Securities 802,506 0.10 769,500 Great Wall Motor 625,001 0.08 698,000 Guangdong Investment 882,787 0.11 528,000 Guangzhou Automobile 549,337 0.07 285,980 Guangzhou R&F Properties 409,989 0.05 149,000 Haitian International 255,487 0.03 799,600 Haitong Securities 1,366,935 0.17 186,000 Hengan International 1,613,836 0.21 424,000 Huadian Power International 270,038 0.03 1,048,000 Huaneng Power International 937,675 0.12 1,169,475 Huaneng Renewables 363,362 0.05 386,800 Huatai Securities 920,555 0.12 18,661,992 Industrial & Commercial Bank of China 10,441,890 1.33 44,100 JD.com ADR 1,168,650 0.15 296,000 Jiangsu Expressway 398,404 0.05 316,000 Jiangxi Copper 379,287 0.05 221,000 Kingsoft 517,985 0.07 862,000 Kunlun Energy 749,029 0.10 1,852,000 Lenovo 1,442,146 0.18 357,000 Longfor Properties 509,043 0.06 385,500 Luye Pharma 298,200 0.04 10,000 NetEase ADR 1,435,800 0.18 193,200 New China Life Insurance 681,233 0.09 16,000 New Oriental Education & Technology ADR 553,440 0.07 452,000 Nine Dragons Paper 342,064 0.04 1,620,000 People's Insurance of China 685,047 0.09 5,287,995 PetroChina 3,517,808 0.45 122

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China (continued) 979,953 PICC Property & Casualty 1,796,537 0.23 1,327,000 Ping An Insurance 6,347,113 0.81 12,300 Qihoo 360 Technology ADR 929,265 0.12 7,600 Qunar Cayman Islands ADR 301,720 0.04 7,215,000 Semiconductor Manufacturing International 641,825 0.08 464,000 Shandong Weigao Medical Polymer 295,513 0.04 738,000 Shanghai Electric 336,815 0.04 104,000 Shanghai Fosun Pharmaceutical 286,932 0.04 118,000 Shanghai Industrial 278,093 0.04 104,500 Shanghai Lujiazui Finance & Trade Zone Development 348,612 0.04 158,400 Shanghai Pharmaceuticals 312,857 0.04 332,500 Shimao Property 492,113 0.06 820,697 Shui On Land 221,137 0.03 934,980 Sino-Ocean Land 442,384 0.06 336,000 Sinopec Engineering 272,038 0.03 901,000 Sinopec Shanghai Petrochemical 456,508 0.06 296,235 Sinopharm 1,338,615 0.17 400,000 Sinotrans 174,820 0.02 510,500 SOHO China 243,517 0.03 35,700 SouFun ADR 213,843 0.03 571,500 Sun Art Retail 404,501 0.05 425,000 Sunac China 286,016 0.04 4,700 TAL Education ADR 233,496 0.03 1,309,895 Tencent 26,749,956 3.40 498,000 Tingyi Cayman Islands 556,647 0.07 226,000 TravelSky Technology 370,036 0.05 92,000 Tsingtao Brewery 349,305 0.04 52,300 Vipshop ADR 673,624 0.09 1,530,000 Want Want China 1,134,203 0.14 266,400 Weichai Power 298,460 0.04 408,000 Yanzhou Coal Mining 213,033 0.03 14,500 Youku Tudou ADR 398,605 0.05 1,720,660 Yuexiu Property 248,453 0.03 3,300 YY ADR 203,246 0.03 342,000 Zhejiang Expressway 366,844 0.05 131,000 Zhuzhou CRRC Times Electric 765,070 0.10 1,612,000 Zijin Mining 498,778 0.06 186,720 ZTE 340,867 0.04 Total People's Republic of China 211,323,598 26.85 Philippines: 1.69% (2015: 1.62%) 515,560 Aboitiz Equity Ventures 727,797 0.09 361,600 Aboitiz Power 345,148 0.04 592,600 Alliance Global Group 212,355 0.03 54,240 Ayala 883,484 0.11 123

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Philippines (continued) 1,837,700 Ayala Land 1,406,861 0.18 197,152 Bank of the Philippine Islands 372,510 0.05 405,250 BDO Unibank 900,360 0.11 975,750 DMCI 283,962 0.04 2,241,300 Energy Development 286,217 0.04 8,140 Globe Telecom 392,460 0.05 20,225 GT Capital 610,549 0.08 111,160 International Container Terminal Services 163,439 0.02 626,850 JG Summit 1,080,259 0.14 108,160 Jollibee Foods 533,224 0.07 3,182,000 Megaworld 286,791 0.03 3,649,200 Metro Pacific Investments 465,215 0.06 64,818 Metropolitan Bank & Trust 116,066 0.01 25,525 Philippine Long Distance Telephone 1,097,611 0.14 376,600 Robinsons Land 228,193 0.03 40,645 SM Investments 838,146 0.11 2,134,725 SM Prime 1,017,640 0.13 218,720 Universal Robina 1,029,829 0.13 Total Philippines 13,278,116 1.69 Republic of South Korea: 18.19% (2015: 17.68%) 8,274 Amorepacific 2,796,346 0.36 6,945 Amorepacific Group 889,684 0.11 2,275 Amorepacific Pref 438,648 0.06 2,059 BGF retail 295,275 0.04 72,187 BNK Financial 612,289 0.08 17,548 Celltrion 1,684,829 0.21 19,861 Cheil Worldwide 295,240 0.04 3,815 CJ 652,180 0.08 2,021 CJ CheilJedang 614,111 0.08 4,433 CJ E&M 247,311 0.03 1,857 CJ Korea Express 308,526 0.04 13,488 Coway 1,138,153 0.14 6,891 Daelim Industrial 547,737 0.07 26,259 Daewoo Engineering & Construction 144,199 0.02 45,133 Daewoo Securities 326,382 0.04 43,815 DGB Financial Group 340,988 0.04 10,730 Dongbu Insurance 712,143 0.09 8,308 Dongsuh Cos 233,563 0.03 1,564 Doosan 120,897 0.02 11,296 Doosan Heavy Industries & Construction 213,356 0.03 5,186 E-MART 795,858 0.10 13,166 GS 679,253 0.09 11,684 GS Engineering & Construction 278,920 0.04 6,300 GS Retail 259,746 0.03 75,523 Hana Financial Group 1,637,785 0.21 18,284 Hankook Tire 869,753 0.11 124

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Republic of South Korea (continued) 1,383 Hanmi Pharm 845,328 0.11 2,771 Hanmi Science 361,034 0.05 52,964 Hanon Systems 426,083 0.05 2,328 Hanssem 454,974 0.06 11,273 Hanwha 349,940 0.04 28,426 Hanwha Chemical 620,172 0.08 52,469 Hanwha Life Insurance 307,400 0.04 8,415 Hotel Shilla 489,330 0.06 5,559 Hyosung 699,979 0.09 3,863 Hyundai Department Store 464,465 0.06 14,101 Hyundai Development Co-Engineering & Construction 566,580 0.07 20,042 Hyundai Engineering & Construction 738,694 0.09 4,948 Hyundai Glovis 815,581 0.10 10,531 Hyundai Heavy Industries 980,720 0.12 15,164 Hyundai Marine & Fire Insurance 440,228 0.06 17,433 Hyundai Mobis 3,795,748 0.48 38,821 Hyundai Motor 5,176,812 0.66 9,351 Hyundai Motor 2nd Pref 866,742 0.11 6,535 Hyundai Motor Pref 594,299 0.08 20,102 Hyundai Steel 975,569 0.12 4,380 Hyundai Wia 402,151 0.05 67,345 Industrial Bank of Korea 721,385 0.09 7,563 Kakao 656,042 0.08 29,430 Kangwon Land 1,052,542 0.13 96,893 KB Financial Group 2,698,533 0.34 1,470 KCC 534,732 0.07 5,401 KEPCO Plant Service & Engineering 302,732 0.04 66,087 Kia Motors 2,791,188 0.35 15,120 Korea Aerospace Industries 862,035 0.11 64,451 Korea Electric Power 3,392,751 0.43 7,017 Korea Gas 235,311 0.03 9,933 Korea Investment 381,738 0.05 2,138 Korea Zinc 900,181 0.11 9,950 Korean Air Lines 269,718 0.03 3,248 KT 84,637 0.01 2,657 KT ADR 35,657-27,557 KT&G 2,650,638 0.34 2,913 Kumho Petrochemical 148,248 0.02 23,600 LG 1,413,606 0.18 11,880 LG Chem 3,402,151 0.43 1,986 LG Chem Pref 394,213 0.05 59,239 LG Display 1,377,892 0.18 26,826 LG Electronics 1,444,982 0.18 2,369 LG Household & Health Care 1,957,594 0.25 3,625 LG Innotek 251,366 0.03 51,477 LG Uplus 497,395 0.06 3,848 Lotte Chemical 1,149,084 0.15 147 Lotte Chilsung Beverage 233,817 0.03 125

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Republic of South Korea (continued) 135 Lotte Confectionery 303,147 0.04 2,980 Lotte Shopping 654,057 0.08 20,640 Mirae Asset Securities 421,427 0.05 7,143 NAVER 3,978,743 0.51 4,620 NCSoft 1,024,108 0.13 33,975 NH Investment & Securities 295,009 0.04 4,593 OCI 425,724 0.05 905 Orion Corp/Republic of Korea 723,304 0.09 288 Ottogi 228,416 0.03 12,857 Paradise 163,017 0.02 17,567 POSCO 3,371,770 0.43 10,555 Posco Daewoo 199,360 0.03 4,891 S1 378,073 0.05 19,038 Samsung C&T 2,380,582 0.30 9,850 Samsung Card 324,285 0.04 14,927 Samsung Electro-Mechanics 767,495 0.10 27,980 Samsung Electronics 32,100,175 4.08 5,218 Samsung Electronics Pref 5,051,002 0.64 9,170 Samsung Fire & Marine Insurance 2,365,469 0.30 36,400 Samsung Heavy Industries 351,714 0.04 20,289 Samsung Life Insurance 2,084,608 0.26 13,580 Samsung SDI 1,175,603 0.15 7,976 Samsung SDS 1,220,532 0.16 14,695 Samsung Securities 513,348 0.07 108,968 Shinhan Financial 3,859,045 0.49 1,728 Shinsegae 306,737 0.04 8,976 SK 1,750,304 0.22 148,808 SK Hynix 3,662,946 0.47 16,323 SK Innovation 2,455,016 0.31 27,368 SK Networks 153,161 0.02 4,841 SK Telecom 882,606 0.11 2,947 SK Telecom ADR 59,441 0.01 11,422 S-Oil 977,802 0.13 90,990 Woori Bank 752,680 0.10 1,919 Yuhan 470,689 0.06 Total Republic of South Korea 143,176,564 18.19 Singapore: 5.20% (2015: 5.70%) 518,100 Ascendas Real Estate Investment Trust Reits 919,545 0.12 648,600 CapitaLand 1,478,689 0.19 522,700 CapitaLand Commercial Trust Reits 570,599 0.07 653,900 CapitaLand Mall Trust Reits 1,014,890 0.13 106,000 City Developments 643,116 0.08 557,800 ComfortDelGro 1,209,547 0.15 444,686 DBS 5,078,918 0.65 1,586,000 Genting Singapore 983,447 0.12 126

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Singapore (continued) 816,000 Global Logistic Properties 1,166,493 0.15 1,677,100 Golden Agri-Resources 510,628 0.06 1,498,900 Hutchison Port Holdings 749,450 0.10 30,333 Jardine Cycle & Carriage 901,701 0.11 373,900 Keppel 1,618,771 0.21 789,976 Oversea-Chinese Banking 5,185,941 0.66 252,700 Sembcorp Industries 566,727 0.07 202,900 Sembcorp Marine 248,615 0.03 135,200 Singapore Airlines 1,146,580 0.15 198,300 Singapore Exchange 1,170,715 0.15 401,300 Singapore Press 1,192,039 0.15 388,800 Singapore Technologies Engineering 932,589 0.12 2,025,000 Singapore Telecommunications 5,744,468 0.73 147,400 StarHub 366,694 0.05 618,900 Suntec Real Estate Investment Trust Reits 769,833 0.10 326,861 United Overseas Bank 4,580,326 0.58 124,818 UOL 556,147 0.07 493,900 Wilmar International 1,232,366 0.16 468,900 Yangzijiang Shipbuilding 341,246 0.04 Total Singapore 40,880,080 5.20 Taiwan: 14.46% (2015: 15.12%) 656,924 Acer 252,082 0.03 1,591,143 Advanced Semiconductor Engineering 1,851,488 0.23 85,165 Advantech 625,824 0.08 576,329 Asia Cement 526,475 0.07 446,000 Asia Pacific Telecom 153,129 0.02 178,000 Asustek Computer 1,598,372 0.20 2,321,000 AU Optronics 697,367 0.09 39,000 Casetek 212,062 0.03 161,000 Catcher Technology 1,320,656 0.17 2,053,650 Cathay Financial 2,459,862 0.31 271,018 Chailease 472,412 0.06 1,186,042 Chang Hwa Commercial Bank 608,057 0.08 411,034 Cheng Shin Rubber Industry 826,308 0.11 120,778 Chicony Electronics 310,726 0.04 627,000 China Airlines 224,040 0.03 3,562,200 China Development Financial 951,868 0.12 854,106 China Life Insurance 656,821 0.08 2,991,687 China Steel 2,082,208 0.26 958,000 Chunghwa Telecom 3,259,415 0.41 1,087,000 Compal Electronics 682,246 0.08 3,860,366 CTBC Financial 2,039,095 0.26 493,788 Delta Electronics 2,178,657 0.28 1,751,431 E.Sun Financial 979,548 0.12 50,380 Eclat Textile 662,936 0.08 127

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Taiwan (continued) 450,435 Eva Airways 251,921 0.03 367,640 Evergreen MarineTaiwan 136,506 0.02 799,317 Far Eastern New Century 653,183 0.08 417,000 Far EasTone Telecommunications 934,182 0.12 75,950 Feng TAY Enterprise 403,537 0.05 2,323,031 First Financial 1,147,657 0.15 818,990 Formosa Chemicals & Fibre 2,040,859 0.26 287,000 Formosa Petrochemical 824,866 0.10 1,036,640 Formosa Plastics 2,570,342 0.33 167,000 Formosa Taffeta 163,191 0.02 235,009 Foxconn Technology 527,208 0.07 1,671,290 Fubon Financial 2,129,098 0.27 72,000 Giant Manufacturing 416,107 0.05 10,000 Hermes Microvision 285,856 0.04 203,020 Highwealth Construction 296,481 0.04 49,089 Hiwin Technologies 217,350 0.03 3,648,423 Hon Hai Precision Industry 9,613,046 1.22 63,000 Hotai Motor 692,953 0.09 166,000 HTC 475,553 0.06 1,655,016 Hua Nan Financial 822,777 0.10 2,261,256 Innolux 790,428 0.10 549,000 Inotera Memories 497,246 0.06 635,310 Inventec 402,695 0.05 25,000 Largan Precision 1,938,075 0.25 563,469 Lite-On Technology 688,054 0.09 376,292 MediaTek 2,887,898 0.37 2,705,470 Mega Financial 1,925,033 0.24 56,200 Merida Industry 248,835 0.03 1,210,950 Nan Ya Plastics 2,543,507 0.32 142,000 Novatek Microelectronics 571,371 0.07 25,000 OBI Pharma 306,829 0.04 479,000 Pegatron 1,117,726 0.14 31,784 Phison Electronics 258,744 0.03 551,000 Pou Chen 701,933 0.09 157,000 Powertech Technology 356,109 0.05 142,000 President Chain Store 1,034,645 0.13 668,000 Quanta Computer 1,166,468 0.15 108,880 Radiant Opto-Electronics 211,102 0.03 111,331 Realtek Semiconductor 306,139 0.04 225,178 Ruentex Development 285,111 0.04 120,711 Ruentex Industries 198,785 0.03 1,984,385 Shin Kong Financial 398,307 0.05 567,909 Siliconware Precision Industries 917,576 0.12 64,700 Simplo Technology 232,191 0.03 2,350,556 SinoPac Financial 726,698 0.09 78,122 Standard Foods 193,703 0.02 352,000 Synnex Technology International 362,565 0.05 2,139,041 Taishin Financial 754,354 0.10 128

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Taiwan (continued) 1,079,844 Taiwan Business Bank 286,200 0.04 828,000 Taiwan Cement 810,403 0.10 1,991,622 Taiwan Cooperative Financial 891,106 0.11 183,000 Taiwan Fertilizer 276,627 0.04 435,000 Taiwan Mobile 1,412,425 0.18 6,099,000 Taiwan Semiconductor Manufacturing 30,699,664 3.90 29,900 Taiwan Semiconductor Manufacturing ADR 783,380 0.10 462,000 Teco Electric and Machinery 376,818 0.05 42,000 Transcend Information 129,847 0.02 1,218,662 Uni-President Enterprises 2,139,399 0.27 3,139,000 United Microelectronics 1,297,188 0.16 203,000 Vanguard International Semiconductor 317,266 0.04 623,647 Wistron 385,613 0.05 371,000 WPG 395,392 0.05 2,376,610 Yuanta Financial 849,211 0.11 217,000 Yulon Motor 210,703 0.03 104,450 Zhen Ding Technology 233,669 0.03 Total Taiwan 113,751,365 14.46 Thailand: 2.59% (2015: 2.85%) 10,700 Advanced Info Service 55,355 0.01 257,500 Advanced Info Service Receipt 1,332,149 0.17 108,100 Airports of Thailand Receipt 1,235,253 0.15 59,100 Bangkok Bank Receipt 302,388 0.04 972,700 Bangkok Dusit Medical Services Receipt 646,992 0.08 1,638,463 Bangkok Expressway & Metro 258,483 0.03 268,300 Banpu Receipt 127,362 0.02 5,800 BEC World 4,657-229,200 BEC World Receipt 184,051 0.02 1,395,300 BTS 354,973 0.04 76,400 Bumrungrad Hospital 460,397 0.06 10,300 Bumrungrad Hospital Receipt 62,069 0.01 351,900 Central Pattana Receipt 515,146 0.06 749,400 Charoen Pokphand Foods Receipt 519,766 0.07 51,300 CP ALL 66,713 0.01 1,113,700 CP ALL Receipt 1,448,317 0.18 141,100 Delta Electronics Thailand 348,940 0.04 248,300 Energy Absolute 157,393 0.02 125,800 Glow Energy Receipt 328,982 0.04 916,638 Home Product Center 214,959 0.03 370,400 Indorama Ventures Receipt 240,055 0.03 62,800 IRPC 9,015-2,273,400 IRPC Receipt 326,341 0.04 12,800 Kasikornbank 62,945 0.01 452,970 Kasikornbank Receipt 2,227,510 0.28 864,775 Krung Thai Bank Receipt 459,673 0.06 129

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Thailand (continued) 413,930 Minor International 435,344 0.06 6,800 PTT 54,122 0.01 10,500 PTT Exploration & Production 20,967-341,100 PTT Exploration & Production Receipt 681,132 0.08 27,200 PTT Global Chemical 46,777 0.01 485,400 PTT Global Chemical Receipt 834,756 0.11 245,500 PTT Receipt 1,953,951 0.25 104,650 Siam Cement Receipt 1,386,211 0.18 33,100 Siam Commercial Bank 132,663 0.02 367,800 Siam Commercial Bank Receipt 1,474,127 0.19 3,900 Thai Oil 7,677-198,300 Thai Oil Receipt 390,342 0.05 548,900 Thai Union 326,095 0.04 3,250,600 TMB Bank 232,846 0.03 231,639 True 50,041 0.01 1,886,441 True NVDR 407,531 0.05 Total Thailand 20,384,466 2.59 Total Equities 782,950,652 99.50 Total Investments in Transferable Securities 782,950,652 99.50 UCITS Collective Investment Schemes: 0.02% (2015: 0.07%) 53,503 Northern Trust Global Funds - Euro Liquidity Fund 60,835 0.01 86,000 Northern Trust Global Funds - US Dollar Fund 86,000 0.01 Total UCITS Collective Investment Schemes 146,835 0.02 Unrealised Fair Value No. of Gain/Loss % of Counterparty US$ Contracts US$ Net Assets Financial Derivative Instruments Dealt on a Regular Market Futures Contracts: 0.00% (2015: 0.01%) Citigroup Hang Seng Index Futures April 2016 1,609,504 12 32,121 - Citigroup KSE Kospi 200 Index Futures June 2016 861,840 8 11,363 - Citigroup SGX MSCI Singapore Index Futures April 2016 331,546 14 (567) - Citigroup SGX MSCI Taiwan Index Futures April 2016 676,200 21 - - Citigroup SGX Nifty CNX Singapore Index Future April 2016 358,225 23 1,771 - Total Futures Contracts 44,688-130

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Total Value of Investments 783,142,175 99.52 Cash at Bank 5,736,205 0.73 Margin Cash 1,334,046 0.17 Other Net Liabilities (3,298,179) (0.42) Net Assets Attributable to Holders of Redeemable Participating Shares 786,914,247 100.00 % of Portfolio Classification Total Assets Transferable securities admitted to an official stock exchange listing 98.78 UCITS Collective investment schemes admitted to an official stock exchange listing 0.02 Financial derivative instruments dealt on a regulated market 0.01 Other current assets 1.19 100.00 131

THE NT ALL COUNTRY ASIA (EX-JAPAN) EQUITY INDEX FUND PORTFOLIO CHANGES ACQUISITIONS AND DISPOSALS (UNAUDITED) Schedule of material changes in investments for the year ended March 2016 Acquisitions Cost Nominal Asset Name US$ 128,100 Alibaba ADR 10,613,285 35,300 Baidu ADR 7,537,664 6,105,000 China Construction Bank 5,125,446 4,729 Samsung Electronics 4,894,043 1,048,000 Taiwan Semiconductor Manufacturing 4,509,775 218,200 Tencent 4,074,061 62,700 Jardine Matheson 3,650,677 266,000 China Mobile 3,229,002 524,800 AIA 3,068,990 3,311,000 Industrial & Commercial Bank of China 2,071,539 700,000 Hon Hai Precision Industry 1,918,433 19,800 Ctrip.com International ADR 1,916,379 27,718 Maruti Suzuki India 1,893,679 3,606,000 Bank of China 1,736,812 60,793 Lupin 1,733,257 10,000 NetEase ADR 1,654,512 111,000 CK Hutchison 1,542,230 58,092 Hong Kong Exchanges and Clearing 1,489,332 527,200 Haitong Securities 1,329,365 44,100 JD.com ADR 1,326,566 Disposals Proceeds Nominal Asset Name US$ 1,586 Samsung Electronics 1,739,095 337,000 Taiwan Semiconductor Manufacturing 1,474,996 82,500 CK Hutchison 1,386,187 69,100 Tencent 1,362,984 185,400 AIA 1,113,020 85,500 China Mobile 994,138 1,278,000 Industrial & Commercial Bank of China 819,592 527,091 Siliconware Precision Industries 713,047 1,474,000 Bank of China 700,646 965,000 China Construction Bank 664,175 145,100 Keppel Land 468,013 1,974,500 Telekomunikasi Indonesia Persero 425,416 14,800 Hong Kong Exchanges and Clearing 417,386 22,867 Infosys 410,024 83,600 Public Bank 409,084 130,100 Tenaga Nasional 404,423 57,500 Ping An Insurance Groupof China 398,652 327,000 CNOOC 388,830 186,561 NTPC 388,149 9,152 Kia Motors 387,904 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 132

THE NT HIGH QUALITY EURO GOVERNMENT BOND INDEX FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 7 May 2013 Fund Size 282.81 million Benchmark Euro Sovereign High Quality Index Performance data 6 Month 1 Year Since Inception Fund 3.73% 0.49% 4.62% Benchmark 3.73% 0.47% 4.62% Fund Review Portfolio Summary *Regional breakdown may not sum to 100% as the fund has a small allocation to cash. Performance Commentary For the year ending March 2016, the fund returned 0.49% versus a benchmark return of 0.47%. The fund outperformed the benchmark by 2 basis points. Since inception the fund has matched the benchmark, and is up 4.62%. The ex-post tracking error reported for one year is 0.03% and from inception to date is 0.04%. During the year the fund was subject to a net outflow of 87.54m. The index reconstitutes on a monthly basis to include new inflation-linked government bonds that have been issued and to exclude those bonds, which have fallen below the minimum maturity of 1 year. During the year the benchmark shortened from 7.69 to 7.64 years. During its latest meeting in March, the European Central Bank (ECB) announced an extensive easing package, which included a further cut in all of the main policy rates and expansion of its asset buying programme. The Bank lowered its benchmark refinancing rate by 5bps to 0.0%, the deposit facility rate by 10bps to -0.4% and the lending facility by 5bps to 0.25%. The ECB also increased the asset purchase programme by 20bn to 80bn a month and decided to include investment grade non-bank corporate bonds in the QE universe from Q2. In addition, the Bank decided to launch a new series of four targeted longer-term refinancing operations (TLTRO II), starting in June 2016, each with a maturity of four years. The Euro initially plunged more than 1% against the US Dollar in response to the above measures, but reversed course soon after President Draghi noted that he did not anticipate further interest rate cuts. 133

THE NT HIGH QUALITY EURO GOVERNMENT BOND INDEX FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) The March ECB staff macroeconomic projections were softer with real GDP growth forecasted to grow by 1.4% in 2016 and by 1.7% in 2017. Inflation projection was revised down to 0.1% for 2016 and 1.3% for 2017, from 1.0% and 1.6%, respectively. Making its initial 2018 forecast, the ECB projected a 1.8% real GDP growth and a rise in the inflation rate to 1.6%, still short of its target of almost 2%. The fall in the Eurozone headline HICP inflation slowed in March (-0.1% vs -0.2% in February), while the core inflation edged up from 0.8% YoY in February to 0.9% YoY in March. The unemployment rate fell to 10.3% in January, the third straight month of declines and the lowest since August 2011. The final March composite PMI was revised down by 0.6 points from a more upbeat flash estimate of 53.7 as a result of weakness in the services sector. Although the Eurozone ended the first quarter on somewhat worse footing, the area will continue its subdued recovery, supported by an accommodative monetary policy stance. Meanwhile, citing the economic slowdown in China and other emerging markets, the European Commission trimmed its 2016 growth forecast for the Eurozone to 1.7% from 1.8%. However, it would still mark a moderate increase from the figure of 1.6% in 2015. The inflation estimate for this year was also adjusted down to 0.5% and remains far below the ECB s target. There were no domestic political events that materially changed the investment landscape within which the fund operates. Northern Trust Global Investments Limited London May 2016 134

THE NT HIGH QUALITY EURO GOVERNMENT BOND INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss Net Assets Investments in Transferable Securities Bonds: 98.45% (2015: 98.47%) Austria: 6.96% (2015: 6.99%) 250,000 Austria Government Bond 0.25% 18/10/2019 255,312 0.09 700,000 Austria Government Bond 1.15% 19/10/2018 727,860 0.26 250,000 Austria Government Bond 1.2% 20/10/2025 269,790 0.10 200,000 Austria Government Bond 1.5% 20/02/2047 212,820 0.07 500,000 Austria Government Bond 1.65% 21/10/2024 560,890 0.20 1,000,000 Austria Government Bond 1.75% 20/10/2023 1,126,540 0.40 1,000,000 Austria Government Bond 1.95% 18/06/2019 1,074,360 0.38 500,000 Austria Government Bond 2.4% 23/05/2034 619,975 0.22 600,000 Austria Government Bond 3.15% 20/06/2044 884,478 0.31 1,000,000 Austria Government Bond 3.4% 22/11/2022 1,228,850 0.43 1,100,000 Austria Government Bond 3.5% 15/09/2021 1,322,211 0.47 850,000 Austria Government Bond 3.65% 20/04/2022 1,043,868 0.37 300,000 Austria Government Bond 3.8% 26/01/2062 557,883 0.20 1,200,000 Austria Government Bond 3.9% 15/07/2020 1,417,548 0.50 1,050,000 Austria Government Bond 4.15% 15/03/2037 1,665,815 0.59 350,000 Austria Government Bond 4.3% 15/09/2017 374,189 0.13 1,150,000 Austria Government Bond 4.35% 15/03/2019 1,311,000 0.46 1,250,000 Austria Government Bond 4.65% 15/01/2018 1,363,888 0.48 1,930,000 Austria Government Bond 4.85% 15/03/2026 2,771,268 0.98 550,000 Austria Government Bond 6.25% 15/07/2027 896,714 0.32 Total Austria 19,685,259 6.96 Finland: 2.90% (2015: 2.83%) 350,000 Finland Government Bond 0.5% 15/04/2026 351,938 0.13 350,000 Finland Government Bond 0.75% 15/04/2031 348,078 0.12 450,000 Finland Government Bond 1.125% 15/09/2018 467,127 0.17 650,000 Finland Government Bond 1.5% 15/04/2023 716,294 0.25 150,000 Finland Government Bond 1.875% 15/04/2017 153,649 0.06 600,000 Finland Government Bond 2% 15/04/2024 687,534 0.24 400,000 Finland Government Bond 2.625% 04/07/2042 549,396 0.19 450,000 Finland Government Bond 2.75% 04/07/2028 565,056 0.20 1,050,000 Finland Government Bond 3.375% 15/04/2020 1,206,366 0.43 1,100,000 Finland Government Bond 3.5% 15/04/2021 1,305,568 0.46 450,000 Finland Government Bond 3.875% 15/09/2017 478,382 0.17 600,000 Finland Government Bond 4% 04/07/2025 803,736 0.28 500,000 Finland Government Bond 4.375% 04/07/2019 577,595 0.20 Total Finland 8,210,719 2.90 135

THE NT HIGH QUALITY EURO GOVERNMENT BOND INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets France: 44.28% (2015: 42.89%) 1,200,000 France Government Bond 0% 25/02/2018 1,209,156 0.43 2,600,000 France Government Bond 0% 25/05/2020 2,626,156 0.93 700,000 France Government Bond 0.25% 25/11/2020 714,553 0.25 2,000,000 France Government Bond 0.5% 25/11/2019 2,058,340 0.73 2,600,000 France Government Bond 1% 25/05/2018 2,678,130 0.95 1,550,000 France Government Bond 1% 25/11/2018 1,606,869 0.57 2,500,000 France Government Bond 1% 25/05/2019 2,605,225 0.92 2,500,000 France Government Bond 1% 25/11/2025 2,640,025 0.93 300,000 France Government Bond 1.5% 25/05/2031 324,690 0.11 2,900,000 France Government Bond 1.75% 25/05/2023 3,250,117 1.15 4,250,000 France Government Bond 1.75% 25/11/2024 4,795,020 1.69 2,850,000 France Government Bond 2.25% 25/10/2022 3,272,142 1.16 3,700,000 France Government Bond 2.25% 25/05/2024 4,320,971 1.53 2,950,000 France Government Bond 2.5% 25/10/2020 3,316,891 1.17 2,950,000 France Government Bond 2.5% 25/05/2030 3,604,723 1.27 3,400,000 France Government Bond 2.75% 25/10/2027 4,206,242 1.49 3,550,000 France Government Bond 3% 25/04/2022 4,211,933 1.49 3,350,000 France Government Bond 3.25% 25/10/2021 3,980,805 1.41 1,710,000 France Government Bond 3.25% 25/05/2045 2,476,148 0.88 4,300,000 France Government Bond 3.5% 25/04/2020 4,960,351 1.75 3,150,000 France Government Bond 3.5% 25/04/2026 4,099,253 1.45 1,800,000 France Government Bond 3.75% 25/04/2017 1,879,650 0.66 2,750,000 France Government Bond 3.75% 25/10/2019 3,149,603 1.11 3,300,000 France Government Bond 3.75% 25/04/2021 3,958,581 1.40 3,850,000 France Government Bond 4% 25/04/2018 4,200,273 1.49 2,450,000 France Government Bond 4% 25/10/2038 3,790,469 1.34 1,350,000 France Government Bond 4% 25/04/2055 2,338,268 0.83 1,050,000 France Government Bond 4% 25/04/2060 1,853,723 0.66 3,350,000 France Government Bond 4.25% 25/10/2017 3,595,488 1.27 2,750,000 France Government Bond 4.25% 25/10/2018 3,077,745 1.09 2,450,000 France Government Bond 4.25% 25/04/2019 2,796,210 0.99 4,050,000 France Government Bond 4.25% 25/10/2023 5,324,981 1.88 2,300,000 France Government Bond 4.5% 25/04/2041 3,901,122 1.38 2,420,000 France Government Bond 4.75% 25/04/2035 3,951,061 1.40 2,550,000 France Government Bond 5.5% 25/04/2029 4,069,927 1.44 2,850,000 France Government Bond 5.75% 25/10/2032 4,957,946 1.75 2,800,000 France Government Bond 6% 25/10/2025 4,303,236 1.52 1,650,000 France Government Bond 8.5% 25/10/2019 2,171,020 0.77 2,900,000 French Treasury Note BTAN 1% 25/07/2017 2,954,462 1.04 Total France 125,231,505 44.28 136

THE NT HIGH QUALITY EURO GOVERNMENT BOND INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Germany: 33.26% (2015: 34.07%) 850,000 Bundesobligation 0% 17/04/2020 864,543 0.31 850,000 Bundesobligation 0.25% 13/04/2018 862,826 0.31 2,000,000 Bundesobligation 0.25% 11/10/2019 2,050,520 0.73 2,000,000 Bundesobligation 0.25% 16/10/2020 2,058,100 0.73 3,300,000 Bundesobligation 0.5% 07/04/2017 3,333,066 1.18 1,900,000 Bundesobligation 0.5% 13/10/2017 1,928,557 0.68 4,250,000 Bundesobligation 0.5% 23/02/2018 4,329,305 1.53 1,000,000 Bundesobligation 0.5% 12/04/2019 1,029,870 0.36 2,100,000 Bundesobligation 1% 12/10/2018 2,179,968 0.77 1,650,000 Bundesobligation 1% 22/02/2019 1,721,197 0.61 3,250,000 Bundesrepublik Deutschland 0.5% 15/02/2025 3,384,258 1.20 400,000 Bundesrepublik Deutschland 0.5% 15/02/2026 413,408 0.15 1,950,000 Bundesrepublik Deutschland 1% 15/08/2024 2,120,157 0.75 1,350,000 Bundesrepublik Deutschland 1% 15/08/2025 1,463,670 0.52 1,450,000 Bundesrepublik Deutschland 1.5% 04/09/2022 1,614,430 0.57 2,050,000 Bundesrepublik Deutschland 1.5% 15/02/2023 2,292,125 0.81 2,950,000 Bundesrepublik Deutschland 1.5% 15/05/2023 3,306,360 1.17 2,400,000 Bundesrepublik Deutschland 1.75% 04/07/2022 2,704,896 0.96 2,150,000 Bundesrepublik Deutschland 1.75% 15/02/2024 2,465,706 0.87 1,550,000 Bundesrepublik Deutschland 2% 04/01/2022 1,756,615 0.62 2,600,000 Bundesrepublik Deutschland 2% 15/08/2023 3,017,300 1.07 1,400,000 Bundesrepublik Deutschland 2.25% 04/09/2020 1,566,376 0.55 1,600,000 Bundesrepublik Deutschland 2.25% 04/09/2021 1,825,888 0.65 1,700,000 Bundesrepublik Deutschland 2.5% 04/01/2021 1,934,515 0.68 1,650,000 Bundesrepublik Deutschland 2.5% 04/07/2044 2,356,398 0.83 1,300,000 Bundesrepublik Deutschland 2.5% 15/08/2046 1,879,215 0.66 2,300,000 Bundesrepublik Deutschland 3% 04/07/2020 2,636,697 0.93 2,300,000 Bundesrepublik Deutschland 3.25% 04/01/2020 2,622,460 0.93 1,800,000 Bundesrepublik Deutschland 3.25% 04/07/2021 2,142,306 0.76 1,250,000 Bundesrepublik Deutschland 3.25% 04/07/2042 1,983,375 0.70 2,000,000 Bundesrepublik Deutschland 3.5% 04/07/2019 2,259,700 0.80 1,800,000 Bundesrepublik Deutschland 3.75% 04/01/2019 2,011,176 0.71 1,000,000 Bundesrepublik Deutschland 4% 04/01/2018 1,079,190 0.38 2,350,000 Bundesrepublik Deutschland 4% 04/01/2037 3,853,248 1.36 1,750,000 Bundesrepublik Deutschland 4.25% 04/07/2017 1,854,125 0.66 1,900,000 Bundesrepublik Deutschland 4.25% 04/07/2018 2,103,851 0.74 1,100,000 Bundesrepublik Deutschland 4.25% 04/07/2039 1,925,748 0.68 950,000 Bundesrepublik Deutschland 4.75% 04/07/2028 1,462,791 0.52 1,800,000 Bundesrepublik Deutschland 4.75% 04/07/2034 3,093,444 1.09 1,350,000 Bundesrepublik Deutschland 4.75% 04/07/2040 2,550,001 0.90 1,600,000 Bundesrepublik Deutschland 5.5% 04/01/2031 2,749,680 0.97 1,050,000 Bundesrepublik Deutschland 5.625% 04/01/2028 1,706,376 0.60 1,000,000 Bundesrepublik Deutschland 6.25% 04/01/2030 1,792,700 0.63 1,050,000 Bundesrepublik Deutschland 6.5% 04/07/2027 1,787,373 0.63 Total Germany 94,073,510 33.26 137

THE NT HIGH QUALITY EURO GOVERNMENT BOND INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss Net Assets Netherlands: 11.05% (2015: 11.69%) 600,000 Netherlands Government Bond 0% 15/04/2018 605,370 0.21 1,150,000 Netherlands Government Bond 0.25% 15/07/2025 1,151,978 0.41 1,250,000 Netherlands Government Bond 0.5% 15/04/2017 1,262,750 0.45 400,000 Netherlands Government Bond 0.5% 15/07/2026 405,468 0.14 2,050,000 Netherlands Government Bond 1.25% 15/01/2018 2,113,304 0.75 1,500,000 Netherlands Government Bond 1.25% 15/01/2019 1,570,980 0.56 1,450,000 Netherlands Government Bond 1.75% 15/07/2023 1,636,934 0.58 1,600,000 Netherlands Government Bond 2% 15/07/2024 1,851,408 0.65 950,000 Netherlands Government Bond 2.25% 15/07/2022 1,093,507 0.39 1,100,000 Netherlands Government Bond 2.5% 15/01/2033 1,414,259 0.50 900,000 Netherlands Government Bond 2.75% 15/01/2047 1,328,751 0.47 1,850,000 Netherlands Government Bond 3.25% 15/07/2021 2,194,174 0.78 2,400,000 Netherlands Government Bond 3.5% 15/07/2020 2,797,512 0.99 1,400,000 Netherlands Government Bond 3.75% 15/01/2023 1,766,520 0.62 1,350,000 Netherlands Government Bond 3.75% 15/01/2042 2,251,219 0.80 1,600,000 Netherlands Government Bond 4% 15/07/2018 1,763,312 0.62 1,460,000 Netherlands Government Bond 4% 15/07/2019 1,673,072 0.59 1,250,000 Netherlands Government Bond 4% 15/01/2037 2,024,638 0.72 400,000 Netherlands Government Bond 4.5% 15/07/2017 425,636 0.15 1,200,000 Netherlands Government Bond 5.5% 15/01/2028 1,900,896 0.67 Total Netherlands 31,231,688 11.05 Total Bonds 278,432,681 98.45 Total Investments in Transferable Securities 278,432,681 98.45 UCITS Collective Investment Schemes: 0.71% (2015: 0.28%) 2,000,428 Northern Trust Global Funds - Euro Liquidity Fund 1,996,027 0.71 Total UCITS Collective Investment Schemes 1,996,027 0.71 Total Value of Investments 280,428,708 99.16 Cash at Bank 1,000 - Other Net Assets 2,382,166 0.84 Net Assets Attributable to Holders of Redeemable Participating Shares 282,811,874 100.00 138

THE NT HIGH QUALITY EURO GOVERNMENT BOND INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Portfolio Classification % of Total Assets Transferable securities admitted to an official stock exchange 97.01 UCITS Collective investment schemes admitted to an official stock exchange listing 0.70 Other current assets 2.29 100.00 139

THE NT HIGH QUALITY EURO GOVERNMENT BOND INDEX FUND PORTFOLIO CHANGES ACQUISITIONS, DISPOSALS AND MATURITIES (UNAUDITED) Schedule of material changes in investments for the year ended 31 March 2016 Acquisitions Cost Nominal Asset Name 2,700,000 France Government Bond 6% 25/10/2025 4,110,660 2,600,000 France Government Bond 0% 25/05/2020 2,579,847 2,500,000 France Government Bond 1% 25/11/2025 2,569,806 2,500,000 Bundesobligation 0.5% 23/02/2018 2,552,975 2,200,000 Bundesrepublik Deutschland 3.75% 04/01/2019 2,510,486 2,350,000 Bundesrepublik Deutschland 0.5% 15/02/2025 2,322,041 2,000,000 France Government Bond 0.5% 25/11/2019 2,052,140 2,000,000 Bundesobligation 0.25% 16/10/2020 2,032,200 1,600,000 Finland Government Bond 3.5% 15/04/2021 1,913,898 1,250,000 France Government Bond 3.5% 25/04/2026 1,597,331 1,350,000 Bundesrepublik Deutschland 1% 15/08/2025 1,444,966 1,200,000 Bundesrepublik Deutschland 1.5% 15/05/2023 1,322,544 1,100,000 France Government Bond 3% 25/04/2022 1,305,172 1,100,000 France Government Bond 3.5% 25/04/2020 1,281,093 1,150,000 Austria Government Bond 1.65% 21/10/2024 1,256,421 1,100,000 France Government Bond 4% 25/04/2018 1,229,506 1,200,000 France Government Bond 0% 25/02/2018 1,206,803 950,000 France Government Bond 2.5% 25/05/2030 1,116,068 950,000 France Government Bond 4.25% 25/04/2019 1,109,771 950,000 Netherlands Government Bond 3.5% 15/07/2020 1,107,389 850,000 France Government Bond 4.25% 25/10/2023 1,102,571 Disposals Proceeds Nominal Asset Name 4,200,000 France Government Bond 5% 25/10/2016 4,467,246 4,050,000 French Treasury Note BTAN 2.5% 25/07/2016 4,172,828 3,950,000 France Government Bond 3.25% 25/04/2016 4,081,456 4,000,000 Bundesobligation 1.25% 14/10/2016 4,072,792 3,700,000 Bundesrepublik Deutschland 4% 04/07/2016 3,850,436 3,300,000 Bundesrepublik Deutschland 3.75% 04/01/2019 3,751,059 3,350,000 France Government Bond 1% 25/05/2019 3,476,563 3,350,000 Bundesobligation 2.75% 08/04/2016 3,443,197 3,050,000 Bundesrepublik Deutschland 1.75% 15/02/2024 3,394,284 3,150,000 Bundesrepublik Deutschland 3.75% 04/01/2017 3,288,105 3,050,000 French Treasury Note BTAN 1.75% 25/02/2017 3,128,152 2,550,000 France Government Bond 2.75% 25/10/2027 3,044,190 2,750,000 France Government Bond 1.75% 25/05/2023 2,996,176 2,800,000 France Government Bond 3.75% 25/04/2017 2,953,788 1,900,000 France Government Bond 6% 25/10/2025 2,881,292 2,750,000 France Government Bond 1% 25/11/2018 2,846,714 2,750,000 Bundesobligation 0.75% 24/02/2017 2,784,733 2,300,000 France Government Bond 2.5% 25/10/2020 2,583,314 2,250,000 Bundesrepublik Deutschland 3.5% 04/07/2019 2,570,963 2,100,000 Netherlands Government Bond 4% 15/07/2019 2,439,069 1,550,000 France Government Bond 5.5% 25/04/2029 2,384,587 1,800,000 France Government Bond 3.25% 25/10/2021 2,117,376 1,750,000 France Government Bond 3% 25/04/2022 2,055,704 1,600,000 France Government Bond 3.5% 25/04/2026 2,008,099 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 140

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 29 November 2013 Fund Size $745.32 million Benchmark The Index to 30 November 2015: MSCI Emerging Markets Custom Low-Carbon Optimised Index The Index from 1 December 2015: Custom Index on MSCI EM (Emerging Markets) Low Carbon Leaders 10/50 Performance Data 6 Months 1 Year Since Inception Fund 6.23% -11.81% -5.63% Benchmark 6.24% -11.82% -5.57% Fund Review Portfolio Summary *Sector breakdown may not sum to 100% as the fund has a small allocation to futures for efficient portfolio management. Performance Commentary For the year ending March 2016, the fund returned -11.81% against a benchmark return of -11.82%. Since the fund inception date, the fund has posted an annualised return of -5.63% against an annualised benchmark return of -5.57%. The ex-post tracking error reported for one year is 0.31% and from inception to date is 0.21%. During the year the fund experienced net inflow of $274.99m. MSCI implemented changes to their series of indexes at the end of May 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 31 additions to and 27 deletions from the index. One-way index turnover was 2.58%. MSCI implemented changes to their series of indexes at the end of August 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 9 additions to and 4 deletions from the index. One-way index turnover was 0.66%. MSCI implemented changes to their series of indexes at the end of November 2014. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 21 additions to and 21 deletions from the index. One-way index turnover was 1.32%. 141

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) MSCI implemented changes to their series of indexes at the end of November 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 36 additions to and 37 deletions from the index. One-way index turnover was 3.53%. The index changes were carefully traded to minimise any deviation from the benchmark (resulting from trading costs) and were used as an opportunity to equitise some of the futures exposure. Northern Trust Global Investments Limited London May 2016 142

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss US$ Net Assets Investments in Transferable Securities Equities: 99.19% (2015: 99.53%) Brazil: 6.72% (2015: 8.34%) 993,600 AMBEV 5,276,397 0.71 23,000 B2W Cia Digital 92,805 0.01 157,641 Banco Bradesco 1,337,991 0.18 537,231 Banco Bradesco Pref 4,103,511 0.55 186,283 Banco do Brasil 1,039,169 0.14 83,960 Banco Santander Brasil 401,558 0.05 150,218 BB Seguridade Participacoes 1,258,881 0.17 371,844 BM & F Bovespa 1,613,702 0.22 105,731 BR Malls Participacoes 440,049 0.06 31,400 Braskem Pref 207,414 0.03 137,612 BRF - Brasil Foods 1,992,345 0.27 197,192 CCR 780,644 0.10 43,000 Centrais Eletricas Brasileiras Pref 127,398 0.02 51,500 CETIP- Mercados Organizados 583,444 0.08 37,509 Cia Brasileira de Distribuicao Grupo Pao de Acucar Pref 527,603 0.07 84,800 Cia de Saneamento Basico do Estado de Sao Paulo 573,788 0.08 159,459 Cia Energetica de Minas Gerais Pref 364,002 0.05 44,036 Cia Energetica de Sao Paulo Pref 197,069 0.03 25,268 Cia Paranaense de Energia Pref 204,269 0.03 123,100 Cia Siderurgica Nacional 248,354 0.03 183,284 Cielo 1,808,533 0.24 33,782 CosanIndustria e Comercio 299,215 0.04 54,241 CPFL Energia 299,978 0.04 86,245 Duratex 184,220 0.02 3,410 Duratex Rts 2,867-60,048 EDP - Energias do Brasil 213,489 0.03 143,284 Embraer 964,256 0.13 44,700 Equatorial Energia 516,623 0.07 57,357 Estacio Participacoes 191,298 0.03 52,957 Fibria Celulose 453,362 0.06 161,600 Gerdau Pref 297,300 0.04 81,382 Hypermarcas 645,729 0.09 636,778 Itau Unibanco Pref 5,607,743 0.75 159,900 JBS 494,048 0.07 120,200 Klabin 656,962 0.09 297,056 Kroton Educacional 962,247 0.13 34,546 Localiza Rent a Car 289,703 0.04 37,320 Lojas Americanas 120,995 0.02 138,414 Lojas Americanas Pref 649,109 0.09 144,805 Lojas Renner 849,463 0.11 8,405 M Dias Branco 159,776 0.02 17,500 Multiplan Empreendimentos Imobiliarios 265,166 0.03 33,863 Natura Cosmeticos 253,590 0.03 51,900 Odontoprev 166,947 0.02 143

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Brazil (continued) 591,800 Petroleo Brasileiro 1,775,066 0.24 884,700 Petroleo Brasileiro Pref 2,084,437 0.28 23,200 Porto Seguro 178,321 0.02 45,605 Qualicorp 191,351 0.03 47,300 Raia Drogasil 696,687 0.09 36,900 Sul America 167,112 0.02 83,602 Suzano Papel e Celulose Pref 298,646 0.04 82,658 Telefonica Brasil Pref 1,055,149 0.14 170,752 Tim Participacoes 385,445 0.05 30,521 TOTVS 234,247 0.03 41,100 Tractebel Energia 425,380 0.06 22,300 Transmissora Alianca de Energia Eletrica 126,979 0.02 86,613 Ultrapar Participacoes 1,705,621 0.23 280,800 Vale 1,200,372 0.16 403,800 Vale Pref 1,296,626 0.17 133,012 WEG 525,818 0.07 Total Brazil 50,070,269 6.72 Chile: 1.51% (2015: 1.37%) 832,465 Aguas Andinas 476,409 0.06 5,412,252 Banco de Chile 582,930 0.08 7,163 Banco de Credito e Inversiones 290,060 0.04 694 Banco de Credito e Inversiones Rts 1,494-14,992,587 Banco Santander Chile 730,061 0.10 305,983 Cencosud 772,940 0.10 37,950 Cia Cervecerias Unidas 428,312 0.06 2,277,159 Colbun 635,423 0.09 56,984 Embotelladora Andina Pref 187,379 0.03 921,117 Empresa Nacional de Electricidad 1,283,265 0.17 331,705 Empresas CMPC 775,182 0.10 138,922 Empresas COPEC 1,331,999 0.18 921,117 Endesa Americas 10,439-4,900,501 Enersis Americas 1,359,313 0.18 4,900,501 Enersis Chile 6,301-29,222 ENTEL Chile 258,391 0.04 38,544,280 Itau Corpbanca 353,022 0.05 132,071 SACI Falabella 923,802 0.12 24,674 Sociedad Quimica y Minera de Chile Pref 509,446 0.07 159,375 SONDA 307,451 0.04 Total Chile 11,223,619 1.51 Colombia: 0.62% (2015: 0.64%) 110,385 Bancolombia Pref 951,218 0.13 1,667,801 Ecopetrol 727,480 0.10 144

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Colombia (continued) 98,041 Grupo Argos 654,854 0.09 1,227,647 Grupo Aval Acciones y Valores Pref 478,261 0.06 59,014 Grupo de Inversiones Suramericana 784,032 0.10 39,356 Grupo de Inversiones Suramericana Pref 513,692 0.07 180,226 Interconexion Electrica 519,086 0.07 Total Colombia 4,628,623 0.62 Czech Republic: 0.23% (2015: 0.14%) 39,864 CEZ 704,199 0.10 3,846 Komercni Banka 850,664 0.11 12,460 O2 Czech Republic 131,497 0.02 Total Czech Republic 1,686,360 0.23 Egypt: 0.18% (2015: 0.23%) 218,085 Commercial International Bank Egypt 942,584 0.12 637,054 Global Telecom 219,527 0.03 277,525 Talaat Moustafa 198,769 0.03 Total Egypt 1,360,880 0.18 Greece: 0.48% (2015: 0.30%) 308,810 Alpha Bank 689,733 0.09 370,482 Eurobank Ergasias 328,880 0.04 12,728 Folli Follie 250,487 0.03 62,618 Hellenic Telecommunications Organization 567,283 0.08 30,678 Jumbo 416,013 0.06 1,501,989 National Bank of Greece 427,898 0.06 63,360 OPAP 446,208 0.06 1,528,974 Piraeus Bank 395,512 0.05 22,355 Public Power 79,990 0.01 Total Greece 3,602,004 0.48 Hong Kong: 0.92% (2015: 1.43%) 979,000 Belle International 566,709 0.08 396,000 China Gas 584,053 0.08 584,000 China Mengniu Dairy 929,093 0.12 594,500 China Resources Land 1,525,234 0.21 428,000 Far East Horizon 329,971 0.04 4,215,600 GCL-Poly Energy 695,666 0.09 2,708,258 GOME Electrical Appliances 391,056 0.05 290,000 Haier Electronics 505,482 0.07 145

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Hong Kong (continued) 580,000 New World China Land 589,979 0.08 950,000 Sino Biopharmaceutical 712,817 0.10 Total Hong Kong 6,830,060 0.92 Hungary: 0.37% (2015: 0.24%) 13,816 MOL Hungarian Oil and Gas 831,349 0.11 51,107 OTP Bank 1,283,860 0.17 32,378 Richter Gedeon 645,786 0.09 Total Hungary 2,760,995 0.37 India: 7.95% (2015: 7.65%) 198,098 Adani Ports and Special Economic Zone 740,970 0.10 1 Aditya Birla Fashion and Retail 2-19,369 Apollo Hospitals Enterprise 388,799 0.05 308,197 Ashok Leyland 505,420 0.07 72,445 Asian Paints 949,998 0.13 58,116 Aurobindo Pharma 653,714 0.09 21,651 Bajaj Auto 786,609 0.10 25,589 Bharat Forge 337,374 0.05 167,676 Bharat Heavy Electricals 288,269 0.04 23,204 Bharat Petroleum 316,862 0.04 262,718 Bharti Airtel 1,391,694 0.19 124,226 Bharti Infratel 716,495 0.10 1,958 Bosch 614,535 0.08 44,826 Cadila Healthcare 214,510 0.03 155,323 Cairn India 360,851 0.05 79,236 Cipla /India 612,554 0.08 135,079 Dabur India 509,740 0.07 20,803 Divi's Laboratories 310,133 0.04 25,563 Dr Reddy's Laboratories 1,171,638 0.16 2,905 Eicher Motors 841,400 0.11 106,543 GAIL India 573,399 0.08 2,397 GlaxoSmithKline Consumer Healthcare 218,507 0.03 28,220 Glenmark Pharmaceuticals 338,802 0.05 27,931 Godrej Consumer Products 582,387 0.07 121,645 HCL Technologies 1,495,431 0.20 13,758 Hero MotoCorp 611,981 0.08 261,691 Hindalco Industries 347,551 0.05 160,440 Hindustan Unilever 2,106,574 0.28 315,710 Housing Development Finance 5,270,852 0.71 254,166 ICICI Bank 908,277 0.12 253,566 Idea Cellular 421,956 0.06 63,910 Indiabulls Housing Finance 627,205 0.08 387,711 Infosys 7,132,747 0.96 146

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets India (continued) 75,005 Larsen & Toubro 1,378,060 0.18 69,507 LIC Housing Finance 517,609 0.07 46,805 Lupin 1,045,510 0.14 82,732 Mahindra & Mahindra 1,512,532 0.20 63,573 Mahindra & Mahindra Financial Services 234,286 0.03 118,590 Marico 437,488 0.06 23,863 Maruti Suzuki India 1,339,153 0.18 94,467 Motherson Sumi Systems 380,093 0.05 5,757 Nestle India 500,511 0.07 240,818 Oil & Natural Gas 778,574 0.10 15,027 Piramal Enterprises 235,188 0.03 74,857 Power Finance 193,692 0.02 209,681 Reliance Communications 158,316 0.02 286,983 Reliance Industries 4,529,497 0.61 78,061 Rural Electrification 195,911 0.03 35,349 Shriram Transport Finance 508,783 0.07 20,931 Siemens /Kolkata 347,583 0.05 339,772 State Bank of India 996,651 0.13 203,953 Sun Pharmaceutical Industries 2,525,448 0.34 101,133 Tata Consultancy Services 3,848,926 0.52 182,801 Tata Motors 1,067,173 0.14 106,918 Tata Motors Class A 465,549 0.06 91,214 Tata Power 89,048 0.01 52,718 Tech Mahindra 378,095 0.05 20,653 United Breweries 258,028 0.03 13,201 United Spirits 498,238 0.07 70,898 UPL 511,427 0.07 140,300 Wipro 1,195,429 0.16 137,018 Zee Entertainment Enterprises 800,621 0.11 Total India 59,274,655 7.95 Indonesia: 2.78% (2015: 2.71%) 413,114 AKR Corporindo 216,527 0.03 89,900 Astra Agro Lestari 123,392 0.02 4,442,500 Astra International 2,428,969 0.32 2,640,400 Bank Central Asia 2,648,365 0.36 754,800 Bank Danamon Indonesia 216,308 0.03 2,070,200 Bank Mandiri Persero 1,608,074 0.21 1,692,600 Bank Negara Indonesia Persero 663,765 0.09 2,367,100 Bank Rakyat Indonesia Persero 2,039,526 0.27 2,283,800 Bumi Serpong Damai 316,046 0.04 1,636,000 Charoen Pokphand Indonesia 442,929 0.06 1,621,700 Global Mediacom 147,372 0.02 120,400 Gudang Garam 592,920 0.08 83,900 Hanjaya Mandala Sampoerna 622,606 0.08 263,000 Indofood CBP Sukses Makmur 301,478 0.04 147

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Indonesia (continued) 1,150,100 Indofood Sukses Makmur 626,657 0.08 641,200 Jasa Marga Persero 261,122 0.04 4,976,400 Kalbe Farma 542,300 0.07 4,006,400 Lippo Karawaci 315,738 0.04 533,200 Matahari Department Store 737,875 0.10 1,248,800 Media Nusantara Citra 205,308 0.03 2,644,600 Perusahaan Gas Negara Persero 521,541 0.07 2,228,800 Summarecon Agung 266,414 0.04 1,293,000 Surya Citra Media 306,186 0.04 10,740,100 Telekomunikasi Indonesia Persero 2,693,125 0.36 406,400 Tower Bersama Infrastructure 178,528 0.02 321,200 Unilever Indonesia 1,039,782 0.14 423,500 United Tractors 488,654 0.07 621,500 XL Axiata 187,481 0.03 Total Indonesia 20,738,988 2.78 Malaysia: 3.50% (2015: 3.35%) 245,200 Alliance Financial 260,818 0.03 465,100 AMMB 548,369 0.07 379,700 Astro Malaysia 290,991 0.04 565,364 Axiata 853,516 0.11 167,400 Berjaya Sports Toto 135,585 0.02 31,400 British American Tobacco Malaysia 434,924 0.06 1,105,202 CIMB 1,373,889 0.18 1,098,500 Dialog 450,493 0.06 734,500 DiGi.Com 930,009 0.13 268,400 Felda Global Ventures 103,879 0.01 516,400 Gamuda 651,208 0.09 531,600 Genting 1,335,302 0.18 707,800 Genting Malaysia 823,635 0.11 71,400 Genting Plantations 204,967 0.03 135,800 HAP Seng Consolidated 262,098 0.04 129,900 Hartalega 161,480 0.02 141,000 Hong Leong Bank 487,889 0.07 59,700 Hong Leong Financial 237,484 0.03 559,400 IHH Healthcare 940,578 0.13 881,500 IJM Corp 797,564 0.11 670,800 IOI Corp 785,738 0.11 339,800 IOI Properties 201,189 0.03 101,200 Kuala Lumpur Kepong 622,530 0.08 997,350 Malayan Banking 2,305,805 0.31 188,800 Malaysia Airports 329,063 0.04 389,100 Maxis 633,291 0.08 677,900 Petronas Chemicals 1,165,887 0.16 148

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Malaysia (continued) 57,400 Petronas Dagangan 354,566 0.05 166,200 Petronas Gas 937,178 0.13 122,600 PPB 524,778 0.07 533,230 Public Bank 2,566,720 0.34 163,300 RHB Capital 246,949 0.03 790,900 SapuraKencana Petroleum 377,053 0.05 219,139 Telekom Malaysia 370,708 0.05 735,100 Tenaga Nasional 2,626,501 0.35 158,600 UMW 279,273 0.04 230,900 Westports 244,423 0.03 383,200 YTL Corp 161,079 0.02 163,500 YTL Power International 62,022 0.01 Total Malaysia 26,079,431 3.50 Mexico: 4.10% (2015: 4.16%) 6,726,018 America Movil Series L 5,270,845 0.71 114,779 Arca Continental 799,875 0.11 128,000 Coca-Cola Femsa 1,072,234 0.14 48,058 El Puerto de Liverpool 572,790 0.08 408,900 Fomento Economico Mexicano 3,979,783 0.53 284,311 Gentera 563,388 0.08 46,615 Gruma 744,496 0.10 76,910 Grupo Aeroportuario del Pacifico 691,742 0.09 55,211 Grupo Aeroportuario del Sureste 838,390 0.11 415,549 Grupo Bimbo 1,238,324 0.17 155,799 Grupo Carso Series A 732,461 0.10 101,124 Grupo Comercial Chedrauide 324,418 0.04 538,509 Grupo Financiero Banorte 3,061,483 0.41 520,580 Grupo Financiero Inbursa 1,047,676 0.14 412,513 Grupo Financiero Santander Mexico 754,608 0.10 189,905 Grupo Lala 521,698 0.07 934,700 Grupo Mexico 2,271,608 0.30 527,503 Grupo Televisa SAB 2,928,734 0.39 28,816 Industrias Penoles 365,258 0.05 331,702 Kimberly-Clark de Mexico 804,589 0.11 295,794 Mexichem 730,607 0.10 186,624 OHL Mexico 297,723 0.04 71,517 Promotora y Operadora de Infraestructura 958,637 0.13 Total Mexico 30,571,367 4.10 Netherlands: 0.56% (2015: 0.00%) 629,083 Steinhoff International 4,142,418 0.56 Total Netherlands 4,142,418 0.56 149

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China: 23.27% (2015: 22.16%) 8,200 58.com ADR 456,330 0.06 161,500 AAC Technologies 1,234,692 0.17 4,934,000 Agricultural Bank of China 1,774,740 0.24 103,293 Alibaba ADR 8,163,246 1.10 560,000 Alibaba Health Information Technology 341,492 0.05 2,030,000 Alibaba Pictures 463,234 0.06 868,000 Aluminum of China 276,406 0.04 217,000 ANTA Sports Products 477,836 0.06 519,000 AviChina Industry & Technology 389,423 0.05 28,429 Baidu ADR 5,426,528 0.73 16,603,000 Bank of China 6,892,453 0.92 1,863,000 Bank of Communications 1,224,939 0.16 356,000 Beijing Capital International Airport 380,025 0.05 121,500 Beijing Enterprises 664,944 0.09 968,000 Beijing Enterprises Water 606,517 0.08 678,000 Brilliance China Automotive 701,902 0.09 142,000 Byd 814,666 0.11 2,036,000 China Cinda Asset Management 713,967 0.10 1,840,000 China CITIC Bank 1,126,790 0.15 973,000 China Communications Construction 1,162,851 0.16 634,000 China Communications Services 289,350 0.04 310,500 China Conch Venture 612,469 0.08 17,490,000 China Construction Bank 11,161,599 1.50 220,000 China Everbright 461,752 0.06 881,000 China Everbright Bank 428,202 0.06 738,000 China Galaxy Securities 718,348 0.10 851,925 China Huishan Dairy 320,712 0.04 142,100 China International Marine Containers 222,771 0.03 982,000 China Jinmao 273,462 0.04 1,565,000 China Life Insurance 3,861,781 0.52 717,000 China Longyuan Power 530,594 0.07 226,000 China Medical System 313,511 0.04 973,500 China Merchants Bank 2,045,761 0.27 271,055 China Merchants International 805,489 0.11 1,292,800 China Minsheng Banking 1,206,706 0.16 1,273,000 China Mobile 14,188,118 1.90 421,745 China Oilfield Services 329,499 0.04 838,000 China Overseas Land & Investment 2,652,326 0.36 563,800 China Pacific Insurance 2,107,922 0.28 5,492,000 China Petroleum & Chemical 3,603,958 0.48 910,000 China Railway 691,016 0.09 464,500 China Railway Construction 552,737 0.07 252,828 China Resources Beer 470,678 0.06 197,898 China Resources Gas 565,128 0.08 772,500 China Shenhua Energy 1,215,038 0.16 432,000 China State Construction International 643,833 0.09 352,796 China Taiping Insurance 775,041 0.10 150

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China (continued) 2,884,000 China Telecom 1,524,441 0.20 1,242,000 China Unicom Hong Kong 1,639,657 0.22 283,600 China Vanke 695,422 0.09 185,000 Chongqing Changan Automobile 346,552 0.05 540,000 Chongqing Rural Commercial Bank 285,436 0.04 964,327 CITIC Pacific 1,467,026 0.20 472,500 CITIC Securities 1,107,458 0.15 3,907,603 CNOOC 4,614,635 0.62 473,104 COSCO Pacific 619,700 0.08 1,265,559 Country Garden 502,533 0.07 941,379 CRRC 947,866 0.13 880,000 CSPC Pharmaceutical 796,437 0.11 27,810 Ctrip.com International ADR 1,230,871 0.17 127,900 Dalian Wanda Commercial Properties 757,683 0.10 610,000 Dongfeng Motor 761,266 0.10 162,000 ENN Energy 888,681 0.12 922,000 Evergrande Real Estate 712,015 0.10 1,215,000 Geely Automobile 601,505 0.08 317,600 GF Securities 774,699 0.10 664,500 Great Wall Motor 539,718 0.07 622,000 Guangdong Investment 786,667 0.11 574,000 Guangzhou Automobile 597,196 0.08 272,800 Guangzhou R&F Properties 391,093 0.05 150,000 Haitian International 257,202 0.03 724,400 Haitong Securities 1,238,378 0.17 154,500 Hengan International 1,340,525 0.18 1,116,000 Huaneng Renewables 346,747 0.05 342,554 Huatai Securities 815,253 0.11 15,378,000 Industrial & Commercial Bank of China 8,604,408 1.15 37,700 JD.com ADR 999,050 0.13 324,000 Jiangsu Expressway 436,091 0.06 400,000 Jiangxi Copper 480,110 0.06 200,962 Kingsoft 471,020 0.06 812,000 Kunlun Energy 705,582 0.09 1,609,676 Lenovo 1,253,449 0.17 340,500 Longfor Properties 485,516 0.07 264,000 Luye Pharma 204,214 0.03 8,600 NetEase ADR 1,234,788 0.17 174,100 New China Life Insurance 613,886 0.08 14,600 New Oriental Education & Technology ADR 505,014 0.07 377,000 Nine Dragons Paper 285,306 0.04 1,461,000 People's Insurance of China 617,811 0.08 4,588,000 PetroChina 3,052,140 0.41 834,474 PICC Property & Casualty 1,529,832 0.21 1,095,000 Ping An Insurance 5,237,444 0.70 10,200 Qihoo 360 Technology ADR 770,610 0.10 6,700 Qunar Cayman Islands ADR 265,990 0.04 8,306,000 Semiconductor Manufacturing International 738,877 0.10 151

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China (continued) 368,000 Shandong Weigao Medical Polymer 234,372 0.03 632,000 Shanghai Electric 288,438 0.04 86,500 Shanghai Fosun Pharmaceutical 238,650 0.03 177,000 Shanghai Industrial 417,139 0.06 114,500 Shanghai Lujiazui Finance & Trade Zone Development 381,972 0.05 174,900 Shanghai Pharmaceuticals 345,446 0.05 322,500 Shimao Property 477,313 0.06 1,018,981 Shui On Land 274,564 0.04 790,326 Sino-Ocean Land 373,942 0.05 305,500 Sinopec Engineering 247,344 0.03 796,000 Sinopec Shanghai Petrochemical 403,308 0.05 260,400 Sinopharm 1,176,686 0.16 433,000 Sinotrans 189,243 0.03 500,000 SOHO China 238,508 0.03 26,100 SouFun ADR 156,339 0.02 526,000 Sun Art Retail 372,297 0.05 450,000 Sunac China 302,841 0.04 5,500 TAL Education ADR 273,240 0.04 1,075,700 Tencent 21,967,354 2.95 440,000 Tingyi Cayman Islands 491,817 0.07 234,000 TravelSky Technology 383,134 0.05 86,000 Tsingtao Brewery 326,524 0.04 43,800 Vipshop ADR 564,144 0.08 1,234,000 Want Want China 914,775 0.12 235,000 Weichai Power 263,281 0.04 14,000 Youku Tudou ADR 384,860 0.05 1,924,547 Yuexiu Property 277,893 0.04 3,300 YY ADR 203,247 0.03 360,000 Zhejiang Expressway 386,151 0.05 117,134 Zhuzhou CSR Times Electric 684,089 0.09 1,118,000 Zijin Mining 345,927 0.05 222,560 ZTE 406,295 0.05 Total People's Republic of China 173,409,715 23.27 Peru: 0.51% (2015: 0.44%) 57,400 Cia de Minas Buenaventura ADR 422,464 0.06 15,697 Credicorp 2,056,464 0.28 47,200 Southern Copper 1,307,912 0.17 Total Peru 3,786,840 0.51 152

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Philippines: 1.56% (2015: 1.48%) 435,500 Aboitiz Power 415,685 0.06 717,900 Alliance Global Group 257,256 0.04 55,880 Ayala 910,197 0.12 1,656,000 Ayala Land 1,267,760 0.17 191,530 Bank of the Philippine Islands 361,888 0.05 364,430 BDO Unibank 809,669 0.11 1,255,400 DMCI 365,346 0.05 2,713,100 Energy Development 346,466 0.05 8,160 Globe Telecom 393,424 0.05 207,000 International Container Terminal Services 304,352 0.04 635,730 JG Summit 1,095,563 0.15 109,330 Jollibee Foods 538,993 0.07 3,541,000 Megaworld 319,148 0.04 86,530 Metropolitan Bank & Trust 154,944 0.02 21,565 Philippine Long Distance Telephone 927,325 0.12 458,800 Robinsons Land 278,000 0.04 46,930 SM Investments 967,750 0.13 1,942,100 SM Prime 925,814 0.12 205,830 Universal Robina 969,138 0.13 Total Philippines 11,608,718 1.56 Poland: 1.43% (2015: 1.67%) 10,721 Alior Bank 187,118 0.03 7,645 Bank Handlowy w Warszawie 185,892 0.02 129,607 Bank Millennium 203,017 0.03 28,747 Bank Pekao 1,272,101 0.17 8,159 Bank Zachodni WBK 672,774 0.09 5,421 CCC 232,678 0.03 58,950 Cyfrowy Polsat 384,405 0.05 24,088 Enea 77,146 0.01 41,964 Energa 147,814 0.02 21,293 Eurocash 305,215 0.04 27,755 Grupa Lotos 207,609 0.03 39,888 KGHM Polska Miedz 815,572 0.11 301 LPP 444,800 0.06 3,900 mbank 356,270 0.05 134,625 Orange Polska 243,793 0.03 71,496 Polski Koncern Naftowy Orlen S.A. 1,419,585 0.19 476,110 Polskie Gornictwo Naftowe i Gazownictwo 680,541 0.09 191,432 Powszechna Kasa Oszczednosci Bank Polski 1,429,864 0.19 125,012 Powszechny Zaklad Ubezpieczen 1,195,741 0.16 250,193 Synthos 258,132 0.03 Total Poland 10,720,067 1.43 153

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Qatar: 0.95% (2015: 0.74%) 22,802 Barwa Real Estate 226,680 0.03 33,272 Commercial Bank QSC 380,562 0.05 32,089 Doha Bank 327,376 0.04 171,463 Ezdan 856,985 0.11 39,198 Industries Qatar 1,165,800 0.16 83,213 Masraf Al Rayan 815,814 0.11 18,069 Ooredoo 461,476 0.06 21,566 Qatar Insurance SAQ 490,971 0.07 4,313 Qatar InsuranceSAQ Rts 36,717-12,257 Qatar Islamic Bank SAQ 348,719 0.05 44,655 Qatar National Bank SAQ 1,726,650 0.23 77,758 Vodafone Qatar 263,080 0.04 Total Qatar 7,100,830 0.95 Republic of South Korea: 15.62% (2015: 14.27%) 6,861 Amorepacific 2,318,797 0.31 6,318 Amorepacific Group 809,363 0.11 2,046 Amorepacific Pref 394,494 0.05 1,894 BGF retail 271,612 0.04 65,874 BNK Financial 558,742 0.07 14,772 Celltrion 1,418,301 0.19 20,552 Cheil Worldwide 305,512 0.04 3,362 CJ 574,739 0.08 1,928 CJ CheilJedang 585,852 0.08 4,095 CJ E&M 228,455 0.03 12,030 Coway 1,015,123 0.14 7,282 Daelim Industrial 578,816 0.08 29,535 Daewoo Engineering & Construction 162,189 0.02 46,319 Daewoo Securities 334,958 0.04 37,234 DGB Financial Group 289,771 0.04 9,907 Dongbu Insurance 657,521 0.09 7,416 Dongsuh Cos 208,486 0.03 2,035 Doosan 157,305 0.02 12,619 Doosan Heavy Industries & Construction 238,344 0.03 4,704 E-MART 721,889 0.10 12,417 GS Engineering & Construction 296,418 0.04 5,821 GS Retail 239,997 0.03 63,640 Hana Financial Group 1,380,091 0.19 18,198 Hankook Tire 865,662 0.12 1,102 Hanmi Pharm 673,573 0.09 2,321 Hanmi Science 302,404 0.04 47,595 Hanon Systems 382,891 0.05 2,228 Hanssem 435,430 0.06 25,065 Hanwha Chemical 546,845 0.07 154

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Republic of South Korea (continued) 49,058 Hanwha Life Insurance 287,416 0.04 7,620 Hotel Shilla 443,101 0.06 5,569 Hyosung 701,238 0.09 3,948 Hyundai Department Store 474,685 0.06 13,896 Hyundai Development 558,343 0.07 19,906 Hyundai Engineering & Construction 733,681 0.10 4,098 Hyundai Glovis 675,475 0.09 9,475 Hyundai Heavy Industries 882,378 0.12 16,351 Hyundai Marine & Fire Insurance 474,688 0.06 14,639 Hyundai Mobis 3,187,400 0.43 32,168 Hyundai Motor 4,289,629 0.58 7,755 Hyundai Motor 2nd Pref 718,809 0.10 4,732 Hyundai Motor Pref 430,332 0.06 19,950 Hyundai Steel 968,193 0.13 4,063 Hyundai Wia 373,046 0.05 60,256 Industrial Bank of Korea 645,449 0.09 6,585 Kakao 571,207 0.08 26,904 Kangwon Land 962,201 0.13 81,570 KB Financial Group 2,271,777 0.30 5,530 KEPCO Plant Service & Engineering 309,962 0.04 56,237 Kia Motors 2,375,172 0.32 13,328 Korea Aerospace Industries 759,868 0.10 53,330 Korea Electric Power Corporation 2,807,333 0.38 8,792 Korea Gas 294,835 0.04 9,928 Korea Investment 381,546 0.05 2,103 Korea Zinc 885,445 0.12 9,503 KT 247,630 0.03 23,449 KT&G 2,255,500 0.30 4,620 Kumho Petro chemical 235,121 0.03 9,915 LG Chem 2,839,422 0.38 1,820 LG Chem Pref 361,263 0.05 23,833 LG Electronics 1,283,764 0.17 2,001 LG Household & Health Care 1,653,502 0.22 3,612 LG Innotek 250,465 0.03 50,618 LG Uplus 489,095 0.07 3,600 Lotte Chemical 1,075,026 0.14 132 Lotte Chilsung Beverage 209,958 0.03 137 Lotte Confectionery 307,639 0.04 2,586 Lotte Shopping 567,581 0.08 19,564 Mirae Asset Securities 399,457 0.05 5,956 NAVER 3,317,569 0.45 3,904 NCSoft 865,393 0.12 39,306 NH Investment & Securities 341,298 0.05 3,644 OCI 337,761 0.05 796 Orion Corp/Republic of South Korea 636,187 0.09 271 Ottogi 214,933 0.03 155

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Republic of South Korea (continued) 9,811 Paradise 124,396 0.02 15,116 POSCO 2,901,331 0.39 13,162 Posco Daewoo 248,600 0.03 5,009 S1 387,194 0.05 16,228 Samsung C&T 2,029,210 0.27 9,025 Samsung Card 297,124 0.04 13,702 Samsung Electro-Mechanics 704,510 0.09 23,090 Samsung Electronics 26,490,101 3.55 4,209 Samsung Electronics Pref 4,074,294 0.55 7,602 Samsung Fire & Marine Insurance 1,960,992 0.26 33,948 Samsung Heavy Industries 328,022 0.04 17,397 Samsung Life Insurance 1,787,467 0.24 12,334 Samsung SDI 1,067,739 0.14 6,605 Samsung SDS 1,010,734 0.13 14,713 Samsung Securities 513,977 0.07 89,700 Shinhan Financial 3,176,679 0.43 1,695 Shinsegae 300,879 0.04 7,689 SK 1,499,342 0.20 14,681 SK Innovation 2,208,055 0.30 33,436 SK Networks 187,120 0.02 4,728 SK Telecom 862,004 0.12 11,147 S-Oil 954,260 0.13 73,909 Woori Bank 611,384 0.08 1,645 Yuhan 403,482 0.05 Total Republic of South Korea 116,434,249 15.62 Romania: 0.07% (2015: 0.00%) 43,708 New Europe Property Investments 558,148 0.07 Total Romania 558,148 0.07 Russian Federation: 3.46% (2015: 2.93%) 524,800 Alrosa 546,307 0.07 124,505 Lukoil 4,882,622 0.66 4,300 Magnit 678,507 0.09 38,844 Magnit GDR 1,551,818 0.21 33,242 MegaFon GDR 365,662 0.05 13,715 MMC Norilsk Nickel 1,784,632 0.24 135,593 Mobile TeleSystems ADR 1,096,947 0.15 424,684 Moscow Exchange MICEX-RTS 667,261 0.09 22,692 Novatek GDR 2,038,876 0.27 479,010 Rosneft 2,186,567 0.29 349,365 Rostelecom 515,217 0.07 38,961,000 RusHydro ADR 405,285 0.05 2,589,107 Sberbank of Russia 4,255,801 0.57 156

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Russian Federation (continued) 65,560 Severstal 698,156 0.09 29,677 Sistema GDR 191,713 0.03 416,404 Sistema JSFC 108,990 0.01 2,318,300 Surgutneftegas 1,376,902 0.19 1,555,000 Surgutneftegas Pref 1,045,660 0.14 1,214,026,767 VTB Bank 1,392,331 0.19 Total Russian Federation 25,789,254 3.46 South Africa: 6.02% (2015: 8.19%) 67,667 African Bank Investments 1,426-12,417 Anglo American Platinum 305,512 0.04 84,628 AngloGold Ashanti 1,176,668 0.16 75,974 Aspen Pharmacare 1,653,886 0.22 81,058 Barclays Africa 824,413 0.11 79,798 Barloworld 410,166 0.06 79,243 Bidvest 2,009,630 0.27 74,400 Brait 844,765 0.11 7,425 Capitec Bank 289,281 0.04 58,060 Coronation Fund Managers 289,747 0.04 87,846 Discovery 725,679 0.10 794,403 FirstRand 2,612,542 0.35 46,242 Foschini Group 444,688 0.06 168,039 Gold Fields 667,792 0.09 129,114 Impala Platinum 412,589 0.05 41,691 Imperial 426,321 0.06 80,889 Investec 604,468 0.08 35,902 Liberty 352,893 0.05 245,730 Life Healthcare 596,114 0.08 286,476 MMI 484,991 0.07 29,599 Mondi 571,352 0.08 57,668 Mr Price 695,678 0.09 350,245 MTN 3,219,549 0.43 83,531 Naspers 11,705,017 1.57 52,749 Nedbank 696,661 0.09 259,382 Netcare 636,639 0.08 53,645 Pick n Pay Stores 256,189 0.03 30,475 Pioneer Foods 288,091 0.04 20,558 PSG 280,247 0.04 202,930 Rand Merchant Investment 574,242 0.08 213,171 RMB 887,874 0.12 401,627 Sanlam 1,870,236 0.25 134,250 Sappi 596,677 0.08 108,203 Shoprite 1,277,278 0.17 41,414 SPAR Group 560,334 0.08 269,659 Standard Bank 2,428,911 0.32 98,412 Truworths International 657,195 0.09 157

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets South Africa (continued) 128,047 Tsogo Sun 205,808 0.03 82,907 Vodacom 904,886 0.12 227,941 Woolworths 1,389,684 0.19 Total South Africa 44,836,119 6.02 Taiwan: 11.56% (2015: 12.60%) 1,456,400 Acer 558,866 0.07 1,787,000 Advanced Semiconductor Engineering 2,079,392 0.28 108,264 Advantech 795,564 0.11 668,000 Asia Pacific Telecom 229,350 0.03 187,000 Asustek Computer 1,679,188 0.23 72,000 Casetek 391,499 0.05 160,000 Catcher Technology 1,312,453 0.18 1,927,900 Cathay Financial 2,309,239 0.31 360,248 Chailease 627,949 0.08 1,762,090 Chang Hwa Commercial Bank 903,383 0.12 596,000 Cheng Shin Rubber Industry 1,198,148 0.16 253,663 Chicony Electronics 652,601 0.09 3,768,000 China Development Financial 1,006,861 0.14 988,690 China Life Insurance Taiwan 760,318 0.10 943,000 Chunghwa Telecom 3,208,380 0.43 1,373,000 Compal Electronics 861,751 0.12 3,579,414 CTBC Financial 1,890,692 0.25 491,852 Delta Electronics 2,170,115 0.29 1,860,057 E.Sun Financial 1,040,300 0.14 1,492,337 Far Eastern New Century 1,219,502 0.16 440,000 Far EasTone Telecommunications 985,707 0.13 80,000 Feng TAY Enterprise 425,056 0.06 2,879,368 First Financial 1,422,507 0.19 894,000 Formosa Chemicals & Fibre 2,227,778 0.30 457,000 Formosa Petrochemical 1,313,463 0.18 1,134,000 Formosa Plastics 2,811,745 0.38 315,347 Foxconn Technology 707,434 0.10 1,525,000 Fubon Financial 1,942,736 0.26 83,000 Giant Manufacturing 479,679 0.06 12,000 Hermes Microvision 343,028 0.05 224,150 Highwealth Construction 327,338 0.04 81,255 Hiwin Technologies 359,770 0.05 3,265,000 Hon Hai Precision Industry 8,602,784 1.16 67,000 Hotai Motor 736,950 0.10 183,000 HTC 524,254 0.07 2,398,052 Hua Nan Financial 1,192,171 0.16 931,000 Inventec 590,119 0.08 23,000 Largan Precision 1,783,029 0.24 870,022 Lite-On Technology 1,062,387 0.14 158

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Taiwan (continued) 362,730 MediaTek 2,783,815 0.37 2,750,205 Mega Financial 1,956,863 0.26 73,550 Merida Industry 325,655 0.04 1,282,000 Nan Ya Plastics 2,692,742 0.36 258,000 Novatek Microelectronics 1,038,125 0.14 26,000 OBI Pharma 319,103 0.04 509,000 Pegatron 1,187,730 0.16 92,000 Phison Electronics 748,944 0.10 550,000 Pou Chen 700,659 0.10 346,000 Powertech Technology 784,800 0.11 163,000 President Chain Store 1,187,655 0.16 903,000 Quanta Computer 1,576,827 0.21 185,000 Radiant Opto-Electronics 358,688 0.05 272,000 Realtek Semiconductor 747,949 0.10 353,450 Ruentex Development 447,523 0.06 3,560,924 Shin Kong Financial 714,752 0.10 744,511 Siliconware Precision Industries 1,202,914 0.16 165,000 Simplo Technology 592,142 0.08 3,309,424 SinoPac Financial 1,023,141 0.14 183,318 Standard Foods 454,536 0.06 750,000 Synnex Technology International 772,511 0.10 3,036,639 Taishin Financial 1,070,900 0.14 2,566,000 Taiwan Business Bank 680,089 0.09 2,602,693 Taiwan Cooperative Financial 1,164,516 0.16 453,000 Taiwan Fertilizer 684,764 0.09 463,000 Taiwan Mobile 1,503,340 0.20 630,000 Teco Electric and Machinery 513,842 0.07 207,000 Transcend Information 639,961 0.09 1,146,659 Uni-President Enterprises 2,012,995 0.27 869,243 Wistron 537,470 0.07 781,000 WPG 832,348 0.11 3,204,880 Yuanta Financial 1,145,169 0.15 532,000 Yulon Motor 516,561 0.07 212,000 Zhen Ding Technology 474,273 0.06 Total Taiwan 86,126,788 11.56 Thailand: 2.29% (2015: 2.52%) 219,700 Advanced Info Service Receipt 1,136,595 0.15 105,199 Airports of Thailand Receipt 1,202,103 0.16 16,400 Bangkok Bank Receipt 83,911 0.01 919,000 Bangkok Dusit Medical Services Receipt 611,273 0.08 206,000 BEC World Receipt 165,421 0.02 78,400 Bumrungrad Hospital 472,450 0.06 329,900 Central Pattana Receipt 482,941 0.06 783,199 Charoen Pokphand Foods Receipt 543,208 0.07 959,699 CP ALL Receipt 1,248,045 0.17 159

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Thailand (continued) 296,000 Energy Absolute 187,629 0.03 1,209,100 Home Product Center 283,544 0.04 484,000 Indorama Ventures Receipt 313,678 0.04 3,450,500 IRPC Receipt 495,311 0.07 378,800 Kasikornbank Receipt 1,862,774 0.25 851,100 Krung Thai Bank Receipt 452,404 0.06 364,100 PTT Exploration & Production Receipt 727,062 0.10 478,100 PTT Global Chemical 822,202 0.11 57,700 PTT Global Chemical Receipt 99,228 0.01 231,700 PTT Receipt 1,844,116 0.25 98,700 Siam Cement Receipt 1,307,396 0.18 354,400 Siam Commercial Bank Receipt 1,420,421 0.19 244,499 Thai Oil Receipt 481,284 0.06 411,300 Thai Union Frozen Products 244,348 0.03 2,816,900 TMB Bank 201,779 0.03 2,017,509 True 435,846 0.06 Total Thailand 17,124,969 2.29 Turkey: 1.62% (2015: 1.39%) 486,881 Akbank 1,386,790 0.19 51,521 Anadolu Efes Biracilik Ve Malt Sanayii 392,304 0.05 57,448 Arcelik 390,917 0.05 46,163 BIM Birlesik Magazalar 1,000,906 0.13 21,954 Coca-Cola Icecek 320,301 0.04 195,794 Enka Insaat ve Sanayi 339,338 0.05 325,614 Eregli Demir ve Celik Fabrikalari 490,323 0.07 19,238 Ford Otomotiv Sanayi 253,755 0.03 186,388 KOC 947,264 0.13 226,257 Petkim Petrokimya 320,618 0.04 42,181 TAV Havalimanlari 251,825 0.03 32,190 Tofas Turk Otomobil Fabrikasi 261,343 0.04 31,904 Tupras Turkiye Petrol Rafinerileri 899,095 0.12 94,045 Turk Telekomunikasyon 223,113 0.03 186,813 Turkcell Iletisim Hizmetleri 786,211 0.11 507,143 Turkiye Garanti Bankasi 1,484,128 0.20 147,171 Turkiye Halk Bankasi 547,246 0.07 365,724 Turkiye Is Bankasi 605,275 0.08 278,660 Turkiye Sise ve Cam Fabrikalari 362,217 0.05 169,747 Turkiye Vakiflar Bankasi 283,947 0.04 30,612 Ulker Biskuvi Sanayi 227,223 0.03 192,808 Yapi ve Kredi Bankasi 284,176 0.04 Total Turkey 12,058,315 1.62 160

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets United Arab Emirates: 0.91% (2015: 0.58%) 388,655 Abu Dhabi Commercial Bank 708,954 0.10 660,913 Aldar Properties 494,830 0.07 522,706 Arabtec 233,389 0.03 36,248 DP World 681,100 0.09 452,918 Dubai Financial Market 167,702 0.02 206,884 Dubai Islamic Bank 334,011 0.04 402,613 Emaar Malls 315,689 0.04 748,516 Emaar Properties 1,226,808 0.17 353,934 Emirates Telecommunications Group 1,782,679 0.24 167,873 First Gulf Bank 537,029 0.07 131,161 National Bank of Abu Dhabi 312,101 0.04 Total United Arab Emirates 6,794,292 0.91 Total Equities 739,317,973 99.19 Total Investments in Transferable Securities 739,317,973 99.19 UCITS Collective Investment Schemes: 0.29% (2015: 0.01%) 9,064 Northern Trust Global Funds - Euro Liquidity Fund 10,307-2,127,000 Northern Trust Global Funds - US Dollar Fund 2,127,000 0.29 Total UCITS Collective Investment Schemes 2,137,307 0.29 Unrealised Fair Value No. of Gain % of Counterparty Description US$ Contracts US$ Net Assets Financial Derivative Instruments Dealt on a Regulated Market Futures Contracts: 0.04% (2015: 0.02%) Citigroup Liffe E-Mini MSCI Emerging Market June 2016 5,712,215 137 273,400 0.04 Total Futures Contracts 273,400 0.04 Total Value of Investments 741,728,680 99.52 Cash at Bank 1,129,988 0.15 Margin Cash 566,192 0.08 Other Net Assets 1,893,513 0.25 Net Assets Attributable to Holders of Redeemable Participating Shares 745,318,373 100.00 161

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Portfolio Classification % of Total Assets Transferable securities admitted to an official stock exchange listing 99.16 UCITS Collective investment schemes admitted to an official stock exchange listing 0.29 Financial derivative instruments dealt on a regulated market 0.04 Other current assets 0.51 100.00 162

THE NT EMERGING MARKETS CUSTOM LOW CARBON OPTIMISED EQUITY INDEX FUND PORTFOLIO CHANGES ACQUISITIONS AND DISPOSALS (UNAUDITED) Schedule of material changes in investments for the year ended 31 March 2016 Acquisitions Cost Nominal Asset Name US$ 1,273,000 China Mobile 14,894,237 12,366 Samsung Electronics 13,693,406 104,900 Alibaba ADR 8,823,498 3,265,000 Hon Hai Precision Industry 8,369,235 406,400 Tencent 7,780,793 29,100 Baidu ADR 6,295,951 1,328,000 Taiwan Semiconductor Manufacturing 5,687,126 993,600 Ambev 5,204,899 1,764,300 Grupo Mexico 5,066,234 124,505 Lukoil 4,737,181 32,355 Naspers 4,694,701 6,483,000 China Construction Bank 4,579,705 3,907,603 CNOOC 4,314,468 286,983 Reliance Industries 4,166,326 408,900 Fomento Economico Mexicano 3,885,010 6,157,000 Industrial & Commercial Bank of China 3,822,353 5,492,000 China Petroleum & Chemical 3,365,990 4,588,000 PetroChina 3,257,479 6,951,000 Bank of China 3,167,425 2,107,680 Sberbank of Russia 3,062,621 Disposals Proceeds Nominal Asset Name US$ 3,846,000 Taiwan Semiconductor Manufacturing 16,325,081 504,900 Ultrapar Participacoes 8,334,775 45,440 SK Innovation 4,597,456 88,685 GS 3,971,186 33,454,300 IRPC Receipt 3,960,191 1,843,089 Sberbank of Russia 2,829,789 446,400 CosanIndustria e Comercio 2,743,813 5,074,800 SapuraKencana Petroleum 2,692,334 1,619,200 Thai Oil Receipt 2,671,011 9,902,400 Bumi Armada 2,663,380 4,777,000 Bank of China 2,432,428 1,931,000 Taiwan Fertilizer 2,387,167 174,636 Bharat Petroleum 2,307,550 80,052 SK Hynix 2,220,137 248,000 Ping An Insurance 2,186,574 375,200 Petronas Dagangan 2,186,516 413,989 ITC 2,122,963 1,570,230 Rostelecom 2,068,528 154,279 Asian Paints 1,939,595 96700 Tencent 1,929,423 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 163

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 8 January 2014 Fund Size $534.42 million Benchmark MSCI Emerging Markets Custom ESG Index Performance Data 6 Months 1 Year Since Inception Fund 6.23% -11.86% -3.97% Benchmark 6.27% -11.82% -3.88% Fund Review Portfolio Summary *Sector breakdown may not sum to 100% as the fund has a small allocation to futures for efficient portfolio management. Performance Commentary During the year ending March 2016, the fund returned -11.86% against a benchmark return of -11.82%. Since the fund inception date, the fund has posted an annualised return of -3.97% against an annualised benchmark return of -3.88%. The ex-post tracking error reported for one year is 0.27% and from inception to date is 0.28%. During the year the fund experienced a net inflow of $347.85m. MSCI implemented changes to their series of indexes at the end of May 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 31 additions to and 27 deletions from the index. One-way index turnover was 2.58%. MSCI implemented changes to their series of indexes at the end of August 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 9 additions to and 4 deletions from the index. One-way index turnover was 0.66%. 164

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) MSCI implemented changes to their series of indexes at the end of November 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 36 additions to and 37 deletions from the index. One-way index turnover was 3.53%. MSCI implemented changes to their series of indexes at the end of February 2016. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 2 additions to and 2 deletions from the index. One-way index turnover was 0.39%. The index changes were carefully traded to minimise any deviation from the benchmark (resulting from trading costs) and were used as an opportunity to equitise some of the futures exposure. Northern Trust Global Investments Limited London May 2016 165

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss US$ Net Assets Investment in Tranferable Securities Equities: 98.83% (2015: 98.36%) Brazil: 4.47% (2015: 4.68%) 18,000 B2W Cia Digital 72,630 0.01 119,720 Banco Bradesco 1,016,134 0.19 392,065 Banco Bradesco Pref 2,994,695 0.56 138,200 Banco do Brasil 770,941 0.14 62,470 Banco Santander Brasil 298,777 0.06 271,400 BM & F Bovespa 1,177,802 0.22 65,600 BR Malls Participacoes 273,025 0.05 23,100 Braskem Pref 152,588 0.03 101,959 BRF 1,476,161 0.28 132,200 CCR 523,354 0.10 38,900 Centrais Eletricas Brasileiras 115,251 0.02 33,610 CETIP- Mercados Organizados 380,768 0.07 23,500 Cia Brasileira de Distribuicao Grupo Pao de Acucar Pref 330,552 0.06 112,000 Cia Energetica de Minas Gerais Pref 255,666 0.05 133,300 Cielo 1,315,322 0.25 18,000 CosanIndustria e Comercio 159,430 0.03 53,111 Duratex 113,445 0.02 1,159 Duratex Rts 975-32,400 EDP - Energias do Brasil 115,192 0.02 100,300 Embraer 674,987 0.13 27,000 Equatorial Energia 312,054 0.06 48,300 Estacio Participacoes 161,091 0.03 37,500 Fibria Celulose 321,036 0.06 141,500 Gerdau Pref 260,322 0.04 52,400 Hypermarcas 415,770 0.08 471,700 Itau Unibanco Pref 4,153,995 0.78 106,800 JBS 329,983 0.06 208,016 Kroton Educacional 673,822 0.13 23,600 Localiza Rent a Car 197,910 0.04 95,500 Lojas Renner 560,227 0.10 5,800 M Dias Branco 110,256 0.02 26,000 Natura Cosmeticos 194,707 0.04 52,500 Odontoprev 168,877 0.03 40,900 Qualicorp 171,609 0.03 32,300 Raia Drogasil 475,751 0.09 33,400 Sul America 151,261 0.03 55,000 Suzano Papel e Celulose Pref 196,473 0.04 62,906 Telefonica Brasil Pref 803,010 0.15 126,300 Tim Participacoes 285,102 0.05 19,900 TOTVS 152,731 0.03 18,700 Transmissora Alianca de Energia Eletrica 106,480 0.02 57,000 Ultrapar Participacoes 1,122,469 0.21 166

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US $ Net Assets Brazil (continued) 84,792 WEG 335,196 0.06 Total Brazil 23,877,827 4.47 Chile: 1.24% (2015: 1.42%) 379,570 AES Gener 192,123 0.04 396,781 Aguas Andinas 227,073 0.04 5,469 Banco de Credito e Inversiones 221,463 0.04 342 Banco de Credito e Inversiones Rts 736-9,969,495 Banco Santander Chile 485,463 0.09 191,113 Cencosud 482,768 0.09 22,406 Cia Cervecerias Unidas 252,879 0.05 1,189,646 Colbun 331,961 0.06 35,165 Embotelladora Andina Pref 115,632 0.02 501,167 Empresa Nacional de Electricidad 698,207 0.13 189,605 Empresas CMPC 443,100 0.09 68,442 Empresas COPEC 656,229 0.12 311,127 Endesa Americas 3,526-3,149,269 Enersis Americas 873,552 0.16 1,902,349 Enersis Chile 2,446-18,879 ENTEL Chile 166,935 0.03 22,946,354 Itau Corpbanca 210,163 0.04 45,273 Latam Airlines 317,945 0.06 74,490 SACI Falabella 521,038 0.10 14,386 Sociedad Quimica y Minera de Chile Pref 297,029 0.06 62,139 SONDA 119,873 0.02 Total Chile 6,620,141 1.24 Colombia: 0.50% (2015: 0.67%) 70,401 Bancolombia Pref 606,665 0.11 61,274 Cementos Argos 237,076 0.04 4,634 Corp Financiera Colombiana 59,991 0.01 8,352 Corp Financiera Colombiana Class C 106,344 0.02 730,003 Ecopetrol 318,421 0.06 44,620 Grupo Argos 298,034 0.06 524,720 Grupo Aval Acciones y Valores Pref 204,418 0.04 35,461 Grupo de Inversiones Suramericana 471,118 0.09 14,540 Grupo de Inversiones Suramericana Pref 189,782 0.04 61,911 Interconexion Electrica 178,316 0.03 Total Colombia 2,670,165 0.50 167

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Czech Republic: 0.19% (2015: 0.22%) 27,354 CEZ 483,209 0.09 2,319 Komercni Banka 512,920 0.10 Total Czech Republic 996,129 0.19 Egypt: 0.19% (2015: 0.21%) 163,897 Commercial International Bank Egypt 708,379 0.13 434,551 Global Telecom 149,745 0.03 184,565 Talaat Moustafa 132,189 0.03 Total Egypt 990,313 0.19 Greece: 0.44% (2015: 0.34%) 208,680 Alpha Bank AE 466,091 0.09 290,523 Eurobank Ergasias 257,900 0.05 4,399 Folli Follie 86,572 0.02 38,009 Hellenic Telecommunications Organization 344,340 0.06 16,048 Jumbo 217,621 0.04 827,989 National Bank of Greece 235,884 0.04 34,693 OPAP 244,323 0.05 1,005,318 Piraeus Bank 260,054 0.05 28,541 Public Power 102,125 0.02 5,849 Titan Cement 125,906 0.02 Total Greece 2,340,816 0.44 Hong Kong: 1.02% (2015: 1.47%) 1,500,000 Alibaba Pictures 342,291 0.06 697,739 Belle International 403,897 0.08 294,000 China Gas 433,615 0.08 412,000 China Mengniu Dairy 655,456 0.12 438,444 China Resources Land 1,124,860 0.21 262,000 Far East Horizon 201,992 0.04 1,943,800 GCL-Poly Energy 320,769 0.06 1,774,185 GOME Electrical Appliances 256,182 0.05 189,000 Haier Electronics 329,435 0.06 394,000 New World China Land 400,779 0.07 84,000 Shenzhou International 457,007 0.09 732,000 Sino Biopharmaceutical 549,244 0.10 Total Hong Kong 5,475,527 1.02 168

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Hungary: 0.33% (2015: 0.22%) 5,555 MOL Hungarian Oil and Gas 334,261 0.06 38,202 OTP Bank 959,673 0.18 23,709 Richter Gedeon 472,881 0.09 Total Hungary 1,766,815 0.33 India: 7.94% (2015: 7.15%) 7,849 ACC 163,789 0.03 123,101 Adani Ports and Special Economic Zone 460,450 0.09 101,196 Ambuja Cements 355,365 0.07 11,740 Apollo Hospitals Enterprise 235,660 0.04 176,280 Ashok Leyland 289,086 0.05 42,864 Asian Paints 562,091 0.11 43,567 Aurobindo Pharma 490,061 0.09 88,550 Axis Bank 593,899 0.11 14,173 Bajaj Auto 514,924 0.10 15,327 Bharat Forge 202,076 0.04 13,282 Bharat Petroleum 181,372 0.03 188,833 Bharti Airtel 1,000,304 0.19 85,027 Bharti Infratel 490,408 0.09 1,130 Bosch 354,660 0.07 34,527 Cadila Healthcare 165,225 0.03 76,811 Cairn India 178,450 0.03 56,913 Cipla 439,981 0.08 103,393 Coal India 455,821 0.09 4,561 Container of India 85,634 0.02 77,267 Dabur India 291,578 0.05 11,615 Divi's Laboratories 173,157 0.03 18,806 Dr Reddy's Laboratories 861,942 0.16 2,012 Eicher Motors 582,753 0.11 1,771 GlaxoSmithKline Consumer Healthcare 161,442 0.03 21,314 Glenmark Pharmaceuticals 255,890 0.05 17,610 Godrej Consumer Products 367,185 0.07 88,984 HCL Technologies 1,093,916 0.20 7,572 Hero MotoCorp 336,817 0.06 160,130 Hindalco Industries 212,668 0.04 118,390 Hindustan Unilever 1,554,458 0.29 233,077 Housing Development Finance 3,891,275 0.73 164,279 ICICI Bank 587,061 0.11 165,047 Idea Cellular 274,653 0.05 43,577 Indiabulls Housing Finance 427,660 0.08 285,634 Infosys 5,254,829 0.98 12,337 JSW Steel 239,065 0.04 40,653 LIC Housing Finance 302,737 0.05 35,458 Lupin 792,046 0.15 58,944 Mahindra & Mahindra 1,077,632 0.20 169

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets India (continued) 44,284 Mahindra & Mahindra Financial Services 163,200 0.03 68,837 Marico 253,945 0.05 16,873 Maruti Suzuki India 946,886 0.18 46,937 Motherson Sumi Systems 188,854 0.04 3,457 Nestle India 300,550 0.06 168,592 NTPC 328,032 0.06 127,148 Oil & Natural Gas 411,075 0.08 10,948 Piramal Enterprises 171,347 0.03 49,125 Power Finance 127,110 0.02 152,257 Reliance Communications 114,959 0.02 201,980 Reliance Industries 3,187,882 0.60 51,779 Rural Electrification 129,951 0.02 1,337 Shree Cement 250,764 0.05 21,725 Shriram Transport Finance 312,691 0.06 10,421 Siemens 173,053 0.03 248,912 State Bank of India 730,132 0.14 148,931 Sun Pharmaceutical Industries 1,844,138 0.34 73,649 Tata Consultancy Services 2,802,938 0.52 120,786 Tata Motors 705,136 0.13 56,712 Tata Motors Class A 246,939 0.05 43,865 Tata Steel 211,766 0.04 35,958 Tech Mahindra 257,892 0.05 5,509 UltraTech Cement 268,597 0.05 11,436 United Breweries 142,876 0.03 8,646 United Spirits 326,321 0.06 41,728 UPL 301,007 0.06 140,326 Vedanta 190,393 0.04 99,002 Wipro 843,548 0.16 94,016 Zee Entertainment Enterprises 549,352 0.10 Total India 42,439,354 7.94 Indonesia: 2.69% (2015: 2.89%) 1,803,100 Adaro Energy 87,707 0.02 312,456 AKR Corporindo 163,768 0.03 56,900 Astra Agro Lestari 78,098 0.01 3,170,100 Astra International 1,733,275 0.32 1,942,200 Bank Central Asia 1,948,059 0.36 533,399 Bank Danamon Indonesia 152,859 0.03 1,478,600 Bank Mandiri Persero 1,148,535 0.21 1,116,000 Bank Negara Indonesia Persero 437,647 0.08 1,743,700 Bank Rakyat Indonesia Persero 1,502,396 0.28 1,234,400 Bumi Serpong Damai 170,824 0.03 1,101,500 Charoen Pokphand Indonesia 298,219 0.06 1,343,500 Global Mediacom 122,090 0.02 170

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Indonesia (continued) 222,100 Indocement Tunggal Prakarsa 330,386 0.06 172,400 Indofood CBP Sukses Makmur 197,623 0.04 652,800 Indofood Sukses Makmur 355,692 0.07 391,900 Jasa Marga Persero 159,597 0.03 3,141,400 Kalbe Farma 342,332 0.06 3,031,700 Lippo Karawaci 238,924 0.05 349,300 Matahari Department Store 483,383 0.10 786,000 Media Nusantara Citra 129,222 0.03 1,626,200 Perusahaan Gas Negara Persero 320,702 0.06 448,300 Semen Indonesia Persero 344,001 0.06 1,510,100 Summarecon Agung 180,506 0.03 871,400 Surya Citra Media 206,350 0.04 7,880,900 Telekomunikasi Indonesia Persero 1,976,168 0.37 335,600 Tower Bersama Infrastructure 147,426 0.03 230,200 Unilever Indonesia 745,199 0.14 250,800 United Tractors 289,385 0.05 400,100 XL Axiata 120,694 0.02 Total Indonesia 14,411,067 2.69 Malaysia: 3.64% (2015: 3.68%) 180,000 AirAsia 84,429 0.02 175,500 Alliance Financial 186,678 0.03 285,600 AMMB 336,732 0.06 242,900 Astro Malaysia 186,152 0.03 429,259 Axiata 648,042 0.12 128,067 Berjaya Sports Toto 103,727 0.02 470,300 Bumi Armada 95,229 0.02 807,161 CIMB 1,003,391 0.19 619,956 Dialog 254,243 0.05 563,400 DiGi.Com 713,366 0.13 191,100 Felda Global Ventures 73,962 0.01 248,000 Gamuda 312,741 0.06 356,000 Genting 894,220 0.17 487,700 Genting Malaysia 567,515 0.11 40,700 Genting Plantations 116,837 0.02 98,600 HAP Seng Consolidated 190,301 0.04 114,400 Hartalega 142,212 0.03 98,712 Hong Leong Bank 341,564 0.06 35,901 Hong Leong Financial 142,813 0.03 375,200 IHH Healthcare 630,863 0.12 449,400 IJM Corp 406,608 0.08 432,000 IOI Corp 506,021 0.09 200,083 IOI Properties 118,465 0.02 70,600 Kuala Lumpur Kepong 434,295 0.08 65,900 Lafarge Malaysia 152,018 0.03 171

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Malaysia (continued) 759,725 Malayan Banking 1,756,432 0.33 122,372 Malaysia Airports 213,285 0.04 279,700 Maxis 455,234 0.09 169,400 MISC 386,431 0.07 448,900 Petronas Chemicals 772,041 0.14 36,600 Petronas Dagangan 226,082 0.04 112,000 Petronas Gas 631,552 0.12 69,900 PPB 299,200 0.06 393,890 Public Bank 1,896,003 0.35 104,600 RHB Capital 158,180 0.03 505,700 SapuraKencana Petroleum 241,087 0.05 488,738 Sime Darby 995,891 0.19 168,352 Telekom Malaysia 284,794 0.05 524,800 Tenaga Nasional 1,875,102 0.35 93,300 UMW 164,288 0.03 158,900 Westports 168,206 0.03 655,100 YTL Corp 275,372 0.05 Total Malaysia 19,441,604 3.64 Mexico: 3.99% (2015: 4.22%) 447,207 Alfa 905,230 0.17 4,913,954 America Movil 3,850,821 0.72 61,100 Arca Continental 425,795 0.08 2,104,550 Cemex 1,541,165 0.29 74,700 Coca-Cola Femsa 625,749 0.12 28,320 El Puerto de Liverpool 337,538 0.06 391,234 Fibra Uno Administracionde Reits 916,804 0.17 288,199 Fomento Economico Mexicano 2,805,012 0.52 158,100 Gentera 313,289 0.06 47,000 Grupo Aeroportuario del Pacifico 422,726 0.08 31,665 Grupo Aeroportuario del Sureste 480,839 0.09 264,400 Grupo Bimbo 787,904 0.15 57,500 Grupo Comercial Chedrauide 184,467 0.03 390,122 Grupo Financiero Banorte 2,217,887 0.42 351,200 Grupo Financiero Inbursa 706,796 0.13 273,700 Grupo Financiero Santander Mexico 500,678 0.09 93,200 Grupo Lala 256,035 0.05 382,106 Grupo Televisa SAB 2,121,480 0.40 20,759 Industrias Penoles 263,131 0.05 231,000 Kimberly-Clark de Mexico 560,323 0.11 156,900 Mexichem 387,541 0.07 127,300 OHL Mexico 203,083 0.04 37,595 Promotora y Operadora de Infraestructura 503,936 0.09 Total Mexico 21,318,229 3.99 172

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Netherlands: 0.56% (2015: 0.00%) 453,406 Steinhoff International 2,985,611 0.56 Total Netherlands 2,985,611 0.56 People's Republic of China: 23.68% (2015: 21.94%) 5,600 58.com ADR 311,640 0.06 118,000 AAC Technologies 902,128 0.17 3,636,264 Agricultural Bank of China 1,307,950 0.24 276,000 Air China 196,061 0.04 77,000 Alibaba ADR 6,085,310 1.14 366,000 Alibaba Health Information Technology 223,189 0.04 584,000 Aluminum of China 185,969 0.03 186,500 Anhui Conch Cement 500,119 0.09 150,000 ANTA Sports Products 330,301 0.06 316,000 AviChina Industry & Technology 237,105 0.04 21,000 Baidu ADR 4,008,480 0.75 12,371,275 Bank of China 5,135,725 0.96 1,323,000 Bank of Communications 869,884 0.16 224,000 Beijing Capital International Airport 239,117 0.04 76,284 Beijing Enterprises 417,487 0.08 650,237 Beijing Enterprises Water 407,417 0.08 454,000 Brilliance China Automotive 470,005 0.09 96,613 BYD 554,277 0.10 137,000 CAR 160,729 0.03 1,321,000 CGN Power 447,909 0.08 1,445,000 China Cinda Asset Management 506,720 0.09 1,320,000 China CITIC Bank 808,349 0.15 431,000 China Coal Energy 178,922 0.03 711,000 China Communications Construction 849,730 0.16 378,000 China Communications Services 172,515 0.03 232,000 China Conch Venture 457,626 0.09 13,112,057 China Construction Bank 8,367,726 1.57 436,495 China COSCO 169,386 0.03 138,000 China Everbright 289,644 0.05 520,000 China Everbright Bank 252,741 0.05 369,000 China Everbright International 411,980 0.08 552,500 China Galaxy Securities 537,787 0.10 621,000 China Huishan Dairy 233,779 0.04 91,300 China International Marine Containers 143,132 0.03 642,000 China Jinmao 178,781 0.03 1,158,920 China Life Insurance 2,859,742 0.54 474,106 China Longyuan Power 350,848 0.07 178,000 China Medical System 246,924 0.05 718,000 China Merchants Bank 1,508,841 0.28 194,889 China Merchants International 579,148 0.11 173

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China (continued) 889,829 China Minsheng Banking 830,571 0.16 956,869 China Mobile 10,664,706 2.00 434,000 China National Building Material 201,430 0.04 273,510 China Oilfield Services 213,687 0.04 618,126 China Overseas Land & Investment 1,956,410 0.37 412,600 China Pacific Insurance 1,542,619 0.29 4,008,000 China Petroleum & Chemical 2,630,128 0.49 520,000 China Power International Development 269,501 0.05 599,000 China Railway 454,856 0.09 294,500 China Railway Construction 350,444 0.07 182,483 China Resources Beer 339,720 0.06 152,000 China Resources Gas 434,059 0.08 286,912 China Resources Power 536,350 0.10 543,927 China Shenhua Energy 855,523 0.16 701,000 China Shipping Container Lines 159,964 0.03 274,000 China Southern Airlines 172,739 0.03 274,000 China State Construction International 408,357 0.08 267,534 China Taiping Insurance 587,733 0.11 2,194,000 China Telecom 1,159,717 0.22 942,000 China Unicom Hong Kong 1,243,604 0.23 202,400 China Vanke 496,309 0.09 80,700 Chongqing Changan Automobile 151,172 0.03 370,000 Chongqing Rural Commercial Bank 195,577 0.04 691,299 CITIC 1,051,670 0.20 325,500 CITIC Securities 762,915 0.14 2,788,861 CNOOC 3,293,470 0.62 268,515 COSCO Pacific 351,717 0.07 850,140 Country Garden 337,577 0.06 661,824 CRRC 666,385 0.12 620,000 CSPC Pharmaceutical 561,126 0.10 20,900 Ctrip.com International ADR 925,034 0.17 88,200 Dalian Wanda Commercial Properties 522,499 0.10 526,000 Datang International Power Generation 162,075 0.03 412,000 Dongfeng Motor 514,167 0.10 114,000 ENN Energy 625,368 0.12 628,000 Evergrande Real Estate 484,973 0.09 322,416 Fosun International 458,899 0.09 800,000 Geely Automobile 396,052 0.07 226,000 GF Securities 551,266 0.10 470,000 Great Wall Motor 381,742 0.07 422,000 Guangdong Investment 533,719 0.10 336,000 Guangzhou Automobile 349,578 0.07 151,597 Guangzhou R&F Properties 217,334 0.04 109,000 Haitian International 186,900 0.03 517,601 Haitong Securities 884,851 0.17 174

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China (continued) 116,000 Hengan International 1,006,478 0.19 270,000 Huadian Power International 171,958 0.03 632,000 Huaneng Power International 565,468 0.11 646,000 Huaneng Renewables 200,716 0.04 242,400 Huatai Securities 576,894 0.11 11,479,034 Industrial & Commercial Bank of China 6,422,831 1.20 27,700 JD.com ADR 734,050 0.14 186,000 Jiangsu Expressway 250,348 0.05 128,000 Kingsoft 300,010 0.06 482,000 Kunlun Energy 418,831 0.08 1,153,214 Lenovo 898,004 0.16 219,500 Longfor Properties 312,983 0.05 202,000 Luye Pharma 156,255 0.02 6,300 NetEase ADR 904,554 0.17 116,200 New China Life Insurance 409,727 0.08 10,100 New Oriental Education and Technology ADR 349,359 0.07 254,000 Nine Dragons Paper 192,222 0.04 993,000 People's Insurance of China 419,908 0.08 616,718 PICC Property & Casualty 1,130,623 0.21 812,000 Ping An Insurance 3,883,840 0.73 7,100 Qihoo 360 Technology ADR 536,405 0.10 4,300 Qunar Cayman Islands ADR 170,710 0.03 4,111,000 Semiconductor Manufacturing International 365,703 0.07 284,000 Shandong Weigao Medical Polymer 180,874 0.03 422,000 Shanghai Electric 192,596 0.04 63,000 Shanghai Fosun Pharmaceutical 173,814 0.03 51,400 Shanghai Lujiazui Finance and Trade Zone Development 171,470 0.03 104,000 Shanghai Pharmaceuticals 205,411 0.04 239,500 Shimao Property 354,469 0.07 622,000 Shui On Land 167,598 0.03 512,493 Sino-Ocean Land 242,485 0.05 198,500 Sinopec Engineering 160,713 0.03 542,000 Sinopec Shanghai Petrochemical 274,614 0.05 180,000 Sinopharm 813,377 0.15 237,000 Sinotrans 103,581 0.02 328,000 SOHO China 156,461 0.03 17,000 SouFun ADR 101,830 0.02 356,817 Sun Art Retail 252,551 0.05 277,000 Sunac China 186,415 0.03 3,400 TAL Education ADR 168,912 0.03 803,998 Tencent 16,418,805 3.07 292,000 Tingyi Cayman Islands 326,387 0.06 140,000 TravelSky Technology 229,226 0.04 60,000 Tsingtao Brewery 227,807 0.04 30,000 Vipshop ADR 386,400 0.07 945,000 Want Want China 700,537 0.13 175

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China (continued) 153,000 Weichai Power 171,413 0.03 319,283 Yanzhou Coal Mining 166,710 0.03 9,200 Youku Tudou ADR 252,908 0.05 1,120,899 Yuexiu Property 161,851 0.03 2,700 YY ADR 166,293 0.03 214,000 Zhejiang Expressway 229,545 0.04 87,000 Zhuzhou CRRC Times Electric 508,100 0.10 78,760 ZTE 143,781 0.03 Total People's Republic of China 126,544,427 23.68 Peru: 0.30% (2015: 0.32%) 29,800 Cia de Minas Buenaventura ADR 219,328 0.04 10,600 Credicorp 1,388,706 0.26 Total Peru 1,608,034 0.30 Philippines: 1.52% (2015: 1.47%) 286,940 Aboitiz Equity Ventures 405,062 0.08 222,300 Aboitiz Power 212,186 0.04 423,600 Alliance Global Group 151,795 0.03 32,520 Ayala 529,699 0.10 1,174,000 Ayala Land 898,762 0.17 119,682 Bank of the Philippine Islands 226,134 0.04 247,110 BDO Unibank 549,014 0.10 592,300 DMCI 172,371 0.03 1,416,500 Energy Development 180,889 0.03 4,930 Globe Telecom 237,694 0.04 11,815 GT Capital 356,670 0.07 91,950 International Container Terminal Services 135,194 0.03 403,550 JG Summit 695,443 0.13 64,970 Jollibee Foods 320,299 0.06 1,899,900 Megaworld 171,237 0.03 2,047,800 Metro Pacific Investments 261,062 0.05 54,112 Metropolitan Bank & Trust 96,895 0.02 14,605 Philippine Long Distance Telephone 628,036 0.12 306,600 Robinsons Land 185,778 0.03 23,780 SM Investments 490,371 0.09 1,249,600 SM Prime 595,694 0.11 130,540 Universal Robina 614,639 0.12 Total Philippines 8,114,924 1.52 176

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Poland: 1.45% (2015: 1.57%) 7,749 Alior Bank 135,247 0.03 5,215 Bank Handlowy w Warszawie 126,806 0.02 107,170 Bank Millennium 167,872 0.03 21,178 Bank Pekao 937,160 0.18 5,264 Bank Zachodni WBK 434,058 0.08 4,348 CCC 186,623 0.03 29,285 Cyfrowy Polsat 190,963 0.04 31,982 Enea 102,428 0.02 24,695 Energa 86,986 0.02 7,000 Grupa Azoty 181,117 0.03 13,456 Grupa Lotos 100,652 0.02 21,085 KGHM Polska Miedz 431,115 0.08 195 LPP 288,159 0.05 2,239 mbank 204,535 0.04 115,827 Orange Polska 209,751 0.04 126,800 PGE 476,279 0.09 51,211 Polski Koncern Naftowy Orlen S.A. 1,016,817 0.19 267,649 Polskie Gornictwo Naftowe i Gazownictwo 382,571 0.07 132,709 Powszechna Kasa Oszczednosci Bank Polski 991,244 0.19 85,327 Powszechny Zaklad Ubezpieczen 816,153 0.15 109,434 Synthos 112,906 0.02 186,737 Tauron Polska Energia 151,019 0.03 Total Poland 7,730,461 1.45 Qatar: 0.89% (2015: 0.70%) 17,845 Barwa Real Estate 177,401 0.03 23,368 Commercial Bank QSC 267,281 0.05 18,618 Doha Bank 189,943 0.04 119,415 Ezdan 596,845 0.11 60,193 Masraf Al Rayan 590,127 0.11 11,920 Ooredoo 304,432 0.06 4,442 Qatar Electricity & Water 256,171 0.05 41,062 Qatar Gas Transport 268,379 0.05 16,229 Qatar Insurance SAQ 369,469 0.07 1,713 Qatar Insurance SAQ Rts 14,583-9,034 Qatar Islamic Bank SAQ 257,023 0.05 33,054 Qatar National Bank SAQ 1,278,081 0.24 49,815 Vodafone Qatar 168,540 0.03 Total Qatar 4,738,275 0.89 Republic of South Korea: 15.85% (2015: 15.07%) 5,019 Amorepacific 1,696,260 0.32 1,349 Amorepacific Pref 260,104 0.05 177

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Republic of South Korea (continued) 1,459 BGF retail 209,231 0.04 39,390 BNK Financial 334,105 0.06 10,946 Celltrion 1,050,954 0.20 11,951 Cheil Worldwide 177,656 0.03 2,168 CJ 370,623 0.07 1,343 CJ CheilJedang 408,091 0.08 2,810 CJ E&M 156,766 0.03 1,047 CJ Korea Express 173,951 0.03 8,113 Coway 684,596 0.13 4,119 Daelim Industrial 327,402 0.06 19,449 Daewoo Engineering & Construction 106,803 0.02 27,057 Daewoo Securities 195,664 0.04 24,302 DGB Financial Group 189,129 0.04 6,386 Dongbu Insurance 423,835 0.08 5,511 Dongsuh Cos 154,931 0.03 1,378 Doosan 106,519 0.02 9,297 Doosan Heavy Industries & Construction 175,599 0.03 3,119 E-MART 478,650 0.09 7,578 GS 390,960 0.07 7,513 GS Engineering & Construction 179,350 0.03 4,032 GS Retail 166,237 0.03 46,601 Hana Financial Group 1,010,585 0.19 11,196 Hankook Tire 532,583 0.10 785 Hanmi Pharm 479,814 0.09 1,747 Hanmi Science 227,617 0.04 29,674 Hanon Systems 238,721 0.04 1,417 Hanssem 276,932 0.05 15,683 Hanwha Chemical 342,157 0.06 32,518 Hanwha Life Insurance 190,513 0.04 4,974 Hotel Shilla 289,237 0.05 3,409 Hyosung 429,255 0.08 2,286 Hyundai Department Store 274,856 0.05 8,445 Hyundai Development 339,321 0.06 11,622 Hyundai Engineering & Construction 428,355 0.08 3,137 Hyundai Glovis 517,073 0.10 6,257 Hyundai Heavy Industries 582,695 0.11 9,350 Hyundai Marine & Fire Insurance 271,441 0.05 10,616 Hyundai Mobis 2,311,459 0.43 24,039 Hyundai Motor 3,205,620 0.60 5,722 Hyundai Motor 2nd Pref 530,371 0.10 3,649 Hyundai Motor Pref 331,843 0.06 11,942 Hyundai Steel 579,557 0.11 2,447 Hyundai Wia 224,672 0.04 46,013 Industrial Bank of Korea 492,881 0.09 4,515 Kakao 391,647 0.07 17,718 Kangwon Land 633,671 0.12 178

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Republic of South Korea (continued) 60,516 KB Financial Group 1,685,410 0.32 864 KCC 314,292 0.06 41,208 Kia Motors 1,740,422 0.33 39,966 Korea Electric Power 2,103,842 0.39 4,886 Korea Gas 163,849 0.03 5,717 Korea Investment 219,712 0.04 1,280 Korea Zinc 538,930 0.10 6,229 Korean Air Lines 168,852 0.03 2,935 KT 76,480 0.01 2,285 Kumho Petro chemical 116,288 0.02 15,115 LG 905,367 0.17 7,227 LG Chem 2,069,642 0.39 1,140 LG Chem Pref 226,285 0.04 37,287 LG Display 867,291 0.16 16,980 LG Electronics 914,627 0.17 1,471 LG Household & Health Care 1,215,543 0.23 2,210 LG Innotek 153,247 0.03 37,491 LG Uplus 362,256 0.07 2,483 Lotte Chemical 741,469 0.14 94 Lotte Chilsung Beverage Class C 149,516 0.03 87 Lotte Confectionery 195,362 0.04 1,637 Lotte Shopping 359,293 0.07 12,077 Mirae Asset Securities 246,588 0.05 4,362 NAVER 2,429,690 0.45 2,650 NCSoft 587,421 0.11 21,188 NH Investment & Securities 183,978 0.03 2,456 OCI 227,646 0.04 535 Orion Corp/Republic of Korea 427,588 0.08 186 Ottogi 147,518 0.03 7,926 Paradise 100,496 0.02 10,979 POSCO 2,107,284 0.39 6,888 Posco Daewoo 130,099 0.02 3,080 S1 238,083 0.04 11,832 Samsung C&T 1,479,517 0.28 5,333 Samsung Card 175,575 0.03 10,009 Samsung Electro-Mechanics 514,629 0.10 17,170 Samsung Electronics 19,698,356 3.69 3,194 Samsung Electronics Pref 3,091,779 0.58 5,555 Samsung Fire & Marine Insurance 1,432,953 0.27 22,154 Samsung Heavy Industries 214,062 0.04 12,580 Samsung Life Insurance 1,292,541 0.24 8,275 Samsung SDI 716,356 0.13 5,012 Samsung SDS 766,964 0.15 8,596 Samsung Securities 300,289 0.06 66,616 Shinhan Financial 2,359,171 0.45 1,020 Shinsegae 181,060 0.03 179

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Republic of South Korea (continued) 5,536 SK 1,079,510 0.20 90,471 SK Hynix 2,226,966 0.42 10,103 SK Innovation 1,519,514 0.28 19,889 SK Networks 111,306 0.03 3,022 SK Telecom 550,968 0.10 6,744 S-Oil 577,333 0.11 56,392 Woori Bank 466,482 0.09 1,162 Yuhan 285,013 0.05 Total Republic of South Korea 84,705,002 15.85 Romania: 0.08% (2015: 0.00%) 34,078 New Europe Property Investments 435,173 0.08 Total Romania 435,173 0.08 Russian Federation: 2.99% (2015: 3.68%) 20 AK Transneft 54,321 0.01 213 AK Transneft Pref 587,454 0.11 279,962 Alrosa 291,435 0.05 7,009 Lukoil 271,342 0.05 63,061 Lukoil - Micex Main 2,473,017 0.46 9,292 Lukoil ADR 356,952 0.07 40,455 Magnit GDR 1,616,177 0.30 14,629 MegaFon GDR 160,919 0.03 77,397 Mobile TeleSystems ADR 626,142 0.12 175,259 Moscow Exchange MICEX-RTS 275,366 0.06 14,270 Novatek GDR 1,282,160 0.24 19,120 Rosneft 57,360 0.01 116,884 Rosneft - Micex Main 533,548 0.10 39,232 Rosneft Oil GDR 178,192 0.03 130,796 Rostelecom 192,888 0.04 18,124,014 RusHydro 188,532 0.04 3,668 RusHydro ADR 3,686-171,070 Sberbank of Russia 281,193 0.05 1,501,003 Sberbank of Russia - Micex Main 2,467,248 0.46 27,576 Severstal 293,660 0.05 3,687 Severstal PAO GDR 39,008 0.01 27,329 Sistema GDR 176,545 0.03 1,007,561 Surgutneftegas 598,418 0.11 14,423 Surgutneftegas ADR 84,086 0.02 66,700 Surgutneftegas Pref - Micex Main 42,075 0.01 1,042,546 Surgutneftegas Pref - Micex Main (USD) 701,060 0.13 196,500 Tatneft 1,060,971 0.20 180

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Russian Federation (continued) 4,369 Tatneft PAO ADR 139,109 0.03 721,525,335 VTB Bank 827,502 0.15 53,172 VTB Bank GDR 117,829 0.02 Total Russian Federation 15,978,195 2.99 South Africa: 7.07% (2015: 8.43%) 10,549 African Bank Investments 222-8,051 Anglo American Platinum 198,089 0.04 64,875 AngloGold Ashanti 902,022 0.17 53,910 Aspen Pharmacare 1,173,572 0.22 50,821 Barclays Africa 516,883 0.10 35,448 Barloworld 182,205 0.03 50,042 Bidvest 1,269,083 0.23 55,914 Brait 634,868 0.12 5,239 Capitec Bank 204,114 0.04 36,282 Coronation Fund Managers 181,065 0.03 53,532 Discovery 442,218 0.08 19,490 Exxaro Resources 95,409 0.02 524,653 FirstRand 1,725,419 0.32 103,357 Fortress Income Fund 251,576 0.05 151,738 Fortress Income Fund Class A 162,075 0.03 30,938 Foschini Group 297,516 0.06 117,046 Gold Fields 465,144 0.09 348,171 Growthpoint Properties Reits 581,626 0.11 35,994 Hyprop Investments Reits 287,967 0.05 93,331 Impala Platinum 298,243 0.06 27,084 Imperial 276,954 0.05 37,344 Investec 279,064 0.05 19,341 Liberty 190,109 0.04 144,549 Life Healthcare 350,660 0.07 163,763 MMI 277,244 0.05 17,820 Mondi 343,981 0.06 36,185 Mr Price 436,518 0.08 258,627 MTN 2,377,371 0.44 61,989 Naspers 8,686,384 1.63 29,572 Nedbank 390,560 0.07 143,003 Netcare 350,993 0.07 39,630 Pick n Pay Stores 189,258 0.04 20,007 Pioneer Foods 189,133 0.04 13,842 PSG 188,695 0.04 100,467 Rand Merchant Investment 284,297 0.05 663,572 Redefine Properties Reits 540,494 0.10 75,772 Remgro 1,288,866 0.24 49,116 Resilient REIT Reits 452,623 0.08 181

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets South Africa (continued) 105,758 RMB 440,491 0.08 273,230 Sanlam 1,272,336 0.24 81,362 Sappi 361,615 0.07 86,459 Sasol 2,595,534 0.49 73,228 Shoprite 864,417 0.16 110,241 Sibanye Gold 424,534 0.08 24,455 SPAR Group 330,877 0.06 190,109 Standard Bank 1,712,377 0.32 40,391 Telkom SA SOC 158,098 0.03 24,376 Tiger Brands 539,013 0.10 66,370 Truworths International 443,219 0.08 79,242 Tsogo Sun 127,365 0.02 56,264 Vodacom 614,092 0.11 157,923 Woolworths 962,806 0.18 Total South Africa 37,809,294 7.07 Taiwan: 13.06% (2015: 13.65%) 467,750 Acer 179,490 0.03 997,000 Advanced Semiconductor Engineering 1,160,131 0.22 47,795 Advantech 351,215 0.07 357,240 Asia Cement 326,338 0.06 226,000 Asia Pacific Telecom 77,594 0.01 112,000 Asustek Computer 1,005,717 0.19 1,297,000 AU Optronics 389,696 0.07 21,000 Casetek 114,187 0.02 105,000 Catcher Technology 861,298 0.16 1,275,000 Cathay Financial 1,527,195 0.29 156,328 Chailease 272,496 0.05 703,464 Chang Hwa Commercial Bank 360,650 0.07 246,000 Cheng Shin Rubber Industry 494,538 0.09 76,260 Chicony Electronics 196,195 0.04 450,000 China Airlines 160,794 0.03 2,033,000 China Development Financial 543,245 0.10 542,960 China Life Insurance 417,545 0.08 1,890,100 China Steel 1,315,506 0.25 593,000 Chunghwa Telecom 2,017,571 0.38 635,000 Compal Electronics 398,552 0.07 2,410,497 CTBC Financial 1,273,255 0.24 305,767 Delta Electronics 1,349,084 0.25 1,075,636 E.Sun Financial 601,586 0.11 28,531 Eclat Textile 375,431 0.07 311,542 Eva Airways 174,240 0.03 245,060 Evergreen MarineTaiwan 90,991 0.02 474,116 Far Eastern New Century 387,436 0.07 182

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Taiwan (continued) 264,000 Far EasTone Telecommunications 591,424 0.11 44,660 Feng TAY Enterprise 237,287 0.04 1,399,610 First Financial 691,455 0.13 507,000 Formosa Chemicals & Fibre 1,263,404 0.24 191,000 Formosa Petrochemical 548,953 0.10 648,000 Formosa Plastics 1,606,711 0.30 109,000 Formosa Taffeta 106,514 0.02 134,750 Foxconn Technology 302,292 0.06 1,043,000 Fubon Financial 1,328,704 0.25 42,000 Giant Manufacturing 242,729 0.05 6,000 Hermes Microvision 171,514 0.03 124,500 Highwealth Construction 181,814 0.03 25,514 Hiwin Technologies 112,967 0.02 2,239,250 Hon Hai Precision Industry 5,900,087 1.10 37,000 Hotai Motor 406,972 0.08 99,000 HTC 283,613 0.05 972,370 Hua Nan Financial 483,405 0.09 1,265,449 Innolux 442,341 0.08 349,458 Inotera Memories 316,514 0.06 349,000 Inventec 221,216 0.04 16,000 Largan Precision 1,240,368 0.23 313,061 Lite-On Technology 382,280 0.07 231,794 MediaTek 1,778,931 0.33 1,713,485 Mega Financial 1,219,202 0.23 36,250 Merida Industry 160,503 0.03 749,000 Nan Ya Plastics 1,573,217 0.29 87,000 Novatek Microelectronics 350,065 0.07 17,000 OBI Pharma 208,644 0.04 293,000 Pegatron 683,703 0.13 23,000 Phison Electronics 187,236 0.04 330,000 Pou Chen 420,395 0.08 99,000 Powertech Technology 224,553 0.04 86,000 President Chain Store 626,616 0.12 436,000 Quanta Computer 761,347 0.14 73,000 Radiant Opto-Electronics 141,536 0.03 75,000 Realtek Semiconductor 206,236 0.04 124,365 Ruentex Development 157,466 0.03 89,000 Ruentex Industries 146,564 0.03 1,211,536 Shin Kong Financial 243,181 0.05 350,737 Siliconware Precision Industries 566,689 0.11 48,000 Simplo Technology 172,260 0.03 1,435,728 SinoPac Financial 443,869 0.08 199,000 Synnex Technology International 204,973 0.04 1,188,879 Taishin Financial 419,270 0.08 668,162 Taiwan Business Bank 177,089 0.03 501,000 Taiwan Cement 490,352 0.09 183

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Taiwan (continued) 1,096,799 Taiwan Cooperative Financial 490,738 0.09 119,000 Taiwan Fertilizer 179,883 0.03 253,000 Taiwan Mobile 821,480 0.15 3,826,000 Taiwan Semiconductor Manufacturing 19,258,389 3.60 303,000 Teco Electric and Machinery 247,134 0.05 34,000 Transcend Information 105,114 0.02 757,416 Uni-President Enterprises 1,329,667 0.25 1,960,000 United Microelectronics 809,968 0.15 129,000 Vanguard International Semiconductor 201,613 0.04 360,297 Wistron 222,779 0.04 234,000 WPG 249,385 0.05 1,434,717 Yuanta Financial 512,654 0.10 170,000 Yulon Motor 165,066 0.03 68,000 Zhen Ding Technology 152,125 0.03 Total Taiwan 69,794,432 13.06 Thailand: 2.28% (2015: 2.35%) 165,900 Advanced Info Service Receipt 858,266 0.16 64,500 Airports of Thailand Receipt 737,038 0.14 39,100 Bangkok Bank Receipt 200,057 0.04 662,600 Bangkok Dusit Medical Services Receipt 440,729 0.08 1,190,483 Bangkok Expressway & Metro 187,811 0.04 203,300 Banpu Receipt 96,507 0.02 166,400 BEC World Receipt 133,621 0.03 1,064,401 BTS 270,790 0.05 53,100 Bumrungrad Hospital Receipt 319,989 0.06 17,200 Central Pattana 25,179 0.01 185,000 Central Pattana Receipt 270,821 0.05 698,900 CP ALL Receipt 908,888 0.17 74,000 Delta Electronics Thailand 183,002 0.03 185,487 Energy Absolute 117,577 0.02 75,900 Glow Energy Receipt 198,488 0.04 752,230 Home Product Center 176,404 0.03 249,700 Indorama Ventures Receipt 161,829 0.03 1,444,900 IRPC Receipt 207,412 0.04 5,000 Kasikornbank 24,588 0.01 251,300 Kasikornbank Receipt 1,235,785 0.23 529,000 Krung Thai Bank Receipt 281,191 0.05 262,490 Minor International 276,070 0.05 207,400 PTT Exploration & Production Receipt 414,152 0.08 28,300 PTT Global Chemical 48,668 0.01 279,500 PTT Global Chemical Receipt 480,664 0.09 156,200 PTT Receipt 1,243,206 0.23 5,450 Siam Cement 72,192 0.01 184

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Thailand (continued) 57,150 Siam Cement Receipt 757,018 0.14 246,400 Siam Commercial Bank Receipt 987,561 0.18 128,100 Thai Oil Receipt 252,158 0.05 289,700 Thai Union 172,107 0.03 2,206,100 TMB Bank 158,026 0.03 1,279,909 True 276,501 0.05 Total Thailand 12,174,295 2.28 Turkey: 1.54% (2015: 1.37%) 349,605 Akbank 995,785 0.19 30,895 Anadolu Efes Biracilik Ve Malt Sanayii 235,248 0.04 35,147 Arcelik 239,165 0.04 31,978 BIM Birlesik Magazalar 693,347 0.13 13,691 Coca-Cola Icecek 199,747 0.04 289,824 Emlak Konut Gayrimenkul Yatirim Ortakligi Reits 295,413 0.06 88,025 Enka Insaat ve Sanayi 152,560 0.03 209,400 Eregli Demir ve Celik Fabrikalari 315,323 0.06 9,554 Ford Otomotiv Sanayi 126,020 0.02 104,064 KOC 528,876 0.10 94,736 Petkim Petrokimya 134,246 0.03 25,281 TAV Havalimanlari 150,930 0.03 16,663 Tofas Turk Otomobil Fabrikasi 135,283 0.03 18,736 Tupras Turkiye Petrol Rafinerileri 528,004 0.10 84,473 Turk Hava Yollari 233,706 0.04 78,750 Turk Telekomunikasyon 186,827 0.03 131,401 Turkcell Iletisim Hizmetleri 553,007 0.10 369,070 Turkiye Garanti Bankasi 1,080,063 0.20 92,567 Turkiye Halk Bankasi 344,204 0.06 232,730 Turkiye Is Bankasi 385,170 0.07 118,484 Turkiye Sise ve Cam Fabrikalari 154,012 0.03 116,991 Turkiye Vakiflar Bankasi 195,698 0.04 24,258 Ulker Biskuvi Sanayi 180,059 0.03 139,938 Yapi ve Kredi Bankasi 206,252 0.04 Total Turkey 8,248,945 1.54 United Arab Emirates: 0.92% (2015: 0.64%) 291,363 Abu Dhabi Commercial Bank 531,481 0.10 466,751 Aldar Properties 349,460 0.07 24,850 DP World 466,932 0.08 341,341 Dubai Financial Market 126,388 0.02 151,637 Dubai Islamic Bank 244,816 0.05 308,872 Emaar Malls 242,187 0.05 560,458 Emaar Properties 918,583 0.17 185

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets United Arab Emirates (continued) 272,283 Emirates Telecommunications Group PJSC 1,371,423 0.26 134,281 First Gulf Bank 429,568 0.08 99,399 National Bank of Abu Dhabi 236,523 0.04 Total United Arab Emirates 4,917,361 0.92 Total Equities 528,132,416 98.83 Total Investments in Transferable Securities 528,132,416 98.83 UCITS Collective Investment Schemes: 1.56% (2015: 0.75%) 862,477 Northern Trust Global Funds - Euro Liquidity Fund 980,673 0.18 8,000 Northern Trust Global Funds - Sterling Fund 11,498 0.01 7,342,000 Northern Trust Global Funds - US Dollar Fund 7,342,000 1.37 Total UCITS Collective Investment Schemes 8,334,171 1.56 Unrealised Fair Value No. of Gain % of Counterparty US$ Contracts US$ Net Assets Financial Derivative Instruments Dealt on a Regulated Market Futures Contracts: 0.02% (2015: 0.05%) Citigroup Mini MSCI Emerging Market June 2016 6,045,775 145 116,921 0.02 Total Futures Contracts 116,921 0.02 Total Value of Investments 536,583,508 100.41 Cash at Bank 7,010,463 1.31 Margin Cash 1,034,357 0.19 Other Net Liabilities (10,208,170) (1.91) Net Assets Attributable to Holders of Redeemable Participating Shares 534,420,158 100.00 Portfolio Classification % of Total Assets Transferable securities admitted to an official stock exchange listing 94.37 UCITS Collective investment schemes admitted to an official stock exchange listing 1.49 Financial derivative instruments dealt on a regulated market 0.02 Other current assets 4.12 100.00 186

THE NT EMERGING MARKETS CUSTOM ESG EQUITY INDEX FUND PORTFOLIO CHANGES ACQUISITIONS AND DISPOSALS (UNAUDITED) Schedule of material changes in investments for the year ended 31 March 2016 Acquisitions Cost Nominal Asset Name US$ 13,547 Samsung Electronics 14,171,208 3,023,000 Taiwan Semiconductor Manufacturing 13,506,867 634,900 Tencent 12,143,242 757,500 China Mobile 8,780,838 10,913,000 China Construction Bank 7,719,910 49,055 Naspers 6,671,201 78,800 Alibaba ADR 6,290,321 9,095,000 Industrial & Commercial Bank of China 5,428,046 1,746,000 Hon Hai Precision Industry 4,560,311 9,821,000 Bank of China 4,432,895 21,500 Baidu ADR 4,314,775 223,019 Infosys 3,942,721 479,100 Itau Unibanco Pref 3,425,071 186,191 Housing Development Finance 3,402,530 4,594,000 China Petroleum & Chemical 3,347,631 635,000 Ping An Insurance 3,287,845 3,943,200 America Movil 3,241,005 924,000 China Life Insurance 2,792,873 2,236,000 CNOOC 2,634,748 19,201 Hyundai Motor 2,473,667 Disposals Proceeds Nominal Asset Name US$ 2,600 Samsung Electronics 2,884,999 585,000 Taiwan Semiconductor Manufacturing 2,532,327 1,247,265 Gazprom 2,438,545 120,900 Tencent 2,383,788 144,500 China Mobile 1,710,632 9,404 Naspers 1,418,911 1,857,000 China Construction Bank 1,335,130 1,770,000 Industrial & Commercial Bank of China 1,150,978 251,234 Petroleo Brasileiro Pref 972,343 1,923,000 Bank of China 927,762 901,300 America Movil Series L 768,050 116,500 Ping An Insurance 742,543 178,006 Petroleo Brasileiro 738,377 40,383 Infosys 715,469 271,000 Hon Hai Precision Industry 712,245 37,211 Housing Development Finance 679,127 184,000 China Life Insurance 667,958 451,000 CNOOC 528,260 12,836 Lukoil 517,136 53,700 Fomento Economico Mexicano 512,335 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 187

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 28 January 2014 Fund Size $530.58 million Benchmark Northern Trust Index on MSCI Emerging Markets Performance Data 6 Months 1 year Since Inception Fund 6.55% -11.93% -2.34% Benchmark 6.46% -12.05% -2.64% Fund Review Portfolio Summary *Sector breakdown may not sum to 100% as the fund has a small allocation to futures for efficient portfolio management. Performance Commentary During the year ending March 2016, the fund returned -11.93% against a benchmark return of -12.05%. Since the fund inception date, the fund has posted an annualised return of -2.34% against an annualised benchmark return of -2.64%. The ex-post tracking error reported for one year is 0.28% and from inception to date is 0.29%. During the year the fund experienced a net inflow of $14.56m. MSCI implemented changes to their series of indexes at the end of May 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 31 additions to and 27 deletions from the index. One-way index turnover was 2.58%. MSCI implemented changes to their series of indexes at the end of August 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 9 additions to and 4 deletions from the index. One-way index turnover was 0.66%. MSCI implemented changes to their series of indexes at the end of November 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 36 additions to and 37 deletions from the index. One-way index turnover was 3.53%. 188

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) MSCI implemented changes to their series of indexes at the end of February 2016. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 2 additions to and 2 deletions from the index. One-way index turnover was 0.39%. The index changes were carefully traded to minimise any deviation from the benchmark (resulting from trading costs) and were used as an opportunity to equitise some of the futures exposure. Northern Trust Global Investments Limited London May 2016 189

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss US$ Net Assets Investments in Transferable Securities Equities: 99.45% (2015: 99.40%) Brazil: 6.66% (2015: 7.34%) 694,100 AMBEV 3,685,937 0.70 17,893 B2W Cia Digital 72,198 0.01 114,724 Banco Bradesco 973,730 0.18 370,440 Banco Bradesco Pref 2,829,518 0.53 127,100 Banco do Brasil 709,020 0.13 65,622 Banco Santander Brasil 313,852 0.06 101,800 BB Seguridade Participacoes 853,121 0.16 250,900 BM & F Bovespa 1,088,838 0.21 68,300 BR Malls Participacoes 284,262 0.05 21,600 Braskem Pref 142,679 0.03 96,700 BRF - Brasil Foods 1,400,022 0.26 126,700 CCR 501,580 0.10 28,800 Centrais Eletricas Brasileiras Pref 85,327 0.02 32,831 CETIP- Mercados Organizados 371,943 0.07 22,900 Cia Brasileira de Distribuicao Grupo Pao de Acucar Pref 322,112 0.06 48,900 Cia de Saneamento Basico do Estado de Sao Paulo 330,875 0.06 105,200 Cia Energetica de Minas Gerais Pref 240,143 0.05 29,600 Cia Energetica de Sao Paulo Pref 132,465 0.03 16,000 Cia Paranaense de Energia Pref 129,345 0.03 85,700 Cia Siderurgica Nacional 172,899 0.03 126,120 Cielo 1,244,474 0.24 19,100 CosanIndustria e Comercio 169,173 0.03 28,401 CPFL Energia 157,071 0.03 46,860 Duratex 100,093 0.02 1,853 Duratex Rts 1,558-39,200 EDP - Energias do Brasil 139,368 0.03 96,800 Embraer 651,433 0.12 27,300 Equatorial Energia 315,521 0.06 40,500 Estacio Participacoes 135,076 0.03 35,400 Fibria Celulose 303,058 0.06 135,200 Gerdau Pref 248,731 0.05 50,200 Hypermarcas 398,314 0.08 447,875 Itau Unibanco Pref 3,944,181 0.74 527,353 Itausa - Investimentos Itau Pref 1,215,709 0.23 108,700 JBS 335,854 0.06 83,700 Klabin 457,469 0.09 202,684 Kroton Educacional 656,550 0.12 23,100 Localiza Rent a Car 193,717 0.04 28,320 Lojas Americanas 91,816 0.02 80,010 Lojas Americanas Pref 375,216 0.07 98,500 Lojas Renner 577,826 0.11 5,300 M Dias Branco 100,751 0.02 12,400 Multiplan Empreendimentos Imobiliarios 187,889 0.04 190

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Brazil (continued) 27,000 Natura Cosmeticos 202,195 0.04 33,200 Odontoprev 106,795 0.02 441,000 Petroleo Brasileiro 1,322,751 0.25 581,100 Petroleo Brasileiro Pref 1,369,127 0.26 17,800 Porto Seguro 136,815 0.03 31,300 Qualicorp 131,329 0.03 33,600 Raia Drogasil 494,898 0.09 28,600 Sul America 129,523 0.03 51,800 Suzano Papel e Celulose Pref 185,042 0.03 58,061 Telefonica Brasil Pref 741,162 0.14 133,200 Tim Participacoes 300,677 0.06 19,200 Totvs 147,359 0.03 25,400 Tractebel Energia 262,887 0.05 13,100 Transmissora Alianca de Energia Eletrica 74,593 0.02 53,900 Ultrapar Participacoes 1,061,422 0.20 188,900 Vale 807,516 0.15 285,300 Vale Pref 916,116 0.17 82,240 WEG 325,108 0.06 Total Brazil 35,356,029 6.66 Chile: 1.22% (2015: 1.41%) 310,391 AES Gener 157,107 0.03 331,962 Aguas Andinas 189,978 0.03 3,411,512 Banco de Chile 367,439 0.07 4,295 Banco de Credito e Inversiones 173,923 0.03 416 Banco de Credito e Inversiones Rts 896-9,420,699 Banco Santander Chile 458,739 0.09 181,025 Cencosud 457,285 0.09 20,418 Cia Cervecerias Unidas 230,442 0.04 1,054,444 Colbun 294,234 0.05 36,212 Embotelladora Andina Pref 119,075 0.02 477,196 Empresa Nacional de Electricidad 664,811 0.13 180,508 Empresas CMPC 421,840 0.08 64,360 Empresas COPEC 617,090 0.12 477,196 Endesa Americas 5,408-2,775,549 Enersis 769,888 0.14 2,775,549 Enersis Chile 3,569-18,525 ENTEL Chile 163,805 0.03 21,426,272 Itau Corpbanca 196,240 0.04 42,427 Latam Airlines 297,958 0.06 67,266 SACI Falabella 470,508 0.09 13,662 Sociedad Quimica y Minera de Chile Pref 282,080 0.05 73,836 SONDA 142,437 0.03 Total Chile 6,484,752 1.22 191

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Colombia: 0.42% (2015: 0.63%) 59,548 Bancolombia Pref 513,141 0.10 50,634 Cementos Argos 195,909 0.04 117 Corp Financiera Colombiana 1,515-9,858 Corp Financiera Colombiana Class C 125,520 0.02 662,766 Ecopetrol 289,093 0.05 37,635 Grupo Argos 251,379 0.05 433,036 Grupo Aval Acciones y Valores Pref 168,700 0.03 31,966 Grupo de Inversiones Suramericana 424,685 0.08 11,574 Grupo de Inversiones Suramericana Pref 151,069 0.03 44,598 Interconexion Electrica 128,451 0.02 Total Colombia 2,249,462 0.42 Czech Republic: 0.18% (2015: 0.20%) 23,195 CEZ 409,741 0.08 2,240 Komercni Banka 495,447 0.09 6,454 O2 Czech Republic 68,112 0.01 Total Czech Republic 973,300 0.18 Egypt: 0.18% (2015: 0.24%) 157,526 Commercial International Bank Egypt 680,843 0.13 413,449 Global Telecom 142,473 0.03 162,953 Talaat Moustafa 116,710 0.02 Total Egypt 940,026 0.18 Greece: 0.39% (2015: 0.33%) 203,092 Alpha Bank AE 453,610 0.09 272,822 Eurobank Ergasias 242,187 0.04 3,619 Folli Follie 71,222 0.01 33,281 Hellenic Telecommunications Organization 301,507 0.06 12,358 Jumbo 167,582 0.03 800,617 National Bank of Greece 228,086 0.04 28,831 OPAP 203,040 0.04 964,421 Piraeus Bank 249,474 0.05 15,000 Public Power 53,673 0.01 5,410 Titan Cement 116,456 0.02 Total Greece 2,086,837 0.39 192

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Hong Kong: 0.93% (2015: 1.33%) 690,000 Belle International 399,417 0.08 246,000 China Gas 362,821 0.07 406,000 China Mengniu Dairy 645,911 0.12 398,666 China Resources Land 1,022,807 0.19 280,000 Far East Horizon 215,869 0.04 1,885,200 GCL-Poly Energy 311,099 0.06 1,764,612 GOME Electrical Appliances 254,800 0.05 194,000 Haier Electronics 338,150 0.06 406,000 New World China Land 412,985 0.08 87,000 Shenzhou International 473,329 0.09 662,000 Sino Biopharmaceutical 496,721 0.09 Total Hong Kong 4,933,909 0.93 Hungary: 0.29% (2015: 0.21%) 5,436 MOL Hungarian Oil and Gas 327,100 0.06 32,462 OTP Bank 815,479 0.15 20,331 Richter Gedeon 405,506 0.08 Total Hungary 1,548,085 0.29 India: 8.17% (2015: 7.49%) 7,203 ACC 150,309 0.03 125,529 Adani Ports and Special Economic Zone 469,531 0.09 1 Aditya Birla Fashion and Retail 1-105,310 Ambuja Cements 369,811 0.07 11,843 Apollo Hospitals Enterprise 237,727 0.04 148,800 Ashok Leyland 244,021 0.04 41,869 Asian Paints 549,044 0.10 39,734 Aurobindo Pharma 446,946 0.08 87,293 Axis Bank 585,468 0.11 12,326 Bajaj Auto 447,820 0.08 15,088 Bharat Forge 198,925 0.04 91,290 Bharat Heavy Electricals 156,946 0.03 12,733 Bharat Petroleum 173,875 0.03 180,680 Bharti Airtel 957,115 0.18 83,498 Bharti Infratel 481,590 0.09 1,087 Bosch 341,164 0.06 25,911 Cadila Healthcare 123,994 0.02 71,171 Cairn India 165,347 0.03 53,317 Cipla 412,181 0.08 101,971 Coal India 449,552 0.08 4,717 Container of India 88,563 0.02 82,599 Dabur India 311,699 0.06 12,206 Divi's Laboratories 181,968 0.04 193

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets India (continued) 17,349 Dr Reddy's Laboratories 795,163 0.15 1,822 Eicher Motors 527,722 0.10 55,826 GAIL India 300,448 0.06 1,538 GlaxoSmithKline Consumer Healthcare 140,202 0.03 20,987 Glenmark Pharmaceuticals 251,964 0.05 18,538 Godrej Consumer Products 386,534 0.07 84,538 HCL Technologies 1,039,260 0.20 7,972 Hero MotoCorp 354,609 0.07 173,030 Hindalco Industries 229,801 0.04 111,321 Hindustan Unilever 1,461,642 0.28 218,672 Housing Development Finance 3,650,780 0.69 161,725 ICICI Bank 577,934 0.11 166,293 Idea Cellular 276,726 0.05 44,469 Indiabulls Housing Finance 436,414 0.08 270,203 Infosys 4,970,944 0.94 329,412 ITC 1,632,821 0.31 13,090 JSW Steel 253,656 0.05 46,992 Larsen & Toubro 863,380 0.16 38,172 LIC Housing Finance 284,262 0.05 33,084 Lupin 739,016 0.14 55,063 Mahindra & Mahindra 1,006,679 0.19 43,128 Mahindra & Mahindra Financial Services 158,940 0.03 65,942 Marico 243,265 0.05 15,142 Maruti Suzuki India 849,745 0.16 44,033 Motherson Sumi Systems 177,169 0.03 3,585 Nestle India 311,678 0.06 172,551 NTPC 335,735 0.06 124,474 Oil & Natural Gas 402,429 0.08 10,557 Piramal Enterprises 165,228 0.03 40,955 Power Finance 105,971 0.02 103,393 Reliance Communications 78,065 0.01 189,994 Reliance Industries 2,998,705 0.57 45,876 Rural Electrification 115,136 0.02 1,174 Shree Cement 220,192 0.04 22,826 Shriram Transport Finance 328,538 0.06 11,018 Siemens 182,966 0.04 221,994 State Bank of India 651,173 0.12 141,713 Sun Pharmaceutical Industries 1,754,761 0.33 69,849 Tata Consultancy Services 2,658,318 0.50 117,811 Tata Motors 687,768 0.13 50,055 Tata Motors Class A 217,953 0.04 138,601 Tata Power 135,310 0.03 46,668 Tata Steel 225,297 0.04 34,744 Tech Mahindra 249,185 0.05 5,515 Ultratech Cement 268,890 0.05 9,121 United Breweries 113,953 0.02 194

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets India (continued) 8,262 United Spirits 311,828 0.06 41,390 UPL 298,569 0.06 123,455 Vedanta 167,502 0.03 89,871 Wipro 765,747 0.14 82,826 Zee Entertainment Enterprises 483,967 0.09 Total India 43,387,537 8.17 Indonesia: 2.76% (2015: 2.78%) 2,239,100 Adaro Energy 108,916 0.02 245,230 AKR Corporindo 128,533 0.02 53,400 Astra Agro Lestari 73,294 0.01 2,961,000 Astra International 1,618,948 0.31 1,817,100 Bank Central Asia 1,822,581 0.34 519,600 Bank Danamon Indonesia 148,905 0.03 1,367,200 Bank Mandiri Persero 1,062,003 0.20 1,158,900 Bank Negara Indonesia Persero 454,471 0.09 1,628,900 Bank Rakyat Indonesia Persero 1,403,483 0.26 1,199,600 Bumi Serpong Damai 166,008 0.03 1,146,900 Charoen Pokphand Indonesia 310,511 0.06 999,100 Global Mediacom 90,793 0.02 74,800 Gudang Garam 368,359 0.07 56,300 Hanjaya Mandala Sampoerna 417,792 0.08 229,200 Indocement Tunggal Prakarsa 340,948 0.06 190,700 Indofood CBP Sukses Makmur 218,600 0.04 678,600 Indofood Sukses Makmur 369,750 0.07 326,100 Jasa Marga Persero 132,801 0.03 3,277,400 Kalbe Farma 357,153 0.07 3,042,400 Lippo Karawaci 239,767 0.05 357,800 Matahari Department Store 495,146 0.09 762,500 Media Nusantara Citra 125,358 0.02 1,701,600 Perusahaan Gas Negara Persero 335,572 0.06 461,400 Semen Indonesia Persero 354,053 0.07 1,381,724 Summarecon Agung 165,161 0.03 914,400 Surya Citra Media 216,532 0.04 7,442,400 Telekomunikasi Indonesia Persero 1,866,213 0.35 297,100 Tower Bersama Infrastructure 130,513 0.02 218,900 Unilever Indonesia 708,619 0.13 261,200 United Tractors 301,385 0.06 463,100 XL Axiata 139,698 0.03 Total Indonesia 14,671,866 2.76 195

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Malaysia: 3.55% (2015: 3.56%) 211,100 AirAsia 99,017 0.02 167,900 Alliance Financial 178,594 0.03 305,200 AMMB 359,841 0.07 242,300 Astro Malaysia 185,692 0.03 382,481 Axiata 577,422 0.11 102,299 Berjaya Sports Toto 82,857 0.02 19,900 British American Tobacco Malaysia 275,637 0.05 305,000 Bumi Armada 61,758 0.01 748,987 CIMB 931,074 0.18 538,272 Dialog 220,745 0.04 520,600 DiGi.Com 659,173 0.12 197,300 Felda Global Ventures 76,361 0.01 267,900 Gamuda 337,836 0.06 320,500 Genting 805,049 0.15 461,500 Genting Malaysia 537,027 0.10 35,000 Genting Plantations 100,474 0.02 68,400 HAP Seng Consolidated 132,014 0.02 79,200 Hartalega 98,454 0.02 102,428 Hong Leong Bank 354,422 0.07 35,425 Hong Leong Financial 140,919 0.03 363,500 IHH Healthcare 611,191 0.12 469,000 IJM Corp 424,342 0.08 452,500 IOI Corp 530,033 0.10 262,850 IOI Properties 155,628 0.03 64,100 Kuala Lumpur Kepong 394,310 0.07 65,900 Lafarge Malaysia 152,018 0.03 713,264 Malayan Banking 1,649,017 0.31 102,646 Malaysia Airports 178,904 0.03 277,200 Maxis 451,165 0.09 172,200 MISC 392,818 0.07 401,100 Petronas Chemicals 689,832 0.13 38,600 Petronas Dagangan 238,437 0.04 103,200 Petronas Gas 581,930 0.11 73,700 PPB 315,466 0.06 376,400 Public Bank 1,811,814 0.34 101,500 RHB Capital 153,492 0.03 472,000 SapuraKencana Petroleum 225,021 0.04 459,285 Sime Darby 935,875 0.18 175,675 Telekom Malaysia 297,182 0.06 500,400 Tenaga Nasional 1,787,922 0.34 90,700 UMW 159,710 0.03 148,600 Westports 157,303 0.03 671,000 YTL Corp 282,056 0.05 220,440 YTL Power International 83,622 0.02 Total Malaysia 18,873,454 3.55 196

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Mexico: 4.01% (2015: 4.22%) 404,650 Alfa 819,087 0.15 4,656,630 America Movil Series L 3,649,169 0.69 55,215 Arca Continental 384,784 0.07 1,951,365 Cemex 1,428,988 0.27 71,110 Coca-Cola Femsa Series L 595,676 0.11 27,030 El Puerto de Liverpool 322,163 0.06 267,140 Fomento Economico Mexicano 2,600,047 0.49 148,325 Gentera 293,919 0.05 27,200 Gruma 434,416 0.08 45,265 Grupo Aeroportuario del Pacifico 407,122 0.08 30,120 Grupo Aeroportuario del Sureste 457,378 0.09 236,625 Grupo Bimbo 705,136 0.13 81,880 Grupo Carso Series A 384,944 0.07 43,750 Grupo Comercial Chedrauide 140,355 0.03 366,110 Grupo Financiero Banorte 2,081,376 0.39 342,485 Grupo Financiero Inbursa 689,257 0.13 266,795 Grupo Financiero Santander Mexico 488,047 0.09 87,300 Grupo Lala 239,826 0.05 556,775 Grupo Mexico Series B 1,353,134 0.26 356,465 Grupo Televisa SAB 1,979,119 0.37 19,809 Industrias Penoles 251,090 0.05 230,300 Kimberly-Clark de Mexico 558,625 0.11 148,780 Mexichem 367,484 0.07 109,080 OHL Mexico 174,016 0.03 35,385 Promotora y Operadora de Infraestructura 474,312 0.09 Total Mexico 21,279,470 4.01 Netherlands: 0.53% (2015: 0.00%) 424,873 Steinhoff International 2,797,726 0.53 Total Netherlands 2,797,726 0.53 People's Republic of China: 23.13% (2015: 21.85%) 4,900 58.com ADR 272,685 0.05 108,500 AAC Technologies 829,499 0.16 3,399,000 Agricultural Bank of China 1,222,607 0.23 270,000 Air China 191,799 0.04 72,666 Alibaba ADR 5,742,794 1.08 384,000 Alibaba Health Information Technology 234,166 0.04 1,530,000 Alibaba Pictures 349,137 0.07 612,000 Aluminum of China 194,886 0.04 183,000 Anhui Conch Cement 490,734 0.09 155,000 ANTA Sports Products 341,312 0.06 328,000 AviChina Industry & Technology 246,109 0.05 197

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China (continued) 19,862 Baidu ADR 3,791,259 0.71 11,667,000 Bank of China 4,843,357 0.91 1,267,000 Bank of Communications 833,064 0.16 204,000 Beijing Capital International Airport 217,767 0.04 77,500 Beijing Enterprises 424,142 0.08 636,000 Beijing Enterprises Water 398,497 0.08 446,000 Brilliance China Automotive 461,723 0.09 94,500 Byd 542,155 0.10 108,000 CAR 126,706 0.02 1,296,409 CGN Power 439,571 0.08 1,273,000 China Cinda Asset Management 446,405 0.08 1,186,000 China CITIC Bank 726,289 0.14 404,000 China Coal Energy 167,714 0.03 652,000 China Communications Construction 779,218 0.15 370,000 China Communications Services 168,864 0.03 192,500 China Conch Venture 379,711 0.07 12,369,000 China Construction Bank 7,893,529 1.49 422,000 China COSCO 163,761 0.03 130,000 China Everbright 272,853 0.05 534,000 China Everbright Bank 259,546 0.05 365,000 China Everbright International 407,514 0.08 487,000 China Galaxy Securities 474,032 0.09 593,520 China Huishan Dairy 223,434 0.04 76,900 China International Marine Containers 120,557 0.02 570,000 China Jinmao 158,730 0.03 1,093,000 China Life Insurance 2,697,078 0.51 467,000 China Longyuan Power 345,589 0.07 169,000 China Medical System 234,439 0.04 675,500 China Merchants Bank 1,419,529 0.27 172,084 China Merchants International 511,379 0.10 858,800 China Minsheng Banking 801,608 0.15 903,500 China Mobile 10,069,886 1.90 446,000 China National Building Material 206,999 0.04 282,000 China Oilfield Services 220,320 0.04 580,000 China Overseas Land & Investment 1,835,739 0.35 388,400 China Pacific Insurance 1,452,140 0.27 3,752,000 China Petroleum & Chemical 2,462,136 0.46 525,000 China Power International Development 272,093 0.05 587,000 China Railway 445,743 0.08 286,500 China Railway Construction 340,924 0.06 189,297 China Resources Beer 352,405 0.07 138,000 China Resources Gas 394,080 0.07 281,658 China Resources Power 526,528 0.10 485,000 China Shenhua Energy 762,839 0.14 547,000 China Shipping Container Lines 124,822 0.02 263,123 China Southern Airlines 165,882 0.03 272,000 China State Construction International 405,376 0.08 198

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China (continued) 241,162 China Taiping Insurance 529,797 0.10 2,046,000 China Telecom 1,081,486 0.20 890,000 China Unicom Hong Kong 1,174,955 0.22 194,400 China Vanke 476,692 0.09 133,700 Chongqing Changan Automobile 250,454 0.05 385,000 Chongqing Rural Commercial Bank 203,505 0.04 633,776 CITIC Pacific 964,160 0.18 317,000 CITIC Securities 742,993 0.14 2,628,000 CNOOC 3,103,503 0.58 271,718 COSCO Pacific 355,913 0.07 876,375 Country Garden 347,994 0.07 646,402 CRRC 650,856 0.12 612,000 CSPC Pharmaceutical 553,885 0.10 19,258 Ctrip.com International ADR 852,359 0.16 89,000 Dalian Wanda Commercial Properties 527,238 0.10 404,000 Datang International Power Generation 124,483 0.02 402,000 Dongfeng Motor 501,687 0.09 112,000 ENN Energy 614,397 0.12 648,000 Evergrande Real Estate 500,418 0.09 314,740 Fosun International 447,974 0.08 775,000 Geely Automobile 383,676 0.07 188,800 GF Securities 460,526 0.09 460,000 Great Wall Motor 373,620 0.07 406,000 Guangdong Investment 513,483 0.10 344,000 Guangzhou Automobile 357,901 0.07 156,000 Guangzhou R&F Properties 223,646 0.04 100,000 Haitian International 171,468 0.03 476,801 Haitong Securities 815,102 0.15 108,500 Hengan International 941,404 0.18 252,000 Huadian Power International 160,494 0.03 614,000 Huaneng Power International 549,363 0.10 529,190 Huaneng Renewables 164,422 0.03 214,400 Huatai Securities 510,256 0.10 10,833,000 Industrial & Commercial Bank of China 6,061,357 1.14 24,300 JD.com ADR 643,950 0.12 190,000 Jiangsu Expressway 255,732 0.05 205,000 Jiangxi Copper 246,057 0.05 128,000 Kingsoft 300,010 0.06 472,000 Kunlun Energy 410,141 0.08 1,060,000 Lenovo 825,419 0.16 211,000 Longfor Properties 300,863 0.06 178,000 Luye Pharma 137,690 0.03 5,600 NetEase ADR 804,048 0.15 112,700 New China Life Insurance 397,386 0.07 8,900 New Oriental Education & Technology ADR 307,851 0.06 256,000 Nine Dragons Paper 193,736 0.04 961,000 People's Insurance of China 406,377 0.08 199

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets People's Republic of China (continued) 3,100,000 PetroChina 2,062,257 0.39 572,588 PICC Property & Casualty 1,049,719 0.20 766,500 Ping An Insurance 3,666,211 0.69 6,400 Qihoo 360 Technology ADR 483,520 0.09 3,200 Qunar Cayman Islands ADR 127,040 0.02 3,792,000 Semiconductor Manufacturing International 337,325 0.06 292,000 Shandong Weigao Medical Polymer 185,969 0.04 454,000 Shanghai Electric 207,200 0.04 62,500 Shanghai Fosun Pharmaceutical 172,435 0.03 75,000 Shanghai Industrial 176,754 0.03 67,800 Shanghai Lujiazui Finance & Trade Zone Development 226,181 0.04 107,000 Shanghai Pharmaceuticals 211,336 0.04 216,000 Shimao Property 319,689 0.06 499,500 Shui On Land 134,590 0.03 518,032 Sino-Ocean Land 245,106 0.05 181,000 Sinopec Engineering 146,545 0.03 536,000 Sinopec Shanghai Petrochemical 271,574 0.05 175,600 Sinopharm 793,495 0.15 292,000 Sinotrans 127,619 0.03 285,500 SOHO China 136,188 0.03 14,400 SouFun ADR 86,256 0.02 371,500 Sun Art Retail 262,944 0.05 273,000 Sunac China 183,723 0.04 2,400 TAL Education ADR 119,232 0.02 759,600 Tencent 15,512,134 2.92 286,000 Tingyi Cayman Islands 319,681 0.06 122,000 TravelSky Technology 199,754 0.04 54,000 Tsingtao Brewery 205,027 0.04 27,600 Vipshop ADR 355,488 0.07 871,000 Want Want China 645,680 0.12 150,000 Weichai Power 168,052 0.03 288,000 Yanzhou Coal Mining 150,376 0.03 7,800 Youku Tudou ADR 214,422 0.04 1,129,533 Yuexiu Property 163,098 0.03 1,700 YY ADR 104,703 0.02 222,000 Zhejiang Expressway 238,126 0.04 77,000 Zhuzhou CRRC Times Electric 449,697 0.08 930,000 Zijin Mining 287,757 0.05 117,120 ZTE 213,809 0.04 Total People's Republic of China 122,765,099 23.13 200

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Peru: 0.39% (2015: 0.42%) 22,075 Cia de Minas Buenaventura ADR 162,472 0.03 9,654 Credicorp 1,264,771 0.24 22,389 Southern Copper 620,399 0.12 Total Peru 2,047,642 0.39 Philippines: 1.40% (2015: 1.39%) 271,320 Aboitiz Equity Ventures 383,012 0.07 186,400 Aboitiz Power 177,919 0.03 249,800 Alliance Global Group 89,515 0.02 30,660 Ayala 499,403 0.09 1,059,800 Ayala Land 811,336 0.15 107,690 Bank of the Philippine Islands 203,476 0.04 235,730 BDO Unibank 523,731 0.10 524,450 DMCI 152,625 0.03 1,239,500 Energy Development 158,286 0.03 5,160 Globe Telecom 248,783 0.05 10,730 GT Capital 323,916 0.06 62,130 International Container Terminal Services 91,350 0.02 359,690 JG Summit 619,859 0.12 65,500 Jollibee Foods 322,912 0.06 1,531,000 Megaworld 137,988 0.03 1,874,700 Metro Pacific Investments 238,994 0.05 42,800 Metropolitan Bank & Trust 76,639 0.01 14,235 Philippine Long Distance Telephone 612,125 0.11 211,400 Robinsons Land 128,093 0.02 22,380 SM Investments 461,501 0.09 1,209,000 SM Prime 576,339 0.11 123,390 Universal Robina 580,974 0.11 Total Philippines 7,418,776 1.40 Poland: 1.42% (2015: 1.50%) 7,010 Alior Bank 122,349 0.02 5,035 Bank Handlowy w Warszawie 122,429 0.02 97,665 Bank Millennium 152,983 0.03 19,278 Bank Pekao 853,082 0.16 5,392 Bank Zachodni WBK 444,613 0.08 3,581 CCC 153,702 0.03 26,965 Cyfrowy Polsat 175,835 0.03 34,226 Enea 109,614 0.02 30,483 Energa 107,373 0.02 12,899 Eurocash 184,895 0.04 6,599 Grupa Azoty 170,742 0.03 201

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Poland (continued) 13,663 Grupa Lotos 102,200 0.02 20,413 KGHM Polska Miedz 417,375 0.08 189 LPP 279,293 0.05 2,293 mbank 209,468 0.04 102,243 Orange Polska 185,152 0.03 120,216 PGE 451,549 0.09 47,573 Polski Koncern Naftowy Orlen S.A. 944,583 0.18 275,202 Polskie Gornictwo Naftowe i Gazownictwo 393,368 0.08 129,192 Powszechna Kasa Oszczednosci Bank Polski 964,974 0.18 83,070 Powszechny Zaklad Ubezpieczen 794,565 0.15 76,041 Synthos 78,454 0.02 162,481 Tauron Polska Energia 131,403 0.02 Total Poland 7,550,001 1.42 Qatar: 0.98% (2015: 0.81%) 15,282 Barwa Real Estate 151,922 0.03 22,945 Commercial Bank QSC 262,443 0.05 18,502 Doha Bank 188,760 0.03 114,323 Ezdan 571,395 0.11 22,580 Industries Qatar 671,559 0.13 55,985 Masraf Al Rayan 548,873 0.10 12,672 Ooredoo 323,638 0.06 4,344 Qatar Electricity & Water 250,519 0.05 35,982 Qatar Gas Transport 235,176 0.04 15,309 Qatar Insurance SAQ 348,524 0.07 3,061 Qatar InsuranceSAQ Rts 26,059-8,974 Qatar Islamic Bank SAQ 255,316 0.05 31,481 Qatar National Bank SAQ 1,217,258 0.23 53,407 Vodafone Qatar 180,693 0.03 Total Qatar 5,232,135 0.98 Republic of South Korea: 15.63% (2015: 15.01%) 4,752 Amorepacific 1,606,023 0.30 4,141 Amorepacific Group 530,480 0.10 1,354 Amorepacific Pref 261,068 0.05 1,199 BGF retail 171,945 0.03 37,093 BNK Financial 314,622 0.06 10,106 Celltrion 970,338 0.18 12,560 Cheil Worldwide 186,709 0.04 2,135 CJ 364,981 0.07 1,137 CJ CheilJedang 345,494 0.07 2,403 CJ E&M 134,060 0.03 1,054 CJ Korea Express 175,114 0.03 202

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Republic of South Korea (continued) 7,981 Coway 673,458 0.13 4,330 Daelim Industrial 344,174 0.06 13,626 Daewoo Engineering & Construction 74,826 0.01 27,790 Daewoo Securities 200,965 0.04 25,217 DGB Financial Group 196,250 0.04 6,137 Dongbu Insurance 407,309 0.08 4,766 Dongsuh Cos 133,986 0.02 1,060 Doosan 81,938 0.02 7,027 Doosan Heavy Industries & Construction 132,724 0.03 3,056 E-Mart 468,982 0.09 7,930 GS 409,120 0.08 7,357 GS Engineering & Construction 175,626 0.03 3,394 GS Retail 139,933 0.03 43,897 Hana Financial Group 951,946 0.18 10,909 Hankook Tire 518,931 0.10 757 Hanmi Pharm 462,699 0.09 1,714 Hanmi Science 223,318 0.04 29,100 Hanon Systems 234,103 0.04 1,334 Hanssem 260,711 0.05 15,149 Hanwha Chemical 330,507 0.06 33,910 Hanwha Life Insurance 198,668 0.04 5,108 Hotel Shilla 297,029 0.06 3,528 Hyosung 444,239 0.08 2,354 Hyundai Department Store 283,032 0.05 8,076 Hyundai Development 324,495 0.06 11,282 Hyundai Engineering & Construction 415,824 0.08 2,751 Hyundai Glovis 453,448 0.09 6,146 Hyundai Heavy Industries 572,358 0.11 9,750 Hyundai Marine & Fire Insurance 283,054 0.05 10,007 Hyundai Mobis 2,178,859 0.41 22,664 Hyundai Motor 3,022,263 0.57 5,575 Hyundai Motor 2nd Pref 516,745 0.10 3,465 Hyundai Motor Pref 315,110 0.06 12,157 Hyundai Steel 589,991 0.11 2,345 Hyundai Wia 215,307 0.04 41,277 Industrial Bank of Korea 442,150 0.08 4,402 Kakao 381,845 0.07 17,463 Kangwon Land 624,551 0.12 57,148 KB Financial Group 1,591,609 0.30 889 KCC 323,386 0.06 3,312 KEPCO Plant Service & Engineering 185,641 0.03 39,115 Kia Motors 1,652,024 0.31 8,585 Korea Aerospace Industries 489,456 0.09 37,569 Korea Electric Power Corporation 1,977,662 0.37 4,309 Korea Gas 144,500 0.03 6,030 Korea Investment 231,741 0.04 1,230 Korea Zinc 517,878 0.10 203

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Republic of South Korea (continued) 4,920 Korean Air Lines 133,368 0.03 4,592 KT 119,659 0.02 16,199 KT&G 1,558,141 0.29 2,125 Kumho Petro chemical 108,145 0.02 13,942 LG 835,106 0.16 6,816 LG Chem 1,951,941 0.37 1,186 LG Chem Pref 235,416 0.04 34,053 LG Display 792,069 0.15 15,698 LG Electronics 845,573 0.16 1,384 LG Household & Health Care 1,143,652 0.22 1,898 LG Innotek 131,612 0.02 33,370 LG Uplus 322,437 0.06 2,277 Lotte Chemical 679,954 0.13 100 Lotte Chilsung Beverage 159,059 0.03 83 Lotte Confectionery 186,380 0.03 1,583 Lotte Shopping 347,441 0.07 8,482 Mirae Asset Securities 173,185 0.03 4,118 NAVER 2,293,779 0.43 2,533 NCSoft 561,486 0.11 19,230 NH Investment & Securities 166,976 0.03 2,600 OCI 240,993 0.05 527 Orion Corp 421,194 0.08 147 Ottogi 116,587 0.02 6,400 Paradise 81,147 0.02 10,301 POSCO 1,977,151 0.37 7,010 Posco Daewoo 132,403 0.02 2,944 S1 227,570 0.04 11,148 Samsung C&T 1,393,987 0.26 5,410 Samsung Card 178,110 0.03 8,765 Samsung Electro-Mechanics 450,666 0.08 16,207 Samsung Electronics 18,593,550 3.50 3,013 Samsung Electronics Pref 2,916,571 0.55 5,245 Samsung Fire & Marine Insurance 1,352,986 0.25 22,058 Samsung Heavy Industries 213,135 0.04 11,750 Samsung Life Insurance 1,207,262 0.23 8,066 Samsung SDI 698,263 0.13 4,568 Samsung SDS 699,021 0.13 8,435 Samsung Securities 294,664 0.06 62,784 Shinhan Financial 2,223,463 0.42 1,064 Shinsegae 188,870 0.04 5,162 SK 1,006,581 0.19 85,319 SK Hynix 2,100,149 0.40 9,553 SK Innovation 1,436,793 0.27 15,671 SK Networks 87,701 0.02 2,962 SK Telecom 540,029 0.10 204

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Republic of South Korea (continued) 6,593 S-Oil 564,406 0.11 47,543 Woori Bank 393,282 0.07 1,204 Yuhan 295,315 0.06 Total Republic of South Korea 82,932,433 15.63 Romania: 0.07% (2015: 0.00%) 30,516 New Europe Property Investments 389,687 0.07 Total Romania 389,687 0.07 Russian Federation: 3.72% (2015: 3.68%) 228 AK Transneft Pref 628,824 0.12 282,667 Alrosa 294,251 0.06 1,728,186 Gazprom 3,819,017 0.72 74,782 Lukoil 2,932,671 0.55 3,862 Magnit 609,394 0.11 18,683 Magnit GDR 746,386 0.14 14,520 MegaFon GDR 159,720 0.03 8,153 MMC Norilsk Nickel 1,060,890 0.20 75,754 Mobile TeleSystems ADR 612,850 0.12 152,362 Moscow Exchange MICEX-RTS 239,390 0.05 13,319 NOVATEK GDR 1,196,712 0.23 169,313 Rosneft 772,874 0.14 124,590 Rostelecom 183,736 0.03 14,513,674 RusHydro ADR 150,976 0.03 1,583,446 Sberbank of Russia 2,602,763 0.49 30,335 Severstal 323,041 0.06 3,170 Sistema GDR 20,478-421,627 Sistema JSFC 110,357 0.02 1,055,243 Surgutneftegas 626,738 0.12 1,021,556 Surgutneftegas Pref 686,945 0.13 207,819 Tatneft 1,122,086 0.21 762,072,701 VTB Bank 873,998 0.16 Total Russian Federation 19,774,097 3.72 South Africa: 6.30% (2015: 7.66%) 72,672 African Bank Investments 1,532-8,469 Anglo American Platinum 208,374 0.04 58,918 AngloGold Ashanti 819,196 0.15 50,146 Aspen Pharmacare 1,091,634 0.21 50,057 Barclays Africa 509,113 0.10 34,172 Barloworld 175,646 0.03 205

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets South Africa (continued) 45,841 Bidvest 1,162,544 0.22 50,588 Brait 574,395 0.11 4,897 Capitec Bank 190,789 0.04 34,903 Coronation Fund Managers 174,183 0.03 51,030 Discovery 421,549 0.08 22,283 Exxaro Resources 109,082 0.02 490,908 FirstRand 1,614,442 0.30 29,093 Foschini Group 279,774 0.05 109,641 Gold Fields 435,716 0.08 94,636 Impala Platinum 302,413 0.06 26,473 Imperial 270,706 0.05 34,380 Investec 256,915 0.05 17,905 Liberty 175,994 0.03 132,886 Life Healthcare 322,367 0.06 159,648 MMI 270,277 0.05 18,302 Mondi 353,285 0.07 34,343 Mr Price 414,297 0.08 244,121 MTN 2,244,028 0.42 58,464 Naspers 8,192,433 1.54 28,835 Nedbank 380,827 0.07 133,689 Netcare 328,133 0.06 37,480 Pick n Pay Stores 178,991 0.03 18,931 Pioneer Foods 178,962 0.03 13,397 PSG 182,628 0.04 96,277 Rand Merchant Investment 272,440 0.05 70,286 Remgro 1,195,550 0.23 102,593 RMB 427,308 0.08 251,287 Sanlam 1,170,155 0.22 78,750 Sappi 350,006 0.07 81,336 Sasol 2,441,738 0.46 67,338 Shoprite 794,889 0.15 107,552 Sibanye Gold 414,179 0.08 22,928 SPAR Group 310,217 0.06 179,008 Standard Bank 1,612,386 0.30 36,505 Telkom SA SOC 142,888 0.03 23,675 Tiger Brands 523,512 0.10 64,092 Truworths International 428,006 0.08 43,239 Tsogo Sun 69,498 0.01 53,642 Vodacom 585,474 0.11 143,806 Woolworths 876,739 0.17 Total South Africa 33,435,210 6.30 206

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Taiwan: 12.51% (2015: 12.86%) 427,884 Acer 164,192 0.03 924,000 Advanced Semiconductor Engineering 1,075,186 0.20 48,375 Advantech 355,477 0.07 338,640 Asia Cement 309,347 0.06 277,000 Asia Pacific Telecom 95,105 0.02 104,000 Asustek Computer 933,880 0.18 1,253,000 AU Optronics 376,476 0.07 15,000 Casetek 81,562 0.01 96,000 Catcher Technology 787,472 0.15 1,206,700 Cathay Financial 1,445,385 0.27 148,720 Chailease 259,234 0.05 713,633 Chang Hwa Commercial Bank 365,863 0.07 235,000 Cheng Shin Rubber Industry 472,424 0.09 73,732 Chicony Electronics 189,691 0.03 386,000 China Airlines 137,926 0.03 2,092,000 China Development Financial 559,011 0.10 482,790 China Life Insurance Taiwan 371,273 0.07 1,750,080 China Steel 1,218,052 0.23 563,000 Chunghwa Telecom 1,915,501 0.36 653,000 Compal Electronics 409,850 0.08 2,266,794 CTBC Financial 1,197,349 0.23 292,598 Delta Electronics 1,290,980 0.24 1,091,885 E.Sun Financial 610,674 0.12 26,598 Eclat Textile 349,995 0.07 273,055 Eva Airways 152,715 0.03 287,850 Evergreen MarineTaiwan 106,879 0.02 494,190 Far Eastern New Century 403,840 0.08 237,000 Far EasTone Telecommunications 530,938 0.10 45,320 Feng TAY Enterprise 240,794 0.04 1,289,737 First Financial 637,174 0.12 463,000 Formosa Chemicals & Fibre 1,153,760 0.22 178,000 Formosa Petrochemical 511,590 0.10 607,000 Formosa Plastics 1,505,052 0.28 111,000 Formosa Taffeta 108,468 0.02 138,926 Foxconn Technology 311,660 0.06 977,000 Fubon Financial 1,244,625 0.23 43,000 Giant Manufacturing 248,509 0.05 6,000 Hermes Microvision 171,514 0.03 104,750 Highwealth Construction 152,972 0.03 30,766 Hiwin Technologies 136,222 0.02 2,114,070 Hon Hai Precision Industry 5,570,257 1.05 38,000 Hotai Motor 417,972 0.08 95,000 HTC 272,154 0.05 994,319 Hua Nan Financial 494,317 0.09 1,218,132 Innolux 425,801 0.08 349,583 Inotera Memories 316,628 0.06 362,000 Inventec 229,456 0.04 207

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Taiwan (continued) 15,000 Largan Precision 1,162,845 0.22 328,259 Lite-On Technology 400,838 0.07 219,000 MediaTek 1,680,742 0.32 1,669,509 Mega Financial 1,187,912 0.22 31,500 Merida Industry 139,471 0.03 698,000 Nan Ya Plastics 1,466,095 0.28 83,000 Novatek Microelectronics 333,970 0.06 13,000 OBI Pharma 159,551 0.03 280,000 Pegatron 653,368 0.12 21,000 Phison Electronics 170,955 0.03 320,000 Pou Chen 407,656 0.08 96,000 Powertech Technology 217,748 0.04 81,000 President Chain Store 590,185 0.11 391,000 Quanta Computer 682,768 0.13 69,000 Radiant Opto-Electronics 133,781 0.02 70,000 Realtek Semiconductor 192,487 0.04 124,755 Ruentex Development 157,959 0.03 87,000 Ruentex Industries 143,270 0.03 1,258,578 Shin Kong Financial 252,623 0.05 330,077 Siliconware Precision Industries 533,309 0.10 42,000 Simplo Technology 150,727 0.03 1,476,974 SinoPac Financial 456,621 0.09 50,446 Standard Foods 125,081 0.02 197,000 Synnex Technology International 202,913 0.04 1,191,603 Taishin Financial 420,230 0.08 640,538 Taiwan Business Bank 169,767 0.03 488,000 Taiwan Cement 477,629 0.09 1,069,817 Taiwan Cooperative Financial 478,665 0.09 120,000 Taiwan Fertilizer 181,394 0.03 244,000 Taiwan Mobile 792,257 0.15 3,612,000 Taiwan Semiconductor Manufacturing 18,181,207 3.43 293,000 Teco Electric and Machinery 238,977 0.05 30,000 Transcend Information 92,748 0.02 718,837 Uni-President Enterprises 1,261,940 0.24 1,738,000 United Microelectronics 718,226 0.14 127,000 Vanguard International Semiconductor 198,487 0.04 363,781 Wistron 224,933 0.04 217,000 WPG 231,267 0.04 1,422,813 Yuanta Financial 508,400 0.09 133,000 Yulon Motor 129,140 0.02 64,000 Zhen Ding Technology 143,177 0.03 Total Taiwan 66,366,521 12.51 208

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Thailand: 2.18% (2015: 2.41%) 154,400 Advanced Info Service Receipt 798,772 0.15 61,200 Airports of Thailand Receipt 699,329 0.13 36,400 Bangkok Bank 188,312 0.04 549,900 Bangkok Dusit Medical Services Receipt 365,766 0.07 1,008,351 Bangkok Expressway & Metro 159,078 0.03 145,600 Banpu Receipt 69,117 0.01 151,500 BEC World Receipt 121,656 0.02 795,101 BTS 202,278 0.04 49,700 Bumrungrad Hospital Receipt 299,500 0.06 187,100 Central Pattana Receipt 273,896 0.05 420,400 Charoen Pokphand Foods Receipt 291,579 0.05 628,600 CP ALL Receipt 817,466 0.15 67,100 Delta Electronics Thailand 165,938 0.03 175,200 Energy Absolute 111,056 0.02 67,200 Glow Energy Receipt 175,736 0.03 590,926 Home Product Center 138,577 0.03 180,300 Indorama Ventures Receipt 116,852 0.02 1,363,100 IRPC Receipt 195,670 0.04 248,600 Kasikornbank Receipt 1,222,506 0.23 480,400 Krung Thai Bank Receipt 255,358 0.05 263,340 Minor International 276,964 0.05 6,900 PTT 54,918 0.01 202,500 PTT Exploration & Production Receipt 404,367 0.08 287,500 PTT Global Chemical Receipt 494,422 0.09 139,300 PTT Receipt 1,108,698 0.21 7,200 Siam Cement PCL 95,372 0.02 56,200 Siam Cement Receipt 744,434 0.14 223,800 Siam Commercial Bank Receipt 896,981 0.17 123,900 Thai Oil Receipt 243,891 0.05 287,600 Thai Union Frozen Products 170,860 0.03 2,002,000 TMB Bank 143,406 0.03 1,339,127 True 289,294 0.05 Total Thailand 11,592,049 2.18 Turkey: 1.50% (2015: 1.46%) 321,741 Akbank 916,420 0.17 28,757 Anadolu Efes Biracilik Ve Malt Sanayii 218,969 0.04 36,988 Arcelik 251,692 0.05 30,311 BIM Birlesik Magazalar 657,203 0.12 9,983 Coca-Cola Icecek 145,648 0.03 66,111 Enka Insaat ve Sanayi 114,580 0.02 219,056 Eregli Demir ve Celik Fabrikalari 329,864 0.06 10,062 Ford Otomotiv Sanayi 132,721 0.03 134,047 Haci Omer Sabanci 463,692 0.09 92,332 KOC 469,251 0.09 209

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Turkey (continued) 67,797 Petkim Petrokimya 96,072 0.02 22,209 TAV Havalimanlari 132,590 0.03 18,683 Tofas Turk Otomobil Fabrikasi 151,683 0.03 18,534 Tupras Turkiye Petrol Rafinerileri 522,312 0.10 76,351 Turk Hava Yollari 211,235 0.04 71,121 Turk Telekomunikasyon 168,728 0.03 131,202 Turkcell Iletisim Hizmetleri 552,170 0.10 343,688 Turkiye Garanti Bankasi 1,005,785 0.19 91,332 Turkiye Halk Bankasi 339,612 0.06 231,501 Turkiye Is Bankasi 383,136 0.07 101,412 Turkiye Sise ve Cam Fabrikalari 131,821 0.02 116,944 Turkiye Vakiflar Bankasi 195,620 0.04 23,979 Ulker Biskuvi Sanayi 177,988 0.03 135,841 Yapi ve Kredi Bankasi 200,213 0.04 Total Turkey 7,969,005 1.50 United Arab Emirates: 0.87% (2015: 0.61%) 283,385 Abu Dhabi Commercial Bank 516,929 0.10 420,785 Aldar Properties 315,045 0.06 248,389 Arabtec 110,906 0.02 23,821 DP World 447,597 0.08 209,314 Dubai Financial Market 77,503 0.02 129,290 Dubai Islamic Bank 208,737 0.04 251,362 Emaar Malls 197,093 0.04 513,305 Emaar Properties 841,300 0.16 249,107 Emirates Telecommunications Group PJSC 1,254,690 0.24 124,115 First Gulf Bank 397,046 0.07 87,985 National Bank of Abu Dhabi 209,363 0.04 Total United Arab Emirates 4,576,209 0.87 Total Equities 527,631,317 99.45 Total Investments in Transferable Securities 527,631,317 99.45 UCITS Collective Investment Schemes: 0.06% (2015: 0.04%) 9,977 Northern Trust Global Funds - Euro Liquidity Fund 11,344-1,000 Northern Trust Global Funds - Sterling Fund 1,437-313,000 Northern Trust Global Funds - US Dollar Fund 313,000 0.06 Total UCITS Collective Investment Schemes 325,781 0.06 210

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Unrealised Fair Value No. of Gain % of Counterparty US$ Contracts US$ Net Assets Financial Derivative Instruments Dealt on a Regulated Market Futures Contracts: 0.02% (2015: 0.02%) Citigroup Liffe E-Mini MSCI EM Index Futures June 2016 2,751,870 66 129,961 0.02 Total Futures Contracts 129,961 0.02 Fair Value US$ % of Net Assets Total Value of Investments 528,087,059 99.53 Cash at Bank 807,057 0.15 Margin cash 339,701 0.06 Other Net Assets 1,344,810 0.26 Net Assets Attributable to Holders of Redeemable Participating Shares 530,578,627 100.00 Portfolio Classification % of Total Assets Transferable securities admitted to an official stock exchange listing 99.41 UCITS Collective investment schemes admitted to an official stock exchange listing 0.06 Financial derivative instruments dealt on a regulated market 0.02 Other current assets 0.51 100.00 211

THE NT EMERGING MARKETS CUSTOM EQUITY INDEX FUND PORTFOLIO CHANGES ACQUISITIONS AND DISPOSALS (UNAUDITED) Schedule of material changes in investments for the year ended 31 March 2016 Acquisitions Cost Nominal Asset Name US$ 73,400 Alibaba ADR 6,170,298 20,200 Baidu ADR 4,402,671 1,590,000 China Construction Bank 1,578,040 249,107 Emirates Telecommunications Group PJSC 1,112,967 10,300 Ctrip.com International ADR 1,102,038 15,142 Maruti Suzuki India 1,053,858 33,084 Lupin 949,731 5,600 NetEase ADR 933,206 282,800 Haitong Securities 788,501 24,300 JD.com ADR 745,135 89,000 Dalian Wanda Commercial Properties 680,944 215,279 Goldin Properties 674,229 163,000 CITIC Securities 612,119 188,800 GF Securities 591,550 214,400 Huatai Securities 590,647 87,628 Bharti Airtel 585,793 83,498 Bharti Infratel 583,914 114,323 Ezdan 579,454 191,119 Alpha Bank AE 538,463 1,822 Eicher Motors 535,993 Disposals Proceeds Nominal Asset Name US$ 932 Samsung Electronics 1,057,870 211,000 Taiwan Semiconductor Manufacturing 940,802 42,500 Tencent 849,272 89,202 SACI Falabella 660,970 48,500 China Mobile 586,707 44,282 Mediclinic International 574,135 206,318 Uralkali 565,254 3,348 Naspers 496,571 507,500 America Movil Series L 474,336 600,000 Industrial & Commercial Bank of China 434,155 310,923 Siliconware Precision Industries 425,414 60,100 Souza Cruz 423,209 40,200 Fomento Economico Mexicano 365,796 51,000 Grupo Televisa SAB 351,689 646,000 Bank of China 350,664 22,642 Sun Pharmaceutical Industries 321,744 33,000 Ping An Insurance 277,965 56,000 Public Bank 276,702 397,000 China Construction Bank 272,652 46,500 Ambev 248,030 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 212

THE NT US HIGH YIELD FIXED INCOME FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 12 May 2014 Fund Size $109.69 million Benchmark Barclays Capital US Corp HY 2% Issuer Capped index Performance Data 6 Months 1 Year Since Inception Fund 0.56% -3.45% -1.56% Benchmark 1.23% -3.66% -1.48% Fund Review Maturity Profile Maturity Profile breakdown may not sum to 100% as the fund has a small allocation to cash. Performance Commentary For the year ending March 2016, the fund returned -3.45% versus a benchmark return of -3.66%. The fund outperformed the benchmark by 21 basis points. Since inception the fund has underperformed the benchmark, on an annualized basis, by 8 basis points and is down 1.56%. During the year the fund was subject to a net inflow of $56.25m. Overall during the year the benchmark duration shortened from 5.71 to 5.13 years. Monetary policy, commodity prices and global growth will continue to be sources of volatility in the second quarter of 2016. Credit fundamentals in the broader high yield market are stable. Defaults will increase in 2016, but are likely to be concentrated in commodity sectors. The management of credit risk will remain the primary driver of performance. Overweight positions in retailers and gaming, along with an underweight position in pharmaceuticals contributed to performance. Detractors included an underweight in metals and overweight positions in banking and airlines. Performance by rating category was mixed. The returns of securities rated BB slightly exceeded returns of CCC securities. The returns of B rated securities lagged behind. Although the fund was underweight BB securities, overweight B rated securities and slightly underweight CCC rated securities, sector and issuer selection overwhelmed rating category weightings. 213

THE NT US HIGH YIELD FIXED INCOME FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) The fund will continue to be positioned in the mid-range of the credit quality spectrum. The highest quality securities materially under-yield the market and carry a material amount of interest rate risk. The lowest rated securities carry credit, default and general market volatility risk. The fund uses various strategies to maintain yield while reducing price volatility, interest rate exposure and default risk. We use issue size, business location, capital structure, coupon, and security characteristics to manage risk and meet investment objectives. The fund remains focused on credit fundamentals and risk assessment relative to yield. We continue to have had no defaults. Northern Trust Global Investments Limited London May 2016 214

THE NT US HIGH YIELD FIXED INCOME FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) Holdings Financial assets at fair value through profit or loss US$ Net Assets Investment in Transferable Securities Corporate Bonds: 93.33% (2015: 94.79%) Barbados: 0.71% (2015: 0.79%) 725,000 Columbus International 7.375% 30/03/2021 774,844 0.71 Total Barbados 774,844 0.71 Brazil: 0.63% (2015: 1.52%) 750,000 JBS Investments 7.25% 03/04/2024 684,375 0.63 Total Brazil 684,375 0.63 Canada: 1.45% (2015: 1.64%) 850,000 Air Canada 7.75% 15/04/2021 841,499 0.77 775,000 Cascades 5.5% 15/07/2022 749,328 0.68 Total Canada 1,590,827 1.45 Chile: 0.53% (2015: 0.82%) 600,000 VTR Finance 6.875% 15/01/2024 586,500 0.53 Total Chile 586,500 0.53 France: 1.23% (2015: 1.64%) 650,000 Credit Agricole FRN 29/12/2049 616,736 0.56 750,000 Numericable 6% 15/05/2022 735,000 0.67 Total France 1,351,736 1.23 Germany: 1.12% (2015: 2.38%) 525,000 Deutsche Bank FRN 29/12/2049 450,843 0.41 775,000 Unitymedia Hessen GmbHKG / Unitymedia NRW 5% 15/01/2025 776,938 0.71 Total Germany 1,227,781 1.12 Greece: 0.48% (2015: 0.43%) 675,000 Eletson 9.625% 15/01/2022 529,875 0.48 Total Greece 529,875 0.48 215

THE NT US HIGH YIELD FIXED INCOME FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Hong Kong: 0.65% (2015: 0.00%) 750,000 MCE Finance 5% 15/02/2021 717,137 0.65 Total Hong Kong 717,137 0.65 India: 0.19% (2015: 0.40%) 250,000 Vedanta Resources 9.5% 18/07/2018 206,283 0.19 Total India 206,283 0.19 Ireland: 1.34% (2015: 1.30%) 750,000 Fly Leasing 6.75% 15/12/2020 738,750 0.67 1,050,000 XLIT FRN 31/12/2049 729,750 0.67 Total Ireland 1,468,500 1.34 Italy: 0.58% (2015: 0.82%) 700,000 Wind Acquisition Finance 7.375% 23/04/2021 637,000 0.58 Total Italy 637,000 0.58 Jamaica: 0.67% (2015: 0.80%) 850,000 Digicel 8.25% 30/09/2020 733,125 0.67 Total Jamaica 733,125 0.67 Luxembourg: 2.03% (2015: 3.59%) 800,000 Altice Financing 6.625% 15/02/2023 805,999 0.73 800,000 Coveris 7.875% 01/11/2019 720,000 0.66 750,000 Millicom International Cellular 6% 15/03/2025 698,438 0.64 Total Luxembourg 2,224,437 2.03 Mexico: 0.56% (2015: 0.83%) 650,000 Sixsigma Networks Mexicode 8.25% 07/11/2021 615,875 0.56 Total Mexico 615,875 0.56 216

THE NT US HIGH YIELD FIXED INCOME FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets Netherlands: 1.27% (2015: 0.00%) 800,000 ING Groep FRN 31/12/2049 737,000 0.67 650,000 UPCB Finance IV 5.375% 15/01/2025 661,375 0.60 Total Netherlands 1,398,375 1.27 New Zealand: 0.73% (2015: 0.00%) 800,000 Reynolds 8.5% 15/05/2018 800,999 0.73 Total New Zealand 800,999 0.73 Spain: 0.31% (2015: 0.71%) 375,000 Banco Santander FRN 29/05/2049 339,245 0.31 Total Spain 339,245 0.31 Switzerland: 0.57% (2015: 0.85%) 675,000 Credit Suisse FRN 29/12/2049 622,154 0.57 Total Switzerland 622,154 0.57 United Kingdom: 2.56% (2015: 2.95%) 550,000 Barclays FRN 31/12/2049 551,419 0.50 825,000 HSBC FRN 29/03/2049 781,688 0.71 725,000 Royal Bank of Scotland FRN 31/12/2049 676,063 0.62 800,000 Virgin Media Secured Finance 5.25% 15/01/2026 804,000 0.73 Total United Kingdom 2,813,170 2.56 United States: 75.60% (2015: 71.73%) 850,000 1 Automotive 5% 01/06/2022 845,749 0.77 650,000 ADS Waste 8.25% 01/10/2020 666,185 0.61 750,000 AES Corp 7.375% 01/07/2021 843,749 0.77 500,000 Affinia 7.75% 01/05/2021 517,500 0.47 425,000 Ahern Rentals 7.375% 15/05/2023 295,375 0.27 175,000 Aircastle 5% 01/04/2023 176,313 0.16 350,000 Aleris International 9.5% 01/04/2021 357,656 0.33 750,000 AMC Entertainment 5.75% 15/06/2025 770,625 0.70 375,000 AMC Networks 5% 01/04/2024 377,344 0.34 775,000 American Airlines 5.5%% 01/10/2019 792,438 0.72 800,000 American Equity Investment Life 6.625% 15/07/2021 825,999 0.75 125,000 Anadarko Petroleum 5.55% 15/03/2026 126,335 0.12 125,000 Anadarko Petroleum 6.6% 15/03/2046 128,034 0.12 217

THE NT US HIGH YIELD FIXED INCOME FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets United States (continued) 500,000 Antero Resources 5.625% 01/06/2023 462,500 0.42 600,000 APX 6.375% 01/12/2019 604,800 0.55 150,000 APX 8.75% 01/12/2020 130,125 0.12 750,000 Asbury Automotive 6% 15/12/2024 761,250 0.69 425,000 AV Homes 8.5% 01/07/2019 418,625 0.38 850,000 Avis Budget Car Rental 5.25% 15/03/2025 780,938 0.71 825,000 Bank of America FRN 29/09/2049 809,530 0.74 500,000 Berry Plastics Esc 6% 15/10/2022 526,563 0.48 225,000 Boyd Gaming 6.375% 01/04/2026 234,563 0.21 525,000 Boyd Gaming 6.875% 15/05/2023 561,750 0.51 625,000 Caesars Entertainment Resort Properties 8% 01/10/2020 615,000 0.56 850,000 Calpine 5.5% 01/02/2024 820,249 0.75 600,000 Carrizo Oil & Gas 7.5% 15/09/2020 562,500 0.51 850,000 Casella Waste Systems 7.75% 15/02/2019 866,468 0.79 925,000 CCO Safari II 6.484% 23/10/2045 1,032,121 0.94 325,000 CenturyLink 6.45% 15/06/2021 330,889 0.30 350,000 CenturyLink 7.5% 01/04/2024 351,750 0.32 750,000 Cequel Communications I 6.375% 15/09/2020 746,250 0.68 750,000 CITGO Petroleum 6.25% 15/08/2022 727,500 0.66 800,000 Citigroup FRN 29/12/2049 802,976 0.73 725,000 Clean Harbors 5.125% 01/06/2021 736,781 0.67 600,000 Clearwater Paper 5.375% 01/02/2025 587,250 0.54 450,000 CNH Industrial Capital 4.875% 01/04/2021 449,438 0.41 425,000 Consolidated Communications 6.5% 01/10/2022 372,938 0.34 700,000 Covanta 6.375% 01/10/2022 703,500 0.64 600,000 CPI International 8.75% 15/02/2018 589,500 0.54 775,000 CST Brands 5% 01/05/2023 788,563 0.72 750,000 Dana 5.5% 15/12/2024 712,500 0.65 600,000 Dole Food 7.25% 01/05/2019 598,500 0.55 750,000 DuPont Fabros Technology 5.625% 15/06/2023 770,625 0.70 550,000 Eldorado Resorts 7% 01/08/2023 572,000 0.52 750,000 Energy Transfer Equity 7.5% 15/10/2020 725,625 0.66 800,000 Ensemble S Merger Sub 9% 30/09/2023 787,000 0.72 675,000 Envision Healthcare 5.125% 01/07/2022 688,500 0.63 600,000 Equinix 5.875% 15/01/2026 634,200 0.58 725,000 ESH Hospitality 5.25% 01/05/2025 708,688 0.65 775,000 Felcor Lodging 5.625% 01/03/2023 794,375 0.72 660,000 Fidelity & Guaranty Life 6.375% 01/04/2021 666,600 0.61 650,000 Florida East Coast 6.75% 01/05/2019 653,250 0.60 475,000 Frontier Communications 10.5% 15/09/2022 488,656 0.45 725,000 Frontier Communications 9% 15/08/2031 627,125 0.57 725,000 GCI 6.875% 15/04/2025 743,125 0.68 625,000 Genesis Energy 6% 15/05/2023 553,125 0.50 600,000 Global Partners 7% 15/06/2023 450,000 0.41 31,900 GMAC Capital Trust 8.125% 15/02/2040 781,869 0.71 675,000 HCA 5.25% 15/06/2026 693,563 0.63 750,000 HealthSouth 5.125% 15/03/2023 750,938 0.68 218

THE NT US HIGH YIELD FIXED INCOME FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets United States (continued) 385,000 Hilcorp Energy I/ Hilcorp Finance 5% 01/12/2024 326,288 0.30 675,000 Howard Hughes Corp 6.875% 01/10/2021 668,250 0.61 675,000 HUB International 7.875% 01/10/2021 666,563 0.61 750,000 Hughes Satellite Systems 7.625% 15/06/2021 839,062 0.76 725,000 Icahn Enterprises Finance 5.875% 01/02/2022 691,650 0.63 775,000 Infor US 6.5% 15/05/2022 709,125 0.65 750,000 Ingles Markets 5.75% 15/06/2023 765,000 0.70 600,000 International Game Technology 6.25% 15/02/2022 613,380 0.56 250,000 Iron Mountain 6% 15/08/2023 263,750 0.24 625,000 JC Penney Corp 8.125% 01/10/2019 645,313 0.59 850,000 L Brands 6.875% 01/11/2035 926,669 0.84 750,000 Land O' Lakes 6% 15/11/2022 787,500 0.72 750,000 Landry's 9.375% 01/05/2020 791,250 0.72 775,000 Lee Enterprises 9.5% 15/03/2022 765,313 0.70 575,000 Lennar 4.875% 15/12/2023 577,875 0.53 275,000 Level 3 Financing 5.25% 15/03/2026 277,750 0.25 450,000 Level 3 Financing 5.375% 15/01/2024 456,750 0.42 675,000 Manitowoc Foodservice 9.5% 15/02/2024 739,125 0.67 740,000 Martin Midstream Partners 7.25% 15/02/2021 645,650 0.59 800,000 MasTec 4.875% 15/03/2023 690,000 0.63 600,000 Mediacom Broadband 6.375% 01/04/2023 616,500 0.56 150,000 Mediacom Capital 7.25% 15/02/2022 158,438 0.14 500,000 Meritage Homes 7.15% 15/04/2020 530,000 0.48 650,000 Meritor 6.25% 15/02/2024 576,063 0.53 750,000 Midcontinent Communications & Midcontinent Finance 6.25% 01/08/2021 776,250 0.71 675,000 MPG Holdco I 7.375% 15/10/2022 671,625 0.61 525,000 MPT Operating Partnership 6.375% 01/03/2024 555,188 0.51 750,000 Murphy Oil USA 6% 15/08/2023 780,000 0.71 600,000 National CineMedia 7.875% 15/07/2021 627,000 0.57 700,000 Nationstar Mortgage/ Nationstar Capital 9.625% 01/05/2019 727,125 0.66 350,000 Navios Maritime Acquisition 8.125% 15/11/2021 233,625 0.21 500,000 Neenah Paper 5.25% 15/05/2021 492,500 0.45 850,000 Neiman Marcus 8% 15/10/2021 735,250 0.67 750,000 Neptune Finco 6.625% 15/10/2025 812,737 0.74 700,000 Newfield Exploration 5.375% 01/01/2026 640,500 0.58 700,000 NewStar Financial 7.25% 01/05/2020 632,625 0.58 800,000 OneMain Financial 7.25% 15/12/2021 800,000 0.73 800,000 Owens-Brockway Glass Container 5.875% 15/08/2023 834,999 0.76 700,000 PaperWorks Industries 9.5% 15/08/2019 619,500 0.56 725,000 Park-Ohio Industries 8.125% 01/04/2021 741,313 0.68 750,000 PBF Holding Company LLC 8.25% 15/02/2020 779,063 0.71 600,000 PBF Logistics 6.875% 15/05/2023 562,500 0.51 600,000 Penske Automotive 5.75% 01/10/2022 615,000 0.56 750,000 Pilgrim's Pride 5.75% 15/03/2025 756,563 0.69 700,000 Plastipak 6.5% 01/10/2021 686,000 0.63 750,000 Prospect Capital 5.875% 15/03/2023 646,730 0.59 625,000 PulteGroup 5.5% 01/03/2026 646,094 0.59 219

THE NT US HIGH YIELD FIXED INCOME FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Holdings Financial assets at fair value through profit or loss US$ Net Assets United States (continued) 750,000 Qualitytech LP/QTS Finance 5.875% 01/08/2022 767,813 0.70 775,000 Quicken Loans 5.75% 01/05/2025 755,625 0.69 600,000 Rite Aid 6.125% 01/04/2023 638,250 0.58 550,000 Sabine Pass Liquefaction 6.25% 15/03/2022 541,063 0.50 750,000 Sally Capital 5.625% 01/12/2025 802,499 0.73 750,000 Simmons Foods 7.875% 01/10/2021 633,750 0.58 650,000 Sirius XM Radio 5.375% 15/04/2025 663,000 0.60 275,000 SM Energy 5.625% 01/06/2025 192,415 0.18 750,000 Sonic Automotive 7% 15/07/2022 794,999 0.73 675,000 Sprint 7.25% 15/09/2021 518,906 0.47 475,000 Sprint Communications 7% 01/03/2020 477,375 0.44 650,000 Station Casinos 7.5% 01/03/2021 689,000 0.63 750,000 Sunoco 6.375% 01/04/2023 754,214 0.69 525,000 Targa Resources Partners/ Targa Resources Partners Finance 6.625% 01/10/2020 521,063 0.48 800,000 T-Mobile USA 6.5% 15/01/2026 835,000 0.76 700,000 Tops/ Tops Markets II 8% 15/06/2022 651,000 0.60 650,000 TransDigm 6.5% 15/05/2025 637,813 0.58 750,000 TRI Pointe 5.875% 15/06/2024 749,063 0.68 625,000 United Rentals North America 5.75% 15/11/2024 628,125 0.57 650,000 Univision Communications 6.75% 15/09/2022 692,250 0.63 525,000 Walter Investment Management 7.875% 15/12/2021 343,875 0.31 600,000 WaveDivision Escrow 8.125% 01/09/2020 595,500 0.54 600,000 Western Refining Logistics 7.5% 15/02/2023 537,000 0.49 725,000 Windstream Services 7.75% 01/10/2021 594,953 0.54 600,000 WPX Energy 6% 15/01/2022 441,000 0.40 450,000 Zayo 6% 01/04/2023 451,404 0.41 275,000 Zayo 6.375% 15/05/2025 268,840 0.25 Total United States 82,925,829 75.60 Uruguay: 0.12% (2015: 0.00%) 200,000 Navios South American Logistics 7.25% 01/05/2022 130,000 0.12 Total Uruguay 130,000 0.12 Total Corporate Bonds 102,378,067 93.33 Total Investments in Transferable Securities 102,378,067 93.33 UCITS Collective Investment Schemes: 5.71% (2015: 4.71%) 6,266,000 Northern Trust Global Funds - US Dollar Fund 6,266,000 5.71 Total UCITS Collective Investment Schemes 6,266,000 5.71 220

THE NT US HIGH YIELD FIXED INCOME FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS (UNAUDITED) (continued) Fair Value US$ % of Net Assets Total Value of Investments 108,644,067 99.04 Cash at Bank 8,879 0.01 Other Net Assets 1,034,440 0.95 Net Assets Attributable to Holders of Redeemable Participating Shares 109,687,386 100.00 Portfolio Classification % of Total Assets Transferable securities admitted to an official stock exchange listing 91.90 UCITS Collective investment schemes admitted to an official stock exchange listing 5.63 Other current assets 2.47 100.00 221

THE NT US HIGH YIELD FIXED INCOME FUND PORTFOLIO CHANGES ACQUISITIONS AND DISPOSALS (UNAUDITED) Schedule of material changes in investments for the year ended 31 March 2016 Acquisitions Cost Nominal Asset Name US$ 1,450,000 Reynolds 8.5% 15/05/2018 1,468,781 1,175,000 Icahn Enterprises Finance 5.875% 01/02/2022 1,190,192 1,050,000 Clean Harbors 5.125% 01/06/2021 1,053,344 1,000,000 Frontier Communications 10.5% 15/09/2022 1,000,000 1,000,000 ZF North America Capital 4.75% 29/04/2025 997,600 875,000 Energy Transfer Equity 7.5% 15/10/2020 907,938 875,000 Qualitytech LP/QTS Finance 5.875% 01/08/2022 894,375 1,000,000 Sprint 7.25% 15/09/2021 869,375 850,000 L Brands 6.875% 01/11/2035 862,974 850,000 1 Automotive 5% 01/06/2022 830,355 800,000 Owens-Brockway Glass Container 5.875% 15/08/2023 824,000 770,000 MPG Holdco I 7.375% 15/10/2022 812,750 800,000 Royal Bank of Scotland FRN 31/12/2049 811,625 900,000 Consolidated Communications 6.5% 01/10/2022 811,313 800,000 Eldorado Resorts 7% 01/08/2023 806,000 800,000 Coveris Holdings 7.875% 01/11/2019 802,250 800,000 Citigroup FRN 29/12/2049 801,488 800,000 T-Mobile USA 6.5% 15/01/2026 798,969 800,000 Zayo 6% 01/04/2023 793,350 800,000 ING Groep FRN 31/12/2049 792,388 Disposals Proceeds Nominal Asset Name US$ 1,150,000 Reynolds 8.5% 15/05/2018 1,152,250 1,000,000 Frontier Communications 10.5% 15/09/2022 997,500 825,000 First Data Corporation 11.75% 15/08/2021 940,801 1,000,000 ZF North America Capital 4.75% 29/04/2025 922,188 1,075,000 Sprint 7.875% 15/09/2023 892,250 900,000 Icahn Enterprises Finance 5.875% 01/02/2022 888,250 800,000 Clean Harbors 5.125% 01/06/2021 815,500 775,000 MGM Resorts International 6% 15/03/2023 793,594 775,000 INFOR (US) 6.5% 15/05/2022 774,203 753,000 Lear 5.25% 15/01/2025 765,530 750,000 Calumet Specialty Products 7.75% 15/04/2023 761,875 700,000 Service Corporation Internantional 5.375% 15/05/2024 729,750 750,000 Revlon Consumer Products 5.75% 15/02/2021 726,063 790,000 Qwest Capital Funding 7.75% 15/02/2031 705,413 675,000 MTW Foodservice 9.5% 15/02/2024 703,113 750,000 TerraForm Power Operating 5.875% 01/02/2023 691,875 650,000 JBS Investments 7.25% 03/04/2024 669,500 600,000 DuPont Fabros Technology 5.875% 15/09/2021 623,875 600,000 Rite Aid 6.125% 01/04/2023 623,000 600,000 Plastipak 6.50% 1/10/2021 616,250 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 222

THE NT EMERGING MARKETS CUSTOM ESG FEEDER FUND INVESTMENT REVIEW (UNAUDITED) For the year ended 31 March 2016 Launch Date 29 July 2014 Fund Size $17.75 million Benchmark MSCI Emerging Markets Custom ESG Index Performance Data 6 Months 1 Year Since Inception Fund 6.29% -11.90% -11.05% Benchmark 6.27% -11.82% -11.50% Fund Review Portfolio Summary Performance Commentary For the year ended 31st March 2016, the fund posted a return of -11.90% against a benchmark return of -11.82%. Since the fund s inception on 29th July 2014, the fund has posted an annualised return of -11.05% against an annualised benchmark return of -11.50%. The ex-post tracking error reported for the year is 0.29% and for the year since inception is 0.28%. During the year the fund experienced a net inflow of $11.15m. MSCI implemented changes to their series of indexes at the end of May 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 31 additions to and 27 deletions from the index. One-way index turnover was 2.58%. MSCI implemented changes to their series of indexes at the end of August 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 9 additions to and 4 deletions from the index. One-way index turnover was 0.66%. MSCI implemented changes to their series of indexes at the end of November 2015. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 36 additions to and 37 deletions from the index. One-way index turnover was 3.53%. 223

THE NT EMERGING MARKETS CUSTOM ESG FEEDER FUND INVESTMENT REVIEW (UNAUDITED) (continued) For the year ended 31 March 2016 Performance Commentary (continued) MSCI implemented changes to their series of indexes at the end of February 2016. These changes included normal investment review changes such as additions, deletions, and float and shares changes. For the MSCI Emerging Market Index there were 2 additions to and 2 deletions from the index. One-way index turnover was 0.39%. The index changes were carefully traded to minimise any deviation from the benchmark (resulting from trading costs) and were used as an opportunity to equitise some of the futures exposure. Northern Trust Global Investments Limited London May 2016 224

THE NT EMERGING MARKETS CUSTOM ESG FEEDER FUND PORTFOLIO AND SCHEDULE OF INVESTMENTS Holdings Financial assets at fair value through profit or loss US$ Net Assets UCITS Collective Investment Schemes: 99.98% (2015: 100.03%) Northern Trust Investment Funds - NT Emerging Markets Custom ESG Equity 127,990 Index Fund- Class Feeder GBP 17,749,995 99.98 Total UCITS Collective Investment Schemes 17,749,995 99.98 Total Value of Investments 17,749,995 99.98 Cash at Bank 159 - Other Net Assets 4,183 0.02 Net Assets Attributable to Holders of Redeemable Participating Shares 17,754,337 100.00 Portfolio Classification % of Total Assets UCITS Collective investment schemes admitted to an official stock exchange listing 99.90 Other current assets 0.10 100.00 225

THE NT EMERGING MARKETS CUSTOM ESG FEEDER FUND PORTFOLIO CHANGES ACQUISITIONS AND DISPOSALS Schedule of material changes in investments for the year ended 31 March 2016 Acquisitions Cost Nominal Asset Name US$ 80,785 Northern Trust Investment Funds - NT Emerging Markets Custom ESG Equity Index Fund- Class Feeder GBP 11,373,679 Disposals Proceeds Nominal Asset Name US$ 1,560 Northern Trust Investment Funds - NT Emerging Markets Custom ESG Equity Index Fund- Class Feeder GBP 246,196 The above represents aggregate purchases of a security exceeding 1 per cent of the total value of purchases for the year or aggregate disposals greater than 1 per cent of the total value of sales. If there were fewer than 20 purchases/sales that exceed 1 per cent during the year the largest 20 purchases/sales are disclosed. 226

- the Independent Auditor s KPMG Audit 1 Harbourmaster Place IFSC Dublin 1 DOl F6F5 Ireland report to the members of Northern Trust Investment Funds PLC We have audited the financial statements of Northern Trust Investment Funds PLC ( the Company ) for the year ended 31 March 2016 which comprise of the Statement of Comprehensive Income, the Statement of financial Position, the Statement of Changes in Net Assets Attributable to holders of Redeemable Participating Shares and the related notes. The financial reporting framework that has been applied in their preparation is Irish law and frs 102 The Financial Reporting Standard applicable in the UK and Republic of Ireland. Our audit was conducted in accordance with International Standards on Auditing (ISAs) (UK and Ireland). Opinions and conclusions arising from our audit 1 Ottr opinion on thefinancial statements is unmodified In our opinion the financial statements: give a true and fair view of the assets, liabilities and financial position of the Company as at 3 1 March 2016 and of its changes in net assets attributable to holders of redeemable participating shares for the year then ended; have been properly prepared in accordance with FRS 102 The financial Reporting Standard applicable in the UK and Republic ofireland; and have been properly prepared in accordance with the requirements of the Companies Act 2014, the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2015. 2 Ottr conclusions on other matters on which we are required to report by the Compaities Act 2014 are set ottt below We have obtained all the information and explanations which we consider necessary for the purposes of our audit. In our opinion the accounting records of the Company were sufficient to permit the financial statements to be readily and properly audited and the financial statements are in agreement with accounting records. In our opinion the information given in the Directors Report is consistent with the financial statements. In addition we report, in relation to information given in the Corporate Governance Statement on pages 3 to 5, that: based on knowledge and understanding of the Company and its environment obtained in the course of our audit, no material misstatements in the information identified above have come to our attention; and based on the work undertaken in the course of our audit, in our opinion description of the main features of the internal control and risk management systems in relation to the process for preparing the financial statements is consistent with the financial statements and has been prepared in accordance with the Companies Act 2014, the Company is not subject to the European Communities (Takeover Bids (Directive 2004/25/EC)) Regulations 2006 and therefore not required to include information relating to voting rights and other matters required by those Regulations and specified by the Companies Act 2014 for our consideration in the Corporate Governance Statement, the Corporate Governance Statement contains the information required by the Companies Act 2014. KPMG, an Irish partnership and a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative C, KPMG International ), a Swiss entity

Independent Auditor s report to the members of Northern Trust Investment Funds PLC (continued) 3 We have notiting to report in respect ofmatters oit which we are required to report by exception International Standards on Auditing (ISAs) (UK & Ireland) require that we report to you if, based on the knowledge we acquired during our audit, we have identified information in the annual report that contains a material inconsistency with either that knowledge or the financial statements, a material misstatement fact, or that is otherwise misleading. of In addition, the Companies Act 2014 requires us to report to you if, in our opinion, the disclosures remuneration and transactions required by sections 305 to 312 the Act are not made. of of directors Basis of our report, responsibilities and restrictions on use As explained more fully in the Statement Directors Responsibilities set out on page 2, the directors are responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view and otherwise comply with the Companies Act 2014. Our responsibility is to audit and express an opinion on the financial statements in accordance with Irish law and ISAs (UK and Ireland). Those standards require us to comply with the financial Reporting Council s Ethical Standards for Auditors. of An audit undertaken in accordance with ISAs (UK & Ireland) involves obtaining evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of: whether the accounting policies are appropriate to the Company s circumstances and have been consistently applied and adequately disclosed; the reasonableness of significant accounting estimates made by the directors; and the overall presentation the financial statements. of In addition, we read all the financial and non-financial information in the Annual Report to identify material inconsistencies with the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware for our report. of any apparent material misstatements or inconsistencies we consider the implications Whilst an audit conducted in accordance with ISAs (UK & Ireland) is designed to provide reasonable assurance identifying material misstatements or omissions it is not guaranteed to do so. Rather the auditor plans the audit to determine the extent testing needed to reduce to an appropriately low level the probability that the aggregate of of of uncorrected and undetected misstatements does not exceed materiality for the financial statements as a whole. This testing requires us to conduct significant audit work on a broad range of assets, liabilities, income and expense as well as devoting significant time the most experienced members the audit team, in particular the engagement partner responsible for the audit, to subjective areas the accounting and reporting. of Our report is made solely to the Company s members, as a body, in accordance with section 391 of the Companies Act 2014. Our audit work has been undertaken so that we might state to the Company s members those matters we are required to state to them in an auditor s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company and the Company s members as a body, for our audit work, for this report, or for the opinions we have formed. of of 21 July2016 Ivor Conlon for on KPMG and behalf of Chartered Accountants 1 Harboztrmaster Place, IFsc Dublin 1, Ireland and Statutory Audit Firm 228

STATEMENT OF COMPREHENSIVE INCOME For the year ended 31 March 2016 Income Europe Euro Index Japan North Pacific UK Emerging (Ex-UK) Govt Linked Equity America (Ex-Japan) Equity Markets Equity Index Bond Index Bond Index Index Equity Index Equity Index Index Index Fund Fund Fund Fund Fund Fund Fund Fund Note * US$* Income from financial assets at fair value through profit or loss: Dividend income 7,594,436 - - 385,528 7,817,300 4,214,731 1,620,199 4,924,791 Bond interest income - 1,684,990 262,518 - - - - 55 Securities lending income 7, 15 151,390 4,746 957 6,360 87,167 29,630 7,590 83,688 Other income - - - - - - - - Gains and losses from financial assets at fair value through profit or loss: Net realised gain / (loss) on investments 589,856 6,070,944 590,626 (10,056) 6,131,293 319,174 3,266,639 (6,781,837) Net realised (loss) on futures contracts (547,636) - - (11,489) (315,994) (131,610) (44,830) (742,100) Net realised (loss) / gain on foreign currency (10,030) 115 (95) (1,259) 208,876 (15,129) (21,304) (295,192) Movement in unrealised (loss) on investments (43,045,525) (8,093,430) (48,001) (2,736,384) (35,255,124) (17,489,197) (9,180,715) (18,917,579) Movement in unrealised (loss) / gain on futures contracts (94,922) - - (3,383) 123,106 (27,572) 1,397 37,595 Movement in unrealised (loss) / gain on foreign currency (6,613) (122) 6 (12,483) 182,804 (3,603) 20,865 61,837 Income from financial assets that are not at fair value through profit or loss: Bank interest income 7 - - - 7-3,018 1,485 - Net investment (loss) / income (35,369,044) (332,757) 806,011 (2,383,159) (21,020,572) (13,100,558) (4,328,674) (21,628,742) 229

STATEMENT OF COMPREHENSIVE INCOME (continued) For the year ended 31 March 2016 Operating expenses Europe Euro Index Japan North Pacific UK Emerging (Ex-UK) Govt Linked Equity America (Ex-Japan) Equity Markets Equity Index Bond Index Bond Index Index Equity Index Equity Index Index Index Fund Fund Fund Fund Fund Fund Fund Fund Note * US$* Administration fees 3, 7 (50,211) (23,009) (7,655) (3,722) (72,735) (17,025) (7,484) (35,230) Custody / Depositary fees 3, 7 (50,427) (23,098) (7,690) (3,739) (73,055) (17,098) (7,512) (179,144) Investment Management fees 3, 7 (228,411) (86,083) (30,619) (17,090) (332,746) (77,319) (35,174) (375,682) Directors' fees 13 (3,715) (1,720) (564) (279) (5,386) (1,284) (593) (2,673) Management Company fees 7 (3,892) (1,663) (634) (312) (5,666) (1,332) (493) (2,671) Company Secretarial fees 7 (633) (326) (95) (44) (874) (222) (135) (500) Transaction costs 2 (25,472) - - (2,741) (5,686) (7,916) (8,635) (30,033) Other operating expenses (21,526) (22,425) (15,413) (25,532) (21,782) (20,308) (22,739) (48,990) Total operating expenses before finance costs (384,287) (158,324) (62,670) (53,459) (517,930) (142,504) (82,765) (674,923) Net (loss) / income from operations before finance costs (35,753,331) (491,081) 743,341 (2,436,618) (21,538,502) (13,243,062) (4,411,439) (22,303,665) Finance costs Overdraft interest expense 7 (11,218) (80) (541) - (14,363) - - (280) Dividends 20 (2,280,583) (1,567,860) (233,468) (221,388) (3,222,618) (1,727,229) (1,512,371) (784,421) Withholding taxes on dividends and other investment income (1,174,684) - - (57,844) (2,452,393) (852,526) (130,617) (574,193) Changes in net assets attributable to holders of redeemable participating shares (39,219,816) (2,059,021) 509,332 (2,715,850) (27,227,876) (15,822,817) (6,054,427) (23,662,559) * Sub-Funds denominated in and US$ have been converted to at the average exchange rates for the year of 1.3657 and 0.9060, respectively, for the purpose of aggregation. 230

STATEMENT OF COMPREHENSIVE INCOME (continued) For the year ended 31 March 2016 Income Euro Govt AC Asia High Quality Emerging Markets Emerging Markets Emerging Markets US High Yield Emerging Markets As at Inflation (Ex-Japan) Euro Government Custom Low Carbon Custom ESG Custom Equity Fixed Custom ESG 31 March Linked Index Equity Index Bond Index Optimised Equity Index Equity Index Index Income Feeder 2016 Fund Fund Fund Fund Fund Fund Fund Fund Total Note US$* US$* US$* US$* US$* US$* * Income from financial assets at fair value through profit or loss: Dividend income - 20,114,296-15,622,852 6,825,428 15,529,464 50,578-78,769,571 Bond interest income 6,280,347 260 7,249,030-66 3,664 6,080,170-21,085,019 Securities lending income 7, 15-506,336-30,681-24,988 - - 873,170 Other income - - - - - - - - - Gains and losses from financial assets at fair value through profit or loss: Net realised gain / (loss) on investments 17,329,307 (9,362,017) 3,121,763 (46,797,293) (10,190,928) (14,291,485) (6,913,015) 1,589 (47,840,873) Net realised (loss) on futures contracts - (1,208,461) - (1,018,994) (283,563) (1,192,133) - - (5,078,837) Net realised (loss) on foreign currency (64) (336,926) (57) (769,708) (343,445) (529,299) (135) (4,248) (1,899,803) Movement in unrealised (loss) on (41,941,133) (95,621,437) (12,033,452) (26,014,239) (11,739,571) (69,882,249) (2,795,993) (1,047,748) (373,658,254) investments Movement in unrealised (loss) / gain on futures contracts Movement in unrealised gain on foreign currency Income from financial assets that are not at fair value through profit or loss: - (26,770) - 189,545 12,115 16,881 - - 206,425-194,781-128,214 119,944 153,790-3 777,499 Bank interest income 7 - - - - - 3,945 18,309-24,672 Net investment (loss) / income (18,331,543) (85,739,938) (1,662,716) (58,628,942) (15,599,954) (70,162,434) (3,560,086) (1,050,404) (326,741,411) 231

STATEMENT OF COMPREHENSIVE INCOME (continued) For the year ended 31 March 2016 Operating expenses Euro Govt AC Asia High Quality Emerging Markets Emerging Markets Emerging Markets US High Yield Emerging Markets As at Inflation (Ex-Japan) Euro Government Custom Low Carbon Custom ESG Custom Equity Fixed Custom ESG 31 March Linked Index Equity Index Bond Index Optimised Equity Index Equity Index Index Income Feeder 2016 Fund Fund Fund Fund Fund Fund Fund Fund Total Note US$* US$* US$* US$* US$* US$* * Administration fees 3, 7 (114,983) (124,287) (59,981) (107,892) (52,290) (103,665) (43,940) (5,076) (787,568) Custody / Depositary fees 3, 7 (115,467) (344,495) (27,725) (316,891) (222,914) (308,451) (19,070) (1,192) (1,589,880) Investment Management fees 3, 7 (262,810) (594,288) (120,280) (585,378) (276,392) (434,589) (443,613) (8,666) (3,664,715) Directors' fees 13 (8,445) (11,322) (4,455) (8,882) (4,124) (8,271) (1,336) (180) (59,976) Management Company fees 7 (8,748) (11,057) (4,222) (9,443) (4,691) (7,317) (1,725) (236) (60,842) Company Secretarial fees 7 (1,493) (1,896) (882) (1,395) (490) (1,552) (161) (4) (10,173) Transaction costs 2 - (136,709) - (309,884) (336,351) (33,045) - - (816,923) Other operating expenses (18,825) (75,916) (23,645) (53,758) (59,376) (35,707) (33,650) (907) (477,146) Total operating expenses before finance costs Net (loss) from operations before finance costs (530,771) (1,299,970) (241,190) (1,393,523) (956,628) (932,597) (543,495) (16,261) (7,467,223) (18,862,314) (87,039,908) (1,903,906) (60,022,465) (16,556,582) (71,095,031) (4,103,581) (1,066,665) (334,208,634) Finance costs Overdraft interest expense 7 (587) (5,444) (96) (4,797) (45,571) - - (513) (78,365) Dividends 20 (6,093,903) (16,708,790) (11,686,269) (12,200,181) (3,041,182) (14,557,527) (5,521,162) - (76,478,461) Withholding taxes on dividends and - (2,173,292) - (1,853,025) (823,922) (1,833,555) (9,720) - (11,252,411) other investment income Changes in net assets attributable to holders of redeemable participating shares (24,956,804) (105,927,434) (13,590,271) (74,080,468) (20,467,257) (87,486,113) (9,634,463) (1,067,178) (422,017,871) All results arise from continuing operations. The accompanying notes form an integral part of these financial statements. * Sub-Funds denominated in and US$ have been converted to at the average exchange rates for the year of 1.3657 and 0.9060, respectively, for the purpose of aggregation. 232

STATEMENT OF FINANCIAL POSITION Europe Euro Index Japan North Pacific UK Emerging (Ex-UK) Govt Linked Equity America (Ex-Japan) Equity Markets Equity Index Bond Index Bond Index Index Equity Index Equity Index Index Index Fund Fund Fund Fund Fund Fund Fund Fund Note * US$* Assets Financial assets at fair value through profit or loss Investments in transferable securities 11 240,863,792 98,708,033 40,366,272 18,317,811 353,574,539 81,223,135 29,169,374 180,612,248 Investments in collective investment schemes 11 1,447,861 791,059 43,000 52,938 3,102,991 206,257 475,281 682,824 Unrealised gain on futures contracts 11 - - - - 116,683 4,710 589 100,410 Loans and receivables Cash at bank 6 735,746 1,329 510 169,171 96,082 509,550 1,721 923,360 Margin cash 6 509,625 - - 53,820 363,220 198,758 61,281 343,376 Other assets 4 496,150 2,610,559 93,827 200,432 523,725 456,460 272,889 535,633 Total assets 244,053,174 102,110,980 40,503,609 18,794,172 357,777,240 82,598,870 29,981,135 183,197,851 Liabilities Financial liabilities at fair value through profit or loss Unrealised loss on futures contracts 11 62,954 - - 816-13,777 - - Financial liabilities measured at amortised cost Administration fees payable 3, 7 7,165 1,779 744 302 10,070 1,500 998 3,278 Custody / Depositary fees payable 3, 7 7,656 2,005 779 388 10,596 1,642 1,025 20,451 Investment Management fees payable 3, 7 54,398 19,660 8,106 4,371 82,107 19,026 7,525 379,689 Management Company fees payable 1,017 427 169 73 1,490 343 130 715 Bank overdraft - - - - - - - - Operating expenses payable 15,396 14,542 11,950 14,098 16,218 14,321 14,033 33,697 Other liabilities 4 77,296 1,780,960 61,038 134,236 62,706 56,059 57,061 35,402 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 225,882 1,819,373 82,786 154,284 183,187 106,668 80,772 473,232 Net assets attributable to holders of redeemable participating shares 243,827,292 100,291,607 40,420,823 18,639,888 357,594,053 82,492,202 29,900,363 182,724,619 233

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES For the year ended 31 March 2016 Europe Euro Index Japan North Pacific UK Emerging (Ex-UK) Govt Linked Equity America (Ex-Japan) Equity Markets Equity Index Bond Index Bond Index Index Equity Index Equity Index Index Index Fund Fund Fund Fund Fund Fund Fund Fund Note * US$* Net assets attributable to holders of redeemable participating shares at the beginning of the year Proceeds from redeemable participating shares issued Payments for redeemable participating shares redeemed Changes in net assets attributable to holders of redeemable participating shares 264,409,794 130,789,307 37,958,023 18,762,063 359,866,385 89,758,083 53,220,917 185,534,765 57,236,255 32,323,256 1,953,468 3,453,205 60,268,589 22,406,015 6,124,076 47,048,876 (38,612,700) (60,765,798) - (860,843) (35,316,520) (13,858,812) (23,399,088) (26,246,999) (39,219,816) (2,059,021) 509,332 (2,715,850) (27,227,876) (15,822,817) (6,054,427) (23,662,559) Dilution levy 13,759 3,863-1,313 3,475 9,733 8,885 50,536 Foreign exchange adjustments on aggregation 2 - - - - - - - - Net assets attributable to holders of redeemable participating shares at the end of the year 243,827,292 100,291,607 40,420,823 18,639,888 357,594,053 82,492,202 29,900,363 182,724,619 235

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES (continued) For the year ended 31 March 2016 Euro Govt AC Asia High Quality Emerging Markets Emerging Markets Emerging Markets US High Yield Emerging Markets As at Inflation (Ex-Japan) Euro Government Custom Low Carbon Custom ESG Custom Equity Fixed Custom ESG 31 March Linked Index Equity Index Bond Index Optimised Equity Index Equity Index Index Income Feeder 2016 Fund Fund Fund Fund Fund Fund Fund Fund Total Note US$* US$* US$* US$* US$* US$* * Net assets attributable to holders of redeemable participating shares at the beginning of the year Proceeds from redeemable participating shares issued Payments for redeemable participating shares redeemed Changes in net assets attributable to holders of redeemable participating shares 623,592,350 745,090,843 383,919,472 543,798,660 206,289,889 603,507,213 63,068,444 7,666,637 4,162,339,516 28,456,849 216,261,643 82,849,503 274,986,541 456,306,900 14,557,527 74,722,984 11,336,909 1,277,755,767 (80,723,623) (68,615,097) (170,392,659) - (108,458,772) - (18,469,579) (182,031) (624,866,227) (24,956,804) (105,927,434) (13,590,271) (74,080,468) (20,467,257) (87,486,113) (9,634,463) (1,067,178) (422,017,871) Dilution levy 2,506 104,292 25,829 613,640 749,398 - - - 1,444,509 Foreign exchange adjustments on aggregation Net assets attributable to holders of redeemable participating shares at the end of the year 2 - - - - - - - - (145,966,291) 546,371,278 786,914,247 282,811,874 745,318,373 534,420,158 530,578,627 109,687,386 17,754,337 4,248,689,403 The accompanying notes form an integral part of these financial statements. * Sub-Funds denominated in and US$ have been converted to at the average exchange rates for the year of 1.3657 and 0.9060 respectively for transactions during the year for the purpose of aggregation. 236

STATEMENT OF COMPREHENSIVE INCOME For the year ended 31 March 2015 Income Europe Euro Index Japan North Pacific UK Emerging (Ex-UK) Govt Linked Equity America (Ex-Japan) Equity Markets Equity Index Bond Index Bond Index Index Equity Index Equity Index Index Index Fund Fund Fund Fund Fund Fund Fund Fund Note * US$* Income from financial assets at fair value through profit or loss Dividend income 6,340,905 - - 304,555 6,629,386 4,200,078 1,942,164 5,646,314 Bond interest income - 2,398,964 278,261 - - - - 2 Securities lending income 7, 15 190,750 11,140 49 6,709 62,103 18,095 5,540 67,147 Other income - - - - - - - - Gains and losses from financial assets at fair value through profit or loss: Net realised gain / (loss) on investments 4,066,196 3,099,186 414,110 179,850 29,567,335 1,428,974 774,851 (2,594,239) Net realised gain / (loss) on futures contracts 440,376 - - 64,893 951,225 157,154 67,848 420,046 Net realised gain / (loss) on foreign currency 294,826 34 (22) 17,742 (607,891) 168,046 (13,696) (77,026) Movement in unrealised gain / (loss) on investments 38,865,213 9,533,772 5,619,599 5,225,066 80,541,425 15,089,730 6,638,125 (1,416,472) Movement in unrealised (loss) / gain on futures contracts (30,439) - - 2,159 (23,602) 522 (7,860) (233,420) Movement in unrealised gain / (loss) on foreign currency 10,560 93 1 12,375 (46,446) (10,919) (14,670) (73,145) Income from financial assets that are not at fair value through profit or loss: Bank interest income 7 - - 259 37 2,060 3,842 1,781 7,896 Net investment income / (loss) 50,178,387 15,043,189 6,312,257 5,813,386 117,075,595 21,055,522 9,394,083 1,747,103 237

STATEMENT OF COMPREHENSIVE INCOME (continued) For the year ended 31 March 2015 Operating expenses Europe Euro Index Japan North Pacific UK Emerging (Ex-UK) Govt Linked Equity America (Ex-Japan) Equity Markets Equity Index Bond Index Bond Index Index Equity Index Equity Index Index Index Fund Fund Fund Fund Fund Fund Fund Fund Note * US$* Administration fees 3, 7 (44,696) (23,272) (6,562) (3,048) (64,224) (15,812) (9,545) (40,124) Custody fees 3, 7 (44,696) (23,272) (6,562) (3,048) (64,224) (15,812) (9,545) (238,731) Investment Management fees 3, 7 (216,005) (90,490) (26,248) (14,056) (304,032) (75,988) (46,343) (441,345) Directors' fees 13 (5,243) (2,720) (779) (354) (7,428) (1,863) (1,118) (4,952) Management Company fees 7 (1,789) (1,030) (181) (63) (2,481) (644) (425) (1,013) Company Secretarial fees 7 (656) (346) (102) (44) (905) (153) (135) (522) Transaction costs 2 (26,241) - - (2,901) (15,459) (6,697) (4,097) (40,467) Other operating expenses (67,448) (19,098) (14,556) (12,695) (28,825) (17,478) (16,057) (78,891) Total operating expenses before finance costs (406,774) (160,228) (54,990) (36,209) (487,578) (134,447) (87,265) (846,045) Net income from operations before finance costs 49,771,613 14,882,961 6,257,267 5,777,177 116,588,017 20,921,075 9,306,818 901,058 Finance costs Overdraft interest expense 7 (3,176) (1,347) - - - - - (1) Dividends 20 (4,704,918) (2,318,976) (237,381) (227,537) (4,147,437) (2,403,805) (1,461,502) (3,940,407) Withholding taxes on dividends and other investment income (855,043) - - (44,834) (1,770,302) (849,669) (184,947) (617,068) Changes in net assets attributable to holders of redeemable participating shares 44,208,476 12,562,638 6,019,886 5,504,806 110,670,278 17,667,601 7,660,369 (3,656,418) * Sub-Funds denominated in and US$ have been converted to at the average exchange rates for the year of 1.2749 and 0.7932, respectively, for the purpose of aggregation. 238

STATEMENT OF COMPREHENSIVE INCOME (continued) For the year ended 31 March 2015 Income Euro Govt AC Asia High Quality Emerging Markets Emerging Markets Emerging Markets US High Yield Emerging Markets As at Inflation (Ex-Japan) Euro Government Custom Low Carbon Custom ESG Custom Equity Fixed Custom ESG 31 March Linked Index Equity Index Bond Index Optimised Equity Index Equity Index Index Income Feeder 2015 Fund Fund Fund Fund Fund Fund Fund** Fund** Total Note US$* US$* US$* US$* US$* US$* * Income from financial assets at fair value through profit or loss Dividend income - 18,429,806-14,955,900 2,972,965 15,751,201 34,351-65,258,483 Bond interest income 6,637,007 9 7,610,179-2 7 2,581,605-19,048,735 Securities lending income 7, 15-299,340 - - - - - - 585,109 Other income - - - 2,526,034 - - - - 2,003,735 Gains and losses from financial assets at fair value through profit or loss: Net realised gain / (loss) on investments 7,938,485 2,325,758 (114,158) (13,159,558) (749,046) (1,028,321) (1,103,582) (11) 34,531,829 Net realised gain / (loss) on futures contracts - 2,446,294-545,326 (9,842) (178) - - 4,379,796 Net realised (loss) / gain on foreign currency (2) (407,906) 1 (304,623) (248,165) (347,592) 1 8,507 (1,239,843) Movement in unrealised gain / (loss) on 36,861,548 48,867,184 28,368,517 (34,043) 1,291,092 (26,778,508) investments (797,683) (49,179) 245,050,066 Movement in unrealised (loss) / gain on futures contracts - (426,503) - (171,865) 81,659 24,410 - - (634,885) Movement in unrealised (loss) on foreign currency - (84,965) - (71,779) (36,046) (148,555) - - (377,793) Income from financial assets that are not at fair value through profit or loss: Bank interest income 7 - - - - 1,494 11,471 2,484-26,568 Net investment income / (loss) 51,437,038 71,449,017 35,864,539 4,285,392 3,304,113 (12,516,065) 717,176 (40,683) 368,631,800 239

STATEMENT OF COMPREHENSIVE INCOME (continued) For the year ended 31 March 2015 Operating expenses Euro Govt AC Asia High Quality Emerging Markets Emerging Markets Emerging Markets US High Yield Emerging Markets As at Inflation (Ex-Japan) Euro Government Custom Low Carbon Custom ESG Custom Equity Fixed Custom ESG 31 March Linked Index Equity Index Bond Index Optimised Equity Index Equity Index Index Income Feeder 2015 Fund Fund Fund Fund Fund Fund Fund** Fund** Total Note US$* US$* US$* US$* US$* US$* * Administration fees 3, 7 (110,098) (132,372) (60,567) (104,653) (24,240) (102,705) (8,133) (800) (667,255) Custody fees 3, 7 (110,098) (569,913) (27,731) (311,038) (133,319) (308,053) (8,133) (195) (1,551,678) Investment Management fees 3, 7 (256,580) (558,020) (121,698) (555,184) (142,143) (451,690) (191,125) (1,366) (3,015,515) Directors' fees 13 (12,863) (17,188) (7,225) (13,630) (3,158) (14,688) (822) (54) (83,033) Management Company fees 7 (4,684) (2,016) (2,760) (3,095) (564) (4,525) (192) 19 (23,138) Company Secretarial fees 7 (1,471) (1,792) (864) (1,508) (288) (1,632) (121) (5) (9,359) Transaction costs 2 - (114,844) - (80,755) (99,405) (280,610) - (2,816) (546,325) Other operating expenses (77,462) (284,460) (24,935) (462,937) (85,930) (148,148) (22,943) (448) (1,142,228) Total operating expenses before finance costs (573,256) (1,680,605) (245,780) (1,532,800) (489,047) (1,312,051) (231,469) (5,665) (7,038,531) Net income / (loss) from operations before finance costs 50,863,782 69,768,412 35,618,759 2,752,592 2,815,066 (13,828,116) 485,707 (46,348) 361,593,269 Finance costs Overdraft interest expense 7 (294) (6,524) (433) (5,071) - - - - (14,448) Dividends 20 (6,586,156) (12,159,242) (4,020,297) (2,251,739) (38,610) (279,717) (2,077,044) - (42,630,290) Withholding taxes on dividends and - (1,746,443) - (1,590,713) (352,941) (1,799,860) (4,250) - (8,552,464) other investment income Changes in net assets attributable to holders of redeemable participating shares 44,277,332 55,856,203 31,598,029 (1,094,931) 2,423,515 (15,907,693) (1,595,587) (46,348) 310,396,067 All results arise from continuing operations. The accompanying notes form an integral part of these financial statements. * Sub-Funds denominated in and US$ have been converted to at the average exchange rates for the year of 1.2749 and 0.7932, respectively, for the purpose of aggregation. ** The US High Yield Fixed Income Fund is for the period 12 May 2014 (date of commencement) to 31 March 2015 and the Emerging Markets Custom ESG Feeder Fund is for the period 29 July 2014 (date of commencement) to 31 March 2015. 240

STATEMENT OF FINANCIAL POSITION As at 31 March 2015 Europe Euro Index Japan North Pacific UK Emerging (Ex-UK) Govt Linked Equity America (Ex-Japan) Equity Markets Equity Index Bond Index Bond Index Index Equity Index Equity Index Index Index Fund Fund Fund Fund Fund Fund Fund Fund Note * US$* Assets Financial assets at fair value through profit or loss Investments in transferable securities 11 260,974,033 128,637,033 37,871,202 18,340,427 356,749,392 88,182,853 52,367,360 183,097,364 Investments in collective investment schemes 11 2,063,176 787,123 44,000 66,968 1,858,068 193,190 559,567 460,196 Unrealised gain on futures contracts 11 32,034 - - 2,567 974 18,764-62,815 Loans and receivables Cash at bank 6 694,175 2,168 607 132,347 889,962 653,705 1,795 1,011,600 Margin cash 6 274,913 - - 100,836 213,876 119,359 26,365 192,358 Other assets 4 643,501 2,579,480 479,125 144,744 489,422 681,668 358,568 970,767 Total assets 264,681,832 132,005,804 38,394,934 18,787,889 360,201,694 89,849,539 53,313,655 185,795,100 Liabilities Financial liabilities at fair value through profit or loss Unrealised loss on futures contracts 11 66 - - - 7,397 260 808 - Financial liabilities measured at amortised cost Administration fees payable 3, 7 11,309 4,099 1,178 604 15,214 2,899 2,183 6,130 Custody fees payable 3, 7 11,309 4,099 1,178 604 15,214 2,899 2,183 17,770 Investment Management fees payable 3, 7 110,048 46,620 13,893 7,358 147,288 38,439 24,326 206,342 Management Company fees payable 902 474 116 38 1,228 311 217 754 Bank overdraft - - - - - - - - Operating expenses payable 14,889 13,358 10,076 10,409 16,035 12,929 12,547 29,339 Other liabilities 4 123,515 1,147,847 410,470 6,813 132,933 33,719 50,474 - Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 272,038 1,216,497 436,911 25,826 335,309 91,456 92,738 260,335 Net assets attributable to holders of redeemable participating shares 264,409,794 130,789,307 37,958,023 18,762,063 359,866,385 89,758,083 53,220,917 185,534,765 241

STATEMENT OF FINANCIAL POSITION (continued) As at 31 March 2015 Euro Govt AC Asia High Quality Emerging Markets Emerging Markets Emerging Markets US High Yield Emerging Markets As at Inflation (Ex-Japan) Euro Government Custom Low Carbon Custom ESG Custom Equity Fixed Custom ESG 31 March Linked Index Equity Index Bond Index Optimised Equity Equity Index Index Income Feeder 2015 Fund Fund Fund Index Fund Fund Fund Fund Fund Total Note US$* US$* US$* US$* US$* US$* * Assets Financial assets at fair value through profit or loss Investments in transferable securities 11 617,962,469 737,546,483 378,044,440 541,260,905 202,931,093 599,916,405 60,255,155-4,118,413,932 Investments in collective investment schemes 11 1,225,556 476,895 1,082,655 51,581 1,532,575 249,764 2,976,000 7,668,671 13,248,151 Unrealised gain on futures contracts 11-82,179-83,855 104,806 113,080 - - 470,293 Loans and receivables Cash at bank 6 1,100 4,927,192 1,000 1,381,821 1,184,410 1,942,351-6 12,104,626 Margin cash 6-1,365,786-150,657 281,077 197,205 - - 2,771,738 Other assets 4 13,364,962 6,445,647 12,213,606 1,238,102 446,343 1,427,471 1,556,508 6,095 42,396,049 Total assets 632,554,087 750,844,182 391,341,701 544,166,921 206,480,304 603,846,276 64,787,663 7,674,772 4,189,404,789 Liabilities Financial liabilities at fair value through profit or loss Unrealised loss on futures contracts 11-10,721 - - - - - - 18,513 1 Financial liabilities measured at amortised cost Administration fees payable 3, 7 19,854 17,333 12,106 17,100 6,295 18,095 2,050 498 132,746 Custody fees payable 3, 7 19,854-5,362 50,638 34,623 52,629 2,050 122 210,109 Investment Management fees payable 3, 7 133,041 283,377 66,961 268,941 93,648 240,323 142,147 1,264 1,744,160 Management Company fees payable 2,422 3,028 1,344 1,048 148 3,204 68-14,778 Bank overdraft - - - - - - 526,547-490,267 Operating expenses payable 44,484 32,015 14,354 30,534 40,340 24,812 17,107 6,251 320,900 Other liabilities 4 8,742,082 5,406,865 7,322,102-15,361-1,029,250-24,133,800 Total liabilities (excluding net assets attributable to holders of redeemable participating shares) 8,961,737 5,753,339 7,422,229 368,261 190,415 339,063 1,719,219 8,135 27,065,273 Net assets attributable to holders of redeemable participating shares 623,592,350 745,090,843 383,919,472 543,798,660 206,289,889 603,507,213 63,068,444 7,666,637 4,162,339,516 The accompanying notes form an integral part of these financial statements. * Sub-Funds denominated in and US$ have been converted to at the closing exchange rates for the year of 1.3822 and 0.9311, respectively, for the purpose of aggregation. 242

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES For the year ended 31 March 2015 Europe Euro Index Japan North Pacific UK Emerging (Ex-UK) Govt Linked Equity America (Ex-Japan) Equity Markets Equity Index Bond Index Bond Index Index Equity Index Equity Index Index Index Fund Fund Fund Fund Fund Fund Fund Fund Note * US$* Net assets attributable to holders of redeemable participating shares at the beginning of the year Proceeds from redeemable participating shares issued Payments for redeemable participating shares redeemed Changes in net assets attributable to holders of redeemable participating shares 201,316,250 100,287,080 30,000,756 14,913,857 314,831,007 68,983,172 42,532,354 197,345,444 224,892,259 103,530,418 1,937,241 2,966,985 181,958,787 79,392,096 18,990,774 150,454,582 (206,020,176) (85,593,208) - (4,623,843) (247,597,469) (76,305,663) (15,979,709) (158,731,825) 44,208,476 12,562,638 6,019,886 5,504,806 110,670,278 17,667,601 7,660,369 (3,656,418) Dilution levy 12,985 2,379 140 258 3,782 20,877 17,129 122,982 Foreign exchange adjustments on aggregation 2 - - - - - - - - Net assets attributable to holders of redeemable participating shares at the end of the year 264,409,794 130,789,307 37,958,023 18,762,063 359,866,385 89,758,083 53,220,917 185,534,765 243

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE PARTICIPATING SHARES (continued) For the year ended 31 March 2015 Euro Govt AC Asia High Quality Emerging Markets Emerging Markets Emerging Markets US High Yield Emerging Markets As at Inflation (Ex-Japan) Euro Government Custom Low Carbon Custom ESG Custom Equity Fixed Custom ESG 31 March Linked Index Equity Index Bond Index Optimised Equity Index Equity Index Index Income Feeder 2015 Fund Fund Fund Fund Fund Fund Fund** Fund** Total Note US$* US$* US$* US$* US$* US$* * Net assets attributable to holders of redeemable participating shares at the beginning of the year Proceeds from redeemable participating shares issued Payments for redeemable participating shares redeemed Changes in net assets attributable to holders of redeemable participating shares 513,212,210 621,472,056 166,659,340 542,641,852 70,572,133 259,135,189 - - 2,686,062,376 140,329,598 194,777,432 229,201,397 2,251,739 140,572,969 359,829,717 69,674,997 7,712,985 1,711,572,649 (74,251,192) (127,202,713) (43,544,126) - (7,497,195) - (5,010,966) - (990,650,161) 44,277,332 55,856,203 31,598,029 (1,094,931) 2,423,515 (15,907,693) (1,595,587) (46,348) 310,396,067 Dilution levy 24,402 187,865 4,832-218,467 450,000 - - 863,647 Foreign exchange adjustments on aggregation Net assets attributable to holders of redeemable participating shares at the end of the year 2 - - - - - - - - 444,094,937 623,592,350 745,090,843 383,919,472 543,798,660 206,289,889 603,507,213 63,068,444 7,666,637 4,162,339,515 The accompanying notes form an integral part of these financial statements. All results arise from continuing operations. The accompanying notes form an integral part of these financial statements. * Sub-Funds denominated in and US$ have been converted to at the average exchange rates for the year of 1.2749 and 0.7932, respectively for transactions during the year for the purpose of aggregation. ** The US High Yield Fixed Income Fund is for the period 12 May 2014 (date of commencement) to 31 March 2015 and the Emerging Markets Custom ESG Feeder Fund is for the period 29 July 2014 (date of commencement) to 31 March 2015.. 244

NOTES FORMING PART OF THE FINANCIAL STATEMENTS For the year ended 31 March 2016 1. Establishment Northern Trust Investment Funds Plc (the Company ) was incorporated on 13 November 2003 with limited liability as an openended investment company with variable capital under the laws of the Republic of Ireland. The Company is authorised by the Central Bank of Ireland as an Undertaking for Collective Investment in Transferable Securities in accordance with the provisions of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011. The Company is structured as an umbrella fund, in that different series of shares (each allocated to a particular Sub-Fund) may be issued from time to time at the direction of the Directors with the approval of the Central Bank of Ireland. The assets of each Sub-Fund will be separate from one another and will be invested separately in accordance with the investment objectives and policies of each Sub-Fund. At year end there were sixteen active Sub-Funds: The NT Europe (Ex-UK) Equity Index Fund, The NT Euro Government Bond Index Fund, The NT Index Linked Bond Index Fund, The NT Japan Equity Index Fund, The NT North America Equity Index Fund, The NT Pacific (Ex-Japan) Equity Index Fund, The NT UK Equity Index Fund, The NT Emerging Markets Index Fund, The NT Euro Government Inflation Linked Index Fund, The NT All Country Asia (Ex-Japan) Equity Index Fund, The NT High Quality Euro Government Bond Index Fund, The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund, The NT Emerging Markets Custom ESG Equity Index Fund, The NT Emerging Markets Custom Equity Index Fund, The NT US High Yield Fixed Income Fund and The NT Emerging Markets Custom ESG Feeder Fund ( the Sub-Funds ). As set out in the respective Prospectus Supplements of each Sub-Fund, the Company has admitted share classes of each Sub-Fund to the Official List of the Irish Stock Exchange with the exception of The NT All Country Asia (Ex-Japan) Equity Index Fund, The NT High Quality Europe Government Bond Index Fund, The NT Emerging Markets Custom ESG Equity Index Fund, The NT Emerging Markets Custom Equity Index Fund, The NT US High Yield Fixed Income Fund and The NT Emerging Markets Custom ESG Feeder Fund. 2. Statement of Accounting Policies Basis of Accounting The financial statements have been prepared in accordance with Generally Accepted Accounting Practice in Ireland and Irish statute comprising the Companies Act 2014, and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 ( the UCITS Regulations ) and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferable Securities) Regulations 2015 (the "Central Bank UCITS Regulations"). Accounting standards generally accepted in Ireland in preparing financial statements giving a true and fair view are those published by the Institute of Chartered Accountants in Ireland and issued by the Financial Reporting Council. In preparing the financial statements for the financial year ended 31 March 2016, the Directors have applied Financial Reporting Standard 102 ( FRS 102 ) The Financial Reporting Standard applicable in the UK and Republic of Ireland for the first time and these financial statements comply with that standard. The transition to FRS 102 has resulted in no changes to the reported financial position or financial performance compared to that presented previously. No adjustments have been made to either the equity presented in the opening Statement of Financial Position as at 1 April 2014 or at 31 March 2015 i.e. at the end of the latest period presented in the Fund s most recent annual financial statements determined in accordance with the previous financial reporting framework. In these financial statements the Company has made the decision to change its accounting policy related to the recognition and measurement of financial instruments. On initial application of FRS 102, in accounting for its financial instruments the Company is required to apply either: a) The full requirements of FRS 102 relating to financial instruments; b) The recognition and measurement provisions of IAS 39 Financial Instruments: Recognition and only the disclosure requirements of FRS 102 relating to financial instruments; or c) The recognition and measurement provisions of IFRS 9 Financial Instruments and only the disclosure requirements of FRS 102 relating to financial instruments. The Company has chosen to apply the recognition and measurement provisions of IAS 39 Financial Instruments to the financial instruments that fall in scope of sections 11 and 12 of FRS 102. In addition the presentation and disclosure requirements of FRS102 have been applied as required. FRS 102 Section 11.27 on Fair Value: Disclosure requires disclosure relating to the fair value hierarchy in which fair value measurements are categorised for assets and liabilities. The disclosures are based on a three-level fair value hierarchy for the inputs used in valuation techniques to measure fair value. The hierarchy of levels as defined under FRS 102 is different to the hierarchy definitions as set out in the prior annual Financial Statements. In March 2016 amendments were made to paragraphs 34.22 and 34.42 of FRS 102, revising the fair value hierarchy disclosure requirements for financial institutions and retirement benefit plans. An entity shall apply these fair value hierarchy amendments for accounting periods beginning on or after 1 January 2017. Early application is permitted. This amendment has been early adopted in the preparation of these financial statements. The amendment simplifies the preparation of disclosures relating to financial instruments whilst increasing consistency with disclosures required by EU adopted IFRS. The Company meets all the conditions set out in FRS 102, Section 7, and consequently has availed of the exemption available to certain funds not to prepare a statement of cash flows. 245

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (Continued) For the year ended 31 March 2016 2. Statement of Accounting Policies (continued) Financial Instruments (i) Classification The Company has classified its investments into the financial assets and liabilities at fair value through profit or loss category in accordance with International Accounting Standards ( IAS ) 39 based on the accounting policy choice included in FRS 102 Section 11. The category of financial assets and financial liabilities designated at fair value through profit or loss comprises financial instruments including equities, collective investment schemes, bonds and derivatives (futures contracts). Financial assets that are classified as loans and receivables include cash at bank, margin cash, other assets, receivables for shares issued and securities sold receivable. Financial liabilities that are not at fair value through profit or loss include accrued expenses, payables for shares redeemed, securities purchased payable, other liabilities and financial liabilities arising on redeemable participating shares. (ii) Recognition and Measurement The Company recognises financial assets and liabilities on the trade date, the date it becomes party to the contractual provisions of the instrument. From this date any gains or losses arising from changes in fair value of the financial asset or financial liabilities carried at fair value are recorded in the Statement of Comprehensive Income. Financial liabilities are not recognised unless one of the parties has performed or the contract is a derivative contract which is not exempted from the scope of IAS 39. Financial instruments are measured initially at fair value (transaction price) plus, in case of a financial asset or financial liability not at fair value through profit or loss, transaction costs that are directly attributable to the acquisition or issue of the financial asset or financial liability. Transaction costs on financial assets and financial liabilities at fair value through profit or loss are expensed immediately, while on other financial instruments they are amortised. Subsequent to initial recognition, all instruments classified at fair value through profit or loss are measured at fair value with changes in their fair value recognised in the Statement of Comprehensive Income. Financial assets classified as loans and receivables are carried at amortised cost using the effective interest rate method, less impairment losses, if any. Financial liabilities, other than those at fair value through profit or loss, are measured at amortised cost. (iii) Fair Value Measurement Principles For financial reporting purposes, prior to 1 April 2015, the quoted market price used for financial assets held by the Sub-Funds was the current bid price; the appropriate quoted market price for financial liabilities was the current asking price. On transition to FRS 102 the fair value input was changed to utilise the mid-price for both financial assets and liabilities. If a quoted market price is not available on a recognised stock exchange or from a broker / dealer for non-exchange-traded financial instruments, the fair value of the instrument is estimated using valuation techniques, including use of recent arm s length market transactions, reference to the current fair value of another instrument that is substantially the same, discounted cash flow techniques, option pricing models or any other valuation technique that provides a reliable estimate of prices obtained in actual market transactions. Where discounted cash flow techniques are used, estimated future cash flows are based on management s best estimates and the discount rate used is a market rate at the Statement of Financial Position date applicable for an instrument with similar terms and conditions. Where other pricing models are used, inputs are based on market data at the Statement of Financial Position date. Fair values for unquoted equity investments are estimated, if possible, using applicable price/earnings ratios for similar listed companies adjusted to reflect the specific circumstances of the issuer. The fair value of the derivatives that are not exchange-traded is estimated at the amount that the Sub-Funds would receive or pay to terminate the contract at the Statement of Financial Position date taking into account the current market conditions (volatility, appropriate yield curve) and the credit worthiness of the counterparties. Specifically, the fair value of the forward contract is determined as a net present value of the estimated future cash flows, discounted at appropriate market rates on the valuation date. Collective investment schemes are valued at the price as calculated by the relevant stock exchange at quoted prices, at close of business, of the collective investment schemes in which the Company invests. All Collective investment schemes calculate their NAV daily. (iv) Impairment Financial assets that are stated at cost or amortised cost are reviewed at each Statement of Financial Position date to determine whether there is objective evidence of impairment. If any such indication exists, an impairment loss is recognised in the Statement of Comprehensive Income as the difference between the asset s carrying amount and the present value of estimated future cash flows discounted at the financial asset s original effective interest rate. 246

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (Continued) For the year ended 31 March 2016 2. Statement of Accounting Policies (continued) Financial Instruments (continued) (iv) Impairment (continued) If in a subsequent period the amount of an impairment loss recognised on a financial asset carried at amortised cost decreases and the decrease can be linked objectively to an event occurring after the write-down, the write-down is reversed through the Statement of Comprehensive Income. (v) De-recognition A financial asset is derecognised when the Company no longer has control over the contractual rights that comprise that asset. This occurs when the contractual rights to the cash flow from the asset expire or when it transfers the rights to receive the contractual cash flows in a transaction in which substantially all of the risks and rewards of ownership of the financial asset are transferred or in which the Fund neither transfers nor retains substantially all of the risks and rewards of ownership and does not retain control of the financial asset. A financial liability is derecognised when it is extinguished or when the obligation specified in the contract is discharged, cancelled or expired. (vi) Offsetting Financial Instruments Financial assets and liabilities are offset and the net amount reported in the Statement of Financial Position where there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis, or realise the assets and settle the liability simultaneously. (vii) Transaction Costs Transaction costs are incremental costs that are directly attributable to the acquisition, issue or disposal of a financial asset or financial liability. An incremental cost is one that would not have been incurred if the entity had not acquired, issued or disposed of the financial instrument. All identifiable transaction costs for the year of 816,923 (2015: 546,325) have been included in the Statement of Comprehensive Income. Only transaction costs which are separately identifiable are disclosed. These include transaction costs paid to custodians and sub-custodians, identifiable brokerage charges and commissions, identifiable transaction related taxes and other market charges and separately identifiable transaction costs related to Financial Derivative Instruments. (viii) Global Exposure to Financial Derivative Instruments The Investment Manager s Risk Management department has assessed the risk profile of the Company and the related Sub-Funds on the basis of the investment policy, strategy and the use of Financial Derivative Instruments. Based on the risk profile, Risk Management has determined that the method for the calculation of the global exposure to Financial Derivative Instruments for all Sub-Funds will be the commitment approach, where the Sub-Fund holds Financial Derivative Instruments. Fees and Charges In accordance with the Prospectus, management fees, administration fees, custody fees, sub-custody fees and other operating expenses are charged to the Statement of Comprehensive Income on an accruals basis. Realised and Unrealised Gains on Investments Realised gains or losses on disposal of investments during the year and unrealised gains and losses on valuation of investments held at the year end, calculated on a weighted average cost basis for The NT Europe (Ex-UK) Equity Index Fund, The NT Japan Equity Index Fund, The NT North America Equity Index Fund, The NT Pacific (Ex-Japan) Equity Index Fund, The NT UK Equity Index Fund, The NT Emerging Markets Index Fund, The NT All Country Asia (Ex-Japan) Equity Index Fund, The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund, The NT Emerging Markets Custom ESG Equity Index Fund, The NT Emerging Markets Custom Equity Index Fund and The NT Emerging Markets Custom ESG Feeder Fund and on a FIFO basis for The NT Euro Government Bond Index Fund, The NT Index Linked Bond Index Fund, The NT Euro Government Inflation Linked Index Fund, The NT High Quality Euro Government Bond Index Fund and The NT US High Yield Fixed Income Fund are dealt with in the Statement of Comprehensive Income. Dividend Policy Under the Articles of Association, the Directors are entitled to declare dividends out of the relevant Sub-Fund being: (i) the accumulated revenue (consisting of all revenue accrued including interest and dividends) less expenses and/or (ii) realised and unrealised capital gains on the disposal / valuation of investments and other funds less realised and unrealised accumulated capital losses of the relevant Sub-Fund. Dividends on redeemable participating shares and dividend withholding tax on investments are recognised in the Statement of Comprehensive Income as finance costs. The Directors may satisfy any dividend due to Shareholders in whole or in part by distributing to them in specie any of the assets of the relevant Sub-Fund, and in particular any investments to which the relevant Sub-Fund is entitled. 247

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (Continued) For the year ended 31 March 2016 2. STATEMENT OF ACCOUNTING POLICIES (Continued) Dividend Policy (continued) A Shareholder may require the Company instead of transferring any assets in specie to him, to arrange for a sale of the assets and for payment to the Shareholder of the net proceeds of same. The Company will be obliged and entitled to deduct an amount in respect of Irish taxation from any dividend payable to a Shareholder in any Fund who is or is deemed to be a Taxable Irish Person and pay such sum to the Irish tax authorities. Income Dividends, gross of foreign withholding taxes, where applicable, are included as income when the security is declared to be exdividend. Bank interest income is accounted for on an effective yield basis. Bond interest income on fixed and floating rate securities is accounted for on an effective yield basis. Stock lending income is accounted for on an accruals basis. Dilution Levy Dilution levy on subscriptions and redemptions is accounted for on an accruals basis and included in the Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares. Dilution levy reduces the effect of dilution by making a separate charge to investors when they buy or sell shares in the Fund. The amount of the levy is paid into the Fund for the protection of existing/continuing shareholders. The dilution levy is not applied for the benefit of the Manager. Elimination of cross holdings Certain sub-funds in the Company hold investments in other sub-funds within the Company. For the purposes of determining the net assets and results of the Company these cross holdings are eliminated so that the total amounts only reflect external assets and liabilities of the Company as a whole. This elimination for the purpose of ascertaining the total Company results and net assets does not have any effect on the results and net assets of any individual sub-fund. Foreign Currency The functional and presentation currency of the Company is Euro ( ). The assets and liabilities at the date of the financial statements of a Sterling Sub-Fund, The NT Index Linked Bond Index Fund and seven US Dollar Sub-Funds, The NT Emerging Markets Index Fund, The NT All Country Asia (Ex-Japan) Equity Index Fund, The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund, The NT Emerging Markets Custom ESG Equity Index Fund, The NT Emerging Markets Custom Equity Index Fund, The NT US High Yield Fixed Income Fund and The NT Emerging Markets Custom ESG Feeder Fund, are denominated in British Pound Sterling ( ) and US Dollar ( US$ ), respectively, as for the purpose of foreign exchange rate determination these Sub-Funds are considered to be foreign operations of the Company. Monetary assets and liabilities denominated in other currencies are translated at the exchange rates prevailing at the Statement of Financial Position date. Non-monetary assets and liabilities that are measured at fair value are translated at the exchange rates prevailing at the dates the fair values are determined. Transactions in other currencies during the year are translated at the rates ruling at the date of the transaction. The resulting profits or losses are dealt with in the Statement of Comprehensive Income. Foreign exchange gains and losses on financial assets and financial liabilities at fair value through profit or loss are recognised together with other changes in the fair value of the line item to which they relate. For the purposes of combining the financial statements of the British Pound Sterling Sub-Fund and the US Dollar Sub-Funds, the amounts in the Statement of Financial Position have been translated into Euro at the British Pound Sterling exchange rate of 1.2613 ruling at 31 March 2016 (2015: 1.3822) and at the US Dollar exchange rate of 0.8775 ruling at 31 March 2016 (2015: 0.9311). The amounts in the Statement of Comprehensive Income as well as proceeds from the subscription and redemption of shares in the Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares have been translated at the average British Pound Sterling exchange rate of 1.3657 (2015: 1.2749) and at the average US Dollar exchange rate of 0.9060 (2015: 0.7932). The method of translation has no effect on the Net Asset Value per share attributable to the individual Sub-Funds. The amount of ( 145,966,291) (2015: 444,094,937) included in the Statement of Changes in the Net Assets Attributable to Holders of Redeemable Participating Shares reflects the foreign exchange adjustment arising as a result of the method of translation used to combine the financial information for each Sub-Fund into Company information on an aggregated basis, as required for presentation purposes. This foreign exchange translation adjustment does not impact on the NAVs of each Sub-Fund as these are determined on a Sub-Fund basis. Accounting Policies for Derivatives All derivative instruments are valued at fair value and all related gains and losses are recorded in the Statement of Comprehensive Income. Futures Contracts on Securities For open futures contracts, changes in the value of the contract are recognised as unrealised gains or losses by "marking to market" the value of the contract at the Statement of Financial Position date. When the contract is closed, the difference between the proceeds from (or cost of) the closing transactions and the original transaction is recorded as a realised gain or loss. 248

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (Continued) For the year ended 31 March 2016 2. STATEMENT OF ACCOUNTING POLICIES (Continued) Securities Lending Investments lent under securities lending agreements continue to be recognised in the Statement of Financial Position, as the Company continues to be exposed to all gains and losses arising from the ownership of these securities, and are measured in accordance with the accounting policy for investments. Redeemable Participating Shares All redeemable participating shares issued by the Company provide the investors with the right to require redemption for cash at the value proportionate to the investor s share in the respective Sub-Fund s net assets at the redemption date. In accordance with FRS 102 such instruments give rise to a financial liability for the present value of the redemption amount. In accordance with the Prospectus, the Company is contractually obliged to redeem shares at dealing prices. Cash at Bank Cash at bank comprises cash in hand and deposits repayable on demand. Deposits are repayable on demand if they can be withdrawn at any time without notice and without penalty or if a maturity or period of notice of not more than 24 hours or one working day has been agreed. 3. Manager, Investment Manager, Administration, Custodian and Audit Fees The Manager is entitled to receive from the Company out of the assets of the Sub-Funds an annual fee not exceeding 0.1% (plus VAT, if any) of the net assets of The NT Europe (Ex-UK) Index Fund, The NT Japan Equity Index Fund, The NT North America Equity Index Fund, The NT Pacific (Ex-Japan) Equity Index Fund and The NT UK Equity Index Fund. An annual fee not exceeding 0.50% of the net assets applies to The NT Emerging Markets Index Fund, The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund, The NT Emerging Markets Custom ESG Equity Index Fund, The NT Emerging Markets Custom Equity Index Fund and The NT Emerging Markets Custom ESG Feeder Fund. An annual fee not exceeding 0.08% of the net assets applies to The NT Euro Government Bond Index Fund, The NT Index Linked Bond Index Fund and The NT Euro Government Inflation Linked Index Fund. An annual fee not exceeding 0.20% of the net assets applies to The NT All Country Asia (Ex-Japan) Equity Index Fund. An annual fee not exceeding 1% of the net assets applies to The NT High Quality Euro Government Bond Index Fund and The NT US High Yield Fixed Income Fund. Such fees shall accrue and be calculated on each Dealing Day and be payable monthly in arrears in respect of the relevant shares. The Manager will not be paid any annual fees out of the assets of the Sub-Fund in respect of the Class A Shares with exception of The NT Emerging Markets Custom ESG Feeder Fund. The Manager will pay out of the above fee (and not out of the assets of the Sub-Fund), the fees of the Investment Manager. The Manager and the Investment Manager shall be entitled to be reimbursed out of the assets of the Sub-Fund for its reasonable out-of-pocket costs and expenses incurred by the Investment Manager in the performance of its duties. Below is a schedule of the rates at the year end: Sub-Fund Share Class Investment Management Fee The NT Europe (Ex-UK) Equity Index Fund Class B EUR 0.10% Class B GBP 0.10% Class A USD 0.00% Class B USD 0.10% Class P1 EUR 0.09% The NT Euro Government Bond Index Fund Class B EUR 0.08% Class P1 EUR 0.07% The NT Index Linked Bond Index Fund Class B GBP 0.08% The NT Japan Equity Index Fund Class B EUR 0.10% Class B GBP 0.10% Class A USD 0.00% Class B USD 0.10% Class P1 EUR 0.09% The NT North America Equity Index Fund Class B EUR 0.10% Class A USD 0.00% Class B USD 0.10% Class P1 EUR 0.09% 249

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 3. Manager, Investment Manager, Administration, Custodian and Audit Fees (continued) Sub-Fund Share Class Investment Management Fee The NT Pacific (Ex-Japan) Equity Index Fund Class A EUR 0.00% Class B EUR 0.10% Class A USD 0.00% Class B USD 0.10% Class P1 EUR 0.09% The NT UK Equity Index Fund Class B EUR 0.10% Class A USD 0.00% Class B USD 0.10% Class P1 EUR 0.09% The NT Emerging Markets Index Fund Class B EUR 0.25% Class C EUR 0.15% Class C GBP 0.15% Class A USD 0.00% Class B USD 0.25% Class P1 EUR 0.22% The NT Euro Government Inflation Linked Index Fund Class B EUR 0.08% Class C EUR 0.04% Class P1 EUR 0.07% The NT All Country Asia (Ex-Japan) Equity Index Fund Class C EUR 0.08% Class B USD 0.04% The NT High Quality Euro Government Bond Index Fund Class B EUR 0.08% Class C EUR 0.04% The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund Class C USD 0.10% The NT Emerging Markets Custom ESG Equity Index Fund Class B EUR 0.18% Class C EUR 0.10% Class C GBP 0.00% The NT Emerging Markets Custom Equity Index Fund Class C USD 0.08% The NT US High Yield Fixed Income Fund Class B USD 0.47% The NT Emerging Markets Custom ESG Feeder Fund Class A GBP 0.07% The Administrator shall be entitled to receive out of the net assets of the Sub-Fund an annual fee, accrued and calculated on each Dealing Day and payable monthly in arrears at an annual rate of up to 2 basis points (bps) of net asset value of Sub-Funds subject to a minimum fee from the Company of 100,000 per annum (plus VAT if any). The Custodian shall be entitled to receive out of the net assets of the Sub-Fund an annual fee, accrued and calculated on each Dealing Day and payable monthly in arrears, at an annual rate of up to 2 bps of the net asset value of The NT Europe (ex-uk) Equity Index Fund, The NT Index Linked Bond Index Fund, The NT Japan Equity Index Fund, The NT Pacific (Ex-Japan) Equity Index Fund, The NT UK Equity Index Fund, The NT North America Equity Index Fund, The NT Euro Government Inflation Linked Index Fund, The NT Euro Government Bond Index Fund and The NT US High Yield Fixed Income Fund, up to 13 bps of the net asset value of The NT Emerging Markets Index Fund, up to 10 bps of the net asset value of The NT All Country Asia (Ex-Japan) Equity Index Fund, up to 11 bps of the net asset value of The NT Emerging Markets Custom ESG Equity Index Fund, The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund, The NT Emerging Markets Custom Equity Index Fund, and up to 1bp of the net asset value of The NT High Quality Europe Government Bond Index Fund and The NT Emerging Markets Custom ESG Feeder Fund (plus VAT thereon, if any). The Custodian is also entitled to sub-custodian s fees (which will be charged at normal commercial rates) as well as agreed upon transaction charges (which will be at normal commercial rates) and other out-of-pocket expenses out of the assets of the Sub-Fund (plus VAT thereon, if any). 250

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 3. Manager, Investment Manager, Administration, Custodian and Audit Fees (continued) Audit fees of 106,785 (ex VAT) were incurred in relation to the statutory audit of the financial statements of the Company for the year end 31 March 2016 (2015: 101,700 (ex VAT)). Fees of 61,000 (ex VAT) were paid to KPMG in relation to taxation services during the year ended 31 March 2016 (2015: 61,000 (ex VAT)). 4. Other Assets / Liabilities Europe Pacific (Ex-UK) Euro Govt Index Linked Japan Equity North America (Ex-Japan) Equity Index Bond Index Bond Index Index Equity Index Equity Index Fund Fund Fund Fund Fund Fund Other assets Investment income receivable 90,118 1,331,947 62,926 154,474 313,753 330,543 Receivable for securities sold 199,851 1,256,920 29,465 246 111,775 - Receivable for shares issued 204,281 19,864-43,882 95,833 123,901 Sundry receivables 1,900 1,828 1,436 1,830 2,364 2,016 496,150 2,610,559 93,827 200,432 523,725 456,460 Other liabilities Payable for securities purchased - 1,719,617 61,038 134,038 - - Payable for shares redeemed 76,394 61,341 - - 62,706 55,249 Sundry liabilities 902 2-198 - 810 77,296 1,780,960 61,038 134,236 62,706 56,059 Emerging Markets Emerging Euro Govt AC Asia High Quality Custom Low UK Equity Markets Inflation (Ex-Japan) Euro Government Carbon Optimised Index Index Linked Index Equity Index Bond Index Equity Index Fund Fund Fund Fund Fund Fund US$ US$ US$ Other assets Investment income receivable 208,237 510,350 4,269,215 2,168,473 3,756,880 2,144,103 Receivable for securities sold 6,088-5,560,618-2,511,309 - Receivable for shares issued 57,422 24,537 18,135 194,927 297,685 - Sundry receivables 1,142 746 1,198 10,727 10,538 3,349 272,889 535,633 9,849,166 2,374,127 6,576,412 2,147,452 Other liabilities Payable for securities purchased 53,474-5,325,322-3,829,522 - Payable for shares redeemed 3,587 35,402 17,710 5,417,407 310,928 - Sundry liabilities - - 2 - - - 57,061 35,402 5,343,034 5,417,407 4,140,450-251

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 4. Other Assets / Liabilities (continued) (continued) Emerging Emerging Emerging Markets Markets US Markets Custom ESG Custom Equity High Yield Custom ESG Equity Index Index Fixed Income Feeder Fund Fund Fund Fund Total US$ US$ US$ US$ Other assets Investment income receivable 1,043,332 1,512,519 1,913,572-18,689,279 Receivable for securities sold - - 626,281-10,233,557 Receivable for shares issued 13,494,109-200,000-13,070,706 Sundry receivables 464,954 753 3,207 16,917 463,624 15,002,395 1,513,272 2,743,060 16,917 42,457,166 Other liabilities Payable for securities purchased 24,988,200-1,446,746-34,336,655 Payable for shares redeemed - - - - 5,372,968 Sundry liabilities 49,558 - - - 45,403 25,037,758-1,446,746-39,755,026 As at 31 March 2015 Europe Pacific (Ex-UK) Euro Govt Index Linked Japan Equity North America (Ex-Japan) Equity Index Bond Index Bond Index Index Equity Index Equity Index Fund Fund Fund Fund Fund Fund Other assets Investment income receivable 224,234 1,859,831 80,877 126,227 321,578 457,216 Receivable for securities sold 115,862 584,220 - - - 128,523 Receivable for shares issued 302,330 134,358 397,476 17,357 166,492 94,730 Sundry receivables 1,075 1,071 772 1,160 1,352 1,199 643,501 2,579,480 479,125 144,744 489,422 681,668 Other liabilities Payable for securities purchased - 1,101,082 410,470 6,813 - - Payable for shares redeemed 122,758 46,765 - - 132,933 33,719 Sundry liabilities 757 - - - - - 123,515 1,147,847 410,470 6,813 132,933 33,719 Emerging Markets Emerging Euro Govt AC Asia High Quality Custom Low UK Equity Markets Inflation (Ex-Japan) Euro Government Carbon Optimised Index Index Linked Index Equity Index Bond Index Equity Index Fund Fund Fund Fund Fund Fund US $ US $ US $ Other assets Investment income receivable 331,264 440,603 5,298,321 1,856,274 5,373,020 1,236,841 Receivable for securities sold - - 7,935,125-1,765,171 - Receivable for shares issued 25,574 528,758 130,446 4,573,826 5,064,898 - Sundry receivables 1,730 1,405 1,070 15,547 10,517 1,261 358,568 970,766 13,364,962 6,445,647 12,213,606 1,238,102 Other liabilities Payable for securities purchased 43,640-8,698,506-3,585,380 - Payable for shares redeemed 6,771-43,567 5,406,865 3,736,713 - Sundry liabilities 63-9 - 9-50,474-8,742,082 5,406,865 7,322,102-252

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 4. Other Assets / Liabilities (continued) As at 31 March 2015 (continued) Emerging Emerging Emerging Markets Markets US Markets Custom ESG Custom Equity High Yield Custom ESG Equity Index Index Fixed Income Feeder Fund Fund Fund Fund Total US$ US$ US$ US$ Other assets Investment income receivable 443,880 1,427,037 1,153,263-20,209,527 Receivable for securities sold - - 402,850-10,903,994 Receivable for shares issued - - - - 11,236,588 Sundry receivables 2,463 434 395 6,095 45,939 446,343 1,427,471 1,556,508 6,095 42,396,048 Other liabilities Payable for securities purchased - - 1,029,250-14,961,112 Payable for shares redeemed 15,361 - - - 9,171,850 Sundry liabilities - - - - 838 15,361-1,029,250-24,133,800 5. Net Asset Value Attributable per Participating Share The Net Asset Value per Share is determined by dividing the value of the net assets of the Company attributable to each class of share in each Sub-Fund by the total number of Shares of that class and Sub-Fund in issue at that time. 6. Cash Balances All cash and bank overdraft balances are held with The Northern Trust Company, London Branch. Margin Cash represents cash deposits with Citigroup, broker, transferred as collateral for all open futures contracts, in the current and prior year. 7. Related Parties The following transactions with related parties were entered into during the year under review by the Company in the ordinary course of business and on normal commercial terms: Northern Trust Global Investments Limited as Investment Manager earned fees of 3,664,715 (2015: 3,015,515), of which 1,266,220 (2015: 1,744,160) was due at the year end. Northern Trust International Fund Administration Services (Ireland) Limited as Administrator earned fees of 787,568 (2015: 667,255), of which 75,309 (2015: 132,746) was due at the year end. Northern Trust Fiduciary Services (Ireland) Limited as Depositary earned fees of 1,589,880 (2015: 1,551,678), of which 198,406 (2015: 210,109) was due at the year end. Northern Trust Fund Managers (Ireland) Limited as Manager earned fees of 60,842 (2015: 23,138), of which 15,385 (2015: 14,778) was due at the year end. Northern Trust International Fund Administration Services (Ireland) Limited as Secretary earned fees of 10,173 (2015: 9,359), of which 200 (2015: 1,217) was due at the year end. The NT North America Equity Index Fund held 4,275 (2015: 4,213) shares in the Northern Trust Corporation at the year end. Catherine Duffy (appointed 1 May 2015), Eleanor Fitzgerald and Willem van Ooijen, who served as Directors of the Company during the year, were also employees of Northern Trust. All cash and bank overdraft balances are held with The Northern Trust Company, London Branch. The Company paid net bank interest of 53,693 (2015: net interest income received of 12,120) during the year. Some Sub-Funds have shareholders with more than 20% holdings on the Fund (Refer to page 284). 253

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 7. Related Parties (continued) The Northern Trust Company is the securities lending agent for the Company. The Company earned a net fee of 873,170 (2015: 585,109) during the year in relation to securities lending. There were no fees outstanding at the year end (2015: nil). Northern Trust Fund Managers (Ireland) Limited, at 31 March 2016, held nil shares (2015: 2 shares) in each The NT Europe (ex- UK) Equity Index Fund, The NT Japan Equity Index Fund, The NT North America Equity Index Fund, The NT Pacific (ex- Japan) Equity Index Fund and The NT UK Equity Index Fund, The NT Emerging Markets Index Fund and nil shares (2015: 100 shares) in The NT Euro Government Inflation Linked Index Fund. The Company used Northern Trust Company, London Branch as a counterparty to some foreign exchange forward contracts during the year., the Sub-Funds excess cash was invested in The Northern Trust Global Fund plc. Please see portfolios of each Sub-Fund for further details. 8. Efficient Portfolio Management The Company may use the following instruments for efficient portfolio management namely: spot and forward currency contracts, options on securities, futures and repurchase and reverse repurchase transactions, when-issued and forward commitment securities and may enter into stock lending agreements. During the year, futures contracts were entered into for the purpose of efficient portfolio management, in order to hedge currency exposure of European based investors. Details of open futures contracts at the year end are disclosed on the schedule of investments of each Sub-Fund and there are no open forwards at year end. 9. Share Capital The authorised share capital of the Company is 1,000,000,000,000 unclassified participating shares of no par value. The minimum issued share capital of the Company is 2 represented by 2 shares (the subscriber shares) issued for the purposes of the incorporation of the Company and to obtain a certificate to commence trade at an issue price of 1 per share which is paid fully up and which is beneficially owned by the Manager. The maximum issued share capital of the Company is 1,000,000,000,000 unclassified shares of no par value. Every share holder or proxy shall have one vote for every Share of which he is the holder and every holder of a participating share or proxy shall have one vote in respect of his holding of subscriber shares. Voting Rights Subject to any rights or restrictions for the time being attached to any class or classes of Shares, on a show of hands every holder who is present in person or by proxy shall have one vote and the holders of subscriber shares present in person or by proxy shall have one vote in respect of all the subscriber shares in issue and on a poll every holder present in person or by proxy shall have one vote for every Share of which he is the holder and every holder of a subscriber share present in person or by proxy shall have one vote in respect of his holding of subscriber shares. Holders who hold a fraction of a Share may not exercise any voting rights, whether on a show of hands or on a poll, in respect of such fraction of a Share. Distribution on winding up Subject to the provisions of the Companies Act 2014, if the Company shall be wound up the liquidator shall apply the assets of each Sub-Fund in such manner and order as he thinks fit in satisfaction of creditors' claims relating to that Sub-Fund. The assets available for distribution amongst the Holders shall be applied as follows: First the proportion of the assets in a Sub-Fund attributable to each class of share shall be distributed to the holders of shares in the relevant class in the proportion that the number of shares held by each holder bears to the total number of shares relating to each such class of shares in issue as at the date of commencement to wind up; secondly, in the payment to the holders of the Subscriber Shares of sums up to the nominal amount paid thereon out of the assets of the Company not attributable to any class of share. In the event that there are insufficient assets to enable such payment in full to be made, no recourse shall be had to the assets of the Company attributable to each class of share; and thirdly, any balance then remaining and not attributable to any of the classes of shares shall be apportioned pro-rata as between the classes of shares based on the Net Asset Value attributable to each class of shares as at the date of commencement to wind up and the amount so apportioned to a class shall be distributed to Holders pro-rata to the number of shares in that class of shares held by them. The Company does not have any externally imposed capital requirements. 254

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 9. Share Capital (continued) Opening at 31 March 2015 Closing at 31 March 2016 Shares in NAV Per Net Asset Creations / Shares in NAV Per Net Asset Liquidations Issue Share Value Distributions issue Share Value Europe (Ex-UK) Class B EUR 93,073 253.22 23,567,675 21,188 (47,151) 67,110 219.22 14,712,007 Class B GBP 719 181.27 130,334 597 (1,119) 197 172.20 33,922 Class A USD 21,848 $126.81 $2,770,513 - - 21,848 $116.59 $2,547,343 Class B USD 260,078 $116.33 $30,255,456 35,345-295,423 $106.85 $31,567,283 Class P1 EUR 1,626,719 129.04 209,911,555 383,534 (228,039) 1,782,214 111.73 199,135,584 Euro Govt Bond Class B EUR 290,072 178.95 51,908,498 76,020 (36,474) 329,618 180.17 59,385,881 Class P1 EUR 733,764 107.50 78,880,809 170,408 (526,252) 377,920 108.24 40,905,726 Index Linked Bond Class B GBP 153,795 246.81 37,958,023 7,023-160,818 251.34 40,420,823 Japan Equity Index Class B EUR 9,968 185.58 1,849,879 6,436 (3,109) 13,295 162.25 2,157,172 Class B GBP 285 149.14 42,504 14 (285) 14 139.26 1,950 Class A USD 11,731 $132.44 $1,553,638 - - 11,731 $122.98 $1,442,665 Class B USD 116,262 $128.73 $14,966,536 16,775-133,037 $119.42 $15,887,192 Class P1 EUR 11,080 132.81 1,471,533 1,922 (2,044) 10,958 116.14 1,272,633 North America Class B EUR 321,568 254.15 81,725,060 91,019 (43,718) 368,869 238.38 87,929,450 Class B GBP 3,258 181.84 592,438 - (3,258) - - - Class A USD 101,560 $167.06 $16,967,095 - - 101,560 $166.43 $16,902,220 Class B USD 611,871 $178.34 $109,122,913 34,230-646,101 $177.48 $114,673,167 Class P1 EUR 1,238,334 129.14 159,920,294 229,543 (195,031) 1,272,846 121.15 154,202,070 Pacific (Ex-Japan) Class A EUR 2 366.00 732 - - 2 311.00 622 Class B EUR 23,279 342.72 7,978,278 7,801 (12,755) 18,325 291.35 5,338,961 Class B GBP - - - - - - - - Class A USD 7,056 $120.63 $851,161 - - 7,056 $108.91 $768,458 Class B USD 76,389 $110.74 $8,459,528 2,760-79,149 $99.89 $7,905,916 Class P1 EUR 616,618 118.57 73,109,909 171,721 (98,825) 689,514 100.85 69,540,517 UK Equity Index Class B EUR 33,924 205.49 6,970,907 7,111 (5,343) 35,692 176.27 6,291,420 Class B GBP 109,479 137.72 15,077,574 - (109,479) - - - Class A USD 10,508 $123.77 $1,300,455 - - 10,508 $112.75 $1,184,712 Class B USD 122,038 $116.27 $14,189,207 5,881-127,919 $105.81 $13,535,647 Class P1 EUR 91,860 119.61 10,987,153 23,124 (10,783) 104,201 102.60 10,691,254 Emerging Markets Class B EUR 119,722 116.39 13,934,987 53,923 (56,709) 116,936 96.16 11,244,186 Class C EUR 58,464 119.06 6,960,973 22,293 (41) 80,716 98.47 7,947,861 Class C GBP 124,236 109.61 13,617,635 11,008 (22,616) 112,628 99.32 11,186,531 Class A USD 21,495 $87.14 $1,872,996 - - 21,495 $76.57 $1,645,830 Class B USD 206,881 $94.19 $19,485,108 34,915 (4,328) 237,468 $82.55 $19,602,876 Class C USD 36,661 $86.36 $3,165,994 - (36,661) - - - Class P1 EUR 932,474 118.18 110,198,238 295,012 (118,029) 1,109,457 97.71 108,399,941 Euro Govt Inflation Class B EUR 38,117,901 1.37 52,180,281 1,403,797 (19,105,049) 20,416,649 1.33 27,165,918 Class C EUR 361,439,669 1.37 495,674,866 3,008,650 (3,762,564) 360,685,755 1.33 480,975,869 Class P1 EUR 71,379,887 1.06 75,737,203 16,059,926 (50,374,260) 37,065,553 1.03 38,229,491 255

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 9. Share Capital (continued) Opening at 31 March 2015 Closing at 31 March 2016 Shares in NAV Per Net Asset Creations / Liquidations Shares in NAV Per Net Asset Issue Share Value Distributions Issue Share Value AC Asia (Ex-Japan) Class C EUR 46,884,454 14.80 693,752,594 13,946,060 (4,755,361) 56,075,153 12.30 689,840,464 Class B USD - - - 80,000-80,000 $10.08 $806,207 HQ Euro Govt Bond Class B EUR 7,349 111.25 817,594 - - 7,349 111.66 820,566 Class C EUR 3,399,746 112.69 383,101,878 649,111 (1,556,467) 2,492,390 113.14 281,991,308 Carbon Optimised Equity Class C USD 5,533,040 $98.28 $543,798,660 3,080,249-8,613,289 $86.53 $745,318,373 Emerging Markets ESG Class B EUR 316,252 121.21 38,331,891 19,475 (271,142) 64,585 100.43 6,486,102 Class C EUR 739,734 130.72 96,701,425 3,575,200 (192,718) 4,122,216 108.42 446,912,227 Class C GBP 48,765 105.93 5,165,826 80,474 (1,249) 127,990 96.49 12,349,542 Class D USD 509,075 $105.28 $53,595,325 - (509,075) - - - Custom Equity Index Class C USD 5,629,065 $107.21 $603,507,213 - - 5,629,065 $94.26 $530,578,627 High Yield Fixed Income Class B USD 6,567,753 $9.60 $63,068,444 8,064,807 (2,071,080) 12,561,480 $8.73 $109,687,386 EM Custom ESG Feeder Class A GBP 48,627 106.21 5,164,454 80,339 (1,098) 127,868 96.60 12,352,562 Opening at 31 March 2014 Closing at 31 March 2015 Shares in NAV Net Asset Creations / Liquidations Shares in NAV Per Net Asset Issue Per Share Value Distributions Issue Share Value Europe (Ex-UK) Class B EUR 850,987 206.49 175,721,985 165,888 (923,802) 93,073 253.22 23,567,675 Class B GBP 4,837 168.85 816,739 - (4,118) 719 181.27 130,334 Class A USD 21,849 $132.55 $2,895,982 - (1) 21,848 $126.81 $2,770,513 Class B USD 254,838 $121.72 $31,018,064 5,240-260,078 $116.33 $30,255,456 Class P1 EUR - - - 1,713,884 (87,164) 1,626,719 129.04 209,911,555 Euro Govt Bond Class B EUR 636,361 157.59 100,287,080 132,344 (478,633) 290,072 178.95 51,908,498 Class P1 EUR - - - 781,505 (47,741) 733,764 107.50 78,880,809 Index Linked Bond Class B GBP 146,764 204.41 30,000,756 7,031-153,795 246.81 37,958,023 Japan Equity Index Class B EUR 18,956 129.36 2,452,149 6,498 (15,486) 9,968 185.58 1,849,879 Class B GBP 14,257 118.76 1,693,170 - (13,972) 285 149.14 42,504 Class A USD 10,403 $118.34 $1,231,080 1,329 (1) 11,731 $132.44 $1,553,638 Class B USD 113,956 $115.14 $13,121,454 2,306-116,262 $128.73 $14,966,536 Class P1 EUR - - - 13,835 (2,755) 11,080 132.81 1,471,533 North America Class B EUR 1,263,385 178.91 226,033,335 121,217 (1,063,033) 321,568 254.15 81,725,060 Class B GBP 45,310 146.26 6,627,116 - (42,052) 3,258 181.84 592,438 Class A USD 96,782 $150.76 $14,591,121 4,778-101,560 $167.06 $16,967,095 Class B USD 600,536 $161.10 $96,746,512 11,335 (1) 611,871 $178.34 $109,122,913 Class P1 EUR - - - 1,383,522 (145,188) 1,238,334 129.14 159,920,294 256

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 9. Share Capital (continued) Opening at 31 March 2014 Closing at 31 March 2015 Shares in NAV Net Asset Creations / Liquidations Shares in NAV Per Net Asset Issue Per Share Value Distributions Issue Share Value Pacific (Ex-Japan) Class A EUR 2 285.66 571 - - 2 366.00 732 Class B EUR 232,598 267.99 62,334,526 31,708 (241,027) 23,279 342.72 7,978,278 Class B GBP 348 221.93 77,231 - (348) - - - Class A USD 5,846 $120.87 $706,581 1,211 (1) 7,056 $120.63 $851,161 Class B USD 74,966 $111.08 $8,327,278 1,423-76,389 $110.74 $8,459,528 Class P1 EUR - - - 657,787 (41,169) 616,618 118.57 73,109,909 UK Equity Index Class B EUR 80,259 169.85 13,631,594 35,495 (81,830) 33,924 205.49 6,970,907 Class B GBP 109,480 130.07 14,239,517 - (1) 109,479 137.72 15,077,574 Class A USD 10,128 $131.13 $1,327,990 382 (1) 10,508 $123.77 $1,300,455 Class B USD 119,734 $123.32 $14,765,112 2,303-122,038 $116.27 $14,189,207 Class P1 EUR - - - 97,303 (5,443) 91,860 119.61 10,987,153 Emerging Markets Class B EUR 1,029,796 90.69 93,391,559 149,214 (1,059,288) 119,722 116.39 13,934,987 Class C EUR 44,817 92.65 4,152,464 14,956 (1,309) 58,464 119.06 6,960,973 Class C GBP 124,236 97.47 12,109,267 - - 124,236 109.61 13,617,635 Class A USD 16,977 $86.88 $1,475,027 4,519 (1) 21,495 $87.14 $1,872,996 Class B USD 224,824 $94.15 $21,167,480 4,181 (22,124) 206,881 $94.19 $19,485,108 Class C USD 232,748 $86.25 $20,074,779 - (196,087) 36,661 $86.36 $3,165,994 Class P1 EUR - - - 974,575 (42,101) 932,474 118.18 110,198,238 Euro Govt Inflation Class B EUR 62,732,381 1.25 78,403,605 29,743,589 (54,358,069) 38,117,901 1.37 52,180,281 Class C EUR 347,414,856 1.25 434,808,605 14,758,926 (734,113) 361,439,669 1.37 495,674,866 Class P1 EUR - - - 73,817,481 (2,437,594) 71,379,887 1.06 75,737,203 AC Asia (Ex-Japan) Class C EUR 43,202,380 10.44 450,913,400 11,866,125 (8,184,051) 46,884,454 14.80 693,752,594 HQ Euro Govt Bond Class B EUR - - - 7,349-7,349 111.25 817,594 Class C EUR 1,661,348 100.32 166,659,340 2,144,258 (405,860) 3,399,746 112.69 383,101,878 Carbon Optimised Equity Class C USD 5,533,040 $98.07 $542,641,852 - - 5,533,040 $98.28 $543,798,660 Emerging Markets ESG Class B EUR - - - 337,990 (21,738) 316,252 121.21 38,331,891 Class C EUR 512,654 99.88 51,204,105 264,028 (36,948) 739,734 130.72 96,701,425 Class C GBP - - - 48,768 (3) 48,765 105.93 5,165,826 Class D USD - - - 509,075-509,075 $105.28 $53,595,325 Custom Equity Index Class C USD 2,415,988 $107.26 $259,135,189 3,213,077-5,629,065 $107.21 $603,507,213 High Yield Fixed Income Class B USD - - - 7,080,083 (512,330) 6,567,753 $9.60 $63,068,444 EM Custom ESG Feeder Class A GBP - - - 48,627-48,627 106.21 5,164,454 257

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks The Company s investment activities expose it to the various types of risk which are associated with the financial instruments and markets in which the Sub-Funds invest. The Company s risk management policies seek to minimise the potential adverse effects of these risks on each Sub-Fund's financial performance in order to satisfy the investment objectives of the Sub-Funds. The Investment Manager assesses the risk profile of the Company and the related Sub-Funds on the basis of the investment policy, strategy and the use made of Financial Derivative Instruments. Based on the risk profile, the Investment Manager has determined to calculate global exposure for all Sub-Funds using the commitment approach. The total value of futures contracts at 31 March 2016 amounted to 26,910,154 (2015: 27,329,792) using the commitment approach. Market Risk Market risk embodies the potential for both loss and gains and includes price risk, interest rate risk and currency risk. The Sub-Fund s strategy on the management of investment risk is driven by the Sub-Fund s investment objective. The investment objective of each Sub-Fund is to closely match the risk and return characteristics of its benchmark index. Price Risk Price risk is the risk that value of an instrument will fluctuate as a result of changes in market prices (other than those arising from interest rate risk or currency risk), whether caused by factors specific to an individual investment, its issuer or all factors affecting all instruments traded in the market. Price risk is managed by each Sub-Fund s Investment Manager by investing in diversified portfolios of freely transferable equity or debt securities or equity or debt related securities issued by companies or linked to companies making up the relevant index that each Sub-Fund tracks. The Sub-Funds investments are subject to the investment restrictions contained in the UCITS Regulations. The Sub-Funds may use the following instruments for efficient portfolio management namely: spot and forward currency contracts, options on securities, futures and repurchase and reverse repurchase transactions, when-issued and forward commitment securities and may enter into stock lending agreements. The use of techniques and instruments for efficient portfolio management purposes is subject to the conditions and within the limits laid down by the Central Bank of Ireland. The Company s overall market positions are monitored on a daily basis by the Investment Manager and are reviewed on a periodic basis by the Board of Directors. The table below details the breakdown of the investment assets held by the Sub-Funds at fair value at the year-end: 31 March 2016 (% of Net assets) Equities Bonds Collective Investment Schemes Financial Derivatives Total Net Assets The NT Europe (Ex-UK) Equity Index Fund 98.79-0.59 (0.03) 99.35 The NT Euro Government Bond Index Fund - 98.42 0.79-99.21 The NT Index Linked Bond Index Fund - 99.86 0.11-99.97 The NT Japan Equity Index Fund 98.27-0.28-98.55 The NT North America Equity Index Fund 98.87-0.86 0.04 99.77 The NT Pacific (Ex-Japan) Equity Index Fund 98.46-0.25 (0.01) 98.70 The NT UK Equity Index Fund 97.56-1.59-99.15 The NT Emerging Markets Index Fund 98.85-0.37 0.05 99.27 The NT Euro Government Inflation Linked Index Fund - 99.16 0.04-99.20 The NT All Country Asia (Ex-Japan) Equity Index Fund 99.50-0.02-99.52 The NT High Quality Euro Government Bond Index Fund - 98.45 0.71-99.16 The NT Emerging Markets Custom Low Carbon Optimised Index Fund 99.19-0.29 0.04 99.52 The NT Emerging Markets Custom ESG Equity Index Fund 98.83-1.56 0.02 100.41 The NT Emerging Markets Custom Equity Index Fund 99.45-0.06 0.02 99.53 The NT US High Yield Fixed Income Fund - 93.33 5.71-99.04 The NT Emerging Markets Custom ESG Feeder Fund - - 99.98-99.98 258

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Price Risk (continued) 31 March 2015 (% of Net assets) Equities Bonds Collective Investment Schemes Financial Derivatives Total Net Assets The NT Europe (Ex-UK) Equity Index Fund 98.70-0.78 0.01 99.49 The NT Euro Government Bond Index Fund - 98.36 0.60-98.96 The NT Index Linked Bond Index Fund - 99.77 0.12-99.89 The NT Japan Equity Index Fund 97.76-0.36 0.01 98.13 The NT North America Equity Index Fund 99.13-0.52-99.65 The NT Pacific (Ex-Japan) Equity Index Fund 98.24-0.22 0.02 98.48 The NT UK Equity Index Fund 98.40-1.05-99.45 The NT Emerging Markets Index Fund 99.38 0.01 0.25 0.03 99.67 The NT Euro Government Inflation Linked Index Fund - 99.09 0.20-99.29 The NT All Country Asia (Ex-Japan) Equity Index Fund 98.97 0.01 0.07 0.01 99.06 The NT High Quality Euro Government Bond Index Fund - 98.47 0.28-98.75 The NT Emerging Markets Custom Low Carbon Optimised Index Fund 99.53-0.01 0.02 99.56 The NT Emerging Markets Custom ESG Equity Index Fund 98.36 0.01 0.75 0.05 99.17 The NT Emerging Markets Custom Equity Index Fund 99.40 0.01 0.04 0.02 99.47 The NT US High Yield Fixed Income Fund 0.75 94.79 4.71-100.25 The NT Emerging Markets Custom ESG Feeder Fund - - 100.03-100.03 If the value of each Fund s investments, at 31 March 2016 and at 31 March 2015 had increased by 5% with all other variables held constant, this would have increased net assets attributable to holders of redeemable participating shares by approximately the amounts shown in the table below. An equal change in the opposite direction would have decreased the net assets attributable to holders of redeemable participating shares by an equal but opposite amount. 31 March 2016 31 March 2015 The NT Europe (Ex-UK) Equity Index Fund 12,115,583 13,151,860 The NT Euro Government Bond Index Fund 4,974,955 6,471,208 The NT Index Linked Bond Index Fund 2,020,464 1,895,760 The NT Japan Equity Index Fund 918,537 920,370 The NT North America Equity Index Fund 17,833,877 17,930,373 The NT Pacific (Ex-Japan) Equity Index Fund 4,071,470 4,418,802 The NT UK Equity Index Fund 1,482,233 2,646,346 The NT Emerging Markets Index Fund US$9,064,754 US$9,177,878 The NT Euro Government Inflation Linked Index Fund 27,099,598 30,959,401 The NT All Country Asia (Ex-Japan) Equity Index Fund US$39,154,874 US$36,901,169 The NT High Quality Euro Government Bond Index Fund 14,021,435 18,956,355 The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund US$37,072,764 US$27,065,624 The NT Emerging Markets Custom ESG Equity Index Fund US$26,823,329 US$10,223,183 The NT Emerging Markets Custom Equity Index Fund US$26,397,855 US$30,008,308 The NT US High Yield Fixed Income Fund US$5,432,203 US$3,161,558 The NT Emerging Markets Custom ESG Feeder Fund US$887,500 US$383,434 Interest Rate Risk The Index Linked Bond Index Fund, The Euro Government Bond Index Fund, The Euro Government Inflation Linked Index Fund, The High Quality Euro Government Bond Index Fund and The US High Yield Fixed Income Fund hold interest-bearing financial assets and liabilities that expose them to risks associated with the effects of fluctuations in the prevailing levels of market interest rates on their financial position and cash flows. Other Sub-Funds invest in equities and collective investment schemes and therefore do not have significant exposure to interest rate risk. The underlying Funds may face interest rate risk; however, the Investment Manager monitors the exposure as part of their market risk analysis. The Sub-Funds interest rate risk is managed on a daily basis by the Investment Manager in accordance with policies and procedures in place. 259

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Interest Rate Risk (continued) The Sub-Funds overall interest rate risks are monitored on a periodic basis by the Board of Directors. Where the interest rate risks are not in accordance with the investment policy or guidelines of the Sub-Fund, the Investment Manager will rebalance the portfolio. The table below summarises the Sub-Funds exposure to interest rate risks. It includes the Sub-Funds assets and trading liabilities at fair values, categorised by the earlier of contractual re-pricing or maturity dates. The NT Euro Government Bond Index Fund 31 March 2016 Weighted Interest Within 1 to Non-Interest Assets Rate % 1 Year 5 Years >5 years Bearing Total At fair value through profit or loss Debt instruments 3.67-36,754,771 61,953,262-98,708,033 Collective investment schemes - - - 791,059 791,059 Loans and receivables Other assets - - - 2,610,559 2,610,559 Cash at bank 1,329 - - - 1,329 Total assets 1,329 36,754,771 61,953,262 3,401,618 102,110,980 Liabilities Financial liabilities measured at amortised cost Other liabilities - - - (1,780,960) (1,780,960) Accrued expenses - - - (38,413) (38,413) Total liabilities (excluding net assets attributable to holders of redeemable participating shares) - - - (1,819,373) (1,819,373) Total interest sensitivity gap ( ) 1,329 36,754,771 61,953,262 The NT Euro Government Bond Index Fund 31 March 2015 Weighted Interest Within 1 to Non-Interest Assets Rate % 1 Year 5 Years >5 years Bearing Total At fair value through profit or loss Debt instruments 4.24-45,728,933 82,908,100-128,637,033 Collective investment schemes - - - 787,123 787,123 Loans and receivables Other assets - - - 2,579,480 2,579,480 Cash at bank 2,168 - - - 2,168 Total assets 2,168 45,728,933 82,908,100 3,366,603 132,005,804 Liabilities Financial liabilities measured at amortised cost Other liabilities - - - (1,147,847) (1,147,847) Accrued expenses - - - (68,650) (68,650) Total liabilities (excluding net assets attributable to holders of redeemable participating shares) - - - (1,216,497) (1,216,497) Total interest sensitivity gap ( ) 2,168 45,728,933 82,908,100 260

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Interest Rate Risk (continued) The NT Index Linked Bond Index Fund 31 March 2016 Weighted Interest Within 1 to Non-Interest Assets Rate % 1 Year 5 Years >5 years Bearing Total At fair value through profit or loss Debt instruments 0.95 - - 40,366,272-40,366,272 Collective investment schemes - - - 43,000 43,000 Loans and receivables Other assets - - - 93,827 93,827 Cash at bank 510 - - - 510 Total assets 510-40,366,272 136,827 40,503,609 Liabilities Financial liabilities measured at amortised cost Other liabilities - - - (61,038) (61,038) Accrued expenses - - - (21,748) (21,748) Total liabilities (excluding net assets attributable to holders of redeemable participating shares) - - - (82,786) (82,786) Total interest sensitivity gap ( ) 510-40,366,272 31 March 2015 Weighted Interest Within 1 to Non-Interest Assets Rate % 1 Year 5 Years >5 years Bearing Total At fair value through profit or loss Debt instruments 1.10 - - 37,871,202-37,871,202 Collective investment schemes - - - 44,000 44,000 Loans and receivables Other assets - - - 479,125 479,125 Cash at bank 607 - - - 607 Total assets 607-37,871,202 523,125 38,394,934 Liabilities Financial liabilities measured at amortised cost Other liabilities - - - (410,470) (410,470) Accrued expenses - - - (26,441) (26,441) Total liabilities (excluding net assets attributable to holders of redeemable participating shares) - - - (436,911) (436,911) Total interest sensitivity gap ( ) 607-37,871,202 261

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Interest Rate Risk (continued) The NT Euro Government Inflation Linked Index Fund 31 March 2016 Weighted Interest Within 1 to Non-Interest Assets Rate % 1 Year 5 Years >5 years Bearing Total At fair value through profit or loss Debt instruments 1.50-199,884,976 341,902,037-541,787,013 Collective investment schemes - - - 204,938 204,938 Loans and receivables Other assets - - 9,849,166 9,849,166 Cash at bank 1,000 - - - 1,000 Total assets 1,000 199,884,976 341,902,037 10,054,104 551,842,117 Liabilities Financial liabilities measured at amortised cost Other liabilities - - - (5,343,034) (5,343,034) Accrued expenses - - - (127,805) (127,805) Total liabilities (excluding net assets attributable to holders of redeemable participating shares) - - - (5,470,839) (5,470,839) Total interest sensitivity gap ( ) 1,000 199,884,976 341,902,037 31 March 2015 Weighted Interest Within 1 to Non-Interest Assets Rate % 1 Year 5 Years >5 years Bearing Total At fair value through profit or loss Debt instruments 1.41-136,528,067 481,434,402-617,962,469 Collective investment schemes - - - 1,225,556 1,225,556 Loans and receivables Other assets - - - 13,364,962 13,364,962 Cash at bank 1,100 - - - 1,100 Total assets 1,100 136,528,067 481,434,402 14,590,518 632,554,087 Liabilities Financial liabilities measured at amortised cost Other liabilities - - - (8,742,082) (8,742,082) Accrued expenses - - - (219,655) (219,655) Total liabilities (excluding net assets attributable to holders of redeemable participating shares) - - - (8,961,737) (8,961,737) Total interest sensitivity gap ( ) 1,100 136,528,067 481,434,402 262

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Interest Rate Risk (continued) The NT High Quality Euro Government Bond Index Fund 31 March 2016 Weighted Interest Within 1 to Non-Interest Assets Rate % 1 Year 5 Years >5 years Bearing Total At fair value through profit or loss Debt instruments 2.99-105,645,376 172,787,305-278,432,681 Collective investment schemes - - - 1,996,027 1,996,027 Loans and receivables Other assets - - - 6,576,412 6,576,412 Cash at bank 1,000 - - - 1,000 Total assets 1,000 105,645,376 172,787,305 8,572,439 287,006,120 Liabilities Financial liabilities measured at amortised cost Other liabilities - - - (4,140,450) (4,140,450) Accrued expenses - - - (53,796) (53,796) Total liabilities (excluding net assets attributable to holders of redeemable participating shares) - - - (4,194,246) (4,194,246) Total interest sensitivity gap ( ) 1,000 105,645,376 172,787,305 31 March 2015 Weighted Interest Within 1 to Non-Interest Assets Rate % 1 Year 5 Years >5 years Bearing Total At fair value through profit or loss Debt instruments 3.00-146,145,567 231,898,873-378,044,440 Collective investment schemes 1,082,655 1,082,655 Loans and receivables - - - Other assets - - - 12,213,606 12,213,606 Cash at bank 1,000 - - - 1,000 1,000 146,145,567 231,898,873 13,296,261 391,341,701 Total assets Liabilities Financial liabilities measured at amortised cost Other liabilities - - - (7,322,102) (7,322,102) Accrued expenses - - - (100,127) (100,127) Total liabilities (excluding net assets attributable to holders of redeemable participating shares) - - - (7,422,229) (7,422,229) Total interest sensitivity gap ( ) 1,000 146,145,567 231,898,873 263

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Interest Rate Risk (continued) The NT US High Yield Fixed Income Fund 31 March 2016 Weighted Interest Within 1 to Non-Interest Assets Rate % 1 Year 5 Years >5 years Bearing Total At fair value through profit or loss Debt instruments 6.71-22,528,873 79,067,325-101,596,198 Equities - - - 781,869 781,869 Collective investment schemes - - - 6,266,000 6,266,000 Loans and receivables - Other assets - - - 2,743,060 2,743,060 Cash at bank 8,879 - - - 8,879 Total assets 8,879 22,528,873 79,067,325 9,790,929 111,396,006 Liabilities Financial liabilities measured at amortised cost Other liabilities - - - (1,446,746) (1,446,746) Accrued expenses - - - (261,874) (261,874) Total liabilities (excluding net assets attributable to holders of redeemable participating shares) - - - (1,708,620) (1,708,620) Total interest sensitivity gap ( ) 8,879 22,528,873 79,067,325 31 March 2015 Weighted Interest Within 1 to Non-Interest Assets Rate % 1 Year 5 Years >5 years Bearing Total At fair value through profit or loss Debt instruments 7.00-10,843,814 48,941,466-59,785,280 Equities - - - 469,875 469,875 Collective investment schemes - - - 2,976,000 2,976,000 Loans and receivables - Other assets - - - 1,556,508 1,556,508 Cash at bank - - - - - Total assets - 10,843,814 48,941,466 5,002,383 64,787,663 Liabilities Financial liabilities measured at amortised cost Other liabilities - - - (1,029,250) (1,029,250) Accrued expenses - - - (163,422) (163,422) Bank overdraft (526,547) - - - (526,547) Total liabilities (excluding net assets attributable to holders of redeemable participating shares) (526,547) - - (1,192,672) (1,719,219) Total interest sensitivity gap ( ) (526,547) 10,843,814 48,941,466 264

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Interest Rate Risk (continued) The security holdings for the five bond Sub-Funds above are fixed and floating rate interest bearing securities. The other eleven Sub- Funds do not hold any interest bearing securities with the exception of small cash balances which earn floating rates of interest based at Libor rates. At 31 March 2016, should interest rates have lowered by 100 basis points with all other variables remaining constant, the increase in net assets attributable to holders of redeemable participating shares for the year would amount to approximately 7,304,394 (2015: 9,519,140) for The NT Euro Government Bond Index Fund, 9,566,806 (2015: 8,558,892) for The NT Index Linked Bond Index Fund, 47,135,470 (2015: 51,290,885) for The NT Euro Government Inflation Linked Index Fund, 21,160,884 (2015: 29,109,422) for The NT High Quality Euro Government Bond Index Fund and US$5,079,810 (2015: US$3,407,761) for the NT US High Yield Fixed Income Fund. A decrease of 100 basis points would have an equal but opposite effect. In accordance with the Company s policy, the Investment Manager monitors the Sub-Funds overall interest sensitivity on a daily basis, and the Board of Directors reviews it on a periodic basis. Currency Risk The Sub-Funds may invest in financial instruments and enter into transactions denominated in currencies other than their functional currencies. They are therefore exposed to currency risk, as the value of the securities denominated in other currencies will fluctuate due to changes in exchange rates. The Company s currency risk is managed by the Investment Manager in accordance with policies and procedures in place. Forward foreign exchange contracts may be used to hedge the value of the Sub-Funds investments which are designated in a currency other than base currency of the Sub-Funds. The following tables set out the Sub-Funds total exposure to foreign currency risk and the net exposure to foreign currencies of the monetary and non-monetary assets and liabilities. Amounts in Euros have been included in the table below. The NT Europe (Ex UK) Equity Index Fund Danish Norwegian Sterling Swedish Swiss US 31 March 2016 Total Krona Euro Kronor Pound Krona Franc Dollar 000s 000s 000s 000s 000s 000s 000s 000s Monetary assets 1,636 183 670 53 1 236 493 - Non-monetary assets 242,375 10,520 164,106 3,076 119 15,594 48,299 661 Monetary liabilities (184) - (162) - (22) - - - Net currency exposure 243,827 10,703 164,614 3,129 98 15,830 48,792 661 Danish Norwegian Sterling Swedish Swiss US 31 March 2015 Total Krona Euro Kronor Pound Krona Franc Dollar 000s 000s 000s 000s 000s 000s 000s 000s Monetary assets 1,605 276 518 58 1 280 472 - Non-monetary assets 263,102 9,507 178,775 3,652 110 17,726 53,271 61 Monetary liabilities (297) - (271) - (25) - (1) - Net currency exposure 264,410 9,783 179,022 3,710 86 18,006 53,742 61 265

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Currency Risk (continued) The NT Euro Government Bond Index Fund US 31 March 2016 Total Euro Dollar 000s 000s 000s Monetary assets 102,206 102,206 - Monetary liabilities (1,914) (1,914) - Net currency exposure 100,292 100,292 - US 31 March 2015 Total Euro Dollar 000s 000s 000s Monetary assets 132,006 132,001 5 Monetary liabilities (1,217) (1,217) - Net currency exposure 130,789 130,784 5 The NT Index Linked Bond Index Fund The NT Index Linked Bond Index Fund was not exposed to foreign currency risk for the year ended 31 March 2016 and 31 March 2015. The NT Japan Equity Index Fund Japanese Sterling US 31 March 2016 Total Euro Yen Pound Dollar 000s 000s 000s 000s 000s Monetary assets 293 1 292 - - Non-monetary assets 18,588 114 18,473 1 - Monetary liabilities (241) (41) (199) (1) - Net currency exposure 18,640 74 18,566 - - Japanese Sterling US 31 March 2015 Total Euro Yen Pound Dollar 000s 000s 000s 000s 000s Monetary assets 379 18 361 - - Non-monetary assets 18,432 63 18,340 10 19 Monetary liabilities (49) (41) - (1) (7) Net currency exposure 18,762 40 18,701 9 12 266

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Currency Risk (continued) The NT North America Equity Index Fund Canadian Sterling US 31 March 2016 Total Dollar Euro Pound Dollar 000s 000s 000s 000s 000s Monetary assets 798 301 97-400 Non-monetary assets 361,707 19,350 130 66 342,161 Monetary liabilities (4,911) - (238) (47) (4,626) Net currency exposure 357,594 19,651 (11) 19 337,935 Canadian Sterling US 31 March 2015 Total Dollar Euro Pound Dollar 000s 000s 000s 000s 000s Monetary assets 885 424 167-294 Non-monetary assets 363,991 21,419 416 80 342,076 Monetary liabilities (5,010) - (383) (51) (4,576) Net currency exposure 359,866 21,843 200 29 337,794 The NT Pacific (Ex-Japan) Equity Index Fund Australian Hong Kong New Zealand Singapore Sterling US 31 March 2016 Total Dollar Euro Dollar Dollar Dollar Pound Dollar 000s 000s 000s 000s 000s 000s 000s 000s Monetary assets 1,365 773 127 345 37 62-21 Non-monetary assets 81,450 48,424 183 21,272 1,190 9,085 29 1,267 Monetary liabilities (323) - (185) (118) - - (20) - Net currency exposure 82,492 49,197 125 21,499 1,227 9,147 9 1,288 Australian Hong Kong New Zealand Singapore Sterling US 31 March 2015 Total Dollar Euro Dollar Dollar Dollar Pound Dollar 000s 000s 000s 000s 000s 000s 000s 000s Monetary assets 1,445 841 97 203 68 236 - - Non-monetary assets 88,426 53,440 184 23,034 1,075 10,416 32 245 Monetary liabilities (113) - (91) - - - (22) - Net currency exposure 89,758 54,281 190 23,237 1,143 10,652 10 245 267

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Currency Risk (continued) The NT UK Equity Index Fund Sterling US 31 March 2016 Total Euro Pound Dollar 000s 000s 000s 000s Monetary assets 274 59 214 1 Non-monetary assets 30,487 17 30,470 - Monetary liabilities (861) (27) (834) - Net currency exposure 29,900 49 29,850 1 Sterling US 31 March 2015 Total Euro Pound Dollar 000s 000s 000s 000s Monetary assets 360 29 331 - Non-monetary assets 53,850 148 53,698 4 Monetary liabilities (989) (48) (941) - Net currency exposure 53,221 129 53,088 4 268

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Currency Risk (continued) The NT Emerging Markets Index Fund Brazilian Chilean Colombian Czech Republic Egyptian Hong Kong Hungarian Indian Indonesian Japanese Korean Malaysian 31 March 2016 Total Real Peso Peso Koruna Pound Euro Dollar Forint Rupee Rupiah Yen Won Dollar US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 1,927 144 93 58 5 42-2 3 76 99-360 29 Non-monetary assets 181,364 11,847 2,315 840 348 301 985 38,202 532 14,611 4,874-28,145 6,311 Monetary liabilities (566) - - - - - (93) - - - - - - - Net currency exposure 182,725 11,991 2,408 898 353 343 892 38,204 535 14,687 4,973-28,505 6,340 Mexican Moroccan Peruvian Philippines Polish Qatari Russian Taiwan Thai Turkish South African UAE US 31 March 2016 Peso Dirham Sol Peso Zloty Riyal Ruble Dollar Bahts Lira Rand Dirham Dollar US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 18-2 102 1 62 1 54 45 29 257 41 404 Non-monetary assets 8,222-13 2,603 2,498 1,745-22,391 4,024 2,782 13,193 1,504 13,078 Monetary liabilities - - - - - - - - - - - - (473) Net currency exposure 8,240-15 2,705 2,499 1,807 1 22,445 4,069 2,811 13,450 1,545 13,009 Brazilian Chilean Colombian Czech Republic Egyptian Hong Kong Hungarian Indonesian Indian Japanese Korean Malaysian 31 March 2015 Total Real Peso Peso Koruna Pound Euro Dollar Forint Rupiah Rupee Yen Won Dollar US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 2,934 157 45 32 40 28 22 84 6 51 36 31 361 45 Non-monetary assets 183,607 13,393 2,510 1,129 355 445 912 42,160 379 5,088 13,692-27,513 6,511 Monetary liabilities (1,006) - - - - - (730) - - - - - - - Net currency exposure 185,535 13,550 2,555 1,161 395 473 204 42,244 385 5,139 13,728 31 27,874 6,556 269

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Currency Risk (continued) The NT Emerging Markets Index Fund (continued) Mexican Moroccan Peruvian Philippines Polish Qatari Russian Taiwan Thai Turkish South African UAE US 31 March 2015 Peso Dirham Sol Peso Zloty Riyal Ruble Dollar Bahts Lira Rand Dirham Dollar US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 14 11 3 117 43 78-42 48 16 98 38 1,488 Non-monetary assets 8,617-18 2,490 2,760 1,478-23,579 4,412 2,747 14,515 915 7,989 Monetary liabilities - - - - - - (11) - - - - - (265) Net currency exposure 8,631 11 21 2,607 2,803 1,556 (11) 23,621 4,460 2,763 14,613 953 9,212 The NT Euro Government Inflation Linked Index Fund The NT Euro Government Inflation Linked Index Fund was not exposed to foreign currency risk for the year ended 31 March 2016 and 31 March 2015. The NT AC Asia (Ex-Japan) Equity Index Fund Hong Kong Indian Indonesian Korean Malaysian Philippine Singapore Sterling Taiwan Thai US 31 March 2016 Total Euro Dollar Rupee Rupiah Won Ringgit Peso Dollar Pound Dollars Bahts Dollar US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 7,410 195 3,438 883 182 732 399 132 591 1 680 177 - Non-monetary assets 805,048 391 289,560 74,605 24,761 144,730 32,223 13,329 40,532-112,968 20,543 51,406 Monetary liabilities (25,544) (5,760) - - - - - - - - - - (19,784) Net currency exposure 786,914 (5,174) 292,998 75,488 24,943 145,462 32,622 13,461 41,123 1 113,648 20,720 31,622 270

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Currency Risk (continued) The NT AC Asia (Ex-Japan) Equity Index Fund (continued) Hong Kong Indian Indonesian Korean Malaysian Philippine Singapore Sterling Taiwan Thai US 31 March 2015 Total Euro Dollar Rupee Rupiah Won Ringgit Peso Dollar Pound Dollars Bahts Dollar US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 13,454 5,361 3,194 462 336 2,141 229 150 384 1 815 258 123 Non-monetary assets 738,024 65 295,063 65,708 24,332 131,648 31,136 12,080 42,340-111,929 21,264 2,459 Monetary liabilities (6,387) (5,407) (537) - - - - - - - - - (443) Net currency exposure 745,091 19 297,720 66,170 24,668 133,789 31,365 12,230 42,724 1 112,744 21,522 2,139 The NT High Quality Euro Government Bond Fund The NT High Quality Euro Government Bond Fund was not exposed to foreign currency risk for the year ended 31 March 2016 and 31 March 2015. The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund Brazilian Chilean Colombian Czech Republic Egyptian Hong Kong Hungarian Indian Indonesian Korean 31 March 2016 Total Real Peso Peso Koruna Pound Euro Dollar Forint Rupee Rupiah Won US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 4,619 160 75 22 10 52 1 33 1 171 111 1,509 Non-monetary assets 741,703 50,070 11,224 4,629 1,686 1,361 3,612 159,224 2,761 59,274 20,739 116,434 Monetary liabilities (1,004) - - - - - - - - (750) - - Net currency exposure 745,318 50,230 11,299 4,651 1,696 1,413 3,613 159,257 2,762 58,695 20,850 117,943 Malaysian Mexican Philippine Polish Qatari Taiwan Thai Turkish South African UAE US Ringgit Peso Peso Zloty Rial Dollar Bahts Lira Rand Dirham Dollar US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 132 17 72 11 152 21 184 56 309 163 1,357 Non-monetary assets 26,079 30,572 11,609 10,720 7,101 86,127 17,125 12,058 49,537 6,113 53,648 Monetary liabilities - - - - - - - - - - (254) Net currency exposure 26,211 30,589 11,681 10,731 7,253 86,148 17,309 12,114 49,846 6,276 54,751 271

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Currency Risk (continued) The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund (continued) Brazilian Chilean Colombian Czech Republic Egyptian Hong Kong Hungarian Indian Indonesian Korean 31 March 2015 Total Real Peso Peso Koruna Pound Euro Dollar Forint Rupee Rupiah Won US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 2,857 222 109 68 3 35 1 31 32 247 85 859 Non-monetary assets 541,311 45,400 7,466 3,435 728 1,252 1,641 128,309 1,263 41,641 14,736 77,622 Monetary liabilities (369) - - - - - - - - - - - Net currency exposure 543,799 45,622 7,575 3,503 731 1,287 1,642 128,340 1,295 41,888 14,821 78,481 Malaysian Mexican Philippine Polish Qatari Taiwan Thai Turkish South African UAE US Ringgit Peso Peso Zloty Rial Dollar Bahts Lira Rand Dirham Dollar US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 71 23 64 12 52 188 130 46 227 116 236 Non-monetary assets 18,191 22,633 8,067 9,105 3,973 68,533 13,709 7,571 44,520 3,136 18,380 Monetary liabilities - - - - - - - - - - (369) Net currency exposure 18,262 22,656 8,131 9,117 4,025 68,721 13,839 7,617 44,747 3,252 18,247 272

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Currency Risk (continued) The NT Emerging Markets Custom ESG Equity Index Fund Brazilian Chilean Colombian Czech Republic Egyptian Hong Kong Hungarian Indian Indonesian Korean Malaysian 31 March 2016 Total Real Peso Peso Koruna Pound Euro Dollar Forint Rupee Rupiah Won Ringgit US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 56,542 831 37 39 71 33 13,571 3,572 129 1,408 127 3,230 741 Non-monetary assets 536,474 23,825 6,620 2,670 996 990 3,321 116,747 1,660 42,439 14,411 84,705 19,442 Monetary liabilities (58,596) (937) (54) (54) (103) (50) (1) (5,535) (100) (1,287) (385) (4,710) (1,187) Net currency exposure 534,420 23,719 6,603 2,655 964 973 16,891 114,784 1,689 42,560 14,153 83,225 18,996 Mexican Philippine Polish Qatari Sterling Taiwan Thai Turkish South African UAE US Peso Peso Zloty Rial Pound Dollar Bahts Lira Rand Dirham Dollar US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 671 57 226 191 1 2,084 492 320 11,847 215 16,649 Non-monetary assets 21,318 8,115 7,731 4,738 12 69,794 12,174 8,249 40,061 4,450 42,006 Monetary liabilities (1,019) (155) (315) (256) - (2,931) (518) (333) (20,410) (110) (18,146) Net currency exposure 20,970 8,017 7,642 4,673 13 68,947 12,148 8,236 31,498 4,555 40,509 Brazilian Chilean Colombian Czech Republic Egyptian Hong Kong Hungarian Indian Indonesian Korean Malaysian 31 March 2015 Total Real Peso Peso Koruna Pound Euro Dollar Forint Rupee Rupiah Won Ringgit US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 2,031 286 24 18 8 62 8 1 5 137 87 301 30 Non-monetary assets 204,464 9,667 2,936 1,390 434 444 987 48,200 456 14,774 5,957 31,102 7,588 Monetary liabilities (205) - - - - - (15) - - - - - - Net currency exposure 206,290 9,953 2,960 1,408 442 506 980 48,201 461 14,911 6,044 31,403 7,618 Mexican Philippine Polish Qatari Russian Sterling Taiwan Thai Turkish South African UAE US Peso Peso Zloty Rial Ruble Pound Dollar Bahts Lira Rand Dirham Dollar US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 23 35 38 115-1 194 55 51 103 41 408 Non-monetary assets 8,695 3,030 3,253 1,431-89 28,159 4,845 2,820 17,393 1,129 9,685 Monetary liabilities - - - - (16) - - - - - - (174) Net currency exposure 8,718 3,065 3,291 1,546 (16) 90 28,353 4,900 2,871 17,496 1,170 9,919 273

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Currency Risk (continued) The NT Emerging Markets Custom Equity Index Fund Brazilian Chilean Colombian zech Republic Egyptian Hong Kong Hungarian Indian Indonesian Korean 31 March 2016 Total Real Peso Peso Koruna Pound Euro Dollar Forint Rupee Rupiah Won US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 2,677 115 43 13 13 16 1 20 3 214 66 1,075 Non-monetary assets 528,070 35,356 6,485 2,249 973 940 2,098 113,567 1,548 43,388 14,672 82,932 Monetary liabilities (168) - - - - - - - - - - - Net currency exposure 530,579 35,471 6,528 2,262 986 956 2,099 113,587 1,551 43,602 14,738 84,007 Malaysian Mexican Philippine Qatari Polish Taiwan Thai TurkishSouth African UAE US Ringgit Peso Peso Rial Zloty Dollar Bahts Lira Rand Dirham Dollar US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 103 7 73 76 5 8 104 36 207 114 365 Non-monetary assets 18,873 21,279 7,419 5,232 7,550 66,367 11,592 7,969 36,623 4,129 36,829 Monetary liabilities - - - - - - - - - - (168) Net currency exposure 18,976 21,286 7,492 5,308 7,555 66,375 11,696 8,005 36,830 4,243 37,026 Brazilian Chilean Colombian zech Republic Egyptian Hong Kong Hungarian Indian Indonesian Korean 31 March 2015 Total Real Peso Peso Koruna Pound Euro Dollar Forint Rupee Rupiah Won US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 3,753 247 132 107 6 54 1 136 7 247 282 959 Non-monetary assets 600,166 44,289 8,521 3,815 1,221 1,452 2,025 139,663 1,247 45,274 16,756 90,564 Monetary liabilities (412) - - - - - - - - - - - Net currency exposure 603,507 44,536 8,653 3,922 1,227 1,506 2,026 139,799 1,254 45,521 17,038 91,523 Malaysian Mexican Philippine Qatari Russian Polish Taiwan Thai Turkish South African UAE US Ringgit Peso Peso Rial Ruble Zloty Dollar Bahts Lira Rand Dirham Dollar US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 68 33 113 53-66 218 123 92 288 122 399 Non-monetary assets 21,484 25,443 8,413 4,887-9,075 77,624 14,514 8,829 46,226 3,083 25,761 Monetary liabilities - - - - (73) - - - - - - (339) Net currency exposure 21,552 25,476 8,526 4,940 (73) 9,141 77,842 14,637 8,921 46,514 3,205 25,821 274

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Currency Risk (continued) The NT US High Yield Fixed Income Fund The NT US High Yield Fixed Income Fund was not exposed to foreign currency risk for the year ended 31 March 2016 and 31 March 2015. The NT Emerging Markets Custom ESG Feeder Fund Sterling US 31 March 2016 Total Euro Pound Dollar US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets - - - - Non-monetary assets 17,767-17,750 17 Monetary liabilities (13) - - (13) Net currency exposure 17,754-17,750 4 Sterling US 31 March 2015 Total Euro Pound Dollar US$ 000s US$ 000s US$ 000s US$ 000s Monetary assets 6 - - 6 Non-monetary assets 7,669-7,669 - Monetary liabilities (8) - - (8) Net currency exposure 7,667-7,669 (2) At 31 March 2016, had the exchange rate between the functional currency of each Sub-Fund and the non base currencies to which the Sub-Funds are exposed increased by 5% with all other variables held constant, the decrease respectively in net assets attributable to holders of redeemable participating shares would amount to approximately the amounts shown in the table below: 31 March 2016 31 March 2015 '000's '000's The NT Europe (Ex-UK) Equity Index Fund 3,961 4,269 The NT Euro Government Bond Index Fund - - The NT Index Linked Bond Index Fund - - The NT Japan Equity Index Fund 928 936 The NT North America Equity Index Fund 17,880 17,983 The NT Pacific (Ex-Japan) Equity Index Fund 4,118 4,478 The NT UK Equity Index Fund 1,493 2,655 The NT Emerging Markets Index Fund US$ 8,486 US$ 8,816 The NT Euro Government Inflation Linked Index Fund - - The NT All Country Asia (Ex-Japan) Equity Index Fund US$ 37,765 US$ 37,148 The NT High Quality Euro Government Bond Index Fund - - The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund US$ 34,528 US$ 26,278 The NT Emerging Markets Custom ESG Equity Index Fund US$ 24,696 US$ 9,819 The NT Emerging Markets Custom Equity Index Fund US$ 24,678 US$ 28,884 The US High Yield Fixed Income Fund - - The NT Emerging Markets Custom ESG Feeder Fund US$ 888 US$ 383 An equal change in the opposite direction would have increased the net assets attributable to holders of redeemable participating shares by an equal but opposite amount. 275

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Credit Risk Credit risk is the risk that a counterparty to a financial instrument will fail to discharge an obligation or commitment that has entered into with the Sub-Fund. Impairment provisions are provided for losses that have been incurred by the Statement of Financial Position date, if any. The carrying amounts of financial assets best represent the maximum credit risk exposure at the Statement of Financial Position date. The Sub-Funds financial assets exposed to credit risk amounted to the following at the year-end date: Net-settled Collective* Derivative 31 March Bond Investment Cash Financial Other 2016 31 March 2016 Investments Schemes at Bank Assets Assets Total The NT Europe (Ex-UK) Equity Index - 1,447,861 1,245,371-496,150 3,189,382 The NT Euro Govt Bond Index 98,708,033 791,059 1,329-2,610,559 102,110,980 The NT Index Linked Bond Index 40,366,272 43,000 510-93,827 40,503,609 The NT Japan Equity Index - 52,938 222,991-200,432 476,361 The NT North America Equity Index - 3,102,991 459,302 116,683 523,725 4,202,701 The NT Pacific (Ex-Japan) Equity Index - 206,257 708,308 4,710 456,460 1,375,735 The NT UK Equity Index - 475,281 63,002 589 272,889 811,761 The NT Emerging Markets Index US$ - 682,824 1,266,736 100,410 535,633 2,585,603 The NT Euro Govt Inflation Linked Index 541,787,013 204,938 1,000-9,849,166 551,842,117 The NT AC Asia (Ex-Japan) Equity Index US$ - 146,835 7,070,251 45,255 2,374,127 9,636,468 The NT High Quality Euro Government Bond Index Fund 278,432,681 1,996,027 1,000-6,576,412 287,006,120 The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund $ - 2,137,307 1,696,180 273,400 2,147,452 6,254,339 The NT Emerging Markets Custom ESG Equity Index Fund $ - 8,334,171 8,044,820 116,921 15,002,395 31,498,307 The NT Emerging Markets Custom Equity Index Fund $ - 325,781 1,146,758 129,961 1,513,272 3,115,772 The NT US High Yield Fixed Income Fund $ 102,378,067 6,266,000 8,879-2,743,060 111,396,006 The NT Emerging Markets Custom ESG Feeder Fund $ - 17,749,995 159-16,917 17,767,071 Net-settled Collective* Derivative 31 March Bond Investment Cash Financial Other 2015 31 March 2015 Investments Schemes at Bank Assets Assets Total The NT Europe (Ex-UK) Equity Index - 2,063,176 969,088 32,034 643,501 3,707,799 The NT Euro Govt Bond Index 128,637,033 787,123 2,168-2,579,480 132,005,804 The NT Index Linked Bond Index 37,871,202 44,000 607-479,125 38,394,934 The NT Japan Equity Index - 66,968 233,183 2,567 144,744 447,462 The NT North America Equity Index - 1,858,068 1,103,838 974 489,422 3,452,302 The NT Pacific (Ex-Japan) Equity Index - - 773,064 18,764 681,668 1,473,496 The NT UK Equity Index - 559,567 28,160-358,568 946,295 The NT Emerging Markets Index US$ 15,497 460,196 1,203,958 62,815 970,766 2,713,232 The NT Euro Govt Inflation Linked Index 617,962,469 1,225,556 1,100-13,364,962 632,554,087 The NT AC Asia (Ex-Japan) Equity Index US$ 73,556 476,895 6,292,978 82,179 6,445,647 13,371,255 The NT High Quality Euro Government Bond Index Fund 378,044,440 1,082,655 1,000-12,213,606 391,341,701 The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund $ - 51,581 1,532,478 83,855 1,238,102 2,906,016 The NT Emerging Markets Custom ESG Equity Index Fund $ 18,567 1,532,575 1,465,487 104,806 446,343 3,567,778 The NT Emerging Markets Custom Equity Index Fund $ 51,744 249,764 2,139,556 113,080 1,427,471 3,981,615 The NT US High Yield Fixed Income Fund $ 59,785,280 2,976,000 - - 1,556,508 64,317,788 The NT Emerging Markets Custom ESG Feeder Fund $ - 7,668,671 6-6,095 7,674,772 *Other price risk. 276

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Credit Risk (continued) The amounts in the above table are based on the carrying value of all accounts. All transactions in listed securities are settled/paid for upon delivery using approved brokers. All transactions in listed securities are settled/paid for upon delivery using approved brokers. The risk of default is considered minimal, as the exchange of cash and securities between counterparties is simultaneous. The trade will fail if either party fails to meet its obligation. The Investment Manager analyses credit concentration based on the counterparty of the financial assets that the Sub-Funds hold. Details of counterparties are disclosed in the Portfolios and Schedules of Investment. Substantially all of the cash assets are held with The Northern Trust Company, London Branch (NTC). Cash deposited with NTC is deposited as banker and is held on its balance sheet. Accordingly, in accordance with usual banking practice, NTC liability to the Fund in respect of such cash deposits shall be that of debtor and the Fund will rank as a general creditor of NTC. The financial assets are held with the Depositary, Northern Trust Fiduciary Services (Ireland) Limited. These assets are held distinct and separately from the proprietary assets of the Depositary. Securities are clearly recorded to ensure they are held on behalf of the Sub-Fund. Bankruptcy or insolvency of the Depositary and or one of its agents or affiliates may cause the Sub-Fund s rights with respect to the securities held by the Depositary to be delayed. Both Northern Trust Fiduciary Services (Ireland) Limited and The Northern Trust Company, London Branch are wholly owned subsidiaries of Northern Trust Corporation. Northern Trust Corporation had a long term rating from Standard & Poor s of A+ (2015: A+). The counterparty of the futures contracts, Citigroup Global Markets Ltd has a rating of A (2015: A). Credit risk is managed by monitoring the credit quality and financial positions of the Depositary the Company uses. Northern Trust acts as its own sub-custodian in the U.S., the U.K., Ireland and Canada. In all other markets Northern Trust appoints a local sub - custodian. Northern Trust continually reviews its sub-custodian network. The NT Index Linked Bond Index Fund, The NT Euro Government Bond Index Fund, The NT Euro Government Inflation Linked Index Fund, The NT High Quality Euro Government Bond Index Fund and The NT US High Yield Fixed Income Fund invest in financial assets, which have an investment grade as rated by a well-known rating agency. For unrated assets a rating is assigned using an approach that in the opinion of the Directors is consistent with rating agencies. Credit Rating Bond Investments The NT Euro Government Bond Index Fund 31 March 2016 31 March 2015 Rating % Holding Value % Holding Value AAA 24% 24,084,308 27% 34,439,128 AA+ 5% 5,303,053 4% 4,968,545 AA 31% 30,198,437 30% 38,412,597 A 2% 1,965,060 - - A- - - 2% 2,580,964 BBB+ 38% 37,157,175 37% 48,235,799 Total 100% 98,708,033 100% 128,637,033 The NT Index Linked Bond Index Fund 31 March 2016 31 March 2015 Rating % Holding Value % Holding Value AA+ 100% 40,366,272 100% 37,871,202 Total 100% 40,366,272 100% 37,871,202 277

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Credit Risk (continued) The NT Euro Government Inflation Linked Index Fund 31 March 2016 31 March 2015 Rating % Holding Value % Holding Value AAA 34% 186,183,656 39% 239,983,042 AA 66% 355,603,357 61% 377,979,427 Total 100% 541,787,013 100% 617,962,469 The NT High Quality Euro Government Bond Index Fund 31 March 2016 31 March 2015 Rating % Holding Value % Holding Value AAA 45% 125,305,198 49% 186,852,833 AA+ 10% 27,895,978 7% 26,533,842 AA 45% 125,231,505 44% 164,657,765 Total 100% 278,432,681 100% 378,044,440 The NT US High Yield Fixed Income Fund 31 March 2016 31 March 2015 Rating % Holding Value % Holding Value BBB 1% 1,036,057 1% 307,500 B+ 1% 781,869 0% - BBB- 4% 3,932,465 1% 510,312 Non-Invesmtent Grade 94% 96,627,676 95% 56,997,061 Not Rated 0% - 3% 1,970,407 Total 100% 102,378,067 100% 59,785,280 In accordance with the Company s policy, the Investment Manager monitors the Sub-Fund s credit position on a daily basis and the Board of Directors review it on a periodic basis. Liquidity Risk The main liability of the Sub-Funds is the redemption of any shares that investors wish to sell. The Sub-Funds constitution provides for the daily creation and cancellation of shares and it is therefore exposed to the liquidity risk of meeting shareholder redemptions at any time. The Directors are entitled to limit the number of shares in a Sub-Fund repurchased on any dealing day to shares representing ten per cent of the total Net Asset Value of that Sub-Fund on that dealing day. The Company may satisfy the repurchase request of a shareholder by a distribution of investments of the relevant Sub-Fund if the repurchase request would result in shares representing more than five per cent of the Net Asset Value of any Fund being repurchased by the Company on any dealing day. The Sub-Funds financial instruments include bonds which may not be easily liquidated at an amount close to fair value in order to meet liquidity requirements, or to respond to specific events such as deterioration in the credit worthiness of any particular issuer. The Sub-Funds listed securities are considered to be readily realisable as they are all listed on major worldwide stock exchanges. The Sub-Funds may borrow up to 10% of their Net Asset Value for temporary purposes. The Sub-Funds may, from time to time, invest in derivative contracts traded over the counter, which are not traded in an organised market and may be illiquid. As a result, the Sub-Funds may not be able to liquidate quickly their investments in these instruments at an amount close to their fair value to meet their liquidity requirements or to respond to specific events such as deterioration in the creditworthiness of any particular issuer. In accordance with the Company s policy, the Investment Manager monitors the Sub-Funds liquidity risk on a daily basis. If there are material issues the Board of Directors is notified by the Investment Manager. It is the Investment Manager s policy to have liquid assets equal to 1.05 times of the anticipated redemptions. 278

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Liquidity Risk (continued) The residual contractual maturities of financial liabilities at the Statement of Financial Position date are shown in the table below as at 31 March 2016 and 31 March 2015: The NT Europe (Ex-UK) Equity Index Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 Financial liabilities Accrued expenses - (85,632) - - Other liabilities (77,296) - - - Net assets attributable to holders of redeemable participating shares - - - (243,827,292) Derivative financial liabilities, settled net (7,458) (55,496) - - (84,754) (141,128) - (243,827,292) 31 March 2015 Financial liabilities Accrued expenses - (148,457) - - Other liabilities (123,515) - - - Net assets attributable to holders of redeemable participating shares - - - (264,409,794) (123,581) (148,457) - (264,409,794) The NT Euro Government Bond Index Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 Financial liabilities Accrued expenses - (38,413) - - Other liabilities (1,780,960) - - - Net assets attributable to holders of redeemable participating shares - - - (100,291,607) (1,780,960) (38,413) - (100,291,607) 31 March 2015 Financial liabilities Accrued expenses - (68,650) - - Other liabilities (1,147,847) - - - Bank overdraft - - - - Net assets attributable to holders of redeemable participating shares - - - (130,789,307) (1,147,847) (68,650) - (130,789,307) The NT Index Linked Bond Index Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 Financial liabilities Accrued expenses - (21,748) - - Other liabilities (61,038) - - - Net assets attributable to holders of redeemable participating shares - - - (40,420,823) (61,038) (21,748) - (40,420,823) 31 March 2015 Financial liabilities Accrued expenses - (26,441) - - Other liabilities (410,470) - - - Net assets attributable to holders of redeemable participating shares - - - (37,958,023) (410,470) (26,441) - (37,958,023) 279

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Liquidity Risk (continued) The NT Japan Equity Index Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 Financial liabilities Accrued expenses - (19,232) - - Other liabilities (134,236) - - - Net assets attributable to holders of redeemable participating shares - - - (18,639,888) Derivative financial liabilities, settled net - (816) - - (134,236) (20,048) - (18,639,888) 31 March 2015 Financial liabilities Accrued expenses - (19,013) - - Other liabilities (6,813) - - - Net assets attributable to holders of redeemable participating shares - - - (18,762,063) (6,813) (19,013) - (18,762,063) The NT North America Equity Index Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 Financial liabilities Accrued expenses - (120,481) - - Other liabilities (62,706) - - - Net assets attributable to holders of redeemable participating shares - - - (357,594,053) (62,706) (120,481) - (357,594,053) 31 March 2015 Financial liabilities Accrued expenses - (194,979) - - Other liabilities (132,933) - - - Net assets attributable to holders of redeemable participating shares - - - (359,866,385) Derivative financial liabilities, settled net (7,397) - - - (140,330) (194,979) - (359,866,385) The NT Pacific (Ex Japan) Equity Index Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 Financial liabilities Accrued expenses - (36,832) - - Other liabilities (56,059) - - - Net assets attributable to holders of redeemable participating shares - - - (82,492,202) Derivative financial liabilities, settled net (166) (13,611) - - (56,225) (50,443) - (82,492,202) 31 March 2015 Financial liabilities Accrued expenses - (57,477) - - Other liabilities (33,719) - - - Net assets attributable to holders of redeemable participating shares - - - (89,758,083) Derivative financial liabilities, settled net (260) - - - (33,979) (57,477) - (89,758,083) 280

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Liquidity Risk (continued) The NT UK Equity Index Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 Financial liabilities Accrued expenses - (23,711) - - Other liabilities (57,061) - - - Net assets attributable to holders of redeemable participating shares - - - (29,900,363) (57,061) (23,711) - (29,900,363) 31 March 2015 Financial liabilities Accrued expenses - (41,456) - - Other liabilities (50,474) - - - Net assets attributable to holders of redeemable participating shares - - - (53,220,917) Derivative financial liabilities, settled net (808) - - - (51,282) (41,456) - (53,220,917) The NT Emerging Markets Index Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 US$ US$ US$ US$ Financial liabilities Accrued expenses - (437,830) - - Other liabilities (35,402) - - - Net assets attributable to holders of redeemable participating shares - - - (182,724,619) (35,402) (437,830) - (182,724,619) 31 March 2015 Financial liabilities Accrued expenses - (260,335) - - Other liabilities - - - - Net assets attributable to holders of redeemable participating shares - - - (185,534,765) - (260,335) - (185,534,765) The NT Euro Govt Inflation Linked Index Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 Financial liabilities Accrued expenses - (127,805) - - Other liabilities (5,343,034) - - - Net assets attributable to holders of redeemable participating shares - - - (546,371,278) (5,343,034) (127,805) - (546,371,278) 31 March 2015 Financial liabilities Accrued expenses - (219,655) - - Other liabilities (8,742,082) - - - Net assets attributable to holders of redeemable participating shares - - - (623,592,350) (8,742,082) (219,655) - (623,592,350) 281

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Liquidity Risk (continued) The NT AC Asia (Ex-Japan) Equity Index Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 US$ US$ US$ US$ Financial liabilities Accrued expenses - (254,899) - - Other liabilities (5,417,407) - - - Net assets attributable to holders of redeemable participating shares - - - (786,914,247) Derivative financial liabilities, settled net (567) - - - (5,417,974) (254,899) - (786,914,247) 31 March 2015 Financial liabilities Accrued expenses - (335,753) - - Other liabilities (5,406,865) - - - Net assets attributable to holders of redeemable participating shares - - - (745,090,843) Derivative financial liabilities, settled net (10,721) - - - (5,417,586) (335,753) - (745,090,843) The NT High Quality Euro Government Bond Index Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 Financial liabilities Accrued expenses - (53,796) - - Other liabilities (4,140,450) - - - Net assets attributable to holders of redeemable participating shares - - - (282,811,874) (4,140,450) (53,796) - (282,811,874) 31 March 2015 Financial liabilities Accrued expenses - (100,127) - - Other liabilities (7,322,102) - - - Net assets attributable to holders of redeemable participating shares - - - (383,919,472) (7,322,102) (100,127) - (383,919,472) The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 US$ US$ US$ US$ Financial liabilities Accrued expenses - (253,939) - - Net assets attributable to holders of redeemable participating shares - - - (745,318,373) - (253,939) - (745,318,373) 31 March 2015 Financial liabilities Accrued expenses - (368,261) - - Net assets attributable to holders of redeemable participating shares - - - (543,798,660) - (368,261) - (543,798,660) 282

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Liquidity Risk (continued) The NT Emerging Markets Custom ESG Equity Index Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 US$ US$ US$ US$ Financial liabilities Accrued expenses - (172,807) - - Other liabilities (25,037,758) - - - Net assets attributable to holders of redeemable participating shares - - - (534,420,158) (25,037,758) (172,807) - (534,420,158) 31 March 2015 Financial liabilities Accrued expenses - (175,054) - - Other liabilities (15,361) - - - Net assets attributable to holders of redeemable participating shares - - - (206,289,889) (15,361) (175,054) - (206,289,889) The NT Emerging Markets Custom Equity Index Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 US$ US$ US$ US$ Financial liabilities Accrued expenses - (168,462) - - Net assets attributable to holders of redeemable participating shares - - - (530,578,627) - (168,462) - (530,578,627) 31 March 2015 Financial liabilities Accrued expenses - (339,063) - - Net assets attributable to holders of redeemable participating shares - - - (603,507,213) - (339,063) - (603,507,213) The NT US High Yield Fixed Income Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 US$ US$ US$ US$ Financial liabilities Accrued expenses - (261,874) - - Other liabilities (1,446,746) - - - Net assets attributable to holders of redeemable participating shares - - - (109,687,386) (1,446,746) (261,874) - (109,687,386) The NT US High Yield Fixed Income Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2015 US$ US$ US$ US$ Financial liabilities Accrued expenses - (163,422) - - Other liabilities (1,029,250) - - - Bank overdraft (526,547) - - - Net assets attributable to holders of redeemable participating shares - - - (63,068,444) (1,555,797) (163,422) - (63,068,444) 283

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 10. Financial Instruments and Associated Risks (continued) Liquidity Risk (continued) The NT Emerging Markets Custom ESG Feeder Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2016 US$ US$ US$ US$ Financial liabilities Accrued expenses - (12,734) - - Net assets attributable to holders of redeemable participating shares - - - (17,754,337) - (12,734) - (17,754,337) The NT Emerging Markets Custom ESG Feeder Fund Less than 1 to 3 3 Months No Stated 1 Month Months to 1 Year Maturity 31 March 2015 US$ US$ US$ US$ Financial liabilities Accrued expenses - (8,135) - - Net assets attributable to holders of redeemable participating shares - - - (7,666,637) - (8,135) - (7,666,637) Operational Risk Operational risk is the risk of direct or indirect loss arising from a wide variety of causes associated with the Company s processes and infrastructure, and from external factors other than market, credit, and liquidity issues such as those arising from legal and regulatory requirements and generally accepted standards to corporate behavior. Operational risks arise from all of the Company s operations. The Company was incorporated with the purpose of engaging in those activities outlined in the preceding paragraphs. All administration functions have been outsourced to Northern Trust International Fund Administration Services (Ireland) Limited. Concentration Risk At year-end, the following Sub-Funds have shareholders with more than 20% holdings on the Fund: 100% of the shares of The NT Index Linked Bond Index Fund were held by one shareholder. 78.70% of shares of The NT Japan Equity Index Fund were held by one shareholder. 27% of shares of The NT North America Equity Index Fund were held by one shareholder. 70% of shares of The NT Euro Government Inflation Linked Index Fund were held by one shareholder. 25% and 34% of shares of The NT All Country Asia (Ex-Japan) Equity Index Fund were held by two shareholders. 69% of shares of The NT High Quality Euro Government Bond Index Fund were held by one shareholder. 100% of shares of The NT Emerging Markets Low Carbon Optimised Equity Index Fund were held by one shareholder. 23% and 29% of shares of The NT Emerging Markets Custom ESG Equity Index Fund were held by two shareholders. Fair Value of Financial Assets and Liabilities Many of the Company s financial instruments are carried at fair value on the Statement of Financial Position. Usually the fair value of the financial instruments can be reliably determined within a reasonable range of estimates. For certain other financial instruments, including amounts due from/to brokers, accounts payable and accrued expenses, the carrying amounts approximate fair value due to the immediate or short-term nature of these financial instruments. The carrying value of all the Company s financial assets and liabilities at the Statement of Financial Position date approximated their fair values. The value of collective investment schemes valued by the relevant stock exchange amounted to 24,033,321 (31 March 2015: 13,248,151). 284

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 11. Fair Value Estimation FRS 102 requires the Fund to classify fair value measurements using a fair value hierarchy that reflects the significance of the inputs used in making the measurements. The fair value hierarchy has the following levels: - Quoted prices (unadjusted) in active markets for identical assets or liabilities (level 1). - Inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly (that is, as prices) or indirectly (that is, derived from prices) (level 2). - Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs) (level 3). The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a level 3 measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, considering factors specific to the asset or liability. The determination of what constitutes observable requires significant judgement by the Fund. The Company considers observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The tables on the following pages analyse within the fair value hierarchy the Company s financial assets and liabilities measured at fair value at 31 March 2016: The NT Europe (Ex-UK) Equity Index Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Equity Securities 240,863,792 - - 240,863,792 Collective Investment Schemes 1,447,861 - - 1,447,861 Total assets 242,311,653 - - 242,311,653 Liabilities Financial liabilities held for trading: Derivatives (62,954) - - (62,954) (62,954) - - (62,954) The NT Euro Government Bond Index Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Bonds - 98,708,033-98,708,033 Collective Investment Schemes 791,059 - - 791,059 Total assets 791,059 98,708,033-99,499,092 The NT Index Linked Bond Index Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Bonds - 40,366,272-40,366,272 Collective Investment Schemes 43,000 - - 43,000 Total assets 43,000 40,366,272-40,409,272 285

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 11. Fair Value Estimation (continued) The NT Japan Equity Index Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Equity Securities 18,317,811 - - 18,317,811 Collective Investment Schemes 52,938 - - 52,938 Total assets 18,370,749 - - 18,370,749 Liabilities Financial liabilities held for trading: Derivatives (816) - - (816) (816) - - (816) The NT North America Equity Index Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Equity Securities 353,574,539 - - 353,574,539 Collective Investment Schemes 3,102,991 - - 3,102,991 Derivatives 116,683 - - 116,683 Total assets 356,794,213 - - 356,794,213 Liabilities Financial liabilities held for trading: Derivatives - - - - - - - - The NT Pacific (Ex-Japan) Equity Index Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Equity Securities 81,223,135 - - 81,223,135 Collective Investment Schemes 206,257 - - 206,257 Derivatives 4,710 - - 4,710 Total assets 81,434,102 - - 81,434,102 Liabilities Financial assets held for trading: Derivatives (13,777) - - (13,777) (13,777) - - (13,777) The NT UK Equity Index Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Equity Securities 29,169,374 - - 29,169,374 Collective Investment Schemes 475,281 - - 475,281 Derivatives 589 - - 589 Total assets 29,645,244 - - 29,645,244 286

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 11. Fair Value Estimation (continued) The NT Emerging Markets Index Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets US$ US$ US$ US$ Financial assets held for trading: Equity Securities 180,612,248 - - 180,612,248 Collective Investment Schemes 682,824 - - 682,824 Derivatives 100,410 - - 100,410 Total assets 181,395,482 - - 181,395,482 The NT Euro Government Inflation Linked Index Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Bonds - 541,787,013-541,787,013 Collective Investment Schemes 204,938 - - 204,938 Total assets 204,938 541,787,013-541,991,951 The NT AC Asia (Ex-Japan) Equity Index Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets US$ US$ US$ US$ Financial assets held for trading: Equity Securities 782,950,652 - - 782,950,652 Collective Investment Schemes 146,835 - - 146,835 Derivatives 45,255 - - 45,255 Total assets 783,142,742 - - 783,142,742 Liabilities Financial liabilities held for trading: Derivatives (567) - - (567) (567) - - (567) The NT High Quality Euro Government Bond Index Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets US$ Financial assets held for trading: Bonds - 278,432,681-278,432,681 Collective Investment Schemes 1,996,027 - - 1,996,027 Total assets 1,996,027 278,432,681-280,428,708 The NT Emerging Markets Custom Low Carbon Optimised Index Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets US$ US$ US$ US$ Financial assets held for trading: Equity Securities 739,317,973 - - 739,317,973 Collective Investment Schemes 2,137,307 - - 2,137,307 Derivatives 273,400 - - 273,400 Total assets 741,728,680 - - 741,728,680 287

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 11. Fair Value Estimation (continued) The NT Emerging Markets Custom ESG Equity Index Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets US$ US$ US$ US$ Financial assets held for trading: Equity Securities 528,132,416 - - 528,132,416 Collective Investment Schemes 8,334,171 - - 8,334,171 Derivatives 116,921 - - 116,921 Total assets 536,583,508 - - 536,583,508 The NT Emerging Markets Custom Equity Index Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets US$ US$ US$ US$ Financial assets held for trading: Equity Securities 527,631,317 - - 527,631,317 Collective Investment Schemes 325,781 - - 325,781 Derivatives 129,961 - - 129,961 Total assets 528,087,059 - - 528,087,059 The NT US High Yield Fixed Income Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets US$ US$ US$ US$ Financial assets held for trading: Bonds - 102,378,067-102,378,067 Collective Investment Schemes 6,266,000 - - 6,266,000 Total assets 6,266,000 102,378,067-108,644,067 The NT Emerging Markets Custom ESG Feeder Fund 31 March 2016 Level 1 Level 2 Level 3 Total Assets US$ US$ US$ US$ Collective Investment Schemes 17,749,995 - - 17,749,995 Total assets 17,749,995 - - 17,749,995 The following tables analyse within the fair value hierarchy the Company s financial assets measured at fair value at 31 March 2015: The NT Europe (Ex-UK) Equity Index Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Equity Securities 260,974,033 - - 260,974,033 Collective Investment Schemes 2,063,176 - - 2,063,176 Derivatives 32,034 - - 32,034 Total assets 263,069,243 - - 263,069,243 Liabilities Financial liabilities held for trading: Derivatives (66) - - (66) (66) - - (66) 288

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 11. Fair Value Estimation (continued) The NT Euro Government Bond Index Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Bonds 122,263,191 6,373,842-128,637,033 Collective Investment Schemes 787,123 - - 787,123 Total assets 123,050,314 6,373,842-129,424,156 The NT Index Linked Bond Index Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Bonds 37,871,202 - - 37,871,202 Collective Investment Schemes 44,000 - - 44,000 Total assets 37,915,202 - - 37,915,202 The NT Japan Equity Index Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Equity Securities 18,340,427 - - 18,340,427 Collective Investment Schemes 66,968 - - 66,968 Derivatives 2,567 - - 2,567 Total assets 18,409,962 - - 18,409,962 The NT North America Equity Index Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Equity Securities 356,749,392 - - 356,749,392 Collective Investment Schemes 1,858,068 - - 1,858,068 Derivatives 974 - - 974 Total assets 358,608,434 - - 358,608,434 Liabilities Financial liabilities held for trading: Derivatives (7,397) - - (7,397) (7,397) - - (7,397) 289

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 11. Fair Value Estimation (continued) The NT Pacific (Ex-Japan) Equity Index Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Equity Securities 88,182,853 - - 88,182,853 Collective Investment Schemes 193,190 - - 193,190 Derivatives 18,764 - - 18,764 Total assets 88,394,807 - - 88,394,807 Liabilities Financial assets held for trading: Derivatives (260) - - (260) (260) - - (260) The NT UK Equity Index Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Equity Securities 52,367,360 - - 52,367,360 Collective Investment Schemes 559,567 - - 559,567 Total assets 52,926,927 - - 52,926,927 Liabilities Financial liabilities held for trading: Derivatives (808) - - (808) (808) - - (808) The NT Emerging Markets Index Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets US$ US$ US$ US$ Financial assets held for trading: Bonds 15,497 - - 15,497 Equity Securities 183,081,868 - - 183,081,868 Collective Investment Schemes 460,196 - - 460,196 Derivatives 62,815 - - 62,815 Total assets 183,620,376 - - 183,620,376 The NT Euro Government Inflation Linked Index Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets Financial assets held for trading: Bonds 617,962,469 - - 617,962,469 Collective Investment Schemes 1,225,556 - - 1,225,556 Total assets 619,188,025 - - 619,188,025 290

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 11. Fair Value Estimation (continued) The NT AC Asia (Ex-Japan) Equity Index Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets US$ US$ US$ US$ Financial assets held for trading: Equity Securities 737,546,483 - - 737,546,483 Collective Investment Schemes 476,895 - - 476,895 Derivatives 82,179 - - 82,179 Total assets 738,105,557 - - 738,105,557 Liabilities Financial liabilities held for trading: Derivatives (10,721) - - (10,721) (10,721) - - (10,721) The NT High Quality Euro Government Bond Index Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets US$ Financial assets held for trading: Bonds 378,044,440 - - 378,044,440 Collective Investment Schemes 1,082,655 - - 1,082,655 Total assets 379,127,095 - - 379,127,095 The NT Emerging Markets Custom Low Carbon Optimised Index Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets US$ US$ US$ US$ Financial assets held for trading: Equity Securities 541,260,905 - - 541,260,905 Collective Investment Schemes 51,581 - - 51,581 Derivatives 83,855 - - 83,855 Total assets 541,396,341 - - 541,396,341 The NT Emerging Markets Custom ESG Equity Index Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets US$ US$ US$ US$ Financial assets held for trading: Bonds 18,567 - - 18,567 Equity Securities 202,912,526 - - 202,912,526 Collective Investment Schemes 1,532,575 - - 1,532,575 Derivatives 104,806 - - 104,806 Total assets 204,568,474 - - 204,568,474 291

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 11. Fair Value Estimation (continued) The NT Emerging Markets Custom Equity Index Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets US$ US$ US$ US$ Financial assets held for trading: Bonds 51,744 - - 51,744 Equity Securities 599,864,661 - - 599,864,661 Collective Investment Schemes 249,764 - - 249,764 Derivatives 113,080 - - 113,080 Total assets 600,279,249 - - 600,279,249 The NT US High Yield Fixed Income Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets US$ US$ US$ US$ Financial assets held for trading: Bonds 59,785,280-59,785,280 Equity Securities 469,875 - - 469,875 Collective Investment Schemes 2,976,000 - - 2,976,000 Total assets 3,445,875 59,785,280-63,231,155 The NT Emerging Markets Custom ESG Feeder Fund 31 March 2015 Level 1 Level 2 Level 3 Total Assets US$ US$ US$ US$ Financial assets held for trading: Collective Investment Schemes 7,668,671 - - 7,668,671 Total assets 7,668,671 - - 7,668,671 12. Taxation The Company qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act (TCA) 1997. It is not chargeable to Irish tax on its income and gains. Tax may arise on the happening of a chargeable event. Generally a chargeable event arises on any distribution, redemption, repurchase, cancellation, transfer of shares or on the ending of a Relevant Period. A Relevant Period is an eight year period beginning with the acquisition of shares by the shareholder and each subsequent period of eight years beginning immediately after the preceding Relevant Period. No tax will arise on the Company in respect of chargeable events in respect of: (i) a shareholder who is not an Irish resident and not ordinarily resident in Ireland at the time of the chargeable event, provided the necessary signed statutory declarations are held by the Company; (ii) any transactions in relation to shares held in a recognised clearing system as designated by order of the Revenue Commissioners of Ireland; (iii) an exchange of shares arising on a qualifying amalgamation or reconstruction of the Company with another fund; (iv) certain exchanges of shares between spouses and former spouses; (v) an exchange by a shareholder, effected by way of an arm s length bargain where no payment is made to the shareholder of shares in the company for other shares in the Company; (vi) certain exempted Irish resident investors who have provided the Company with the necessary signed statutory declarations; and (vii) Dividend income and interest received by the Company may be subject to non-recoverable withholding tax in the countries of origin. 13. Directors Remuneration During the year the Company charged a fee of 59,976 (2015: 83,033) to those Directors who are not affiliated to The Northern Trust Company, of which 20,063 (2015: 5,549) was due at the year end. 292

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 14. Exchange Rates The exchange rates at 31 March 2016 to Euro ( ) are: Argentinian Peso 16.58616 Hong Kong Dollar 8.83898 Russian Ruble 76.19035 Australian Dollar 1.48138 Hungarian Forint 314.18017 Singapore Dollar 1.53452 Brazilian Real 4.03857 Indian Rupee 75.46388 South African Rands 16.76051 British Pound Sterling 0.79284 Indonesian Rupiah 15,110.43954 Swedish Krona 9.23799 Canadian Dollar 1.47395 Japanese Yen 128.07978 Swiss Franc 1.09129 Chilean Peso 762.19974 Korean Won 1,303.18994 Taiwan Dollar 36.67529 Colombian Peso 3,422.37781 Malaysian Dollar 4.44596 Thai Baht 40.08939 Czech Republic Koruna 27.04854 Mexican Peso 19.52933 Turkish Lira 3.20863 Danish Krone 7.45032 New Zealand Dollar 1.64129 UAE Dirham 4.18557 Egyptian Pound 10.11915 Norwegian Kronor 9.42551 US Dollar 1.13955 Euro 1.00000 Polish Zloty 4.24129 The exchange rates at 31 March 2015 to Euro ( ) are: Argentinian Peso 9.47156 Hong Kong Dollar 8.32678 Russian Ruble 62.42871 Australian Dollar 1.40585 Hungarian Forint 299.85023 Singapore Dollar 1.47321 Brazilian Real 3.43261 Indian Rupee 67.21231 South African Rands 13.01286 British Pound Sterling 0.72348 Indonesian Rupiah 14,042.56050 Swedish Krona 9.26224 Canadian Dollar 1.36022 Japanese Yen 128.79955 Swiss Franc 1.04318 Chilean Peso 669.53210 Korean Won 1,191.55019 Taiwan Dollar 33.60549 Colombian Peso 2,789.95874 Malaysian Dollar 3.97756 Thai Baht 34.94799 Czech Republic Koruna 27.55601 Mexican Peso 16.36160 Turkish Lira 2.78864 Danish Krone 7.47075 New Zealand Dollar 1.43219 UAE Dirham 3.94470 Egyptian Pound 8.19468 Norwegian Kronor 8.65548 US Dollar 1.07400 Euro 1.00000 Polish Zloty 4.07207 15. Securities Lending The Company has a securities-lending program whereby the Sub-Funds can lend securities to approved brokers. The Securities Lending Agent is The Northern Trust Company. The Company receives cash, letters of credit or eligible instruments as collateral for loans of its securities to these approved borrowers. Income earned from the investment of cash collateral, net of (1) expenses, including but not limited to, transaction accounting and reporting expenses, auditing fees, brokerage fees and other commissions, and any miscellaneous expenses, (2) any applicable payment or withholding of tax, (3) loan rebate fees paid or accrued to the borrowers, and (4) any adjustments to provide for regular returns as provided below, together with loan fees for loans collateralized by non-cash collateral, is distributed to participating lenders of the collateral section on a monthly basis in the currency in which the income was earned. Income shall be credited and recorded as interest income, on the fifteenth day of each month. Initial collateral levels will not be less than: 102% of the market value of borrowed securities; 105% if borrowed securities and the collateral are denominated in different currencies. Eligible collateral: Cash in the form of US Dollars, British Pound Sterling and Euro; Obligations issued or guaranteed by United States, United Kingdom and other OECD member states or their local governments, agencies, instrumentalities or authorities; Obligations issued by supranational entities; Equity issues which are part of indices approved by the Agent s appropriate credit committee, at the time of receipt and are subject to a concentration limit. 293

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 15. Securities Lending (continued) Eligible investments: Daily dealing money market funds which have and maintain a rating of Aaa or equivalent, including units of Northern Trust Global Funds plc; End of day residual cash balances, which cannot be invested in the marketplace will be swept into a short term investment with The Northern Trust Company and any of its worldwide branches or affiliated US or non-us banks or bank holding companies. The central securities depositary system used for stock lending is a system called GSL Global Securities Lending. The Company earned securities lending income of 1,455,283 (2015: 975,182) for the year ended 31 March 2016 of which 582,113 (2015: 390,073) was paid to The Northern Trust Company. Income earned by each Sub-Fund is included in the Statement of Comprehensive Income on pages 229 to 232. The below table shows the value of stock out on loan by borrower as at 31 March 2016: Borrower Name Shares Fair Value at 31 March 2016 Collateral % ABN AMRO Securities (USA) 1,836 25,685 108% Barclays Capital 118,691 7,746,800 103% Barclays Capital Securities 10,581,217 8,919,780 109% BMO Capital Market Corporation 27,569 611,240 104% BNP Paribas Arbitrage 515,385 3,655,897 119% BNP Paribas Prime Brokerage 8,131 33,517 103% BNP Paribas Prime Brokerage International Limited 108,064 5,457,058 102% BNP Paribas (New York) 27,230 916,252 109% Citigroup Global Markets Incorporation 221,218 6,032,752 102% Citigroup Global Markets Limited 1,587,735 3,670,660 104% Commerz Markets 1,890 79,569 106% Credit Suisse Securities (Europe) 3,929,411 5,699,178 107% Credit Suisse Securities (USA) 195,196 4,084,201 103% Deutsche Bank (London) 8,024,069 10,321,533 108% Deutsche Bank Securities 326,692 2,310,969 103% Goldman Sachs International 5,685,032 8,833,788 107% Goldman Sachs & Co 252,041 1,508,421 102% HSBC Bank 2,914,578 14,848,150 109% ING Bank (London) 1,003 12,235 116% J.P. Morgan Clearing Corporation 134,150 3,227,510 103% J.P. Morgan Securities Limited 11,353,103 30,813,554 105% Macquarie Bank (London) 2,636,195 8,245,514 109% Merrill Lynch International 611,351 4,164,173 104% Merrill Lynch, Pierce, Fenner & Smith Incorporated 131,416 6,372,921 102% Mizuho Securities USA 1,469 25,006 107% Morgan Stanley & Co International 9,969,303 24,387,546 106% Morgan Stanley & Co 830,786 18,794,792 102% National Financial Services 29,860 969,735 103% Nomura International 1,698,820 3,836,171 102% Nomura Securities International 16,819 247,009 104% Pershing 22,747 1,385,853 103% RBC Capital Markets 3,430 95,244 103% Scotia Capital (USA) 19,657 529,915 104% SG Americas Securities 523 35,128 102% Societe Generale (Paris) 996,455 1,589,752 107% The Bank of Nova Scotia (New York) 1,828 114,277 102% UBS (London) 11,933,376 55,770,331 107% UBS Securities 231,953 1,280,112 103% Wells Fargo Securities 700 37,833 102% 294

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 15. Securities Lending (continued) The below table shows the value of stock out on loan by borrower as at 31 March 2015: Borrower Name Shares Fair Value at 31 March 2015 Collateral % ABN AMRO Securities (USA) 20,924 149,367 108% Barclays Capital 217,076 3,455,033 104% Barclays Capital Securities 9,978,882 13,874,536 109% BMO Capital Market Corporation 38 2,370 103% BNP Paribas (New York) 5,025 483,685 106% BNP Paribas (Paris) 567,615 947,238 102% BNP Paribas Arbitrage 462,303 1,371,921 110% BNP Paribas Prime Brokerage 223,392 12,787,556 103% Citigroup Global Markets Incorporation 815,320 2,472,871 103% Citigroup Global Markets Limited 3,550,946 3,983,809 104% Credit Suisse Securities (Europe) 7,011,955 3,566,600 106% Credit Suisse Securities (USA) 27,060 1,143,615 103% Deutsche Bank (London) 7,345,898 4,651,189 109% Deutsche Bank Securities 61,569 5,617,043 103% Goldman Sachs International 1,055,137 1,093,396 109% Goldman Sachs & Co 477,635 4,591,397 104% HSBC Bank 1,145,947 3,020,101 108% ING Financial Markets 28,926 2,334,034 107% J.P. Morgan Clearing Corporation 4,514 122,643 103% J.P. Morgan Securities Limited 4,741,521 11,751,994 106% Macquarie Bank (London) 123,957 733,581 131% Merrill Lynch International 5,989,286 8,962,525 106% Merrill Lynch, Pierce, Fenner & Smith Incorporated 37,996 1,887,086 103% Mizuho Securities USA 18,798 690,569 105% Morgan Stanley & Co International 2,614,076 3,734,667 111% Morgan Stanley & Co 356,450 8,426,194 105% National Financial Services 4,644 298,349 102% Nomura International 4,767,206 5,950,680 103% Nomura Securities International 39,875 1,839,186 105% Pershing 12,888 189,909 103% RBC Capital Markets 75,699 3,800,562 103% Scotia Capital (USA) 4,286 350,854 103% SG Americas Securities 4,582 52,817 108% Societe Generale (Paris) 578,255 905,683 112% The Bank of Nova Scotia (New York) 11,373 1,197,012 103% UBS (London) 9,824,546 11,314,916 109% UBS Securities 212,249 990,116 109% Wells Fargo Securities 9,740 470,547 102% 295

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 15. Securities Lending (continued) The below table shows the value of stock out on loan by Sub-Fund as at 31 March 2016 and 31 March 2015: Sub-Fund 31 March 2016 31 March 2015 Shares Fair Value Shares Fair Value The NT Europe (ex-uk) Equity Index Fund 1,928,500 20,948,451 3,001,240 14,808,119 The NT Index Linked Bond Index Fund 1,698,420 3,829,644 - - The NT Euro Government Bond Index Fund - - 14,800,357 18,895,083 The NT Pacific (ex-japan) Equity Index Fund 2,755,694 13,379,922 1,665,220 5,295,915 The NT Japan Equity Index Fund 420,551 3,586,310 352,555 3,731,557 The NT UK Equity Index Fund 382,399 2,627,522 183,751 1,305,223 The NT North America Equity Index Fund 980,974 36,652,254 995,622 46,718,053 The NT Emerging Markets Index Fund 8,629,272 16,227,200 8,519,178 7,688,108 The NT All Country Asia (ex-japan) Equity Index Fund 44,913,545 90,189,984 32,909,666 30,773,593 The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund 5,488,429 33,010,049 - - The NT Emerging Markets Custom Equity Index Fund 7,953,145 26,238,725 - - 16. Cross Liability Risk The Company has segregated liability between its Sub-Funds and accordingly any liability incurred on behalf of or attributable to any Sub-Fund shall be discharged solely out of the assets of that Sub-Fund. 17. Distribution The following tables details the amounts distributed for each Sub-Fund by share class during the year as at 31 March 2016 and 31 March 2015, all share classes have been converted to each Sub-Fund s respective base currency: 31 March 2016 Base Currency 31 March 2015 Base Currency Europe (Ex-UK) Europe (Ex-UK) Class B EUR 495,106 Class B EUR 4,106,212 Class B GBP 3,671 Class B GBP 23,060 Class A USD 54,821 Class A USD 50,884 Class B USD 575,325 Class B USD 524,762 Class P1 EUR 1,151,660 Class P1 EUR - Euro Govt Bond Euro Govt Bond Class B EUR 966,402 Class B EUR 2,318,976 Class P1 EUR 601,458 Class P1 EUR - Index Linked Bond Index Linked Bond Class B GBP 233,468 Class B GBP 237,381 Japan Equity Index Japan Equity Index Class B EUR 22,983 Class B EUR 35,466 Class B GBP - Class B GBP 30,919 Class A USD 20,385 Class A USD 14,410 Class B USD 167,570 Class B USD 146,742 Class P1 EUR 10,450 Class P1 EUR - North America North America Class B EUR 881,241 Class B EUR 2,975,180 Class B USD 1,156,371 Class B USD 918,640 Class B GBP 8,965 Class B GBP 105,133 Class A USD 199,955 Class A USD 148,484 Class P1 EUR 976,086 Class P1 EUR - 296

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 17. Distribution (continued) 31 March 2016 Base Currency 31 March 2015 Base Currency Pacific (Ex-Japan) Pacific (Ex-Japan) Class A EUR 27 Class A EUR (138,865) Class B EUR 287,472 Class B EUR 2,297,260 Class B GBP - Class B GBP 3,427 Class A USD 32,636 Class A USD 19,366 Class B USD 277,341 Class B USD 222,617 Class P1 EUR 1,129,753 Class P1 EUR - UK Equity Index UK Equity Index Class B EUR 226,302 Class B EUR 461,358 Class B GBP 662,300 Class B GBP 604,131 Class A USD 40,897 Class A USD 33,520 Class B USD 420,693 Class B USD 362,493 Class P1 EUR 162,179 Class P1 EUR - Emerging Markets $ Emerging Markets $ Class B EUR 227,228 Class B EUR 2,527,357 Class C GBP 312,268 Class C GBP 420,436 Class A USD 40,685 Class A USD 32,946 Class B USD 263,051 Class B USD 421,205 Class C USD 47,077 Class C USD 418,886 Class C EUR 126,280 Class C EUR 119,577 Class P1 EUR (232,168) Class P1 EUR - Euro Govt Inflation Euro Govt Inflation Class B EUR 538,942 Class B EUR 978,425 Class C EUR 5,226,993 Class C EUR 5,607,731 Class P1 EUR 327,968 Class P1 EUR - AC Asia (Ex-Japan) $ AC Asia (Ex-Japan) $ Class C EUR 16,708,790 Class C EUR 12,159,242 HQ Euro Govt Bond HQ Euro Govt Bond Class B EUR 16,660 Class B EUR - Class C EUR 11,669,609 Class C EUR 4,020,297 Carbon Optimised Equity $ Carbon Optimised Equity $ Class C USD 12,200,181 Class C USD 2,251,739 Emerging Markets ESG $ Emerging Markets ESG $ Class B EUR 562,333 Class B EUR - Class C EUR 2,210,367 Class C EUR 38,610 Class C GBP 77,237 Class C GBP - Class D USD 191,245 Class D USD - Custom Equity Index $ Custom Equity Index $ Class C USD 14,557,527 Class C USD 279,717 High Yield Fixed Income $ High Yield Fixed Income $ Class B USD 5,521,162 Class B USD 2,077,044 EM Custom ESG Feeder EM Custom ESG Feeder Class A GBP - Class A GBP - 297

NOTES FORMING PART OF THE FINANCIAL STATEMENTS (continued) For the year ended 31 March 2016 18. Commitments and Contingencies The Company has no undisclosed commitments or contingencies at 31 March 2016 (2015: Nil). 19. Comparative Figures The comparative figures are for the year ended 31 March 2015. 20. Events During the Year Catherine Duffy was appointed as a Director with effect from 1 May 2015. On 17 March 2016, Northern Trust Fiduciary Services (Ireland) Limited, previously Custodian of the Company, was appointed Depositary of the Company. The following distributions were declared during the year: The NT Europe (Ex-UK) Equity Index Fund 2,280,583 The NT Euro Government Index Bond Fund 1,567,860 The NT Index Linked Bond Index Fund 233,468 The NT Japan Equity Index Fund 221,388 The NT North America Equity Index Fund 3,222,618 The NT Pacific (Ex-Japan) Equity Index Fund 1,727,229 The NT UK Equity Index Fund 1,512,371 The NT Emerging Markets Index Fund $784,421 The NT Euro Government Inflation Linked Bond Index Fund 6,093,903 The NT AC Asia (Ex-Japan) Equity Index Fund $16,708,790 The NT High Quality Euro Government Bond Index Fund 11,686,269 The NT Emerging Markets Custom Low Carbon Optimised Equity Index Fund $12,200,181 The NT Emerging Markets Custom ESG Equity Index Fund $3,041,182 The NT Emerging Markets Custom Equity Index Fund $14,557,527 NT US High Yield Fixed Income Fund $5,521,162 NT EM Custom ESG Feeder Fund - There were no significant events preceding the year end which require amendment to the financial statements. 21. Subsequent Events There were no significant events subsequent to the year end which require amendment to the financial statements. 22. Approval of Financial Statements The financial statements were approved by the Directors on 21 July 2016. 298

DIRECTORS AND OTHER INFORMATION Registered Office Georges Court 54-62 Townsend Street Dublin 2, Ireland Director Michael Boyce * Irish Gerry Brady * (Chairman) Irish Catherine Duffy (appointed 1 May 2015) Irish Eleanor Fitzgerald Irish John Fitzpatrick * Irish Willem van Ooijen Dutch *Independent Manager Northern Trust Fund Managers (Ireland) Limited Georges Court 54-62 Townsend Street Dublin 2, Ireland Investment Manager Northern Trust Global Investments Limited 50 Bank Street Canary Wharf London E14 5NT United Kingdom Custodian & Depositary Northern Trust Fiduciary Services (Ireland) Limited Georges Court 54-62 Townsend Street Dublin 2, Ireland Administrator Northern Trust International Fund Administration Services (Ireland) Limited Georges Court 54-62 Townsend Street Dublin 2, Ireland Independent Auditor KPMG Chartered Accountants Registered Auditor 1 Harbourmaster Place International Financial Services Centre Dublin 1, Ireland Legal Advisor Maples and Calder 75 St. Stephen s Green Dublin 2, Ireland Sponsoring Broker Maples and Calder 75 St. Stephen s Green Dublin 2, Ireland Secretary of the Manager Northern Trust International Fund Administration Services (Ireland) Limited Georges Court 54-62 Townsend Street Dublin 2, Ireland 299

NOTICE OF ANNUAL GENERAL MEETING To: The Shareholders of Northern Trust Investment Funds plc: - NOTICE is hereby given that the Annual General Meeting of the Shareholders of Northern Trust Investment Funds plc will be held at George s Court, 54-62 Townsend Street, Dublin 2 on Friday, 23 September 2016 at 10.00 a.m. Ordinary Resolutions: AGENDA 1. Report and Accounts To receive the Annual Report and Audited Financial Statements of the Company for the year ended 31 March 2016. 2. Review of the Company s Affairs To review the Company s affairs during the course of the year ended 31 March 2016. 3. Re-appointment of Auditors To consider the re-appointment of KPMG as the Auditors of the Company. 4. Auditors Remuneration To authorise the Directors to fix the Auditors remuneration. 5. Approval of Final Dividend Declaration To approve the final dividends declared on 31 March 2016, in respect of the financial year ending 31 March 2016, to shareholders registered at close of business on 31 March 2016, as detailed in Schedule 1. By Order of the Board Dated this 29 July 2016 For and on behalf of Northern Trust International Fund Administration Services (Ireland) Limited as Secretary NOTE Every member entitled to attend, speak and vote at the above meeting is entitled to appoint a proxy to attend, speak and vote in his stead. A body corporate may appoint an authorised person to attend, speak and vote on its behalf. A proxy or an authorised representative need not be a member of the company.

Schedule 1 Northern Trust Investment Funds plc Dividend Rate Class Name Sedol 2.27499 NT EM MK CUS USD C BH5M0Z4 0.04243 NT US HIGH YD USD B INC BJ0JSZ0 5.83921 EURO CLASS B SHARES B02L389 4.50758 STERLING CLASS B SHARES B5N6WK3 3.22951 DOLLAR CLASS A SHARES B447V56 2.84629 DOLLAR CLASS B SHARES B671717 2.98687 EURO CLASS P1 SHARES BRJSWS5 1.27862 STERLING CLASS B SHARES B02L3D4 2.26037 EURO CLASS B SHARES B02L3B2 1.36800 EURO CLASS P1 SHARES BRJSWR4 11.75999 EURO CLASS A SHARES 3394960 11.49990 EURO CLASS B SHARES B02L3G7 4.40905 DOLLAR CLASS A SHARES B40W1Q6 3.94264 DOLLAR CLASS B SHARES B614ZR4 3.99032 EURO CLASS P1 SHARES BRJSWV8 2.51565 EURO CLASS B SHARES B02L3J0 4.28372 STERLING CLASS B SHARES B02L3K1 2.03965 DOLLAR CLASS A SHARES B3X7PR0 1.85057 DOLLAR CLASS B SHARES B620BY0 1.81229 EURO CLASS P1 SHARES BRJSWT6 7.34001 EURO CLASS B SHARES B02L3L2 4.81723 STERLING CLASS B SHARES B02L3M3 4.40656 DOLLAR CLASS A SHARES B3S3QJ2 4.28359 DOLLAR CLASS B SHARES B5TJRX4 3.24867 EURO CLASS P1 SHARES BRJSWW9 2.41884 EURO CLASS B SHARES B02L3N4 2.43649 DOLLAR CLASS B SHARES B50KJ41 1.66324 STERLING CLASS B SHARES B5NJQ88 2.19193 DOLLAR CLASS A SHARES B3RD2L7 2.46136 EURO CLASS P1 SHARES BRJSWZ2 2.41468 NT EM MK CUS EUR B B8MZ9L2 2.04631 NT EM MK CUS EUR C BH3GZH5 0.01277 NT EMC ESG EQ INX GBP C BJ0X852 0.01333 NT EM MK CUS USD D BT0X829 0.01000 NT EM MK COP USD C BBMT2K5 2.48764 EURO CLASS B SHARES B61NBX9 2.56671 EURO CLASS C SHARES B61MDD0 NTAC:3NS-20

Schedule 1 Northern Trust Investment Funds plc 0.30049 EURO CLASS P1 SHARES BRJSWY1 0.00177 NT HI QULTY CL EUR B B8HVJP9 2.87822 NT HI QULTY CL EUR C B7MTT51 3.07275 NT ASIA X JPN EUR C B4NCR76 2.48386 EURO CLASS B SHARES B50XVB1 2.47114 STERLING CLASS C SHARES B55S3S2 3.04316 DOLLAR CLASS A SHARES B52RG61 2.95303 DOLLAR CLASS B SHARES B51KQT4 NTAC:3NS-20

FORM OF PROXY NORTHERN TRUST INVESTMENT FUNDS PLC I/We, of being Members of the above named Company hereby appoint or failing him/her, the Chairman of the Meeting, or failing him/her, Ms. Amanda Afifi, Ms. Patricia Kelly, or Ms. Bridget Gallagher of Northern Trust International Fund Administration Services (Ireland) Limited, as my/our proxy to vote for me/us on my/our behalf at the Annual General Meeting of the Company to be held on Friday, 23 September 2016 at 10:00 a.m., and at any adjournment thereof. Please indicate with an X in the spaces below how you wish your vote(s) to be cast. Unless otherwise instructed, the proxy will vote as he/she thinks fit. Ordinary Resolutions: For Against 1. To receive the Annual Report and Audited Financial Statements of the Company for the year ended 31 March 2016. 2. To review the Company s affairs during the course of the year ended 31 March 2016. 3. To re-appoint KPMG as the Auditors of the Company. 4. To authorise the Directors to fix the Auditors remuneration. 5. To approve the final dividends declared on 31 March 2016, in respect of the financial year ending 31 March 2016, to shareholders registered at close of business on 31 March 2016, as detailed in Schedule 1. Signed: Date: Please return to: Attention: Northern Trust International Fund Administration Services (Ireland) Limited George s Court 54-62 Townsend Street Dublin 2 Ireland Ms. Amanda Afifi

NOTES: 1. This instrument of proxy, to be valid, must be sent by post so as to arrive, or be lodged, at the address printed below before the time appointed for the holding of the meeting. 2. In the case of a corporate shareholder, this instrument may be either under its Common Seal or under the hand of an officer or attorney authorised in that behalf. 3. If you wish to appoint a proxy other than the Chairman of the meeting, please insert his/her name and address and delete "the Chairman of the meeting" 4. If this instrument is signed and returned without any indication of how the person appointed proxy shall vote, he will exercise his discretion as to how he votes and whether or not he abstains from voting. 5. In the case of joint holders, the vote of the senior who tenders a vote whether in person or by proxy, shall be accepted to the exclusion of the votes of the other joint holders and for this purpose seniority should be determined by the order in which the names stand in the register of members in respect of the joint holding. 6. The address to which the proxy forms should be returned is:- Northern Trust International Fund Administration Services (Ireland) Limited George s Court 54-62 Townsend Street Dublin 2 Ireland Attention: Ms. Amanda Afifi 7. Proxy forms may be returned in the first instance by fax to +353 1 434 5273 but the original should be forwarded by mail to the address shown at 6 above. 8. Contact Details: E-mail: - Dublin_Corp_Sec_Minute_Taking_team@ntrs.com Telephone: - +353 1 531 8340