July 31, 2012

Northern Trust Global Investments 50 South La Salle Street Chicago, Illinois 60603 (312) 630-6000

October 2012 Enclosed for your files is a copy of the annual report for the Northern Trust Global Investments Collective Funds Trust for International Equities for the fiscal year ended July 31, 2012. In accordance with regulations under section 103 of the Employee Retirement Income Security Act of 1974, a financial institution that holds the assets of a plan in a collective trust is required to provide the plan with a copy of the annual statement of the collective trust’s assets and liabilities. Pursuant to Department of Labor (DOL) regulation section 2520.103-5(d), The Northern Trust Company certifies that the information contained in the enclosed annual report is an accurate and complete reflection of our records. We further certify that a filing pursuant to DOL regulation section 2520.103-9(c) will be made for each of the collective trust funds identified below, on or before the filing due date, in accordance with the Form 5500 instructions. Please note that you will need to list the names of the relevant collective funds on Part I of Schedule D of the 5500 for the plan (or the 5500 for the master trust investment account, if applicable) that owns an interest in the funds. In addition, you will need to identify Northern Trust Investments, Inc., as sponsor of each fund, as well as the fund’s Employer Identification Number, or "EIN" (see attachment). Schedule D also requires that you include the proper entity code ("C", for common or collective trust) and the dollar value of the plan or master trust interest in the fund as of the end of the year. If you have any questions about this report, please contact your Northern Trust Investment Relationship Manager or call 877/651-9156. Sincerely,

Alan W. Robertson Executive Vice President Global Head Client Solutions Northern Trust Global Investments enc

Asset Management at Northern Trust comprises Northern Trust Investments, Inc., Northern Trust Global Investments Ltd., Northern Trust Global Investments Japan, K.K., The Northern Trust Company of Connecticut and its subsidiaries, including NT Global Advisors, Inc., and investment personnel of The Northern Trust Company.

Collective Trust Fund Name NT Collective All Country World Ex-US Index Fund – Lending NT Collective EAFE Index Fund – Lending NT Collective Quant Enhanced EAFE Equity Fund – Lending NT Collective Quant Enhanced EASEA Equity Fund – Lending NT Collective Emerging Markets Index Fund – Lending NT Collective Developed International Small Cap Index Fund – Lending NT Collective Global Real Estate Index Fund – Lending NT Collective All Country World Ex-US IMI Fund – Non Lending NT Collective EAFE Index Fund – Non Lending NT Collective International Equity Fund – Non Lending NT Collective Emerging Markets Fund – Non Lending NT Collective Emerging Markets Small Cap Index Fund – Non Lending NT Collective Developed International Small Cap Index Fund – Non Lending NT Collective Global Real Estate Index Fund – Non Lending NT Collective Canada Index Fund – Non Lending NT Collective Diversified Frontier Markets Fund – Non Lending NT Collective ACWI Ex-US Index Fund – Non Lending NT Collective World Ex-US Investable Market Index Fund – Lending(A) NT Collective World Ex-US Investable Market Index Fund – Non Lending(B) NT Collective All County World Ex-US IMI Fund – Lending(C) NT Collective World Ex-US Index Fund – Non Lending(B) NT Collective Commodities Fund – Non Lending(D) (A) Commenced

Operations on January 3, 2012. Commenced Operations on December 15, 2011. (C) Commenced Operations on September 1, 2011. (D) Commenced Operations on March 28, 2012. (B)

Employer ID # Plan # 45-6138589 039 45-6138589 017 45-6138589 014 45-6138589 015 45-6138589 040 45-6138589 081 45-6138589 082 45-6138589 125 45-6138589 024 45-6138589 073 45-6138589 101 45-6138589 085 45-6138589 122 45-6138589 104 45-6138589 102 45-6138589 124 45-6138589 103 45-6138589 126 45-6138589 127 45-6138589 128 45-6138589 129 45-6138589 130

Northern Trust Global Investments Collective Funds Trust Annual Report

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST Table of Contents x

Investment Objectives

x

Independent Auditors’ Report

x

Financial Statements, Financial Highlights, and Statements of Investments for the following Northern Trust (“NT”) Collective Funds:

NT Collective All Country World ex-US Index Fund – Lending NT Collective EAFE Index Fund – Lending NT Collective Quant Enhanced EAFE Equity Fund – Lending NT Collective Quant Enhanced EASEA Equity Fund – Lending NT Collective Emerging Markets Index Fund – Lending NT Collective Developed International Small Cap Index Fund – Lending NT Collective Global Real Estate Index Fund – Lending NT Collective All Country World ex-US IMI Fund – Non Lending NT Collective EAFE Index Fund – Non Lending NT Collective International Equity Fund – Non Lending NT Collective Emerging Markets Fund – Non Lending NT Collective Emerging Markets Small Cap Index Fund – Non Lending NT Collective Developed International Small Cap Index Fund – Non Lending NT Collective Global Real Estate Index Fund – Non Lending NT Collective Canada Index Fund – Non Lending NT Collective Diversified Frontier Markets Fund – Non Lending NT Collective ACWI ex-US Index Fund – Non Lending NT Collective World ex-US Investable Market Index Fund - Lending NT Collective World ex-US Investable Market Index Fund – Non Lending NT Collective All Country World ex-US Investable Market Index Fund – Lending NT Collective World ex-US Index Fund – Non Lending NT Collective Commodities Fund – Non Lending x

Notes to the Financial Statements

x

Additional Information

Page 1 49 77 87 96 121 180 197 201 228 236 261 307 365 382 391 401 406 410 413 417 420

423

INVESTMENT OBJECTIVES

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST INVESTMENT OBJECTIVES

NT Collective All Country World ex-US Index Fund - Lending The primary objective of the All Country World ex-US Index Fund, a collective fund for qualified plans, is to approximate the risk and return characterized by the MSCI ACWI ex-US Index. This Index is commonly used to represent the global nonU.S. equity markets. To achieve its objective, the Fund employs a replication technique, which generally seeks to hold each index constituent in its proportional index weight. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective EAFE Index Fund - Lending The primary objective of the EAFE Index Fund, a collective fund for qualified plans, is to approximate the risk and return characterized by the Morgan Stanley Europe, Australasia, and Far East (MSCI EAFE) Index. This Index is commonly used to represent the non U.S. equity markets. This fund may hold units of the NT Continental Europe Index Fund - Lending, NT United Kingdom Index Fund - Lending, NT Southwest Pacific Index Fund - Lending and the NT Japan Index Fund Lending. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective Quant Enhanced EAFE Equity Fund - Lending The primary objective of the Quant Enhanced EAFE Equity Fund, a collective fund for qualified plans, is to provide investment results that exceed the overall performance of the Morgan Stanley Europe, Australasia and Far East (MSCI EAFE) Index with net dividends. This Index is commonly used to represent the non U.S. equity markets. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective Quant Enhanced EASEA Equity Fund - Lending The primary objective of the Quant Enhanced EASEA Equity Fund, a collective fund for qualified plans, is to provide investment results that exceed the overall performance of the Morgan Stanley Europe, Australasia, and Far East (MSCI EAFE) ex-Japan Index with net dividends. This Index is commonly used to represent the non U.S. equity markets. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective Emerging Markets Index Fund - Lending The primary objective of the Emerging Markets Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI Emerging Markets Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective Developed International Small Cap Index Fund - Lending The primary objective of the Developed International Small Cap Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI World ex-US Small Cap Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective Global Real Estate Index Fund - Lending The primary objective of the Global Real Estate Index Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the Financial Times Stock Exchange (FTSE) European Public Realtors Association (EPRA)/ National Association of Real Estate Investment Trusts (NAREIT) Global Real Estate Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective All Country World ex-US IMI Fund – Non Lending The primary objective of the All Country World ex-US IMI Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the MSCI ACWI ex-U.S. Index. The fund may hold individual securities directly without reference to any economic, financial, market timing or other analysis. This Fund does not participate in securities lending. NT Collective EAFE Index Fund - Non Lending The primary objective of the EAFE Index Fund, a collective fund for qualified plans, is to approximate the risk and return characterized by the Morgan Stanley Europe, Australasia, and Far East (MSCI EAFE) Index. This Index is commonly used

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST INVESTMENT OBJECTIVES (continued) to represent the non U.S. equity markets. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective International Equity Fund - Non Lending The primary objective of the International Equity Fund, a collective fund for qualified plans, is to provide investment results that provide long term capital appreciation. Using fundamental research and quantitative analysis, the investment management team buys securities of foreign companies that it believes to have favorable growth characteristics relative to their peers. Similarly, the investment management team sells securities that it believes no longer have these characteristics. The Fund will invest in the equity stocks of issuers in at least three different foreign countries, primarily investing in mature markets (such as Germany and Japan), though to a lesser extent may also make investments in emerging markets (such as Argentina and China). The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This fund does not participate in securities lending. NT Collective Emerging Markets Fund – Non Lending The primary objective of the Emerging Markets Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI Emerging Markets Index. The fund may make limited us of common stocks of one or more companies included in the Index, on the sole basis of computer-generated statistical data, deems representative of the industry diversification of the entire Index. This Fund does not participate in securities lending. NT Collective Emerging Markets Small Cap Index Fund - Non Lending The primary objective of the Emerging Markets Small Cap Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI Emerging Markets Small Cap Equity Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Developed International Small Cap Index Fund - Non Lending The primary objective of the Developed International Small Cap Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI World ex-US Small Cap Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Global Real Estate Index Fund – Non Lending The primary objective of the Global Real Estate Index Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the Financial Times Stock Exchange (“FTSE®”), European Public Realtors Association (“EPRA®”) and National Association of Real Estate Investment Trusts (“NAREIT®”). This Fund does not participate in securities lending. NT Collective Canada Index Fund – Non Lending The primary objective of the Canada Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI Morgan Stanley Capital International. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Diversified Frontier Markets Fund – Non Lending The primary objective of the Diversified Frontier Markets Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the Standard & Poor’s (S&P) Extended Frontier 150 Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective ACWI ex-US Index Fund – Non Lending The primary objective of the ACWI ex-US Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI ACWI ex-US Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending.

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST INVESTMENT OBJECTIVES (continued) NT Collective World ex-US Investable Market Index Fund – Lending The primary objective of World ex-US Investable Market Index Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the MSCI World ex-US Investable Market Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective World ex-US Investable Market Index Fund – Non Lending The primary objective of World ex-US Investable Market Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI World ex-U.S. Investable Market Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective All Country World ex-US Investable Market Index Fund – Lending The primary objective of the All Country World ex-US Investable Market Index Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the MSCI ACWI ex-US Investable Market Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective World ex-US Index Fund – Non Lending The primary objective of the World ex-US Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI World ex-US Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Commodities Fund – Non Lending The primary objective of the World ex-US Index Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the Dow Jones-UBS Commodities Index. The index is a broadly diversified index that allows investors to track commodity futures in a single portfolio. The index is composed of futures contracts on physical commodities. The Fund may make limited use of futures for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. “Morgan Stanley Capital International®”, “MSCI®” and “EAFE®”, terms used throughout this report, are trademarks of MSCI, and have been licensed for use by The Northern Trust Company (the “Licensee”). THIS FINANCIAL PRODUCT IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MORGAN STANLEY CAPITAL INTERNATIONAL INC. (“MSCI”), ANY OF ITS AFFILIATES, ANY OF ITS INFORMATION PROVIDERS OR ANY OTHER THIRD PARTY INVOLVED IN, OR RELATED TO, COMPILING, COMPUTING OR CREATING ANY MSCI INDEX (COLLECTIVELY, THE “MSCI PARTIES”). THE MSCI INDEXES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI INDEX NAMES ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY THE NORTHERN TRUST COMPANY (THE “LICENSEE”). NONE OF THE MSCI PARTIES MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE ISSUER OR OWNERS OF THIS FINANCIAL PRODUCT OR ANY OTHER PERSON OR ENTITY REGARDING THE ADVISABILITY OF INVESTING IN FINANCIAL PRODUCTS GENERALLY OR IN THIS FINANCIAL PRODUCT PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDEXES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THIS FINANCIAL PRODUCT OR THE ISSUER OR OWNERS OF THIS FINANCIAL PRODUCT OR ANY OTHER PERSON OR ENTITY. NONE OF THE MSCI PARTIES HAS ANY OBLIGATION TO TAKE THE NEEDS OF THE ISSUER OR OWNERS OF THIS FINANCIAL PRODUCT OR ANY OTHER PERSON OR ENTITY INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE MSCI INDEXES. NONE OF THE MSCI PARTIES IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF THIS FINANCIAL PRODUCT TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY OR THE CONSIDERATION INTO WHICH THIS FINANCIAL PRODUCT IS REDEEMABLE. FURTHER, NONE OF THE MSCI PARTIES HAS ANY OBLIGATION OR LIABILITY TO THE ISSUER OR OWNERS OF THIS FINANCIAL PRODUCT OR ANY OTHER PERSON OR ENTITY IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF THIS FINANCIAL PRODUCT. ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE MSCI INDEXES FROM SOURCES THAT MSCI CONSIDERS RELIABLE, NONE OF THE MSCI PARTIES WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY AND/OR THE COMPLETENESS OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NONE OF THE MSCI PARTIES MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER OF THE FINANCIAL PRODUCT, OWNERS OF THE FINANCIAL PRODUCT, OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST INVESTMENT OBJECTIVES (continued) INCLUDED THEREIN. NONE OF THE MSCI PARTIES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. FURTHER, NONE OF THE MSCI PARTIES MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND, AND THE MSCI PARTIES HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO EACH MSCI INDEX AND ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL ANY OF THE MSCI PARTIES HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. No purchaser, seller or holder of this financial product, or any other person or entity, should use or refer to any MSCI trade name, trademark or service mark to sponsor, endorse, market or promote this financial product without first contacting MSCI to determine whether MSCI’s permission is required. Under no circumstances may any person or entity claim any affiliation with MSCI without the prior permission of MSCI. These indices are unmanaged and the performance of an index assumes no transaction costs, taxes, management fees, or other expenses. A direct investment in an index is not possible.

REPORT OF INDEPENDENT AUDITORS

KPMG LLP Aon Center Suite 5500 200 East Randolph Drive Chicago, IL 60601-6436

Independent Auditors’ Report The Board of Directors of The Northern Trust Company and Participants of the Northern Trust Global Investments Collective Funds Trust: We have audited the accompanying statements of assets and liabilities of Northern Trust (NT) Collective All Country World ex-US Index Fund – Lending, NT Collective EAFE Index Fund – Lending, NT Collective Quant Enhanced EAFE Equity Fund – Lending, NT Collective Quant Enhanced EASEA Equity Fund – Lending, NT Collective Emerging Markets Index Fund – Lending, NT Collective Developed International Small Cap Index Fund – Lending, NT Collective Global Real Estate Index Fund – Lending, NT Collective All Country World ex-US IMI Fund – Non Lending, NT Collective EAFE Index Fund – Non Lending, NT Collective International Equity Fund – Non Lending, NT Collective Emerging Markets Fund – Non Lending, NT Collective Emerging Markets Small Cap Index Fund – Non Lending, NT Collective Developed International Small Cap Index Fund – Non Lending, NT Collective Global Real Estate Index Fund – Non Lending, NT Collective Canada Index Fund – Non Lending, NT Collective Diversified Frontier Markets Fund – Non Lending, NT Collective ACWI ex-US Index Fund – Non Lending, NT Collective World ex-US Investable Market Index Fund – Lending, NT Collective World ex-US Investable Market Index Fund – Non Lending, NT Collective All Country World ex-US Investable Market Index Fund – Lending, NT Collective World ex-US Index Fund – Non Lending, and NT Collective Commodities Fund – Non Lending (the Funds within Northern Trust Global Investments Collective Funds Trust), including the statements of investments, as of July 31, 2012, and the related statements of operations and changes in net assets for the fiscal year or period then ended and financial highlights for each of the fiscal years or periods in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for each of the fiscal years or periods presented in the two-year period ended July 31, 2009 were audited by other auditors, whose report dated November 12, 2009, expressed an unqualified opinion. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, and includes assessing the accounting principles used and significant estimates made by

KPMG LLP is a Delaware limited liability partnership, the U.S. member firm of KPMG International Cooperative (“KPMG International”), a Swiss entity.

management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material aspects, the financial position of each of the Funds within the Northern Trust Global Investments Collective Funds Trust as of July 31, 2012 and the results of their operations, changes in their net assets and financial highlights for each of the fiscal years or periods described in the first paragraph, in conformity with U.S. generally accepted accounting principles.

Chicago, Illinois October 29, 2012

FINANCIAL STATEMENTS, HIGHLIGHTS AND STATEMENTS OF INVESTMENTS

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (including Securities on Loan of $192,400) (Cost $1,828,046) Investments in Northern Trust Funds, at Value (Cost $197,426) Cash Held at Broker (Restricted $104) Foreign Currencies (Cost $8,049) Foreign Currencies Held at Broker (Cost $87) Receivable for Investments Sold Receivable for Variation Margin on Futures Contracts Receivable for Fund Units Sold Unrealized Gain on Forward Foreign Currency Exchange Contracts Reclaims Receivable Accrued Income Receivable Total Assets LIABILITIES Payable Upon Return of Securities Loaned Payable for Fund Units Redeemed Payable for Variation Margin on Futures Contracts Unrealized Loss on Forward Foreign Currency Exchange Contracts Accrued Expenses Total Liabilities

$

$

$

1,598,980 197,426 5,419 8,049 71 22 62 1,136 201 3,129 3,311 1,817,806

$

196,096 95 81 117 68 196,457

$

1,621,349

$

$

49,586 46 24 1,116 50,772 14 578 15 607

$

50,165

Net Realized Gains (Losses) on Securities Transactions

$

(29,720)

Net Realized Gains (Losses) on Futures Contracts

$

(4,257)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(3,015)

$

(35,088) (228,325) (193,237)

NET ASSETS (Equivalent to $10.645 Per Unit, Based on 152,304,967 Units Outstanding)

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $1,179 in Foreign Withholding Tax) Interest Income Income from Investment in Northern Trust Fund Net Income from Securities Loaned Total Investment Income Less: Audit Fee Expense Recovery Other Expenses Total Expenses Net Investment Income (Loss)

$

REALIZED AND UNREALIZED GAINS (LOSSES)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$

Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts and on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year

$

End of Year

925 (168)

Change in Net Unrealized Appreciation (Depreciation)

$

(1,093)

Net Realized and Unrealized Gains (Losses) on Investments, Futures Contracts and Foreign Currency Transactions

$

(231,322)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(181,157)

$ $

557,693 (215,967) 341,726

$

160,569

$

1,621,349

UNIT TRANSACTIONS Admission of 51,674,418 Units Withdrawal of 20,267,970 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Beginning of Year (120,898,519 Units Outstanding)

1,460,780

End of Year (152,304,967 Units Outstanding*) *0.8% owned by NT Collective All Country World Index (ACWI) ex-US Fund - DC - Non Lending *8.3% owned by NT Collective All Country World ex-US Investable Market Index Fund - Lending

See Accompanying Notes to the Financial Statements.

1

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING FINANCIAL HIGHLIGHTS For the Years Ended

July 31, 2012

July 31, 2011

July 31, 2010

July 31, 2009

July 31, 2008

Unit Value, Beginning of Year

$

Net Investment Income (Loss)

12.083

$

10.269

$

9.319

$

11.816

$

13.022

0.358

0.336

0.272

0.277

0.388

Net Realized and Unrealized Gains (Losses)

(1.796)

1.478

0.678

(2.774)

(1.594)

Net Increase (Decrease)

(1.438)

1.814

0.950

(2.497)

(1.206)

Unit Value, End of Year

Total Return

$

(1)

10.645

$

12.083

(11.90)%

$

17.67%

10.269

10.19%

$ (2)

9.319

(21.15)%

$ (3)

11.816

(9.26)%

Supplemental Data and Ratios Net Assets (000's Omitted)

$

1,621,349

$

1,460,780

$

1,219,266

$

1,375,351

$

1,755,239

Ratio to Average Net Assets of: Expenses - net of refund

0.04%

0.05%

N/A

N/A

N/A

Expenses - before refund

0.04%

0.05%

0.05%

0.05%

0.05%

Net Investment Income (Loss) - net of refund

3.48%

2.88%

N/A

N/A

N/A

Net Investment Income (Loss) - before refund

3.48%

2.88%

2.65%

3.47%

3.16%

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of year.

(2)

Without the value of the reverse collateral deficiency declared on November 30, 2009, and March 15, 2010, the total return would have been 10.01%.

(3)

Without the value of the capital contribution from Northern relating to the collateral deficiency declared, the total return would have been (21.17%). N/A - Not applicable.

See Accompanying Notes to the Financial Statements.

2

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3% Australia - 6.2% AGL Energy Ltd. Alumina Ltd.† Amcor Ltd. AMP Ltd. APA Group† Asciano Ltd. ASX Ltd.† Australia & New Zealand Banking Group Ltd. Bendigo and Adelaide Bank Ltd.† BGP Holdings PLC - (Fractional Shares)(1)† BHP Billiton Ltd. Boral Ltd.† Brambles Ltd. Caltex Australia Ltd.† Campbell Brothers Ltd. Centro Retail Australia CFS Retail Property Trust Group Coca-Cola Amatil Ltd. Cochlear Ltd.† Commonwealth Bank of Australia† Computershare Ltd. Crown Ltd. CSL Ltd. Dexus Property Group Echo Entertainment Group Ltd. Fairfax Media Ltd.† Fortescue Metals Group Ltd.† Goodman Group† GPT Group Harvey Norman Holdings Ltd.† Iluka Resources Ltd.† Incitec Pivot Ltd. Insurance Australia Group Ltd. James Hardie Industries S.E. Leighton Holdings Ltd.† Lend Lease Group† Lynas Corp. Ltd.† Macquarie Group Ltd. Metcash Ltd. Mirvac Group National Australia Bank Ltd.† Newcrest Mining Ltd. Orica Ltd. Origin Energy Ltd. OZ Minerals Ltd. Qantas Airways Ltd. QBE Insurance Group Ltd.† QR National Ltd. Ramsay Health Care Ltd. Rio Tinto Ltd.† Santos Ltd.

60,963 269,301 135,847 319,889 71,165 110,781 19,374 298,589 43,713 971,854 360,120 81,832 174,171 15,266 7,544 140,391 219,259 63,257 6,447 176,233 50,679 44,218 57,881 507,028 82,059 264,769 158,058 170,939 159,414 57,479 46,295 184,062 233,752 48,172 16,725 60,321 194,023 37,136 95,631 378,668 249,565 85,394 40,931 121,423 34,738 127,064 129,318 189,546 14,606 48,709 105,781

See Accompanying Notes to the Financial Statements.

3

COST

$

808 733 817 1,825 368 467 653 6,117 432 12,048 416 1,410 213 383 259 395 580 395 8,047 432 431 1,747 484 381 460 759 509 677 197 755 751 870 332 526 598 413 1,627 371 667 6,354 2,590 888 1,482 830 339 2,430 555 238 3,302 1,311

VALUE

$

1,007 193 1,078 1,350 367 506 637 7,397 377 12,101 289 1,142 227 372 303 457 927 447 10,670 409 393 2,601 528 361 146 687 676 576 121 463 602 927 424 301 514 164 976 343 546 6,561 2,112 1,072 1,509 276 153 1,911 638 365 2,727 1,197

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Australia - 6.2% - (Continued) Sonic Healthcare Ltd. SP AusNet Stockland Suncorp Group Ltd. Sydney Airport† TABCORP Holdings Ltd. Tatts Group Ltd. Telstra Corp. Ltd. Toll Holdings Ltd. Transurban Group Wesfarmers Ltd. Westfield Group Westfield Retail Trust Westpac Banking Corp.† Whitehaven Coal Ltd. Woodside Petroleum Ltd. Woolworths Ltd. WorleyParsons Ltd.

42,025 186,435 260,362 144,063 44,755 79,203 147,926 484,890 78,427 147,464 112,551 244,873 321,598 340,621 50,584 72,003 137,248 22,699

COST

$

512 151 1,100 1,443 108 291 429 1,708 530 781 3,002 2,509 886 7,234 283 2,825 3,379 624

VALUE

$

560 207 918 1,287 148 271 452 2,041 332 950 3,860 2,577 1,032 8,316 195 2,557 4,127 623

97,467

100,579

Austria - 0.2% Andritz A.G. Erste Group Bank A.G.† IMMOFINANZ A.G. OMV A.G. Raiffeisen Bank International A.G.† Telekom Austria A.G. Verbund A.G. Vienna Insurance Group A.G. Wiener Versicherung Gruppe Voestalpine A.G.†

8,025 23,733 102,681 16,236 5,518 36,757 7,716 4,372 12,073

403 1,081 384 823 503 698 335 262 630 5,119

440 431 337 511 183 335 148 170 329 2,884

Belgium - 0.7% Ageas Anheuser-Busch InBev N.V. Belgacom S.A.† Colruyt S.A. Delhaize Group S.A.† Groupe Bruxelles Lambert S.A.† KBC Groep N.V. Mobistar S.A. Solvay S.A., Class A Telenet Group Holding N.V. UCB S.A. Umicore S.A.

257,689 89,540 16,954 8,362 11,559 8,937 17,738 3,212 6,562 6,249 12,139 12,607

3,898 4,171 643 370 856 884 1,356 221 790 255 587 556 14,587

515 7,076 489 380 414 586 372 99 684 276 609 560 12,060

50,476 13,533 13,276 63,377 48,487

482 136 279 1,057 522

233 130 188 669 367

Brazil - 1.4% All America Latina Logistica S.A. Amil Participacoes S.A. Anhanguera Educacional Participacoes S.A. Banco do Brasil S.A. Banco Santander Brasil S.A.

See Accompanying Notes to the Financial Statements.

4

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Brazil - 1.4% - (Continued) Banco Santander Brasil S.A. ADR BM&FBovespa S.A. BR Malls Participacoes S.A. BR Properties S.A. Brasil Foods S.A. CCR S.A. Centrais Eletricas Brasileiras S.A. CETIP S.A. - Mercados Organizados Cia de Saneamento Basico do Estado de Sao Paulo Cia de Saneamento de Minas Gerais-COPASA Cia Hering Cia Siderurgica Nacional S.A. Cielo S.A. Cosan S.A. Industria e Comercio CPFL Energia S.A. Cyrela Brazil Realty S.A. Empreendimentos e Participacoes Diagnosticos da America S.A. Duratex S.A. EcoRodovias Infraestrutura e Logistica S.A. Embraer S.A. Energias do Brasil S.A. Fibria Celulose S.A. HRT Participacoes em Petroleo S.A. Hypermarcas S.A. JBS S.A. Light S.A. Localiza Rent a Car S.A. Lojas Renner S.A. MMX Mineracao e Metalicos S.A. MPX Energia S.A. MRV Engenharia e Participacoes S.A. Multiplan Empreendimentos Imobiliarios S.A. Multiplus S.A. Natura Cosmeticos S.A. Obrascon Huarte Lain Brasil S.A. Odontoprev S.A. OGX Petroleo e Gas Participacoes S.A. Oi S.A. PDG Realty S.A. Empreendimentos e Participacoes Petroleo Brasileiro S.A. Porto Seguro S.A. Raia Drogasil S.A. Redecard S.A. Souza Cruz S.A. Sul America S.A. Tim Participacoes S.A. Totvs S.A. Tractebel Energia S.A. Ultrapar Participacoes S.A. Vale S.A.

35,821 199,740 45,348 20,500 73,338 98,044 30,609 22,555 12,756 6,300 15,362 81,506 33,117 13,834 26,600 32,746 26,303 26,651 19,192 63,548 27,067 27,492 29,500 38,061 45,942 6,700 14,509 14,012 20,657 5,600 34,630 8,256 5,300 19,074 13,200 28,647 143,065 26,148 124,112 332,372 12,206 21,934 37,478 42,575 12,062 94,453 12,445 18,792 36,124 145,454

See Accompanying Notes to the Financial Statements.

5

COST

$

469 1,455 394 234 1,047 559 388 334 316 134 292 1,032 675 202 297 392 308 180 152 555 179 517 481 382 162 103 189 371 113 96 246 162 121 332 106 145 1,250 275 598 5,948 88 167 599 325 95 483 225 265 468 3,813 30,195

VALUE

$

273 1,122 530 237 1,046 818 210 284 537 154 305 420 967 210 308 239 148 155 154 405 179 209 72 244 121 83 234 416 58 91 190 207 128 498 114 138 398 149 210 3,253 105 246 604 602 73 393 229 337 846 2,636 23,172

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Canada - 7.9% Agnico-Eagle Mines Ltd. Agrium, Inc. Alimentation Couche Tard, Inc., Class B ARC Resources Ltd.† Athabasca Oil Corp. Bank of Montreal Bank of Nova Scotia Barrick Gold Corp. Baytex Energy Corp. BCE, Inc. Bell Aliant, Inc.† Bombardier, Inc., Class B Bonavista Energy Corp.† Brookfield Asset Management, Inc., Class A CAE, Inc.† Cameco Corp. Canadian Imperial Bank of Commerce Canadian National Railway Co. Canadian Natural Resources Ltd. Canadian Oil Sands Ltd. Canadian Pacific Railway Ltd. Canadian Tire Corp. Ltd., Class A Canadian Utilities Ltd., Class A Cenovus Energy, Inc. Centerra Gold, Inc. CGI Group, Inc., Class A CI Financial Corp. Crescent Point Energy Corp. Eldorado Gold Corp. Empire Co. Ltd., Class A Enbridge, Inc.† Encana Corp. Enerplus Corp.† Fairfax Financial Holdings Ltd. Finning International, Inc. First Quantum Minerals Ltd. Fortis, Inc. Franco-Nevada Corp. George Weston Ltd. Gildan Activewear, Inc. Goldcorp, Inc. Great-West Lifeco, Inc. H&R Real Estate Investment Trust Husky Energy, Inc. IAMGOLD Corp. IGM Financial, Inc. Imperial Oil Ltd. Industrial Alliance Insurance & Financial Services, Inc. Inmet Mining Corp. Intact Financial Corp. Ivanhoe Mines Ltd.†

18,963 17,684 13,171 32,432 35,302 71,132 122,640 111,712 13,085 28,268 8,303 159,611 16,128 62,659 28,556 44,308 44,770 49,396 122,481 54,335 19,055 8,865 6,444 84,189 18,406 24,965 17,150 32,587 75,748 3,400 82,929 82,136 21,665 2,258 18,812 53,500 20,875 15,338 5,959 12,752 90,440 31,525 9,400 37,924 42,485 11,355 33,186 10,136 5,772 14,565 44,510

See Accompanying Notes to the Financial Statements.

6

COST

$

944 1,187 279 819 518 4,019 6,013 4,489 608 1,006 244 827 416 1,872 311 1,377 3,311 2,928 4,313 1,605 1,222 558 305 2,559 352 352 294 1,265 857 155 2,060 2,394 731 740 444 982 598 506 399 366 3,400 884 214 1,165 557 515 1,485 266 273 622 573

VALUE

$

833 1,683 624 810 433 4,076 6,405 3,679 543 1,204 207 575 293 2,127 288 928 3,276 4,360 3,342 1,094 1,550 586 450 2,574 132 589 382 1,296 820 194 3,395 1,831 305 850 432 972 699 749 352 360 3,266 682 234 943 475 445 1,422 226 230 937 375

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Canada - 7.9% - (Continued) Kinross Gold Corp. Loblaw Cos. Ltd.† Magna International, Inc. Manulife Financial Corp.† MEG Energy Corp. Metro, Inc.† National Bank of Canada New Gold, Inc. Nexen, Inc. Onex Corp. Open Text Corp. Osisko Mining Corp. Pan American Silver Corp. Pembina Pipeline Corp.† Pengrowth Energy Corp. Penn West Petroleum Ltd. Potash Corp. of Saskatchewan, Inc. Power Corp. of Canada Power Financial Corp. Precision Drilling Corp. Progress Energy Resources Corp. Research In Motion Ltd.† RioCan Real Estate Investment Trust Ritchie Bros. Auctioneers, Inc. Rogers Communications, Inc., Class B Royal Bank of Canada Saputo, Inc.† Shaw Communications, Inc., Class B† Shoppers Drug Mart Corp. Silver Wheaton Corp.† SNC-Lavalin Group, Inc. Sun Life Financial, Inc. Suncor Energy, Inc. Talisman Energy, Inc. Teck Resources Ltd., Class B TELUS Corp. TELUS Corp. (Non Voting)† Tim Hortons, Inc. TMX Group, Inc. Toronto-Dominion Bank (The) Tourmaline Oil Corp.† TransAlta Corp. TransCanada Corp. Valeant Pharmaceuticals International, Inc. Vermilion Energy, Inc.† Viterra, Inc.† Yamana Gold, Inc.

127,586 12,841 24,928 201,201 14,031 11,456 17,765 50,975 58,574 10,317 6,482 42,659 17,064 32,081 55,968 52,308 95,874 39,249 28,011 26,058 20,651 52,356 15,054 9,984 43,969 160,590 14,306 42,413 23,896 39,710 16,741 65,669 175,771 115,328 64,482 5,066 17,924 17,471 8,256 100,858 14,095 26,026 78,600 32,596 10,181 34,931 83,394

Chile - 0.4% AES Gener S.A. Aguas Andinas S.A., Class A

286,120 253,166

See Accompanying Notes to the Financial Statements.

7

COST

$

1,839 498 950 4,985 650 428 1,064 644 1,464 321 283 584 414 934 593 1,305 3,783 1,183 890 339 214 3,196 307 222 1,675 8,153 412 868 1,019 886 762 2,305 6,541 1,867 2,610 239 871 609 329 7,225 416 641 2,902 988 370 334 1,085 134,376 139 146

VALUE

$

1,067 417 1,000 2,162 571 636 1,324 519 1,489 393 293 365 256 858 357 714 4,247 902 691 207 469 375 430 211 1,724 8,232 610 828 986 1,095 661 1,427 5,377 1,427 1,810 316 1,100 930 408 7,941 409 406 3,581 1,555 475 560 1,237 127,581 156 168

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Chile - 0.4% - (Continued) Banco de Chile Banco de Credito e Inversiones Banco Santander Chile Banco Santander Chile ADR CAP S.A. Cencosud S.A. Cia Cervecerias Unidas S.A. Cia Cervecerias Unidas S.A. ADR† Colbun S.A. Corpbanca E.CL S.A. Empresa Nacional de Electricidad S.A. Empresa Nacional de Electricidad S.A. ADR† Empresas CMPC S.A. Empresas COPEC S.A. Enersis S.A. Enersis S.A. ADR† ENTEL Chile S.A. Latam Airlines Group S.A. Latam Airlines Group S.A. ADR† Latam Airlines Group S.A. BDR S.A.C.I. Falabella Vina Concha y Toro S.A. China - 3.1% Agile Property Holdings Ltd.† Agricultural Bank of China Ltd., Class H† Air China Ltd., Class H Airtac International Group Aluminum Corp. of China Ltd., Class H† Angang Steel Co. Ltd., Class H† Anhui Conch Cement Co. Ltd., Class H† Anta Sports Products Ltd.† Bank of China Ltd., Class H† Bank of Communications Co. Ltd., Class H† BBMG Corp., Class H Beijing Capital International Airport Co. Ltd., Class H† Byd Co. Ltd., Class H China BlueChemical Ltd., Class H China Citic Bank Corp. Ltd., Class H† China Coal Energy Co. Ltd., Class H China Communications Construction Co. Ltd., Class H† China Communications Services Corp. Ltd., Class H China Construction Bank Corp., Class H† China COSCO Holdings Co. Ltd., Class H† China International Marine Containers Group Co. Ltd., Class B China Life Insurance Co. Ltd., Class H† China Longyuan Power Group Corp., Class H China Merchants Bank Co. Ltd., Class H† China Minsheng Banking Corp. Ltd., Class H† China National Building Material Co. Ltd., Class H†

1,987,316 3,505 6,359,139 900 8,270 110,998 10,134 500 920,697 11,219,117 56,431 314,297 2,000 125,372 50,584 1,241,649 4,300 13,008 18,483 3,100 7,591 53,187 45,700

148,599 2,378,904 204,806 9,000 437,128 154,606 138,166 92,892 8,388,283 806,904 118,210 214,528 54,943 200,191 824,104 453,355 505,736 262,028 8,045,650 289,379 80,537 831,202 241,081 432,445 574,787 315,554

See Accompanying Notes to the Financial Statements.

8

COST

$

271 132 393 41 235 502 90 15 208 175 166 473 67 476 728 437 63 210 387 48 162 408 82

VALUE

$

284 225 462 68 298 635 134 33 256 140 128 525 100 472 735 414 71 256 457 76 185 519 90

6,054

6,887

211 1,096 177 50 579 253 345 132 3,512 723 129 231 166 127 510 836 763 180 5,807 475 100 3,108 246 1,087 544 429

177 970 145 46 180 80 364 52 3,213 536 74 147 94 132 417 418 446 135 5,437 120 97 2,299 155 799 534 309

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) China - 3.1% - (Continued) China Oilfield Services Ltd., Class H China Pacific Insurance Group Co. Ltd., Class H China Petroleum & Chemical Corp., Class H† China Railway Construction Corp. Ltd., Class H† China Railway Group Ltd., Class H† China Rongsheng Heavy Industries Group Holdings Ltd.† China Shanshui Cement Group Ltd. China Shenhua Energy Co. Ltd., Class H China Shipping Container Lines Co. Ltd., Class H† China Shipping Development Co. Ltd., Class H China Southern Airlines Co. Ltd., Class H China Telecom Corp. Ltd., Class H China Vanke Co. Ltd., Class B China Yurun Food Group Ltd.† China ZhengTong Auto Services Holdings Ltd. China Zhongwang Holdings Ltd. Chongqing Rural Commercial Bank, Class H† CITIC Securities Co. Ltd. CNOOC Ltd.† Country Garden Holdings Co. CSG Holding Co. Ltd., Class B CSR Corp. Ltd., Class H† Daphne International Holdings Ltd.† Datang International Power Generation Co. Ltd., Class H Dongfang Electric Corp. Ltd., Class H† Dongfeng Motor Group Co. Ltd., Class H† Dongyue Group† ENN Energy Holdings Ltd. Evergrande Real Estate Group Ltd.† Fosun International Ltd. Golden Eagle Retail Group Ltd.† Great Wall Motor Co. Ltd. Class H† Guangzhou Automobile Group Co. Ltd., Class H† Guangzhou R&F Properties Co. Ltd., Class H† Hengan International Group Co. Ltd.† Huaneng Power International, Inc., Class H† Industrial & Commercial Bank of China, Class H† Inner Mongolia Yitai Coal Co., Class B Intime Department Store Group Co. Ltd. Jiangsu Expressway Co. Ltd., Class H† Jiangxi Cooper Co. Ltd., Class H† Lenovo Group Ltd.† Longfor Properties Co. Ltd.† Lonking Holdings Ltd.† Metallurgical Corp. of China Ltd., Class H Parkson Retail Group Ltd.† PetroChina Co. Ltd., Class H PICC Property & Casualty Co. Ltd., Class H Ping An Insurance Group Co., Class H Sany Heavy Equipment International Holdings Co. Ltd.† Shandong Weigao Group Medical Polymer Co. Ltd., Class H†

171,768 195,746 1,875,872 219,782 442,522 347,500 202,707 380,423 416,086 136,776 196,933 1,538,173 148,390 155,399 93,500 172,574 264,011 65,000 1,992,849 507,047 81,600 215,627 96,000 355,291 35,816 307,719 117,629 82,778 573,444 170,766 76,214 114,347 245,276 102,309 82,832 357,996 7,259,530 66,074 113,911 128,776 158,646 688,430 143,678 204,016 405,755 159,998 2,356,014 294,912 192,463 99,325 179,774

See Accompanying Notes to the Financial Statements.

9

COST

$

322 759 1,861 269 390 92 163 1,619 171 256 130 862 200 302 93 142 176 133 3,179 470 101 148 114 195 125 361 93 226 290 139 170 171 283 240 565 312 4,909 328 186 113 357 438 164 121 200 252 3,192 338 1,568 112 136

VALUE

$

265 622 1,703 192 194 48 115 1,428 102 56 98 801 191 93 45 63 103 114 4,040 192 51 159 96 126 52 429 62 318 268 82 138 258 184 131 786 261 4,166 352 107 120 350 478 212 38 85 144 2,954 331 1,510 50 201

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) China - 3.1% - (Continued) Shanghai Electric Group Co. Ltd., Class H† Shanghai Pharmaceuticals Holding Co. Ltd., Class H Shui On Land Ltd.† Sihuan Pharmaceutical Holdings Group Ltd.† Sino-Ocean Land Holdings Ltd.† Sinopec Shanghai Petrochemical Co. Ltd., Class H† Sinopharm Group Co. Ltd., Class H† Soho China Ltd.† Sun Art Retail Group Ltd.† Tencent Holdings Ltd. Tingyi Cayman Islands Holding Corp.† Tsingtao Brewery Co. Ltd., Class H† Uni-President China Holdings Ltd. Want Want China Holdings Ltd.† Weichai Power Co. Ltd., Class H† Wumart Stores, Inc., Class H† Yangzijiang Shipbuilding Holdings Ltd.† Yanzhou Coal Mining Co. Ltd., Class H† Zhaojin Mining Industry Co. Ltd., Class H Zhejiang Expressway Co. Ltd., Class H Zhongsheng Group Holdings Ltd.† Zhuzhou CSR Times Electric Co. Ltd., Class H Zijin Mining Group Co. Ltd., Class H† Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H† ZTE Corp., Class H†

323,899 52,400 283,880 192,460 326,403 269,824 87,178 235,263 210,500 112,914 217,614 32,866 119,000 669,291 44,980 57,170 213,921 215,297 93,096 151,198 61,000 52,143 665,451

COST

$

183 93 194 109 238 131 331 151 287 1,727 440 100 105 496 152 115 208 398 173 148 110 166 348

VALUE

$

122 74 117 73 160 72 256 175 249 3,376 540 193 113 813 137 112 171 320 117 110 65 124 214

150,158 70,016

248 187 56,190

168 93 50,304

22,251 25,361 5,476 90,092 44,824 8,021 550,628 25,882 42,937 32,033 32,303

240 298 191 125 121 148 1,061 350 241 202 715 3,692

381 385 339 125 177 148 1,584 444 273 308 731 4,895

Czech Republic - 0.1% CEZ A.S. Komercni Banka A.S. Telefonica Czech Republic A.S.

18,417 1,653 12,519

964 336 298 1,598

620 281 236 1,137

Denmark - 0.8% A.P. Moller - Maersk A/S, Class A A.P. Moller - Maersk A/S, Class B Carlsberg A/S, Class B Coloplast A/S, Class B

62 147 11,827 2,489

590 1,334 1,003 265

409 1,021 960 472

Colombia - 0.3% Almacenes Exito S.A. Bancolombia S.A. Bancolombia S.A. ADR† Bolsa de Valores de Colombia Cementos Argos S.A. Corp. Financiera Colombiana S.A. Ecopetrol S.A. Grupo de Inversiones Suramericana S.A. Interconexion Electrica S.A. ESP Inversiones Argos S.A. Pacific Rubiales Energy Corp.†

See Accompanying Notes to the Financial Statements.

10

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Denmark - 0.8% - (Continued) Danske Bank A/S DSV A/S† Novo-Nordisk A/S, Class B Novozymes A/S, Class B TDC A/S† Tryg A/S† William Demant Holding A/S†

72,069 21,220 45,374 26,975 53,965 2,761 2,902

COST

$

1,824 438 3,542 619 453 196 242

VALUE

$

1,073 456 7,018 667 367 157 274

10,506

12,874

63,144 37,150 72,260 11,494 10,421 298,531 100,382 40,219

276 188 123 83 638 312 138 110 1,868

285 66 87 58 449 159 66 83 1,253

Finland - 0.5% Elisa OYJ† Fortum OYJ Kesko OYJ, Class B† Kone OYJ, Class B† Metso OYJ Neste Oil OYJ† Nokia OYJ† Nokian Renkaat OYJ† Orion OYJ, Class B† Pohjola Bank PLC, Class A† Sampo OYJ, Class A Stora Enso OYJ, Class R† UPM-Kymmene OYJ Wartsila OYJ Abp†

16,271 49,907 7,176 17,446 14,433 15,073 421,143 12,650 10,689 15,650 47,110 63,319 59,463 18,984

358 1,454 331 724 684 371 7,765 442 227 195 1,254 728 1,057 609 16,199

339 837 186 1,085 528 160 1,011 506 214 182 1,253 363 639 571 7,874

France - 5.8% Accor S.A.† Aeroports de Paris† Air Liquide S.A. Alcatel-Lucent† Alstom S.A.† Arkema S.A. AtoS† AXA S.A. BNP Paribas S.A. Bouygues S.A.† Bureau Veritas S.A. Cap Gemini S.A. Carrefour S.A.† Casino Guichard Perrachon S.A.† Christian Dior S.A.

16,383 3,278 34,870 262,452 23,261 6,842 6,077 197,502 107,849 21,025 5,995 16,419 67,391 6,285 6,035

689 324 3,565 1,611 1,570 667 330 5,102 8,069 1,154 379 838 3,269 597 722

546 255 3,907 291 775 504 343 2,420 4,007 531 531 602 1,210 528 836

Egypt - 0.1% Commercial International Bank Egypt S.A.E. Egyptian Financial Group-Hermes Holding S.A.E. Egyptian Kuwaiti Holding Co. S.A.E. National Societe Generale Bank S.A.E. Orascom Construction Industries Orascom Telecom Holding S.A.E. Talaat Moustafa Group Telecom Egypt Co.

See Accompanying Notes to the Financial Statements.

11

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) France - 5.8% - (Continued) Cie de St-Gobain Cie Generale de Geophysique-Veritas Cie Generale des Etablissements Michelin† Cie Generale d’Optique Essilor International S.A. CNP Assurances† Credit Agricole S.A.† Danone S.A. Dassault Systemes S.A.† Edenred Electricite de France S.A. Eurazeo† Eutelsat Communications S.A. Fonciere Des Regions† France Telecom S.A. GDF Suez Gecina S.A. Groupe Eurotunnel S.A. (Registered) ICADE Iliad S.A.† Imerys S.A. JCDecaux S.A.† Klepierre Lafarge S.A.† Lagardere S.C.A. Legrand S.A.† L’Oreal S.A. LVMH Moet Hennessy Louis Vuitton S.A. Natixis† Pernod-Ricard S.A.† Peugeot S.A.† PPR Publicis Groupe S.A.† Remy Cointreau S.A.† Renault S.A. Rexel S.A. Safran S.A. Sanofi Schneider Electric S.A. SCOR S.E. SES S.A. Societe BIC S.A.† Societe Generale S.A. Sodexo Suez Environnement Co.† Technip S.A. Thales S.A.† Total S.A. Unibail-Rodamco S.E. Vallourec S.A.† Veolia Environnement S.A.† Vinci S.A.

44,834 15,087 20,620 22,651 18,318 111,238 64,531 6,948 18,748 26,996 3,312 15,025 2,746 206,619 138,627 2,466 63,779 2,630 2,520 3,657 7,573 10,465 20,954 13,516 26,763 26,832 28,259 101,683 23,581 25,483 8,546 16,510 2,479 21,670 11,927 25,750 134,732 58,350 18,628 31,947 3,162 77,950 10,427 32,137 10,964 10,088 237,020 10,238 11,417 38,501 50,761

See Accompanying Notes to the Financial Statements.

12

COST

$

2,647 641 1,670 1,447 408 2,104 4,100 481 457 1,897 245 485 213 4,999 5,608 296 591 267 272 244 224 396 1,704 756 888 2,962 3,562 549 2,125 924 1,273 746 246 1,790 212 702 10,098 3,366 459 780 245 5,413 692 609 927 456 15,097 1,832 1,178 1,535 2,863

VALUE

$

1,356 435 1,407 1,976 193 478 3,932 688 496 561 132 455 199 2,771 3,105 227 455 202 348 185 153 342 966 366 861 3,226 4,265 255 2,541 199 1,284 815 293 950 200 875 11,029 3,308 443 770 321 1,729 789 354 1,157 317 10,977 1,972 475 435 2,160

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) France - 5.8% - (Continued) Vivendi S.A.† Wendel S.A.† Zodiac Aerospace†

143,787 3,656 3,777

Germany - 5.1% Adidas A.G. Allianz S.E. (Registered) Axel Springer A.G.† BASF S.E. Bayer A.G. (Registered) Bayerische Motoren Werke A.G. Beiersdorf A.G. Brenntag A.G.† Celesio A.G.† Commerzbank A.G.† Continental A.G. Daimler A.G. (Registered) Deutsche Bank A.G. (Registered) Deutsche Boerse A.G. Deutsche Lufthansa A.G. (Registered) Deutsche Post A.G. (Registered) Deutsche Telekom A.G.† E.ON A.G. Fraport A.G. Frankfurt Airport Services Worldwide† Fresenius Medical Care A.G. & Co. KGaA Fresenius S.E. & Co. KGaA GEA Group A.G. Hannover Rueckversicherung A.G. (Registered) HeidelbergCement A.G. Henkel A.G. & Co. KGaA Hochtief A.G.† Hugo Boss A.G. Infineon Technologies A.G.† K+S A.G. (Registered) Kabel Deutschland Holding A.G. Lanxess A.G. Linde A.G. MAN S.E.† Merck KGaA Metro A.G. Muenchener Rueckversicherungs A.G. (Registered) RWE A.G. Salzgitter A.G.† SAP A.G. Siemens A.G. (Registered) Suedzucker A.G. ThyssenKrupp A.G.† United Internet A.G. (Registered)† Volkswagen A.G.†

23,117 50,803 4,473 102,507 92,299 37,087 11,117 5,132 9,135 402,201 9,010 101,341 103,642 21,826 25,794 94,700 312,033 200,900 4,117 23,460 13,858 19,459 6,573 15,853 14,360 3,415 2,706 122,334 19,036 10,011 9,199 20,633 4,689 7,150 14,493 19,996 54,751 4,391 103,087 91,732 7,383 43,586 10,672 3,287

See Accompanying Notes to the Financial Statements.

13

COST

$

4,143 406 383 127,499 1,425 7,770 205 6,641 6,498 2,310 682 522 411 2,951 669 6,526 7,028 2,031 546 2,105 4,711 8,321 253 1,344 1,218 619 346 967 669 289 262 822 1,149 532 646 2,662 558 797 893 3,108 4,199 561 5,462 9,919 161 1,716 204 634

VALUE

$

2,738 262 370 94,084 1,740 5,074 200 7,509 7,037 2,776 738 564 167 628 819 5,081 3,175 1,088 326 1,707 3,527 4,293 234 1,706 1,481 526 395 739 851 163 273 893 943 629 640 3,076 441 721 400 2,847 2,158 160 6,584 7,806 255 804 189 525

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Germany - 5.1% - (Continued) Wacker Chemie A.G.† Greece - 0.0% Coca Cola Hellenic Bottling Co. S.A. OPAP S.A. Hong Kong - 3.2% AIA Group Ltd. ASM Pacific Technology Ltd.† AviChina Industry & Technology Co. Ltd., Class H† Bank of East Asia Ltd.† Beijing Enterprises Holdings Ltd. Belle International Holdings Ltd.† BOC Hong Kong Holdings Ltd. Bosideng International Holdings Ltd. Brilliance China Automotive Holdings Ltd.† Cathay Pacific Airways Ltd.† Cheung Kong Holdings Ltd. Cheung Kong Infrastructure Holdings Ltd. China Agri-Industries Holdings Ltd.† China Everbright Ltd.† China Gas Holdings Ltd.† China Mengniu Dairy Co. Ltd. China Merchants Holdings International Co. Ltd.† China Mobile Ltd.† China Overseas Land & Investment Ltd.† China Resources Cement Holdings Ltd.† China Resources Enterprise Ltd.† China Resources Gas Group Ltd.† China Resources Land Ltd.† China Resources Power Holdings Co. Ltd. China State Construction International Holdings Ltd. China Taiping Insurance Holdings Co Ltd† China Unicom Hong Kong Ltd.† Citic Pacific Ltd.† CLP Holdings Ltd. COSCO Pacific Ltd. Dah Chong Hong Holdings Ltd.† Far East Horizon Ltd. First Pacific Co. Ltd. Foxconn International Holdings Ltd.† Franshion Properties China Ltd.† Galaxy Entertainment Group Ltd.† GCL-Poly Energy Holdings Ltd.† Geely Automobile Holdings Ltd.† GOME Electrical Appliances Holdings Ltd. Guangdong Investment Ltd. Haier Electronics Group Co. Ltd.† Hang Lung Group Ltd.† Hang Lung Properties Ltd.

1,677

COST

$

324

VALUE

$

109

101,666

81,997

22,371 23,881

570 666 1,236

393 144 537

1,142,171 21,827 223,265 149,025 55,990 522,033 408,570 314,910 279,339 129,326 154,542 52,818 172,168 91,905 347,673 135,533 127,791 672,949 457,363 219,066 137,530 78,000 231,067 218,069 164,170 94,670 520,868 142,026 199,496 185,569 87,000 146,000 235,577 251,310 351,688 161,141 856,930 399,916 1,128,719 277,933 96,000 97,023 247,736

3,667 205 136 646 295 684 1,051 130 266 291 2,105 224 135 200 172 423 532 7,643 865 175 489 114 424 482 167 237 917 492 1,531 334 113 121 255 438 109 367 275 181 388 161 92 543 931

4,014 281 67 520 365 967 1,257 82 227 214 2,035 321 86 124 184 404 398 7,894 1,082 116 381 151 469 460 171 133 768 206 1,724 257 75 101 264 75 109 389 127 133 93 201 111 629 882

See Accompanying Notes to the Financial Statements.

14

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Hong Kong - 3.2% - (Continued) Hang Seng Bank Ltd.† Henderson Land Development Co. Ltd.† Hengdeli Holdings Ltd.† Hong Kong & China Gas Co. Ltd. Hong Kong Exchanges and Clearing Ltd.† Hopewell Holdings Ltd.† Huabao International Holdings Ltd.† Hutchison Whampoa Ltd. Hysan Development Co. Ltd. Kerry Properties Ltd. Kingboard Chemical Holdings Ltd. Kunlun Energy Co. Ltd.† Lee & Man Paper Manufacturing Ltd.† Li & Fung Ltd.† Lifestyle International Holdings Ltd. Link REIT (The) MGM China Holdings Ltd.† Minmetals Resources Ltd. MTR Corp. Ltd. New World Development Ltd. Nine Dragons Paper Holdings Ltd. Noble Group Ltd. NWS Holdings Ltd. Orient Overseas International Ltd. PCCW Ltd. Poly Hong Kong Investments Ltd.† Power Assets Holdings Ltd. Sands China Ltd.† Shanghai Industrial Holdings Ltd. Shangri-La Asia Ltd. Shimao Property Holdings Ltd.† Shougang Fushan Resources Group Ltd. Sino Land Co. Ltd. Sino-Forest Corp.(2)† SJM Holdings Ltd. Sun Hung Kai Properties Ltd. Swire Pacific Ltd., Class A Wharf Holdings Ltd. Wheelock & Co. Ltd. Wing Hang Bank Ltd. Wynn Macau Ltd.† Yingde Gases† Yue Yuen Industrial Holdings Ltd.† Yuexiu Property Co. Ltd. Hungary - 0.1% Magyar Telekom Telecommunications PLC MOL Hungarian Oil and Gas PLC OTP Bank PLC

84,443 106,124 232,192 576,846 114,474 63,374 227,756 236,063 69,132 78,498 68,495 355,947 207,583 636,438 55,176 249,716 105,119 167,123 159,849 405,228 173,876 420,890 150,118 25,155 444,698 210,868 153,291 266,909 60,132 172,150 153,419 314,046 325,965 21,603 213,629 175,407 75,220 167,734 100,392 20,213 173,250 95,500 81,986 580,741

50,696 4,609 24,740

See Accompanying Notes to the Financial Statements.

15

COST

$

1,278 715 140 1,052 2,013 227 184 2,188 210 418 310 445 128 1,367 129 689 174 118 510 647 258 497 270 187 133 189 904 535 231 401 295 191 607 417 363 2,417 789 819 320 221 332 99 256 140 52,819 217 541 918

VALUE

$

1,175 619 65 1,336 1,538 185 102 2,128 292 361 142 577 85 1,257 127 1,095 146 63 559 519 82 364 230 143 175 111 1,206 790 165 340 220 85 558 382 2,193 903 973 394 186 370 82 248 132 51,250 94 335 383

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Hungary - 0.1% - (Continued) Richter Gedeon Nyrt. India - 1.5% ACC Ltd. Adani Enterprises Ltd. Adani Ports and Special Economic Zone Aditya Birla Nuvo Ltd. Ambuja Cements Ltd. Asian Paints Ltd. Axis Bank Ltd. Bajaj Auto Ltd. Bank of Baroda Bank of India Bharat Heavy Electricals Ltd. Bharat Petroleum Corp. Ltd. Bharti Airtel Ltd. Cairn India Ltd. Canara Bank Cipla Ltd. Coal India Ltd. Dabur India Ltd. DLF Ltd. Dr. Reddy’s Laboratories Ltd. Dr. Reddy’s Laboratories Ltd. ADR† GAIL India Ltd. GMR Infrastructure Ltd. Godrej Consumer Products Ltd. HCL Technologies Ltd. HDFC Bank Ltd. HDFC Bank Ltd. ADR† Hero Motocorp Ltd. Hindalco Industries Ltd. Hindustan Unilever Ltd. Housing Development Finance Corp. ICICI Bank Ltd. ICICI Bank Ltd. ADR† Idea Cellular Ltd. Infosys Ltd. Infosys Ltd. ADR† Infrastructure Development Finance Co. Ltd. ITC Ltd. Jaiprakash Associates Ltd. Jindal Steel & Power Ltd. JSW Steel Ltd. Kotak Mahindra Bank Ltd. Larsen & Toubro Ltd. LIC Housing Finance Ltd. Lupin Ltd. Mahindra & Mahindra Ltd. Maruti Suzuki India Ltd. NTPC Ltd.

1,562

5,550 23,544 42,976 3,765 68,444 3,219 25,335 9,720 8,790 13,091 64,947 18,530 65,874 25,500 9,181 38,479 55,508 49,570 46,444 3,217 7,932 41,986 105,527 13,226 8,838 60,205 36,535 4,548 114,910 98,103 120,622 22,560 12,345 81,447 11,806 36,311 113,760 241,860 102,385 41,322 8,601 31,297 23,436 32,747 16,762 34,303 3,912 71,053

See Accompanying Notes to the Financial Statements.

16

COST

$

293

VALUE

$

266

1,969

1,078

124 300 136 88 206 216 530 169 109 115 535 97 475 152 134 225 397 120 497 105 125 331 205 135 68 596 613 136 396 596 1,474 427 517 148 615 1,557 371 694 282 335 196 289 734 151 178 385 90 287

132 77 93 53 222 211 476 280 104 70 252 121 355 153 61 234 359 106 175 93 230 267 44 149 82 636 1,239 164 248 824 1,499 390 427 117 473 1,437 275 1,123 135 296 103 302 577 154 181 432 80 201

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) India - 1.5% - (Continued) Oil & Natural Gas Corp. Ltd. Piramal Healthcare Ltd. Power Finance Corp. Ltd. Power Grid Corp. of India Ltd. Ranbaxy Laboratories Ltd. Reliance Capital Ltd. Reliance Communications Ltd. Reliance Industries Ltd. Reliance Industries Ltd. GDR† Reliance Infrastructure Ltd. Reliance Power Ltd. Rural Electrification Corp. Ltd. Satyam Computer Services Ltd. Sesa Goa Ltd. Shriram Transport Finance Co. Ltd. Siemens Ltd. State Bank of India Sterlite Industries India Ltd. Sun Pharmaceutical Industries Ltd. Tata Consultancy Services Ltd. Tata Motors Ltd. Tata Motors Ltd. ADR† Tata Power Co. Ltd. Tata Steel Ltd. Titan Industries Ltd. Ultratech Cement Ltd. Unitech Ltd. United Phosphorus Ltd. United Spirits Ltd. Wipro Ltd. Wipro Ltd. ADR† Zee Entertainment Enterprises Ltd. Indonesia - 0.7% Adaro Energy Tbk PT Astra Agro Lestari Tbk PT Astra International Tbk PT Bank Central Asia Tbk PT Bank Danamon Indonesia Tbk PT Bank Mandiri Tbk PT Bank Negara Indonesia Persero Tbk PT Bank Rakyat Indonesia Persero Tbk PT Bumi Resources Tbk PT Charoen Pokphand Indonesia Tbk PT Gudang Garam Tbk PT Indo Tambangraya Megah Tbk PT Indocement Tunggal Prakarsa Tbk PT Indofood Sukses Makmur Tbk PT Indosat Tbk PT Jasa Marga Persero Tbk PT Kalbe Farma Tbk PT

87,268 7,267 28,227 122,980 13,593 10,440 55,650 54,107 46,120 11,470 68,424 31,707 72,610 41,594 13,333 7,317 14,877 148,732 33,909 52,608 94,445 14,605 110,386 33,965 22,797 8,131 140,710 24,124 9,948 35,041 21,170 52,934

1,586,919 41,500 2,237,180 1,350,020 364,868 1,021,222 819,737 1,216,362 1,611,643 822,725 53,049 44,693 162,000 487,067 144,548 227,500 510,283

See Accompanying Notes to the Financial Statements.

17

COST

$

491 78 89 264 144 267 605 977 2,182 246 327 178 129 163 188 109 604 633 225 862 411 230 257 464 108 201 206 83 276 322 175 170

VALUE

$

449 68 88 263 122 63 56 724 1,219 102 112 108 107 142 139 90 536 286 399 1,176 384 295 195 253 91 240 55 52 145 214 165 160

28,325

24,210

368 90 1,043 718 190 584 294 594 579 187 230 164 197 153 101 133 199

245 101 1,655 1,141 233 895 344 900 177 278 316 168 368 278 74 137 206

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Indonesia - 0.7% - (Continued) Perusahaan Gas Negara Persero Tbk PT Semen Gresik Persero Tbk PT Tambang Batubara Bukit Asam Persero Tbk PT Telekomunikasi Indonesia Tbk PT Unilever Indonesia Tbk PT United Tractors Tbk PT Vale Indonesia Tbk PT XL Axiata Tbk PT Ireland - 0.5% CRH PLC CRH PLC (Dublin Exchange) Elan Corp. PLC† Experian PLC Irish Bank Resolution Corp. Ltd.(2) Irish Bank Resolution Corp. Ltd.(2)† Kerry Group PLC, Class A Ryanair Holdings PLC Ryanair Holdings PLC ADR† Shire PLC WPP PLC Israel - 0.4% Bank Hapoalim BM Bank Leumi Le-Israel BM Bezeq The Israeli Telecommunication Corp. Ltd. Delek Group Ltd. Elbit Systems Ltd. Israel (The) Corp. Ltd. Israel Chemicals Ltd.† Mizrahi Tefahot Bank Ltd. NICE Systems Ltd. Teva Pharmaceutical Industries Ltd. Italy - 1.4% Assicurazioni Generali S.p.A.† Atlantia S.p.A. Autogrill S.p.A. Banca Monte dei Paschi di Siena S.p.A.† Banco Popolare SC Enel Green Power S.p.A. Enel S.p.A. Eni S.p.A. Exor S.p.A. Fiat Industrial S.p.A.† Fiat S.p.A.† Finmeccanica S.p.A.† Intesa Sanpaolo S.p.A. Intesa Sanpaolo S.p.A. (RSP) Luxottica Group S.p.A.

1,201,735 324,000 91,000 1,114,714 167,795 185,985 265,500 181,772

COST

$

345 281 158 1,038 194 330 132 125

VALUE

$

482 443 153 1,072 430 413 68 118

8,427

10,695

68 2,071 901 1,222 1,135 47 541 22 14 1,472 1,648

47 1,425 659 1,652 765 22 14 1,819 1,787

9,141

8,190

117,668 139,131 211,128 487 2,521 247 50,168 14,115 7,075 105,137

519 538 394 93 117 190 569 113 246 4,898 7,677

340 313 213 65 81 141 594 106 252 4,350 6,455

130,704 37,393 12,295 709,888 194,174 202,740 736,079 268,735 7,632 96,159 99,685 45,971 1,126,980 107,212 12,793

3,724 825 183 777 1,102 433 4,577 7,494 213 1,037 744 753 4,634 464 382

1,647 493 100 158 227 291 2,108 5,573 169 947 491 169 1,434 108 442

2,584 77,397 55,943 111,129 76,104 5,437 16,806 4,556 488 62,808 141,112

See Accompanying Notes to the Financial Statements.

18

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Italy - 1.4% - (Continued) Mediaset S.p.A.† Mediobanca S.p.A. Pirelli & C. S.p.A.† Prysmian S.p.A. Saipem S.p.A. Snam S.p.A. Telecom Italia S.p.A. Telecom Italia S.p.A. (RSP) Tenaris S.A.† Terna Rete Elettrica Nazionale S.p.A. UniCredit S.p.A. Unione di Banche Italiane SCPA† Japan - 14.1% ABC-Mart, Inc. Advantest Corp.† Aeon Co. Ltd.† Aeon Credit Service Co. Ltd.† Aeon Mall Co. Ltd.† Air Water, Inc. Aisin Seiki Co. Ltd. Ajinomoto Co., Inc. Alfresa Holdings Corp. All Nippon Airways Co. Ltd. Amada Co. Ltd. Aozora Bank Ltd. Asahi Glass Co. Ltd. Asahi Group Holdings Ltd. Asahi Kasei Corp. Asics Corp. Astellas Pharma, Inc. Bank of Kyoto (The) Ltd. Bank of Yokohama (The) Ltd. Benesse Holdings, Inc. Bridgestone Corp. Brother Industries Ltd. Canon, Inc. Casio Computer Co. Ltd.† Central Japan Railway Co. Chiba Bank (The) Ltd. Chiyoda Corp. Chubu Electric Power Co., Inc.† Chugai Pharmaceutical Co. Ltd. Chugoku Bank (The) Ltd. Chugoku Electric Power (The) Co., Inc. Citizen Holdings Co. Ltd. Coca-Cola West Co. Ltd. Cosmo Oil Co. Ltd. Credit Saison Co. Ltd. Dai Nippon Printing Co. Ltd. Daicel Corp.

84,391 57,095 26,223 23,468 29,267 180,232 1,053,806 672,429 52,343 148,922 452,633 94,619

2,800 16,588 67,650 8,895 8,500 16,676 21,585 71,950 4,600 126,000 39,975 66,000 112,927 42,768 139,902 16,900 49,560 36,000 134,902 7,395 72,758 25,900 126,422 24,585 168 83,950 17,145 72,153 24,578 19,000 33,500 29,875 7,095 60,000 17,388 61,950 32,975

See Accompanying Notes to the Financial Statements.

19

COST

$

618 782 231 432 1,185 887 1,958 1,077 768 550 6,155 1,152 43,137 91 423 944 119 179 208 720 786 233 385 358 120 1,243 789 828 219 2,034 375 803 309 1,447 346 5,910 308 1,532 590 150 1,679 407 257 666 225 136 200 376 799 209

VALUE

$

148 197 266 378 1,353 726 863 471 1,020 498 1,543 276 22,096 113 214 818 171 205 202 665 1,023 246 292 213 153 669 965 749 200 2,367 265 615 350 1,659 242 4,290 163 1,394 492 225 773 476 243 429 167 122 132 399 475 199

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Japan - 14.1% - (Continued) Daido Steel Co. Ltd. Daihatsu Motor Co. Ltd.† Dai-ichi Life Insurance (The) Co. Ltd. Daiichi Sankyo Co. Ltd. Daikin Industries Ltd. Dainippon Sumitomo Pharma Co. Ltd. Daito Trust Construction Co. Ltd.† Daiwa House Industry Co. Ltd. Daiwa Securities Group, Inc. Dena Co. Ltd.† Denki Kagaku Kogyo K.K. Denso Corp. Dentsu, Inc. East Japan Railway Co. Eisai Co. Ltd. Electric Power Development Co. Ltd. FamilyMart Co. Ltd. FANUC Corp. Fast Retailing Co. Ltd.† Fuji Electric Co. Ltd. Fuji Heavy Industries Ltd. FUJIFILM Holdings Corp. Fujitsu Ltd. Fukuoka Financial Group, Inc. Furukawa Electric Co. Ltd. Gree, Inc.† GS Yuasa Corp.† Gunma Bank (The) Ltd. Hachijuni Bank (The) Ltd. Hakuhodo DY Holdings, Inc. Hamamatsu Photonics K.K. Hankyu Hanshin Holdings, Inc. Hino Motors Ltd. Hirose Electric Co. Ltd. Hisamitsu Pharmaceutical Co., Inc. Hitachi Chemical Co. Ltd. Hitachi Construction Machinery Co. Ltd.† Hitachi High-Technologies Corp. Hitachi Ltd. Hitachi Metals Ltd. Hokkaido Electric Power Co., Inc. Hokuriku Electric Power Co. Honda Motor Co. Ltd. Hoya Corp.† Hulic Co. Ltd. Ibiden Co. Ltd. Idemitsu Kosan Co. Ltd. IHI Corp. Inpex Corp. Isetan Mitsukoshi Holdings Ltd. Isuzu Motors Ltd.

31,975 22,000 953 75,344 25,980 18,100 8,193 56,950 183,902 11,700 53,975 54,363 20,336 37,958 28,179 13,490 6,495 21,385 5,895 65,975 65,000 51,965 208,877 85,975 72,950 10,165 38,000 41,975 46,330 2,729 7,817 129,000 27,975 3,298 6,800 11,795 11,998 7,000 504,779 18,000 20,390 18,600 182,187 48,770 26,400 13,290 2,400 144,927 245 40,611 132,000

See Accompanying Notes to the Financial Statements.

20

COST

$

177 294 1,467 1,792 958 173 510 693 1,200 285 232 1,780 561 2,667 1,147 459 228 2,516 742 174 349 1,756 1,299 440 316 161 261 246 293 170 250 621 129 354 284 238 362 132 2,749 207 408 413 6,108 1,262 146 606 254 399 1,597 514 598

VALUE

$

183 372 1,015 1,246 713 201 792 815 695 255 180 1,753 544 2,440 1,252 319 309 3,343 1,219 147 489 938 829 316 153 162 152 205 247 181 276 694 196 317 344 181 218 176 3,005 199 188 190 5,951 1,090 139 219 203 312 1,377 431 681

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Japan - 14.1% - (Continued) ITOCHU Corp. Itochu Techno-Solutions Corp. Iyo Bank (The) Ltd. J Front Retailing Co. Ltd. Japan Petroleum Exploration Co. Japan Prime Realty Investment Corp.† Japan Real Estate Investment Corp.† Japan Retail Fund Investment Corp.† Japan Steel Works (The) Ltd. Japan Tobacco, Inc. JFE Holdings, Inc.† JGC Corp. Joyo Bank (The) Ltd. JSR Corp. JTEKT Corp. Jupiter Telecommunications Co. Ltd. JX Holdings, Inc. Kajima Corp. Kamigumi Co. Ltd. Kaneka Corp. Kansai Electric Power (The) Co., Inc.† Kansai Paint Co. Ltd. Kao Corp. Kawasaki Heavy Industries Ltd. Kawasaki Kisen Kaisha Ltd.† KDDI Corp. Keikyu Corp. Keio Corp. Keisei Electric Railway Co. Ltd. Keyence Corp. Kikkoman Corp. Kinden Corp. Kintetsu Corp.† Kirin Holdings Co. Ltd. Kobe Steel Ltd.† Koito Manufacturing Co. Ltd. Komatsu Ltd. Konami Corp. Konica Minolta Holdings, Inc. Kubota Corp.† Kuraray Co. Ltd. Kurita Water Industries Ltd. Kyocera Corp. Kyowa Hakko Kirin Co. Ltd. Kyushu Electric Power Co., Inc. Lawson, Inc. LIXIL Group Corp. Mabuchi Motor Co. Ltd. Makita Corp. Marubeni Corp. Marui Group Co. Ltd.

167,877 2,698 29,000 53,565 3,100 76 60 210 34,000 100,200 51,958 22,975 71,975 19,683 24,683 230 251,142 93,927 26,000 32,000 84,341 24,000 58,750 158,877 81,975 302 53,975 65,950 31,975 5,091 18,000 16,000 180,852 96,950 285,690 10,744 104,239 11,095 53,463 122,927 38,463 12,495 17,088 28,975 48,473 6,798 29,578 2,698 12,293 182,874 25,273

See Accompanying Notes to the Financial Statements.

21

COST

$

1,641 92 299 357 156 210 613 358 375 2,287 2,030 481 363 432 336 219 1,595 321 214 224 1,819 208 1,579 514 434 1,894 430 433 200 1,061 222 137 601 1,323 677 164 2,660 289 636 987 495 367 1,551 304 992 314 568 133 462 1,270 248

VALUE

$

1,756 140 225 268 118 198 569 353 187 3,161 691 710 323 350 219 230 1,222 271 210 166 635 252 1,596 382 126 2,092 505 486 290 1,278 227 108 720 1,107 271 137 2,346 239 382 1,176 454 283 1,367 324 380 489 623 106 416 1,236 186

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Japan - 14.1% - (Continued) Maruichi Steel Tube Ltd. Mazda Motor Corp. McDonald’s Holdings Co. Japan Ltd.† Medipal Holdings Corp. MEIJI Holdings Co. Ltd. Miraca Holdings, Inc. Mitsubishi Chemical Holdings Corp. Mitsubishi Corp. Mitsubishi Electric Corp. Mitsubishi Estate Co. Ltd. Mitsubishi Gas Chemical Co., Inc. Mitsubishi Heavy Industries Ltd. Mitsubishi Logistics Corp. Mitsubishi Materials Corp. Mitsubishi Motors Corp.† Mitsubishi Tanabe Pharma Corp. Mitsubishi UFJ Financial Group, Inc. Mitsubishi UFJ Lease & Finance Co. Ltd. Mitsui & Co. Ltd. Mitsui Chemicals, Inc. Mitsui Fudosan Co. Ltd. Mitsui O.S.K. Lines Ltd.† Mizuho Financial Group, Inc. MS&AD Insurance Group Holdings Murata Manufacturing Co. Ltd. Nabtesco Corp.† Namco Bandai Holdings, Inc. NEC Corp.† Nexon Co. Ltd. NGK Insulators Ltd. NGK Spark Plug Co. Ltd.† NHK Spring Co. Ltd. Nidec Corp.† Nikon Corp. Nintendo Co. Ltd. Nippon Building Fund, Inc. Nippon Electric Glass Co. Ltd. Nippon Express Co. Ltd. Nippon Meat Packers, Inc. Nippon Paper Group, Inc.† Nippon Steel Corp.† Nippon Telegraph & Telephone Corp. Nippon Yusen K.K. Nishi-Nippon City Bank (The) Ltd. Nissan Motor Co. Ltd. Nisshin Seifun Group, Inc. Nisshin Steel Co. Ltd. Nissin Foods Holdings Co. Ltd.† Nitori Holdings Co. Ltd. Nitto Denko Corp. NKSJ Holdings, Inc.

5,000 294,000 7,500 16,488 6,742 6,196 150,402 156,097 215,852 139,902 42,950 339,779 14,000 127,950 442,000 24,700 1,420,894 6,460 193,167 95,950 93,950 119,902 2,544,729 56,732 22,685 11,199 19,683 289,852 11,900 29,975 20,000 18,500 12,193 38,175 11,893 68 41,462 93,950 19,000 11,176 571,557 48,512 178,902 74,975 278,226 20,988 74,950 6,593 3,798 18,588 41,987

See Accompanying Notes to the Financial Statements.

22

COST

$

112 716 170 236 290 222 976 3,818 2,057 2,885 311 1,630 159 554 686 330 9,603 282 3,399 366 1,912 1,086 6,617 1,607 1,346 221 272 963 211 608 295 176 962 961 3,746 699 566 441 226 297 2,511 2,232 861 222 2,531 229 249 230 263 852 1,376

VALUE

$

98 358 217 239 309 265 641 3,130 1,727 2,537 249 1,383 149 357 424 379 6,932 261 2,886 217 1,836 367 4,203 928 1,140 247 284 390 247 348 234 196 966 1,068 1,332 663 221 385 250 142 1,156 2,258 401 165 2,650 252 84 253 356 808 810

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Japan - 14.1% - (Continued) NOK Corp. Nomura Holdings, Inc. Nomura Real Estate Holdings, Inc. Nomura Real Estate Office Fund, Inc. Nomura Research Institute Ltd. NSK Ltd. NTN Corp. NTT Data Corp.† NTT DOCOMO, Inc. NTT Urban Development Corp. Obayashi Corp. Odakyu Electric Railway Co. Ltd.† OJI Paper Co. Ltd. Olympus Corp.† Omron Corp. Ono Pharmaceutical Co. Ltd. Oracle Corp. Japan Oriental Land Co. Ltd. ORIX Corp. Osaka Gas Co. Ltd. Otsuka Corp. Otsuka Holdings Co. Ltd. Panasonic Corp. Rakuten, Inc. Resona Holdings, Inc. Ricoh Co. Ltd.† Rinnai Corp. Rohm Co. Ltd. Sankyo Co. Ltd. Sanrio Co. Ltd.† Santen Pharmaceutical Co. Ltd. SBI Holdings, Inc.† Secom Co. Ltd. Sega Sammy Holdings, Inc. Seiko Epson Corp.† Sekisui Chemical Co. Ltd. Sekisui House Ltd. Seven & I Holdings Co. Ltd. Seven Bank Ltd. Sharp Corp.† Shikoku Electric Power Co., Inc. Shimadzu Corp. Shimamura Co. Ltd. Shimano, Inc. Shimizu Corp.† Shin-Etsu Chemical Co. Ltd. Shinsei Bank Ltd. Shionogi & Co. Ltd.† Shiseido Co. Ltd. Shizuoka Bank (The) Ltd. Showa Denko K.K.†

11,595 405,367 10,800 31 11,190 48,975 49,975 143 1,712 124 73,950 70,950 91,927 24,717 23,080 9,100 4,398 5,495 11,724 207,877 1,700 40,511 246,352 80,200 208,340 69,950 3,700 10,993 5,698 4,899 8,098 2,525 23,483 22,085 14,493 47,950 59,950 84,339 60,705 110,927 18,900 26,000 2,500 8,295 65,950 45,773 166,877 33,875 39,975 59,975 156,927

See Accompanying Notes to the Financial Statements.

23

COST

$

228 3,255 172 219 300 415 328 555 2,770 198 371 555 447 679 560 489 188 398 1,676 781 113 1,119 3,635 531 1,625 1,077 194 765 302 246 259 415 1,080 388 317 369 640 2,293 143 1,426 529 219 250 379 345 2,616 362 545 824 595 413

VALUE

$

224 1,443 202 179 233 300 136 436 2,878 101 338 730 308 468 465 576 198 685 1,121 854 150 1,237 1,722 800 856 485 240 398 284 170 346 173 1,094 474 117 410 577 2,684 152 384 292 214 291 554 207 2,333 190 485 575 607 285

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Japan - 14.1% - (Continued) Showa Shell Sekiyu K.K. SMC Corp. Softbank Corp. Sojitz Corp. Sony Corp. Sony Financial Holdings, Inc. Square Enix Holdings Co. Ltd. Stanley Electric Co. Ltd. Sumco Corp. Sumitomo Chemical Co. Ltd. Sumitomo Corp. Sumitomo Electric Industries Ltd. Sumitomo Heavy Industries Ltd. Sumitomo Metal Industries Ltd. Sumitomo Metal Mining Co. Ltd. Sumitomo Mitsui Financial Group, Inc. Sumitomo Mitsui Trust Holdings, Inc. Sumitomo Realty & Development Co. Ltd. Sumitomo Rubber Industries Ltd. Suruga Bank Ltd. Suzuken Co. Ltd. Suzuki Motor Corp. Sysmex Corp. T&D Holdings, Inc.† Taiheiyo Cement Corp. Taisei Corp. Taisho Pharmaceutical Holdings Co. Ltd. Taiyo Nippon Sanso Corp. Takashimaya Co. Ltd.† Takeda Pharmaceutical Co. Ltd. TDK Corp.† Teijin Ltd. Terumo Corp.† THK Co. Ltd. Tobu Railway Co. Ltd. Toho Co. Ltd. Toho Gas Co. Ltd. Tohoku Electric Power Co., Inc. Tokio Marine Holdings, Inc. Tokyo Electric Power Co., Inc. Tokyo Electron Ltd. Tokyo Gas Co. Ltd.† Tokyu Corp. Tokyu Land Corp. TonenGeneral Sekiyu K.K. Toppan Printing Co. Ltd. Toray Industries, Inc. Toshiba Corp. Tosoh Corp.† TOTO Ltd. Toyo Seikan Kaisha Ltd.

21,688 5,995 99,046 139,783 112,127 19,200 7,800 16,193 12,395 164,877 124,527 84,644 60,950 381,705 58,950 149,677 344,073 39,975 18,890 20,000 7,795 41,096 8,031 65,466 123,000 113,950 4,000 25,975 28,975 88,136 13,990 102,950 16,788 13,395 114,950 12,690 46,000 51,165 80,846 166,212 19,288 274,828 128,927 48,975 31,000 62,950 163,902 449,779 54,975 30,975 16,990

See Accompanying Notes to the Financial Statements.

24

COST

$

191 823 2,494 454 4,019 334 203 324 257 973 1,786 1,123 538 1,373 968 6,662 1,637 982 185 239 263 998 239 1,262 249 343 280 210 264 4,629 921 426 797 302 551 241 260 964 2,543 3,317 1,168 1,245 711 379 291 575 1,101 2,551 193 220 294

VALUE

$

119 1,017 3,811 218 1,383 310 121 241 95 462 1,763 1,008 247 567 637 4,768 996 1,009 229 213 281 758 352 674 272 315 320 147 213 4,063 537 305 692 240 624 228 277 332 1,876 279 908 1,422 621 250 255 393 1,035 1,509 137 231 202

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Japan - 14.1% - (Continued) Toyo Suisan Kaisha Ltd. Toyoda Gosei Co. Ltd. Toyota Boshoku Corp.† Toyota Industries Corp. Toyota Motor Corp. Toyota Tsusho Corp. Trend Micro, Inc. Tsumura & Co. Ube Industries Ltd. Unicharm Corp. Ushio, Inc. USS Co. Ltd. West Japan Railway Co. Yahoo Japan Corp. Yakult Honsha Co. Ltd.† Yamada Denki Co. Ltd.† Yamaguchi Financial Group, Inc. Yamaha Corp. Yamaha Motor Co. Ltd.† Yamato Holdings Co. Ltd. Yamato Kogyo Co. Ltd.† Yamazaki Baking Co. Ltd. Yaskawa Electric Corp.† Yokogawa Electric Corp. Malaysia - 0.8% AirAsia Bhd. Alliance Financial Group Bhd. AMMB Holdings Bhd. Axiata Group Bhd. Berjaya Corp. Bhd. Berjaya Sports Toto Bhd. British American Tobacco Malaysia Bhd. Bumi Armada Bhd. CIMB Group Holdings Bhd. DiGi.Com Bhd. Felda Global Ventures Holdings Bhd. Gamuda Bhd. Genting Bhd. Genting Malaysia Bhd. Genting Plantations Bhd. Hong Leong Bank Bhd. Hong Leong Financial Group Bhd. IJM Corp. Bhd. IOI Corp. Bhd. Kuala Lumpur Kepong Bhd. Lafarge Malayan Cement Bhd. Malayan Banking Bhd. Malaysia Airports Holdings Bhd. Malaysia Marine and Heavy Engineering Holdings Bhd. Maxis Bhd.

10,000 7,395 7,300 18,485 308,191 23,283 12,239 6,500 111,950 12,494 12,398 2,449 19,200 1,624 10,593 9,623 23,000 17,690 30,990 42,275 4,500 11,809 24,000 23,185

143,300 111,100 180,850 279,800 266,473 71,871 12,700 129,300 533,800 343,900 122,100 185,700 227,100 327,600 24,300 62,180 24,100 129,800 357,433 52,700 40,800 374,680 61,054 50,917 207,208

See Accompanying Notes to the Financial Statements.

25

COST

$

215 210 174 658 14,160 492 401 203 342 391 209 178 810 585 287 765 270 298 604 628 157 148 218 223

VALUE

$

241 153 83 497 11,917 435 366 183 247 690 158 265 831 594 411 502 195 172 265 697 128 165 174 240

281,101

228,443

94 107 286 344 108 95 172 166 1,068 299 211 206 569 365 68 153 55 204 599 270 75 847 125 124 351

171 151 371 524 62 98 243 162 1,339 488 201 208 687 353 73 271 96 215 610 400 104 1,049 109 86 425

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Malaysia - 0.8% - (Continued) MISC Bhd. MMC Corp. Bhd. Parkson Holdings Bhd. Petronas Chemicals Group Bhd. Petronas Dagangan Bhd. Petronas Gas Bhd. PPB Group Bhd. Public Bank Bhd. Public Bank Bhd. (Registered) RHB Capital Bhd. Sapurakencana Petroleum Bhd. Sime Darby Bhd. SP Setia Bhd. Telekom Malaysia Bhd. Tenaga Nasional Bhd. UEM Land Holdings Bhd. UMW Holdings Bhd. YTL Corp. Bhd. YTL Power International Bhd. Mexico - 1.2% Alfa S.A.B. de C.V., Class A America Movil S.A.B. de C.V., Series L Arca Continental S.A.B. de C.V. Cemex S.A.B. de C.V., Series CPO† Coca-Cola Femsa S.A.B. de C.V., Series L† Compartamos S.A.B. de C.V. El Puerto de Liverpool S.A.B. de C.V., Series C1 Fomento Economico Mexicano S.A.B. de C.V., Series UBD† Fresnillo PLC Grupo Aeroportuario del Pacifico S.A.B. de C.V., Class B† Grupo Bimbo S.A.B. de C.V., Series A† Grupo Carso S.A.B. de C.V., Series A1 Grupo Financiero Banorte S.A.B. de C.V., Class O Grupo Financiero Inbursa S.A.B de C.V., Class O Grupo Mexico S.A.B. de C.V., Series B Grupo Modelo S.A.B. de C.V., Series C† Grupo Televisa S.A.B., Series CPO Industrias Penoles S.A.B. de C.V.† Kimberly-Clark de Mexico S.A.B. de C.V., Class A Mexichem S.A.B. de C.V. Minera Frisco S.A.B. de C.V., Series A1† Wal-Mart de Mexico S.A.B. de C.V., Series V† Morocco - 0.0% Attijariwafa Bank Douja Promotion Groupe Addoha S.A. Marco Telecom S.A.

125,580 81,400 67,004 309,400 27,900 65,700 52,300 1,266 115,500 72,779 247,800 299,181 54,600 119,300 303,375 167,400 56,100 552,320 252,543

COST

$

304 76 117 599 98 238 208 4 402 143 173 775 71 88 632 136 115 251 168 11,559

VALUE

$

181 63 104 652 187 388 254 6 531 171 194 940 63 215 654 107 170 328 145 13,849

32,245 4,407,244 36,678 1,193,628 47,872 111,772 21,100 216,669 19,995 34,166 180,212 64,837 208,510 222,392 428,250 71,414 287,863 15,764 172,306 84,495 70,437 594,546

279 5,556 136 1,676 401 215 153 1,077 327 145 314 130 870 444 1,072 398 1,258 462 288 185 173 1,348 16,907

516 5,895 231 830 537 112 167 1,852 456 134 449 225 1,121 586 1,206 647 1,312 646 359 400 279 1,679 19,639

3,247 13,441 9,936

122 245 179 546

126 104 120 350

See Accompanying Notes to the Financial Statements.

26

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES

COST

VALUE

COMMON STOCKS - 96.3%- (CONTINUED) Netherlands - 3.4% Aegon N.V. Akzo Nobel N.V. ArcelorMittal† ASML Holding N.V. Corio N.V. DE Master Blenders 1753 N.V. Delta Lloyd N.V. European Aeronautic Defence and Space Co. N.V.† Fugro N.V. - CVA Gemalto N.V.† Heineken Holding N.V.† Heineken N.V. ING Groep N.V. - CVA Koninklijke Ahold N.V. Koninklijke Boskalis Westminster N.V. Koninklijke DSM N.V.† Koninklijke KPN N.V. Koninklijke Philips Electronics N.V. Koninklijke Vopak N.V.† QIAGEN N.V.† Randstad Holding N.V. Reed Elsevier N.V. Royal Dutch Shell PLC, Class A Royal Dutch Shell PLC, Class B SBM Offshore N.V.† TNT Express N.V.† Unilever N.V. - CVA Wolters Kluwer N.V.

193,057 26,306 104,771 46,883 7,219 66,012 11,623 45,867 7,638 8,758 11,212 25,810 428,093 117,563 7,908 17,424 111,818 112,725 7,817 25,907 13,085 78,309 409,462 296,986 18,779 36,031 181,910 35,099

New Zealand - 0.1% Auckland International Airport Ltd. Contact Energy Ltd. Fletcher Building Ltd.† Sky City Entertainment Group Ltd. Telecom Corp. of New Zealand Ltd.

103,995 42,898 78,165 65,573 212,358

190 214 494 190 410 1,498

210 174 388 190 459 1,421

Norway - 0.6% Aker Solutions ASA† DNB ASA† Gjensidige Forsikring ASA† Norsk Hydro ASA† Orkla ASA† Seadrill Ltd.† Statoil ASA† Telenor ASA† Yara International ASA†

18,311 108,024 22,081 102,367 85,809 38,856 124,531 79,959 20,664

235 1,273 271 860 1,009 1,088 3,345 1,323 865 10,269

270 1,140 272 419 615 1,527 2,979 1,359 982 9,563

21,480 7,465

630 600

782 866

Peru - 0.1% Cia de Minas Buenaventura S.A. ADR† Credicorp Ltd.

See Accompanying Notes to the Financial Statements.

27

$

2,032 1,667 4,361 1,514 428 738 215 1,295 503 577 521 1,264 6,499 1,534 393 863 1,634 3,571 338 460 613 1,172 14,194 10,406 504 567 5,526 815 64,204

$

881 1,422 1,686 2,726 320 766 152 1,653 501 672 516 1,400 2,837 1,433 258 859 919 2,482 496 462 398 921 13,941 10,467 230 391 6,330 584 55,703

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Peru - 0.1% - (Continued) Volcan Cia Minera S.A.A., Class B

225,605

COST

$

253

VALUE

$

249

1,483

1,897

Philippines - 0.2% Aboitiz Equity Ventures, Inc. Aboitiz Power Corp. Alliance Global Group, Inc. Ayala Corp. Ayala Land, Inc. Bank of the Philippine Islands BDO Unibank, Inc. DMCI Holdings, Inc. Energy Development Corp. Globe Telecom, Inc. International Container Terminal Services, Inc. Jollibee Foods Corp. Manila Electric Co. Metropolitan Bank & Trust Philippine Long Distance Telephone Co. San Miguel Corp. SM Investments Corp. SM Prime Holdings, Inc. Universal Robina Corp.

213,492 208,351 435,248 19,389 578,200 76,785 158,734 88,490 858,250 3,535 87,830 43,730 25,105 47,001 4,745 54,060 23,782 775,221 87,130

224 154 112 128 185 89 192 118 98 94 113 55 100 68 274 150 242 161 101 2,658

252 172 122 202 303 133 245 124 125 97 153 108 159 113 311 144 427 260 123 3,573

Poland - 0.3% Asseco Poland S.A. Bank Handlowy w Warszawie S.A. Bank Millennium S.A. Bank Pekao S.A. BRE Bank S.A. Cyfrowy Polsat S.A. Enea S.A. Eurocash S.A. Grupa Lotos S.A. Jastrzebska Spolka Weglowa S.A. KGHM Polska Miedz S.A. PGE S.A. Polski Koncern Naftowy Orlen S.A. Polskie Gornictwo Naftowe i Gazownictwo S.A. Powszechna Kasa Oszczednosci Bank Polski S.A. Powszechny Zaklad Ubezpieczen S.A. Synthos S.A. Tauron Polska Energia S.A. Telekomunikacja Polska S.A. TVN S.A.

8,898 3,448 47,245 13,052 1,690 24,172 11,252 7,562 7,111 3,932 15,568 83,693 35,389 198,278 68,905 6,426 58,173 124,568 83,833 16,745

191 62 127 877 203 116 84 82 89 177 641 603 557 271 979 713 96 199 575 116 6,758

121 84 49 547 145 106 53 89 56 110 592 467 380 241 672 683 92 172 396 38 5,093

Portugal - 0.1% Banco Espirito Santo S.A. (Registered)† Energias de Portugal S.A. Galp Energia SGPS S.A. Jeronimo Martins SGPS S.A.†

229,330 211,256 25,406 24,646

526 913 351 282

141 483 344 387

See Accompanying Notes to the Financial Statements.

28

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Portugal - 0.1% - (Continued) Portugal Telecom SGPS S.A. (Registered)† Russia - 1.4% Federal Grid Co. Unified Energy System JSC Federal Hydrogenerating Co. JSC Federal Hydrogenerating Co. JSC ADR (OTC Exchange) Gazprom OAO Gazprom OAO ADR (London Exchange) Gazprom OAO ADR (OTC Exchange)† IDGC Holding JSC Inter Rao Ues OAO LSR Group OJSC GDR (Registered) Lukoil OAO Lukoil OAO ADR Magnit OJSC Magnit OJSC GDR† Mechel ADR† MMC Norilsk Nickel OJSC MMC Norilsk Nickel OJSC ADR Mobile Telesystems OJSC ADR† NovaTek OAO GDR (Registered) Novolipetsk Steel OJSC GDR (Registered) Rosneft OAO Rosneft OAO GDR (Registered) Rostelecom OJSC Sberbank of Russia Sberbank of Russia (OTC Exchange) Severstal OAO Severstal OAO GDR (Registered)† Sistema JSFC GDR (Registered) Surgutneftegas OAO Surgutneftegaz OAO ADR (OTC Exchange)† Surgutneftegaz OJSC ADR (London Exchange) Tatneft OAO Tatneft OAO ADR (OTC Exchange) TMK OAO GDR (Registered) Uralkali OJSC VTB Bank OJSC VTB Bank OJSC GDR (Registered) Singapore - 1.3% Ascendas Real Estate Investment Trust CapitaLand Ltd. CapitaMall Trust CapitaMalls Asia Ltd. City Developments Ltd. ComfortDelGro Corp. Ltd. Cosco Corp. Singapore Ltd.† DBS Group Holdings Ltd.† Fraser and Neave Ltd.

69,006

COST

$

683

VALUE

$

293

2,755

1,648

34,566,022 10,760,672 19,265 789,592 195,410 2,200 1,835,019 202,268,500 22,868 42,030 14,390 455 26,843 15,561 5,142 1,489 57,228 10,072 7,050 131,841 44,009 130,447 748,665 205,957 17,283 4,983 13,442 423,527 10,664 26,077 109,012 7,941 6,288 153,971 288,192,446 579

221 461 99 6,803 2,857 42 178 216 163 2,960 881 39 587 410 1,144 24 1,244 823 235 1,197 318 795 2,343 769 308 69 348 426 138 248 603 220 199 1,443 1,049 6 29,866

244 274 47 3,699 1,809 20 101 167 102 2,388 813 55 869 101 799 23 1,085 1,139 117 801 265 452 2,088 579 195 56 279 358 89 219 669 299 90 1,295 475 2 22,063

209,813 288,353 257,461 153,526 54,950 205,877 106,950 204,397 102,721

303 872 360 249 484 251 206 2,053 390

383 695 406 201 517 278 83 2,421 675

See Accompanying Notes to the Financial Statements.

29

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Singapore - 1.3% - (Continued) Genting Singapore PLC† Global Logistic Properties Ltd. Golden Agri-Resources Ltd. Hutchison Port Holdings Trust, Class U Jardine Cycle & Carriage Ltd.† Keppel Corp. Ltd. Keppel Land Ltd.† Neptune Orient Lines Ltd.† Olam International Ltd.† Oversea-Chinese Banking Corp. Ltd. SembCorp Industries Ltd.† SembCorp Marine Ltd.† Singapore Airlines Ltd. Singapore Exchange Ltd. Singapore Press Holdings Ltd.† Singapore Technologies Engineering Ltd. Singapore Telecommunications Ltd. StarHub Ltd. United Overseas Bank Ltd. UOL Group Ltd. Wilmar International Ltd. South Africa - 1.9% ABSA Group Ltd.† African Bank Investments Ltd. African Rainbow Minerals Ltd. Anglo American Platinum Ltd.† AngloGold Ashanti Ltd. ArcelorMittal South Africa Ltd. Aspen Pharmacare Holdings Ltd. Assore Ltd. Aveng Ltd. Barloworld Ltd. Bidvest Group Ltd. Discovery Holdings Ltd. Exxaro Resources Ltd.† FirstRand Ltd. Foschini Group (The) Ltd. Gold Fields Ltd. Growthpoint Properties Ltd. Harmony Gold Mining Co. Ltd. Impala Platinum Holdings Ltd. Imperial Holdings Ltd. Investec Ltd. Kumba Iron Ore Ltd.† Liberty Holdings Ltd. Life Healthcare Group Holdings Ltd. Massmart Holdings Ltd. MMI Holdings Ltd. Mr Price Group Ltd. MTN Group Ltd.

674,154 228,630 745,218 571,000 11,743 158,390 83,733 95,956 176,030 285,008 109,950 90,930 61,554 94,950 177,902 170,902 881,384 66,000 140,453 51,950 212,000

31,647 82,510 11,856 7,713 42,686 19,028 31,662 3,846 44,436 24,276 32,519 33,081 13,891 346,674 22,514 81,236 182,269 44,266 59,937 19,965 26,723 8,917 12,429 103,429 12,060 107,063 26,199 189,613

See Accompanying Notes to the Financial Statements.

30

COST

$

566 388 443 530 285 1,097 208 153 340 1,722 382 267 619 538 520 391 2,046 118 1,896 164 909

VALUE

$

707 413 443 435 441 1,423 232 89 261 2,188 467 355 524 511 588 453 2,536 204 2,258 216 552

18,750

20,955

507 362 302 878 1,737 304 254 125 285 263 592 143 240 877 219 1,232 343 526 1,632 317 225 378 126 283 173 254 320 2,999

520 367 225 399 1,470 104 559 139 195 247 786 217 285 1,166 390 1,059 565 445 948 460 161 559 142 422 255 242 393 3,439

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) South Africa - 1.9% - (Continued) Naspers Ltd., Class N Nedbank Group Ltd. Netcare Ltd. Northam Platinum Ltd. Pick n Pay Stores Ltd. Pretoria Portland Cement Co. Ltd. Redefine Properties Ltd. Remgro Ltd. Reunert Ltd. RMB Holdings Ltd. RMI Holdings Sanlam Ltd.† Sappi Ltd. Sasol Ltd. Shoprite Holdings Ltd. Spar Group (The) Ltd. Standard Bank Group Ltd. Steinhoff International Holdings Ltd. Tiger Brands Ltd. Truworths International Ltd. Vodacom Group Ltd. Woolworths Holdings Ltd. South Korea - 3.5% Amorepacific Corp. BS Financial Group, Inc. Celltrion, Inc. Cheil Industries, Inc. CJ CheilJedang Corp. CJ Corp. Daelim Industrial Co. Ltd. Daewoo Engineering & Construction Co. Ltd. Daewoo International Corp. Daewoo Securities Co. Ltd. Daewoo Shipbuilding & Marine Engineering Co. Ltd. DGB Financial Group, Inc. Dongbu Insurance Co. Ltd. Dongkuk Steel Mill Co. Ltd. Doosan Corp. Doosan Heavy Industries and Construction Co. Ltd. Doosan Infracore Co. Ltd. E-Mart Co. Ltd. GS Engineering & Construction Corp. GS Holdings Hana Financial Group, Inc. Hankook Tire Co. Ltd. Hanwha Chemical Corp. Hanwha Corp. Honam Petrochemical Corp. Hyosung Corp. Hyundai Department Store Co. Ltd.

43,545 22,337 98,259 26,429 26,327 55,047 300,172 47,694 20,471 77,758 73,634 198,109 60,394 60,990 48,115 19,012 132,552 126,733 17,903 49,513 42,782 82,805

352 19,479 11,457 5,207 870 1,536 3,094 11,014 3,817 18,178 10,570 15,050 4,735 3,940 969 5,286 11,350 2,367 3,926 5,628 25,550 10,370 9,447 5,140 1,571 2,427 1,703

See Accompanying Notes to the Financial Statements.

31

COST

$

1,526 422 170 167 136 285 277 526 181 225 121 629 351 2,713 476 272 1,770 370 392 326 407 297 27,935 253 255 179 336 180 107 394 193 142 310 419 238 168 138 187 403 286 594 474 227 937 287 167 266 287 154 201

VALUE

$

2,385 491 194 83 136 173 337 818 199 347 163 858 183 2,558 951 277 1,840 379 580 623 500 542 30,776 319 206 285 448 214 99 240 83 122 170 234 172 176 52 114 284 182 551 241 286 817 382 175 132 331 115 192

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) South Korea - 3.5% - (Continued) Hyundai Development Co. Hyundai Engineering & Construction Co. Ltd. Hyundai Glovis Co. Ltd. Hyundai Heavy Industries Co. Ltd Hyundai Hysco Co. Ltd. Hyundai Marine & Fire Insurance Co. Ltd. Hyundai Merchant Marine Co. Ltd. Hyundai Mipo Dockyard Hyundai Mobis Hyundai Motor Co. Hyundai Securities Co. Ltd. Hyundai Steel Co. Hyundai Wia Corp. Industrial Bank of Korea Kangwon Land, Inc. KB Financial Group, Inc. KCC Corp. Kia Motors Corp. Korea Aerospace Industries Ltd. Korea Electric Power Corp. Korea Electric Power Corp. ADR† Korea Exchange Bank Korea Gas Corp. Korea Investment Holdings Co. Ltd. Korea Life Insurance Co. Ltd. Korea Zinc Co. Ltd. Korean Air Lines Co. Ltd. KP Chemical Corp. KT Corp. KT Corp. ADR† KT&G Corp. Kumho Petro chemical Co. Ltd. LG Chem Ltd. LG Corp. LG Display Co. Ltd. LG Display Co. Ltd. ADR† LG Electronics, Inc. LG Household & Health Care Ltd. LG Innotek Co. Ltd. LG Uplus Corp. Lotte Confectionery Co. Ltd. Lotte Shopping Co. Ltd. LS Corp. LS Industrial Systems Co. Ltd. Mando Corp. Mirae Asset Securities Co. Ltd. NCSoft Corp. NHN Corp. OCI Co. Ltd. Orion Corp. POSCO

6,750 7,583 1,457 4,691 3,400 7,010 4,590 1,167 7,613 17,233 12,536 6,292 1,705 18,100 10,720 41,059 448 29,464 3,800 28,410 900 28,660 2,460 4,470 18,374 941 4,123 5,240 3,357 400 12,149 1,530 5,187 10,706 26,150 200 11,757 1,040 1,166 24,600 75 1,132 2,034 1,580 1,417 2,441 1,730 4,593 1,742 396 6,940

See Accompanying Notes to the Financial Statements.

32

COST

$

378 501 185 1,373 155 202 149 258 1,258 2,065 222 498 237 282 246 2,181 195 1,010 133 976 18 367 155 217 142 196 206 127 142 9 850 288 997 759 887 3 977 259 122 201 106 374 163 119 198 198 315 859 454 222 3,101

VALUE

$

122 400 280 1,004 132 174 101 122 2,017 3,612 94 467 251 197 221 1,313 113 2,035 91 636 10 213 97 137 106 320 176 56 96 6 895 167 1,441 554 565 2 649 536 91 144 105 290 160 92 205 64 343 1,117 310 314 2,237

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) South Korea - 3.5% - (Continued) POSCO ADR† S1 Corp. Samsung C&T Corp. Samsung Card Co. Ltd. Samsung Electro-Mechanics Co. Ltd. Samsung Electronics Co. Ltd. Samsung Engineering Co. Ltd. Samsung Fire & Marine Insurance Co. Ltd. Samsung Heavy Industries Co. Ltd. Samsung Life Insurance Co. Ltd. Samsung SDI Co. Ltd. Samsung Securities Co. Ltd. Samsung Techwin Co. Ltd. Shinhan Financial Group Co. Ltd. Shinhan Financial Group Co. Ltd. ADR† Shinsegae Co. Ltd. SK C&C Co. Ltd. SK Holdings Co. Ltd. SK Hynix, Inc. SK Innovation Co. Ltd. SK Networks Co. Ltd. SK Telecom Co. Ltd. SK Telecom Co. Ltd. ADR S-Oil Corp. STX Pan Ocean Co. Ltd. Woongjin Coway Co. Ltd. Woori Finance Holdings Co. Ltd. Woori Investment & Securities Co. Ltd. Yuhan Corp. Spain - 1.6% Abertis Infraestructuras S.A.† Acciona S.A.† Acerinox S.A.† ACS Actividades de Construccion y Servicios S.A.† Amadeus IT Holding S.A., Class A† Banco Bilbao Vizcaya Argentaria S.A. Banco de Sabadell S.A.† Banco Popular Espanol S.A.† Banco Santander S.A.† Bankia S.A.† CaixaBank† Distribuidora Internacional de Alimentacion S.A.† Enagas S.A. Ferrovial S.A. Gas Natural SDG S.A. Grifols S.A.† Grifols S.A., Class B Iberdrola S.A.† Inditex S.A. Mapfre S.A.†

1,493 1,805 13,836 4,860 6,659 12,337 3,327 3,948 18,010 6,821 3,874 6,771 4,108 46,620 500 788 2,496 2,879 58,290 6,771 13,960 1,012 600 4,959 11,300 6,080 40,490 14,425 888

40,546 2,464 10,622 15,709 34,751 528,111 238,815 124,314 1,044,286 86,386 85,238 67,566 19,691 44,660 40,055 15,328 1,177 453,071 24,356 85,427

See Accompanying Notes to the Financial Statements.

33

COST

$

195 97 813 223 444 8,919 406 754 621 585 374 382 255 1,977 61 278 191 460 1,370 870 167 189 14 408 200 192 577 241 107 54,687 789 441 233 730 662 7,547 1,145 1,151 11,823 455 477 328 485 618 797 335 18 3,988 1,633 343

VALUE

$

119 92 787 144 624 14,283 537 740 624 560 488 290 265 1,493 32 145 221 395 1,119 931 110 129 8 422 39 190 399 139 97 56,924 502 108 106 249 753 3,463 456 234 6,366 85 280 334 342 487 494 478 27 1,646 2,514 156

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Spain - 1.6% - (Continued) Red Electrica Corp. S.A. Repsol S.A. Telefonica S.A.† Zardoya Otis S.A.† Sweden - 2.2% Alfa Laval AB† Assa Abloy AB, Class B Atlas Copco AB, Class A Atlas Copco AB, Class B† Boliden AB† Electrolux AB, Series B† Elekta AB, Class B† Getinge AB, Class B† Hennes & Mauritz AB, Class B Hexagon AB, Class B† Holmen AB, Class B† Husqvarna AB, Class B† Industrivarden AB, Class C Investment AB Kinnevik, Class B† Investor AB, Class B Lundin Petroleum AB Millicom International Cellular S.A. SDR Modern Times Group AB, Class B† Nordea Bank AB† Ratos AB, Class B† Sandvik AB Scania AB, Class B† Securitas AB, Class B† Skandinaviska Enskilda Banken AB, Class A Skanska AB, Class B† SKF AB, Class B SSAB AB, Class A† Svenska Cellulosa AB, Class B Svenska Handelsbanken AB, Class A Swedbank AB, Class A Swedish Match AB Tele2 AB, Class B† Telefonaktiebolaget LM Ericsson, Class B† TeliaSonera AB† Volvo AB, Class B Switzerland - 6.1% ABB Ltd. (Registered) Actelion Ltd. (Registered) Adecco S.A. (Registered) Aryzta A.G.† Aryzta A.G. (Turquoise Exchange) Baloise Holding A.G. (Registered) Banque Cantonale Vaudoise (Registered)

11,891 91,701 457,532 16,438

COST

$

658 2,686 10,315 321

VALUE

$

472 1,469 5,199 183

47,978

26,403

37,198 37,151 74,947 43,113 30,606 26,735 10,121 22,294 106,143 27,020 6,001 44,426 13,826 23,303 51,239 24,784 7,099 5,307 292,854 21,255 112,218 35,603 34,563 155,727 43,003 44,086 16,764 65,218 54,568 91,507 23,555 35,234 337,169 241,300 155,648

603 816 1,303 684 426 545 485 512 3,153 436 180 294 203 402 1,092 620 758 263 2,898 294 1,729 662 356 780 774 857 425 1,016 1,547 1,441 577 638 4,262 1,735 2,176 34,942

647 1,129 1,691 867 468 608 472 639 3,935 518 161 228 187 481 1,072 527 644 244 2,743 221 1,566 616 282 1,148 652 915 138 1,112 1,902 1,599 995 585 3,149 1,601 1,929 35,671

246,531 12,248 14,693 4,152 5,567 5,534 331

5,138 549 831 185 270 535 169

4,317 561 648 207 277 366 169

See Accompanying Notes to the Financial Statements.

34

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Switzerland - 6.1% - (Continued) Barry Callebaut A.G. (Registered) Cie Financiere Richemont S.A., Class A (Bearer) Credit Suisse Group A.G. (Registered)† GAM Holding A.G. Geberit A.G. (Registered) Givaudan S.A. (Registered) Glencore International PLC† Holcim Ltd. (Registered) Julius Baer Group Ltd. Kuehne & Nagel International A.G. (Registered) Lindt & Spruengli A.G. (Participation Certificate) Lindt & Spruengli A.G. (Registered)† Lonza Group A.G. (Registered) Nestle S.A. (Registered) Novartis A.G. (Registered) Pargesa Holding S.A. (Bearer) Partners Group Holding A.G.† Roche Holding A.G. (Genusschein) Schindler Holding A.G. (Participation Certificate) Schindler Holding A.G. (Registered) SGS S.A. (Registered) Sika A.G. (Bearer)† Sonova Holding A.G. (Registered) STMicroelectronics N.V.† Straumann Holding A.G. (Registered)† Sulzer A.G. (Registered) Swatch Group (The) A.G. (Bearer) Swatch Group (The) A.G. (Registered) Swiss Life Holding A.G. (Registered) Swiss Prime Site A.G. (Registered)† Swiss Re A.G. Swisscom A.G. (Registered) Syngenta A.G. (Registered) Transocean Ltd. UBS A.G. (Registered) Wolseley PLC Xstrata PLC Zurich Insurance Group A.G.

203 58,225 129,972 20,920 4,248 937 156,300 25,749 22,847 5,978 98 12 5,859 368,530 257,042 3,019 1,461 78,494 5,532 2,518 605 245 5,537 72,502 950 2,655 3,409 4,780 3,506 5,688 39,451 2,588 10,578 39,103 406,352 31,514 231,887 16,502

Taiwan - 2.5% Acer, Inc. Advanced Semiconductor Engineering, Inc. Advantech Co. Ltd. Asia Cement Corp. Asustek Computer, Inc. AU Optronics Corp. AU Optronics Corp. ADR† Capital Securities Corp. Catcher Technology Co. Ltd. Cathay Financial Holding Co. Ltd. Chang Hwa Commercial Bank

269,875 587,724 29,214 208,568 75,199 842,266 1,529 182,251 61,565 762,067 457,940

See Accompanying Notes to the Financial Statements.

35

COST

$

185 2,427 5,887 314 684 799 1,190 1,922 1,079 607 283 341 494 17,679 14,078 288 268 13,151 463 202 862 414 563 849 221 446 1,124 282 597 454 2,474 927 2,676 2,370 9,466 1,281 4,532 4,259 103,815 507 516 72 245 710 927 23 89 330 1,227 265

VALUE

$

184 3,310 2,220 232 836 913 784 1,523 820 682 304 430 265 22,687 15,099 182 267 13,945 648 296 1,213 458 525 395 128 344 1,358 335 337 477 2,481 1,038 3,619 1,863 4,287 1,137 3,081 3,683 98,931 248 458 104 265 698 261 5 62 298 755 249

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Taiwan - 2.5% - (Continued) Cheng Shin Rubber Industry Co. Ltd. Cheng Uei Precision Industry Co. Ltd. Chicony Electronics Co. Ltd. Chimei Innolux Corp. China Airlines Ltd. China Development Financial Holding Corp. China Life Insurance Co. Ltd. China Motor Corp. China Petrochemical Development Corp. China Steel Corp. Chinatrust Financial Holding Co. Ltd. Chunghwa Telecom Co. Ltd. Chunghwa Telecom Co. Ltd. ADR† Clevo Co. Compal Electronics, Inc. CTCI Corp. Delta Electronics, Inc. E Ink Holdings, Inc. E.Sun Financial Holding Co. Ltd. Epistar Corp. Eternal Chemical Co. Ltd. Eva Airways Corp. Evergreen Marine Corp. Tawain Ltd. Everlight Electronics Co. Ltd. Far Eastern Department Stores Co. Ltd. Far Eastern New Century Corp. Far EasTone Telecommunications Co. Ltd. Farglory Land Development Co. Ltd. Feng Hsin Iron & Steel Co. First Financial Holding Co. Ltd. Formosa Chemicals & Fibre Corp. Formosa International Hotels Corp. Formosa Petrochemical Corp. Formosa Plastics Corp. Formosa Taffeta Co. Ltd. Foxconn Technology Co. Ltd. Fubon Financial Holding Co. Ltd. Giant Manufacturing Co. Ltd. Highwealth Construction Corp. Hiwin Technologies Corp. Hon Hai Precision Industry Co. Ltd. Hotai Motor Co. Ltd. HTC Corp. Hua Nan Financial Holdings Co. Ltd. Inotera Memories, Inc. Inventec Corp. Kinsus Interconnect Technology Corp. Largan Precision Co. Ltd. LCY Chemical Corp. Lite-On Technology Corp. Macronix International

177,950 45,118 54,242 567,429 296,227 1,424,031 193,833 61,000 153,400 1,292,961 1,137,324 407,116 1,776 47,967 458,844 63,000 200,361 86,000 404,824 80,711 73,358 192,253 183,999 37,610 98,678 322,468 182,336 38,523 45,020 676,725 352,145 3,783 130,916 445,929 82,622 77,376 613,203 31,639 52,000 18,420 1,015,846 28,000 80,964 546,428 220,373 247,987 28,467 11,810 47,261 229,450 401,468

See Accompanying Notes to the Financial Statements.

36

COST

$

268 99 95 960 137 465 145 59 146 1,315 706 1,070 37 68 492 127 625 171 194 269 71 128 118 116 122 361 309 91 113 444 846 51 350 1,087 77 394 618 79 102 132 3,489 150 1,157 330 156 110 86 190 97 309 193

VALUE

$

473 83 105 181 123 334 189 52 127 1,149 683 1,222 53 63 431 117 678 84 222 151 56 113 101 59 104 362 460 62 72 413 932 41 380 1,234 72 275 644 174 81 170 2,865 188 788 310 42 74 80 242 64 289 99

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Taiwan - 2.5% - (Continued) MediaTek, Inc. Mega Financial Holding Co. Ltd. Motech Industries, Inc. MStar Semiconductor, Inc. Nan Kang Rubber Tire Co. Ltd. Nan Ya Plastics Corp. Nan Ya Printed Circuit Board Corp. Novatek Microelectronics Corp. Pegatron Corp. Phison Electronics Corp. Pou Chen Corp. Powertech Technology, Inc. President Chain Store Corp. Quanta Computer, Inc. Radiant Opto-Electronics Corp. Realtek Semiconductor Corp. Richtek Technology Corp. Ruentex Development Co. Ltd. Ruentex Industries Ltd. Shin Kong Financial Holding Co. Ltd. Siliconware Precision Industries Co. Simplo Technology Co. Ltd. Sino-American Silicon Products, Inc. SinoPac Financial Holdings Co. Ltd. Standard Foods Corp. Synnex Technology International Corp. Taishin Financial Holding Co. Ltd. Taiwan Business Bank Taiwan Cement Corp. Taiwan Cooperative Financial Holding Taiwan Fertilizer Co. Ltd. Taiwan Glass Industrial Corp. Taiwan Mobile Co. Ltd. Taiwan Semiconductor Manufacturing Co. Ltd. Taiwan Semiconductor Manufacturing Co. Ltd. ADR† Teco Electric and Machinery Co. Ltd. TPK Holding Co. Ltd. Transcend Information, Inc. Tripod Technology Corp. TSRC Corp. Tung Ho Steel Enterprise Corp. U-Ming Marine Transport Corp. Unimicron Technology Corp. Uni-President Enterprises Corp. United Microelectronics Corp. United Microelectronics Corp. ADR† Walsin Lihwa Corp. Wan Hai Lines Ltd. Wintek Corp. Wistron Corp. WPG Holdings Ltd.

109,402 872,365 32,636 44,027 60,508 529,209 20,915 59,878 174,808 13,459 243,169 81,595 65,827 276,805 46,000 50,686 15,341 66,271 53,970 658,692 325,102 30,773 54,400 638,545 27,280 137,156 550,055 328,335 347,605 431,701 82,612 100,747 189,357 2,644,973 20,999 192,866 18,660 20,928 45,000 62,700 93,952 46,000 138,870 429,487 1,357,612 4,589 401,000 119,291 194,322 229,096 151,487

See Accompanying Notes to the Financial Statements.

37

COST

$

1,358 585 156 330 92 1,095 89 228 230 88 211 232 249 491 146 140 123 92 94 376 488 128 144 265 75 275 248 108 439 309 238 77 403 5,574 211 108 305 55 149 95 120 114 198 479 772 18 183 77 177 314 189

VALUE

$

930 708 36 281 85 1,032 32 175 229 110 220 165 345 724 181 88 85 113 106 201 362 174 68 276 73 300 224 96 404 263 196 96 625 7,143 293 123 208 56 102 143 84 72 156 722 570 10 121 59 85 247 161

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES

COST

VALUE

COMMON STOCKS - 96.3%- (CONTINUED) Taiwan - 2.5% - (Continued) Ya Hsin Industrial Co. Ltd.(3) Yang Ming Marine Transport Corp. Yuanta Financial Holding Co. Ltd. Yulon Motor Co. Ltd. Zhen Ding Technology Holding Ltd.

12,000 150,292 895,039 98,242 19,000

Thailand - 0.5% Advanced Info Service PCL (Registered) Advanced Info Service PCL NVDR Bangkok Bank PCL Bangkok Bank PCL (Registered) Bangkok Bank PCL NVDR Bank of Ayudhya PCL (Registered) Bank of Ayudhya PCL NVDR Banpu PCL (Registered) BEC World PCL (Registered) BEC World PCL NVDR Charoen Pokphand Foods PCL (Registered) Charoen Pokphand Foods PCL NVDR CP ALL PCL (Registered) CP ALL PCL NVDR Glow Energy PCL (Registered) Glow Energy PCL NVDR Indorama Ventures PCL (Registered) Indorama Ventures PCL NVDR IRPC PCL (Registered)† IRPC PCL NVDR Kasikornbank PCL Kasikornbank PCL (Registered) Kasikornbank PCL NVDR Krung Thai Bank PCL (Registered) Krung Thai Bank PCL NVDR PTT Exploration & Production PCL (Registered)† PTT Exploration & Production PCL NVDR† PTT Global Chemical PCL (Registered) PTT Global Chemical PCL NVDR PTT PCL (Registered) PTT PCL NVDR Siam Cement PCL (Registered)† Siam Cement PCL NVDR† Siam Commercial Bank PCL (Registered)† Siam Commercial Bank PCL NVDR Thai Oil PCL (Registered)† Thai Oil PCL NVDR

69,693 28,890 34,000 61,747 51,500 150,268 50,332 12,357 68,401 40,000 242,486 89,700 339,600 146,928 37,401 19,100 118,280 43,855 799,900 312,975 100,723 70,300 29,139 218,576 90,684 92,710 35,792 99,437 85,003 67,825 26,995 25,100 21,236 119,777 52,688 65,511 25,000

185 129 158 219 247 88 40 119 45 56 77 95 61 122 36 35 194 44 139 39 320 262 98 72 41 333 189 177 164 602 267 181 226 271 197 134 46 5,708

443 184 212 408 321 159 52 159 122 71 256 95 367 159 72 37 112 41 92 36 560 395 162 114 47 448 173 187 160 703 280 278 221 613 269 123 47 8,178

Turkey - 0.4% Adana Cimento Sanayii T.A.S., Class A(1) Akbank T.A.S. Anadolu Efes Biracilik Ve Malt Sanayii A.S. Arcelik A.S.

1 200,179 22,395 26,053

826 236 115

755 305 129

See Accompanying Notes to the Financial Statements.

38

$

10 84 513 137 64 43,783

$

62 418 172 57 40,836

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) Turkey - 0.4% - (Continued) Asya Katilim Bankasi A.S. BIM Birlesik Magazalar A.S. Coca-Cola Icecek A.S. Dogan Sirketler Grubu Holding A.S.(1) Dogan Yayin Holding A.S.(1) Emlak Konut Gayrimenkul Yatirim Ortakligi A.S. Enka Insaat ve Sanayi A.S. Eregli Demir ve Celik Fabrikalari T.A.S. Ford Otomotiv Sanayi A.S. Haci Omer Sabanci Holding A.S. KOC Holding A.S. Koza Altin Isletmeleri A.S. TAV Havalimanlari Holding A.S. Trakya Cam Sanayi A.S.(1) Tupras Turkiye Petrol Rafinerileri A.S. Turk Hava Yollari AO Turk Telekomunikasyon A.S. Turkcell Iletisim Hizmetleri A.S. Turkiye Garanti Bankasi A.S. Turkiye Halk Bankasi A.S. Turkiye Is Bankasi, Class C Turkiye Sise ve Cam Fabrikalari A.S. Turkiye Vakiflar Bankasi Tao, Class D Ulker Gida Sanayi A.S.(1) Yapi ve Kredi Bankasi A.S. Ukraine - 0.0% Kernel Holding S.A. United Kingdom - 13.4% 3i Group PLC Aberdeen Asset Management PLC Admiral Group PLC Aggreko PLC AMEC PLC Anglo American PLC Antofagasta PLC ARM Holdings PLC Associated British Foods PLC AstraZeneca PLC Aviva PLC Babcock International Group PLC BAE Systems PLC Balfour Beatty PLC Barclays PLC BG Group PLC BHP Billiton PLC BP PLC British American Tobacco PLC British Land Co. PLC

54,088 11,749 6,812 1 1 66,327 39,205 128,046 7,535 90,291 70,841 4,227 17,483 1 13,873 54,782 58,750 88,224 255,363 34,550 175,946 46,520 83,165 1 97,419

COST

$

109 311 78 114 156 180 62 361 224 65 90 320 107 224 564 966 254 528 96 193 213 6,392

VALUE

$

58 512 106 88 114 141 72 397 277 84 96 307 105 228 495 998 297 517 65 175 202 6,523

5,794

123

122

106,104 94,922 22,728 29,991 36,897 148,241 44,468 153,971 39,344 142,521 324,756 39,750 361,985 78,799 1,294,285 379,163 235,853 2,119,058 218,945 94,198

724 357 368 715 526 7,164 727 850 662 6,765 2,958 393 2,486 465 8,039 7,229 7,142 19,792 7,945 996

346 384 389 960 646 4,413 747 1,330 774 6,669 1,484 535 1,752 358 3,407 7,497 6,907 14,112 11,655 789

See Accompanying Notes to the Financial Statements.

39

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) United Kingdom - 13.4% - (Continued) British Sky Broadcasting Group PLC BT Group PLC Bunzl PLC Burberry Group PLC Capita PLC Capital Shopping Centres Group PLC Carnival PLC Centrica PLC Cobham PLC Compass Group PLC Croda International PLC Diageo PLC Eurasian Natural Resources Corp. PLC Evraz PLC G4S PLC GKN PLC GlaxoSmithKline PLC Hammerson PLC HSBC Holdings PLC ICAP PLC IMI PLC Imperial Tobacco Group PLC Inmarsat PLC InterContinental Hotels Group PLC International Consolidated Airlines Group S.A. Intertek Group PLC Invensys PLC Investec PLC ITV PLC J. Sainsbury PLC Johnson Matthey PLC Kazakhmys PLC Kingfisher PLC Land Securities Group PLC Legal & General Group PLC Lloyds Banking Group PLC London Stock Exchange Group PLC Lonmin PLC† Man Group PLC Marks & Spencer Group PLC Meggitt PLC Melrose PLC† National Grid PLC Next PLC Old Mutual PLC Old Mutual PLC (London Exchange) Pearson PLC Petrofac Ltd. Prudential PLC Randgold Resources Ltd. Reckitt Benckiser Group PLC

125,181 867,536 36,646 48,501 72,326 61,696 20,156 579,673 122,389 209,143 14,932 278,964 28,677 37,097 156,232 175,973 563,847 79,216 2,009,080 60,732 35,489 111,012 50,008 32,174 103,493 17,693 89,791 58,783 410,789 138,530 24,148 23,763 266,377 87,267 655,984 4,611,195 19,629 17,843 201,035 180,831 86,992 134,255 382,772 18,896 114,535 429,474 91,268 28,645 284,391 9,797 73,392

See Accompanying Notes to the Financial Statements.

40

COST

$

1,366 3,389 458 668 876 506 779 2,946 441 1,560 518 5,499 506 209 648 581 12,875 685 22,108 537 509 3,895 488 648 467 501 465 500 385 1,010 770 579 1,035 1,320 1,379 9,960 389 673 1,397 1,342 521 471 3,982 691 387 1,203 1,428 471 3,258 820 3,879

VALUE

$

1,397 2,954 640 953 806 311 678 2,879 446 2,246 550 7,461 177 138 607 580 12,973 575 16,806 303 457 4,312 385 795 260 758 339 347 486 702 825 263 1,114 1,080 1,310 2,193 298 195 251 945 523 464 3,973 953 284 1,061 1,710 669 3,400 890 4,033

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.3%- (CONTINUED) United Kingdom - 13.4% - (Continued) Reed Elsevier PLC Resolution Ltd. Rexam PLC Rio Tinto PLC Rolls-Royce Holdings PLC Royal Bank of Scotland Group PLC RSA Insurance Group PLC SABMiller PLC Sage Group (The) PLC Schroders PLC Segro PLC Serco Group PLC Severn Trent PLC† Smith & Nephew PLC Smiths Group PLC SSE PLC† Standard Chartered PLC Standard Life PLC Subsea 7 S.A.† Tate & Lyle PLC Tesco PLC TUI Travel PLC Tullow Oil PLC Unilever PLC United Utilities Group PLC Vedanta Resources PLC† Vodafone Group PLC Weir Group (The) PLC† Whitbread PLC WM Morrison Supermarkets PLC United States - 0.2% Brookfield Office Properties, Inc. Catamaran Corp. Sims Metal Management Ltd.† Southern Copper Corp.† Thomson Reuters Corp.

136,402 156,738 99,574 150,361 209,009 233,581 398,039 106,389 148,358 12,443 81,968 55,266 26,982 100,435 43,446 104,561 265,753 263,966 31,113 51,139 897,311 49,351 101,022 143,145 78,181 11,767 5,568,381 23,831 19,964 267,104

$

1,441 695 664 8,694 1,827 6,756 789 3,025 671 260 541 469 667 1,093 809 2,392 6,727 1,124 750 545 6,244 210 1,769 4,345 893 465 15,463 676 563 1,348

VALUE

$

1,150 506 678 6,942 2,785 782 679 4,596 668 250 304 499 729 1,028 726 2,151 6,098 1,000 655 529 4,472 141 2,042 5,138 837 180 15,931 618 668 1,161

250,196

217,852

31,498 10,686 18,323 19,332 41,797

587 1,006 457 620 1,426 4,096 1,787,756

539 908 160 624 1,186 3,417 1,561,922

11,473 213,218 20,300 25,100 16,842 25,219 10,749 83,923 3,880

108 3,327 145 638 158 356 303 1,805 94

162 3,265 161 369 102 245 434 3,230 109

TOTAL COMMON STOCKS PREFERRED STOCKS - 2.3% Brazil - 1.7% AES Tiete S.A. Banco Bradesco S.A. Banco do Estado do Rio Grande do Sul, Class B Bradespar S.A. Braskem S.A., Class A Centrais Eletricas Brasileiras S.A., Class B Cia Brasileira de Distribuicao Grupo Pao de Acucar Cia de Bebidas das Americas Cia de Transmissao de Energia Eletrica Paulista

COST

See Accompanying Notes to the Financial Statements.

41

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES PREFERRED STOCKS - 2.3%- (CONTINUED) Brazil - 1.7% - (Continued) Cia Energetica de Minas Gerais Cia Energetica de Sao Paulo, Class B Cia Paranaense de Energia, Class B Eletropaulo Metropolitana Eletricidade de Sao Paulo S.A. Gerdau S.A. Itau Unibanco Holding S.A. Itausa - Investimentos Itau S.A. Klabin S.A. Lojas Americanas S.A. Metalurgica Gerdau S.A. Oi S.A. Petroleo Brasileiro S.A. Telefonica Brasil S.A. Usinas Siderurgicas de Minas Gerais S.A., Class A Vale S.A. Chile - 0.0% Sociedad Quimica y Minera de Chile S.A., Class B Colombia - 0.0% Banco Davivienda S.A. Bancolombia S.A. Grupo Aval Acciones y Valores Grupo de Inversiones Suramericana S.A. Inversiones Argos S.A. Germany - 0.4% Bayerische Motoren Werke A.G. Henkel A.G. & Co. KGaA Porsche Automobil Holding S.E.† ProSiebenSat.1 Media A.G.† RWE A.G. (Non Voting) Volkswagen A.G.† Russia - 0.1% AK Transneft OAO Sberbank of Russia Surgutneftegaz OAO Surgutneftegaz OAO ADR† South Korea - 0.1% Hyundai Motor Co. Ltd. Hyundai Motor Co. Ltd., Class 2 LG Chem Ltd. Samsung Electronics Co. Ltd.

53,885 18,113 11,471 10,878 96,813 254,600 287,758 50,507 44,805 30,245 93,893 469,209 32,868 42,180 223,665

COST

$

676 330 198 208 1,177 4,746 1,635 175 282 668 664 7,359 641 532 5,132 31,357

VALUE

$

1,026 329 232 103 878 4,017 1,349 223 316 344 466 4,460 767 152 3,974 26,713

9,949

336

598

9,600 14,112 155,561 6,996 13,883

118 208 102 119 94

116 220 105 128 133

641

702

6,096 19,694 17,277 9,665 4,572 16,163

283 1,019 1,573 240 313 2,043 5,471

305 1,419 894 204 162 2,767 5,751

172 109,620 698,540 6,202

237 239 407 56 939

275 216 405 35 931

2,646 4,166 816 2,295

108 188 115 1,135 1,546 40,290

155 276 70 1,642 2,143 36,838

TOTAL PREFERRED STOCKS

See Accompanying Notes to the Financial Statements.

42

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES RIGHTS - 0.0% Austria - 0.0% Immoeast A.G.(2)† Immoeast A.G.(2) Brazil - 0.0% Cia de Transmissao de Energia Eletrica Paulista(1) PDG Realty S.A. Empreendimentos e Participacoes(4)

34,351 30,077

COST

$

VALUE

-

32 21,796

$

-

-

-

-

1

-

1

Canada - 0.0% Ivanhoe Mines Ltd.(1)

14

-

-

France - 0.0% Eurazeo(1)

23

-

-

15,709 1,044,286 16,419

-

19 191 9 219 220

Spain - 0.0% ACS Actividades de Construccion y Servicios S.A.(4)† Banco Santander S.A.(4)† Zardoya Otis S.A.(4) TOTAL RIGHTS

UNITS SHORT-TERM INVESTMENTS - 12.2% Northern Trust Global Investments Collective Short-Term Investment Fund(5) NTI/NTCC Commingled Funds Custom Collateral Section(5)(6)(7) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 110.8%

1,330,305 196,096,108

Liabilities less Other Assets - (10.8)%

(2) (3) (4) (5) (6) (7)

†

$

1,330 196,096 197,426 2,025,472

VALUE

$

1,330 196,096 197,426 1,796,406 (175,057)

NET ASSETS - 100.0% (1)

COST

$1,621,349

Cost and Value amount rounds to less than $1. Security has been deemed worthless by the Northern Trust Global Investments Pricing and Valuation Committee. Value amount rounds to less than $1. Cost amount rounds to less than $1. Investment in affiliated fund. See Note B in the Notes to the Financial Statements. Investment relates to cash collateral received from portfolio securities loaned. Security is either wholly or partially on loan.

Percentages shown are based on Net Assets.

See Accompanying Notes to the Financial Statements.

43

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Number of Contracts)

SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT COMMON STOCKS PREFERRED STOCKS NORTHERN TRUST FUND(1) TOTAL (1)

COST OF PURCHASES

PROCEEDS FROM SALES

NET REALIZED GAINS (LOSSES)

$448,367 10,565

$ 73,361 1,507

$(29,352) (335)

439,021

437,976

$897,953

$512,844

— $(29,687)

The amounts presented exclude purchases and sales related to the NTI/NTCC Commingled Funds Custom Collateral Section. The net sales during the year were $13,921.

The Brazilian and Indian governments charge transactional costs related to foreign investments in Brazilian and Indian financial and capital markets. Transactional costs of $20 have been netted against net realized gains (losses) on securities transactions on the Statement of Operations and Changes in Net Assets. As such, the realized gains (losses) between this schedule and the Statement of Operations and Changes in Net Assets will differ by this amount. OPEN FUTURES CONTRACTS: TYPE

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

CURRENCY

Euro Euro South African Rand British Pound Hong Kong Dollar

5 142 23 52 13

$1,044 4,071 846 4,567 1,653

Long Long Long Long Long

9/12 9/12 9/12 9/12 8/12

$ 44 280 6 106 81

SPI 200 INDEX

United States Dollar Canadian Dollar United States Dollar Australian Dollar

44 21 67 18

1,116 2,783 703 2,002

Long Long Long Long

8/12 9/12 8/12 9/12

44 50 14 52

TOPIX INDEX

Japanese Yen

36

3,383

Long

9/12

DAX INDEX EURO STOXX 50 FTSE/JSE TOP 40 FTSE 100 INDEX HANG SENG INDEX MSCI TAIWAN INDEX S&P/TSX 60 INDEX SGX S&P CNX NIFTY INDEX

64 $741

TOTAL

Foreign currency and other liquid assets are pledged as collateral to cover margin requirements for open futures contracts. At July 31, 2012, the NT Collective All Country World ex-US Index Fund - Lending’s investments had outstanding foreign currency exchange contracts as follows: CONTRACTS TO DELIVER CURRENCY Korean Won Euro British Pound British Pound British Pound Canadian Dollar

AMOUNT (LOCAL CURRENCY) 3 253 601 503 280 873

IN EXCHANGE FOR CURRENCY United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar

AMOUNT (LOCAL CURRENCY)

SETTLEMENT DATE

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR)

—* 310 940 780 435 870

8/3/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12

$ —* 1 (2) (8) (4) (1)

See Accompanying Notes to the Financial Statements.

44

COUNTERPARTY HSBC Holdings PLC Citibank London UBS Securities New York UBS Securities New York Goldman Sachs Capital Markets NY Morgan Stanley & Co. New York

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

CONTRACTS TO DELIVER CURRENCY Canadian Dollar Euro

IN EXCHANGE FOR CURRENCY

AMOUNT (LOCAL CURRENCY)

AMOUNT (LOCAL CURRENCY)

SETTLEMENT DATE

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR)

COUNTERPARTY

270 1,379

United States Dollar United States Dollar

265 1,700

9/19/12 9/19/12

$ (4) 1

Citibank London Morgan Stanley & Co. New York

Euro

641

United States Dollar

785

9/19/12

(5)

Morgan Stanley & Co. New York

Euro

376

United States Dollar

455

9/19/12

(8)

Citibank London

Hong Kong Dollar Japanese Yen

4,692 98,514

United States Dollar United States Dollar

605 1,260

9/19/12 9/19/12

—* (2)

Morgan Stanley & Co. New York Morgan Stanley & Co. New York

Japanese Yen Malaysian Ringgit

23,441 2,801

United States Dollar United States Dollar

300 895

9/19/12 9/19/12

—* 2

Morgan Stanley & Co. New York UBS Securities New York

Swiss Franc Swiss Franc

539 304

United States Dollar United States Dollar

550 320

9/19/12 9/19/12

(3) 8

Morgan Stanley & Co. New York UBS Securities New York

Swiss Franc United States Dollar United States Dollar

62 482 350

United States Dollar Australian Dollar Australian Dollar

65 487 346

9/19/12 9/19/12 9/19/12

2 28 13

Citibank London UBS Securities New York UBS Securities New York

United States Dollar

300

297

9/19/12

11

Goldman Sachs Capital Markets NY

United States Dollar United States Dollar

2,224 700

British Pound British Pound

Australian Dollar

1,430 450

9/19/12 9/19/12

16 5

UBS Securities New York Morgan Stanley & Co. New York

United States Dollar

565

British Pound

362

9/19/12

2

Goldman Sachs Capital Markets NY

United States Dollar United States Dollar United States Dollar United States Dollar

300 265 240 1,951

British Pound British Pound British Pound Canadian Dollar

192 169 153 2,004

9/19/12 9/19/12 9/19/12 9/19/12

2 —* —* 46

Goldman Sachs Capital Markets NY Morgan Stanley & Co. New York Citibank London Citibank London

United States Dollar United States Dollar

1,624 600

Euro Euro

1,289 473

9/19/12 9/19/12

(36) (17)

Citibank London UBS Securities New York

United States Dollar United States Dollar United States Dollar

445 395 325

Euro Euro Euro

353 317 264

9/19/12 9/19/12 9/19/12

(10) (5) —*

Morgan Stanley & Co. New York Morgan Stanley & Co. New York UBS Securities New York

United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar

305 275 737 1,498 970 670 305 210 230 220

242 224 5,716 118,667 77,071 53,347 24,027 269 225 210

9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12

(7) 2 —* 22 17 13 3 6 1 (5)

UBS Securities New York UBS Securities New York Citibank London Morgan Stanley & Co. New York UBS Securities New York UBS Securities New York Morgan Stanley & Co. New York Citibank London UBS Securities New York Morgan Stanley & Co. New York

Euro Euro Hong Kong Dollar Japanese Yen Japanese Yen Japanese Yen Japanese Yen Singapore Dollar Swiss Franc Swiss Franc

TOTAL *

$ 84

Amount rounds to less than one thousand.

See Accompanying Notes to the Financial Statements.

45

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

At July 31, 2012, the NT Collective All Country World ex-US Index Fund - Lending’s investments (excluding short-term investments) were denominated in the following currencies: CONCENTRATION BY CURRENCY Euro British Pound Japanese Yen Canadian Dollar Australian Dollar Hong Kong Dollar Swiss Franc All other currencies less than 5% Total

% OF INVESTMENTS 18.2% 15.7 14.3 8.2 6.3 6.3 5.8 25.2 100.0%

At July 31, 2012, the NT Collective All Country World ex-US Index Fund - Lending’s investments (excluding short-term investments) were diversified as follows: INDUSTRY SECTOR Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Total

% OF INVESTMENTS 9.3% 10.6 10.9 24.1 7.5 10.6 6.3 10.9 6.1 3.7 100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/ or securities indices). The Fund adjusted the price of certain foreign equity securities held in its portfolio on July 31, 2012 using adjustment factors designed to reflect more accurately the fair value of the securities. The fair valuation of these securities resulted in their categorization as Level 2 investments. Level 3 - Valuations based on inputs that are unobservable and significant. The Fund utilized the following techniques on Level 3 investments: The Fund valued certain securities using an adjusted price deemed to reflect fair value as a result of there being a lack of market activity and data observed for the security.

See Accompanying Notes to the Financial Statements.

46

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective All Country World ex-US Index Fund Lending’s investments and other financial instruments, which are carried at fair value, as of

July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Common Stocks

—

$ —

$ 143,954

164,393 169,952 375,591

— — —

— — —

164,393 169,952 375,591

119,958 169,616 99,579 166,625

— — — —

— 97 — —

119,958 169,713 99,579 166,625

95,825 56,332

— —

— —

95,825 56,332

Telecommunication Services

4,917 5,083 5,175 9,577 1,642 6,842 1,232

— — — — — — —

— — — — — — —

4,917 5,083 5,175 9,577 1,642 6,842 1,232

Utilities

2,370

—

—

2,370

— — —

— 192 9

—

197,426

—

197,426

$1,598,682

$197,426

$298

$1,796,406

$

741 —

$

$ — —

$

$

741

Consumer Discretionary

$ 143,954

Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities

$

Preferred Stocks Consumer Discretionary Consumer Staples Energy Financials Information Technology Materials

Rights

—* — 19

Consumer Discretionary Financials Industrials Short Term Investments Total Investments

—* 192 28

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts Foreign Currency Exchange Contracts

— 201

741 201

Liabilities

—

Foreign Currency Exchange Contracts Total Other Financial Instruments *

(117) $

—

84

$ —

Amount rounds to less than one thousand.

See Accompanying Notes to the Financial Statements.

47

(117) $

825

NT COLLECTIVE ALL COUNTRY WORLD EX-US INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. US GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly. The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value: TRANSFERS TRANSFERS CHANGE IN CHANGE IN OUT OF BALANCE INTO UNREALIZED BALANCE REALIZED REALIZED UNREALIZED LEVEL 3* AS OF 7/31/12 LEVEL 3* APPRECIATION (DEPRECIATION) PURCHASES SALES AS OF 7/31/11 GAIN LOSS Common Stock Financials Industrials

$ 6 —

$— —

$ (8) —

$ 2 —

$— —

$— —

$— —

$— 97

$— —

$ — 97

Rights Financials

4

—

—

192

Industrials

—

—

—

9

$10

$—

Total *

$ (8)

$203

(4)

—

—

—

—

192

—

—

—

—

—

9

$—

$—

$ 97

$—

$298

$ (4)

The value of Transfers In and/or Out of Level 3 was measured using the fair value as of the end of the year. Transfers out of Level 3 investments occurred from movement into actively traded markets with multiple pricing sources. Transfers into Level 3 investments occurred from suspension from actively traded markets.

The amount of change in total unrealized gain on investments in level 3 securities still held at July 31, 2012 was $12, which is included in the Statement of Operations and Changes in Net Assets in Change in Net Unrealized Appreciation (Depreciation).

See Accompanying Notes to the Financial Statements.

48

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (including Securities on Loan of $318,666) (Cost $4,239,038) Investments in Northern Trust Funds, at Value (Cost $330,904) Cash Held at Broker (Restricted $4,572) Foreign Currencies (Cost $36,103) Receivable for Investments Sold Receivable for Variation Margin on Futures Contracts Receivable for Fund Units Sold Unrealized Gain on Forward Foreign Currency Exchange Contracts Reclaims Receivable Accrued Income Receivable Total Assets LIABILITIES Due to Broker Payable Upon Return of Securities Loaned Payable for Investments Purchased Payable for Fund Units Redeemed Payable for Variation Margin on Futures Contracts Unrealized Loss on Forward Foreign Currency Exchange Contracts Accrued Expenses Total Liabilities

$

$

$

3,970,404 330,904 18,808 36,250 3,475 190 4,562 839 12,401 5,399 4,383,232

$

4,546 322,606 1,337 866 311 284 86 330,036

$

4,053,196

$

$

141,456 12 2,850 144,318 14 896 13 923

$

143,395

Net Realized Gains (Losses) on Securities Transactions

$

(80,669)

Net Realized Gains (Losses) on Futures Contracts

$

(11,117)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(1,997)

$

312,528 (264,404) (576,932)

NET ASSETS (Equivalent to $342.272 Per Unit, Based on 11,842,040 Units Outstanding)

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $1,625 in Foreign Withholding Tax) Income from Investment in Northern Trust Fund Net Income from Securities Loaned Total Investment Income Less: Audit Fee Expense Recovery Other Expenses Total Expenses Net Investment Income (Loss)

$

REALIZED AND UNREALIZED GAINS (LOSSES)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$

Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts and on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year

$

3,289

Change in Net Unrealized Appreciation (Depreciation)

$

(3,538)

Net Realized and Unrealized Gains (Losses) on Investments and Futures Contracts and Foreign Currency Transactions

$

(674,253)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(530,858)

$ $

1,441,016 (1,275,189) 165,827

$

(365,031)

End of Year

(249)

UNIT TRANSACTIONS Admission of 4,182,951 Units Withdrawal of 3,820,350 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Beginning of Year (11,479,439 Units Outstanding)

4,418,227

End of Year (11,842,040 Units Outstanding)*

$

*13.18% owned by NT Collective World ex-US Investable Market Index Fund - Lending

See Accompanying Notes to the Financial Statements.

49

4,053,196

NT COLLECTIVE EAFE INDEX FUND - LENDING FINANCIAL HIGHLIGHTS For the Years Ended

July 31, 2012

July 31, 2011

July 31, 2010

July 31, 2009

July 31, 2008

Unit Value, Beginning of Year

$

Net Investment Income (Loss)

384.882

$

327.524

$

307.003

$

395.057

$

447.511

12.431

11.567

7.383

0.001

0.019

Net Realized and Unrealized Gains (Losses)

(55.041)

45.791

13.138

(88.055)

(52.473)

Net Increase (Decrease)

(42.610)

57.358

20.521

(88.054)

(52.454)

Unit Value, End of Year

Total Return

$

(1)

342.272

$

384.882

(11.07)%

$

17.51%

327.524

$

6.68%

307.003

$

(22.28)%

395.057

(11.72)%

Supplemental Data and Ratios Net Assets (000's Omitted)

$

4,053,196

$

4,418,227

$

4,086,027

$

4,719,738

$

5,543,514

Ratio to Average Net Assets of: Expenses - net of refund

0.02%

0.04%

N/A

N/A

Expenses - before refund

0.02%

0.04%

0.02%

0.00%

Net Investment Income (Loss) - net of refund

3.75%

3.12%

N/A

N/A

Net Investment Income (Loss) - before refund

3.75%

3.12%

2.13%

0.00%

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of year. N/A - Not applicable.

*

Equals to less than 0.005%

See Accompanying Notes to the Financial Statements.

50

N/A *

0.00%

*

0.00%

N/A

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8% Australia - 9.0% AGL Energy Ltd. Alumina Ltd.† Amcor Ltd. AMP Ltd. APA Group† Asciano Ltd. ASX Ltd.† Australia & New Zealand Banking Group Ltd. Bendigo and Adelaide Bank Ltd.† BGP Holdings PLC - (Fractional Shares)(1)† BHP Billiton Ltd. Boral Ltd.† Brambles Ltd. Caltex Australia Ltd.† Campbell Brothers Ltd. Centro Retail Australia CFS Retail Property Trust Group† Coca-Cola Amatil Ltd. Cochlear Ltd.† Commonwealth Bank of Australia† Computershare Ltd. Crown Ltd. CSL Ltd. Dexus Property Group Echo Entertainment Group Ltd. Fairfax Media Ltd.† Fortescue Metals Group Ltd.† Goodman Group GPT Group Harvey Norman Holdings Ltd.† Iluka Resources Ltd.† Incitec Pivot Ltd. Insurance Australia Group Ltd. James Hardie Industries S.E. Leighton Holdings Ltd.† Lend Lease Group† Lynas Corp. Ltd.† Macquarie Group Ltd. Metcash Ltd.† Mirvac Group National Australia Bank Ltd. Newcrest Mining Ltd. Orica Ltd. Origin Energy Ltd. OZ Minerals Ltd. Qantas Airways Ltd. QBE Insurance Group Ltd.† QR National Ltd. Ramsay Health Care Ltd. Rio Tinto Ltd.† Santos Ltd.

219,871 981,252 493,697 1,160,365 265,659 392,273 70,421 1,086,225 153,384 4,894,209 1,307,796 299,365 633,105 54,306 27,145 520,179 811,534 228,755 22,854 641,015 178,841 167,036 211,111 1,837,220 304,128 899,188 570,127 629,426 591,999 213,928 168,376 655,165 836,315 175,861 60,919 218,100 689,278 134,607 353,307 1,373,836 907,665 310,137 148,521 441,008 130,240 447,141 468,392 686,761 52,861 177,038 387,433

See Accompanying Notes to the Financial Statements.

51

COST

$

2,836 1,502 2,764 6,069 1,379 1,777 2,162 22,395 1,253 48,625 1,430 3,964 545 1,390 958 1,437 2,314 1,328 31,426 1,694 1,293 6,353 1,485 1,115 1,221 2,466 1,897 1,734 767 2,769 1,861 2,949 1,208 1,894 1,771 1,598 5,530 1,465 1,822 23,337 10,363 3,265 6,372 1,437 1,054 8,797 1,976 830 11,942 5,345

VALUE

$

3,633 702 3,917 4,897 1,370 1,792 2,314 26,908 1,324 43,944 1,059 4,151 808 1,340 1,122 1,691 3,353 1,586 38,808 1,444 1,485 9,486 1,914 1,338 497 2,478 2,491 2,137 450 1,685 2,144 3,318 1,549 1,097 1,859 584 3,538 1,268 1,981 23,860 7,670 3,890 5,481 1,036 536 6,920 2,313 1,319 9,911 4,383

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Australia - 9.0% - (Continued) Sonic Healthcare Ltd. SP AusNet Stockland Suncorp Group Ltd. Sydney Airport† TABCORP Holdings Ltd. Tatts Group Ltd. Telstra Corp. Ltd. Toll Holdings Ltd. Transurban Group Wesfarmers Ltd. Westfield Group Westfield Retail Trust Westpac Banking Corp.† Whitehaven Coal Ltd. Woodside Petroleum Ltd. Woolworths Ltd. WorleyParsons Ltd.

149,047 659,681 942,902 517,539 149,744 293,153 550,118 1,766,225 271,331 533,969 407,905 893,251 1,166,570 1,238,221 178,133 262,645 497,948 84,070

COST

$

1,877 566 3,398 4,187 297 836 1,268 5,434 1,868 2,719 11,454 7,981 2,868 27,354 1,014 11,084 12,822 2,115

VALUE

$

1,984 732 3,324 4,624 496 1,003 1,679 7,435 1,148 3,439 13,990 9,400 3,744 30,231 688 9,328 14,971 2,308

352,306

365,305

29,870 87,446 369,138 60,098 19,671 133,643 27,415 15,473 44,194

1,527 3,301 1,490 2,545 1,174 2,144 1,191 830 1,620 15,822

1,639 1,586 1,210 1,893 651 1,218 526 603 1,205 10,531

Belgium - 1.1% Ageas Anheuser-Busch InBev N.V. Belgacom S.A.† Colruyt S.A. Delhaize Group S.A.† Fortis Bank S.A./N.V. (VVPR)(1) Groupe Bruxelles Lambert S.A.† KBC Groep N.V. Mobistar S.A. Solvay S.A., Class A Telenet Group Holding N.V. UCB S.A. Umicore S.A.

950,240 325,693 61,173 30,458 40,964 12,587 32,453 64,806 12,066 23,850 23,750 44,731 45,857

3,457 17,633 2,253 1,462 2,982 2,917 2,863 799 2,510 969 1,996 1,732 41,573

1,897 25,739 1,764 1,386 1,468 2,128 1,360 373 2,484 1,049 2,245 2,036 43,929

China - 0.0% Yangzijiang Shipbuilding Holdings Ltd.†

769,056

802

615

221

1,589

1,458

Austria - 0.3% Andritz A.G. Erste Group Bank A.G.† IMMOFINANZ A.G. OMV A.G. Raiffeisen Bank International A.G.† Telekom Austria A.G. Verbund A.G. Vienna Insurance Group A.G. Wiener Versicherung Gruppe Voestalpine A.G.

Denmark - 1.2% A.P. Moller - Maersk A/S, Class A

See Accompanying Notes to the Financial Statements.

52

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Denmark - 1.2% - (Continued) A.P. Moller - Maersk A/S, Class B Carlsberg A/S, Class B Coloplast A/S, Class B Danske Bank A/S DSV A/S† Novo-Nordisk A/S, Class B Novozymes A/S, Class B TDC A/S† Tryg A/S† William Demant Holding A/S† Finland - 0.7% Elisa OYJ† Fortum OYJ Kesko OYJ, Class B† Kone OYJ, Class B† Metso OYJ Neste Oil OYJ† Nokia OYJ† Nokian Renkaat OYJ† Orion OYJ, Class B† Pohjola Bank PLC, Class A† Sampo OYJ, Class A Stora Enso OYJ, Class R† UPM-Kymmene OYJ Wartsila OYJ Abp† France - 8.4% Accor S.A.† Aeroports de Paris† Air Liquide S.A. Alcatel-Lucent† Alstom S.A.† Arkema S.A. AtoS AXA S.A. BNP Paribas S.A.† Bouygues S.A.† Bureau Veritas S.A. Cap Gemini S.A.† Carrefour S.A.† Casino Guichard Perrachon S.A.† Christian Dior S.A. Cie de St-Gobain Cie Generale de Geophysique - Veritas Cie Generale des Etablissements Michelin† Cie Generale d’Optique Essilor International S.A. CNP Assurances† Credit Agricole S.A.† Danone S.A.

539 43,684 9,162 265,936 77,252 165,081 99,404 196,171 9,860 10,964

56,805 181,215 26,904 63,487 51,922 51,586 1,524,926 44,315 38,285 55,598 168,953 225,878 211,143 68,113

59,320 12,247 126,416 933,333 83,522 25,324 22,526 715,471 394,627 75,992 21,967 59,524 246,555 22,601 21,943 163,421 56,047 75,512 82,191 65,625 401,964 234,465

See Accompanying Notes to the Financial Statements.

53

COST

$

4,005 3,189 974 5,403 1,427 13,257 2,192 1,670 650 846 35,202

VALUE

$

3,743 3,545 1,739 3,961 1,661 25,532 2,456 1,334 561 1,037 47,027

1,168 4,586 952 2,790 1,840 859 17,884 1,304 765 628 4,253 1,764 2,818 1,577

1,183 3,040 697 3,948 1,899 547 3,662 1,773 766 647 4,494 1,294 2,267 2,050

43,188

28,267

2,081 988 12,970 3,206 5,399 2,550 1,095 16,292 29,386 3,608 1,297 2,710 10,072 1,965 2,417 8,603 1,275 5,533 5,130 1,468 6,980 14,405

1,977 951 14,164 1,034 2,781 1,867 1,270 8,767 14,663 1,921 1,945 2,182 4,394 1,901 3,042 4,943 1,616 5,154 7,171 693 1,728 14,288

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) France - 8.4% - (Continued) Dassault Systemes S.A.† Edenred† Electricite de France S.A. Eurazeo† Eutelsat Communications S.A. Fonciere Des Regions† France Telecom S.A. GDF Suez† Gecina S.A. Groupe Eurotunnel S.A. (Registered) ICADE Iliad S.A.† Imerys S.A. JCDecaux S.A.† Klepierre Lafarge S.A.† Lagardere S.C.A. Legrand S.A.† L’Oreal S.A. LVMH Moet Hennessy Louis Vuitton S.A. Natixis† Pernod-Ricard S.A.† Peugeot S.A.† PPR† Publicis Groupe S.A.† Remy Cointreau S.A.† Renault S.A. Rexel S.A. Safran S.A. Sanofi Schneider Electric S.A. SCOR S.E. SES S.A. Societe BIC S.A.† Societe Generale S.A. Sodexo Suez Environnement Co.† Technip S.A. Thales S.A.† Total S.A. Unibail-Rodamco S.E. Vallourec S.A.† Veolia Environnement S.A.† Vinci S.A. Vivendi S.A. Wendel S.A.† Zodiac Aerospace†

24,856 68,948 97,320 13,014 53,070 10,234 753,293 501,100 8,815 228,341 9,371 9,295 13,654 26,736 38,640 76,021 47,479 96,817 97,554 102,952 372,039 85,741 92,904 30,952 59,963 9,165 77,347 44,518 92,902 489,381 211,115 65,236 114,906 11,578 282,715 37,916 112,537 40,181 37,494 860,521 37,090 41,981 137,122 184,578 522,838 13,226 13,909

Germany - 7.3% Adidas A.G. Allianz S.E. (Registered)

84,927 184,676

See Accompanying Notes to the Financial Statements.

54

COST

$

1,577 1,416 4,898 735 1,807 938 17,529 19,855 1,015 2,222 948 1,121 802 645 1,473 5,796 2,010 3,216 10,578 12,562 1,903 7,551 2,444 4,015 2,561 910 3,722 791 2,270 36,163 12,217 1,628 2,553 876 16,650 2,257 2,320 3,116 1,680 51,433 6,791 3,503 4,077 10,197 13,622 1,530 1,409 428,762 4,799 22,610

VALUE

$

2,461 1,823 2,022 520 1,606 742 10,103 11,222 811 1,628 720 1,283 691 542 1,262 3,504 1,285 3,114 11,728 15,538 932 9,241 725 4,651 2,962 1,084 3,390 746 3,157 40,061 11,968 1,551 2,769 1,176 6,271 2,868 1,239 4,240 1,177 39,853 7,144 1,745 1,549 7,854 9,955 948 1,362 341,675 6,392 18,443

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Germany - 7.3% - (Continued) Axel Springer A.G.† BASF S.E. Bayer A.G. (Registered) Bayerische Motoren Werke A.G. Beiersdorf A.G. Brenntag A.G.† Celesio A.G.† Commerzbank A.G.† Continental A.G. Daimler A.G. (Registered) Deutsche Bank A.G. (Registered) Deutsche Boerse A.G. Deutsche Lufthansa A.G. (Registered) Deutsche Post A.G. (Registered) Deutsche Telekom A.G. (Registered)† E.ON A.G. Fraport A.G. Frankfurt Airport Services Worldwide Fresenius Medical Care A.G. & Co. KGaA Fresenius S.E. & Co. KGaA GEA Group A.G. Hannover Rueckversicherung A.G. (Registered) HeidelbergCement A.G. HeidelbergCement A.G. (VVPR)(2) Henkel A.G. & Co. KGaA Hochtief A.G.† Hugo Boss A.G. Infineon Technologies A.G.† K+S A.G. (Registered) Kabel Deutschland Holding A.G. Lanxess A.G. Linde A.G. MAN SE Merck KGaA Metro A.G. Muenchener Rueckversicherungs A.G. (Registered) RWE A.G. Salzgitter A.G.† SAP A.G. Siemens A.G. (Registered) Suedzucker A.G. ThyssenKrupp A.G. United Internet A.G. (Registered) Volkswagen A.G. Wacker Chemie A.G.† Greece - 0.0% Coca Cola Hellenic Bottling Co. S.A. OPAP S.A.

15,915 372,437 335,325 134,381 40,543 18,866 34,225 1,465,399 32,190 367,215 376,925 79,449 92,146 343,934 1,138,581 730,469

COST

$

757 23,764 25,273 7,694 2,554 1,911 869 7,014 2,307 20,005 22,699 6,383 1,468 6,350 15,577 26,723

VALUE

$

713 27,282 25,567 10,057 2,692 2,073 625 2,287 2,925 18,411 11,547 3,959 1,163 6,201 12,868 15,608

14,770 85,480 50,134 70,220 24,247 56,984 9,162 53,167 12,927 8,599 443,521 70,476 36,194 33,464 74,969 17,308 25,991 52,143 72,742 198,708 15,704 373,100 333,545 26,643 157,926 37,673 11,876 6,295

794 4,807 3,692 1,673 1,195 3,569 2,353 1,111 835 2,559 4,195 1,926 2,394 9,629 1,842 2,502 3,049 11,110 15,119 1,310 19,265 32,629 633 5,434 544 1,708 953 335,587

840 6,216 5,359 1,900 1,456 2,657 3,150 617 869 3,239 3,490 2,274 2,328 11,176 1,627 2,621 1,439 10,356 7,831 574 23,829 28,385 921 2,912 668 1,898 411 297,856

82,462 84,767

1,763 1,906 3,669

1,447 512 1,959

See Accompanying Notes to the Financial Statements.

55

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Hong Kong - 3.0% AIA Group Ltd. ASM Pacific Technology Ltd.† Bank of East Asia Ltd.† BOC Hong Kong Holdings Ltd. Cathay Pacific Airways Ltd.† Cheung Kong Holdings Ltd. Cheung Kong Infrastructure Holdings Ltd.† CLP Holdings Ltd. First Pacific Co. Ltd. Foxconn International Holdings Ltd.† Galaxy Entertainment Group Ltd.† Hang Lung Group Ltd.† Hang Lung Properties Ltd. Hang Seng Bank Ltd.† Henderson Land Development Co. Ltd.† Hong Kong & China Gas Co. Ltd. Hong Kong Exchanges and Clearing Ltd.† Hopewell Holdings Ltd.† Hutchison Whampoa Ltd. Hysan Development Co. Ltd. Kerry Properties Ltd. Li & Fung Ltd.† Lifestyle International Holdings Ltd. Link REIT (The) MGM China Holdings Ltd.† MTR Corp. Ltd. New World Development Co. Ltd. Noble Group Ltd. NWS Holdings Ltd. Orient Overseas International Ltd. PCCW Ltd. Peregrine Investment Holdings(2)† Power Assets Holdings Ltd. Sands China Ltd.† Shangri-La Asia Ltd. Sino Land Co. Ltd. SJM Holdings Ltd. Sun Hung Kai Properties Ltd. Swire Pacific Ltd., Class A Wharf Holdings Ltd. Wheelock & Co. Ltd. Wing Hang Bank Ltd. Wynn Macau Ltd.† Yue Yuen Industrial Holdings Ltd. Ireland - 0.7% CRH PLC Elan Corp. PLC† Experian PLC Irish Bank Resolution Corp. Ltd.(2) Kerry Group PLC, Class A

4,140,567 79,609 551,250 1,503,759 472,566 564,746 196,971 732,628 855,536 868,556 598,423 351,283 913,365 307,326 388,334 2,121,253 419,369 227,887 870,469 253,708 289,126 2,308,884 211,842 930,692 399,068 582,463 1,494,345 1,547,363 567,361 88,826 1,601,206 21,000 558,678 970,524 644,309 1,202,240 793,064 635,636 275,468 609,685 367,273 71,526 625,441 297,902

292,519 205,036 410,682 358,412 61,013

See Accompanying Notes to the Financial Statements.

56

COST

$

13,187 719 2,302 3,806 868 7,295 810 5,205 917 718 1,377 1,915 3,620 4,502 2,605 3,985 7,730 707 6,725 821 1,479 5,389 402 2,537 654 2,021 2,238 2,133 774 473 417 3,226 1,728 1,301 2,043 1,362 9,210 2,966 3,346 1,165 778 1,121 906 117,483 7,050 1,587 4,366 111 2,019

VALUE

$

14,552 1,024 1,923 4,625 783 7,437 1,198 6,331 960 260 1,443 2,279 3,251 4,277 2,264 4,914 5,636 664 7,847 1,073 1,329 4,562 487 4,081 555 2,036 1,914 1,337 868 506 630 4,395 2,873 1,271 2,059 1,420 7,948 3,306 3,538 1,442 657 1,334 903 122,192 5,384 2,417 6,106 2,776

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES

COST

VALUE

COMMON STOCKS - 96.8%- (CONTINUED) Ireland - 0.7% - (Continued) Ryanair Holdings PLC ADR† Shire PLC WPP PLC

14,165 228,178 511,355

Israel - 0.6% Bank Hapoalim B.M. Bank Leumi Le-Israel B.M. Bezeq The Israeli Telecommunication Corp. Ltd. Delek Group Ltd. Elbit Systems Ltd. Israel (The) Corp. Ltd. Israel Chemicals Ltd.† Mizrahi Tefahot Bank Ltd. NICE Systems Ltd. Teva Pharmaceutical Industries Ltd.

425,542 510,580 796,480 1,830 9,471 929 178,832 49,657 24,100 382,712

1,608 1,993 1,641 372 463 672 2,016 397 738 20,396 30,296

1,231 1,149 803 242 306 532 2,116 373 859 15,835 23,446

475,722 133,095 46,051 2,609,380 709,502 703,635 2,680,434 973,119 25,795 347,099 356,003 162,807 4,103,930 375,061 46,969 285,187 207,890 95,747 81,897 106,971 658,734 3,833,749 2,423,506 192,973 531,968 1,648,410 358,926

11,331 2,852 554 2,036 2,677 1,559 15,585 23,857 537 3,152 2,261 2,479 14,013 1,064 1,253 1,873 2,322 663 1,376 3,829 3,302 5,862 2,720 3,907 2,165 18,686 3,388 135,303

5,993 1,754 373 580 830 1,010 7,678 20,182 573 3,420 1,754 597 5,221 377 1,623 499 718 972 1,318 4,947 2,653 3,140 1,697 3,762 1,778 5,619 1,046 80,114

10,500 60,100 241,096 31,700

321 1,294 2,188 338

425 776 2,914 610

Italy - 2.0% Assicurazioni Generali S.p.A.† Atlantia S.p.A. Autogrill S.p.A. Banca Monte dei Paschi di Siena S.p.A.† Banco Popolare SC Enel Green Power S.p.A. Enel S.p.A. Eni S.p.A. Exor S.p.A. Fiat Industrial S.p.A.† Fiat S.p.A.† Finmeccanica S.p.A.† Intesa Sanpaolo S.p.A. Intesa Sanpaolo S.p.A. (RSP) Luxottica Group S.p.A. Mediaset S.p.A.† Mediobanca S.p.A. Pirelli & C. S.p.A.† Prysmian S.p.A. Saipem S.p.A. Snam S.p.A. Telecom Italia S.p.A. Telecom Italia S.p.A. (RSP) Tenaris S.A.† Terna Rete Elettrica Nazionale S.p.A. UniCredit S.p.A. Unione di Banche Italiane S.c.p.A. Japan - 20.5% ABC-Mart, Inc. Advantest Corp.† Aeon Co. Ltd.† Aeon Credit Service Co. Ltd.†

See Accompanying Notes to the Financial Statements.

57

$

372 5,007 5,162 25,674

$

417 6,607 6,474 30,181

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Japan - 20.5% - (Continued) Aeon Mall Co. Ltd.† Air Water, Inc. Aisin Seiki Co. Ltd. Ajinomoto Co., Inc. Alfresa Holdings Corp. All Nippon Airways Co. Ltd. Amada Co. Ltd. Aozora Bank Ltd. Asahi Glass Co. Ltd. Asahi Group Holdings Ltd. Asahi Kasei Corp. Asics Corp. Astellas Pharma, Inc. Bank of Kyoto (The) Ltd. Bank of Yokohama (The) Ltd. Benesse Holdings, Inc. Bridgestone Corp. Brother Industries Ltd.† Canon, Inc. Casio Computer Co. Ltd.† Central Japan Railway Co. Chiba Bank (The) Ltd. Chiyoda Corp. Chubu Electric Power Co., Inc. Chugai Pharmaceutical Co. Ltd. Chugoku Bank (The) Ltd. Chugoku Electric Power (The) Co., Inc. Citizen Holdings Co. Ltd. Coca-Cola West Co. Ltd. Cosmo Oil Co. Ltd. Credit Saison Co. Ltd. Dai Nippon Printing Co. Ltd. Daicel Corp. Daido Steel Co. Ltd. Daihatsu Motor Co. Ltd.† Dai-ichi Life Insurance (The) Co. Ltd. Daiichi Sankyo Co. Ltd. Daikin Industries Ltd. Dainippon Sumitomo Pharma Co. Ltd. Daito Trust Construction Co. Ltd. Daiwa House Industry Co. Ltd. Daiwa Securities Group, Inc. Dena Co. Ltd.† Denki Kagaku Kogyo K.K. Denso Corp. Dentsu, Inc.† East Japan Railway Co. Eisai Co. Ltd. Electric Power Development Co. Ltd. FamilyMart Co. Ltd. FANUC Corp.

29,200 59,117 77,700 260,000 17,900 460,000 148,000 233,000 406,000 157,800 508,000 59,900 181,400 130,000 493,000 27,300 262,500 94,700 459,176 95,200 611 307,000 62,664 262,100 90,100 69,000 119,300 105,500 24,689 238,000 64,814 226,000 118,000 113,000 77,000 3,458 273,800 94,300 63,664 29,200 211,000 668,000 43,500 192,000 196,210 72,716 138,427 102,700 47,100 23,300 77,640

See Accompanying Notes to the Financial Statements.

58

COST

$

509 745 1,963 2,464 776 1,200 897 354 3,657 2,827 2,625 567 6,700 1,150 2,389 1,189 4,565 1,056 18,459 688 4,255 1,940 520 5,878 1,664 928 2,311 594 429 572 902 2,710 700 436 830 5,627 5,200 3,259 638 1,581 2,269 3,260 916 802 5,564 1,732 8,957 3,771 1,359 756 7,974

VALUE

$

705 716 2,393 3,695 956 1,066 788 540 2,407 3,560 2,719 707 8,664 957 2,247 1,292 5,986 885 15,580 633 5,069 1,800 824 2,809 1,743 883 1,528 589 424 524 1,485 1,733 713 645 1,300 3,684 4,529 2,589 707 2,823 3,020 2,523 948 639 6,328 1,945 8,898 4,563 1,113 1,107 12,138

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Japan - 20.5% - (Continued) Fast Retailing Co. Ltd. Fuji Electric Co. Ltd. Fuji Heavy Industries Ltd. FUJIFILM Holdings Corp. Fujitsu Ltd. Fukuoka Financial Group, Inc. Furukawa Electric Co. Ltd. Gree, Inc.† GS Yuasa Corp.† Gunma Bank (The) Ltd. Hachijuni Bank (The) Ltd. Hakuhodo DY Holdings, Inc. Hamamatsu Photonics K.K. Hankyu Hanshin Holdings, Inc. Hino Motors Ltd. Hirose Electric Co. Ltd. Hisamitsu Pharmaceutical Co., Inc. Hitachi Chemical Co. Ltd. Hitachi Construction Machinery Co. Ltd.† Hitachi High-Technologies Corp. Hitachi Ltd. Hitachi Metals Ltd. Hokkaido Electric Power Co., Inc. Hokuriku Electric Power Co. Honda Motor Co. Ltd. Hoya Corp. Hulic Co. Ltd. Ibiden Co. Ltd. Idemitsu Kosan Co. Ltd. IHI Corp. Inpex Corp. Isetan Mitsukoshi Holdings Ltd. Isuzu Motors Ltd. ITOCHU Corp. Itochu Techno-Solutions Corp. Iyo Bank (The) Ltd. J Front Retailing Co. Ltd. Japan Petroleum Exploration Co. Japan Prime Realty Investment Corp. Japan Real Estate Investment Corp. Japan Retail Fund Investment Corp.† Japan Steel Works (The) Ltd. Japan Tobacco, Inc. JFE Holdings, Inc. JGC Corp. Joyo Bank (The) Ltd. JSR Corp. JTEKT Corp. Jupiter Telecommunications Co. Ltd. JX Holdings, Inc. Kajima Corp.

21,500 226,000 236,000 187,200 760,000 312,000 255,000 36,955 141,000 157,000 167,633 9,350 30,237 469,000 104,000 11,800 24,800 41,700 43,200 24,900 1,832,000 66,000 73,400 67,500 661,547 177,300 97,100 48,500 8,900 531,000 892 140,519 478,000 614,600 10,400 111,000 194,600 11,500 272 218 752 127,000 364,600 188,275 84,300 264,000 72,000 89,200 864 912,679 340,000

See Accompanying Notes to the Financial Statements.

59

COST

$

3,821 407 1,130 5,150 4,293 1,192 934 544 1,001 875 1,046 478 961 2,256 389 1,187 905 781 1,016 446 6,364 605 1,353 1,474 21,300 4,308 537 1,553 648 965 5,540 1,297 1,175 4,827 325 998 871 519 592 1,757 918 1,423 5,948 5,569 1,738 1,185 1,342 949 820 4,115 822

VALUE

$

4,446 504 1,774 3,380 3,017 1,147 535 588 565 768 895 620 1,066 2,522 727 1,135 1,254 640 784 627 10,908 730 678 691 21,608 3,964 511 797 752 1,142 5,014 1,492 2,466 6,429 539 860 972 437 709 2,066 1,262 699 11,503 2,505 2,606 1,183 1,281 793 863 4,441 980

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Japan - 20.5% - (Continued) Kamigumi Co. Ltd. Kaneka Corp.† Kansai Electric Power (The) Co., Inc.† Kansai Paint Co. Ltd. Kao Corp. Kawasaki Heavy Industries Ltd. Kawasaki Kisen Kaisha Ltd.† KDDI Corp. Keikyu Corp. Keio Corp. Keisei Electric Railway Co. Ltd. Keyence Corp. Kikkoman Corp. Kinden Corp. Kintetsu Corp.† Kirin Holdings Co. Ltd. Kobe Steel Ltd. Koito Manufacturing Co. Ltd. Komatsu Ltd. Konami Corp. Konica Minolta Holdings, Inc. Kubota Corp. Kuraray Co. Ltd. Kurita Water Industries Ltd.† Kyocera Corp. Kyowa Hakko Kirin Co. Ltd. Kyushu Electric Power Co., Inc. Lawson, Inc. LIXIL Group Corp. Mabuchi Motor Co. Ltd. Makita Corp. Marubeni Corp. Marui Group Co. Ltd. Maruichi Steel Tube Ltd. Mazda Motor Corp. McDonald’s Holdings Co. Japan Ltd.† Medipal Holdings Corp. MEIJI Holdings Co. Ltd. Miraca Holdings, Inc. Mitsubishi Chemical Holdings Corp. Mitsubishi Corp. Mitsubishi Electric Corp. Mitsubishi Estate Co. Ltd. Mitsubishi Gas Chemical Co., Inc. Mitsubishi Heavy Industries Ltd. Mitsubishi Logistics Corp. Mitsubishi Materials Corp. Mitsubishi Motors Corp. Mitsubishi Tanabe Pharma Corp. Mitsubishi UFJ Financial Group, Inc. Mitsubishi UFJ Lease & Finance Co. Ltd.

100,000 112,000 305,530 87,000 213,593 571,000 292,000 1,091 189,000 233,000 110,000 18,516 73,000 54,000 654,780 354,000 1,003,000 38,286 378,260 41,800 192,500 445,000 138,500 45,400 61,900 104,000 174,600 24,300 107,084 9,600 45,700 671,954 89,700 18,800 1,058,000 26,600 58,700 25,031 22,351 545,000 571,200 785,000 508,000 157,000 1,227,000 55,000 450,000 1,560,000 90,400 5,169,131 23,420

See Accompanying Notes to the Financial Statements.

60

COST

$

780 715 6,690 743 5,158 1,392 918 5,929 1,506 1,479 645 3,538 834 457 2,326 5,192 1,739 582 8,090 808 1,765 3,887 1,672 1,384 5,099 1,108 3,326 1,177 1,817 448 1,589 3,773 560 363 2,000 573 754 990 802 2,359 12,642 5,811 7,739 759 4,438 584 1,139 2,047 1,140 27,004 775

VALUE

$

807 581 2,300 915 5,801 1,374 449 7,557 1,769 1,718 997 4,649 923 365 2,607 4,043 950 489 8,514 900 1,375 4,256 1,635 1,029 4,954 1,163 1,370 1,749 2,255 376 1,548 4,543 662 368 1,287 770 849 1,147 956 2,324 11,453 6,282 9,210 911 4,996 587 1,256 1,498 1,387 25,217 945

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Japan - 20.5% - (Continued) Mitsui & Co. Ltd. Mitsui Chemicals, Inc. Mitsui Fudosan Co. Ltd. Mitsui O.S.K. Lines Ltd. Mizuho Financial Group, Inc. MS&AD Insurance Group Holdings Murata Manufacturing Co. Ltd. Nabtesco Corp. Namco Bandai Holdings, Inc. NEC Corp.† Nexon Co. Ltd. NGK Insulators Ltd. NGK Spark Plug Co. Ltd. NHK Spring Co. Ltd. Nidec Corp.† Nikon Corp. Nintendo Co. Ltd. Nippon Building Fund, Inc. Nippon Electric Glass Co. Ltd. Nippon Express Co. Ltd. Nippon Meat Packers, Inc. Nippon Paper Group, Inc.† Nippon Steel Corp. Nippon Telegraph & Telephone Corp. Nippon Yusen K.K. Nishi-Nippon City Bank (The) Ltd. Nissan Motor Co. Ltd. Nisshin Seifun Group, Inc. Nisshin Steel Co. Ltd. Nissin Foods Holdings Co. Ltd. Nitori Holdings Co. Ltd. Nitto Denko Corp. NKSJ Holdings, Inc. NOK Corp. Nomura Holdings, Inc. Nomura Real Estate Holdings, Inc. Nomura Real Estate Office Fund, Inc. Nomura Research Institute Ltd. NSK Ltd. NTN Corp. NTT Data Corp. NTT DOCOMO, Inc. NTT Urban Development Corp. Obayashi Corp.† Odakyu Electric Railway Co. Ltd.† OJI Paper Co. Ltd. Olympus Corp.† Omron Corp. Ono Pharmaceutical Co. Ltd. Oracle Corp. Japan Oriental Land Co. Ltd.

705,700 365,000 338,000 446,000 9,251,228 206,775 82,696 42,915 70,000 1,039,963 44,200 111,000 74,000 67,900 44,400 138,900 43,100 251 153,500 343,000 69,000 39,680 2,075,998 176,815 663,000 273,000 1,008,100 76,000 281,000 23,700 13,750 66,500 150,300 41,800 1,464,700 38,200 109 40,600 181,000 193,000 508 6,205 460 261,000 252,000 317,000 87,156 81,900 33,100 15,300 20,200

See Accompanying Notes to the Financial Statements.

61

COST

$

9,674 1,016 5,650 2,511 15,888 5,021 4,049 833 738 2,577 785 2,147 846 616 3,638 2,764 9,738 2,092 1,682 1,438 851 1,002 7,056 7,492 2,253 731 7,749 980 437 829 1,136 2,204 3,742 534 9,151 572 628 851 1,229 769 1,529 9,465 337 1,019 2,061 1,357 2,514 1,441 1,530 682 1,538

VALUE

$

10,545 827 6,604 1,365 15,281 3,381 4,156 948 1,010 1,398 917 1,289 865 721 3,519 3,884 4,829 2,446 818 1,405 909 506 4,200 8,229 1,486 601 9,603 911 313 908 1,289 2,891 2,900 809 5,214 715 630 846 1,108 524 1,548 10,432 375 1,193 2,594 1,063 1,652 1,651 2,094 689 2,519

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Japan - 20.5% - (Continued) ORIX Corp. Osaka Gas Co. Ltd. Otsuka Corp. Otsuka Holdings Co. Ltd. Panasonic Corp. Rakuten, Inc. Resona Holdings, Inc. Ricoh Co. Ltd.† Rinnai Corp. Rohm Co. Ltd. Sankyo Co. Ltd. Sanrio Co. Ltd.† Santen Pharmaceutical Co. Ltd. SBI Holdings, Inc.† Secom Co. Ltd. Sega Sammy Holdings, Inc. Seiko Epson Corp.† Sekisui Chemical Co. Ltd. Sekisui House Ltd. Seven & I Holdings Co. Ltd. Seven Bank Ltd. Sharp Corp.† Shikoku Electric Power Co., Inc. Shimadzu Corp. Shimamura Co. Ltd. Shimano, Inc. Shimizu Corp.† Shin-Etsu Chemical Co. Ltd. Shinsei Bank Ltd. Shionogi & Co. Ltd. Shiseido Co. Ltd. Shizuoka Bank (The) Ltd.† Showa Denko K.K.† Showa Shell Sekiyu K.K. SMC Corp. Softbank Corp. Sojitz Corp. Sony Corp. Sony Financial Holdings, Inc. Square Enix Holdings Co. Ltd. Stanley Electric Co. Ltd. Sumco Corp. Sumitomo Chemical Co. Ltd. Sumitomo Corp. Sumitomo Electric Industries Ltd. Sumitomo Heavy Industries Ltd. Sumitomo Metal Industries Ltd. Sumitomo Metal Mining Co. Ltd. Sumitomo Mitsui Financial Group, Inc. Sumitomo Mitsui Trust Holdings, Inc. Sumitomo Realty & Development Co. Ltd.

42,348 756,000 6,300 147,344 897,841 296,300 763,057 256,880 13,000 38,747 19,400 17,894 29,600 8,990 85,631 79,900 52,200 174,000 219,000 306,300 238,500 401,000 68,900 95,000 8,900 30,300 238,000 166,522 643,000 120,000 144,700 224,000 579,000 75,600 21,800 359,800 502,000 408,700 70,000 25,500 58,400 46,600 604,000 456,200 304,800 223,000 1,353,000 211,000 544,334 1,260,010 144,000

See Accompanying Notes to the Financial Statements.

62

COST

$

3,139 2,632 334 4,041 11,081 2,389 5,115 3,234 682 2,403 1,026 899 972 1,259 4,036 1,147 774 1,094 1,952 7,164 507 4,194 1,931 645 851 1,338 872 8,829 766 2,313 2,698 2,278 1,067 628 2,672 9,452 890 10,850 1,068 528 1,067 759 2,469 4,944 3,590 1,088 3,183 3,345 17,514 4,360 2,541

VALUE

$

4,050 3,107 557 4,500 6,277 2,955 3,136 1,779 842 1,402 966 621 1,264 616 3,991 1,714 420 1,488 2,109 9,746 599 1,386 1,065 781 1,037 2,025 747 8,486 733 1,718 2,082 2,266 1,053 413 3,698 13,844 784 5,039 1,129 396 868 359 1,694 6,460 3,629 905 2,010 2,280 17,341 3,646 3,636

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Japan - 20.5% - (Continued) Sumitomo Rubber Industries Ltd. Suruga Bank Ltd. Suzuken Co. Ltd. Suzuki Motor Corp. Sysmex Corp. T&D Holdings, Inc. Taiheiyo Cement Corp. Taisei Corp. Taisho Pharmaceutical Holdings Co. Ltd. Taiyo Nippon Sanso Corp. Takashimaya Co. Ltd. Takeda Pharmaceutical Co. Ltd. TDK Corp.† Teijin Ltd. Terumo Corp. THK Co. Ltd. Tobu Railway Co. Ltd. Toho Co. Ltd. Toho Gas Co. Ltd. Tohoku Electric Power Co., Inc. Tokio Marine Holdings, Inc. Tokyo Electric Power Co., Inc.† Tokyo Electron Ltd. Tokyo Gas Co. Ltd. Tokyu Corp. Tokyu Land Corp. TonenGeneral Sekiyu K.K. Toppan Printing Co. Ltd. Toray Industries, Inc. Toshiba Corp. Tosoh Corp. TOTO Ltd. Toyo Seikan Kaisha Ltd. Toyo Suisan Kaisha Ltd. Toyoda Gosei Co. Ltd. Toyota Boshoku Corp. Toyota Industries Corp. Toyota Motor Corp. Toyota Tsusho Corp. Trend Micro, Inc. Tsumura & Co. Ube Industries Ltd. Unicharm Corp. Ushio, Inc. USS Co. Ltd. West Japan Railway Co. Yahoo Japan Corp. Yakult Honsha Co. Ltd.† Yamada Denki Co. Ltd.† Yamaguchi Financial Group, Inc. Yamaha Corp.

68,700 74,000 28,486 149,600 28,977 234,700 464,000 412,000 14,700 105,000 105,989 319,942 49,530 376,000 62,400 48,300 411,000 45,800 164,000 181,900 294,200 581,552 70,000 999,931 458,000 172,000 113,000 224,964 598,000 1,632,000 206,000 120,000 61,200 36,000 26,300 26,300 67,700 1,118,162 85,400 42,468 24,200 407,000 45,800 42,100 8,830 68,400 5,842 38,900 35,670 85,000 63,600

See Accompanying Notes to the Financial Statements.

63

COST

$

597 712 950 3,424 839 2,819 940 837 951 1,071 710 13,185 2,640 1,193 3,424 824 2,072 722 883 3,274 8,040 12,600 3,860 4,042 2,006 625 1,018 1,821 3,392 8,190 527 738 956 927 635 484 1,848 43,699 1,242 1,447 752 1,050 1,619 674 580 2,450 1,777 1,139 2,088 861 674

VALUE

$

833 786 1,025 2,760 1,271 2,416 1,028 1,139 1,176 593 778 14,748 1,903 1,112 2,573 864 2,231 825 989 1,179 6,826 975 3,294 5,172 2,205 879 929 1,406 3,775 5,475 512 896 727 868 545 298 1,821 43,237 1,595 1,270 682 896 2,527 535 955 2,960 2,138 1,509 1,861 720 618

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Japan - 20.5% - (Continued) Yamaha Motor Co. Ltd. Yamato Holdings Co. Ltd. Yamato Kogyo Co. Ltd.† Yamazaki Baking Co. Ltd.† Yaskawa Electric Corp.† Yokogawa Electric Corp.

112,500 153,200 16,900 48,000 86,000 86,400

COST

$

1,425 2,190 510 583 657 655

VALUE

$

961 2,525 481 672 624 895

858,779

829,537

691,503 95,656 379,836 170,302 26,965 239,906 41,226 166,556 27,828 32,279 41,318 93,476 1,553,785 423,856 28,423 62,027 406,376 409,787 28,262 93,767 48,131 276,623 1,486,657 1,078,352 68,852 132,176 660,612 121,368

4,783 5,908 11,999 5,666 1,675 2,684 797 3,711 1,670 2,123 1,713 4,384 15,169 5,682 1,113 3,079 6,546 10,671 1,197 1,900 2,027 3,311 46,628 32,916 1,350 1,960 20,552 2,564 203,778

3,157 5,172 6,112 9,904 1,195 2,783 539 6,002 1,825 2,476 1,901 5,072 10,297 5,165 929 3,058 3,339 9,023 1,794 1,674 1,462 3,252 50,615 38,007 841 1,435 22,988 2,020 202,037

New Zealand - 0.1% Auckland International Airport Ltd. Contact Energy Ltd. Fletcher Building Ltd.† SKYCITY Entertainment Group Ltd. Telecom Corp. of New Zealand Ltd.

372,155 142,217 272,944 232,067 774,163

548 589 1,558 584 1,140 4,419

752 578 1,354 671 1,672 5,027

Norway - 0.9% Aker Solutions ASA† DNB ASA Gjensidige Forsikring ASA† Norsk Hydro ASA Orkla ASA

66,151 398,428 80,443 374,412 310,368

861 4,453 1,007 2,410 2,877

977 4,206 990 1,531 2,226

Netherlands - 5.0% Aegon N.V. Akzo Nobel N.V. ArcelorMittal† ASML Holding N.V. Corio N.V. DE Master Blenders 1753 N.V. Delta Lloyd N.V. European Aeronautic Defence and Space Co. N.V.† Fugro N.V. - CVA Gemalto N.V.† Heineken Holding N.V. Heineken N.V. ING Groep N.V. - CVA Koninklijke Ahold N.V. Koninklijke Boskalis Westminster N.V. Koninklijke DSM N.V.† Koninklijke KPN N.V. Koninklijke Philips Electronics N.V. Koninklijke Vopak N.V.† QIAGEN N.V. Randstad Holding N.V. Reed Elsevier N.V. Royal Dutch Shell PLC, Class A Royal Dutch Shell PLC, Class B SBM Offshore N.V.† TNT Express N.V. Unilever N.V. - CVA Wolters Kluwer N.V.

See Accompanying Notes to the Financial Statements.

64

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Norway - 0.9% - (Continued) Seadrill Ltd.† Statoil ASA Telenor ASA Yara International ASA† Portugal - 0.1% Banco Espirito Santo S.A. (Registered)† Energias de Portugal S.A. Galp Energia SGPS S.A., Class B Jeronimo Martins SGPS S.A. Portugal Telecom SGPS S.A. (Registered)† Singapore - 1.9% Ascendas Real Estate Investment Trust CapitaLand Ltd. CapitaMall Trust CapitaMalls Asia Ltd. City Developments Ltd. ComfortDelGro Corp. Ltd. Cosco Corp. Singapore Ltd.† DBS Group Holdings Ltd.† Fraser and Neave Ltd. Genting Singapore PLC† Global Logistic Properties Ltd. Golden Agri-Resources Ltd. Hutchison Port Holdings Trust, Class U Jardine Cycle & Carriage Ltd. Keppel Corp. Ltd. Keppel Land Ltd.† Neptune Orient Lines Ltd.† Olam International Ltd.† Oversea-Chinese Banking Corp. Ltd. SembCorp Industries Ltd.† SembCorp Marine Ltd.† Singapore Airlines Ltd. Singapore Exchange Ltd. Singapore Press Holdings Ltd.† Singapore Technologies Engineering Ltd. Singapore Telecommunications Ltd. StarHub Ltd. United Overseas Bank Ltd. UOL Group Ltd. Wilmar International Ltd. Spain - 2.4% Abertis Infraestructuras S.A.† Acciona S.A.† Acerinox S.A.† ACS Actividades de Construccion y Servicios S.A.† Amadeus IT Holding S.A., Class A†

142,891 453,138 294,267 75,528

COST

$

4,023 11,506 4,247 3,042

VALUE

$

5,616 10,840 5,000 3,587

34,426

34,973

804,246 767,764 93,024 88,558 259,972

1,773 3,188 1,590 1,012 2,777 10,340

495 1,753 1,260 1,391 1,105 6,004

775,000 1,029,000 953,000 547,070 202,000 760,000 404,000 754,231 370,000 2,451,000 848,962 2,681,000 2,100,000 43,000 585,200 298,630 363,000 658,000 1,051,058 394,000 334,000 218,000 345,000 657,000 617,000 3,241,000 240,000 515,457 187,000 772,000

1,117 2,911 1,235 983 1,567 854 359 8,102 1,249 2,200 1,460 1,049 1,987 944 3,446 779 433 1,213 6,683 1,153 943 2,169 1,991 1,835 1,423 7,062 383 7,259 518 3,453 66,760

1,414 2,481 1,501 717 1,899 1,026 315 8,935 2,432 2,571 1,535 1,595 1,601 1,614 5,258 826 336 976 8,067 1,675 1,305 1,857 1,855 2,170 1,636 9,325 741 8,285 779 2,010 76,737

150,064 8,559 40,088 56,965 126,014

2,879 1,041 788 2,519 2,454

1,858 374 401 901 2,729

See Accompanying Notes to the Financial Statements.

65

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Spain - 2.4% - (Continued) Banco Bilbao Vizcaya Argentaria S.A.† Banco de Sabadell S.A.† Banco Popular Espanol S.A.† Banco Santander S.A. Bankia S.A.† CaixaBank† Distribuidora Internacional de Alimentacion S.A.† Enagas S.A. Ferrovial S.A. Gas Natural SDG S.A. Grifols S.A.† Grifols S.A., Class B Iberdrola S.A. Inditex S.A. Mapfre S.A.† Red Electrica Corp. S.A. Repsol S.A. Telefonica S.A. Zardoya Otis S.A.†

1,917,818 864,483 459,719 3,796,285 328,159 318,560 255,343 72,027 165,069 146,584 55,259 5,024 1,653,163 88,456 309,743 43,526 336,701 1,664,014 59,020

Sweden - 3.2% Alfa Laval AB Assa Abloy AB, Class B Atlas Copco AB, Class A Atlas Copco AB, Class B Boliden AB Electrolux AB, Class B Elekta AB, Class B† Getinge AB, Class B† Hennes & Mauritz AB, Class B Hexagon AB, Class B† Holmen AB, Class B Husqvarna AB, Class B† Industrivarden AB, Class C Investment AB Kinnevik, Class B Investor AB, Class B Lundin Petroleum AB Millicom International Cellular S.A. SDR Modern Times Group AB, Class B† Nordea Bank AB Ratos AB, Class B† Sandvik AB Scania AB, Class B† Securitas AB, Class B† Skandinaviska Enskilda Banken AB, Class A Skanska AB, Class B† SKF AB, Class B SSAB AB, Class A† Svenska Cellulosa AB, Class B Svenska Handelsbanken AB, Class A Swedbank AB, Class A

135,779 135,740 236,047 199,158 110,000 96,751 37,489 80,514 386,017 96,629 21,228 158,798 47,361 82,699 183,217 89,504 25,659 19,608 1,069,155 77,090 407,783 128,725 125,948 567,424 153,672 159,948 62,966 235,837 197,772 330,893

See Accompanying Notes to the Financial Statements.

66

COST

$

28,046 3,410 3,106 50,894 1,666 1,526 1,232 1,516 1,854 2,452 924 53 12,646 6,001 1,250 2,323 8,930 43,755 1,052 182,317 1,976 2,884 3,921 3,004 1,430 2,368 1,798 1,692 11,943 1,539 578 1,083 704 1,364 3,475 2,269 2,079 945 11,339 1,090 5,321 1,930 1,213 3,813 2,633 2,989 972 3,415 5,777 3,714

VALUE

$

12,575 1,650 866 23,143 322 1,045 1,255 1,251 1,799 1,810 1,724 114 6,006 9,132 566 1,727 5,393 18,909 658 96,208 2,360 4,127 5,326 4,004 1,682 2,202 1,747 2,308 14,311 1,853 571 814 639 1,708 3,832 1,905 2,328 902 10,016 801 5,691 2,226 1,028 4,183 2,329 3,320 519 4,023 6,892 5,780

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Sweden - 3.2% - (Continued) Swedish Match AB Tele2 AB, Class B Telefonaktiebolaget LM Ericsson, Class B TeliaSonera AB TeliaSonera AB† Volvo AB, Class B Switzerland - 8.8% ABB Ltd. (Registered) Actelion Ltd. (Registered) Adecco S.A. (Registered) Aryzta A.G. Aryzta A.G. (Dublin Exchange) Baloise Holding A.G. (Registered) Banque Cantonale Vaudoise (Registered) Barry Callebaut A.G. (Registered) Cie Financiere Richemont S.A.,Class A (Bearer) Credit Suisse Group A.G. (Registered)† GAM Holding A.G. Geberit A.G. (Registered) Givaudan S.A. (Registered) Glencore International PLC† Holcim Ltd. (Registered) Julius Baer Group Ltd. Kuehne + Nagel International A.G. (Registered) Lindt & Spruengli A.G. (Participation Certificate) Lindt & Spruengli A.G. (Registered)† Lonza Group A.G. (Registered) Nestle S.A. (Registered) Novartis A.G. (Registered) Pargesa Holding S.A. (Bearer) Partners Group Holding A.G.† Roche Holding A.G. (Genusschein) Schindler Holding A.G. (Participation Certificate) Schindler Holding A.G. (Registered) SGS S.A. (Registered) Sika A.G. (Bearer) Sonova Holding A.G. (Registered) STMicroelectronics N.V.† Straumann Holding A.G. (Registered)† Sulzer A.G. (Registered) Swatch Group (The) A.G. (Bearer) Swatch Group (The) A.G. (Registered) Swiss Life Holding A.G. (Registered) Swiss Prime Site A.G. (Registered) Swiss Re A.G. Swisscom A.G. (Registered) Syngenta A.G. (Registered) Transocean Ltd. UBS A.G. (Registered) Wolseley PLC

86,990 127,484 1,222,765 649,588 230,324 561,240

893,187 44,512 53,294 16,245 18,841 19,418 1,245 728 211,784 471,075 78,978 15,256 3,344 566,174 92,886 83,114 21,715 358 42 21,635 1,337,809 932,563 11,242 5,367 284,857 19,798 8,615 2,203 889 19,764 256,508 3,755 9,646 12,454 17,489 12,262 20,189 143,217 9,377 38,407 141,923 1,475,062 115,997

See Accompanying Notes to the Financial Statements.

67

COST

$

2,152 2,122 12,425 4,652 1,648 6,674

VALUE

$

3,673 2,116 11,419 4,310 1,526 6,956

118,931

129,427

16,868 2,356 2,764 691 717 1,645 636 662 8,034 22,213 1,016 2,604 2,638 4,398 6,440 2,933 2,241 859 1,204 1,539 66,139 50,693 932 991 45,878 1,663 701 3,018 1,489 2,293 2,114 833 1,649 3,704 943 1,454 1,609 6,755 3,513 10,528 9,050 22,872 2,791

15,640 2,037 2,349 809 936 1,285 637 659 12,039 8,046 874 3,003 3,258 2,840 5,494 2,982 2,478 1,110 1,507 979 82,357 54,781 679 981 50,608 2,320 1,012 4,418 1,663 1,873 1,397 505 1,250 4,963 1,225 1,177 1,692 9,007 3,763 13,139 6,763 15,560 4,186

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) Switzerland - 8.8% - (Continued) Xstrata PLC Zurich Insurance Group A.G. United Kingdom - 19.6% 3i Group PLC Aberdeen Asset Management PLC Admiral Group PLC Aggreko PLC AMEC PLC Anglo American PLC Antofagasta PLC ARM Holdings PLC Associated British Foods PLC AstraZeneca PLC Aviva PLC Babcock International Group PLC BAE Systems PLC Balfour Beatty PLC Barclays PLC BG Group PLC BHP Billiton PLC BP PLC British American Tobacco PLC British Land Co. PLC British Sky Broadcasting Group PLC BT Group PLC Bunzl PLC Burberry Group PLC Capita PLC Capital Shopping Centres Group PLC Carnival PLC Centrica PLC Cobham PLC Compass Group PLC Croda International PLC Diageo PLC Eurasian Natural Resources Corp. PLC Evraz PLC Fresnillo PLC G4S PLC GKN PLC GlaxoSmithKline PLC Hammerson PLC HSBC Holdings PLC ICAP PLC IMI PLC Imperial Tobacco Group PLC Inmarsat PLC InterContinental Hotels Group PLC International Consolidated Airlines Group S.A. Intertek Group PLC

841,400 59,805

390,524 349,890 81,543 108,598 133,591 538,233 158,595 558,439 143,253 517,486 1,177,175 144,397 1,308,691 276,341 4,692,227 1,376,425 856,933 7,692,392 797,846 352,218 453,754 3,157,110 132,853 178,657 265,151 224,599 73,695 2,100,222 444,120 769,097 55,273 1,014,373 103,584 137,085 72,099 567,364 625,014 2,046,543 286,495 7,298,464 223,613 131,101 406,168 182,598 116,761 373,614 64,404

See Accompanying Notes to the Financial Statements.

68

COST

$

14,993 13,651

VALUE

$

11,181 13,347

352,714

358,809

1,682 1,315 1,416 2,331 1,899 22,612 2,555 2,643 2,103 23,264 7,443 1,415 7,010 1,236 22,403 26,711 26,247 69,625 27,677 2,748 4,348 8,137 1,508 2,146 3,059 1,356 2,535 9,234 1,644 5,701 1,915 18,387 1,407 772 1,217 2,305 2,073 42,529 1,974 82,436 1,529 1,878 12,795 1,807 1,807 1,201 1,783

1,275 1,416 1,395 3,475 2,340 16,023 2,664 4,825 2,817 24,214 5,378 1,942 6,334 1,255 12,351 27,216 25,094 51,229 42,471 2,950 5,065 10,749 2,319 3,510 2,954 1,133 2,480 10,431 1,618 8,260 2,035 27,130 638 510 1,645 2,204 2,060 47,088 2,079 61,053 1,116 1,688 15,776 1,406 2,885 937 2,759

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) United Kingdom - 19.6% - (Continued) Invensys PLC Investec PLC ITV PLC J. Sainsbury PLC Johnson Matthey PLC Kazakhmys PLC Kingfisher PLC Land Securities Group PLC Legal & General Group PLC Lloyds Banking Group PLC London Stock Exchange Group PLC† Lonmin PLC† Man Group PLC Marks & Spencer Group PLC Meggitt PLC Melrose PLC† National Grid PLC Next PLC Old Mutual PLC Pearson PLC Petrofac Ltd. Prudential PLC Randgold Resources Ltd. Reckitt Benckiser Group PLC Reed Elsevier PLC Resolution Ltd. Rexam PLC Rio Tinto PLC Rolls-Royce Holdings PLC Royal Bank of Scotland Group PLC RSA Insurance Group PLC SABMiller PLC Sage Group (The) PLC Schroders PLC Segro PLC Serco Group PLC Severn Trent PLC Smith & Nephew PLC Smiths Group PLC SSE PLC Standard Chartered PLC Standard Life PLC Subsea 7 S.A.† Tate & Lyle PLC TESCO PLC TUI Travel PLC Tullow Oil PLC Unilever PLC United Utilities Group PLC Vedanta Resources PLC† Vodafone Group PLC

326,583 215,852 1,486,296 490,706 86,348 86,113 962,343 314,794 2,390,494 16,815,838 59,961 65,191 758,548 656,080 312,555 487,903 1,390,098 68,390 1,989,594 333,144 104,315 1,033,962 35,311 267,561 495,705 558,521 352,672 546,080 760,744 840,334 1,417,783 387,278 532,341 45,450 298,252 198,419 95,538 364,421 157,849 380,956 966,592 966,699 113,196 187,954 3,256,535 185,151 368,079 520,917 274,220 42,073 20,200,959

See Accompanying Notes to the Financial Statements.

69

COST

$

1,452 1,509 1,325 2,625 2,391 1,736 3,866 3,563 3,564 14,881 841 1,710 3,798 4,014 1,888 1,710 12,792 2,383 4,555 5,024 1,820 10,703 3,021 14,055 3,924 2,503 1,735 29,187 6,245 4,480 2,736 11,885 2,050 969 1,592 1,708 1,729 3,510 2,552 7,108 24,866 3,410 2,800 1,993 21,564 708 7,761 15,618 2,238 1,530 47,170

VALUE

$

1,233 1,275 1,758 2,486 2,949 951 4,023 3,896 4,775 7,998 911 713 947 3,430 1,878 1,686 14,429 3,449 4,916 6,243 2,437 12,361 3,209 14,702 4,178 1,803 2,401 25,210 10,137 2,814 2,419 16,729 2,398 914 1,106 1,792 2,582 3,731 2,639 7,837 22,179 3,664 2,384 1,944 16,231 530 7,440 18,699 2,935 643 57,794

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 96.8%- (CONTINUED) United Kingdom - 19.6% - (Continued) Weir Group (The) PLC Whitbread PLC WM Morrison Supermarkets PLC United States - 0.0% Sims Metal Management Ltd.† TOTAL COMMON STOCKS PREFERRED STOCKS - 0.5% Germany - 0.5% Bayerische Motoren Werke A.G.† Henkel A.G. & Co. KGaA Porsche Automobil Holding S.E. ProSiebenSat.1 Media A.G. RWE A.G. (Non Voting) Volkswagen A.G.† TOTAL PREFERRED STOCKS RIGHTS - 0.0% Austria - 0.0% Immoeast A.G.(1)† Immoeast A.G.(1)

84,994 72,609 963,893

$

VALUE

2,359 1,646 4,369 798,989

$

2,204 2,430 4,188 792,802

66,090

1,287 4,198,407

577 3,925,235

20,952 72,411 62,603 36,179 15,665 58,764

808 3,784 4,123 929 1,204 6,236 17,084

1,048 5,217 3,240 762 557 10,059 20,883

173,296 154,751

-

-

41

-

-

56,965 3,796,255 59,020

-

69 696 31 796 796

France - 0.0% Eurazeo(1) Spain - 0.0% ACS Actividades de Construccion y Servicios S.A.(3)† Banco Santander S.A.(3)† Zardoya Otis S.A.(3)

COST

TOTAL RIGHTS

See Accompanying Notes to the Financial Statements.

70

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Contracts)

SHARES INVESTMENT COMPANIES - 0.6% iShares MSCI EAFE Index Fund† TOTAL INVESTMENT COMPANIES

469,800

COST $

UNITS SHORT-TERM INVESTMENTS - 8.2% Northern Trust Global Investments Collective Short-Term Investment Fund(4) NTI/NTCC Commingled Funds Custom Collateral Section(4)(5)(6) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 106.1%

8,298,003 322,605,727

23,547 23,547

$

8,298 322,606 330,904 4,569,942

(3) (4) (5) (6)

†

23,490 23,490 VALUE

$

8,298 322,606 330,904 4,301,308 (248,112) $4,053,196

NET ASSETS - 100.0%

(2)

$

COST

Liabilities less Other Assets - (6.1)%

(1)

VALUE

Cost and Value amount rounds to less than $1. Security has been deemed worthless by the Northern Trust Global Investments Pricing and Valuation Committee. Cost amount rounds to less than $1. Investment in affiliated fund. See Note B in the Notes to the Financial Statements. Investment relates to cash collateral received from portfolio securities loaned. Security is either wholly or partially on loan.

Percentages shown are based on Net Assets. SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT COMMON STOCKS PREFERRED STOCKS NORTHERN TRUST FUNDS(1) MUTUAL FUNDS TOTAL

(1)

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$ 775,676 3,555

$ 511,667 2,030

$(78,490) 265

724,435 183,313

716,137 161,948

— (2,444)

$1,686,979

$1,391,782

$(80,669)

The amounts presented exclude purchases and sales related to the NTI/NTCC Commingled Funds Custom Collateral Section. The net purchases during the year were $49,099.

OPEN FUTURES CONTRACTS: TYPE

CURRENCY

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

Euro British Pound

923 257

$26,463 22,574

Long Long

9/12 9/12

$2,320 916

Hong Kong Dollar Japanese Yen

25 159

3,178 8,831

Long Long

8/12 9/12

155 313

TOPIX INDEX

Australian Dollar Japanese Yen

83 74

9,230 6,955

Long Long

9/12 9/12

247 221

YEN DENOMINATED NIKKEI 225

Japanese Yen

33

1,815

Long

9/12

EURO STOXX 50 FTSE 100 INDEX HANG SENG INDEX NIKKEI 225 SPI 200 INDEX

58 $4,230

TOTAL

See Accompanying Notes to the Financial Statements.

71

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

Foreign currency and other liquid assets are pledged as collateral to cover margin requirements for open futures contracts. At July 31, 2012, the NT Collective EAFE Index Fund - Lending’s investments had outstanding foreign currency exchange contracts as follows: CONTRACTS TO DELIVER CURRENCY

AMOUNT (LOCAL CURRENCY)

IN EXCHANGE FOR CURRENCY

AMOUNT (LOCAL CURRENCY)

SETTLEMENT DATE

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR)

COUNTERPARTY Goldman Sachs Capital Markets NY Morgan Stanley & Co. New York

Australian Dollar Australian Dollar

194 169

United States Dollar United States Dollar

200 172

9/19/12 9/19/12

$ (3) (5)

Australian Dollar

176

United States Dollar

176

9/19/12

(8)

Australian Dollar Australian Dollar British Pound

389 503 319

United States Dollar United States Dollar United States Dollar

400 500 500

9/19/12 9/19/12 9/19/12

(7) (27) 1

UBS Securities New York UBS Securities New York Citibank London

British Pound British Pound

2,578 191

United States Dollar United States Dollar

4,000 300

9/19/12 9/19/12

(39) 1

Citibank London Morgan Stanley & Co. New York

British Pound British Pound

384 384

United States Dollar United States Dollar

600 600

9/19/12 9/19/12

(1) (2)

UBS Securities New York UBS Securities New York

British Pound British Pound British Pound

129 385 385

United States Dollar United States Dollar United States Dollar

200 600 600

9/19/12 9/19/12 9/19/12

(3) (3) (3)

UBS Securities New York UBS Securities New York UBS Securities New York

British Pound

960

United States Dollar

1,500

9/19/12

(4)

UBS Securities New York

British Pound Euro

403 5,434

United States Dollar United States Dollar

625 6,849

9/19/12 9/19/12

(7) 153

UBS Securities New York Citibank London

Euro

556

United States Dollar

700

9/19/12

15

Morgan Stanley & Co. New York

Euro Euro Euro Euro

83 165 165 1,027

United States Dollar United States Dollar United States Dollar United States Dollar

100 200 200 1,300

9/19/12 9/19/12 9/19/12 9/19/12

(2) (3) (4) 34

Morgan Stanley & Co. New York Morgan Stanley & Co. New York Morgan Stanley & Co. New York UBS Securities New York

376 397 561 191 1,164 15,706 10,814 11,727 15,876 7,818 78,883 59,433 125 1,393 2,305 4,218

United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar

475 500 700 241 150 200 136 150 200 100 1,000 750 100 200 327 4,437

9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12

11 10 8 5 —* (1) (3) —* (3) —* (11) (11) —* (5) (12) 107

Euro Euro Euro Euro Hong Kong Dollar Japanese Yen Japanese Yen Japanese Yen Japanese Yen Japanese Yen Japanese Yen Japanese Yen Singapore Dollar Swedish Krona Swedish Krona Swiss Franc

See Accompanying Notes to the Financial Statements.

72

Morgan Stanley & Co. New York

UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York Citibank London Goldman Sachs Capital Markets NY Morgan Stanley & Co. New York Morgan Stanley & Co. New York UBS Securities New York UBS Securities New York UBS Securities New York Morgan Stanley & Co. New York Morgan Stanley & Co. New York Morgan Stanley & Co. New York Citibank London

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

CONTRACTS TO DELIVER CURRENCY

AMOUNT (LOCAL CURRENCY)

IN EXCHANGE FOR CURRENCY

AMOUNT (LOCAL CURRENCY)

SETTLEMENT DATE

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR) $ 40 5

UBS Securities New York UBS Securities New York

COUNTERPARTY

Swiss Franc Swiss Franc

1,520 190

United States Dollar United States Dollar

1,600 200

9/19/12 9/19/12

Swiss Franc

192

United States Dollar

200

9/19/12

3

UBS Securities New York

Swiss Franc United States Dollar

197 141

United States Dollar Australian Dollar

200 140

9/19/12 9/19/12

(3) 5

UBS Securities New York Citibank London

United States Dollar

100

Australian Dollar

100

9/19/12

5

Citibank London

United States Dollar

100

Australian Dollar

98

9/19/12

3

Morgan Stanley & Co. New York

United States Dollar United States Dollar United States Dollar

2,862 500 300

Australian Dollar Australian Dollar Australian Dollar

2,891 500 300

9/19/12 9/19/12 9/19/12

167 24 14

United States Dollar United States Dollar United States Dollar

100 300 390

Australian Dollar British Pound British Pound

97 194 250

9/19/12 9/19/12 9/19/12

1 3 2

United States Dollar

4,380

British Pound

2,815

9/19/12

31

UBS Securities New York

United States Dollar United States Dollar

2,000 1,200

British Pound British Pound

1,285 772

9/19/12 9/19/12

13 9

UBS Securities New York UBS Securities New York

United States Dollar

266

British Pound

171

9/19/12

3

UBS Securities New York

United States Dollar United States Dollar United States Dollar United States Dollar

700 200 13,550 228

British Pound British Pound Euro Euro

447 127 11,019 184

9/19/12 9/19/12 9/19/12 9/19/12

1 (1) 28 (1)

UBS Securities New York UBS Securities New York Citibank London Citibank London

United States Dollar United States Dollar

260 350

Euro Euro

209 281

9/19/12 9/19/12

(3) (3)

Citibank London Citibank London

United States Dollar United States Dollar United States Dollar

505 100 800

Euro Euro Euro

414 81 640

9/19/12 9/19/12 9/19/12

5 —* (12)

United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar

1,900 400 200 100 1,300 903 150 300 3,557 1,100 700 360 141 100 549

577

Euro Euro Euro Euro Euro Euro Hong Kong Dollar Hong Kong Dollar Japanese Yen Japanese Yen Japanese Yen Japanese Yen Japanese Yen Japanese Yen Japanese Yen Singapore Dollar

UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York Citibank London Goldman Sachs Capital Markets NY

Morgan Stanley & Co. New York Morgan Stanley & Co. New York Morgan Stanley & Co. New York

459

9/19/12

(12)

Morgan Stanley & Co. New York

1,500 326 163 79 1,043 7,003 1,163 23,766 281,775 87,635 55,564 28,408 11,215 7,816 704

9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12

(52) 2 1 (3) (15) 1 —* 4 53 23 12 4 3 —* 17

Morgan Stanley & Co. New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York Citibank London UBS Securities New York Citibank London Morgan Stanley & Co. New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York Citibank London

See Accompanying Notes to the Financial Statements.

73

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

AMOUNT (LOCAL CURRENCY)

IN EXCHANGE FOR CURRENCY

United States Dollar United States Dollar

100 100

Singapore Dollar Swedish Krona

United States Dollar

150

Swedish Krona

United States Dollar United States Dollar

100 112

Swiss Franc Swiss Franc

United States Dollar

300

United States Dollar

500

CONTRACTS TO DELIVER CURRENCY

AMOUNT (LOCAL CURRENCY)

SETTLEMENT DATE

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR)

127 708

9/19/12 9/19/12

$ 2 4

1,063

9/19/12

96 109

9/19/12 9/19/12

(1) —*

Citibank London UBS Securities New York

Swiss Franc

288

9/19/12

(5)

UBS Securities New York

Swiss Franc

481

9/19/12

(6)

UBS Securities New York

$555

Total *

6

Amount rounds to less than one thousand.

At July 31, 2012, the NT Collective EAFE Index Fund - Lending’s investments (excluding short-term investments) were denominated in the following currencies: CONCENTRATION BY CURRENCY Euro British Pound Japanese Yen Australian Dollar Swiss Franc All other currencies less than 5% Total

% OF INVESTMENTS 26.6% 23.1 20.9 9.2 8.5 11.7 100.0%

At July 31, 2012, the NT Collective EAFE Index Fund - Lending’s investments (excluding short-term investments) were diversified as follows: INDUSTRY SECTOR Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Total

% OF INVESTMENTS 10.4% 12.2 8.3 23.1 10.3 12.4 4.4 9.5 5.5 3.9 100.0%

See Accompanying Notes to the Financial Statements.

74

COUNTERPARTY Morgan Stanley & Co. New York Morgan Stanley & Co. New York UBS Securities New York

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/ or securities indices). Level 3 - Valuations based on inputs that are unobservable and significant. The Fund utilized the following techniques on Level 3 investments: The Fund valued certain securities using prices provided by a third party pricing provider. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective EAFE Index Fund - Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

— —

$ — —

$ 396,990 477,832

Common Stocks Consumer Discretionary Consumer Staples

$ 396,990 477,832

$

Energy

329,633

—

—

329,633

Financials

893,124 411,030

— —

— —

893,124 411,030

494,254 173,753

— —

— —

494,254 173,753

Telecommunication Services

376,223 218,978

— —

— —

376,223 218,978

Utilities

153,418

—

—

153,418

15,109 5,217

— —

— —

15,109 5,217

557

—

—

557

Health Care Industrials Information Technology Materials

Preferred Stocks Consumer Discretionary Consumer Staples Utilities Rights Financials

—

—

696

696

Industrials

69 23,490

— —

31 —

100 23,490

—

330,904

—

330,904

$3,969,677

$330,904

$727

$4,301,308

$

$

$ — —

$

Investment Companies Short-Term Investments Total Investments

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts Foreign Currency Exchange Contracts

4,230 —

— 839

See Accompanying Notes to the Financial Statements.

75

4,230 839

NT COLLECTIVE EAFE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

$(284)

$—

$ (284)

$ 555

$—

$4,785

Liabilities

$

Foreign Currency Exchange Contracts

—

$4,230

Total Other Financial Instruments

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly. The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value: CHANGE IN CHANGE IN UNREALIZED TRANSFERS BALANCE REALIZED REALIZED UNREALIZED TRANSFERS BALANCE AS OF 7/31/11 GAINS (LOSSES) APPRECIATION (DEPRECIATION) PURCHASES (SALES) IN TO LEVEL 3(1) OUT OF LEVEL 3(1) AS OF 7/31/12 Rights Financials

$18

$—

$—

$696

Industrials

—

—

—

31

$18

$—

$—

$727

Total Investments (1)

$(18) — $(18)

$—

$—

$—

$—

—

—

—

—

31

$—

$—

$—

$—

$727

The value of Transfers In and/or Out of Level 3 was measured using the fair value as of the end of the period ended, July 31, 2012.

The amount of change in total unrealized gains on investments in Level 3 securities still held at July 31, 2012 was approximately $727, which is included in the Statement of Operations and Changes in Net Assets as Change in Unrealized Appreciation (Depreciation).

See Accompanying Notes to the Financial Statements.

76

$696

NT COLLECTIVE QUANT ENHANCED EAFE EQUITY FUND - LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (including Securities on Loan of $5,783) (Cost $144,757) Investments in Northern Trust Funds, at Value (Cost $4,774) Cash Held at Broker Foreign Currencies (Cost $2,352) Foreign Currencies Held at Broker (Cost $822) (Restricted $236) Receivable for Variation Margin on Futures Contracts Reclaims Receivable Accrued Income Receivable Total Assets LIABILITIES Payable Upon Return of Securities Loaned Payable for Variation Margin on Futures Contracts Accrued Expenses Total Liabilities

$

$

$

139,828 4,774 43 2,361 824 2 599 193 148,624

$

4,705 21 22 4,748

$

143,876

$

$

5,465 6 127 5,598 14 103 4 121

$

5,477

Net Realized Gains (Losses) on Securities Transactions

$

(10,806)

Net Realized Gains (Losses) on Futures Contracts

$

(691)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

43

NET ASSETS (Equivalent to $285.888 Per Unit, Based on 503,261 Units Outstanding)

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $20 in Foreign Withholding Tax) Interest Income Net Income from Securities Loaned Total Investment Income Less: Audit Fee Expense Recovery Other Expenses Total Expenses Net Investment Income (Loss)

$

REALIZED AND UNREALIZED GAINS (LOSSES)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$ $

10,375 (4,763) (15,138)

Net Unrealized Appreciation (Depreciation) on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year

$

438

Change in Net Unrealized Appreciation (Depreciation)

$

(473)

Net Realized and Unrealized Gains (Losses) on Investments and Futures Contracts and Foreign Currency Transactions

$

(27,065)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(21,588)

$ $

288 (26,440) (26,152)

$

(47,740)

End of Year

(35)

UNIT TRANSACTIONS Admission of 1,041 Units Withdrawal of 95,531 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Beginning of Year (597,751 Units Outstanding)

191,616

End of Year (503,261 Units Outstanding)

$

See Accompanying Notes to the Financial Statements.

77

143,876

NT COLLECTIVE QUANT ENHANCED EAFE EQUITY FUND - LENDING FINANCIAL HIGHLIGHTS For the Years Ended

July 31, 2012

July 31, 2011

July 31, 2010

July 31, 2009

July 31, 2008

Unit Value, Beginning of Year

$

Net Investment Income (Loss)

320.561

$

269.304

$

253.698

$

332.364

$

381.685

10.521

10.626

8.446

9.133

13.220

Net Realized and Unrealized Gains (Losses)

(45.194)

40.631

7.160

(87.799)

(62.541)

Net Increase (Decrease)

(34.673)

51.257

15.606

(78.666)

(49.321)

Unit Value, End of Year

$

Total Return (1)

285.888

$

320.561

(10.81)%

$

19.03%

269.304

6.15%

$ (2)

253.698

(23.67)%

$ (3)

332.364

(12.92)%

Supplemental Data and Ratios Net Assets (000's Omitted)

$

143,876

$

191,616

$

422,822

$

412,133

$

430,882

Ratio to Average Net Assets of: Expenses - net of refund

0.08%

0.04%

N/A

N/A

N/A

Expenses - before refund

0.08%

0.04%

0.04%

0.04%

0.04%

Net Investment Income (Loss) - net of refund

3.72%

3.03%

N/A

N/A

N/A

Net Investment Income (Loss) - before refund

3.72%

3.03%

3.11%

4.11%

3.52%

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of year.

(2)

Without the value of the reverse collateral deficiency declared on November 30, 2009, and March 15, 2010 the total return would have been 6.00%.

(3)

Without the value of the capital contribution from Northern relating to the collateral deficiency declared, the total return would have been (23.69)%. N/A - Not applicable.

See Accompanying Notes to the Financial Statements.

78

NT COLLECTIVE QUANT ENHANCED EAFE EQUITY FUND - LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 94.8% Australia - 8.4% AGL Energy Ltd. Australia & New Zealand Banking Group Ltd. BHP Billiton Ltd. Metcash Ltd. National Australia Bank Ltd. Ramsay Health Care Ltd. Rio Tinto Ltd.† Santos Ltd. Telstra Corp. Ltd. Westpac Banking Corp. WorleyParsons Ltd. Austria - 1.0% Raiffeisen Bank International A.G.† Voestalpine A.G.

16,737 57,810 67,446 256,108 87,628 1,753 16,716 9,743 207,750 106,591 10,333

28,348 16,317

COST

$

VALUE

199 1,177 2,019 1,128 2,079 35 1,099 158 668 2,326 309

$

277 1,432 2,266 919 2,304 44 936 110 874 2,602 284

11,197

12,048

1,198 640

938 445

1,838

1,383

Belgium - 1.5% Anheuser-Busch InBev N.V. Belgacom S.A. Mobistar S.A.

2,165 51,872 15,135

150 1,857 611 2,618

171 1,496 467 2,134

China - 0.0% Yangzijiang Shipbuilding Holdings Ltd.†

56,000

56

45

Denmark - 1.0% A.P. Moller - Maersk A/S, Class B TDC A/S

141 76,322

1,166 639

979 519

1,805

1,498

10,510 66,009 29,746

496 1,046 887 2,429

384 709 896 1,989

119,480 20,508 9,092 3,531 16,659 421 30,106 2,081 30,094 10,656 45,825 15,991

1,903 1,696 247 232 808 29 1,345 107 2,179 859 2,875 746 13,026

1,464 1,400 189 256 373 24 1,487 91 2,464 1,083 2,122 680 11,633

Finland - 1.4% Metso OYJ UPM-Kymmene OYJ Wartsila OYJ Abp† France - 8.1% AXA S.A. Cie Generale des Etablissements Michelin† Electricite de France S.A. Fonciere Des Regions† GDF Suez Neopost S.A.† Publicis Groupe S.A.† Renault S.A. Sanofi Societe BIC S.A. Total S.A. Vinci S.A.

See Accompanying Notes to the Financial Statements.

79

NT COLLECTIVE QUANT ENHANCED EAFE EQUITY FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Germany - 5.7% Adidas A.G. BASF S.E. Continental A.G. Deutsche Bank A.G. (Registered) Deutsche Post A.G. (Registered) E.ON A.G. Fresenius S.E. & Co. KGaA RWE A.G. SAP A.G. Suedzucker A.G.

6,167 31,802 5,530 15,659 66,425 31,797 6,918 11,193 11,440 19,796

COST

$

451 1,921 493 737 1,076 1,126 668 691 773 608 8,544

VALUE

$

464 2,330 502 480 1,198 679 739 441 731 684 8,248

Hong Kong - 3.1% Cheung Kong Holdings Ltd. CLP Holdings Ltd. Hong Kong & China Gas Co. Ltd. Hutchison Whampoa Ltd. Link REIT (The) Sino Land Co. Ltd. SJM Holdings Ltd. Wheelock & Co. Ltd. Yue Yuen Industrial Holdings Ltd.

117,000 46,000 6,600 3,000 30,668 26,000 216,000 368,000 144,500

1,649 332 14 27 105 37 408 1,301 469 4,342

1,541 397 15 27 134 45 387 1,445 438 4,429

Ireland - 0.7% CRH PLC Irish Bank Resolution Corp. Ltd.(1) Ryanair Holdings PLC

21,428 10,394 117,765

372 114 664 1,150

394 576 970

Israel - 0.8% Bank Hapoalim BM Bezeq The Israeli Telecommunication Corp. Ltd. Cellcom Israel Ltd.† Israel Discount Bank Ltd., Class A Partner Communications Co. Ltd.

182,339 386,295 5,094 83,693 21,859

660 494 68 126 322 1,670

527 390 29 78 71 1,095

Italy - 1.2% Atlantia S.p.A. Enel S.p.A. Eni S.p.A.

32,790 131,036 41,376

494 955 1,036 2,485

432 376 858 1,666

Japan - 20.9% Asahi Kasei Corp. Brother Industries Ltd. Canon, Inc. Central Japan Railway Co. Chubu Electric Power Co., Inc.† Coca-Cola West Co. Ltd. Daihatsu Motor Co. Ltd. Fuji Heavy Industries Ltd. Hokuriku Electric Power Co.

233,000 54,600 25,895 191 19,900 26,200 81,000 123,000 4,100

1,474 676 1,022 1,537 430 471 1,054 755 63

1,247 510 879 1,585 213 450 1,368 924 42

See Accompanying Notes to the Financial Statements.

80

NT COLLECTIVE QUANT ENHANCED EAFE EQUITY FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES

COST

VALUE

COMMON STOCKS - 94.8%- (CONTINUED) Japan - 20.9% - (Continued) Idemitsu Kosan Co. Ltd. Isuzu Motors Ltd. ITOCHU Corp. Itochu Techno-Solutions Corp. Japan Retail Fund Investment Corp.† KDDI Corp. Kurita Water Industries Ltd. Kyocera Corp. Kyushu Electric Power Co., Inc. Mitsubishi Corp. Mitsubishi UFJ Financial Group, Inc. Mitsui & Co. Ltd. Mizuho Financial Group, Inc. NHK Spring Co. Ltd. Nippon Telegraph & Telephone Corp. Nitto Denko Corp. Nomura Real Estate Office Fund, Inc. Nomura Research Institute Ltd. Osaka Gas Co. Ltd. Otsuka Corp. Otsuka Holdings Co. Ltd. Sankyo Co. Ltd. Secom Co. Ltd. Sega Sammy Holdings, Inc. Seven & I Holdings Co. Ltd. Sumitomo Electric Industries Ltd. Sumitomo Heavy Industries Ltd. Sumitomo Mitsui Financial Group, Inc. Takeda Pharmaceutical Co. Ltd. Toho Gas Co. Ltd. Tokyo Gas Co. Ltd. Tokyu Land Corp. Toyo Suisan Kaisha Ltd. Toyota Motor Corp. Toyota Tsusho Corp. Yamada Denki Co. Ltd.†

1,000 139,000 59,170 7,200 362 134 24,300 13,400 2,200 4,500 464,600 11,800 84,200 36,300 1,100 21,100 37 2,000 65,000 8,700 19,300 3,700 16,200 43,600 41,600 90,800 148,000 65,800 40,127 32,000 15,000 37,000 25,000 4,900 51,900 17,050

Netherlands - 6.7% ASML Holding N.V. Heineken N.V. ING Groep N.V. - CVA Koninklijke Ahold N.V. Royal Dutch Shell PLC, Class B Unilever N.V. - CVA

12,721 27,598 156,989 17,866 130,369 43,892

584 1,394 1,485 213 4,368 1,330 9,374

740 1,497 1,041 218 4,595 1,527 9,618

229 60,611 798

4 1,531 32 1,567

3 1,450 38 1,491

Norway - 1.0% Aker Solutions ASA Statoil ASA Yara International ASA

See Accompanying Notes to the Financial Statements.

81

$

91 631 579 246 466 792 639 1,301 36 100 2,384 206 151 345 52 1,016 194 47 251 558 520 189 751 814 1,131 1,002 904 2,052 1,853 184 69 178 628 200 808 1,220 30,070

$

85 717 619 373 608 928 551 1,072 17 90 2,267 176 139 385 51 917 214 42 267 769 589 184 755 935 1,324 1,081 601 2,096 1,850 193 78 189 603 189 970 890 30,032

NT COLLECTIVE QUANT ENHANCED EAFE EQUITY FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Portugal - 0.1% Energias de Portugal S.A. Singapore - 2.7% DBS Group Holdings Ltd. Golden Agri-Resources Ltd. Jardine Cycle & Carriage Ltd. SembCorp Industries Ltd. UOL Group Ltd. Spain - 1.5% Banco Bilbao Vizcaya Argentaria S.A. Banco Santander S.A.† Distribuidora Internacional de Alimentacion S.A.† Ferrovial S.A. Gas Natural SDG S.A. Iberdrola S.A. Indra Sistemas S.A.† Sweden - 2.2% Atlas Copco AB, Class A Boliden AB Getinge AB, Class B Industrivarden AB, Class C Investment AB Kinnevik, Class B Skanska AB, Class B† Telefonaktiebolaget LM Ericsson, Class B Volvo AB, Class B

88,502

116,000 852,000 12,000 315,000 70,000

COST

$

358

VALUE

$

202

1,285 465 214 1,054 232

1,374 507 450 1,339 292

3,250

3,962

47,072 138,842 19,579 22,246 17,102 60,001 26,208

836 1,594 96 277 325 483 453 4,064

309 846 97 242 211 218 233 2,156

11,149 79,369 2,268 1,706 8,504 21,444 40,440 57,673

288 1,294 58 26 160 328 450 643

251 1,213 65 23 176 325 378 715

3,247

3,146

Switzerland - 8.6% Glencore International PLC† Nestle S.A. (Registered) Novartis A.G. (Registered) Roche Holding A.G. (Genusschein) Swiss Life Holding A.G. (Registered) Swiss Re A.G. Zurich Insurance Group A.G.

233,768 27,464 56,614 15,814 13,810 15,686 4,966

1,282 1,298 3,027 2,440 1,775 910 1,249 11,981

1,173 1,691 3,326 2,809 1,326 986 1,108 12,419

United Kingdom - 18.2% Anglo American PLC Associated British Foods PLC AstraZeneca PLC Aviva PLC BAE Systems PLC Balfour Beatty PLC Barclays PLC BHP Billiton PLC BP PLC British American Tobacco PLC BT Group PLC

10,148 53,419 26,016 102,689 155,145 79,879 524,214 10,835 333,716 837 497,799

501 1,011 1,418 667 668 386 1,903 299 2,779 30 1,418

302 1,050 1,217 469 751 363 1,380 317 2,222 45 1,695

See Accompanying Notes to the Financial Statements.

82

NT COLLECTIVE QUANT ENHANCED EAFE EQUITY FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) United Kingdom - 18.2% - (Continued) Bunzl PLC Centrica PLC Diageo PLC Eurasian Natural Resources Corp. PLC GlaxoSmithKline PLC HSBC Holdings PLC Imperial Tobacco Group PLC Investec PLC ITV PLC J. Sainsbury PLC Kingfisher PLC Legal & General Group PLC Marks & Spencer Group PLC National Grid PLC Next PLC Petrofac Ltd. Prudential PLC Rexam PLC Rio Tinto PLC Smith & Nephew PLC SSE PLC Tate & Lyle PLC United Utilities Group PLC Vodafone Group PLC

55,250 44,691 15,387 85,625 58,039 127,791 48,955 141,458 303,315 300,801 114,401 853,220 6,576 65,610 31,085 5,725 19,379 106,801 5,295 1,724 20,622 24,161 5,516 222,959

COST

$

TOTAL COMMON STOCKS PREFERRED STOCKS - 2.4% Germany - 2.4% Henkel A.G. & Co. KGaA Volkswagen A.G.

23,419 10,509

TOTAL PREFERRED STOCKS RIGHTS - 0.0% Spain - 0.0% Banco Santander S.A.(2) TOTAL RIGHTS

730 229 371 911 1,380 1,273 1,863 1,035 420 1,405 458 1,276 34 592 1,182 139 196 677 292 17 395 271 54 550

69,385 4,704,872

Liabilities less Other Assets - (0.5)%

$

26,152 136,316

1,376 1,480

1,687 1,799

2,856 2,856

3,486 3,486

-

26 26

COST

$

964 222 412 527 1,335 1,069 1,902 835 359 1,524 478 1,705 34 681 1,568 134 232 727 244 18 424 250 59 638

26,830 141,901

138,842

UNITS SHORT-TERM INVESTMENTS - 3.3% Northern Trust Global Investments Collective Short-Term Investment Fund(3) NTI/NTCC Commingled Funds Custom Collateral Section(3)(4)(5) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 100.5%

VALUE

VALUE

69 4,705 4,774 149,531

$

69 4,705 4,774 144,602 (726) $143,876

NET ASSETS - 100.0%

See Accompanying Notes to the Financial Statements.

83

NT COLLECTIVE QUANT ENHANCED EAFE EQUITY FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Number of Contracts)

(1) (2) (3) (4) (5)

†

Security has been deemed worthless by the Northern Trust Global Investments Pricing and Valuation Committee. Cost amount rounds to less than $1. Investment in affiliated fund. See Note B in the Notes to the Financial Statements. Investment relates to cash collateral received from portfolio securities loaned. Security is either wholly or partially on loan.

Percentages shown are based on Net Assets. SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT COMMON STOCKS PREFERRED STOCKS

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$89,871 1,867

$111,434 1,236

$(10,910) 104

NORTHERN TRUST FUND(1) TOTAL

(1)

3,552

3,505

$95,290

$116,175

— $(10,806)

The amounts presented exclude purchases and sales related to the NTI/NTCC Commingled Funds Custom Collateral Section. The net sales during the year were $8,864.

OPEN FUTURES CONTRACTS: TYPE

CURRENCY

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

EURO STOXX 50

Euro

40

$1,147

Long

9/12

$ 96

FTSE 100 NIKKEI 225

British Pound Japanese Yen

17 18

1,493 990

Long Long

9/12 9/12

50 13

SPI 200

Australian Dollar

3

334

Long

9/12

7 $166

TOTAL

Foreign currency and other liquid assets are pledged as collateral to cover margin requirements for open futures contracts. At July 31, 2012, the Quant Enhanced EAFE Equity Fund - Lending’s investments (excluding short-term investments) were denominated as follows: CONCENTRATION BY CURRENCY Euro British Pound Japanese Yen Australian Dollar Swiss Franc All other currencies less than 5% Total

% OF INVESTMENTS 27.8% 22.8 21.5 8.6 8.1 11.2 100.0%

See Accompanying Notes to the Financial Statements.

84

NT COLLECTIVE QUANT ENHANCED EAFE EQUITY FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

At July 31, 2012, the Quant Enhanced EAFE Equity Fund - Lending’s investments (excluding short-term investments) were diversified as follows: INDUSTRY SECTOR Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Total

% OF INVESTMENTS 10.8% 11.8 8.5 22.9 10.3 12.6 4.1 9.9 5.1 4.0 100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings, and/ or securities indices). Level 3 - Valuations based on inputs that are unobservable and significant. The Fund utilized the following techniques on Level 3 investments: The Fund valued certain securities using prices provided by a third party provider. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the Quant Enhanced EAFE Equity Fund - Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

$13,252

$—

$—

$13,252

Energy

14,869 11,863

— —

— —

14,869 11,863

Financials

31,928

—

—

31,928

Health Care

14,456 17,678

— —

— —

14,456 17,678

5,750 13,787

— —

— —

5,750 13,787

7,158 5,575

— —

— —

7,158 5,575

Consumer Discretionary

1,799

—

—

1,799

Consumer Staples

1,687

—

—

1,687

—

—

26

26

Common Stocks Consumer Discretionary Consumer Staples

Industrials Information Technology Materials Telecommunication Services Utilities Preferred Stocks

Rights Financials

See Accompanying Notes to the Financial Statements.

85

NT COLLECTIVE QUANT ENHANCED EAFE EQUITY FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Short-Term Investments

$

—

$4,774

$—

$

4,774

Total Investments

$139,802

$4,774

$ 26

$144,602

$

$

$—

$

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts

166

—

166

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. U.S. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly. The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value: CHANGE IN CHANGE IN UNREALIZED TRANSFERS BALANCE REALIZED REALIZED UNREALIZED TRANSFERS BALANCE AS OF 7/31/11 GAINS (LOSSES) APPRECIATION DEPRECIATION PURCHASES (SALES) INTO LEVEL 3(1) OUT OF LEVEL 3(1) AS OF 7/31/12 Rights Financials (1)

$—

$—

$—

$26

$—

$—

$—

$—

The value of Transfers In and/or Out of Level 3 was measured using the fair value as of the end of the year.

The amount of change in unrealized gains on investments in Level 3 securities still held at July 31, 2012 was $26, which is included in the Statement of Operations and Changes in Net Assets as Change in Unrealized Appreciation (Depreciation).

See Accompanying Notes to the Financial Statements.

86

$—

$26

NT COLLECTIVE QUANT ENHANCED EASEA EQUITY FUND - LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (including Securities on Loan of $471) (Cost $10,442) Investments in Northern Trust Funds, at Value (Cost $405) Foreign Currencies (Cost $195) Foreign Currencies Held at Broker (Cost $89) (Restricted $20) Receivable from Trustee Reclaims Receivable Accrued Income Receivable Total Assets

$

$

10,048 405 196 88 1 40 18 10,796

LIABILITIES Payable Upon Return of Securities Loaned Payable for Variation Margin on Futures Contracts Accrued Expenses Total Liabilities

$

NET ASSETS (Equivalent to $465.104 Per Unit, Based on 22,328 Units Outstanding)

$

395 2 14 411

$

10,385

$

410 1 9 420 14 7 1 22

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $9 in Foreign Withholding Tax) Interest Income Net Income from Securities Loaned Total Investment Income Less: Audit Fee Expense Recovery Other Expenses Total Expenses Less:

$

$

Refund of Expenses by Trustee

(11)

Net Expenses

$

11

Net Investment Income (Loss)

$

409

Net Realized Gains (Losses) on Securities Transactions

$

(707)

Net Realized Gains (Losses) on Futures Contracts

$

(44)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(15)

$ $

528 (376) (904)

$

15

Change in Net Unrealized Appreciation (Depreciation)

$

(19)

Net Realized and Unrealized Gains (Losses) on Investments and Futures Contracts and Foreign Currency Transactions

$

(1,689)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(1,280)

Net Increase (Decrease) in Net Assets

$

(1,280)

REALIZED AND UNREALIZED GAINS (LOSSES)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

Net Unrealized Appreciation (Depreciation) on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year End of Year

(4)

NET ASSETS Beginning of Year (22,328 Units Outstanding)

11,665

End of Year (22,328 Units Outstanding)

$

See Accompanying Notes to the Financial Statements.

87

10,385

NT COLLECTIVE QUANT ENHANCED EASEA EQUITY FUND - LENDING FINANCIAL HIGHLIGHTS For the Years Ended

July 31, 2012

July 31, 2011

July 31, 2010

July 31, 2009

July 31, 2008

Unit Value, Beginning of Year

$

Net Investment Income (Loss)

522.417

$

439.339

$

408.430

$

542.839

$

617.003

18.314

18.121

14.232

15.512

24.070

Net Realized and Unrealized Gains (Losses)

(75.627)

64.957

16.677

(149.921)

(98.234)

Net Increase (Decrease)

(57.313)

83.078

30.909

(134.409)

(74.164)

Unit Value, End of Year

$

Total Return (1)

465.104

$

522.417

(10.97)%

$

18.90%

439.339

7.57%

$ (2)

408.430

(24.76)%

$ (3)

542.839

(12.02)%

Supplemental Data and Ratios Net Assets (000's Omitted)

$

10,385

$

11,665

$

9,810

$

8,369

$

11,123

Ratio to Average Net Assets of: Expenses - net of refund

0.11%

0.16%

N/A

N/A

N/A

Expenses - before refund

0.21%

0.17%

0.19%

0.27%

0.12%

Net Investment Income (Loss) - net of refund

4.02%

3.59%

N/A

N/A

N/A

Net Investment Income (Loss) - before refund

3.92%

3.58%

3.15%

4.33%

3.94%

(1)

Total Return is calculated as the sum of net investment income and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of year.

(2)

Without the values of the reverse collateral deficiency declared on November 30, 2009, and March 15, 2010 the total return would have been 7.47%.

(3)

Without the value of the capital contribution from Northern relating to the collateral deficiency declared, the total return would have been (24.77)%. N/A - Not applicable.

See Accompanying Notes to the Financial Statements.

88

NT COLLECTIVE QUANT ENHANCED EASEA EQUITY FUND - LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 94.1% Australia - 10.7% AGL Energy Ltd. Australia & New Zealand Banking Group Ltd. BGP Holdings PLC - (Fractional Shares)(1)† BHP Billiton Ltd. Coca-Cola Amatil Ltd. Cochlear Ltd.† Commonwealth Bank of Australia Incitec Pivot Ltd. Metcash Ltd.† National Australia Bank Ltd. Ramsay Health Care Ltd. Rio Tinto Ltd.† Santos Ltd. SP AusNet TABCORP Holdings Ltd. Telstra Corp. Ltd. Westpac Banking Corp. WorleyParsons Ltd. Austria - 1.2% Raiffeisen Bank International A.G. Voestalpine A.G. Belgium - 1.5% Anheuser-Busch InBev N.V. Belgacom S.A. Mobistar S.A. China - 0.1% Yangzijiang Shipbuilding Holdings Ltd.

1,324 6,743 2,825 5,715 2,533 77 201 1,620 21,066 6,870 293 1,326 356 614 1,331 20,292 8,147 1,501

2,178 1,832

COST

$

VALUE

16 135 180 30 5 11 6 92 158 5 84 5 1 4 65 169 45 1,011

$

22 167 192 37 5 12 5 76 181 7 74 4 1 5 85 199 41 1,113

84 74

72 50

158

122

143 3,742 1,150

10 134 54 198

11 108 36 155

12,000

12

10

Denmark - 1.5% A.P. Moller - Maersk A/S, Class B Coloplast A/S, Class B TDC A/S

12 22 9,663

97 4 81 182

83 4 66 153

Finland - 1.4% Fortum OYJ Metso OYJ Orion OYJ, Class B UPM-Kymmene OYJ Wartsila OYJ Abp†

51 43 1,698 5,542 1,661

2 2 40 75 51 170

1 2 34 59 50 146

France - 10.3% AXA S.A. BNP Paribas S.A. Casino Guichard Perrachon S.A. Cie Generale des Etablissements Michelin Electricite de France S.A. Fonciere Des Regions†

9,086 355 30 1,236 374 602

143 23 3 96 10 43

111 13 2 84 8 44

See Accompanying Notes to the Financial Statements.

89

NT COLLECTIVE QUANT ENHANCED EASEA EQUITY FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES

COST

VALUE

COMMON STOCKS - 94.1%- (CONTINUED) France - 10.3% - (Continued) GDF Suez Neopost S.A.† Publicis Groupe S.A.† Renault S.A. Sanofi Societe BIC S.A. Societe Generale S.A. Total S.A. Vinci S.A. Vivendi S.A.

1,507 657 2,188 870 2,857 960 129 4,255 1,134 456

Germany - 7.5% Adidas A.G. BASF S.E. Bayerische Motoren Werke A.G. Continental A.G. Deutsche Bank A.G. (Registered) Deutsche Post A.G. (Registered) E.ON A.G. Fresenius S.E. & Co. KGaA RWE A.G. SAP A.G. Suedzucker A.G.

1,025 2,527 17 349 1,668 5,666 2,918 847 942 1,498 1,306

72 158 2 32 74 91 110 81 63 101 40 824

77 185 1 32 51 102 62 91 37 96 45 779

Hong Kong - 4.2% Cheung Kong Holdings Ltd. CLP Holdings Ltd. Hong Kong & China Gas Co. Ltd. Hutchison Whampoa Ltd. Link REIT (The) NWS Holdings Ltd. Power Assets Holdings Ltd. SJM Holdings Ltd. Wheelock & Co. Ltd. Yue Yuen Industrial Holdings Ltd.

9,000 4,000 2,200 2,000 13,439 3,089 500 23,000 32,000 8,500

122 31 5 18 39 4 4 44 103 27 397

118 34 5 18 59 5 4 41 126 26 436

Ireland - 0.7% CRH PLC Irish Bank Resolution Corp. Ltd.(2) Ryanair Holdings PLC

670 3,310 11,400

12 35 64 111

12 56 68

Israel - 1.0% Bank Hapoalim BM Bezeq The Israeli Telecommunication Corp. Ltd. Israel Discount Bank Ltd., Class A

18,194 33,934 16,261

76 43 25 144

53 34 15 102

Italy - 1.8% Atlantia S.p.A. Enel S.p.A.

4,601 11,241

69 86

61 32

See Accompanying Notes to the Financial Statements.

90

$

68 33 102 38 204 79 8 235 53 9 1,147

$

34 38 108 38 234 98 3 197 48 9 1,069

NT COLLECTIVE QUANT ENHANCED EASEA EQUITY FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 94.1%- (CONTINUED) Italy - 1.8% - (Continued) ENI S.p.A. Fiat S.p.A.†

3,919 1,576

COST

$

VALUE

97 10

$

81 8

262

182

579 2,331 13,114 4,007 11,038 3,618

27 115 126 51 365 107 791

34 126 87 49 389 126 811

Norway - 2.0% Aker Solutions ASA(1) Statoil ASA Yara International ASA

28 4,850 1,939

129 79 208

116 92 208

Portugal - 0.1% Energias de Portugal S.A.

Netherlands - 7.8% ASML Holding N.V. Heineken N.V. ING Groep N.V. - CVA Koninklijke Ahold N.V. Royal Dutch Shell PLC, Class B Unilever N.V. - CVA

6,849

30

16

Singapore - 2.9% DBS Group Holdings Ltd. Golden Agri-Resources Ltd. Jardine Cycle & Carriage Ltd. SembCorp Industries Ltd.

11,000 43,000 1,000 26,000

123 23 23 87 256

130 26 37 111 304

Spain - 2.1% Banco Bilbao Vizcaya Argentaria S.A. Banco Santander S.A. Distribuidora Internacional de Alimentacion S.A.† Enagas S.A. Gas Natural SDG S.A. Iberdrola S.A. Indra Sistemas S.A.†

4,861 12,514 2,226 761 1,317 6,205 5,518

88 145 11 16 28 57 97 442

32 76 11 13 16 23 49 220

2,715 4,413 1 155 2,752 2,334 572 5,037

70 74 3 54 36 21 56 314

61 68 2 57 35 24 63 310

2,453 111 13,744 2,879

54 5 75 142

43 5 69 177

Sweden - 3.0% Atlas Copco AB, Class A Boliden AB Getinge AB, Class B(1) Industrivarden AB, Class C Investment AB Kinnevik, Class B Skanska AB, Class B† Swedish Match AB Volvo AB, Class B Switzerland - 10.7% ABB Ltd. (Registered) Adecco S.A. (Registered) Glencore International PLC† Nestle S.A. (Registered)

See Accompanying Notes to the Financial Statements.

91

NT COLLECTIVE QUANT ENHANCED EASEA EQUITY FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 94.1%- (CONTINUED) Switzerland - 10.7% - (Continued) Novartis A.G. (Registered) Roche Holding A.G. (Genusschein) Swiss Life Holding A.G. (Registered) Swiss Re A.G. Zurich Insurance Group A.G. United Kingdom - 23.6% Anglo American PLC Associated British Foods PLC AstraZeneca PLC Aviva PLC BAE Systems PLC Balfour Beatty PLC Barclays PLC BHP Billiton PLC BP PLC British American Tobacco PLC British Land Co. PLC BT Group PLC Bunzl PLC Centrica PLC Cobham PLC(1) Diageo PLC Eurasian Natural Resources Corp. PLC GlaxoSmithKline PLC HSBC Holdings PLC Imperial Tobacco Group PLC Investec PLC ITV PLC J. Sainsbury PLC Kingfisher PLC Land Securities Group PLC Legal & General Group PLC National Grid PLC Next PLC Petrofac Ltd. Rexam PLC Rio Tinto PLC Sage Group (The) PLC SSE PLC Tate & Lyle PLC Unilever PLC United Utilities Group PLC Vodafone Group PLC

4,253 1,512 950 1,649 475

$

221 212 126 96 111 1,042

VALUE

$

250 268 91 104 106 1,113

2,063 2,535 2,608 7,172 12,451 9,661 45,382 1,942 28,407 615 69 39,358 6,100 5,303 13 1,995 3,092 5,346 18,270 3,775 9,831 13,362 21,795 19,384 406 62,501 5,682 2,265 566 13,523 764 1,811 1,222 7,495 203 765 30,067

101 48 115 47 54 44 178 58 221 22 1 113 81 27 46 33 117 191 151 76 19 102 77 4 94 61 86 13 80 44 7 24 84 6 7 81 2,513 10,212

61 50 122 33 60 44 120 57 189 33 1 134 107 26 53 19 123 153 147 58 16 111 81 5 125 59 114 13 92 35 8 25 78 7 8 86 2,453 9,770

1,750 746

102 15

126 16

TOTAL COMMON STOCKS PREFERRED STOCKS - 2.7% Germany - 2.7% Henkel A.G. & Co. KGaA ProSiebenSat.1 Media A.G.†

COST

See Accompanying Notes to the Financial Statements.

92

NT COLLECTIVE QUANT ENHANCED EASEA EQUITY FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES PREFERRED STOCKS - 2.7%- (CONTINUED) Germany - 2.7% - (Continued) Volkswagen A.G.

798

COST

$

VALUE

113

$

136

230

TOTAL PREFERRED STOCKS UNITS SHORT-TERM INVESTMENTS - 3.9% Northern Trust Global Investments Collective Short-Term Investment Fund(3) NTI/NTCC Commingled Funds Custom Collateral Section(3)(4)(5) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 100.7%

10,013 394,738

278

COST

$

VALUE

10

$

395 405 10,847

Liabilities less Other Assets - (0.7)%

(2)

(3) (4) (5)

†

(68)

Cost and Value amount rounds to less than $1. Security has been deemed worthless by the Northern Trust Global Investments Pricing and Valuation Committee and is a Level 3 investment. Investment in affiliated fund. See Note B in the Notes to the Financial Statements. Investment relates to cash collateral received from portfolio securities loaned. Security is either wholly or partially on loan.

Percentages shown are based on Net Assets. SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT COMMON STOCKS

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$5,697

$5,471

$(713)

141 29

60 23

$5,867

$5,554

PREFERRED STOCKS NORTHERN TRUST FUND(1) TOTAL

(1)

395 405 10,453 $10,385

NET ASSETS - 100.0% (1)

10

6 — $(707)

The amounts presented exclude purchases and sales related to the NTI/NTCC Commingled Funds Custom Collateral Section. The net sales during the year were $464.

See Accompanying Notes to the Financial Statements.

93

NT COLLECTIVE QUANT ENHANCED EASEA EQUITY FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Number of Contracts)

OPEN FUTURES CONTRACTS: TYPE

CURRENCY

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

EURO STOXX 50

Euro

5

$143

Long

9/12

$11

FTSE 100 INDEX

British Pound

2

176

Long

9/12

7 $18

TOTAL

Foreign currency and other liquid assets are pledged as collateral to cover margin requirements for open futures contracts.

At July 31, 2012, the NT Collective Quant Enhanced EASEA Equity Fund - Lending’s investments (excluding short-term investments) were denominated as follows: CONCENTRATION BY CURRENCY Euro British Pound Australian Dollar Swiss Franc All other currencies less than 5% Total

% OF INVESTMENTS 34.4% 29.0 11.1 10.4 15.1 100.0%

At July 31, 2012, the NT Collective Quant Enhanced EASEA Equity Fund - Lending’s investments (excluding short-term investments) were diversified as follows: INDUSTRY SECTOR Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Total

% OF INVESTMENTS 8.2% 13.1 10.3 23.9 11.3 10.6 2.2 10.7 5.5 4.2 100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/ or securities indices). Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).

See Accompanying Notes to the Financial Statements.

94

NT COLLECTIVE QUANT ENHANCED EASEA EQUITY FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective Quant Enhanced EASEA Equity Fund Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Common Stocks

669

$ —

$—

Energy

1,189 1,031

— —

— —

1,189 1,031

Financials

2,403

—

—

2,403

Health Care

1,139

—

—

1,139

Industrials

1,060 224

— —

— —

1,060 224

1,072 557

— —

— —

1,072 557

426

—

—

426

152 126

— —

— —

152 126

—

405

—

405

$10,048

$405

$—

$10,453

$

$ —

$—

$

Consumer Discretionary

$

Consumer Staples

Information Technology Materials Telecommunication Services Utilities

$

669

Preferred Stocks Consumer Discretionary Consumer Staples Short-Term Investments Total Investments

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts

18

18

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. U.S. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly.

See Accompanying Notes to the Financial Statements.

95

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (including Securities on Loan of $14,646) (Cost $107,752) Investments in Northern Trust Funds, at Value (Cost $15,686) Cash Held at Broker (Restricted $57) Foreign Currencies (Cost $2,823) Foreign Currencies Held at Broker (Cost $200) (Restricted $134) Receivable for Investments Sold Receivable for Variation Margin on Futures Contracts Unrealized Gain on Forward Foreign Currency Exchange Contracts Receivable from Trustee Reclaims Receivable Accrued Income Receivable Total Assets LIABILITIES Payable Upon Return of Securities Loaned Payable for Investments Purchased Payable for Variation Margin on Futures Contracts Unrealized Loss on Forward Foreign Currency Exchange Contracts Accrued Expenses Total Liabilities

$

$

$

109,633 15,686 158 2,800 190 5 23 7 1 3 483 128,989

$

15,151 309 12 3 17 15,492

$

113,497

$

$

3,148 17 18 80 3,263 14 46 6 66

Net Expenses

$

58

Net Investment Income (Loss)

$

3,205

NET ASSETS (Equivalent to $12.798 Per Unit, Based on 8,868,277 Units Outstanding)

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $333 in Foreign Withholding Tax) Interest Income Income from Investment in Northern Trust Fund Net Income from Securities Loaned Total Investment Income Less: Audit Fee Expense Recovery Other Expenses Total Expenses Less:

$

Refund of Expenses by Trustee

(8)

REALIZED AND UNREALIZED GAINS (LOSSES) Net Realized Gains (Losses) on Securities Transactions

$

(310)

Net Realized Gains (Losses) on Futures Contracts

$

(420)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(243)

$

20,799 1,994 (18,805)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$

Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts and on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year

$

End of Year

43 (30)

Change in Net Unrealized Appreciation (Depreciation)

$

(73)

Net Realized and Unrealized Gains (Losses) on Investments, Futures Contracts and Foreign Currency Transactions

$

(19,851)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(16,646)

$ $

22,682 (18,815) 3,867

$

(12,779)

UNIT TRANSACTIONS Admission of 1,799,178 Units Withdrawal of 1,415,464 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Beginning of Year (8,484,563 Units Outstanding)

126,276

End of Year (8,868,277 Units Outstanding)

$

See Accompanying Notes to the Financial Statements.

96

113,497

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING FINANCIAL HIGHLIGHTS For the Years Ended

July 31, 2012

July 31, 2011

July 31, 2010

July 31, 2009

July 31, 2008

Unit Value, Beginning of Year

$

Net Investment Income (Loss)

14.883

$

12.712

$

10.571

$

12.717

$

13.270

0.363

0.322

0.264

0.232

0.334

-

-

0.002

-

-

Net Realized and Unrealized Gains (Losses)

(2.448)

1.849

1.875

(2.378)

(0.887)

Net Increase (Decrease)

(2.085)

2.171

2.141

(2.146)

(0.553)

Distribution to Unitholders

Unit Value, End of Year Total Return

$

(1)

12.798

$

14.883

(14.02)%

$

17.08%

12.712

20.27%

$ (2)

10.571

(16.88)%

$ (3)

12.717

(4.17)%

Supplemental Data and Ratios Net Assets (000's Omitted)

$

113,497

$

126,276

$

113,141

$

738,087

$

2,006,099

Ratio to Average Net Assets of: Expenses - net of refund

0.05%

0.05%

N/A

N/A

N/A

Expenses - before refund

0.06%

0.05%

0.06%

0.07%

0.04%

Net Investment Income (Loss) - net of refund

2.80%

2.20%

N/A

N/A

N/A

Net Investment Income (Loss) - before refund

2.79%

2.20%

1.77%

2.74%

2.46%

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of year.

(2)

Without the value of the reverse callateral deficiency declared on November 30, 2009, and March 15, 2010 the total return would have been 19.85%.

(3)

Without the value of the capital contribution from Norther relating to the collateral deficiency declared, the total return would have been (16.89)%.

N/A - Not applicable.

See Accompanying Notes to the Financial Statements.

97

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3% Brazil - 5.8% All America Latina Logistica S.A. Amil Participacoes S.A. Anhanguera Educacional Participacoes S.A. Banco do Brasil S.A. Banco Santander Brasil S.A. Banco Santander Brasil S.A. ADR† BM&FBovespa S.A. BR Malls Participacoes S.A. BR Properties S.A. BRF - Brasil Foods S.A. CCR S.A. Centrais Eletricas Brasileiras S.A. CETIP S.A. - Mercados Organizados Cia de Saneamento Basico do Estado de Sao Paulo Cia de Saneamento de Minas Gerais-COPASA Cia Hering Cia Siderurgica Nacional S.A. Cielo S.A. Cosan S.A. Industria e Comercio CPFL Energia S.A. Cyrela Brazil Realty S.A. Empreendimentos e Participacoes Diagnosticos da America S.A. Duratex S.A. EcoRodovias Infraestrutura e Logistica S.A. Embraer S.A. Energias do Brasil S.A. Fibria Celulose S.A. HRT Participacoes em Petroleo S.A. Hypermarcas S.A. JBS S.A. Light S.A. Localiza Rent a CAR Lojas Renner S.A. MMX Mineracao e Metalicos S.A. MPX Energia S.A. MRV Engenharia e Participacoes S.A. Multiplan Empreendimentos Imobiliarios S.A. Multiplus S.A. Natura Cosmeticos S.A. Obrascon Huarte Lain Brasil S.A. Odontoprev S.A. OGX Petroleo e Gas Participacoes S.A. Oi S.A. PDG Realty S.A. Empreendimentos e Participacoes Petroleo Brasileiro S.A. Porto Seguro S.A. Raia Drogasil S.A. Redecard S.A. Souza Cruz S.A. Sul America S.A. Tim Participacoes S.A.

14,284 4,008 3,816 18,321 6,011 18,207 56,513 12,964 5,800 20,911 28,244 8,620 6,576 3,643 1,800 4,393 23,275 9,454 3,867 7,500 9,471 7,654 7,836 5,423 17,779 7,653 7,931 7,600 10,928 13,075 2,200 4,127 3,951 5,598 1,600 10,704 2,422 1,500 5,475 3,600 8,748 41,295 7,478 36,032 95,298 3,714 6,421 10,772 12,230 3,776 27,070

See Accompanying Notes to the Financial Statements.

98

COST

$

121 39 80 319 61 239 453 114 66 264 149 99 96 77 38 82 205 184 62 77 106 94 48 44 151 44 194 169 112 48 33 50 96 29 28 81 47 34 86 29 43 354 79 163 1,478 28 48 169 66 29 131

VALUE

$

66 38 54 193 46 139 318 151 67 298 236 59 83 153 44 87 120 276 59 87 69 43 46 44 113 51 60 18 70 34 27 67 117 16 26 59 61 36 143 31 42 115 43 61 933 32 72 174 173 23 113

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) Brazil - 5.8% - (Continued) Totvs S.A. Tractebel Energia S.A. Ultrapar Participacoes S.A. Vale S.A. Chile - 1.7% AES Gener S.A. Aguas Andinas S.A. Banco de Chile Banco de Credito e Inversiones Banco Santander Chile CAP S.A. Cencosud S.A. Cia Cervecerias Unidas S.A. Colbun S.A. Corpbanca E.CL S.A. Empresa Nacional de Electricidad S.A. Empresas CMPC S.A. Empresas COPEC S.A. Enersis S.A. ENTEL Chile S.A. Latam Airlines Group S.A. Latam Airlines Group S.A. BDR S.A.C.I. Falabella Vina Concha y Toro S.A. China - 12.7% Agile Property Holdings Ltd.† Agricultural Bank of China Ltd., Class H† Air China Ltd., Class H† Airtac International Group Aluminum Corp. of China Ltd., Class H† Angang Steel Co. Ltd., Class H† Anhui Conch Cement Co. Ltd., Class H† Anta Sports Products Ltd.† Bank of China Ltd., Class H Bank of Communications Co. Ltd., Class H† BBMG Corp., Class H Beijing Capital International Airport Co. Ltd., Class H† Byd Co. Ltd., Class H China Agri-Industries Holdings Ltd. China BlueChemical Ltd., Class H China Citic Bank Corp. Ltd., Class H† China Coal Energy Co. Ltd., Class H China Communications Construction Co. Ltd., Class H China Communications Services Corp. Ltd., Class H China Construction Bank Corp., Class H† China COSCO Holdings Co. Ltd., Class H† China Everbright Ltd.†

3,561 5,106 10,391 41,631

79,315 74,933 564,122 1,008 2,106,397 2,394 32,061 3,563 248,474 3,185,337 16,452 104,532 35,566 14,527 417,174 3,763 6,250 2,204 15,314 13,135

44,853 684,820 54,831 3,000 124,981 37,272 39,336 27,467 2,397,928 232,709 36,518 62,000 16,567 50,543 58,000 236,842 131,137 141,130 78,194 2,298,694 84,692 27,862

See Accompanying Notes to the Financial Statements.

99

COST

$

67 64 116 858

VALUE

$

65 92 243 754

8,041

6,640

35 43 76 31 126 56 137 21 54 50 48 141 126 188 137 55 127 44 101 23

43 50 81 65 153 86 183 47 69 40 37 175 134 211 139 74 155 54 149 26

1,619

1,971

46 310 42 17 127 49 74 41 944 194 43 44 37 47 37 147 270 160 59 1,549 80 41

53 279 39 15 52 19 104 15 919 155 23 42 28 25 38 120 121 124 40 1,553 35 37

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) China - 12.7% - (Continued) China International Marine Containers Co. Ltd., Class B China Life Insurance Co. Ltd., Class H China Longyuan Power Group Corp., Class H China Merchants Bank Co. Ltd., Class H† China Minsheng Banking Corp. Ltd., Class H† China National Building Material Co. Ltd., Class H† China Oilfield Services Ltd., Class H China Overseas Land & Investment Ltd.† China Pacific Insurance Group Co. Ltd., Class H China Petroleum & Chemical Corp., Class H† China Railway Construction Corp. Ltd., Class H† China Railway Group Ltd., Class H China Resources Land Ltd. China Rongsheng Heavy Industry Group Co. Ltd.† China Shenhua Energy Co. Ltd., Class H China Shipping Container Lines Co. Ltd., Class H† China Shipping Development Co. Ltd., Class H China Southern Airlines Co. Ltd., Class H China State Construction International Holdings Ltd. China Taiping Insurance Holdings Co Ltd† China Telecom Corp. Ltd., Class H China Unicom Hong Kong Ltd.† China Vanke Co. Ltd., Class B China Yurun Food Group Ltd.† China ZhengTong Auto Services Holdings Ltd. China Zhongwang Holdings Ltd. Chongqing Rural Commercial Bank, Class H† Citic Pacific Ltd.† CITIC Securities Co. Ltd. COSCO Pacific Ltd. Country Garden Holdings Co. CSG Holding Co. Ltd., Class B CSR Corp. Ltd., Class H† Daphne International Holdings Ltd.† Datang International Power Generation Co. Ltd., Class H† Dongfang Electric Corp. Ltd., Class H Dongfeng Motor Group Co. Ltd., Class H† Dongyue Group† ENN Energy Holdings Ltd. Evergrande Real Estate Group Ltd.† Fosun International Ltd. Franshion Properties China Ltd.† Geely Automobile Holdings Ltd.† Golden Eagle Retail Group Ltd.† GOME Electrical Appliances Holdings Ltd. Great Wall Motor Co. Ltd., Class H Guangdong Investment Ltd. Guangzhou Automobile Group Co. Ltd., Class H† Guangzhou R&F Properties Co. Ltd., Class H† Hengan International Group Co. Ltd.† Huaneng Power International, Inc., Class H

19,502 236,979 66,176 124,936 167,342 92,016 49,781 130,601 55,481 534,544 64,418 130,848 65,967 99,000 108,273 117,506 42,656 58,836 54,832 28,638 443,766 149,698 42,896 42,929 29,000 48,322 71,920 40,788 17,500 53,231 138,268 23,500 61,916 29,000 94,761 11,482 86,079 29,603 22,848 166,972 51,709 92,102 114,008 22,098 322,495 33,160 78,000 69,955 31,434 23,332 104,744

See Accompanying Notes to the Financial Statements.

100

COST

$

24 730 77 326 159 156 99 193 217 483 92 117 97 26 396 41 50 40 56 69 227 277 71 94 28 45 49 115 36 95 139 32 42 34 44 48 82 24 63 84 40 28 50 50 101 48 37 70 63 128 85

VALUE

$

24 656 43 231 156 90 77 309 176 485 56 57 134 14 406 29 18 29 57 40 231 221 55 26 14 18 28 59 31 74 52 15 46 29 34 17 120 16 88 78 25 29 38 40 27 75 56 53 40 221 76

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) China - 12.7% - (Continued) Industrial & Commercial Bank of China, Class H† Inner Mongolia Yitai Coal Co., Class B Intime Department Store Group Co. Ltd. Jiangsu Expressway Co. Ltd., Class H† Jiangxi Cooper Co. Ltd., Class H† Kingboard Chemical Holdings Ltd. Kunlun Energy Co. Ltd.† Lee & Man Paper Manufacturing Ltd. Lenovo Group Ltd.† Longfor Properties Co. Ltd.† Lonking Holdings Ltd.† Parkson Retail Group Ltd.† PetroChina Co. Ltd., Class H PICC Property & Casualty Co. Ltd., Class H Ping An Insurance Group Co., Class H Sany Heavy Equipment International Holdings Co. Ltd. Shandong Weigao Group Medical Polymer Co. Ltd., Class H† Shanghai Electric Group Co. Ltd., Class H Shanghai Pharmaceuticals Holding Co. Ltd., Class H Shui On Land Ltd.† Sihuan Pharmaceutical Holdings Group Ltd.† Sino-Ocean Land Holdings Ltd.† Sinopec Shanghai Petrochemical Co. Ltd., Class H† Sinopharm Group Co. Ltd., Class H† Soho China Ltd.† Sun Art Retail Group Ltd.† Tencent Holdings Ltd. Tingyi Cayman Islands Holding Corp.† Tsingtao Brewery Co. Ltd., Class H† Uni-President China Holdings Ltd. Want Want China Holdings Ltd.† Weichai Power Co. Ltd., Class H† Wumart Stores, Inc., Class H Yanzhou Coal Mining Co. Ltd., Class H† Zhaojin Mining Industry Co. Ltd., Class H Zhejiang Expressway Co. Ltd., Class H Zhongsheng Group Holdings Ltd.† Zhuzhou CSR Times Electric Co. Ltd., Class H Zijin Mining Group Co. Ltd., Class H† Zoomlion Heavy Industry Science and Technology Development Co. Ltd., Class H† ZTE Corp., Class H† Colombia - 1.0% Almacenes Exito S.A. BanColombia S.A. Cementos Argos S.A. Corp. Financiera Colombiana S.A. Ecopetrol S.A. Grupo de Inversiones Suramericana S.A. Interconexion Electrica S.A. E.S.P.

2,074,513 19,281 32,207 38,995 44,393 19,299 101,752 55,044 197,676 40,944 64,712 44,889 671,913 85,611 54,598 29,173 49,900 90,102 16,257 87,596 56,612 91,081 78,376 24,896 66,670 62,000 32,194 62,654 9,750 34,000 190,315 13,124 16,718 62,470 27,070 48,261 18,676 15,126 189,103

COST

$

1,313 96 53 26 84 58 115 39 114 46 42 75 854 78 355 35 46 40 30 54 35 61 35 102 42 86 417 118 23 30 132 37 33 83 53 34 33 57 82

VALUE

$

1,191 103 30 36 98 40 165 23 137 60 12 40 842 96 428 15 56 34 23 36 21 45 21 73 50 73 962 155 57 32 231 40 33 93 34 35 20 36 61

40,584 19,040

68 37 15,286

45 25 14,462

6,377 7,351 12,955 2,274 157,551 7,449 12,244

69 61 31 40 244 98 50

109 112 51 42 453 128 78

See Accompanying Notes to the Financial Statements.

101

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) Colombia - 1.0% - (Continued) Inversiones Argos S.A. Isagen S.A. E.S.P. Czech Republic - 0.3% CEZ A.S. Komercni Banka A.S. Telefonica Czech Republic A.S.

9,307 26,037

5,154 486 3,608

COST

$

VALUE

63 36

$

89 36

692

1,098

246 79 85

173 83 68

410

324

Egypt - 0.3% Commercial International Bank Egypt S.A.E. Egyptian Financial Group-Hermes Holding S.A.E. Egyptian Kuwaiti Holding Co. S.A.E. National Societe Generale Bank S.A.E Orascom Construction Industries Orascom Telecom Holding S.A.E. Talaat Moustafa Group Telecom Egypt Co.

17,755 11,531 21,992 3,253 3,002 82,326 28,301 10,953

67 59 40 20 137 86 44 31 484

80 20 27 16 129 44 19 23 358

Hong Kong - 4.4% AviChina Industry & Technology Co. Ltd., Class H Beijing Enterprises Holdings Ltd. Belle International Holdings Ltd.† Bosideng International Holdings Ltd. Brilliance China Automotive Holdings Ltd.† China Gas Holdings Ltd. China Mengniu Dairy Co. Ltd. China Merchants Holdings International Co. Ltd.† China Mobile Ltd. China Resources Cement Holdings Ltd.† China Resources Enterprise Ltd.† China Resources Gas Group Ltd. China Resources Power Holdings Co. Ltd. China Shanshui Cement Group Ltd. CNOOC Ltd.† Dah Chong Hong Holdings Ltd.† Far East Horizon Ltd. GCL-Poly Energy Holdings Ltd.† Haier Electronics Group Co. Ltd.† Hengdeli Holdings Ltd.† Huabao International Holdings Ltd. Metallurgical Corp. of China Ltd., Class H Minmetals Resources Ltd. Nine Dragons Paper Holdings Ltd. Poly Hong Kong Investments Ltd.† Shanghai Industrial Holdings Ltd. Shimao Property Holdings Ltd.† Shougang Fushan Resources Group Ltd. Yingde Gases† Yuexiu Property Co. Ltd.

56,242 16,276 148,231 75,660 80,282 95,556 39,164 35,602 191,762 60,481 38,627 24,000 60,305 62,846 568,716 27,000 42,000 256,212 27,000 66,852 60,000 87,921 49,198 51,837 65,708 17,296 43,911 93,531 29,416 164,503

37 72 205 39 76 47 102 124 2,009 47 119 36 116 53 740 36 34 86 24 44 47 61 37 84 88 52 77 62 30 39 4,623

17 106 275 20 65 51 117 111 2,249 32 107 46 127 36 1,153 23 29 38 31 19 27 19 19 24 35 47 63 25 25 37 4,973

See Accompanying Notes to the Financial Statements.

102

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) Hungary - 0.3% Magyar Telekom Telecommunications PLC MOL Hungarian Oil and Gas PLC OTP Bank PLC Richter Gedeon Nyrt. India - 6.1% ACC Ltd. Adani Enterprises Ltd. Adani Ports and Special Economic Zone Aditya Birla Nuvo Ltd. Ambuja Cements Ltd. Asian Paints Ltd. Axis Bank Ltd. Bajaj Auto Ltd. Bank of Baroda Bank of India Bharat Heavy Electricals Ltd. Bharat Petroleum Corp. Ltd. Bharti Airtel Ltd. Cairn India Ltd. Canara Bank Cipla Ltd. Coal India Ltd. Dabur India Ltd. DLF Ltd. Dr. Reddy’s Laboratories Ltd. Dr. Reddy’s Laboratories Ltd. ADR† GAIL India Ltd. GMR Infrastructure Ltd. Godrej Consumer Products Ltd. HCL Technologies Ltd. HDFC Bank Ltd. HDFC Bank Ltd. ADR† Hero Motocorp Ltd. Hindalco Industries Ltd. Hindustan Unilever Ltd. Housing Development Finance Corp. ICICI Bank Ltd. ICICI Bank Ltd. ADR† Idea Cellular Ltd. Infosys Ltd. Infosys Ltd. ADR† Infrastructure Development Finance Co. Ltd. ITC Ltd. Jaiprakash Associates Ltd. Jindal Steel & Power Ltd. JSW Steel Ltd. Kotak Mahindra Bank Ltd. Larsen & Toubro Ltd. LIC Housing Finance Ltd. Lupin Ltd.

14,651 1,339 7,116 443

1,750 7,157 12,803 1,275 19,711 927 7,267 2,707 2,300 3,297 18,819 5,672 18,243 6,842 2,727 10,815 16,181 12,977 12,913 387 2,877 12,216 30,836 3,654 2,699 3,211 15,125 1,310 31,993 28,256 34,636 8,878 2,382 21,644 957 12,779 33,721 69,253 30,811 11,964 2,597 8,773 6,654 9,187 4,737

See Accompanying Notes to the Financial Statements.

103

COST

$

72 142 212 92

VALUE

$

27 97 110 76

518

310

42 99 42 36 62 63 134 50 28 32 133 23 133 41 38 60 116 34 171 12 44 74 88 37 22 31 245 29 114 160 372 178 95 40 51 640 99 180 69 89 61 71 173 39 50

42 23 28 18 64 61 136 78 27 18 73 37 98 41 18 66 105 28 49 11 84 78 13 41 25 34 513 47 69 237 430 154 83 31 38 506 82 321 41 86 31 85 164 43 51

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) India - 6.1% - (Continued) Mahindra & Mahindra Ltd. Maruti Suzuki India Ltd. NTPC Ltd. Oil & Natural Gas Corp. Ltd. Piramal Healthcare Ltd. Power Finance Corp. Ltd. Power Grid Corp. of India Ltd. Ranbaxy Laboratories Ltd. Reliance Capital Ltd. Reliance Communications Ltd. Reliance Industries Ltd. Reliance Industries Ltd. GDR† Reliance Infrastructure Ltd. Reliance Power Ltd. Rural Electrification Corp. Ltd. Satyam Computer Services Ltd. Sesa Goa Ltd. Shriram Transport Finance Co. Ltd. Siemens Ltd. State Bank of India Sterlite Industries India Ltd. Sun Pharmaceutical Industries Ltd. Tata Consultancy Services Ltd. Tata Motors Ltd. Tata Motors Ltd. ADR† Tata Power Co. Ltd. Tata Steel Ltd. Titan Industries Ltd. Ultratech Cement Ltd. Unitech Ltd. United Phosphorus Ltd. United Spirits Ltd. Wipro Ltd. Wipro Ltd. ADR† Zee Entertainment Enterprises Ltd. Indonesia - 2.7% Adaro Energy Tbk PT Astra Agro Lestari Tbk PT Astra International Tbk PT Bank Central Asia Tbk PT Bank Danamon Indonesia Tbk PT Bank Mandiri Tbk PT Bank Negara Indonesia Persero Tbk PT Bank Rakyat Indonesia Persero Tbk PT Bumi Resources Tbk PT Charoen Pokphand Indonesia Tbk PT Gudang Garam Tbk PT Indo Tambangraya Megah Tbk PT Indocement Tunggal Prakarsa Tbk PT Indofood Sukses Makmur Tbk PT

9,839 1,029 18,466 24,661 2,063 8,630 35,407 4,294 2,953 17,562 2,756 19,468 3,527 18,358 9,411 19,075 11,193 4,061 2,226 4,287 43,088 9,903 14,947 9,298 7,488 30,770 9,623 6,700 2,201 42,964 7,065 2,822 6,680 9,133 13,910

461,108 12,500 643,790 389,685 106,218 295,412 236,010 350,982 455,741 240,790 15,275 12,556 47,195 139,372

See Accompanying Notes to the Financial Statements.

104

COST

$

121 23 92 134 23 27 77 43 54 203 44 548 60 108 58 26 31 58 36 160 171 57 238 40 101 60 108 33 54 78 25 118 61 82 41 7,593 100 19 223 170 51 147 86 145 102 53 62 50 46 34

VALUE

$

124 21 52 127 19 27 76 38 18 18 37 514 31 30 32 28 38 42 27 155 83 116 334 38 151 54 72 27 65 17 15 41 41 71 42 6,929 71 30 476 329 68 259 99 260 50 81 91 47 107 80

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) Indonesia - 2.7% - (Continued) Indosat Tbk PT Jasa Marga Persero Tbk PT Kalbe Farma Tbk PT Perusahaan Gas Negara PT Semen Gresik Persero Tbk PT Tambang Batubara Bukit Asam Tbk PT Telekomunikasi Indonesia Tbk PT Unilever Indonesia Tbk PT United Tractors Tbk PT Vale Indonesia Tbk PT XL Axiata Tbk PT Malaysia - 3.5% AirAsia Bhd. Alliance Financial Group Bhd. AMMB Holdings Bhd. Axiata Group Bhd. Berjaya Corp. Bhd. Berjaya Sports Toto Bhd. British American Tobacco Malaysia Bhd. Bumi Armada Bhd. CIMB Group Holdings Bhd. DiGi.Com Bhd. Felda Global Ventures Holdings Bhd. Gamuda Bhd. Genting Bhd. Genting Malaysia Bhd. Genting Plantations Bhd. Hong Leong Bank Bhd. Hong Leong Financial Group Bhd. IJM Corp. Bhd. IOI Corp. Bhd. Kuala Lumpur Kepong Bhd. Lafarge Malayan Cement Bhd. Malayan Banking Bhd. Malaysia Airports Holdings Bhd. Malaysia Marine and Heavy Engineering Holdings Bhd. Maxis Bhd. MISC Bhd. MMC Corp. Bhd. Parkson Holdings Bhd. Petronas Chemicals Group Bhd. Petronas Dagangan Bhd. Petronas Gas Bhd. PPB Group Bhd. Public Bank Bhd. Public Bank Bhd. (Registered) RHB Capital Bhd. Sapurakencana Petroleum Bhd. Sime Darby Bhd. SP Setia Bhd.

42,602 64,000 146,394 348,776 94,556 25,089 321,994 48,624 53,807 83,815 52,633

39,400 30,200 53,400 81,500 82,086 23,629 3,600 36,300 154,600 99,800 34,700 52,500 65,400 95,200 6,900 17,940 6,400 37,800 103,054 15,400 10,800 108,350 17,493 15,308 59,545 35,660 24,600 17,229 88,600 7,900 19,000 15,200 1,000 33,101 21,174 72,400 85,848 15,100

See Accompanying Notes to the Financial Statements.

105

COST

$

25 37 57 109 68 39 316 42 85 37 38

VALUE

$

22 39 59 140 129 42 310 125 119 22 34

2,141

3,089

21 29 60 88 35 30 45 46 247 88 60 44 145 82 18 35 17 58 143 64 14 241 37 39 95 85 18 31 171 14 60 38 2 94 37 49 184 18

47 41 110 153 19 32 69 45 388 142 57 59 198 102 21 78 25 63 176 117 28 303 31 26 122 51 19 27 187 53 112 74 5 152 50 57 270 17

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) Malaysia - 3.5% - (Continued) Telekom Malaysia Bhd. Tenaga Nasional Bhd. UEM Land Holdings Bhd. UMW Holdings Bhd. YTL Corp. Bhd. YTL Power International Bhd.

34,600 87,350 42,418 17,200 143,404 71,537

COST

$

VALUE

11 189 36 31 64 46

$

62 188 27 52 85 41

2,959

3,981

9,092 1,257,144 10,077 338,592 13,721 33,637 5,600 62,111 9,671 52,616 18,295 59,299 63,906 122,109 20,273 82,203 4,433 49,965 23,364 20,280 169,714

73 1,485 32 591 96 67 40 259 38 73 33 230 122 241 109 379 110 78 37 55 346 4,494

146 1,681 63 235 154 34 44 531 38 131 63 319 169 344 184 375 182 104 111 80 479 5,467

Morocco - 0.1% Attijariwafa Bank Douja Promotion Groupe Addoha S.A. Marco Telecom

949 4,124 2,707

27 57 45 129

37 32 32 101

Peru - 0.6% Cia de Minas Buenaventura S.A. ADR† Credicorp Ltd. Southern Copper Corp.† Volcan Cia Minera SAA, Class B

6,073 2,097 5,471 64,953

149 152 143 72 516

221 243 177 72 713

61,698 58,637 128,282 5,530 165,500 23,261 47,546

62 43 33 36 45 26 57

73 49 36 58 87 40 73

Mexico - 4.8% Alfa S.A.B. de C.V., Class A America Movil S.A.B. de C.V., Series L Arca Continental S.A.B. de C.V. Cemex S.A.B. de C.V., Series CPO† Coca-Cola Femsa S.A.B. de C.V., Series L† Compartamos S.A.B. de C.V. El Puerto de Liverpool S.A.B. de C.V., Series C1 Fomento Economico Mexicano S.A.B. de C.V., Series UBD† Grupo Aeroportuario del Pacifico S.A.B. de C.V., Class B Grupo Bimbo S.A.B. de C.V., Series A† Grupo Carso S.A.B. de C.V., Series A1 Grupo Financiero Banorte S.A.B. de C.V., Class O Grupo Financiero Inbursa S.A., Class O Grupo Mexico S.A.B. de C.V., Series B Grupo Modelo S.A.B. de C.V., Series C† Grupo Televisa S.A.B., Series CPO Industrias Penoles S.A.B. de C.V.† Kimberly-Clark de Mexico S.A.B. de C.V., Class A Mexichem S.A.B. de C.V. Minera Frisco S.A.B. de C.V., Series A1† Wal-Mart de Mexico S.A.B. de C.V., Series V†

Philippines - 0.9% Aboitiz Equity Ventures, Inc. Aboitiz Power Corp. Alliance Global Group, Inc. Ayala Corp. Ayala Land, Inc. Bank of the Philippine Islands BDO Unibank, Inc.

See Accompanying Notes to the Financial Statements.

106

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES

COST

VALUE

COMMON STOCKS - 88.3%- (CONTINUED) Philippines - 0.9% - (Continued) DMCI Holdings, Inc. Energy Development Corp. Globe Telecom, Inc. International Container Terminal Services, Inc. Jollibee Foods Corp. Manila Electric Co. Metropolitan Bank & Trust Philippine Long Distance Telephone Co. San Miguel Corp. SM Investments Corp. SM Prime Holdings, Inc. Universal Robina Corp.

24,820 234,250 1,020 25,400 13,923 7,080 13,789 1,370 15,520 6,792 222,818 26,980

Poland - 1.3% Asseco Poland S.A. Bank Handlowy w Warszawie S.A. Bank Millennium S.A. Bank Pekao S.A. BRE Bank S.A. Cyfrowy Polsat S.A. Enea S.A. Eurocash S.A. Grupa Lotos S.A. Jastrzebska Spolka Weglowa S.A. KGHM Polska Miedz S.A. PGE S.A. Polski Koncern Naftowy Orlen S.A. Polskie Gornictwo Naftowe i Gazownictwo S.A. Powszechna Kasa Oszczednosci Bank Polski S.A. Powszechny Zaklad Ubezpieczen S.A. Synthos S.A. Tauron Polska Energia S.A. Telekomunikacja Polska S.A. TVN S.A.

2,171 991 14,562 3,773 483 6,484 3,661 2,127 1,929 1,040 4,473 23,907 10,282 56,199 19,981 1,796 18,266 34,161 23,501 4,651

46 16 56 251 50 33 29 23 30 51 177 177 159 68 235 200 33 55 169 36 1,894

30 24 15 158 41 29 17 25 15 29 170 133 111 68 195 191 29 47 111 11 1,449

10,033,447 3,713,772 100,049 110,684 9,738 558,156 61,203,812 7,380 5,052 10,124 1,147 7,576 166 1,536

60 144 647 2,372 114 56 70 54 337 842 63 156 14 45

71 95 469 1,024 90 31 50 33 287 572 64 245 20 9

Russia - 5.6% Federal Grid Co. Unified Energy System JSC Federal Hydrogenerating Co. JSC Gazprom OAO Gazprom OAO ADR (London Exchange)† Gazprom OAO ADR (OTC Exchange)† IDGC Holding JSC Inter Rao Ues OAO LSR Group OJSC GDR (Registered) Lukoil OAO Lukoil OAO ADR (London Exchange)† Lukoil OAO ADR (OTC Exchange)† Magnit OJSC† Magnit OJSC Mechel

See Accompanying Notes to the Financial Statements.

107

$

33 25 27 31 15 11 17 74 43 64 36 31 709

$

35 34 28 44 34 45 33 90 41 122 75 38 1,035

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) Russia - 5.6% - (Continued) Mechel ADR† MMC Norilsk Nickel OJSC MMC Norilsk Nickel OJSC ADR (OTC Exchange) Mobile Telesystems OJSC ADR† NovaTek OAO GDR (Registered) Novolipetsk Steel OJSC GDR (Registered) Rosneft Oil Co. Rostelecom OJSC Sberbank of Russia Sberbank of Russia (OTC Exchange) Severstal OAO Severstal OAO GDR (Registered)† Sistema JSFC GDR (Registered) Surgutneftegas OAO Surgutneftegas OAO ADR (OTC Exchange)† Tatneft OAO Tatneft OAO ADR (OTC Exchange) TMK OAO GDR (Registered) Uralkali OJSC Uralkali OJSC GDR (Registered) VTB Bank OJSC VTB Bank OJSC GDR (Registered) South Africa - 7.7% ABSA Group Ltd.† African Bank Investments Ltd. African Rainbow Minerals Ltd. Anglo American Platinum Ltd.† AngloGold Ashanti Ltd. ArcelorMittal South Africa Ltd. Aspen Pharmacare Holdings Ltd. Assore Ltd. Aveng Ltd. Barloworld Ltd. Bidvest Group Ltd. Discovery Holdings Ltd. Exxaro Resources Ltd.† FirstRand Ltd. Foschini Group (The) Ltd. Gold Fields Ltd. Growthpoint Properties Ltd. Harmony Gold Mining Co. Ltd. Impala Platinum Holdings Ltd. Imperial Holdings Ltd. Investec Ltd. Kumba Iron Ore Ltd.† Liberty Holdings Ltd. Life Healthcare Group Holdings Ltd. Massmart Holdings Ltd. MMI Holdings Ltd. Mr Price Group Ltd.

3,141 70 14,521 16,537 2,909 2,108 40,545 38,001 69,813 206,000 3,708 2,731 3,860 50,565 17,767 6,314 6,488 1,817 43,477 200 68,652,131 7,448

9,151 23,126 3,355 2,101 12,160 5,763 9,036 1,078 13,327 6,627 9,296 9,428 4,006 98,606 6,538 23,123 52,034 12,380 17,195 5,695 7,685 2,566 3,637 29,687 3,398 30,157 7,561

See Accompanying Notes to the Financial Statements.

108

COST

$

76 13 231 333 227 53 360 239 214 782 59 38 99 47 236 32 190 61 422 7 240 76 9,009 148 96 81 214 505 66 60 35 62 71 154 35 65 235 56 373 92 173 421 85 63 84 33 79 41 70 92

VALUE

$

20 11 224 313 329 35 246 132 195 579 42 31 80 43 149 39 244 26 366 8 113 24 6,309 150 103 64 109 419 31 160 39 58 67 225 62 82 332 113 302 161 125 272 131 46 161 41 121 72 68 113

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) South Africa - 7.7% - (Continued) MTN Group Ltd. Naspers Ltd., Class N Nedbank Group Ltd. Netcare Ltd. Northam Platinum Ltd. Pick n Pay Stores Ltd. Pretoria Portland Cement Co. Ltd. Redefine Properties Ltd. Remgro Ltd. Reunert Ltd. RMB Holdings Ltd. RMI Holdings Sanlam Ltd. Sappi Ltd. Sasol Ltd. Shoprite Holdings Ltd. Spar Group (The) Ltd. Standard Bank Group Ltd. Steinhoff International Holdings Ltd. Tiger Brands Ltd. Truworths International Ltd. Vodacom Group Ltd. Woolworths Holdings Ltd. South Korea - 14.4% Amorepacific Corp. BS Financial Group, Inc. Celltrion, Inc. Cheil Industries, Inc. CJ CheilJedang Corp. CJ Corp. Daelim Industrial Co. Ltd. Daewoo Engineering & Construction Co. Ltd. Daewoo International Corp. Daewoo Securities Co. Ltd. Daewoo Shipbuilding & Marine Engineering Co. Ltd. DGB Financial Group, Inc. Dongbu Insurance Co. Ltd. Dongkuk Steel Mill Co. Ltd. Doosan Corp. Doosan Heavy Industries and Construction Co. Ltd. Doosan Infracore Co. Ltd. E-Mart Co. Ltd. GS Engineering & Construction Corp. GS Holdings Hana Financial Group, Inc. Hankook Tire Co. Ltd. Hanwha Chem Corp. Hanwha Corp. Honam Petrochemical Corp. Hyosung Corp.

54,050 12,419 6,465 27,870 8,148 8,000 16,824 82,474 13,806 5,742 22,498 20,078 56,977 17,164 17,439 13,628 5,500 38,007 35,603 5,172 13,989 11,854 24,013

103 5,839 3,356 1,511 251 479 890 3,376 1,187 4,923 3,060 4,200 1,328 1,140 263 1,510 3,180 668 1,143 1,638 7,290 2,920 2,673 1,428 458 724

See Accompanying Notes to the Financial Statements.

109

COST

$

767 373 118 46 57 36 75 75 150 60 63 30 165 116 694 110 77 460 109 107 86 107 71

VALUE

$

980 680 142 55 25 41 53 93 237 56 100 45 247 52 731 270 80 527 107 168 176 139 157

7,441

8,788

68 64 41 83 42 34 88 67 47 75 99 69 45 30 46 113 80 168 109 90 279 66 42 77 59 31

93 62 84 130 62 31 69 25 38 46 68 48 49 15 31 81 51 155 70 83 233 108 50 37 97 34

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) South Korea - 14.4% - (Continued) Hyundai Department Store Co. Ltd. Hyundai Development Co. Hyundai Engineering & Construction Co. Ltd. Hyundai Glovis Co. Ltd. Hyundai Heavy Industries Co. Ltd Hyundai Hysco Hyundai Marine & Fire Insurance Co. Ltd. Hyundai Merchant Marine Co. Ltd. Hyundai Mipo Dockyard Hyundai Mobis Hyundai Motor Co. Hyundai Securities Co. Hyundai Steel Co. Hyundai Wia Corp. Industrial Bank of Korea Kangwon Land, Inc. KB Financial Group, Inc. KCC Corp. Kia Motors Corp. Korea Aerospace Industries Ltd. Korea Electric Power Corp. Korea Exchange Bank Korea Gas Corp. Korea Investment Holdings Co. Ltd. Korea Life Insurance Co. Ltd. Korea Zinc Co. Ltd. Korean Air Lines Co. Ltd. KP Chemical Corp. KT Corp. KT&G Corp. Kumho Petro chemical Co. Ltd. LG Chem Ltd. LG Corp. LG Display Co. Ltd. LG Electronics, Inc. LG Household & Health Care Ltd. LG Innotek Co. Ltd. LG Uplus Corp. Lotte Confectionery Co. Ltd. Lotte Shopping Co. Ltd. LS Corp. LS Industrial Systems Co. Ltd. Mando Corp. Mirae Asset Securities Co. Ltd. NCSoft Corp. NHN Corp. OCI Co. Ltd. Orion Corp. POSCO S1 Corp. Samsung C&T Corp.

477 1,840 2,138 424 1,336 1,030 1,960 1,370 357 2,169 4,912 3,936 1,773 488 5,350 3,080 11,727 134 8,381 1,060 8,190 8,180 734 1,250 5,509 271 1,119 1,510 1,125 3,509 407 1,482 3,033 7,440 3,419 299 294 7,430 22 325 554 465 405 741 490 1,307 496 114 2,090 542 3,996

See Accompanying Notes to the Financial Statements.

110

COST

$

43 84 121 49 311 47 58 49 51 300 512 58 131 69 87 68 690 45 253 38 278 114 58 56 35 51 56 40 53 235 82 191 221 239 245 59 37 62 28 119 31 37 54 65 88 203 126 62 760 31 191

VALUE

$

54 33 113 81 286 40 49 30 37 575 1,030 29 132 72 58 64 375 34 579 25 183 61 29 38 32 92 48 16 32 259 44 412 157 161 189 154 23 43 31 83 44 27 59 19 97 318 88 90 674 28 227

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) South Korea - 14.4% - (Continued) Samsung Card Co. Samsung Electro-Mechanics Co. Ltd. Samsung Electronics Co. Ltd. Samsung Engineering Co. Ltd. Samsung Fire & Marine Insurance Co. Ltd. Samsung Heavy Industries Co. Ltd. Samsung Life Insurance Co. Ltd. Samsung SDI Co. Ltd. Samsung Securities Co. Ltd. Samsung Techwin Co. Ltd. Shinhan Financial Group Co. Ltd. Shinsegae Co. Ltd. SK C&C Co. Ltd. SK Holdings Co. Ltd. SK Hynix, Inc. SK Innovation Co. Ltd. SK Networks Co. Ltd. SK Telecom Co. Ltd. S-Oil Corp. STX Pan Ocean Co. Ltd. Woongjin Coway Co. Ltd. Woori Finance Holdings Co. Ltd. Woori Investment & Securities Co. Ltd. Yuhan Corp. Taiwan - 10.3% Acer, Inc. Advanced Semiconductor Engineering, Inc. Advantech Co. Ltd. Asia Cement Corp. Asustek Computer, Inc. AU Optronics Corp. Capital Securities Corp. Catcher Technology Co. Ltd. Cathay Financial Holding Co. Ltd. Chang Hwa Commercial Bank Cheng Shin Rubber Industry Co. Ltd. Cheng Uei Precision Industry Co. Ltd. Chicony Electronics Co. Ltd. Chimei Innolux Corp. China Airlines Ltd. China Development Financial Holding Corp. China Life Insurance Co. Ltd. China Motor Corp. China Petrochemical Development Corp. China Steel Corp. Chinatrust Financial Holding Co. Ltd. Chunghwa Telecom Co. Ltd. Clevo Co. Compal Electronics, Inc. CTCI Corp.

1,364 1,913 3,536 959 1,135 5,170 1,893 1,094 1,980 1,195 13,626 237 709 826 16,640 1,920 3,500 292 1,439 3,310 1,710 11,590 4,272 259

75,118 169,114 8,646 61,056 22,135 239,819 56,608 18,357 215,348 128,259 51,223 11,401 15,042 163,838 84,610 406,908 52,357 17,000 43,960 363,526 323,300 120,946 15,110 133,857 18,000

See Accompanying Notes to the Financial Statements.

111

COST

$

69 116 2,524 92 203 147 165 90 108 61 574 88 51 108 391 215 66 61 115 78 52 175 70 31

VALUE

$

40 179 4,094 155 213 179 155 138 85 77 436 44 63 113 319 264 28 37 122 11 54 114 41 28

14,633

16,293

137 137 22 59 198 261 28 97 355 76 55 33 24 282 50 131 35 16 43 327 196 284 21 126 36

69 132 31 77 206 74 19 89 213 70 136 21 29 52 35 96 51 15 36 323 194 363 20 126 34

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) Taiwan - 10.3% - (Continued) Delta Electronics, Inc. E Ink Holdings, Inc. E.Sun Financial Holding Co. Ltd. Epistar Corp. Eternal Chemical Co. Ltd. Eva Airways Corp. Evergreen Marine Corp. Tawain Ltd. Everlight Electronics Co. Ltd. Far Eastern Department Stores Co. Ltd. Far Eastern New Century Corp. Far EasTone Telecommunications Co. Ltd. Farglory Land Development Co. Ltd. Feng Hsin Iron & Steel Co. First Financial Holding Co. Ltd. Formosa Chemicals & Fibre Co. Formosa International Hotels Corp. Formosa Petrochemical Corp. Formosa Plastics Corp. Formosa Taffeta Co. Ltd. Foxconn Technology Co. Ltd. Fubon Financial Holding Co. Ltd. Giant Manufacturing Co. Ltd. Highwealth Construction Corp. Hiwin Technologies Corp. Hon Hai Precision Industry Co. Ltd. Hotai Motor Co. Ltd. HTC Corp. Hua Nan Financial Holdings Co. Ltd. Inotera Memories, Inc. Inventec Co. Ltd. Kinsus Interconnect Technology Corp. Largan Precision Co. Ltd. LCY Chemical Corp. Lite-On Technology Corp. Macronix International MediaTek, Inc. Mega Financial Holding Co. Ltd. Motech Industries, Inc. MStar Semiconductor, Inc. Nan Kang Rubber Tire Co. Ltd. Nan Ya Plastics Corp. Nan Ya Printed Circuit Board Corp. Novatek Microelectronics Corp. Pegatron Corp. Phison Electronics Corp. Pou Chen Corp. Powertech Technology, Inc. President Chain Store Corp. Quanta Computer, Inc. Radiant Opto-Electronics Corp. Realtek Semiconductor Corp.

57,409 25,992 119,236 24,511 22,514 51,992 57,000 11,252 28,826 94,364 51,115 9,262 13,770 195,885 99,968 904 36,208 126,449 24,533 22,212 171,802 9,147 13,000 5,150 289,123 7,595 22,726 157,896 58,397 76,386 7,942 3,111 13,841 66,547 110,261 30,914 252,665 9,846 13,009 14,003 150,429 6,121 16,100 48,619 4,081 69,878 22,608 17,592 80,192 13,000 13,164

See Accompanying Notes to the Financial Statements.

112

COST

$

162 54 64 82 25 33 29 36 31 92 81 23 42 125 214 13 85 253 20 103 163 25 28 35 960 40 308 94 61 40 26 59 30 94 47 332 170 51 93 21 277 35 65 60 26 54 61 45 136 39 32

VALUE

$

194 25 65 46 17 31 31 18 30 106 129 15 22 120 265 10 105 350 21 79 180 50 20 48 816 51 221 89 11 23 22 64 19 84 27 263 205 11 83 20 293 9 47 64 33 63 46 92 210 51 23

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) Taiwan - 10.3% - (Continued) Richtek Technology Corp. Ruentex Development Co. Ltd. Ruentex Industries Ltd. Shin Kong Financial Holding Co. Ltd. Siliconware Precision Industries Co. Simplo Technology Co. Ltd. Sino-American Silicon Products, Inc. SinoPac Financial Holdings Co. Ltd. Standard Foods Corp. Synnex Technology International Corp. Taishin Financial Holding Co. Ltd. Taiwan Business Bank Taiwan Cement Corp. Taiwan Cooperative Financial Holding Taiwan Fertilizer Co. Ltd. Taiwan Glass Industrial Corp. Taiwan Mobile Co. Ltd. Taiwan Semiconductor Manufacturing Co. Ltd. Teco Electric and Machinery Co. Ltd. TPK Holding Co. Ltd. Transcend Information, Inc. Tripod Technology Corp. TSRC Corp. Tung Ho Steel Enterprise Corp. U-Ming Marine Transport Corp. Unimicron Technology Corp. Uni-President Enterprises Corp. United Microelectronics Corp. Walsin Lihwa Corp. Wan Hai Lines Ltd. Wintek Corp. Wistron Corp. WPG Holdings Ltd. Ya Hsin Industrial Co. Ltd.(1) Yang Ming Marine Transport Corp. Yuanta Financial Holding Co Ltd Yulon Motor Co. Ltd. Zhen Ding Technology Holding Ltd.

4,820 18,477 14,713 193,365 95,012 8,693 15,450 187,456 8,680 39,248 159,199 95,759 99,416 126,504 23,832 29,150 53,509 787,354 55,000 5,378 6,139 13,415 17,551 24,008 13,094 35,862 123,485 397,923 107,000 34,545 46,897 66,276 43,374 413,000 46,892 256,852 26,511 5,000

Thailand - 2.1% Advanced Info Service PCL (Registered) Advanced Info Service PCL NVDR Bangkok Bank PCL (Registered) Bank of Ayudhya PCL (Registered) Bank of Ayudhya PCL NVDR Banpu PCL (Registered) Banpu PCL NVDR BEC World PCL (Registered) BEC World PCL NVDR Charoen Pokphand Foods PCL NVDR CP ALL PCL (Registered)

25,051 3,497 42,593 47,564 10,100 3,149 401 19,556 14,207 96,202 121,480

See Accompanying Notes to the Financial Statements.

113

COST

$

34 26 20 132 126 37 38 85 24 59 76 38 104 85 60 17 91 1,580 22 94 17 44 18 31 25 52 118 230 51 18 45 81 48 333 21 131 32 16 12,162 59 16 155 39 7 19 8 11 21 56 13

VALUE

$

27 31 29 59 106 49 19 81 23 86 65 28 116 77 57 28 177 2,126 35 60 17 30 40 22 21 40 207 167 32 17 21 71 46 19 120 46 15 11,638 159 22 282 50 10 41 5 35 25 102 131

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) Thailand - 2.1% - (Continued) CP ALL PCL NVDR Glow Energy PCL (Registered) Glow Energy PCL NVDR Indorama Ventures PCL NVDR IRPC PCL (Registered) IRPC PCL NVDR Kasikornbank PCL (Registered) Kasikornbank PCL NVDR Krung Thai Bank PCL (Registered) Krung Thai Bank PCL NVDR PTT Exploration & Production PCL (Registered)† PTT Exploration & Production PCL NVDR PTT Global Chemical PCL (Registered) PTT Global Chemical PCL NVDR PTT PCL (Registered) PTT PCL NVDR Siam Cement PCL (Registered) Siam Cement PCL NVDR† Siam Commercial Bank PCL (Registered)† Siam Commercial Bank PCL NVDR Thai Airways International PCL NVDR(2) Thai Oil PCL (Registered)† Thai Oil PCL NVDR

19,382 13,304 3,000 45,610 265,676 59,700 39,800 17,700 66,213 22,300 32,606 4,548 39,340 13,981 24,781 3,299 7,700 2,516 44,276 5,569 1 13,855 11,801

Turkey - 1.7% Akbank T.A.S. Anadolu Efes Biracilik Ve Malt Sanayii A.S. Arcelik A.S. Asya Katilim Bankasi A.S. BIM Birlesik Magazalar A.S. Coca-Cola Icecek A.S. Dogan Sirketler Grubu Holding A.S.(2) Emlak Konut Gayrimenkul Yatirim Ortakligi A.S. Enka Insaat ve Sanayi A.S. Eregli Demir ve Celik Fabrikalari T.A.S. Ford Otomotiv Sanayi A.S. Haci Omer Sabanci Holding A.S. Is Gayrimenkul Yatirim Ortakligi A.S.(2) KOC Holding A.S. Koza Altin Isletmeleri A.S. TAV Havalimanlari Holding A.S. Tupras Turkiye Petrol Rafinerileri A.S. Turk Hava Yollari Turk Telekomunikasyon A.S. Turkcell Iletisim Hizmetleri A.S. Turkiye Garanti Bankasi A.S. Turkiye Halk Bankasi A.S. Turkiye Is Bankasi, Class C Turkiye Sise ve Cam Fabrikalari A.S. Turkiye Vakiflar Bankasi Tao, Class D

57,138 6,464 8,004 16,094 3,380 2,001 1 20,024 11,627 36,270 2,287 25,879 1 20,235 1,156 5,114 4,005 14,808 16,751 24,592 73,498 9,989 50,497 14,067 24,586

See Accompanying Notes to the Financial Statements.

114

COST

$

17 14 4 76 51 9 87 55 24 10 106 24 62 27 172 33 55 26 86 21 35 16 1,414 222 60 33 44 85 22 37 54 42 18 96 57 18 27 79 35 64 149 226 78 119 30 57

VALUE

$

21 26 6 43 31 7 224 98 35 12 157 22 74 26 257 34 85 26 227 28 26 22 2,349 216 88 40 17 147 31 27 34 40 22 114 79 23 28 88 28 65 138 287 86 148 20 52

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.3%- (CONTINUED) Turkey - 1.7% - (Continued) Yapi ve Kredi Bankasi A.S.

27,318

COST

$

VALUE

55

$

57

1,707

1,875

1,484

34 98,508

31 100,183

3,186 61,120 5,725 7,293 4,890 7,227 3,096 24,121 1,149 15,283 5,051 3,256 3,107 27,442 73,000 82,152 14,398 12,896 8,795 26,581 134,554 9,540 11,806 64,087

26 827 42 184 38 91 83 405 26 167 67 49 42 284 1,184 447 44 59 167 187 1,855 160 112 1,163 7,709

45 936 45 107 30 70 125 928 32 291 92 66 30 249 1,152 385 63 91 100 132 1,279 223 42 1,139 7,652

2,848

70

171

Colombia - 0.3% Banco Davivienda S.A. BanColombia S.A. Grupo Aval Acciones y Valores Grupo de Inversiones Suramericana S.A. Inversiones Argos S.A.

2,832 10,406 44,426 2,758 3,861

35 98 29 48 25 235

34 162 30 51 37 314

Russia - 0.2% AK Transneft OAO Sberbank of Russia Surgutneftegas OAO Surgutneftegas OAO ADR†

51 31,975 53,394 16,803

68 71 28 155 322

82 63 31 94 270

Ukraine - 0.0% Kernel Holding S.A. TOTAL COMMON STOCKS PREFERRED STOCKS - 7.9% Brazil - 6.7% AES Tiete S.A. Banco Bradesco S.A. Banco do Estado do Rio Grande do Sul, Class B Bradespar S.A. Braskem S.A., Class A Centrais Eletricas Brasileiras S.A., Class B Cia Brasileira de Distribuicao Grupo Pao de Acucar Cia de Bebidas das Americas Cia de Transmissao de Energia Eletrica Paulista Cia Energetica de Minas Gerais Cia Energetica de Sao Paulo, Class B Cia Paranaense de Energia, Class B Eletropaulo Metropolitana Eletricidade de Sao Paulo S.A. Gerdau S.A. Itau Unibanco Holding S.A. Itausa - Investimentos Itau S.A. Klabin S.A. Lojas Americanas S.A. Metalurgica Gerdau S.A. Oi S.A. Petroleo Brasileiro S.A. Telefonica Brasil S.A. Usinas Siderurgicas de Minas Gerais S.A., Class A Vale S.A. Chile - 0.2% Sociedad Quimica y Minera de Chile S.A., Class B

See Accompanying Notes to the Financial Statements.

115

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES PREFERRED STOCKS - 7.9%- (CONTINUED) South Korea - 0.5% Hyundai Motor Co. Hyundai Motor Co., Class 2 LG Chem Ltd. Samsung Electronics Co. Ltd.

730 1,191 234 656

COST

$

$

43 79 20 469 611 9,018

9 6,327

-

-

10,810

449 449

432 432

RIGHTS - 0.0% Cia de Transmissao de Energia Eletrica Paulista(2) PDG Realty S.A. Empreendimentos e Participacoes(2) TOTAL RIGHTS

UNITS SHORT-TERM INVESTMENTS - 13.8% Northern Trust Global Investments Collective Short-Term Investment Fund(3) NTI/NTCC Commingled Funds Custom Collateral Section(3)(4)(5) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 110.4%

35 61 32 331 459 8,795

TOTAL PREFERRED STOCKS

INVESTMENT COMPANIES - 0.4% Vanguard MSCI Emerging Markets ETF (0.4%)† TOTAL INVESTMENT COMPANIES

VALUE

534,849 15,151,433

COST

$

535

VALUE

$

535

15,151 15,686 123,438

15,151 15,686 125,319

Liabilities less Other Assets - (10.4)%

(11,822) $ 113,497

NET ASSETS - 100.0% (1) (2) (3) (4) (5)

†

Value amount rounds to less than $1. Cost and Value amount rounds to less than $1. Investment in affiliated fund. See Note C in the Notes to the Financial Statements. Investment relates to cash collateral received from portfolio securities loaned. Security is either wholly or partially on loan.

Percentages shown are based on Net Assets. SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

NORTHERN TRUST FUNDS(1)

$26,135 2,030 779 60,892

$20,005 1,896 500 61,104

$(414) 172 (32) —

TOTAL

$89,836

$83,505

$(274)

COMMON STOCKS PREFERRED STOCKS MUTUAL FUND

(1)

The amounts presented exclude purchases and sales related to the NTI/NTCC Commingled Funds Custom Collateral Section. The net purchases during the year were $2,042.

See Accompanying Notes to the Financial Statements.

116

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Number of Contracts)

The Brazilian government charges transactional costs related to foreign investments in the Brazilian financial and capital markets. Transactional costs of $(36) have been netted against net realized gains (losses) on securities transactions on the Statement of Operations and Changes in Net Assets. As such, the realized gains (losses) between this schedule and the Statement of Operations and Changes in Net Assets will differ by this amount OPEN FUTURES CONTRACTS:

TYPE

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

CURRENCY

FTSE/JSE TOP 40 INDEX

South African Rand

17

$ 626

Long

9/12

$ —

HANG SENG INDEX

Hong Kong Dollar United States Dollar Canadian Dollar United States Dollar Australian Dollar

8 30 4 46 3

1,017 761 530 483 334

Long Long Long Long Long

8/12 8/12 9/12 8/12 9/12

51 31 12 10 9

MSCI TAIWAN INDEX S&P/TSX 60 INDEX SGX S&P CNX NIFTY INDEX SPI 200 INDEX

$113

TOTAL

Foreign currency and other liquid assets are pledged as collateral to cover margin requirements for open futures contracts. At July 31, 2012, the NT Collective Emerging Markets Index Fund - Lending’s investments had outstanding foreign currency exchange contracts as follows: CONTRACTS TO DELIVER CURRENCY

IN EXCHANGE FOR CURRENCY

AMOUNT (LOCAL CURRENCY)

Indonesian Rupiah

AMOUNT (LOCAL CURRENCY)

SETTLEMENT DATE

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR)

COUNTERPARTY

67,091

8/1/12

$ —

Standard Chartered Bank Jakarta

United States Dollar

7

United States Dollar Korean Won

11 1

Malaysian Ringgit United States Dollar

33 —*

8/1/12 8/3/12

—* —*

Hong Kong Bank Kuala Lumpur HSBC Holdings PLC

Brazilian Real Hong Kong Dollar United States Dollar United States Dollar United States Dollar United States Dollar

276 1,900 323 135 123 186

United States Dollar United States Dollar Hong Kong Dollar Korean Won Russian Rouble Taiwan Dollar

131 245 2,505 158,193 4,072 5,554

9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12

(2) —* —* 4 3 (1)

UBS Securities New York UBS Securities New York Citibank London UBS Securities New York UBS Securities New York UBS Securities New York

$

Total *

Amount rounds to less than one thousand.

See Accompanying Notes to the Financial Statements.

117

4

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

At July 31, 2012, the NT Collective Emerging Markets Index Fund - Lending’s investments (excluding short-term investments) were denominated as follows: CONCENTRATION BY CURRENCY Hong Kong Dollar Korean Won Brazilian Real Taiwan Dollar United States Dollar South African Rand Mexican Peso All other currencies less than 5% Total

% OF INVESTMENTS 17.6% 15.4 13.0 10.6 9.0 8.0 5.0 21.4 100.0%

At July 31, 2012, the NT Collective Emerging Markets Index Fund - Lending’s investments (excluding short-term investments) were diversified as follows: INDUSTRY SECTOR Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Total

% OF INVESTMENTS 7.9% 8.5 12.7 25.4 1.2 6.7 13.5 11.9 8.4 3.8 100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, and/or securities indices). The Fund adjusted the price of certain foreign equity securities held in its portfolio on July 31, 2012 using adjustment factors designed to reflect more accurately the fair value of the securities. See note 2 for a discussion of this procedure. The fair valuation of these securities resulted in their categorization as Level 2 investments. Level 3 - Valuations based on inputs that are unobservable and significant. The Fund utilized the following valuation techniques on Level 3 investments: The Fund valued certain securities using prices provided by a third party pricing provider.

See Accompanying Notes to the Financial Statements.

118

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective Emerging Markets Index Fund - Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Common Stocks Consumer Discretionary

$

—

$—

8,206

8,467

—

—

8,206

12,386 24,569 1,265

— — —

— — —

12,386 24,569 1,265

7,342 14,382 11,137 8,877

— — — —

24 — — —

7,366 14,382 11,137 8,877

3,528

—

—

3,528

213

—

—

213

1,053 1,486 2,858 469 1,959 354 626

— — — — — — —

— — — — — — —

1,053 1,486 2,858 469 1,959 354 626

— —

— —

Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities

$

$

8,467

Preferred Stocks Consumer Discretionary Consumer Staples Energy Financials Information Technology Materials Telecommunication Services Utilities

Investment Companies

—* 432

Short-Term Investments

—

15,686

—

15,686

$109,609

$15,686

$ 24

$125,319

$

113 —

$

$— —

$

113 7

$

113

$

117

Rights

Total Investments

—* 432

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts Foreign Currency Exchange Contracts

— 7

Liabilities

—

Foreign Currency Exchange Contracts Total Other Financial Instruments *

(3) $

4

— $—

Amount rounds to less than one thousand.

See Accompanying Notes to the Financial Statements.

119

(3)

NT COLLECTIVE EMERGING MARKETS INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. US GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly. The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value: TRANSFERS TRANSFERS CHANGE IN CHANGE IN OUT OF BALANCE INTO UNREALIZED NET NET BALANCE REALIZED REALIZED UNREALIZED LEVEL 3* AS OF 7/31/12 LEVEL 3* APPRECIATION DEPRECIATION PURCHASES (SALES) AS OF 7/31/11 (GAIN) (LOSS) Common Stock Consumer Discretionary Industrials Total *

$ 2 —

$— —

$ (3) —

$ 1 —

$— —

$— —

$— —

$— 24

$— —

$— 24

$ 2

$—

$ (3)

$ 1

$—

$—

$—

$ 24

$—

$ 24

The value of Transfers In and/or Out of Level 3 was measured using the fair value as of the end of the year. Transfers out of Level 3 investments occurred from movement into actively traded markets with multiple pricing sources. Transfers into Level 3 investments occurred from suspension from actively traded markets.

The amount of change in total unrealized loss on investments in Level 3 securities still held at July 31, 2012 was $8, which is included in the Statement of Operations and Changes in Net Assets in Change in Net Unrealized Appreciation (Depreciation).

See Accompanying Notes to the Financial Statements.

120

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (including Securities on Loan of $32,146) (Cost $280,588) Investments in Northern Trust Funds, at Value (Cost $33,031) Cash Held at Broker Foreign Currencies (Cost $2,428) Foreign Currencies Held at Broker (Cost $845) Receivable for Investments Sold Receivable for Variation Margin on Futures Contracts Receivable for Fund Units Sold Unrealized Gain on Forward Foreign Currency Exchange Contracts Reclaims Receivable Accrued Income Receivable Total Assets LIABILITIES Payable Upon Return of Securities Loaned Payable for Variation Margin on Futures Contracts Unrealized Loss on Forward Foreign Currency Exchange Contracts Accrued Expenses Total Liabilities

$

$

$

32,275 16 6 21 32,318

$

249,893

$

$

6,125 16 5 358 6,504 14 85 142 241

Net Expenses

$

238

Net Investment Income (Loss)

$

6,266

Net Realized Gains (Losses) on Securities Transactions

$

(4,416)

Net Realized Gains (Losses) on Futures Contracts

$

(615)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(158)

$

(10,441) (36,582) (26,141)

NET ASSETS (Equivalent to $9.845 Per Unit, Based on 25,383,646 Units Outstanding)

$

243,836 33,031 175 2,445 846 392 12 702 60 240 472 282,211

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $187 in Foreign Withholding Tax) Interest Income Income from Investment in Northern Trust Fund Net Income from Securities Loaned Total Investment Income Less: Audit Fee Expense Recovery Other Expenses Total Expenses Less:

$

Refund of Expenses by Trustee

(3)

REALIZED AND UNREALIZED GAINS (LOSSES)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$

Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts and on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year

$

252

Change in Net Unrealized Appreciation (Depreciation)

$

(189)

Net Realized and Unrealized Gains (Losses) on Investments and Futures Contracts and Foreign Currency Transactions

$

(31,519)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(25,253)

$ $

109,420 (11,012) 98,408

$

73,155

$

249,893

End of Year

63

UNIT TRANSACTIONS Admission of 11,134,711 Units Withdrawal of 1,128,888 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Beginning of Year (15,377,823 Units Outstanding)

176,738

End of Year (25,383,646 Units Outstanding*) *32.5% owned by NT Collective World ex-US Investable Market Index Fund - Lending *5.6% owned by NT Collective All Country World ex-US Investable Market Index Fund - Lending

See Accompanying Notes to the Financial Statements.

121

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING FINANCIAL HIGHLIGHTS For the Years Ended

July 31, 2012

July 31, 2011

July 31, 2010

July 31, 2009

July 31, 2008

Unit Value, Beginning of Year

$

Net Investment Income (Loss)

11.493

$

9.139

$

7.819

$

9.672

$

11.897

0.287

0.279

0.204

0.210

0.313

Net Realized and Unrealized Gains (Losses)

(1.935)

2.075

1.116

(2.063)

(2.538)

Net Increase (Decrease)

(1.648)

2.354

1.320

(1.853)

(2.225)

Unit Value, End of Year

$

Total Return (1)

9.845

$

(14.34)%

11.493

$

25.76%

9.139

$

16.88%

7.819

(19.16)%

$ (2)

9.672

(18.70)%

Supplemental Data and Ratios Net Assets (000's Omitted)

$

249,893

$

176,738

$

233,608

$

513,559

$

1,313,116

Ratio to Average Net Assets of: Expenses - net of refund

0.11%

0.05%

N/A

N/A

N/A

Expenses - before refund

0.11%

0.05%

0.11%

0.05%

0.04%

Net Investment Income (Loss) - net of refund

2.96%

2.54%

N/A

N/A

N/A

Net Investment Income (Loss) - before refund

2.96%

2.54%

2.18%

3.15%

2.88%

(1)

(2)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of year. Without the value of the capital contribution from Northern relating to the collateral deficiency declared, the total return would have been (19.18%) N/A - Not applicable.

See Accompanying Notes to the Financial Statements.

122

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3% Australia - 8.0% Aapc Ltd. Abacus Property Group Acrux Ltd.† Adelaide Brighton Ltd. Aditya Birla Minerals Ltd. Ainsworth Game Technology Ltd. Alesco Corp. Ltd. Alkane Resources Ltd. Allied Gold Mining PLC Ampella Mining Ltd. Ansell Ltd. APN News & Media Ltd. Aquarius Platinum Ltd.† Aquila Resources Ltd.† ARB Corp. Ltd.† Aristocrat Leisure Ltd.† Arrium Ltd. Aspen Group Aspire Mining Ltd. Astro Japan Property Group Atlas Iron Ltd. Aurora Oil and Gas Ltd. Ausdrill Ltd. Ausenco Ltd. Austal Ltd. Austin Engineering Ltd. Australand Property Group Australian Agricultural Co. Ltd. Australian Infrastructure Fund Automotive Holdings Group AWE Ltd. Bandanna Energy Ltd.† Bank of Queensland Ltd.† Bathurst Resources Ltd.† BC Iron Ltd. Beach Energy Ltd. Beadell Resources Ltd. Billabong International Ltd.† Biota Holdings Ltd.† BlueScope Steel Ltd.† Bradken Ltd.† BT Investment Management Ltd. Buru Energy Ltd. BWP Trust Cabcharge Australia Ltd.† Cape Lambert Resources Ltd. Capital Property Trust Cardno Ltd. carsales.com Ltd.† Challenger Diversified Property Group Challenger Infrastructure Fund, Class A

57,067 43,100 24,012 76,812 27,317 11,075 17,391 42,552 35,292 31,814 21,851 81,538 71,948 28,445 10,558 72,991 224,883 99,804 24,238 10,335 135,136 66,602 40,159 13,485 14,492 6,612 36,206 35,852 104,051 29,896 83,963 47,340 45,233 89,565 6,970 205,541 107,558 62,587 28,321 542,590 28,245 11,084 29,002 68,796 18,236 77,041 61,975 19,289 31,611 76,456 32,995

See Accompanying Notes to the Financial Statements.

123

COST

$

94 136 57 227 30 20 83 67 93 64 271 151 187 116 81 181 257 105 20 28 385 236 105 90 38 33 145 51 218 66 176 34 446 95 18 245 84 192 54 216 202 27 98 119 117 26 100 97 157 48 39

VALUE

$

79 90 96 272 12 26 38 37 76 16 305 46 45 64 106 181 170 38 3 30 245 240 141 44 25 29 108 42 284 81 131 14 364 27 19 238 74 89 20 151 148 20 104 143 108 27 39 169 210 45 47

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Australia - 8.0% - (Continued) Challenger Ltd. Charter Hall Group Charter Hall Retail REIT Clough Ltd. Cockatoo Coal Ltd.† Commonwealth Property Office Fund Consolidated Media Holdings Ltd. CSG Ltd. CSR Ltd. Cudeco Ltd.† Dart Energy Ltd.† David Jones Ltd.† Decmil Group Ltd. Discovery Metals Ltd. Downer EDI Ltd. Drillsearch Energy Ltd. DUET Group DuluxGroup Ltd. Elemental Minerals Ltd. Emeco Holdings Ltd. Endeavour Mining Corp. Energy Resources of Australia Ltd.† Energy World Corp. Ltd. Envestra Ltd.† Evolution Mining Ltd. FKP Property Group Fleetwood Corp. Ltd. FlexiGroup Ltd. Flight Centre Ltd.† Focus Minerals Ltd. Forge Group Ltd. Gindalbie Metals Ltd.† Goodman Fielder Ltd. GrainCorp Ltd. Grange Resources Ltd. Great Southern Ltd.(1) Gryphon Minerals Ltd. GUD Holdings Ltd. Guildford Coal Ltd. Gunns Ltd.(1)† GWA Group Ltd.† Hastings Diversified Utilities Fund Hills Holdings Ltd. Horizon Oil Ltd. iiNET Ltd. Imdex Ltd. Independence Group NL† Indophil Resources NL Industrea Ltd. Infigen Energy Integra Mining Ltd.

87,156 37,092 43,001 35,789 96,160 406,378 21,783 29,981 83,864 20,496 85,429 88,066 20,282 56,829 71,886 48,345 177,994 59,694 18,098 108,173 13,813 32,343 140,439 121,265 77,141 134,257 8,018 25,462 8,807 694,621 6,356 124,211 330,994 32,820 53,164 215,319 47,523 11,705 48,423 153,632 34,648 69,398 32,314 172,395 23,250 34,796 36,841 125,994 53,381 116,024 147,842

See Accompanying Notes to the Financial Statements.

124

COST

$

288 161 223 22 44 456 73 36 223 67 70 266 55 79 332 59 410 152 23 128 35 109 89 103 151 77 74 44 157 41 34 93 240 278 26 486 72 86 48 139 108 139 98 47 57 74 174 70 64 100 81

VALUE

$

307 100 157 26 17 458 78 23 110 72 13 226 56 80 229 59 390 193 13 87 33 47 70 110 126 53 110 82 197 26 29 52 169 318 20 34 105 18 77 185 36 50 80 58 121 44 70 27 49

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Australia - 8.0% - (Continued) Intrepid Mines Ltd. Investa Office Fund Invocare Ltd. IOOF Holdings Ltd. Iress Ltd. Ivanhoe Australia Ltd. JB Hi-Fi Ltd.† Jupiter Mines Ltd. Kagara Ltd.(1) Kangaroo Resources Ltd. Karoon Gas Australia Ltd. Kingsgate Consolidated Ltd.† Kingsrose Mining Ltd. Linc Energy Ltd. M2 Telecommunications Group Ltd. MACA Ltd. Macmahon Holdings Ltd. Macquarie Atlas Roads Group Matrix Composites & Engineering Ltd. Maverick Drilling & Exploration Ltd.† McMillan Shakespeare Ltd. Medusa Mining Ltd. Mermaid Marine Australia Ltd. Mesoblast Ltd.† Metals X Ltd. Metminco Ltd. Mincor Resources NL Mineral Deposits Ltd. Mineral Resources Ltd. Mirabela Nickel Ltd.† Molopo Energy Ltd. Monadelphous Group Ltd. Mount Gibson Iron Ltd. Murchison Metals Ltd. Myer Holdings Ltd.† Navitas Ltd.† Nexus Energy Ltd. Northern Iron Ltd. NRW Holdings Ltd. Nufarm Ltd. OceanaGold Corp. OrotonGroup Ltd. Pacific Brands Ltd. Paladin Energy Ltd.† PanAust Ltd. Panoramic Resources Ltd. Perilya Ltd. Perpetual Ltd. Perseus Mining Ltd.† Pharmaxis Ltd. Platinum Asset Management Ltd.†

71,933 112,353 17,879 28,286 18,232 34,958 16,261 57,304 83,566 122,986 28,339 21,327 26,970 44,914 17,538 14,337 90,739 60,522 11,602 22,659 7,687 25,916 34,934 20,643 67,005 165,497 32,101 13,506 20,411 107,544 42,375 13,222 112,137 50,788 99,505 31,073 220,849 34,470 37,384 28,230 45,303 3,872 142,566 122,896 80,500 44,679 58,921 6,451 73,575 46,726 32,900

See Accompanying Notes to the Financial Statements.

125

COST

$

127 384 108 194 116 80 140 23 151 19 104 137 41 70 58 34 112 59 38 25 63 94 80 112 17 39 54 59 170 177 33 201 123 65 233 122 103 73 62 133 122 29 152 187 203 87 23 174 162 77 144

VALUE

$

17 344 168 186 129 16 151 10 12 111 91 33 25 60 32 58 83 23 31 96 133 96 137 8 14 22 65 172 30 19 303 113 26 192 127 31 43 114 162 95 32 78 151 202 28 16 162 179 55 126

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Australia - 8.0% - (Continued) Premier Investments Ltd. Primary Health Care Ltd. Prime Infrastructure Group(2) Programmed Maintenance Services Ltd. Qube Logistics Holdings Ltd. Ramelius Resources Ltd. REA Group Ltd.† Redflex Holdings Ltd. Regis Resources Ltd. Reject Shop (The) Ltd. Resolute Mining Ltd. Rex Minerals Ltd. Roc Oil Co. Ltd. SAI Global Ltd. Sandfire Resources NL† Saracen Mineral Holdings Ltd. Sedgman Ltd. Seek Ltd.† Senex Energy Ltd.† Seven West Media Ltd.† Sigma Pharmaceuticals Ltd. Silex Systems Ltd. Silver Lake Resources Ltd. Skilled Group Ltd. SMS Management & Technology Ltd. Southern Cross Media Group Ltd. Spark Infrastructure Group Spotless Group Ltd. St. Barbara Ltd.† STW Communications Group Ltd. Sundance Resources Ltd. Super Retail Group Ltd. Tassal Group Ltd. Ten Network Holdings Ltd.† Tiger Resources Ltd. TPG Telecom Ltd. Transfield Services Ltd. Transpacific Industries Group Ltd. Treasury Wine Estates Ltd. Troy Resources Ltd. UGL Ltd. Western Areas NL† White Energy Co. Ltd.† Wotif.com Holdings Ltd.† Austria - 0.8% AMAG Austria Metall A.G. AMS A.G. Atrium European Real Estate Ltd. Austria Technologie & Systemtechnik A.G. BWT A.G.

13,089 76,395 35,957 17,142 73,793 47,197 8,826 7,412 47,876 3,576 111,814 29,910 101,177 33,423 15,776 89,777 16,153 50,044 142,680 93,483 197,118 21,069 30,927 26,011 9,890 89,700 207,511 44,299 52,535 46,604 402,987 23,092 17,618 151,809 81,971 36,158 78,943 139,621 106,671 12,856 27,185 22,089 32,640 18,510

2,189 1,442 33,835 2,137 2,052

See Accompanying Notes to the Financial Statements.

126

COST

$

69 370 33 104 62 110 13 105 35 191 55 88 125 90 65 24 270 102 365 197 102 83 56 50 168 228 146 119 57 142 131 26 173 36 58 257 333 402 56 328 96 32 81 23,812 45 77 120 25 53

VALUE

$

67 243 39 116 25 127 16 229 37 160 25 30 157 117 45 25 321 92 153 125 86 87 60 60 111 356 124 77 46 142 186 23 76 25 74 153 114 496 54 373 81 10 80 19,896 49 118 151 17 33

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Austria - 0.8% - (Continued) CA Immobilien Anlagen A.G. CAT Oil A.G. Conwert Immobilien Invest S.E. EVN A.G. Flughafen Wien A.G. Intercell A.G. Kapsch TrafficCom A.G. Lenzing A.G. Mayr Melnhof Karton A.G. Oesterreichische Post A.G. Palfinger A.G. RHI A.G. Rosenbauer International A.G. S IMMO A.G. Schoeller-Bleckmann Oilfield Equipment A.G. Semperit A.G. Holding Strabag S.E. (Bearer) Wienerberger A.G. Zumtobel A.G.† Belgium - 1.1% Ablynx N.V. Ackermans & van Haaren N.V. AGFA-Gevaert N.V. Arseus N.V. Barco N.V. Befimmo SCA Sicafi Bekaert N.V.† Cie d’Entreprises CFE Cie Maritime Belge S.A. Cofinimmo Deceuninck N.V. Dexia S.A.† D’ieteren S.A. Econocom Group† Elia System Operator S.A. N.V. Euronav N.V. EVS Broadcast Equipment S.A.† Exmar N.V.† Galapagos N.V.† Gimv N.V. Hamon & CIE S.A.† Intervest Offices & Warehouses Ion Beam Applications KBC Ancora Kinepolis Group N.V. Leasinvest Real Estate S.C.A. Melexis N.V. Nyrstar† Recticel S.A. RHJ International†

12,436 2,770 11,405 5,531 1,875 7,204 932 1,738 1,545 5,484 1,929 3,922 579 7,307 1,813 1,591 3,675 19,122 4,342

4,384 3,791 26,228 2,875 1,833 2,327 6,283 1,110 2,165 2,349 7,840 102,197 3,666 2,078 4,438 2,799 1,782 4,035 3,042 2,901 424 1,151 3,267 4,762 691 223 3,331 23,452 3,432 11,152

See Accompanying Notes to the Financial Statements.

127

COST

$

258 36 190 95 126 91 62 156 143 216 53 134 23 69 117 48 96 239 115 2,587 30 297 327 41 131 195 164 60 69 357 56 49 148 37 185 51 99 30 39 171 10 40 60 26 46 21 54 309 41 139

VALUE

$

123 17 129 69 73 17 67 153 136 175 38 87 28 40 153 54 83 161 47 2,018 15 291 40 47 106 139 163 58 45 255 10 28 153 43 177 18 84 29 55 127 8 28 17 41 60 18 50 113 21 52

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Belgium - 1.1% - (Continued) Roularta Media Group N.V. Sipef S.A. Tessenderlo Chemie N.V. Tessenderlo Chemie N.V. (VVPR)(2) ThromboGenics N.V. Warehouses De Pauw S.C.A.† Wereldhave Belgium N.V.† Canada - 12.5% 5N Plus, Inc.† Advantage Oil & Gas Ltd. Aecon Group, Inc. AG Growth International, Inc. AGF Management Ltd., Class B Aimia, Inc. Alamos Gold, Inc. Alaris Royalty Corp.† Alexco Resource Corp.† Algonquin Power & Utilities Corp. Alliance Grain Traders, Inc.† Allied Properties Real Estate Investment Trust AltaGas Ltd. Alterra Power Corp.† Angle Energy, Inc. Artis Real Estate Investment Trust Astral Media, Inc., Class A Atco Ltd., Class I Atrium Innovations, Inc. ATS Automation Tooling Systems, Inc. Augusta Resource Corp.† AuRico Gold, Inc. Aurizon Mines Ltd. Avalon Rare Metals, Inc.† Avion Gold Corp.† B2Gold Corp. Bankers Petroleum Ltd. Banro Corp. Bellatrix Exploration Ltd. Birchcliff Energy Ltd.† Bird Construction, Inc. Black Diamond Group Ltd. Black Diamond Group Ltd. BlackPearl Resources, Inc.† Boardwalk Real Estate Investment Trust Bonterra Energy Corp.† Boralex, Inc., Class A Brick (The) Ltd.† C&C Energia Ltd.† Calfrac Well Services Ltd.† Calloway Real Estate Investment Trust Canaccord Financial, Inc.

747 963 3,577 188 5,149 1,496 309

7,031 28,374 9,368 1,938 13,340 28,312 19,335 2,400 8,687 21,209 2,393 4,241 14,631 54,982 12,298 7,989 8,558 6,274 4,177 14,601 14,391 47,291 27,135 15,529 67,090 55,868 43,199 32,754 16,308 16,104 6,809 5,400 4,300 46,165 3,786 2,529 3,690 8,700 7,388 5,663 8,635 11,435

See Accompanying Notes to the Financial Statements.

128

COST

$

28 75 130 108 76 26

VALUE

$

13 74 94 166 76 30

3,725

2,744

46 248 130 66 245 292 244 47 68 122 63 93 378 49 86 85 292 319 67 118 56 487 120 88 118 139 217 131 87 188 93 120 35 134 175 97 47 33 68 131 205 126

14 111 113 64 158 377 303 56 36 140 33 127 455 25 45 135 420 461 47 119 27 307 120 23 33 179 105 127 59 112 93 117 28 139 242 118 32 35 46 134 255 52

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Canada - 12.5% - (Continued) Canaccord Financial, Inc. Canacol Energy Ltd.† Canacol Energy Ltd. Canadian Apartment Properties REIT Canadian Energy Services & Technology Corp. Canadian Real Estate Investment Trust Canadian Western Bank Canexus Corp. Canfor Corp.† Canfor Pulp Products, Inc. Canyon Services Group, Inc.† Capital Power Corp. Capstone Infrastructure Corp.† Capstone Mining Corp. Cascades, Inc. CCL Industries, Inc., Class B Celestica, Inc. Celtic Exploration Ltd.† Cequence Energy Ltd.† Chartwell Seniors Housing Real Estate Investment Trust China Gold International Resources Corp. Ltd. Churchill (The) Corp., Class A Cineplex, Inc. Cline Mining Corp.† CML HealthCare, Inc. Cogeco Cable, Inc. Colossus Minerals, Inc.† Cominar Real Estate Investment Trust Connacher Oil and Gas Ltd.† Continental Gold Ltd. Copper Mountain Mining Corp.† Corus Entertainment, Inc., Class B Cott Corp. Crew Energy, Inc. Crombie Real Estate Investment Trust Davis & Henderson Corp. Denison Mines Corp. Detour Gold Corp. Dollarama, Inc. Dorel Industries, Inc., Class B Dundee Corp., Class A Dundee International Real Estate Investment Trust Dundee Precious Metals, Inc.† Dundee Real Estate Investment Trust Eastern Platinum Ltd. Eco Oro Minerals Corp. Element Financial Corp. Element Financial Corp. Enbridge Income Fund Holdings, Inc. Endeavour Mining Corp. Endeavour Silver Corp.†

2,744 100,500 48,142 6,870 7,948 5,443 12,575 20,300 15,280 5,433 7,923 10,872 12,028 48,968 10,209 4,378 33,009 14,964 25,900 11,200 27,331 3,163 9,603 28,428 14,785 2,699 18,851 8,076 67,457 14,002 14,909 13,165 15,769 17,507 3,000 9,638 55,522 18,815 10,218 4,520 6,648 3,300 16,741 6,789 138,347 12,749 41,725 10,700 5,123 26,000 14,121

See Accompanying Notes to the Financial Statements.

129

COST

$

36 65 32 133 94 169 307 168 151 92 112 258 70 142 87 126 236 245 62 103 108 48 213 70 179 103 119 171 159 118 111 281 119 213 42 183 230 430 354 123 124 31 145 227 180 33 35 57 101 64 147

VALUE

$

13 46 45 169 84 229 330 160 181 47 78 233 53 110 48 151 252 261 37 112 63 26 287 8 138 97 68 198 33 98 48 298 134 121 45 175 75 417 637 126 145 35 130 260 27 20 33 64 119 61 113

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Canada - 12.5% - (Continued) EnerCare, Inc. Enerflex Ltd. Ensign Energy Services, Inc. Exeter Resource Corp. EXFO, Inc.† Extendicare, Inc. Extorre Gold Mines Ltd. Fairborne Energy Ltd.† First Capital Realty, Inc. First Majestic Silver Corp. FirstService Corp. Fortress Paper Ltd., Class A† Fortuna Silver Mines, Inc.† Freehold Royalties Ltd.† Gabriel Resources Ltd.† Gasfrac Energy Services, Inc.† Genivar, Inc. Genworth MI Canada, Inc. Gibson Energy, Inc. Gluskin Sheff + Associates, Inc. GMP Capital, Inc. Great Canadian Gaming Corp. Guide Exploration Ltd. Guyana Goldfields, Inc.† Harry Winston Diamond Corp. High River Gold Mines Ltd. Home Capital Group, Inc.† HudBay Minerals, Inc. Imperial Metals Corp. Innergex Renewable Energy, Inc. InnVest Real Estate Investment Trust International Tower Hill Mines Ltd.† Ithaca Energy, Inc.† Ithaca Energy, Inc. Ivanhoe Energy, Inc.† Jean Coutu Group PJC (The), Inc., Class A Just Energy Group, Inc. Katanga Mining Ltd.† Keegan Resources, Inc.† Keyera Corp. Killam Properties, Inc. Kirkland Lake Gold, Inc.† Labrador Iron Mines Holdings Ltd.† Lake Shore Gold Corp.† Laurentian Bank of Canada Legacy Oil + Gas, Inc. Linamar Corp. Liquor Stores N.A. Ltd. Longview Oil Corp. Lundin Mining Corp. MacDonald Dettwiler & Associates Ltd.

9,645 12,641 21,729 12,452 4,399 14,671 15,421 11,826 13,230 18,957 4,602 1,877 21,417 7,500 46,108 9,400 4,411 6,372 16,401 2,977 10,211 8,049 17,755 12,142 12,353 38,348 5,245 27,916 7,534 13,096 6,870 12,879 41,712 11,600 43,045 15,789 22,730 91,500 11,416 12,557 7,789 10,543 8,667 58,166 4,146 20,937 7,967 3,409 4,500 87,798 5,286

See Accompanying Notes to the Financial Statements.

130

COST

$

102 132 309 70 30 127 96 71 182 289 123 62 116 149 202 71 130 160 323 51 105 73 118 103 228 48 201 397 79 116 40 71 76 90 68 192 325 84 81 475 85 136 66 135 156 254 107 52 41 210 223

VALUE

$

85 145 320 17 21 112 64 22 245 308 123 27 81 145 81 31 95 108 340 43 49 79 40 27 160 54 237 236 63 142 36 33 81 81 28 227 252 46 35 567 101 123 18 60 197 135 161 66 28 376 290

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Canada - 12.5% - (Continued) MAG Silver Corp. Major Drilling Group International Manitoba Telecom Services, Inc.† Maple Leaf Foods, Inc. Martinrea International, Inc.† Medical Facilities Corp. Medical Facilities Corp. Mercator Minerals Ltd.† Methanex Corp. Midas Gold Corp. Midnight Oil Exploration Ltd.† Morguard Real Estate Investment Trust Morneau Shepell, Inc. Mullen Group Ltd. Nevsun Resources Ltd. Newalta Corp. NGEx Resources, Inc. Niko Resources Ltd. Norbord, Inc. North American Palladium Ltd.† North West (The) Co., Inc. Northern Dynasty Minerals Ltd. Northern Property Real Estate Investment Trust Northland Power, Inc. NorthWest Healthcare Properties Real Estate Investment Trust Novagold Resources, Inc.† NuVista Energy Ltd. Paladin Labs, Inc.† Paramount Resources Ltd., Class A† Parex Resources, Inc.† Parkland Fuel Corp. Pason Systems, Inc. PetroBakken Energy Ltd., Class A† Petrobank Energy & Resources Ltd.† Peyto Exploration & Development Corp. Poseidon Concepts Corp.† Premier Gold Mines Ltd. Premium Brands Holdings Corp.† Pretium Resources, Inc.† Primaris Retail Real Estate Investment Trust Progressive Waste Solutions Ltd. Quebecor, Inc., Class B Queenston Mining, Inc. Rainy River Resources Ltd.† Reitmans Canada Ltd., Class A Romarco Minerals, Inc. RONA, Inc. Rubicon Minerals Corp. Russel Metals, Inc. Sabina Gold & Silver Corp.† San Gold Corp.

7,772 12,987 3,632 15,929 12,835 8,600 4,400 31,733 15,501 6,900 6,783 4,806 7,852 13,457 32,999 7,149 24,400 7,900 3,289 25,527 7,869 13,533 2,451 11,917 2,600 35,921 13,752 2,105 7,593 17,600 10,395 10,588 12,100 17,086 21,770 11,700 22,183 2,600 11,200 6,375 19,597 7,120 11,476 13,700 8,079 87,446 20,914 46,624 9,992 22,152 47,399

See Accompanying Notes to the Financial Statements.

131

COST

$

75 196 110 177 105 64 59 67 280 22 48 68 80 249 147 112 66 233 89 103 163 94 65 185 32 352 153 61 234 99 133 139 132 310 447 163 133 47 141 116 344 227 54 59 141 147 241 148 240 113 130

VALUE

$

72 132 124 159 105 60 62 17 426 16 20 87 97 295 115 89 41 136 46 43 169 32 81 220 35 145 62 104 205 84 154 154 150 199 465 162 97 47 164 153 393 251 38 59 97 52 282 146 257 52 44

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Canada - 12.5% - (Continued) Sandvine Corp.† Savanna Energy Services Corp. Seabridge Gold, Inc.† Secure Energy Services, Inc. SEMAFO, Inc. ShawCor Ltd., Class A Sherritt International Corp. Sierra Wireless, Inc. Silver Standard Resources, Inc.† Silvercorp Metals, Inc. Southern Pacific Resource Corp. SouthGobi Resources Ltd.† Sprott Resource Corp. Sprott, Inc.† Stantec, Inc. Student Transportation, Inc. Superior Plus Corp. TAG Oil Ltd. Tanzanian Royalty Exploration Corp.† Taseko Mines Ltd. Torex Gold Resources, Inc. Toromont Industries Ltd. Torstar Corp., Class B Total Energy Services, Inc. Transcontinental, Inc., Class A TransForce, Inc. TransGlobe Energy Corp. Trican Well Service Ltd. Trilogy Energy Corp. Trinidad Drilling Ltd. Twin Butte Energy Ltd.† Uranium One, Inc.† Uranium Participation Corp. Valener, Inc. Veresen, Inc. Wajax Corp. West Fraser Timber Co. Ltd. Westfire Energy Ltd.† Westport Innovations, Inc.† Whitecap Resources, Inc. Wi-Lan, Inc. Yukon-Nevada Gold Corp. Zargon Oil & Gas Ltd. China - 0.2% AAC Technologies Holdings, Inc. China Minzhong Food Corp. Ltd.† China XLX Fertiliser Ltd. Goodbaby International Holdings Ltd. Sateri Holdings Ltd. SITC International Holdings Co. Ltd.

21,510 14,060 5,440 13,900 44,028 9,446 49,856 4,334 13,124 29,520 56,756 12,400 13,314 7,846 7,366 11,684 18,089 8,000 15,317 33,452 66,815 12,741 10,682 5,200 11,156 12,869 11,820 23,973 8,832 20,051 29,700 80,278 16,403 5,864 28,016 2,791 5,625 8,100 7,749 20,865 20,906 92,000 4,201

111,256 63,944 76,967 40,015 103,796 186,069

See Accompanying Notes to the Financial Statements.

132

COST

$

56 174 131 104 207 243 329 43 308 181 89 90 55 36 189 77 178 72 54 131 114 222 133 86 177 153 149 342 180 215 75 126 142 91 411 102 223 37 148 177 111 54 75 34,072 187 47 22 20 66 65

VALUE

$

25 106 80 116 139 334 222 41 168 157 79 49 53 39 212 73 133 56 65 85 130 265 97 74 108 228 114 288 214 116 74 183 94 93 360 135 298 37 292 146 106 28 32 31,240 325 29 20 10 23 43

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) China - 0.2% - (Continued) Sound Global Ltd. Ying Li International Real Estate Ltd. Colombia - 0.1% Petrominerales Ltd. Denmark - 1.4% ALK-Abello A/S Alm Brand A/S Amagerbanken A/S(1) Auriga Industries, Class B Bang & Olufsen A/S Bavarian Nordic A/S Chr Hansen Holding A/S D/S Norden A/S† Dfds A/S East Asiatic Co. Ltd. A/S FLSmidth & Co. A/S† Genmab A/S† GN Store Nord A/S IC Companys A/S Jyske Bank A/S (Registered) NKT Holding A/S† Pandora A/S† Rockwool International A/S, Class B† Roskilde Bank(1)† Royal UNIBREW A/S Schouw & Co. SimCorp A/S Solar A/S, Class B Sydbank A/S Topdanmark A/S United International Enterprises† Vestas Wind Systems A/S† Finland - 1.3% Amer Sports OYJ Atria PLC Biotie Therapies OYJ Cargotec OYJ, Class B† Citycon OYJ Cramo OYJ F-Secure OYJ HKScan OYJ, Class A Huhtamaki OYJ Kemira OYJ† Konecranes OYJ† Metsa Board OYJ† Oriola-KD OYJ, Class B† Outokumpu OYJ†

72,048 132,381

COST

$

VALUE

36 34

$

36 33

477

519

16,689

398

154

1,161 12,784 26,872 2,477 5,308 3,658 14,891 3,963 582 1,788 8,852 6,225 32,605 1,257 11,289 3,922 10,072 1,323 9,686 1,626 2,374 708 916 11,460 1,724 436 32,884

153 70 89 50 155 76 323 215 46 81 463 189 358 49 318 247 105 84 1,098 76 58 126 68 180 229 57 201 5,164

74 25 31 53 32 426 97 28 42 535 64 390 19 303 125 97 116 103 50 116 47 186 293 69 158 3,479

18,766 1,721 53,860 5,829 27,774 4,627 13,438 4,410 13,709 16,405 7,766 29,034 15,909 152,528

230 47 40 126 111 73 36 66 209 196 196 123 46 286

213 11 25 127 84 55 26 19 206 206 202 75 38 134

See Accompanying Notes to the Financial Statements.

133

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Finland - 1.3% - (Continued) Outotec OYJ† PKC Group OYJ Ponsse OYJ Poyry OYJ† Ramirent OYJ Rautaruukki OYJ† Sanoma OYJ† Sponda OYJ Stockmann OYJ Abp, Class B† Talvivaara Mining Co. PLC† Technopolis OYJ Tieto OYJ† Tikkurila Oyj† Uponor OYJ† Vacon PLC† YIT OYJ† France - 3.1% AB Science S.A. ABC Arbitrage Air France-KLM† Akka Technologies S.A. Altamir Amboise Alten Ltd.† Altran Technologies S.A.† ANF Immobilier April Archos Artprice.com† Assystem Axway Software S.A. Beneteau S.A. Boiron S.A. Bonduelle S.C.A. Bourbon S.A.† Boursorama Bull Carmat† Cegid Group CFAO S.A. Cie des Alpes Ciments Francais S.A. Club Mediterranee† Credit Agricole Nord de France Derichebourg S.A. Devoteam S.A. Eiffage S.A. Esso S.A. Francaise Etablissements Maurel et Prom Euler Hermes S.A. Euro Disney S.C.A. (Registered)

7,217 2,293 1,908 5,974 11,237 14,730 13,215 39,714 5,587 24,442 13,220 10,051 6,323 9,537 1,636 18,176

2,561 4,988 23,388 605 4,602 3,560 18,007 1,333 2,517 3,216 748 1,739 800 5,143 1,015 562 6,541 3,542 13,045 170 1,054 5,942 1,360 1,133 2,946 2,765 12,927 1,504 5,620 369 14,228 2,237 3,590

See Accompanying Notes to the Financial Statements.

134

COST

$

382 32 19 72 119 140 110 201 173 163 80 243 122 206 71 220

VALUE

$

332 35 16 27 87 96 114 160 102 58 54 168 109 99 76 327

4,138

3,281

38 42 129 17 36 104 116 58 83 24 39 30 18 92 30 57 235 35 65 23 29 184 35 96 89 49 77 43 170 69 246 142 28

31 40 125 18 35 101 84 56 36 14 25 32 13 49 27 48 174 24 38 20 18 281 21 63 48 39 28 17 149 26 219 140 18

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) France - 3.1% - (Continued) Eurofins Scientific† Faiveley Transport Faurecia FFP Fimalac GameLoft S.A.† GFI Informatique S.A. GL Events Groupe Steria S.C.A.† Haulotte Group S.A. Havas S.A.† Ingenico† Interparfums S.A. Ipsen S.A. IPSOS† Jacquet Metal Service LISI LVL Medical Groupe S.A. Maisons France Confort Manitou BF S.A. Mauna Kea Technologies Maurel & Prom Nigeria S.A.† Medica S.A.† Mercialys S.A. Mersen Metropole Television S.A.† Naturex Neopost S.A.† Nexans S.A.† Nexity S.A. NRJ Group Orpea PagesJaunes Groupe† Parrot S.A. Pierre & Vacances S.A. Plastic Omnium S.A. Rallye S.A. Rubis S.C.A. Sa des Ciments Vicat† Saft Groupe S.A. Sartorius Stedim Biotech SEB S.A. Seche Environnement S.A. Sechilienne-Sidec† Sequana S.A. Societe de la Tour Eiffel Societe d’Edition de Canal + Societe Immobiliere de Location pour I’Industrie et le Commerce Societe Internationale de Plantations d’Heveas S.A. Societe Television Francaise 1†

1,297 1,010 8,209 985 956 11,592 7,214 910 4,250 2,152 45,106 5,880 1,171 4,713 5,821 2,090 515 624 625 1,689 900 12,485 5,333 4,692 2,160 8,986 584 5,550 3,527 4,454 2,750 4,375 19,483 1,433 757 3,820 3,506 4,804 2,711 4,228 673 3,837 347 2,637 11,434 850 9,059 1,722 257 18,776

See Accompanying Notes to the Financial Statements.

135

COST

$

89 61 187 72 49 68 38 37 138 32 222 189 28 141 185 64 34 14 29 59 14 40 94 122 91 137 41 288 324 193 36 171 155 40 61 70 157 225 143 145 45 252 41 94 31 83 70 214 19 138

VALUE

$

169 59 131 32 37 66 24 18 54 15 220 315 25 112 169 19 34 23 17 28 9 28 89 93 55 125 33 317 154 106 17 163 34 44 11 104 102 253 114 96 56 255 12 34 22 46 51 170 20 159

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) France - 3.1% - (Continued) SOITEC† Sopra Group S.A. Spir Communication ST Dupont S.A. Stallergenes S.A. Technicolor S.A. (Registered)† Teleperformance S.A. Tessi S.A. Transgene S.A.† Trigano S.A. UBISOFT Entertainment Valeo S.A. Vilmorin & Cie† Virbac S.A. Vranken - Pommery Monopole

16,892 838 513 25,872 539 36,194 8,657 211 2,470 1,537 14,703 11,923 745 726 173

Germany - 4.5% Aareal Bank A.G. ADVA Optical Networking S.E. Air Berlin PLC Aixtron S.E. N.A.† Alstria Office REIT-A.G. Asian Bamboo A.G. (Bearer) Aurelius A.G. Aurubis A.G. Balda A.G.† Bauer A.G. BayWa A.G.† Bechtle A.G. Bertrandt A.G. Bilfinger Berger S.E. Borussia Dortmund GmbH & Co. KGaA Carl Zeiss Meditec A.G. (Bearer) CENTROTEC Sustainable A.G. Cewe Color Holding A.G. Colonia Real Estate A.G. Comdirect Bank A.G.† Constantin Medien A.G. CropEnergies A.G. CTS Eventim A.G. DAB Bank A.G. Delticom A.G.† Deutsche Beteiligungs A.G. Deutsche Euroshop A.G. Deutsche Wohnen A.G. (Bearer) Deutz A.G. Dialog Semiconductor PLC† DIC Asset A.G. Douglas Holding A.G. Draegerwerk A.G. & Co. KGaA Drillisch A.G.†

7,991 5,802 6,452 16,121 10,213 1,409 946 5,642 7,396 1,441 2,042 2,534 844 7,222 10,131 5,434 1,400 732 1,352 5,556 6,012 3,926 3,722 4,120 824 1,700 7,338 22,947 14,011 9,447 4,680 3,586 474 7,987

See Accompanying Notes to the Financial Statements.

136

COST

$

260 43 16 18 32 248 277 19 43 47 205 374 68 78 12 9,538 217 29 56 207 133 42 40 257 40 77 80 83 43 485 34 112 19 24 49 61 30 24 95 25 52 51 253 342 114 128 69 160 32 69

VALUE

$

47 39 11 10 29 79 214 19 22 18 102 513 84 128 5 7,716 133 35 14 213 114 12 38 289 45 34 76 97 60 594 31 132 21 27 6 50 11 24 110 16 56 35 270 384 52 182 39 150 40 75

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Germany - 4.5% - (Continued) Duerr A.G. Elmos Semiconductor A.G. ElringKlinger A.G.† Evotec A.G. Freenet A.G.† Fuchs Petrolub A.G.† GAGFAH S.A.† Gerresheimer A.G. Gerry Weber International A.G. Gesco A.G. GFK S.E. Gildemeister A.G. Grammer A.G. GSW Immobilien A.G. H&R A.G. Hamborner REIT A.G. Hamburger Hafen und Logistik A.G.† Heidelberger Druckmaschinen A.G.† Homag Group A.G. Indus Holding A.G. IVG Immobilien A.G. Jenoptik A.G. KHD Humboldt Wedag International A.G. Kloeckner & Co. S.E.† Kontron A.G.† Krones A.G.† KSB A.G. KUKA A.G.† KWS Saat A.G.† Leoni A.G. MLP A.G. Morphosys A.G. MTU Aero Engines Holding A.G. Muehlbauer Holding A.G. & Co. KGaA Nemetschek A.G. Nordex S.E.† NORMA Group OHB A.G. Patrizia Immobilien A.G. Pfeiffer Vacuum Technology A.G. Prime Office REIT-A.G. PSI A.G. Gesellschaft Fuer Produkte und Systeme der Informationstechnologie QSC A.G. R Stahl A.G. Rational A.G. Rheinmetall A.G. SAF-Holland S.A.† SGL Carbon S.E.† Sixt A.G.† Sky Deutschland A.G.

1,792 1,086 5,387 15,152 16,063 2,941 15,022 5,056 3,685 445 2,631 7,998 1,679 8,020 2,065 6,784 4,165 30,462 1,481 3,459 20,708 6,160 5,684 16,330 8,109 2,147 34 4,361 395 5,291 7,515 3,151 8,091 586 748 8,470 3,364 939 5,124 1,595 6,528 1,574 16,202 585 571 6,569 5,992 5,646 2,288 62,767

See Accompanying Notes to the Financial Statements.

137

COST

$

74 18 127 47 302 96 114 247 95 30 116 142 33 259 63 56 146 90 21 106 85 52 38 433 98 132 20 91 66 223 104 69 466 24 21 118 66 15 68 142 38 34 60 16 112 253 59 220 54 236

VALUE

$

120 8 150 49 236 148 155 237 152 35 124 121 28 296 31 57 93 39 22 81 48 42 34 142 40 101 18 99 108 197 41 71 610 16 25 32 75 16 31 158 28 33 46 18 131 329 34 229 41 192

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Germany - 4.5% - (Continued) Software A.G. Solarworld A.G.† Stada Arzneimittel A.G. STRATEC Biomedical A.G. Stroer Out-of-Home Media A.G. Suss Microtec A.G. Symrise A.G. TAG Immobilien A.G. Takkt A.G. Tipp24 S.E. Tom Tailor Holding A.G.† TUI A.G. Verbio A.G. Vossloh A.G.† VTG A.G. Wacker Neuson S.E.† Wincor Nixdorf A.G.† Wirecard A.G. XING A.G.† zooplus A.G. Greece - 0.5% Alpha Bank A.E. Bank of Cyprus PLC EFG Eurobank Ergasias S.A. Ellaktor S.A. Eurobank Properties Real Estate Investment Co. Folli Follie Group Frigoglass S.A. Hellenic Exchanges S.A. Holding Clearing Settlement and Registry Hellenic Petroleum S.A. Hellenic Telecommunications Organization S.A. Intralot S.A.-Integrated Lottery Systems & Services JUMBO S.A. Marfin Investment Group S.A. Metka S.A. Motor Oil Hellas Corinth Refineries S.A. Mytilineos Holdings S.A. National Bank of Greece S.A. Piraeus Bank S.A. Public Power Corp. S.A. Terna Energy S.A. Titan Cement Co. S.A. Viohalco Hellenic Copper and Aluminum Industry S.A. Hong Kong - 2.3% Apac Resources Ltd. Bonjour Holdings Ltd. Brightoil Petroleum Holdings Ltd.

10,787 12,819 9,733 1,073 2,873 3,048 18,426 15,637 3,065 679 2,448 22,446 3,580 885 1,651 3,802 4,830 17,521 566 460

COST

$

VALUE

343 108 412 38 75 36 518 140 42 22 42 130 16 78 38 67 300 273 25 31

$

353 19 309 43 27 34 580 151 35 29 42 145 11 78 25 57 184 347 29 15

11,861

11,145

84,404 210,450 56,909 17,631 3,291 5,146 4,664

74 152 50 132 32 82 52

126 57 47 22 17 32 20

10,018 13,368 40,925 21,491 14,984 100,463 3,609 9,827 14,915 154,780 175,397 17,783 3,899 8,972 13,787

112 101 66 154 129 90 42 150 124 193 241 97 38 150 91 2,352

31 88 102 24 56 22 27 58 39 242 48 47 6 144 37 1,292

431,000 203,218 409,816

44 33 91

14 30 80

See Accompanying Notes to the Financial Statements.

138

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Hong Kong - 2.3% - (Continued) Cafe de Coral Holdings Ltd. Cecep Costin New Materials Grp Ltd. Century City International Holdings Ltd. Champion REIT Chen Hsong Holdings China Daye Non-Ferrous Metals Mining Ltd. China Financial International Investments Ltd. China Resources and Transportation Group Ltd. China WindPower Group Ltd. Chow Sang Sang Holdings International Ltd. Citic Telecom International Holdings Ltd. City Telecom HK Ltd. CK Life Sciences International Holdings, Inc. CSI Properties Ltd. CST Mining Group Ltd. Dah Sing Banking Group Ltd. Dah Sing Financial Holdings Ltd. Dickson Concepts International Ltd. EganaGoldpfeil Holdings Ltd.(1) Emperor International Holdings Ltd. Emperor Watch & Jewellery Ltd. Esprit Holdings Ltd.† eSun Holdings Ltd. EVA Precision Industrial Holdings Ltd. Get Nice Holdings Ltd. Giordano International Ltd.† Glorious Sun Enterprises Ltd. Great Eagle Holdings Ltd. G-Resources Group Ltd. Guotai Junan International Holdings Ltd. Haitong International Securities Group Ltd. HKR International Ltd. Honbridge Holdings Ltd. Hongkong Chinese Ltd. Hutchison Telecommunications Hong Kong Holdings Ltd. I.T Ltd. Imagi International Holdings Ltd. IRC Ltd.† Johnson Electric Holdings Ltd. K Wah International Holdings Ltd. Kingston Financial Group Ltd. Kosmopolito Hotels International Ltd. Kowloon Development Co. Ltd.† Lai Sun Development Lee & Man Chemical Co. Ltd. Luk Fook Holdings International Ltd.† Man Wah Holdings Ltd. Melco International Development Ltd. Midland Holdings Ltd.† Ming Fung Jewellery Group Ltd. Mongolia Energy Corp. Ltd.

55,266 39,843 236,282 353,618 52,607 393,555 570,000 818,451 588,387 50,435 145,834 58,963 506,930 681,563 2,937,194 57,761 20,971 33,915 798,000 165,189 553,517 215,600 142,320 174,796 575,462 196,133 83,940 47,797 2,453,184 74,409 28,193 125,278 200,000 130,000 243,702 74,436 712,000 156,295 230,114 158,359 687,017 122,541 51,856 1,628,447 34,000 54,131 59,338 138,983 104,751 387,382 597,062

See Accompanying Notes to the Financial Statements.

139

COST

$

120 29 25 150 22 24 37 35 33 76 37 30 38 25 58 90 119 21 427 43 66 300 47 64 31 117 32 138 154 27 18 53 36 22 65 58 20 32 115 47 73 26 32 26 21 134 72 146 64 37 92

VALUE

$

159 16 16 156 15 18 35 29 17 103 28 13 28 31 44 53 67 18 34 50 262 18 13 24 137 26 121 142 22 9 46 15 20 119 31 9 14 135 58 69 24 51 29 17 131 22 105 56 18 24

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Hong Kong - 2.3% - (Continued) Neo-Neon Holdings Ltd.† Newocean Energy Holdings Ltd. Newton Resources Ltd. Norstar Founders Group Ltd.(1) Oriental Press Group Oriental Watch Holdings Pacific Andes International Holdings Ltd. Pacific Basin Shipping Ltd. Pacific Century Premium Developments Ltd.(2) Pacific Textile Holdings Ltd. Paliburg Holdings Ltd. Peace Mark Holdings Ltd.(1) Pearl Oriental Oil Ltd. Pico Far East Holdings Ltd. Polytec Asset Holdings Ltd. Prosperity International Holdings HK Ltd. Prosperity REIT Regal Hotels International Holdings Ltd. Regal Real Estate Investment Trust Richfield Group Holdings Ltd. Ruifeng Petroleum Chemical Holdings Ltd. SA SA International Holdings Ltd. Samson Holding Ltd. Shenyin Wanguo HK Ltd. Shun Tak Holdings Ltd. Silver base Group Holdings Ltd.† Singamas Container Holdings Ltd. Sinopoly Battery Ltd. Sino-Tech International Holdings Ltd.(1) Sitoy Group Holdings Ltd. SmarTone Telecommunications Holding Ltd. SOCAM Development Ltd. Soundwill Holdings Ltd. Stella International Holdings Ltd. Sun Innovation Holdings Ltd. SUNeVision Holdings Ltd. Sunlight Real Estate Investment Trust Techtronic Industries Co. Television Broadcasts Ltd. Texwinca Holdings Ltd. Titan Petrochemicals Group Ltd. Trinity Ltd. Truly International Holdings United Laboratories International Holdings (The) Ltd. Value Partners Group Ltd. Victory City International Holdings Ltd. Vitasoy International Holdings Ltd. VST Holdings Ltd. VTech Holdings Ltd.† Xinyi Glass Holdings Ltd.

88,118 122,361 128,000 456,000 62,815 70,000 237,821 251,439 868 82,281 65,932 757,000 268,541 119,521 190,542 300,799 164,560 86,330 148,927 292,971 244,041 167,116 105,325 46,881 261,064 63,656 222,073 847,232 1,606,747 30,000 61,728 40,439 16,060 80,380 414,272 116,000 169,079 195,040 50,525 102,116 526,522 154,620 200,000 74,358 107,795 90,338 128,473 115,875 26,910 269,986

See Accompanying Notes to the Financial Statements.

140

COST

$

53 26 17 221 8 36 29 150 39 18 694 29 29 42 21 33 41 38 23 27 68 23 23 75 53 46 74 31 13 70 58 23 186 13 16 49 192 282 102 29 110 32 53 76 22 78 22 231 120

VALUE

$

9 26 6 7 21 13 112 58 20 21 26 18 13 42 34 36 12 2 102 13 12 91 26 46 31 13 131 39 24 201 6 22 62 264 362 96 17 101 30 35 50 9 114 18 317 137

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Hong Kong - 2.3% - (Continued) YGM Trading Ltd. Ireland - 1.3% Aer Lingus Group PLC Beazley PLC C&C Group PLC Circle Oil PLC DCC PLC FBD Holdings PLC FBD Holdings PLC Glanbia PLC† Governor & Co. of the Bank of Ireland† Grafton Group PLC Greencore Group PLC Independent News & Media PLC Irish Continental Group PLC† Kentz Corp. Ltd. Kingspan Group PLC Paddy Power PLC San Leon Energy PLC† Smurfit Kappa Group PLC Total Produce PLC UMC PLC United Drug PLC Israel - 0.9% Africa Israel Investments Ltd.† Africa Israel Properties Ltd. Airport City Ltd. Alon Holdings Blue Square Israel Ltd. Alony Hetz Properties & Investments Ltd.† AL-ROV Israel Ltd. Alrov Properties and Lodgings Ltd. Amot Investments Ltd. Avgol Industries 1953 Ltd. B Communications Ltd. Babylon Ltd. Bayside Land Corp.† Cellcom Israel Ltd.† Ceragon Networks Ltd. Clal Biotechnology Industries Ltd. Clal Industries and Investments Ltd. Clal Insurance Enterprises Holdings Ltd. Delek Automotive Systems Ltd. Discount Investment Corp. (Registered) Electra Ltd. FIBI Holdings Ltd.† First International Bank Of Israel Ltd. Frutarom Industries Ltd. Gazit - Globe Ltd.

10,000

COST

$

VALUE

21

$

23

7,537

5,689

13,896 83,618 56,167 67,598 13,684 2,307 1,567 21,700 3,983,816 34,668 66,086 69,882 3,008 12,302 22,736 7,229 117,686 26,500 45,314 39,924 40,355

19 173 268 30 375 21 67 144 534 218 101 123 60 86 223 293 31 194 32 294 156 3,442

19 208 247 19 340 22 15 163 496 121 78 18 55 75 182 488 18 197 22 401 104 3,288

11,029 2,189 5,844 1,478 9,906 839 496 8,791 19,576 818 4,438 103 9,019 5,263 4,653 9,569 2,907 5,612 3,947 269 1,405 2,976 6,320 11,934

49 18 24 15 42 19 11 22 15 21 37 22 64 44 23 56 52 54 52 25 22 38 55 123

28 14 23 3 40 14 6 18 14 2 46 16 51 43 11 27 25 30 4 20 16 29 56 111

See Accompanying Notes to the Financial Statements.

141

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Israel - 0.9% - (Continued) Gilat Satellite Networks Ltd. Given Imaging Ltd. Hadera Paper Ltd. Harel Insurance Investments & Financial Services Ltd. Hot Telecommunication System Ltd. Industrial Buildings Corp. Israel Discount Bank Ltd., Class A Israel Land Development (The) Co. Ltd. Ituran Location and Control Ltd. Jerusalem Economy Ltd. Jerusalem Oil Exploration Koor Industries Ltd. Matrix IT Ltd. Melisron Ltd. Mellanox Technologies Ltd. Menorah Mivtachim Holdings Ltd.† Migdal Insurance & Financial Holding Ltd. Naphtha Israel Petroleum Corp. Ltd. Nitsba Holdings 1995 Ltd. Norstar Holdings, Inc.† Oil Refineries Ltd.† Ormat Industries Ltd. Osem Investments Ltd. Partner Communications Co. Ltd. Paz Oil Co. Ltd. Phoenix Holdings (The) Ltd. Plasson Industries Ltd. Property & Building Corp. Rami Levi Chain Stores Hashikma Marketing 2006 Ltd. Retalix Ltd. Shikun & Binui Ltd.† Shufersal Ltd. Strauss Group Ltd. Tower Semiconductor Ltd.† Union Bank of Israel

4,761 2,545 425 1,597 1,843 8,266 128,075 1,233 2,229 3,860 1,562 1,795 4,923 1,659 5,504 3,756 46,663 6,086 5,454 1,441 145,915 9,007 5,048 14,066 772 9,322 515 185 838 2,894 30,713 11,489 5,938 49,845 4,924

Italy - 2.1% A2A S.p.A.† ACEA S.p.A.† Alerion Cleanpower S.p.A. Alitalia S.p.A.(3)† Amplifon S.p.A. Ansaldo STS S.p.A. Arnoldo Mondadori Editore S.p.A. Ascopiave S.p.A. Astaldi S.p.A. Autostrada Torino-Milano S.p.A. Azimut Holding S.p.A. Banca Carige S.p.A. Banca Generali S.p.A. Banca IFIS S.p.A.

202,189 9,616 3,116 150,158 13,919 16,329 17,054 9,362 7,569 5,412 17,608 158,274 8,610 2,390

See Accompanying Notes to the Financial Statements.

142

COST

$

21 45 24 70 23 16 140 12 30 27 25 28 25 29 164 39 77 18 43 27 75 59 74 63 104 25 10 12 22 43 55 57 77 49 16 2,527 125 87 24 169 81 124 99 20 54 99 181 128 100 19

VALUE

$

12 36 15 39 15 10 119 7 25 15 27 12 19 25 592 20 43 19 36 23 67 39 63 46 80 14 11 5 21 61 40 25 53 33 13 2,327 85 51 13 52 125 19 10 44 35 169 121 98 14

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Italy - 2.1% - (Continued) Banca Piccolo Credito Valtellinese Scarl† Banca Popolare dell’Emilia Romagna Scarl Banca Popolare di Milano Scarl Banca Popolare di Sondrio Scarl Banca Profilo S.p.A. BasicNet S.p.A. Beni Stabili S.p.A. Brembo S.p.A. Buzzi Unicem S.p.A.† Buzzi Unicem S.p.A. (RSP) Cairo Communication S.p.A. Cam Finanziaria S.p.A. Cementir Holding S.p.A. CIR-Compagnie Industriali Riunite S.p.A. Cofide S.p.A. Credito Emiliano S.p.A. Danieli & C Officine Meccaniche S.p.A.† Danieli & C Officine Meccaniche S.p.A. (RSP) Davide Campari-Milano S.p.A. DeA Capital S.p.A. De’Longhi S.p.A. DiaSorin S.p.A. Ei Towers S.p.A. Engineering Ingegneria Informatica S.p.A. ERG S.p.A. Esprinet S.p.A. Falck Renewables S.p.A. Fondiaria-Sai S.p.A. (RSP)† Fondiaria-Sai S.p.A..† Gemina S.p.A. Geox S.p.A.† Gruppo Editoriale L’Espresso S.p.A.† Hera S.p.A. Immobiliare Grande Distribuzione IMMSI S.p.A. Impregilo S.p.A.† Indesit Co. S.p.A.† Industria Macchine Automatiche S.p.A. Interpump Group S.p.A. Iren S.p.A. Italcementi S.p.A. Italcementi S.p.A. (RSP) Italmobiliare S.p.A. Italmobiliare S.p.A. (RSP) Juventus Football Club S.p.A. KME Group S.p.A. Landi Renzo S.p.A. Lottomatica Group S.p.A. Maire Tecnimont S.p.A. Marcolin S.p.A.

49,553 55,825 515,414 51,434 27,533 5,544 156,129 4,625 11,322 6,246 4,647 25,674 11,732 72,354 50,346 12,810 2,204 6,803 47,548 15,524 5,787 3,813 1,132 736 9,464 5,246 15,570 161 75,899 55,064 11,962 18,987 52,962 22,208 20,159 43,345 6,085 1,184 9,788 84,505 10,868 16,145 1,159 2,514 62,156 44,705 5,387 8,513 18,193 2,308

See Accompanying Notes to the Financial Statements.

143

COST

$

341 488 259 412 34 16 126 43 218 73 17 25 59 153 59 125 39 81 281 45 37 94 59 26 151 54 17 1 322 92 123 71 164 62 57 191 62 20 73 169 84 62 61 161 25 25 14 130 78 18

VALUE

$

65 244 237 284 8 14 71 48 114 30 15 9 20 73 25 44 47 74 328 24 64 105 26 24 67 20 17 8 94 43 28 15 65 21 11 164 22 19 68 30 45 35 15 19 14 17 8 167 13 13

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Italy - 2.1% - (Continued) Mariella Burani S.p.A.(1) MARR S.p.A. Mediolanum S.p.A.† Milano Assicurazioni S.p.A. Piaggio & C. S.p.A.† Poltrona Frau S.p.A. Prelios S.p.A. RCS MediaGroup S.p.A. Recordati S.p.A. Reply S.p.A. Sabaf S.p.A. Safilo Group S.p.A. Salvatore Ferragamo Italia S.p.A.† Saras S.p.A. Snai S.p.A. Societa Cattolica di Assicurazioni Scarl Societa Iniziative Autostradali e Servizi S.p.A. Societa per la Bonifica dei Terreni Ferraresi e Imprese Agricole S.p.A. Sogefi S.p.A. Sorin S.p.A. Telecom Italia Media S.p.A. Tod’s S.p.A.† Trevi Finanziaria Industriale S.p.A. Unipol Gruppo Finanziario S.p.A. Vittoria Assicurazioni S.p.A. Yoox S.p.A. Zignago Vetro S.p.A. Japan - 24.5% 77 Bank (The) Ltd. Access Co. Ltd. Accordia Golf Co. Ltd. Achilles Corp. ADEKA Corp. Aderans Co. Ltd. Advance Residence Investment Corp. Aeon Delight Co. Ltd. Ai Holdings Corp. Aica Kogyo Co. Ltd. Aichi Bank (The) Ltd. Aichi Corp. Aichi Steel Corp. Aida Engineering Ltd. Aiful Corp.† Ain Pharmaciez, Inc. Aiphone Co. Ltd. Airport Facilities Co. Ltd. Aisan Industry Co. Ltd. Akebono Brake Industry Co. Ltd.† Alpen Co. Ltd.

3,648 5,092 36,849 112,129 27,014 12,729 110,574 21,055 15,994 772 1,126 4,782 6,973 54,397 5,421 7,303 8,777

COST

$

101 46 145 131 102 22 110 21 121 16 25 72 104 84 56 245 105

VALUE

$

46 123 37 65 13 14 12 108 16 13 31 136 60 6 89 59

403 9,473 45,127 84,613 2,050 4,914 37,821 4,584 6,820 5,313

20 48 88 56 183 66 147 30 71 28 8,950

18 22 95 15 189 26 94 24 91 30 5,299

56,185 45 169 23,000 13,900 3,100 178 3,300 7,000 7,400 1,200 4,500 18,000 7,908 22,050 1,508 2,100 2,100 4,300 11,484 2,500

229 69 138 34 136 59 349 69 41 96 100 30 95 42 58 58 38 10 41 75 65

213 32 111 31 118 38 348 76 39 115 60 20 69 48 38 95 41 10 35 51 47

See Accompanying Notes to the Financial Statements.

144

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) Alpha Systems, Inc. Alpine Electronics, Inc. Alps Electric Co. Ltd. Amano Corp. Anritsu Corp. AOC Holdings, Inc. AOKI Holdings, Inc. Aomori Bank (The) Ltd. Aoyama Trading Co. Ltd. Arc Land Sakamoto Co. Ltd. Arcs Co. Ltd. Ariake Japan Co. Ltd. Arnest One Corp. Asahi Co. Ltd. Asahi Diamond Industrial Co. Ltd. Asahi Holdings, Inc. Asahi Intecc Co. Ltd. Asahi Organic Chemicals Industry Co. Ltd. Asatsu-DK, Inc. ASKA Pharmaceutical Co. Ltd. ASKUL Corp. Atom Corp.† Atsugi Co. Ltd. Autobacs Seven Co. Ltd. Avex Group Holdings, Inc. Awa Bank (The) Ltd. Axell Corp. Azbil Corp. Bando Chemical Industries Ltd. Bank of Iwate (The) Ltd. Bank of Nagoya (The) Ltd. Bank of Okinawa (The) Ltd. Bank of Saga (The) Ltd. Bank of the Ryukyus Ltd. Belluna Co. Ltd. Best Denki Co. Ltd.† Bic Camera, Inc.† Bit-isle, Inc. BML, Inc. Bunka Shutter Co. Ltd. C. Uyemura & Co. Ltd. Calbee, Inc.† Calsonic Kansei Corp. Canon Electronics, Inc. Canon Marketing Japan, Inc. Capcom Co. Ltd. Cawachi Ltd. Central Glass Co. Ltd. Century Tokyo Leasing Corp. Chiba Kogyo Bank (The) Ltd. Chiyoda Co. Ltd.

1,400 7,300 26,500 8,800 23,000 5,500 2,600 32,000 8,800 1,900 4,889 2,749 7,292 2,000 8,200 3,857 1,600 10,000 4,500 4,000 2,900 6,892 22,000 3,900 5,700 33,000 1,152 10,400 12,000 2,600 24,000 3,000 20,000 5,700 3,500 5,500 143 2,000 1,700 7,000 900 2,600 25,000 3,200 8,372 7,300 2,100 29,000 6,805 6,200 4,000

See Accompanying Notes to the Financial Statements.

145

COST

$

20 96 162 93 205 76 46 119 168 30 77 57 83 31 76 79 40 33 139 28 48 22 29 144 80 193 33 265 48 131 123 124 59 88 33 17 80 21 38 27 30 129 121 87 94 156 51 146 116 57 71

VALUE

$

18 77 160 71 287 18 58 97 172 29 108 59 100 33 96 67 44 25 130 22 36 32 26 193 87 204 25 212 43 110 73 128 47 70 28 11 76 17 46 31 34 182 123 67 114 149 43 108 119 34 97

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) Chiyoda Integre Co. Ltd. Chofu Seisakusho Co. Ltd. Chori Co. Ltd. Chudenko Corp. Chuetsu Pulp & Paper Co. Ltd. Chugai Ro Co. Ltd. Chugoku Marine Paints Ltd. CKD Corp. Clarion Co. Ltd.† Cleanup Corp. CMIC Holdings Co. Ltd. CMK Corp. Coca-Cola Central Japan Co. Ltd. Cocokara fine, Inc. Colowide Co. Ltd.† COMSYS Holdings Corp. COOKPAD, Inc.† Corona Corp. Cosel Co. Ltd. Cosmos Pharmaceutical Corp. CREATE SD HOLDINGS Co. Ltd. CyberAgent, Inc.† Dai Nippon Toryo Co. Ltd. Daibiru Corp. Daido Metal Co. Ltd. Daidoh Ltd. Daiei (The), Inc. Daifuku Co. Ltd. Daihen Corp. Daiichi Chuo K.K. Daiichi Jitsugyo Co. Ltd. Dai-ichi Seiko Co. Ltd.† Daiichikosho Co. Ltd. Daiken Corp. Daikokutenbussan Co. Ltd.† Daikyo, Inc. Dainichiseika Color & Chemicals Manufacturing Co. Ltd. Dainippon Screen Manufacturing Co. Ltd. Daio Paper Corp. Daiseki Co. Ltd.† Daishi Bank (The) Ltd. Daiso Co. Ltd. Daisyo Corp. Daiwa Industries Ltd. Daiwa Office Investment Corp. Daiwabo Holdings Co. Ltd. Daiwahouse Residential Investment Corp. DCM Holdings Co. Ltd. Denki Kogyo Co. Ltd. Denyo Co. Ltd. Descente Ltd.

1,900 2,800 18,000 4,000 11,000 11,000 10,000 8,000 20,000 2,900 1,400 6,000 4,181 2,430 9,000 17,674 1,000 1,800 3,300 1,400 1,600 84 20,000 7,182 4,727 3,500 16,000 14,500 15,000 19,000 6,000 1,600 6,900 10,000 796 49,000 9,000 33,000 13,109 6,102 55,000 13,000 1,600 5,000 35 28,000 24 14,100 9,000 2,167 7,000

See Accompanying Notes to the Financial Statements.

146

COST

$

33 61 23 51 24 38 68 66 29 19 20 37 58 57 56 179 22 26 53 54 37 155 25 65 51 34 84 152 63 45 26 51 107 31 25 141 42 219 98 112 206 38 21 27 149 78 149 117 46 28 37

VALUE

$

23 62 23 38 20 32 49 51 38 18 22 21 54 83 73 222 26 23 44 114 44 166 21 51 45 24 37 87 47 19 29 27 142 26 22 124 37 224 80 103 162 38 21 24 95 51 168 98 43 25 44

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) DIC Corp. Digital Garage, Inc. Disco Corp.† Don Quijote Co. Ltd. Doshisha Co. Ltd. Doutor Nichires Holdings Co. Ltd. Dowa Holdings Co. Ltd. Dr Ci:Labo Co. Ltd.† DTS Corp. Dunlop Sports Co. Ltd. Duskin Co. Ltd. Dwango Co. Ltd. Dydo Drinco, Inc. eAccess Ltd.† Eagle Industry Co. Ltd. Earth Chemical Co. Ltd. Ebara Corp. EDION Corp. Eighteenth Bank (The) Ltd. Eizo Nanao Corp. Enplas Corp. EPS Corp. Exedy Corp. Ezaki Glico Co. Ltd. Fancl Corp. FCC Co. Ltd. FDK Corp. Ferrotec Corp. Fields Corp. Foster Electric Co. Ltd. FP Corp. France Bed Holdings Co. Ltd. Frontier Real Estate Investment Corp. Fudo Tetra Corp.† Fuji Co. Ltd. Fuji Kyuko Co. Ltd. Fuji Machine Manufacturing Co. Ltd. Fuji Oil Co. Ltd. Fuji Seal International, Inc. Fuji Soft, Inc. Fujicco Co. Ltd. Fujikura Ltd. Fujimi, Inc. Fujita Kanko, Inc. Fujitec Co. Ltd. Fujitsu General Ltd. Fujiya Co. Ltd. Fukuoka REIT Co. Fukuyama Transporting Co. Ltd. Funai Electric Co. Ltd. Furukawa Co. Ltd.

122,877 24 4,300 9,000 1,600 4,692 37,875 21 3,100 2,200 7,800 15 1,400 354 4,000 2,000 65,000 12,500 24,000 2,800 1,700 18 5,000 11,000 6,798 5,500 15,983 4,400 21 3,500 2,074 18,000 35 20,899 2,700 9,000 5,900 9,500 3,600 3,000 3,000 57,000 3,200 9,000 12,000 9,000 17,000 17 23,000 2,800 43,000

See Accompanying Notes to the Financial Statements.

147

COST

$

216 67 237 264 35 74 234 66 46 23 142 32 56 124 35 60 232 127 87 68 29 40 143 123 96 117 19 51 31 54 108 35 281 39 52 46 121 106 76 64 33 225 52 38 77 50 34 128 117 115 69

VALUE

$

214 41 229 302 47 59 235 71 40 26 155 23 65 65 32 73 247 61 61 55 50 49 101 127 83 86 17 23 34 54 145 39 286 29 61 58 97 120 68 47 37 173 45 30 73 76 43 120 129 36 36

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) Furukawa-Sky Aluminum Corp. Furuno Electric Co. Ltd. Furuya Metal Co. Ltd. Fuso Pharmaceutical Industries Ltd. Futaba Corp. Futaba Industrial Co. Ltd. Future Architect, Inc. Fuyo General Lease Co. Ltd. Gakken Holdings Co. Ltd. GCA Savvian Group Corp. Geo Holdings Corp.† Global One Real Estate Investment Corp. Glory Ltd. GMO internet, Inc. GMO Payment Gateway, Inc. Godo Steel Ltd. Goldcrest Co. Ltd. Goldwin, Inc. GROWELL HOLDINGS Co. Ltd.† Gulliver International Co. Ltd. Gun-Ei Chemical Industry Co. Ltd. Gunze Ltd. Gurunavi, Inc. H2O Retailing Corp. HAJIME CONSTRUCTION Co. Ltd. Hakuto Co. Ltd. Hankyu Reit, Inc. Hanwa Co. Ltd. Harmonic Drive Systems, Inc. Haseko Corp. Heiwa Corp. Heiwa Real Estate Co. Ltd. Heiwa Real Estate REIT, Inc. Heiwado Co. Ltd. Hibiya Engineering Ltd. Higashi-Nippon Bank (The) Ltd. Higo Bank (The) Ltd. Hikari Tsushin, Inc. Hioki EE Corp. HIS Co. Ltd. Hisaka Works Ltd. Hitachi Cable Ltd. Hitachi Capital Corp. Hitachi Koki Co. Ltd. Hitachi Kokusai Electric, Inc. Hitachi Medical Corp. Hitachi Transport System Ltd. Hitachi Zosen Corp. Hogy Medical Co. Ltd. Hokkoku Bank (The) Ltd. Hokuetsu Bank (The) Ltd.

13,053 4,000 600 10,000 5,400 7,500 19 2,827 6,000 19 49 16 10,000 11,200 1,500 19,000 2,450 5,000 1,280 940 10,000 26,000 1,900 19,000 1,917 2,100 12 31,000 1,500 219,000 6,600 26,000 92 4,500 3,400 20,000 28,000 3,313 1,400 3,500 3,442 26,000 8,300 7,517 8,000 2,000 7,400 123,500 2,000 48,000 31,000

See Accompanying Notes to the Financial Statements.

148

COST

$

45 31 30 28 98 122 17 93 13 23 67 143 203 55 32 69 93 32 22 50 26 119 26 173 52 25 76 128 19 174 97 109 51 67 30 66 172 76 34 92 44 85 116 83 73 19 105 152 82 195 69

VALUE

$

35 16 21 30 81 35 7 92 13 17 55 101 208 57 29 37 38 26 47 29 26 69 22 196 56 21 55 112 34 151 120 61 55 65 38 44 148 159 23 121 28 45 152 56 53 26 137 152 97 175 60

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) Hokuetsu Kishu Paper Co. Ltd. Hokuto Corp. Honeys Co. Ltd.† Horiba Ltd. Hoshizaki Electric Co. Ltd. Hosiden Corp. Hosokawa Micron Corp. House Foods Corp. Hyakugo Bank (The) Ltd. Hyakujushi Bank (The) Ltd. IBJ Leasing Co. Ltd. Ichibanya Co. Ltd. Ichiyoshi Securities Co. Ltd. Icom, Inc. Idec Corp. Iida Home Max Iino Kaiun Kaisha Ltd.† Inaba Denki Sangyo Co. Ltd. Inabata & Co. Ltd. Industrial & Infrastructure Fund Investment Corp. Ines Corp. Information Services International-Dentsu Ltd. Internet Initiative Japan, Inc. Iseki & Co. Ltd. Ishihara Sangyo Kaisha Ltd. IT Holdings Corp. Ito En Ltd. Itochu Enex Co. Ltd. Itochu-Shokuhin Co. Ltd. Itoham Foods, Inc. Iwatani Corp. Izumi Co. Ltd. Izumiya Co. Ltd. J Trust Co. Ltd. Jaccs Co. Ltd. Jafco Co. Ltd. Japan Airport Terminal Co. Ltd. Japan Aviation Electronics Industry Ltd. Japan Cash Machine Co. Ltd. Japan Digital Laboratory Co. Ltd. Japan Drilling Co. Ltd. Japan Excellent, Inc. Japan Hotel REIT Investment Corp. Japan Logistics Fund, Inc. Japan Pulp & Paper Co. Ltd. Japan Radio Co. Ltd. Japan Rental Housing Investments, Inc. Japan Securities Finance Co. Ltd. Japan Vilene Co. Ltd. Japan Wool Textile (The) Co. Ltd. JCR Pharmaceuticals Co. Ltd.

17,500 3,298 2,520 6,100 6,000 8,860 5,000 10,400 38,000 39,000 2,546 1,000 6,200 1,400 4,100 3,400 14,000 2,736 6,500 20 4,900 2,100 18 26,000 46,000 12,096 9,016 6,800 600 23,000 30,000 7,800 9,000 4,100 23,000 5,413 5,892 8,000 1,900 3,100 775 28 230 24 12,000 8,000 142 15,200 3,000 9,000 1,121

See Accompanying Notes to the Financial Statements.

149

COST

$

102 62 70 198 107 82 32 172 204 192 58 24 51 36 55 26 96 83 46 97 32 22 65 61 59 190 155 42 22 97 93 130 55 43 90 118 75 90 18 40 25 172 60 211 44 19 55 125 13 70 14

VALUE

$

81 65 47 217 155 52 25 174 160 144 65 29 31 31 37 31 58 79 40 131 30 18 78 68 37 126 172 37 22 96 114 158 45 42 75 97 68 66 14 34 24 138 62 212 40 17 71 74 13 61 12

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) Jeol Ltd. JFE Shoji Trade Corp. Jin Co. Ltd. J-Oil Mills, Inc. Joshin Denki Co. Ltd.† JSP Corp. Juki Corp. Juroku Bank (The) Ltd. JVC Kenwood Corp.† kabu.com Securities Co. Ltd. Kadokawa Group Holdings, Inc.† Kaga Electronics Co. Ltd. Kagome Co. Ltd. Kagoshima Bank (The) Ltd. Kakaku.com, Inc.† Kaken Pharmaceutical Co. Ltd. Kamei Corp. Kanamoto Co. Ltd. Kandenko Co. Ltd. Kanematsu Corp. Kansai Urban Banking Corp. Kanto Denka Kogyo Co. Ltd. Kanto Natural Gas Development Ltd. Kappa Create Co. Ltd. Kasumi Co. Ltd. Katakura Industries Co. Ltd. Kato Sangyo Co. Ltd. Keihin Corp. Keiyo Bank (The) Ltd. Keiyo Co. Ltd.† Kenedix Realty Investment Corp. Kenedix, Inc.† Kewpie Corp. KEY Coffee, Inc. Kinki Sharyo Co. Ltd. Kintetsu World Express, Inc. Kinugawa Rubber Industrial Co. Ltd. Kisoji Co. Ltd. Kissei Pharmaceutical Co. Ltd. Kitz Corp. Kiyo Holdings, Inc. Koa Corp. Koatsu Gas Kogyo Co. Ltd. Kobayashi Pharmaceutical Co. Ltd. Kohnan Shoji Co. Ltd.† Kojima Co. Ltd.† Kokuyo Co. Ltd. Komeri Co. Ltd. Komori Corp. Konaka Co. Ltd. Kose Corp.

10,000 18,000 1,000 13,000 6,000 2,548 19,000 53,000 21,430 11,300 2,900 3,100 12,369 23,000 5,900 12,000 4,000 4,000 16,000 67,000 40,000 7,000 4,000 2,000 5,500 3,300 2,900 6,800 38,000 4,600 47 314 16,600 2,200 7,000 2,500 7,000 3,300 4,400 13,800 110,000 4,600 5,000 4,300 4,500 2,900 11,900 5,000 10,300 2,500 5,000

See Accompanying Notes to the Financial Statements.

150

COST

$

39 89 16 43 46 34 83 245 148 56 99 44 209 164 128 125 40 40 84 87 80 38 23 37 33 44 44 131 204 29 229 154 196 36 34 73 62 62 83 88 172 52 29 182 61 22 115 141 136 36 134

VALUE

$

23 65 21 37 69 38 28 174 66 34 82 32 275 139 189 171 38 46 76 80 51 22 21 44 39 28 55 92 171 29 151 42 246 41 26 78 45 67 77 55 155 41 32 225 54 9 89 125 62 29 118

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) Krosaki Harima Corp. K’s Holdings Corp.† Kumiai Chemical Industry Co. Ltd. Kura Corp. Kurabo Industries Ltd. Kureha Corp. Kuroda Electric Co. Ltd. KYB Co. Ltd.† Kyodo Printing Co. Ltd. Kyoei Steel Ltd. Kyokuto Kaihatsu Kogyo Co. Ltd. KYORIN Holdings, Inc. Kyoritsu Maintenance Co. Ltd. Kyosan Electric Manufacturing Co. Ltd. Kyowa Exeo Corp. Kyudenko Corp. Leopalace21 Corp. Lintec Corp. Lion Corp. M3, Inc. Macnica, Inc. Macromill, Inc. Maeda Corp. Maeda Road Construction Co. Ltd. Makino Milling Machine Co. Ltd. Mandom Corp. Mani, Inc. Mars Engineering Corp. Marudai Food Co. Ltd. Maruetsu (The), Inc. Maruha Nichiro Holdings, Inc. Marusan Securities Co. Ltd. Maruwa Co. Ltd.† Maruzen Showa Unyu Co. Ltd. Matsuda Sangyo Co. Ltd. Matsui Securities Co. Ltd. Matsumotokiyoshi Holdings Co. Ltd. Matsuya Co. Ltd.† Matsuya Foods Co. Ltd. Max Co. Ltd. Megachips Corp. Megane TOP Co. Ltd. Megmilk Snow Brand Co. Ltd. Meidensha Corp.† Meiko Electronics Co. Ltd. Meitec Corp. Meito Sangyo Co. Ltd. Meiwa Corp. Melco Holdings, Inc.† Message Co. Ltd. MID Reit, Inc.

6,000 7,640 7,000 2,000 29,000 19,960 5,000 24,000 13,000 2,400 4,500 7,368 1,700 7,511 13,786 5,961 23,800 7,500 34,000 36 1,400 2,800 19,000 9,907 15,000 3,000 900 1,600 14,000 5,000 69,690 9,200 1,211 8,000 1,947 14,531 4,900 5,800 1,300 5,143 3,200 4,200 7,061 29,000 1,800 5,300 1,300 3,000 1,700 23 29

See Accompanying Notes to the Financial Statements.

151

COST

$

14 222 26 32 59 95 53 119 42 45 40 109 30 35 128 36 73 151 187 109 34 26 66 84 134 78 27 32 44 22 126 73 52 26 36 69 104 53 22 70 56 42 126 99 28 130 18 30 47 60 102

VALUE

$

13 250 34 28 50 82 59 104 34 47 41 161 37 31 142 34 81 137 189 188 30 31 92 133 77 77 30 37 53 18 104 31 35 26 28 86 111 52 25 58 59 49 120 107 15 114 17 18 35 80 71

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) Mie Bank (The) Ltd. Mikuni Coca-Cola Bottling Co. Ltd. Milbon Co. Ltd. Mimasu Semiconductor Industry Co. Ltd. Minato Bank (The) Ltd. Minebea Co. Ltd.† Ministop Co. Ltd. Mirait Holdings Corp. Misawa Homes Co. Ltd. MISUMI Group, Inc. Mitsuba Corp. Mitsubishi Paper Mills Ltd. Mitsubishi Pencil Co. Ltd. Mitsubishi Research Institute, Inc. Mitsubishi Shokuhin Co. Ltd. Mitsubishi Steel Manufacturing Co. Ltd. Mitsuboshi Belting Co. Ltd. Mitsui Engineering & Shipbuilding Co. Ltd. Mitsui High-Tec, Inc. Mitsui Home Co. Ltd. Mitsui Matsushima Co. Ltd. Mitsui Mining & Smelting Co. Ltd. Mitsui Sugar Co. Ltd. Mitsui-Soko Co. Ltd. Mitsumi Electric Co. Ltd. Mitsuuroko Holdings Co. Ltd. Miura Co. Ltd. Mixi, Inc. Miyazaki Bank (The) Ltd. Mizuno Corp. Mochida Pharmaceutical Co. Ltd. Modec, Inc. Monex Group, Inc. MonotaRO Co. Ltd.† Mori Hills REIT Investment Corp. Mori Seiki Co. Ltd. Mori Trust Sogo Reit, Inc. Morinaga & Co. Ltd. Morinaga Milk Industry Co. Ltd. MOS Food Services, Inc. Moshi Moshi Hotline, Inc. MTI Ltd. Musashi Seimitsu Industry Co. Ltd. Musashino Bank (The) Ltd. Nachi-Fujikoshi Corp. Nafco Co. Ltd. Nagaileben Co. Ltd. Nagase & Co. Ltd. Namura Shipbuilding Co. Ltd. Nanto Bank (The) Ltd. NEC Capital Solutions Ltd.

13,000 4,033 1,510 2,900 29,000 57,000 2,000 9,810 4,000 13,400 5,000 42,000 3,100 1,113 1,900 23,000 8,000 115,000 3,200 4,000 18,192 92,711 13,000 17,000 14,426 4,000 4,600 11 23,000 15,000 10,000 2,500 330 2,200 30 15,500 28 27,000 29,000 4,000 7,400 13 3,660 5,100 29,000 1,800 2,900 18,600 6,700 37,000 1,492

See Accompanying Notes to the Financial Statements.

152

COST

$

50 36 46 40 52 245 35 81 55 263 39 62 52 23 45 70 43 174 40 19 38 270 43 72 133 26 124 82 81 94 104 59 124 44 144 292 259 63 110 67 75 24 82 207 133 26 36 220 31 208 21

VALUE

$

29 35 48 23 53 201 35 71 59 327 33 35 53 25 44 49 47 146 15 22 28 193 43 58 94 27 117 16 57 78 120 46 54 45 127 115 236 62 106 80 80 15 63 142 95 32 44 216 21 157 20

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) NEC Fielding Ltd. NEC Mobiling Ltd. NEC Networks & System Integration Corp. NET One Systems Co. Ltd. Neturen Co. Ltd. Nice Holdings, Inc. Nichias Corp. Nichicon Corp. Nichiden Corp. Nichiha Corp. Nichii Gakkan Co. Nichi-iko Pharmaceutical Co. Ltd. Nichirei Corp. Nidec Copal Corp. Nidec Copal Electronics Corp. Nidec Sankyo Corp. Nidec-Tosok Corp. Nifco, Inc. Nihon Dempa Kogyo Co. Ltd. Nihon Kohden Corp. Nihon M&A Center, Inc. Nihon Nohyaku Co. Ltd. Nihon Parkerizing Co. Ltd. Nihon Unisys Ltd. Nihon Yamamura Glass Co. Ltd. Nikkiso Co. Ltd. Nippo Corp. Nippon Accommodations Fund, Inc. Nippon Beet Sugar Manufacturing Co. Ltd. Nippon Carbon Co. Ltd. Nippon Ceramic Co. Ltd. Nippon Chemi-Con Corp.† Nippon Coke & Engineering Co. Ltd. Nippon Denko Co. Ltd.† Nippon Densetsu Kogyo Co. Ltd. Nippon Flour Mills Co. Ltd. Nippon Kanzai Co. Ltd. Nippon Kayaku Co. Ltd. Nippon Koei Co. Ltd. Nippon Konpo Unyu Soko Co. Ltd. Nippon Koshuha Steel Co. Ltd. Nippon Light Metal Co. Ltd. Nippon Paint Co. Ltd. Nippon Road (The) Co. Ltd. Nippon Seiki Co. Ltd. Nippon Sharyo Ltd. Nippon Sheet Glass Co. Ltd.† Nippon Shinyaku Co. Ltd. Nippon Shokubai Co. Ltd. Nippon Signal Co. Ltd. Nippon Soda Co. Ltd.

2,500 1,100 3,400 13,500 4,300 12,000 16,000 8,800 1,000 3,500 7,800 4,800 42,000 1,900 2,500 7,000 1,465 7,400 2,400 6,000 1,400 7,000 8,000 8,400 13,000 10,000 9,000 31 16,000 19,000 2,400 20,000 34,500 13,000 5,247 17,000 600 25,000 11,000 9,300 10,000 83,000 31,000 10,000 7,000 10,000 147,000 8,000 22,000 7,200 22,000

See Accompanying Notes to the Financial Statements.

153

COST

$

33 31 45 121 39 35 97 110 29 39 74 106 209 24 15 49 17 177 66 131 36 56 116 94 34 79 75 207 39 61 38 125 71 57 41 70 11 215 40 108 10 158 192 28 121 38 144 84 204 47 94

VALUE

$

31 40 58 193 32 29 81 72 26 40 73 104 214 16 14 38 12 166 29 196 42 31 113 56 29 115 108 210 34 42 34 45 42 41 52 75 11 243 40 112 10 91 257 39 69 35 137 99 270 46 92

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) Nippon Steel Trading Co. Ltd. Nippon Suisan Kaisha Ltd. Nippon Synthetic Chemical Industry (The) Co. Ltd. Nippon Thompson Co. Ltd. Nippon Valqua Industries Ltd. Nippon Yakin Kogyo Co. Ltd. Nipro Corp.† Nishimatsu Construction Co. Ltd. Nishimatsuya Chain Co. Ltd. Nishio Rent All Co. Ltd. Nissan Chemical Industries Ltd. Nissan Shatai Co. Ltd. Nissen Holdings Co. Ltd. Nissha Printing Co. Ltd.† Nisshin Oillio Group (The) Ltd. Nisshinbo Holdings, Inc. Nissin Corp. Nissin Electric Co. Ltd. Nissin Kogyo Co. Ltd. Nitta Corp. Nittetsu Mining Co. Ltd. Nitto Boseki Co. Ltd. Nitto Kogyo Corp. Nitto Kohki Co. Ltd. NOF Corp. Nohmi Bosai Ltd. Nomura Real Estate Residential Fund, Inc.† Noritake Co. Ltd. Noritsu Koki Co. Ltd. Noritz Corp. NS Solutions Corp. NS United Kaiun Kaisha Ltd. NSD Co. Ltd. Nuflare Technology, Inc. Obara Group, Inc. OBIC Business Consultants Ltd. Obic Co. Ltd. Ogaki Kyoritsu Bank (The) Ltd. Ohara, Inc. Ohsho Food Service Corp. Oiles Corp. Oita Bank (The) Ltd. Okabe Co. Ltd. Okamoto Industries, Inc. Okamura Corp. Okasan Securities Group, Inc. Oki Electric Industry Co. Ltd. Okinawa Electric Power (The) Co., Inc. OKUMA Corp. Okumura Corp. Okuwa Co. Ltd.

7,000 37,600 8,000 10,000 12,000 20,500 18,414 41,000 9,200 2,300 22,284 12,000 4,400 4,102 17,045 21,936 10,000 7,000 5,552 3,300 8,000 29,000 4,100 1,716 24,000 3,000 22 15,000 1,500 4,807 2,400 17,000 6,300 4 1,900 800 1,170 49,000 1,600 1,760 4,164 27,000 6,000 12,037 10,274 27,000 113,000 2,430 23,000 27,633 3,000

See Accompanying Notes to the Financial Statements.

154

COST

$

15 171 44 77 38 65 161 94 110 19 225 96 23 75 85 204 30 37 109 61 44 96 50 37 122 21 93 56 25 88 59 48 74 21 27 43 218 196 26 45 73 134 37 46 79 137 155 114 123 117 43

VALUE

$

18 87 48 43 33 21 102 71 79 28 236 132 18 42 68 145 27 45 74 51 30 86 74 37 116 19 117 38 7 83 47 23 56 32 22 42 239 170 14 44 81 86 36 50 82 96 179 66 139 95 42

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) OncoTherapy Science, Inc.† Onoken Co. Ltd. Onward Holdings Co. Ltd. Organo Corp. Orient Corp. Orix JREIT, Inc. Osaka Securities Exchange Co. Ltd.† Osaka Steel Co. Ltd. OSAKA Titanium Technologies Co.† Osaki Electric Co. Ltd. OSG Corp. Otsuka Kagu Ltd. Oyo Corp. Pacific Industrial Co. Ltd. Pacific Metals Co. Ltd.† Pack (The) Corp. Pal Co. Ltd. Paltac Corp. PanaHome Corp. Paramount Bed Holdings Co. Ltd. Parco Co. Ltd.† Paris Miki Holdings, Inc. Park24 Co. Ltd. Pasona Group, Inc. Penta-Ocean Construction Co. Ltd.† PGM Holdings K.K. Pigeon Corp. Pilot Corp. Pioneer Corp.† Plenus Co. Ltd. Point, Inc. Pola Orbis Holdings, Inc. Premier Investment Corp. Press Kogyo Co. Ltd. Prima Meat Packers Ltd. Pronexus, Inc. Proto Corp. Psc, Inc. Relo Holdings, Inc. Rengo Co. Ltd. Resorttrust, Inc. Ricoh Leasing Co. Ltd. Riken Corp. Ringer Hut Co. Ltd.† Riso Kagaku Corp. Rohto Pharmaceutical Co. Ltd. Roland Corp. Roland DG Corp. Round One Corp. Royal Holdings Co. Ltd.† Ryobi Ltd.

27 1,600 20,345 5,000 44,500 46 43 2,300 3,100 4,000 11,200 1,400 2,700 5,960 24,000 2,100 784 3,880 12,000 2,400 5,900 3,900 16,300 33 47,500 43 2,900 22 42,600 3,100 2,710 3,746 31 16,000 19,000 3,100 900 100 1,600 33,000 5,360 2,400 14,000 2,700 2,600 15,000 3,000 1,600 11,470 4,100 21,000

See Accompanying Notes to the Financial Statements.

155

COST

$

43 11 141 46 59 278 221 42 102 35 157 13 29 38 173 31 28 49 77 54 59 54 179 52 121 42 84 43 156 53 134 95 158 72 27 26 31 21 41 209 104 57 65 36 30 173 50 31 116 49 119

VALUE

$

43 13 153 34 60 208 255 39 92 31 153 14 29 35 86 36 43 55 74 73 75 24 250 22 121 33 127 41 118 59 95 123 109 72 35 19 29 9 56 183 95 55 55 37 43 203 23 18 59 49 55

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) Ryohin Keikaku Co. Ltd. Ryosan Co. Ltd. Ryoyo Electro Corp. S Foods, Inc. Saizeriya Co. Ltd.† Sakai Chemical Industry Co. Ltd. Sakata Seed Corp. San-A Co. Ltd. San-Ai Oil Co. Ltd. Sanden Corp.† Sangetsu Co. Ltd. San-In Godo Bank (The) Ltd. Sanken Electric Co. Ltd. Sanki Engineering Co. Ltd. Sankyo-Tateyama Holdings, Inc. Sankyu, Inc. Sanoh Industrial Co. Ltd. Sanshin Electronics Co. Ltd. Sanwa Holdings Corp. Sanyo Chemical Industries Ltd. Sanyo Denki Co. Ltd. Sanyo Shokai Ltd. Sanyo Special Steel Co. Ltd. Sapporo Hokuyo Holdings, Inc. Sapporo Holdings Ltd. Sasebo Heavy Industries Co. Ltd. Sato Holdings Corp.† Sawai Phamaceutical Co. Ltd.† SCSK Corp. Seika Corp. Seikagaku Corp. Seiko Holdings Corp. Seino Holdings Co. Ltd. Seiren Co. Ltd. Sekisui House SI Investment Co. Sekisui Jushi Corp. Sekisui Plastics Co. Ltd. Senko Co. Ltd. Senshu Ikeda Holdings, Inc. Senshukai Co. Ltd. Seria Co. Ltd. SFCG Co. Ltd.(1) Shibusawa Warehouse (The) Co. Ltd. Shiga Bank (The) Ltd. Shikoku Chemicals Corp. Shima Seiki Manufacturing Ltd. Shimachu Co. Ltd. Shimojima Co. Ltd. Shindengen Electric Manufacturing Co. Ltd. Shin-Etsu Polymer Co. Ltd. Shinko Electric Industries Co. Ltd.†

3,400 5,300 3,418 2,000 4,451 16,000 4,400 1,200 9,000 20,000 4,203 25,000 16,000 9,000 43,000 43,000 3,706 3,700 36,000 9,000 6,000 16,000 17,000 55,111 51,612 17,000 2,900 2,400 8,080 11,000 4,965 17,405 24,000 7,000 19 5,000 6,000 13,000 36,086 4,400 2,700 3,550 7,000 37,000 4,667 4,600 7,200 1,700 10,000 6,200 11,645

See Accompanying Notes to the Financial Statements.

156

COST

$

189 122 44 18 62 70 58 45 37 77 103 206 105 51 75 209 28 37 164 58 37 69 99 211 196 36 45 176 148 29 51 57 205 67 75 40 26 48 249 38 47 592 22 243 26 113 181 22 45 52 98

VALUE

$

185 99 36 18 68 50 58 45 44 64 104 176 60 49 79 162 30 27 152 55 38 53 63 159 163 18 45 262 110 32 52 48 163 47 83 52 18 58 186 28 42 20 204 26 66 152 21 30 27 82

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) Shinko Plantech Co. Ltd. Shinko Shoji Co. Ltd. Shinmaywa Industries Ltd. Shinsho Corp. Ship Healthcare Holdings, Inc. Shizuoka Gas Co. Ltd. SHO-BOND Holdings Co. Ltd. Shochiku Co. Ltd.† Showa Corp. Showa Sangyo Co. Ltd. Siix Corp.† Simplex Holdings, Inc. Sinanen Co. Ltd. Sinfonia Technology Co. Ltd. Sintokogio Ltd. SKY Perfect JSAT Holdings, Inc. Skymark Airlines, Inc. SMK Corp. Sodick Co. Ltd. Sohgo Security Services Co. Ltd. So-net Entertainment Corp. Sotetsu Holdings, Inc. Sparx Group Co. Ltd. ST Corp. St. Marc Holdings Co. Ltd. Star Micronics Co. Ltd. Starbucks Coffee Japan Ltd.† Start Today Co. Ltd.† Stella Chemifa Corp. Sugi Holdings Co. Ltd. Sumikin Bussan Corp. Sumitomo Bakelite Co. Ltd. Sumitomo Forestry Co. Ltd. Sumitomo Light Metal Industries Ltd. Sumitomo Osaka Cement Co. Ltd. Sumitomo Precision Products Co. Ltd. Sumitomo Real Estate Sales Co. Ltd. Sumitomo Seika Chemicals Co. Ltd. Sumitomo Warehouse (The) Co. Ltd. Sundrug Co. Ltd. SWCC Showa Holdings Co. Ltd. SxL Corp. Systena Corp. T. RAD Co. Ltd. Tachi-S Co. Ltd. Tadano Ltd. Taihei Dengyo Kaisha Ltd. Taihei Kogyo Co. Ltd. Taiho Kogyo Co. Ltd. Taikisha Ltd. Taiyo Holdings Co. Ltd.

6,500 2,800 13,000 5,000 5,200 7,500 3,500 13,701 8,152 11,000 2,094 53 6,000 14,000 7,500 290 4,670 8,000 6,531 9,500 20 66,000 193 1,700 1,100 5,500 62 9,200 1,300 6,100 14,000 30,000 21,600 80,000 62,000 5,000 1,320 6,000 20,000 5,500 35,000 16,000 33 11,000 3,200 18,000 5,000 7,000 2,300 4,700 2,500

See Accompanying Notes to the Financial Statements.

157

COST

$

57 27 57 8 98 49 56 111 82 30 31 24 27 36 83 135 58 41 43 134 65 214 77 19 55 89 33 141 42 155 47 180 199 103 162 26 83 28 119 140 39 41 27 42 37 153 39 28 28 88 68

VALUE

$

60 24 65 10 137 49 104 135 63 36 25 20 26 30 71 121 23 24 32 130 85 223 13 20 42 52 40 123 23 204 34 125 187 78 206 25 69 23 91 192 30 28 26 36 53 124 35 33 25 103 64

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) Taiyo Yuden Co. Ltd.† Takamatsu Construction Group Co. Ltd. Takaoka Electric Manufacturing Co. Ltd.† Takara Bio, Inc. Takara Holdings, Inc. Takara Standard Co. Ltd. Takasago International Corp. Takasago Thermal Engineering Co. Ltd. Takata Corp.† Takihyo Co. Ltd. Takiron Co. Ltd. Takuma Co. Ltd. Tamron Co. Ltd. Tamura Corp. Tatsuta Electric Wire and Cable Co. Ltd. Tecmo Koei Holdings Co. Ltd. Temp Holdings Co. Ltd.† Tenma Corp.† T-Gaia Corp. TKC Corp. Toa Corp. Toagosei Co. Ltd. TOC Co. Ltd. Tocalo Co. Ltd. Tochigi Bank (The) Ltd. Toda Corp. Toda Kogyo Corp. Toei Co. Ltd. Toenec Corp. Toho Bank (The) Ltd. Toho Holdings Co. Ltd. Toho Real Estate Co. Ltd. Toho Titanium Co. Ltd.† Toho Zinc Co. Ltd. Tohokushinsha Film Corp. Tokai Carbon Co. Ltd. Tokai Corp.† TOKAI Holdings Corp. Tokai Rika Co. Ltd. Tokai Rubber Industries, Inc. Tokai Tokyo Financial Holdings, Inc. Token Corp. Toko, Inc. Tokuyama Corp.† Tokyo Broadcasting System Holdings, Inc. Tokyo Dome Corp. Tokyo Energy & Systems, Inc. Tokyo Ohka Kogyo Co. Ltd. Tokyo Rope Manufacturing Co. Ltd. Tokyo Seimitsu Co. Ltd. Tokyo Steel Manufacturing Co. Ltd.

16,800 2,400 11,000 5,200 28,000 14,000 13,000 8,600 5,600 4,000 7,000 10,000 2,400 10,000 7,000 4,935 4,000 2,600 24 2,500 26,000 32,000 10,500 2,100 15,000 32,000 4,267 10,000 5,000 34,000 6,909 2,300 5,500 19,000 2,500 31,000 1,496 12,900 8,600 5,600 32,000 1,140 14,000 53,279 6,587 30,000 4,000 6,600 17,000 6,300 17,812

See Accompanying Notes to the Financial Statements.

158

COST

$

177 39 29 31 181 92 65 75 146 21 24 53 68 33 33 61 49 34 46 48 38 126 60 62 80 146 38 51 27 123 108 10 67 124 16 211 33 61 107 82 127 58 29 216 84 105 26 150 36 165 155

VALUE

$

140 42 21 27 193 104 64 66 113 22 22 44 79 24 46 39 46 25 49 51 45 121 56 30 48 98 19 48 27 105 136 12 63 63 20 129 38 62 135 61 109 50 37 120 76 88 20 141 27 99 67

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) Tokyo Tatemono Co. Ltd. Tokyo Tomin Bank (The) Ltd. Tokyotokeiba Co. Ltd. Tokyu Community Corp. Tokyu Construction Co. Ltd. Tokyu Livable, Inc. Tokyu REIT, Inc. TOMONY Holdings, Inc. Tomy Co. Ltd. Top REIT, Inc. Topcon Corp.† Toppan Forms Co. Ltd. Topre Corp. Topy Industries Ltd. Toridoll.corp Torii Pharmaceutical Co. Ltd. Torishima Pump Manufacturing Co. Ltd. Toshiba Machine Co. Ltd. Toshiba Plant Systems & Services Corp. Toshiba TEC Corp. Totetsu Kogyo Co. Ltd. Touei Housing Corp. Towa Bank (The) Ltd. Towa Pharmaceutical Co. Ltd. Toyo Construction Co. Ltd. Toyo Corp. Toyo Denki Seizo - Toyo Electric Manufacturing Co. Ltd. Toyo Engineering Corp. Toyo Ink SC Holdings Co. Ltd. Toyo Kanetsu K.K. Toyo Kohan Co. Ltd. Toyo Tanso Co. Ltd. Toyo Tire & Rubber Co. Ltd. Toyobo Co. Ltd. TPR Co. Ltd. Transcosmos, Inc. Trusco Nakayama Corp. TS Tech Co. Ltd. TSI Holdings Co. Ltd. Tsubakimoto Chain Co. Tsugami Corp.† Tsukishima Kikai Co. Ltd. Tsukuba Bank (The) Ltd. Tsuruha Holdings, Inc. Tsutsumi Jewelry Co. Ltd. TV Asahi Corp. Tv Tokyo Holdings Corp. Uchida Yoko Co. Ltd. Ulvac, Inc.† Uniden Corp. Union Tool Co.

66,786 4,600 22,000 825 13,960 3,200 27 24,100 8,877 23 9,900 8,200 5,400 31,000 2,500 2,000 2,800 17,000 6,000 20,000 4,253 2,100 37,000 1,600 41,000 4,000 7,000 20,000 31,000 19,000 7,000 1,617 30,000 137,000 3,000 4,436 2,800 7,300 13,300 23,000 10,000 3,000 11,400 2,600 1,300 31 800 6,000 6,000 9,000 1,800

See Accompanying Notes to the Financial Statements.

159

COST

$

229 120 47 21 51 51 197 116 63 127 106 82 52 97 24 35 52 124 63 99 39 22 65 63 33 46 34 82 112 39 29 82 108 235 30 74 53 149 100 128 67 34 61 123 34 57 35 29 151 47 61

VALUE

$

250 42 30 28 27 38 131 99 55 106 71 76 50 81 44 44 27 71 74 74 54 22 37 94 35 45 22 87 113 43 23 45 90 174 44 61 54 119 83 130 66 26 39 169 31 49 9 17 47 22 27

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Japan - 24.5% - (Continued) Unipres Corp. United Arrows Ltd. United Urban Investment Corp. Unitika Ltd. Universal Entertainment Corp. UNY Co. Ltd.† Usen Corp.† Valor Co. Ltd. Vital KSK Holdings, Inc. Wacoal Holdings Corp. Wacom Co. Ltd. WATAMI Co. Ltd. Weathernews, Inc.† Xebio Co. Ltd. Yachiyo Bank (The) Ltd. Yahagi Construction Co. Ltd. Yamagata Bank (The) Ltd. Yamanashi Chuo Bank (The) Ltd. Yamazen Corp. Yaoko Co. Ltd. Yellow Hat Ltd. Yodogawa Steel Works Ltd. Yokogawa Bridge Holdings Corp. Yokohama Reito Co. Ltd. Yokohama Rubber (The) Co. Ltd. Yomiuri Land Co. Ltd. Yonekyu Corp. Yorozu Corp. Yoshinoya Holdings Co. Ltd.† Yuasa Trading Co. Ltd. Yurtec Corp. Yusen Logistics Co. Ltd. Yushin Precision Equipment Co. Ltd. Zenrin Co. Ltd. Zensho Holdings Co. Ltd.† Zeon Corp. ZERIA Pharmaceutical Co. Ltd.

5,300 3,160 344 97,000 4,200 29,245 15,704 5,400 5,200 18,000 60 3,200 1,100 4,100 2,084 4,100 23,000 27,000 8,000 1,100 2,500 19,000 4,000 7,000 36,000 7,000 2,600 2,285 79 25,000 6,000 2,600 1,539 3,800 11,100 26,000 3,000

Netherlands - 1.6% Aalberts Industries N.V. Accell Group AMG Advanced Metallurgical Group N.V.† Amsterdam Commodities N.V.† APERAM† Arcadis N.V. ASM International N.V.† BE Semiconductor Industries N.V.† Beter Bed Holding N.V.† BinckBank N.V. Brunel International N.V.† CSM

15,681 2,626 4,171 2,250 7,578 9,661 7,235 5,494 2,691 9,140 1,451 10,978

See Accompanying Notes to the Financial Statements.

160

COST

$

110 59 465 81 110 263 128 76 32 228 116 58 34 107 64 23 123 142 51 31 42 84 29 53 236 27 23 39 120 36 27 45 28 59 131 171 42 68,031 294 41 125 30 213 180 184 41 56 106 45 283

VALUE

$

142 83 375 48 94 265 14 89 52 216 135 71 40 90 42 18 94 114 57 41 40 71 29 55 252 22 24 34 105 47 22 30 29 36 142 215 51 61,278 248 44 34 34 104 202 275 41 49 61 55 164

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Netherlands - 1.6% - (Continued) Dockwise Ltd.† Eurocommercial Properties N.V. Exact Holding N.V. Grontmij Kardan N.V.† KAS Bank N.V. - CVA Kendrion N.V. Koninklijke BAM Groep N.V.† Koninklijke Ten Cate N.V.† Koninklijke Wessanen N.V.† Mediq N.V. New World Resources N.V., Class A† New World Resources PLC, Class A† Nieuwe Steen Investments N.V.† Nutreco N.V. PostNL N.V. Royal Imtech N.V.† Sligro Food Group N.V.† SNS REAAL N.V.† TKH Group N.V.† TomTom N.V.† Unit4 N.V.† USG People N.V. Vastned Retail N.V. Wereldhave N.V. New Zealand - 0.7% Air New Zealand Ltd. AMP NZ Office Ltd. Chorus Ltd. Fisher & Paykel Appliances Holdings Ltd. Fisher & Paykel Healthcare Corp. Ltd. Freightways Ltd. Goodman Property Trust Infratil Ltd. Kiwi Income Property Trust Mainfreight Ltd. New Zealand Oil & Gas Ltd. Nuplex Industries Ltd.† PGG Wrightson Ltd. Pike River Coal Ltd.(1) Ryman Healthcare Ltd. Sky Network Television Ltd. Trade Me Ltd. Vector Ltd. Warehouse Group (The) Ltd. Norway - 2.0% Aker ASA, Class A† Algeta ASA†

4,114 6,208 2,086 9,008 8,396 1,923 1,055 37,525 4,263 11,606 8,384 14,090 15,335 8,355 5,825 65,613 11,752 4,107 21,891 5,721 15,332 4,458 11,233 3,093 3,478

COST

$

82 253 55 44 59 38 24 317 127 99 181 71 73 149 362 221 285 126 95 120 77 108 218 211 327

VALUE

$

70 210 43 25 7 17 21 99 100 29 89 65 71 72 419 267 300 95 27 116 61 104 75 118 183

5,320

3,994

53,575 136,689 63,207 83,015 86,191 22,554 136,819 85,980 124,302 14,576 50,116 28,402 56,995 30,995 49,885 29,713 22,687 43,261 16,936

67 88 152 74 191 62 117 154 127 95 38 66 18 21 97 127 69 76 53 1,692

39 110 160 38 134 71 112 146 109 110 33 58 14 148 120 68 98 36 1,604

4,298 4,800

155 97

121 132

See Accompanying Notes to the Financial Statements.

161

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Norway - 2.0% - (Continued) Archer Ltd. Atea ASA Austevoll Seafood ASA† Bakkafrost P/F BW Offshore Ltd. BWG Homes ASA Cermaq ASA Clavis Pharma ASA Deep Sea Supply PLC Det Norske Oljeselskap ASA† DNO International ASA Electromagnetic GeoServices A.S. Eltek ASA Fred Olsen Energy ASA† Frontline Ltd.† Golar LNG Ltd.† Golden Ocean Group Ltd.† Hoegh LNG Holdings Ltd. Hurtigruten ASA Kvaerner ASA Leroey Seafood Group ASA Marine Harvest ASA Morpol ASA Nordic Semiconductor ASA† Northern Offshore Ltd. Norwegian Air Shuttle A.S. Norwegian Energy Co. A.S. Norwegian Property ASA† Opera Software ASA† Panoro Energy ASA Petroleum Geo-Services ASA Polarcus Ltd. Pronova BioPharma ASA† ProSafe S.E. Renewable Energy Corp. ASA† Schibsted ASA Sevan Drilling A.S.† Songa Offshore S.E. SpareBank 1 SMN Storebrand ASA† STX OSV Holdings Ltd. TGS Nopec Geophysical Co. ASA Tomra Systems ASA Peru - 0.0% Copeinca ASA Portugal - 0.2% Altri SGPS S.A. Banco BPI S.A. (Registered)†

24,400 10,818 14,098 3,561 60,984 13,114 9,002 4,702 14,654 9,143 98,963 21,617 36,282 5,592 8,193 7,323 42,435 6,228 26,436 28,835 2,970 475,826 15,248 16,519 9,169 3,598 31,830 69,605 11,999 35,682 36,151 53,598 25,931 37,967 76,671 12,578 43,485 18,922 16,389 55,089 95,069 17,037 24,257

COST

$

VALUE

89 99 81 25 158 30 102 42 25 85 161 51 56 232 140 250 57 47 22 65 50 268 41 57 18 47 52 189 45 37 310 52 60 322 49 295 43 100 111 184 97 360 159 5,015

$

43 91 59 26 56 27 107 46 23 126 132 49 24 212 31 284 32 48 15 67 51 319 21 43 15 65 29 98 83 21 534 46 40 279 27 387 46 46 87 211 120 502 191 5,012

3,475

23

24

18,844 45,038

52 59

26 28

See Accompanying Notes to the Financial Statements.

162

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Portugal - 0.2% - (Continued) Banco Comercial Portugues S.A., Class R† Brisa Auto-Estradas de Portugal S.A. Mota-Engil SGPS S.A. Portucel Empresa Produtora de Pasta e Papel S.A. REN - Redes Energeticas Nacionais S.A. Semapa-Sociedade de Investimento e Gestao Sonae† Sonaecom - SGPS S.A. Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS S.A. Russia - 0.1% Alliance Oil Co. Ltd. SDR† RusPetro PLC Singapore - 2.4% AIMS AMP Capital Industrial REIT Amtek Engineering Ltd. ARA Asset Management Ltd. Ascendas India Trust Ascott Residence Trust Biosensors International Group Ltd.† Boustead Singapore Ltd. Cache Logistics Trust Cambridge Industrial Trust Cape PLC CapitaCommercial Trust CapitaRetail China Trust CDL Hospitality Trusts China Aviation Oil Singapore Corp. Ltd. Chip Eng Seng Corp. Ltd. CSE Global Ltd. CWT Ltd. Ezion Holdings Ltd. Ezra Holdings Ltd. First Real Estate Investment Trust First Resources Ltd. Frasers Centrepoint Trust† Frasers Commercial Trust Gallant Venture Ltd. GMG Global Ltd.† GuocoLeisure Ltd. Hi-P International Ltd. Ho Bee Investment Ltd. Hong Leong Asia Ltd. Hyflux Ltd. Indofood Agri Resources Ltd. Jaya Holdings Ltd. K1 Ventures Ltd. K-Green Trust

685,294 30,800 13,991 29,627 18,131 9,091 123,054 14,399

COST

$

118 155 54 89 72 94 80 42

VALUE

$

79 104 18 73 45 56 65 22

25,393

111 926

64 580

15,445 21,775

228 53

144 50

281

194

38 20 45 57 89 116 24 75 86 110 219 94 141 38 25 59 25 55 121 51 64 85 44 42 38 38 10 40 37 104 108 77 20 44

49 17 74 52 106 136 32 89 94 91 353 91 171 27 27 56 32 70 89 63 98 119 65 24 39 34 13 32 27 102 98 54 17 44

47,709 34,357 65,800 82,755 107,803 138,000 40,506 100,514 195,424 20,087 328,000 79,000 103,900 34,000 83,000 82,000 32,000 91,537 111,200 82,732 63,890 82,544 74,200 108,000 410,587 73,908 21,000 32,000 20,000 91,500 88,000 119,000 156,000 56,618

See Accompanying Notes to the Financial Statements.

163

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Singapore - 2.4% - (Continued) K-REIT Asia KS Energy Ltd. LionGold Corp. Ltd. Lippo Malls Indonesia Retail Trust M1 Ltd. Mapletree Commercial Trust Mapletree Industrial Trust Mapletree Logistics Trust Mewah International, Inc. Miclyn Express Offshore Ltd. Midas Holdings Ltd.† OM Holdings Ltd. OSIM International Ltd. Otto Marine Ltd. Overseas Union Enterprise Ltd. Parkway Life Real Estate Investment Trust Perennial China Retail Trust Raffles Education Corp. Ltd. Raffles Medical Group Ltd. Rotary Engineering Ltd. Sabana Shari’ah Compliant Industrial Real Estate Investment Trust Sakari Resources Ltd.† SATS Ltd. SC Global Developments Ltd. Sheng Siong Group Ltd. Singapore Post Ltd. SMRT Corp. Ltd. Stamford Land Corp. Ltd. Starhill Global REIT Suntec Real Estate Investment Trust Super Group Ltd. Swiber Holdings Ltd.† Tat Hong Holdings Ltd. Tiger Airways Holdings Ltd. Transpac Industrial Holdings Ltd. Tuan Sing Holdings Ltd. United Engineers Ltd. UOB-Kay Hian Holdings Ltd. Venture Corp. Ltd. Wheelock Properties Singapore Ltd. Wing Tai Holdings Ltd. XP Power Ltd. Yanlord Land Group Ltd. South Africa - 0.0% Great Basin Gold Ltd.† Spain - 1.2% Abengoa S.A.†

109,350 17,889 69,000 265,000 61,000 157,000 186,018 219,420 55,172 13,049 147,000 52,957 33,037 161,270 56,307 61,000 129,000 86,506 39,801 25,000

COST

$

81 13 49 77 101 107 167 130 34 24 77 44 25 21 115 67 51 76 58 22

VALUE

$

98 11 71 88 124 135 194 179 19 26 43 24 32 12 115 96 51 28 79 10

87,652 99,000 108,000 21,000 59,000 235,000 126,000 83,000 234,000 330,000 35,996 85,000 34,000 84,420 11,997 83,596 26,471 37,000 44,000 38,000 48,791 2,463 92,148

64 145 183 24 19 185 169 38 109 336 41 78 43 59 14 21 41 48 171 68 89 48 92 5,663

71 104 224 16 23 198 165 36 134 383 58 40 27 48 14 19 49 48 264 56 55 43 90 6,085

88,113

160

53

6,260

179

83

See Accompanying Notes to the Financial Statements.

164

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Spain - 1.2% - (Continued) Almirall S.A.† Antena 3 de Television S.A. Banca Civica S.A. Bankinter S.A.† Bolsas y Mercados Espanoles S.A.† Campofrio Food Group S.A. Cementos Portland Valderrivas S.A. Cie Automotive S.A. Codere S.A. Construcciones y Auxiliar de Ferrocarriles S.A. Corp Financiera Alba Deoleo S.A. Duro Felguera S.A. Ebro Foods S.A. Ence Energia y Celulosa S.A. Faes Farma S.A. Fomento de Construcciones y Contratas S.A.† Gamesa Corp. Tecnologica S.A.† Grupo Catalana Occidente S.A. Indra Sistemas S.A. Indra Sistemas S.A.† Laboratorios Farmaceuticos Rovi S.A. Mediaset Espana Comunicacion S.A.† Melia Hotels International S.A. Miquel y Costas & Miquel S.A. NH Hoteles S.A. Obrascon Huarte Lain S.A. Papeles y Cartones de Europa S.A. Pescanova S.A. Promotora de Informaciones S.A., Class A Prosegur Cia de Seguridad S.A. (Registered)† Realia Business S.A. Tecnicas Reunidas S.A. Tubacex S.A. Tubos Reunidos S.A. Viscofan S.A. Vueling Airlines S.A. Zeltia S.A.†

7,921 11,388 34,501 34,859 10,746 2,487 2,144 4,950 3,045 287 3,108 62,699 9,239 12,243 15,097 36,527 8,271 31,272 7,152 36,258 15,921 2,036 27,200 8,290 1,278 15,498 6,640 5,545 1,581 40,916 29,670 11,879 4,502 13,432 15,138 7,257 2,531 23,959

Sweden - 2.7% AarhusKarlshamn AB† Active Biotech AB AF AB, Class B Avanza Bank Holding AB Axfood AB Axis Communications AB† B&B Tools AB, Class B BE Group AB Betsson AB Bilia AB, Class A Billerud AB

4,072 6,460 4,239 2,854 3,607 6,869 3,979 4,377 5,235 3,237 14,180

See Accompanying Notes to the Financial Statements.

165

COST

$

128 98 105 106 438 26 82 38 48 135 171 69 69 233 59 211 104 177 176 56 143 32 158 99 30 85 172 38 50 76 114 18 182 66 60 201 21 128 4,381 107 58 65 56 132 114 46 32 90 41 126

VALUE

$

61 43 69 113 211 18 10 33 12 129 98 24 51 193 32 62 84 47 88 56 141 13 136 47 33 39 131 12 27 18 137 6 191 26 29 333 13 36 2,885 133 47 81 55 128 176 31 11 152 38 127

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Sweden - 2.7% - (Continued) BioGaia AB, Class B BioInvent International AB Bjoern Borg AB Black Earth Farming Ltd. SDR Bure Equity AB Byggmax Group AB Castellum AB CDON Group AB Clas Ohlson AB, Class B Creades AB, Class A D Carnegie & Co. AB(1)† Duni AB East Capital Explorer AB Eniro AB† Fabege AB† Fastighets AB Balder, Class B Gunnebo AB Hakon Invest AB Haldex AB Hexpol AB HIQ International AB† Hoganas AB, Class B Hufvudstaden AB, Class A Industrial & Financial Systems, Class B Indutrade AB Intrum Justitia AB JM AB† KappAhl AB Klovern AB Kungsleden AB Lindab International AB Loomis AB, Class B Lundbergforetagen AB, Class B Meda AB, Class A Medivir AB, Class B Mekonomen AB† Micronic Mydata AB NCC AB, Class A NCC AB, Class B Net Entertainment NE AB New Wave Group AB, Class B Nibe Industrier AB, Class B† Nobia AB† Nolato AB, Class B Nordic Mines AB† Nordnet AB, Class B Northland Resources S.A. Oresund Investment AB† Oriflame Cosmetics S.A. SDR† PA Resources AB Peab AB

2,046 9,650 3,147 10,754 10,278 5,644 25,628 8,163 6,221 2,626 58,378 5,086 4,778 15,421 20,122 12,640 6,815 8,575 6,970 4,085 8,451 3,837 18,173 2,909 2,904 11,817 13,287 29,082 15,110 22,725 11,835 9,513 6,266 37,443 4,077 3,287 12,490 1,095 12,514 4,140 6,925 13,324 18,652 2,006 7,914 15,585 34,722 2,551 7,335 94,089 28,278

See Accompanying Notes to the Financial Statements.

166

COST

$

36 28 18 65 37 36 324 42 110 54 1,065 47 54 51 218 59 37 142 24 77 31 106 181 30 64 162 268 47 51 220 201 104 174 451 46 80 30 18 258 34 57 203 159 18 43 45 81 32 315 196 171

VALUE

$

53 5 16 21 34 27 345 49 95 42 39 32 18 175 58 29 136 31 146 45 124 222 48 78 165 253 24 54 130 73 120 201 355 40 94 24 21 236 47 28 183 67 21 12 44 29 35 274 16 133

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Sweden - 2.7% - (Continued) Proffice AB, Class B Rezidor Hotel Group AB Saab AB, Class B SAS AB† SkiStar AB† Swedish Orphan Biovitrum AB TradeDoubler AB† Trelleborg AB, Class B Unibet Group PLC SDR Vostok Nafta Investment Ltd. SDR Wallenstam AB, Class B Wihlborgs Fastigheter AB

8,395 11,540 10,384 25,838 3,780 23,691 6,586 40,946 4,879 11,539 14,248 11,221

Switzerland - 3.5% Acino Holding A.G. (Registered) AFG Arbonia-Forster Holding A.G. (Registered) Allreal Holding A.G. (Registered) Ascom Holding A.G. (Registered) Autoneum Holding A.G. Bachem Holding A.G., Class B (Registered)† Bank Sarasin & Cie A.G., Class B (Registered) Basilea Pharmaceutica (Registered) BKW A.G. Bobst Group A.G. (Registered) Bossard Holding A.G. (Bearer) Bucher Industries A.G. (Registered) Burckhardt Compression Holding A.G. Charles Voegele Holding A.G. (Bearer) Clariant A.G. (Registered) Dufry A.G. (Registered) EFG International A.G. EMS-Chemie Holding A.G. (Registered) Ferrexpo PLC Flughafen Zuerich A.G. (Registered) Forbo Holding A.G. (Registered) Galenica A.G. (Registered)† Gategroup Holding A.G. Georg Fischer A.G. (Registered) Gurit Holding A.G. (Bearer) Helvetia Holding A.G. (Registered) Huber & Suhner A.G. (Registered)† Implenia A.G. (Registered) Inficon Holding A.G. (Registered) Informa PLC Intershop Holdings (Bearer) Kaba Holding A.G., Class B (Registered) Komax Holding A.G. (Registered) Kudelski S.A. (Bearer) Kuoni Reisen Holding A.G. (Registered) LEM Holding S.A. (Registered) Liechtensteinische Landesbank A.G. (Bearer)

556 2,234 2,223 3,873 477 674 5,471 1,248 2,068 1,364 368 1,105 445 1,123 41,913 3,359 7,856 1,366 39,301 596 262 781 4,211 628 72 908 1,918 2,005 246 98,601 148 469 466 6,611 544 97 2,186

See Accompanying Notes to the Financial Statements.

167

COST

$

26 76 234 140 63 84 62 299 115 34 106 129 8,635 75 100 280 38 46 37 174 149 120 55 59 159 113 57 429 340 85 199 196 207 130 337 127 287 43 278 121 50 36 681 44 147 50 129 211 42 142

VALUE

$

27 39 174 23 43 83 14 424 120 53 153 163 6,842 63 38 324 29 22 25 151 63 63 38 44 190 114 18 444 411 54 269 112 215 150 452 122 219 31 282 78 64 48 572 49 172 35 55 144 50 67

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) Switzerland - 3.5% - (Continued) Logitech International S.A. (Registered)† Meyer Burger Technology A.G.† Micronas Semiconductor Holding A.G. (Registered) Mobilezone Holding A.G. (Bearer) Mobimo Holding A.G. (Registered) Myriad Group A.G.† Nobel Biocare Holding A.G. (Registered) OC Oerlikon Corp. A.G. (Registered) Orascom Development Holding A.G. Panalpina Welttransport Holding A.G. (Registered)† Petroplus Holdings A.G.(1)† PSP Swiss Property A.G. (Registered) PubliGroupe A.G. (Registered) Rieter Holding A.G. (Registered) Schmolz + Bickenbach A.G. (Registered) Schweiter Technologies A.G. (Bearer) Schweizerische National-Versicherungs-Gesellschaft A.G. (Registered) Siegfried Holding A.G. (Registered) St. Galler Kantonalbank A.G. (Registered) Swisslog Holding A.G. (Registered) Swissquote Group Holding S.A. (Registered) Tecan Group A.G. (Registered) Temenos Group A.G. (Registered)† U-Blox A.G. Valiant Holding A.G. (Registered) Valora Holding A.G. (Registered) Verwaltungs- und Privat-Bank A.G. (Bearer) Vetropack Holding A.G. (Bearer) Von Roll Holding A.G. (Bearer)† Vontobel Holding A.G. (Registered) Walter Meier A.G., Class A (Registered) Zehnder Group A.G. (Bearer) Zueblin Immobilien Holding A.G. (Registered) United Kingdom - 17.8% 888 Holdings PLC Abcam PLC Advanced Medical Solutions Group PLC Aegis Group PLC Aero Inventory PLC(1)† Afren PLC African Barrick Gold PLC African Minerals Ltd. Amerisur Resources PLC Amlin PLC Andor Technology Ltd. Anglo Pacific Group PLC Ashmore Group PLC Ashtead Group PLC ASOS PLC†

28,651 7,657 4,541 4,692 989 7,126 18,908 27,134 2,160 2,331 28,581 5,897 291 498 10,816 149

COST

$

311 181 62 37 179 31 281 147 58 268 23 371 63 110 81 62

VALUE

$

255 101 46 47 229 21 174 222 30 224 530 41 66 47 72

2,021 474 418 34,717 1,348 1,665 10,987 863 2,619 429 576 34 10,040 4,522 101 1,674 7,853

62 45 165 38 55 104 221 39 342 108 110 56 71 145 20 91 41 9,751

74 55 144 32 37 116 146 36 228 73 42 61 20 100 23 99 26 8,694

20,136 25,476 33,261 133,677 15,493 179,004 20,742 41,963 136,645 82,279 4,435 17,162 58,984 82,774 11,408

51 144 40 325 225 386 158 331 59 456 40 50 315 254 170

25 162 36 495 358 122 192 80 486 22 61 299 328 324

See Accompanying Notes to the Financial Statements.

168

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) United Kingdom - 17.8% - (Continued) Aurelian Oil & Gas PLC Avanti Communications Group PLC† Aveva Group PLC Avocet Mining PLC AZ Electronic Materials S.A. Bahamas Petroleum Co. PLC Barratt Developments PLC BBA Aviation PLC Bellway PLC Berendsen PLC Berkeley Group Holdings PLC Betfair Group PLC† Big Yellow Group PLC Blinkx PLC† Bodycote PLC Booker Group PLC Borders & Southern Petroleum PLC Bovis Homes Group PLC BowLeven PLC Brewin Dolphin Holdings PLC Britvic PLC BTG PLC Bwin.Party Digital Entertainment PLC Cable & Wireless Communications PLC Cairn Energy PLC Capital & Counties Properties PLC Carillion PLC Carpetright PLC† Catlin Group Ltd. Centamin PLC Chariot Oil & Gas Ltd. Chemring Group PLC Chesnara PLC Chime Communications PLC Cineworld Group PLC Clarkson PLC Close Brothers Group PLC Colt Group S.A. Computacenter PLC Concentric AB Connaught PLC(1) Cookson Group PLC Costain Group PLC Cove Energy PLC CSR PLC Cupid PLC Daily Mail & General Trust PLC, Class A Dairy Crest Group PLC Darty PLC De La Rue PLC Debenhams PLC

77,883 15,187 11,351 25,780 57,263 212,721 159,503 79,719 20,176 27,624 20,237 13,140 19,245 43,260 31,106 247,672 70,389 22,084 54,153 41,767 40,503 53,604 110,385 407,784 92,662 101,521 71,070 7,070 55,603 159,535 22,935 31,857 17,516 9,915 21,908 2,116 24,165 57,743 16,310 4,925 22,492 45,969 7,696 81,808 33,712 5,977 47,644 22,350 93,987 16,568 212,991

See Accompanying Notes to the Financial Statements.

169

COST

$

47 84 244 90 257 42 325 311 308 248 336 169 136 49 181 216 74 289 73 120 225 222 337 303 502 261 427 109 324 304 66 216 55 38 69 40 353 119 81 27 151 526 25 150 232 19 284 201 238 221 447

VALUE

$

11 90 318 30 253 25 330 229 254 220 434 157 94 27 160 357 18 156 53 98 191 314 178 200 417 334 282 65 377 166 42 144 45 28 77 42 282 101 91 36 397 25 306 166 18 338 118 63 265 307

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) United Kingdom - 17.8% - (Continued) Derwent London PLC Development Securities PLC Devro PLC Dialight PLC Dignity PLC Diploma PLC Dixons Retail PLC† Domino’s Pizza Group PLC Drax Group PLC DS Smith PLC Dunelm Group PLC easyJet PLC Electrocomponents PLC Elementis PLC EnQuest PLC Enterprise Inns PLC Essar Energy PLC Euromoney Institutional Investor PLC F&C Asset Management PLC Falkland Oil & Gas Ltd. Faroe Petroleum PLC Fenner PLC Fidessa Group PLC Filtrona PLC Firstgroup PLC Galliford Try PLC Gem Diamonds Ltd. Genus PLC Go-Ahead Group PLC Grainger PLC Great Portland Estates PLC Greene King PLC Greggs PLC Gulf Keystone Petroleum Ltd.† Gulfsands Petroleum PLC Halfords Group PLC Halma PLC Hansteen Holdings PLC Hardy Oil & Gas PLC Hargreaves Lansdown PLC Hargreaves Services PLC† Hays PLC Helical Bar PLC Henderson Group PLC Heritage Oil PLC† Highland Gold Mining Ltd. Hikma Pharmaceuticals PLC† Hill & Smith Holdings PLC Hiscox Ltd. Hochschild Mining PLC Home Retail Group PLC†

15,122 18,734 27,411 4,844 8,451 18,901 598,442 20,805 59,730 150,705 14,608 25,838 73,133 75,363 103,989 87,483 52,913 7,468 61,057 49,206 25,175 31,057 5,963 34,649 79,956 13,640 16,855 9,734 6,471 70,506 51,856 35,751 16,214 134,295 13,254 34,194 61,276 103,515 11,067 39,470 3,597 230,952 15,366 172,752 27,577 29,408 22,522 11,868 63,885 27,479 133,309

See Accompanying Notes to the Financial Statements.

170

COST

$

449 118 88 78 108 83 300 127 387 356 83 251 313 141 171 70 111 76 117 84 55 157 128 201 429 163 196 164 208 265 328 379 126 323 36 205 297 117 33 226 44 290 97 410 130 69 206 62 359 203 244

VALUE

$

462 42 125 78 118 124 149 167 445 354 128 227 246 248 184 79 95 84 84 55 58 171 131 252 280 131 52 195 130 100 349 336 131 402 23 110 380 116 20 350 40 272 47 264 53 53 246 56 442 181 162

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) United Kingdom - 17.8% - (Continued) Homeserve PLC Howden Joinery Group PLC Hunting PLC IG Group Holdings PLC Imagination Technologies Group PLC Immunodiagnostic Systems Holdings PLC† Inchcape PLC Innovation Group PLC Intermediate Capital Group PLC International Personal Finance PLC Interserve PLC IQE PLC ITE Group PLC J.D. Wetherspoon PLC Jardine Lloyd Thompson Group PLC Jazztel PLC JKX Oil & Gas PLC John Menzies PLC John Wood Group PLC Jupiter Fund Management PLC Kcom Group PLC Keller Group PLC Kier Group PLC Kofax PLC Ladbrokes PLC Laird PLC Lancashire Holdings Ltd. Logica PLC London & Stamford Property PLC London Mining PLC Lonrho PLC† Lookers PLC Majestic Wine PLC Marston’s PLC Mcbride PLC Mears Group PLC Mecom Group PLC Metric Property Investments PLC Michael Page International PLC Micro Focus International PLC Millennium & Copthorne Hotels PLC Mitchells & Butlers PLC Mitie Group PLC Mondi PLC Moneysupermarket.com Group PLC Monitise PLC† Morgan Crucible Co. PLC Morgan Sindall Group PLC Mothercare PLC† N Brown Group PLC Nanoco Group PLC

47,138 102,739 20,913 59,737 34,118 4,207 71,492 143,553 66,456 42,439 21,417 97,510 38,481 17,725 21,827 33,758 14,759 6,400 55,218 48,345 79,547 9,336 6,441 11,723 151,221 44,394 26,154 266,390 75,484 20,028 229,689 35,216 11,117 94,299 27,544 13,025 17,272 29,221 47,707 27,063 25,869 33,729 59,875 60,431 44,030 97,834 44,960 5,675 11,485 26,633 19,911

See Accompanying Notes to the Financial Statements.

171

COST

$

281 216 240 391 236 44 231 46 440 187 141 51 119 181 202 168 66 44 385 192 96 101 196 46 337 212 233 332 136 90 35 53 66 275 76 63 569 45 303 155 225 98 252 317 104 46 217 95 61 126 23

VALUE

$

154 222 256 420 268 16 422 41 271 186 109 37 115 129 251 174 20 63 674 164 97 68 128 51 364 151 321 437 136 53 26 36 76 164 52 55 19 39 275 228 194 138 255 516 98 41 178 60 36 110 19

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) United Kingdom - 17.8% - (Continued) National Express Group PLC Nautical Petroleum PLC Northgate PLC Ocado Group PLC† Ophir Energy PLC Pace PLC Pan African Resources PLC Paragon Group of Cos. PLC Patagonia Gold PLC Pendragon PLC Pennon Group PLC Persimmon PLC Petra Diamonds Ltd. Petropavlovsk PLC Phoenix Group Holdings Playtech Ltd. Premier Farnell PLC Premier Foods PLC† Premier Oil PLC Primary Health Properties PLC Provident Financial PLC PZ Cussons PLC QinetiQ Group PLC Quintain Estates & Development PLC Rank Group PLC Rathbone Brothers PLC Raven Russia Ltd. Redrow PLC Regus PLC Renishaw PLC Rentokil Initial PLC Restaurant Group PLC Rightmove PLC Rockhopper Exploration PLC Rotork PLC RPC Group PLC RPS Group PLC Salamander Energy PLC Savills PLC SDL PLC Senior PLC Severfield-Rowen PLC Shaftesbury PLC Shanks Group PLC SIG PLC Sirius Minerals PLC† Soco International PLC Songbird Estates PLC Spectris PLC Speedy Hire PLC Spirax-Sarco Engineering PLC

69,571 14,600 20,432 58,773 39,170 48,196 177,003 49,977 67,776 252,687 58,583 49,787 57,169 27,580 14,665 25,557 60,511 30,958 87,702 11,993 22,738 46,922 109,940 79,819 16,176 7,259 91,637 42,839 108,499 6,058 295,723 33,117 16,708 45,817 14,254 27,323 36,550 40,006 21,492 13,129 65,173 13,749 41,037 69,009 90,755 182,698 36,006 31,459 19,298 79,601 12,859

See Accompanying Notes to the Financial Statements.

172

COST

$

189 70 253 113 221 53 42 247 54 110 646 281 104 405 119 151 203 421 488 56 389 231 312 236 36 148 81 178 183 100 249 165 235 215 325 164 156 128 178 120 149 61 323 160 406 51 208 66 341 80 315

VALUE

$

230 103 64 68 357 114 42 139 21 60 705 480 107 184 112 139 169 35 530 62 458 226 289 62 29 147 88 84 156 143 334 169 391 125 493 176 139 118 124 139 197 33 350 85 134 39 184 51 468 30 396

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 97.3%- (CONTINUED) United Kingdom - 17.8% - (Continued) Spirent Communications PLC Spirit Pub Co. PLC Sportingbet PLC Sports Direct International PLC St. James’s Place PLC St. Modwen Properties PLC Stagecoach Group PLC Sthree PLC Stobart Group Ltd. Stolt-Nielsen Ltd. SuperGroup PLC† Synergy Health PLC TalkTalk Telecom Group PLC Taylor Wimpey PLC Telecity Group PLC Telecom Plus PLC Thomas Cook Group PLC Travis Perkins PLC TT electronics PLC Tullet Prebon PLC Ultra Electronics Holdings PLC Unite Group PLC Valiant Petroleum PLC Vectura Group PLC Victrex PLC Volex PLC WH Smith PLC William Hill PLC Wolfson Microelectronics PLC† Workspace Group PLC WS Atkins PLC WSP Group PLC Xchanging PLC Xcite Energy Ltd.† Yule Catto & Co. PLC United States - 0.5% Alacer Gold Corp.† Argonaut Gold, Inc. Atlantic Power Corp. BNK Petroleum, Inc.† Boart Longyear Ltd. Golden Star Resources Ltd.† Jaguar Mining, Inc.† Tahoe Resources, Inc. Tetragon Financial Group Ltd. Thompson Creek Metals Co., Inc.

107,879 114,074 99,001 29,011 32,348 27,845 69,942 14,954 51,118 5,097 6,236 9,198 81,538 533,331 33,035 8,476 136,930 39,984 22,595 35,471 11,351 27,763 5,780 50,919 13,328 7,249 22,574 114,896 16,940 18,881 16,240 9,720 39,247 35,934 43,863

37,547 14,900 18,349 18,523 77,499 39,332 12,889 14,515 19,306 27,218

TOTAL COMMON STOCKS

See Accompanying Notes to the Financial Statements.

173

COST

$

175 193 82 80 206 127 232 91 108 112 88 136 172 334 268 71 217 542 67 306 257 148 49 57 215 35 175 321 56 176 231 68 137 71 127 47,625 280 106 244 81 208 106 120 240 150 250 1,785 279,868

VALUE

$

279 92 52 131 174 77 309 67 94 90 41 130 222 369 444 106 36 632 52 152 261 92 39 55 265 26 195 565 54 74 188 66 60 43 96 44,365 223 123 253 14 187 46 11 219 145 76 1,297 242,994

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES PREFERRED STOCKS - 0.3% Australia - 0.0% Gunns Ltd. Multiplex SITES Trust Germany - 0.3% Biotest A.G. Draegerwerk A.G. & Co. KGaA Fuchs Petrolub A.G. Jungheinrich A.G. Sartorius A.G. Sixt A.G. Sto A.G. Italy - 0.0% Unipol Gruppo Finanziario S.p.A.† TOTAL PREFERRED STOCKS RIGHTS - 0.0% Belgium - 0.0% Deceuninck N.V. (VVPR)(2) France - 0.0% Technicolor S.A.† TOTAL RIGHTS

91 682

COST

$

6 48

$

3 54

54

57

794 1,076 5,809 2,804 1,522 2,710 394

39 100 209 80 70 49 39 586

40 105 310 74 106 42 56 733

41,286

75 715

50 840

23,080

-

-

36,194

5 5

2 2

NUMBER OF WARRANTS WARRANTS - 0.0% Vastned Offices, Exp. 4/1/13(2) TOTAL WARRANTS

VALUE

1,767

See Accompanying Notes to the Financial Statements.

174

COST $

VALUE -

$

-

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

UNITS SHORT-TERM INVESTMENTS - 13.2% Northern Trust Global Investments Collective Short-Term Investment Fund(4) NTI/NTCC Commingled Funds Custom Collateral Section(4)(5)(6) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 110.8%

756,416 32,274,765

COST

$

756

VALUE

$

756

32,275 33,031 313,619

32,275 33,031 276,867

Liabilities less Other Assets - (10.8)%

(26,974) $ 249,893

NET ASSETS - 100.0% (1) (2) (3) (4) (5) (6)

†

Security has been deemed worthless by the Northern Trust Global Investments Pricing and Valuation Committee. Cost and Value amount rounds to less than $1. Value amount rounds to less than $1. Investment in affiliated fund. See Note B in the Notes to the Financial Statements. Investment relates to cash collateral received from portfolio securities loaned. Security is either wholly or partially on loan.

Percentages shown are based on Net Assets SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT COMMON STOCKS PREFERRED STOCKS NORTHERN TRUST FUND(1) TOTAL

(1)

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$132,892

$31,111

$(4,417)

394 25,788

71 25,373

$159,074

$56,555

1 — $(4,416)

The amounts presented exclude purchases and sales related to the NTI/NTCC Commingled Funds Custom Collateral Section. The net purchases during the year were $4,556.

See Accompanying Notes to the Financial Statements.

175

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Number of Contracts)

OPEN FUTURES CONTRACTS: TYPE DAX INDEX EURO STOXX 50 FTSE 100 INDEX S&P/TSX 60 INDEX SPI 200 TOPIX INDEX

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

CURRENCY

Euro Euro

5 13

$1,044 373

Long Long

9/12 9/12

$ 87 10

British Pound Canadian Dollar

10 8

878 1,060

Long Long

9/12 9/12

17 14

Australian Dollar Japanese Yen

7 16

778 1,504

Long Long

9/12 9/12

24 18 $170

TOTAL

Foreign currency and other liquid assets are pledged as collateral to cover margin requirements for open futures contracts. At July 31, 2012, the NT Collective Developed International Small Cap Index Fund - Lending had outstanding foreign currency exchange contracts as follows: CONTRACTS TO DELIVER CURRENCY Japanese Yen

AMOUNT (LOCAL CURRENCY)

IN EXCHANGE FOR CURRENCY

AMOUNT (LOCAL CURRENCY)

SETTLEMENT DATE

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR) $—

COUNTERPARTY

28,140

United States Dollar

360

8/1/12

Australian Dollar British Pound

302 163

United States Dollar United States Dollar

315 255

9/19/12 9/19/12

(1) —

Citibank London Goldman Sachs Capital Markets NY

Canadian Dollar Euro

191 313

United States Dollar United States Dollar

190 390

9/19/12 9/19/12

— 5

Goldman Sachs Capital Markets NY Morgan Stanley & Co. New York

Hong Kong Dollar Swiss Franc United States Dollar

776 233 381

United States Dollar United States Dollar Australian Dollar

100 245 385

9/19/12 9/19/12 9/19/12

— 6 22

Citibank London Citibank London UBS Securities New York

United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar

235 316 298 295 225 280 211 517

British Pound British Pound Canadian Dollar Canadian Dollar Euro Euro Euro Japanese Yen

150 203 306 302 186 228 167 40,955

9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12

— 2 7 5 4 1 (5) 8

Goldman Sachs Capital Markets NY UBS Securities New York Citibank London UBS Securities New York Citibank London Citibank London Citibank London Morgan Stanley & Co. New York

$ 54

Total

See Accompanying Notes to the Financial Statements.

176

UBS Securities New York

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

At July 31, 2012, the NT Collective Developed International Small Cap Index Fund - Lending’s investments (excluding short-term investments) were denominated in the following currencies: CONCENTRATION BY CURRENCY Japanese Yen British Pound Euro Canadian Dollar Australian Dollar All other currencies less than 5% Total

% OF INVESTMENTS 25.1% 18.9 18.0 13.3 8.3 16.4 100.0%

At July 31, 2012, the NT Collective Developed International Small Cap Index Fund - Lending’s investments (excluding short-term investments) were diversified as follows: INDUSTRY SECTOR Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommuncation Services Utilities Total

% OF INVESTMENTS 17.5% 6.0 8.3 19.1 4.9 20.0 8.4 12.4 1.0 2.4 100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, and/or securities indices). The Fund adjusted the price of certain foreign equity securities held in its portfolio on July 31, 2012 using adjustment factors designed to reflect more accurately the fair value of the securities. See Note 2 for a discussion of this procedure. The fair valuation of these securities resulted in their categorization as Level 2 investments. Level 3 - Valuations based on inputs that are unobservable and significant. The Fund utilized the following techniques on Level 3 investments: The Fund valued certain securities using prices provided by a third party pricing provider.

See Accompanying Notes to the Financial Statements.

177

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective Developed International Small Cap Index Fund Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Common Stocks

—

$ —

$ 42,487

14,714 20,373

— —

— 70

14,714 20,443

46,544 11,254

82 —

— —

46,626 11,254

49,034 20,397

— —

190 —

49,224 20,397

29,511 2,439

— —

65 —

29,576 2,439

5,834

—

—

5,834

Health Care

103 251

— —

— —

103 251

Industrials

116

—

—

116

Materials

367

—

3

370

2 —

— 33,031

— —

2 33,031

$243,426

$33,113

$328

$276,867

$

$

$

Consumer Discretionary

$ 42,487

Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities

$

Preferred Stocks Financials

Rights Consumer Discretionary Short-Term Investments Total Investments

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts Foreign Currency Exchange Contracts

170

—

$ —

—

60

—

170 60

—

(6)

—

(6)

Liabilities Foreign Currency Exchange Contracts Other Financial Instruments

$

170

$

54

$ —

$

224

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. U.S. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly.

See Accompanying Notes to the Financial Statements.

178

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value: BALANCE AS OF 7/31/11

REALIZED GAIN

REALIZED LOSS

CHANGE IN UNREALIZED APPRECIATION

$—

$—

CHANGE IN UNREALIZED DEPRECIATION

PURCHASES

SALES

TRANSFERS INTO LEVEL 3*

BALANCE AS OF 7/31/12

$—

$—

Common Stock Consumer Discretionary Energy Healthcare Industrials Materials

$

1

$—

$ —

$ —

— —

— —

— (47)

— 43

$

— —

(1)

— 10

— (6)

70 —

70 —

— 207

— —

— —

— —

— (142)

— —

— —

190 —

190 65

Preferred Stock Materials Total *

—

—

$208

$—

— $(47))

—

—

$ 43

$(143)

— $ 10

— $ (6)

The value of Transfers Into Level 3 was measured using the fair value as of the end of the year. Transfers into Level 3 investments occurred from suspension from actively traded markets.

The amount of change in total unrealized gain on investments in level 3 securities still held at July 31, 2012 was $221, which is included in the Statement of Operations and Changes in Net Assets in Change in Net Unrealized Appreciation (Depreciation).

See Accompanying Notes to the Financial Statements.

179

3

3

$263

$328

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (including Securities on Loan of $16,765) (Cost $110,060) Investments in Northern Trust Funds, at Value (Cost $18,114) Cash Held at Broker (Restricted $45) Foreign Currencies (Cost $675) Foreign Currencies Held at Broker (Cost $56) Receivable for Investments Sold Receivable for Variation Margin on Futures Contracts Receivable for Fund Units Sold Unrealized Gain on Forward Foreign Currency Exchange Contracts Receivable from Trustee Reclaims Receivable Accrued Income Receivable Total Assets LIABILITIES Payable Upon Return of Securities Loaned Payable for Investments Purchased Payable for Variation Margin on Futures Contracts Unrealized Loss on Forward Foreign Currency Exchange Contracts Accrued Expenses Total Liabilities

$

119,401 18,114 384 698 61 2 8 1,400 12 2 32 270

$

140,384

$

17,219 1,698 8 2 18

$

18,945

$

121,439

$

$

3,231 1 66 3,298 14 51 31 96

Net Expenses

$

94

Net Investment Income (Loss)

$

3,204

NET ASSETS (Equivalent to $8.646 Per Unit, Based on 14,045,664 Units Outstanding)

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $116 in Foreign Withholding Tax) Income from Investment in Northern Trust Fund Net Income from Securities Loaned Total Investment Income Less: Audit Fee Expense Recovery Other Expenses Total Expenses Less:

$

Refund of Expenses by Trustee

(2)

REALIZED AND UNREALIZED GAINS (LOSSES) Net Realized Gains (Losses) on Securities Transactions

$

Net Realized Gains (Losses) on Futures Contracts

$

48

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(16)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$

(137)

$

7,192 9,383 2,191

$

115

$

(70)

Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts and on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year End of Year

45

Change in Net Unrealized Appreciation (Depreciation) Net Realized and Unrealized Gains (Losses) on Investments, Futures Contracts and Foreign Currency Transactions

$

2,016

Net Increase (Decrease) in Net Assets from Investment Activities

$

5,220

$ $

27,609 (14,612) 12,997

$

18,217

UNIT TRANSACTIONS Admission of 3,496,954 Units Withdrawal of 1,798,173 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Beginning of Year (12,346,883 Units Outstanding)

103,222

End of Year (14,045,664 Units Outstanding)

$

See Accompanying Notes to the Financial Statements.

180

121,439

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING FINANCIAL HIGHLIGHTS For the Years Ended

July 31, 2012

July 31, 2011

July 31, 2010

July 31, 2009

July 31, 2008

Unit Value, Beginning of Year

$

8.360

$

6.950

$

5.612

$

7.896

$

9.268

Net Investment Income (Loss)

0.241

0.267

0.234

0.263

0.358

Net Realized and Unrealized Gains (Losses)

0.045

1.143

1.104

(2.547)

(1.730)

Net Increase (Decrease)

0.286

1.410

1.338

(2.284)

(1.372)

Unit Value, End of Year

$

Total Return (1)

8.646

$

3.42%

8.360

$

20.29%

6.950

23.84%

$ (2)

5.612

(28.93)%

$ (3)

7.896

(14.80)%

Supplemental Data and Ratios Net Assets (000's Omitted)

$

121,439

$

103,222

$

133,938

$

126,869

$

107,887

Ratio to Average Net Assets of: Expenses - net of refund

0.09%

0.07%

N/A

N/A

N/A

Expenses - before refund

0.09%

0.07%

0.09%

0.08%

0.08%

Net Investment Income (Loss) - net of refund

3.11%

2.83%

N/A

N/A

N/A

Net Investment Income (Loss) - before refund

3.11%

2.83%

3.62%

5.29%

4.10%

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of year.

(2)

Without the value of the reverse collateral deficiency declared on Novemeber 30, 2009, and March 15,2010 the total return would have been 23.57%.

(3)

Without the value of the capiatl contribution from Northern relating to the collateral deficiency declared, the total return would have ben (28.97)%. N/A - Not applicable.

See Accompanying Notes to the Financial Statements.

181

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3% Australia - 7.5% BGP Holdings PLC - (Fractional Shares)(1)† BWP Trust Centro Retail Australia CFS Retail Property Trust Charter Hall Retail REIT Commonwealth Property Office Fund Dexus Property Group FKP Property Group† Goodman Group GPT Group Investa Office Fund Mirvac Group Stockland Westfield Group Westfield Retail Trust Austria - 0.6% Atrium European Real Estate Ltd. CA Immobilien Anlagen A.G. Conwert Immobilien Invest S.E. IMMOFINANZ A.G. Belgium - 0.4% Befimmo S.C.A. Sicafi Cofinimmo Intervest Offices & Warehouses Leasinvest Real Estate S.C.A. Warehouses De Pauw S.C.A.† Wereldhave Belgium N.V.† Brazil - 2.3% Aliansce Shopping Centers S.A. BR Malls Participacoes S.A. BR Properties S.A. Brookfield Incorporacoes S.A. Camargo Correa Desenvolvimento Imobiliario S.A. Cyrela Brazil Realty S.A. Empreedimentos e Participacoes Even Construtora e Incorporadora S.A. Ez Tec Empreendimentos e Participacoes S.A. Gafisa S.A. General Shopping Brasil S.A. Helbor Empreendimentos S.A. Iguatemi Empresa de Shopping Centers S.A. JHSF Participacoes S.A. MRV Engenharia e Participacoes S.A. Multiplan Empreendimentos Imobiliarios S.A. PDG Realty S.A. Empreendimentos e Participacoes Rodobens Negocios Imobiliarios S.A. Rossi Residencial S.A. Sonae Sierra Brasil S.A.

2,104,465 59,791 154,129 245,257 34,645 277,542 560,830 101,443 178,380 209,954 70,801 395,887 258,199 266,998 353,545

COST

$

96 312 436 103 280 527 69 897 742 218 617 1,009 2,689 952

VALUE

$

124 332 511 126 313 584 40 706 758 217 571 910 2,810 1,135

8,947

9,137

21,840 10,072 9,822 127,057

99 182 140 470 891

98 100 111 416 725

2,098 1,758 753 186 1,129 310

190 257 29 18 60 27 581

126 191 18 15 57 30 437

12,472 52,090 35,968 24,600 4,800 37,056 26,044 6,704 47,649 2,813 16,701 4,700 9,427 41,298 9,510 131,840 2,600 22,184 3,420

83 374 360 58 9 267 130 72 216 13 63 62 24 220 155 567 13 178 53

114 609 415 37 13 271 83 71 59 12 74 100 29 226 239 223 12 51 47

See Accompanying Notes to the Financial Statements.

182

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) Brazil - 2.3% - (Continued) Tecnisa S.A. Viver Incorporadora e Construtora S.A. Canada - 4.3% Allied Properties Real Estate Investment Trust Artis Real Estate Investment Trust Boardwalk Real Estate Investment Trust Calloway Real Estate Investment Trust Canadian Apartment Properties REIT Canadian Real Estate Investment Trust Chartwell Seniors Housing Real Estate Investment Trust Cominar Real Estate Investment Trust Crombie Real Estate Investment Trust† Dundee Real Estate Investment Trust Extendicare, Inc. First Capital Realty, Inc. Granite Real Estate, Inc. H&R Real Estate Investment Trust InnVest Real Estate Investment Trust Killam Properties, Inc. Morguard Real Estate Investment Trust Northern Property Real Estate Investment Trust NorthWest Healthcare Properties Real Estate Investment Trust Primaris Retail Real Estate Investment Trust RioCan Real Estate Investment Trust Chile - 0.1% Parque Arauco S.A. China - 1.8% Agile Property Holdings Ltd.† Beijing North Star Co. Ltd., Class H China Merchants Property Development Co. Ltd., Class B China Vanke Co. Ltd., Class B Country Garden Holdings Co. Evergrande Real Estate Group Ltd. Fantasia Holdings Group Co. Ltd. Greentown China Holdings Ltd. Guangzhou R&F Properties Co. Ltd., Class H Hui Xian Real Estate Investment Trust Longfor Properties Co. Ltd. Shanghai Lujiazui Finance & Trade Zone Development Co. Ltd., Class B Shui On Land Ltd.† Sino-Ocean Land Holdings Ltd.† Soho China Ltd.†

15,545 23,456

COST

$

102 30

VALUE

$

55 17

3,049

2,757

6,360 12,545 5,490 12,452 10,756 7,861 19,946 12,751 5,187 11,224 9,327 8,330 5,500 21,007 10,865 5,495 4,809 3,640 3,914 10,150 32,983

121 143 201 248 175 214 153 251 63 338 83 117 188 375 78 51 54 85 47 173 633 3,791

190 211 351 367 264 331 200 313 78 430 71 154 196 524 56 72 87 121 52 243 943 5,254

60,143

112

114

160,000 77,000 29,400 149,584 417,139 701,000 223,500 88,000 111,632 234,000 117,500

178 17 47 157 286 412 27 71 136 136 175

191 14 56 192 158 327 23 93 142 144 173

57,000 349,659 487,762 239,000

77 186 257 131 2,293

55 144 239 178 2,129

See Accompanying Notes to the Financial Statements.

183

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) Egypt - 0.0% Six of October Development & Investment Finland - 0.2% Citycon OYJ Sponda OYJ Technopolis OYJ France - 2.8% Affine S.A. ANF Immobilier Fonciere Des Regions† Gecina S.A. ICADE Klepierre Mercialys S.A. Orco Property Group Societe de la Tour Eiffel Societe Immobiliere de Location pour I’Industrie et le Commerce Unibail-Rodamco S.E. Germany - 1.0% Alstria Office REIT-A.G. Colonia Real Estate A.G. Deutsche Euroshop A.G. Deutsche Wohnen A.G. (Bearer) DIC Asset A.G. GAGFAH S.A.† GSW Immobilien A.G. Hamborner REIT A.G.† IVG Immobilien A.G.† Patrizia Immobilien A.G. Prime Office REIT-A.G. TAG Immobilien A.G. Greece - 0.0% Eurobank Properties Real Estate Investment Co. Hong Kong - 10.6% C C Land Holdings Ltd. Champion REIT China Overseas Land & Investment Ltd.† China Resources Land Ltd. Franshion Properties China Ltd.† Hang Lung Properties Ltd. Henderson Land Development Co. Ltd. Hongkong Land Holdings Ltd. Hysan Development Co. Ltd. Kerry Properties Ltd.

9,912

25,229 33,524 8,486

COST

$

VALUE

40

$

27

100 164 54

77 135 34

318

246

522 1,214 3,130 2,107 2,495 11,025 5,463 2,867 690

18 53 281 254 275 406 125 11 64

7 51 227 194 192 360 108 7 37

1,509 10,565

195 1,856

149 2,035

3,538

3,367

9,271 2,938 5,926 17,064 3,779 10,334 5,817 6,360 17,938 3,112 4,523 11,510

136 31 210 212 61 130 175 59 111 26 42 95 1,288

103 12 218 285 32 106 215 54 42 19 19 111 1,216

2,229

22

11

148,000 282,360 472,418 270,349 418,000 258,087 135,961 202,000 92,095 83,021

36 125 842 456 109 879 848 873 269 405

32 124 1,117 549 129 919 793 1,212 390 382

See Accompanying Notes to the Financial Statements.

184

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES

COST

VALUE

COMMON STOCKS - 98.3%- (CONTINUED) Hong Kong - 10.6% - (Continued) Link REIT (The) Mingfa Group International Co. Ltd. New World China Land Ltd. New World Development Ltd. Poly Hong Kong Investments Ltd.† Shenzhen Investment Ltd. Shimao Property Holdings Ltd. Sino Land Co. Ltd. Sun Hung Kai Properties Ltd. Swire Properties Ltd. Wharf Holdings Ltd. Yuexiu Property Co. Ltd.

254,892 132,000 299,400 530,574 215,000 308,474 158,392 342,275 226,964 75,000 175,500 793,800

India - 0.3% Anant Raj Industries Ltd. DLF Ltd. Orbit Corp. Ltd. Parsvnath Developers Ltd. Prestige Estates Projects Ltd. Sunteck Realty Ltd. Unitech Ltd.

12,502 58,430 9,679 14,120 7,110 2,302 236,592

30 363 17 7 30 29 294 770

11 219 8 10 14 15 92 369

689,681 1,774,473 4,794,105 834,000 1,306,444 361,115 99,500 879,000 2,168,000 1,975,125 1,570,112 2,606,104 616,500

26 91 67 113 40 14 8 26 42 141 37 39 65 709

25 86 31 101 90 24 20 32 42 186 37 61 105 840

4,035

90

86

107,048 12,995

90 39 129

49 12 61

24 97 10,500 84

141 189 278 234

143 190 253 219

Indonesia - 0.7% Agung Podomoro Land Tbk PT Alam Sutera Realty Tbk PT Bakrieland Development Tbk PT Bumi Serpong Damai PT Ciputra Development Tbk PT Ciputra Property Tbk PT Ciputra Surya Tbk PT Intiland Development Tbk PT Kawasan Industri Jababeka Tbk PT Lippo Karawaci Tbk PT Pakuwon Jati Tbk PT Sentul City Tbk PT Summarecon Agung Tbk PT Israel - 0.1% Azrieli Group Italy - 0.0% Beni Stabili S.p.A. Immobiliare Grande Distribuzione Japan - 8.1% Activia Properties, Inc. Advance Residence Investment Corp. Aeon Mall Co. Ltd. Japan Prime Realty Investment Corp.†

See Accompanying Notes to the Financial Statements.

185

$

648 42 115 781 248 112 246 563 2,961 226 985 200 11,969

$

1,118 34 115 679 113 71 228 586 2,838 224 1,018 180 12,851

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES

COST

VALUE

COMMON STOCKS - 98.3%- (CONTINUED) Japan - 8.1% - (Continued) Japan Real Estate Investment Corp. Japan Retail Fund Investment Corp.† Kenedix Realty Investment Corp. Mitsubishi Estate Co. Ltd. Mitsui Fudosan Co. Ltd. Mori Trust Sogo REIT, Inc. Nippon Accommodations Fund, Inc. Nippon Building Fund, Inc. Nomura Real Estate Holdings, Inc. Nomura Real Estate Office Fund, Inc. NTT Urban Development Corp. Orix JREIT, Inc. Premier Investment Corp. Sumitomo Realty & Development Co. Ltd. Tokyo Tatemono Co. Ltd. Tokyu Land Corp. Tokyu REIT, Inc. Top REIT, Inc. United Urban Investment Corp.

64 218 32 120,284 102,000 14 17 71 8,800 35 153 24 22 55,000 37,000 47,000 14 18 240

Malaysia - 0.4% Eastern & Oriental Bhd. Glomac Bhd. IGB Corp. Bhd. IJM Land Bhd. KLCC Property Holdings Bhd. Land & General Bhd. LBS Bina Group Bhd. Pavilion Real Estate Investment Trust SP Setia Bhd. Tebrau Teguh Bhd. YTL Land & Development Bhd.

93,400 32,600 132,831 62,287 53,752 72,973 33,700 100,000 65,634 63,100 32,400

31 7 62 45 48 4 8 34 85 13 10 347

46 9 116 50 87 11 9 43 76 15 12 474

Mexico - 0.1% Consorcio ARA S.A.B. de C.V.† Corp. GEO S.A.B. de C.V., Series B† Desarrolladora Homex S.A.B. de C.V. Sare Holding S.A.B. de C.V., Class B† Urbi Desarrollos Urbanos S.A.B. de C.V.†

116,600 45,600 28,174 72,200 54,600

48 67 93 17 68 293

31 48 56 7 32 174

10,706 4,725 7,405 2,123 2,564

714 216 172 161 261 1,524

474 160 64 81 135 914

Netherlands - 0.7% Corio N.V. Eurocommercial Properties N.V.† Nieuwe Steen Investments N.V. Vastned Retail N.V. Wereldhave N.V.†

See Accompanying Notes to the Financial Statements.

186

$

603 324 139 2,564 2,125 129 126 768 143 255 197 136 102 1,257 235 279 100 77 256 10,657

$

606 366 103 2,181 1,993 118 115 692 165 202 125 108 78 1,389 138 240 68 83 262 9,837

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) New Zealand - 0.1% Kiwi Income Property Trust Norway - 0.1% Norwegian Property ASA

112,068

COST

$

VALUE

96

$

98

55,590

147

78

603,153 1,079,000 1,180,000 184,425 199,500 796,646 374,241

114 10 20 36 29 153 8 370

316 35 64 86 30 267 39 837

12,672 23,994

44 9 53

24 9 33

8,160

19

19

Singapore - 4.2% Ascendas India Trust Ascendas Real Estate Investment Trust CapitaCommercial Trust CapitaLand Ltd. CapitaMall Trust CapitaMalls Asia Ltd. CDL Hospitality Trusts City Developments Ltd. First Real Estate Investment Trust Global Logistic Properties Ltd. Keppel Land Ltd.† Mapletree Commercial Trust Mapletree Industrial Trust Mapletree Logistics Trust Suntec Real Estate Investment Trust UOL Group Ltd. Wing Tai Holdings Ltd. Yanlord Land Group Ltd.†

63,000 241,798 248,000 367,000 289,300 182,000 81,993 79,000 51,000 266,939 85,372 161,000 139,588 206,710 257,000 67,000 68,602 67,000

43 350 224 990 389 280 117 650 36 445 194 122 131 121 268 259 92 102 4,813

39 441 267 885 456 238 135 743 39 483 236 138 146 169 299 279 78 65 5,136

South Africa - 1.6% Arrowhead Properties Ltd., Class A Arrowhead Properties Ltd., Class B Capital Property Fund Emira Property Fund Fountainhead Property Trust Growthpoint Properties Ltd. Hyprop Investments Ltd.

9,486 9,485 188,201 60,533 135,394 201,932 21,160

7 5 231 82 99 363 162

8 7 245 96 132 626 175

Philippines - 0.7% Ayala Land, Inc. Filinvest Land, Inc. Megaworld Corp. Robinsons Land Corp. SM Development Corp. SM Prime Holdings, Inc. Vista Land & Lifescapes, Inc. Poland - 0.0% Globe Trade Centre S.A. LC Corp. S.A. Russia - 0.0% PIK Group

See Accompanying Notes to the Financial Statements.

187

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) South Africa - 1.6% - (Continued) Redefine Properties Ltd. Resilient Property Income Fund Ltd. SA Corporate Real Estate Fund Nominees Pty Ltd. Sweden - 0.9% Castellum AB Fabege AB Fastighets AB Balder, Class B Hufvudstaden AB, Class A Klovern AB† Kungsleden AB Wallenstam AB, Class B Wihlborgs Fastigheter AB

312,666 32,505 241,776

COST

$

VALUE

262 141 74 1,426

$

351 187 106 1,933

19,669 19,205 12,439 17,398 14,371 15,656 13,269 9,089

209 153 63 154 50 129 138 87 983

265 167 57 212 52 90 143 132 1,118

906 712 5,367 6,303

111 179 304 386

132 165 482 528

980

1,307

17,598

15

14

Thailand - 0.4% Amata Corp. PCL (Registered) Amata Corp. PCL NVDR Asian Property Development PCL (Registered) Asian Property Development PCL NVDR Central Pattana PCL (Registered) Central Pattana PCL NVDR Land and Houses PCL Land and Houses PCL (Registered) Land and Houses PCL NVDR LPN Development PCL (Registered) LPN Development PCL NVDR Property Perfect PCL (Registered) Property Perfect PCL NVDR Pruksa Real Estate PCL (Registered) Pruksa Real Estate PCL NVDR SC Asset Corp. PCL (Registered)(1) SC Asset Corp. PCL NVDR Siam Future Development PCL NVDR Supalai PCL (Registered) Supalai PCL NVDR Ticon Industrial Connection PCL NVDR

13,301 45,278 91,804 7,821 66,148 8,866 62,120 187,680 110,100 52,228 12,249 334,602 277,896 60,701 12,200 2 30,400 46,012 39,303 25,600 43,000

2 18 13 1 26 9 7 22 24 5 3 6 7 31 8 7 11 2 10 18 230

7 25 22 2 103 14 15 46 27 29 7 12 10 34 7 15 11 22 15 18 441

Turkey - 0.2% Akfen Gayrimenkul Yatirim Ortakligi A.S. Akmerkez Gayrimenkul Yatirim Ortakligi A.S.

5,587 3,262

4 59

5 35

Switzerland - 1.1% Allreal Holding A.G. (Registered) Mobimo Holding A.G. (Registered) PSP Swiss Property A.G. (Registered) Swiss Prime Site A.G. (Registered) Taiwan - 0.0% Hung Poo Real Estate Development Corp.

See Accompanying Notes to the Financial Statements.

188

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) Turkey - 0.2% - (Continued) Alarko Gayrimenkul Yatirim Ortakligi A.S. Dogus Gayrimenkul Yatirim Ortakligi A.S. Emlak Konut Gayrimenkul Yatirim Ortakligi A.S. Is Gayrimenkul Yatirim Ortakligi A.S. Sinpas Gayrimenkul Yatirim Ortakligi A.S. Torunlar Gayrimenkul Yatirim Ortakligi A.S. United Arab Emirates - 0.3% Aldar Properties PJSC Emaar Properties PJSC United Kingdom - 4.4% A&J Mucklow Group PLC Big Yellow Group PLC British Land Co. PLC Capital & Counties Properties PLC Capital Shopping Centres Group PLC Daejan Holdings PLC Derwent London PLC Development Securities PLC F&C Commercial Property Trust Ltd. Grainger PLC Great Portland Estates PLC Hammerson PLC Hansteen Holdings PLC Helical Bar PLC IRP Property Investments Ltd. Land Securities Group PLC London & Stamford Property PLC Picton Property Income Ltd. Primary Health Properties PLC Quintain Estates & Development PLC Safestore Holdings PLC Schroder Real Estate Investment Trust Ltd. Segro PLC Shaftesbury PLC St. Modwen Properties PLC Standard Life Investment Property Income Trust PLC UK Commercial Property Trust Ltd. Unite Group PLC Workspace Group PLC United States - 42.3% Acadia Realty Trust† Agree Realty Corp.† Alexander’s, Inc.† Alexandria Real Estate Equities, Inc. American Assets Trust, Inc. American Campus Communities, Inc. American Realty Capital Trust, Inc.†

643 5,202 86,060 25,978 28,475 7,787

COST

$

7 4 150 12 28 32

VALUE

$

6 4 115 17 20 25

296

227

96 349

58 322

445

380

6,668 14,587 102,445 78,106 74,965 575 11,809 13,323 63,188 45,933 35,910 81,992 71,225 13,626 11,856 90,130 62,598 37,408 8,731 59,997 21,724 38,970 86,370 28,551 16,558 14,652 53,344 18,316 16,022

37 92 1,039 202 570 33 294 71 112 135 200 692 99 81 19 1,399 127 51 45 129 47 57 706 199 86 18 68 90 91 6,789

39 71 858 257 378 27 361 30 105 65 242 595 80 42 12 1,116 113 23 45 47 34 23 320 244 46 15 58 61 62 5,369

5,181 1,360 225 7,155 4,700 10,424 18,400

110 35 78 545 101 342 202

125 32 96 526 122 497 203

182,014 348,210

See Accompanying Notes to the Financial Statements.

189

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) United States - 42.3% - (Continued) Apartment Investment & Management Co., Class A Ashford Hospitality Trust, Inc.† Associated Estates Realty Corp. AvalonBay Communities, Inc. BioMed Realty Trust, Inc. Boston Properties, Inc. Brandywine Realty Trust BRE Properties, Inc. Brookfield Office Properties, Inc. Camden Property Trust Campus Crest Communities, Inc.† CapLease, Inc.† CBL & Associates Properties, Inc. Cedar Realty Trust, Inc.† Chesapeake Lodging Trust Colonial Properties Trust CommonWealth REIT Corporate Office Properties Trust Cousins Properties, Inc.† CubeSmart DCT Industrial Trust, Inc.† DDR Corp.† DiamondRock Hospitality Co. Digital Realty Trust, Inc.† Douglas Emmett, Inc. Duke Realty Corp.† DuPont Fabros Technology, Inc.† EastGroup Properties, Inc.† Education Realty Trust, Inc.† Entertainment Properties Trust† Equity Lifestyle Properties, Inc. Equity One, Inc.† Equity Residential Essex Property Trust, Inc.† Extra Space Storage, Inc. Federal Realty Investment Trust† FelCor Lodging Trust, Inc. First Industrial Realty Trust, Inc.† First Potomac Realty Trust† Forest City Enterprises, Inc., Class A† Franklin Street Properties Corp.† General Growth Properties, Inc. Getty Realty Corp.† Glimcher Realty Trust Government Properties Income Trust† HCP, Inc.† Health Care REIT, Inc.† Healthcare Realty Trust, Inc.† Hersha Hospitality Trust Highwoods Properties, Inc.† Home Properties, Inc.†

15,530 7,865 5,635 10,975 17,860 17,291 16,266 8,908 43,473 9,305 4,389 7,354 17,273 7,628 3,750 10,175 9,569 8,179 11,598 14,153 29,116 32,706 21,402 14,074 11,977 30,939 7,470 3,297 11,001 5,306 4,742 6,560 34,807 4,045 11,952 7,360 14,418 10,535 5,606 17,592 9,365 54,291 2,840 16,137 4,028 48,507 24,588 8,881 22,526 8,621 5,592

See Accompanying Notes to the Financial Statements.

190

COST

$

377 56 73 1,113 331 1,466 229 398 664 460 53 36 262 63 63 201 252 271 143 141 200 622 226 750 243 478 115 143 89 228 256 125 1,490 447 211 574 118 173 83 399 127 825 62 111 93 1,606 1,125 203 117 268 291

VALUE

$

426 60 84 1,614 336 1,918 193 469 744 664 48 33 341 39 64 230 175 182 88 170 182 492 202 1,099 282 447 201 176 129 240 341 142 2,204 636 391 800 70 134 65 248 97 984 53 162 92 2,290 1,530 218 109 292 367

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) United States - 42.3% - (Continued) Hospitality Properties Trust Host Hotels & Resorts, Inc.† Inland Real Estate Corp.† Investors Real Estate Trust† Kilroy Realty Corp.† Kimco Realty Corp.† Kite Realty Group Trust† LaSalle Hotel Properties† Lexington Realty Trust† Liberty Property Trust LTC Properties, Inc.† Macerich (The) Co. Mack-Cali Realty Corp. Medical Properties Trust, Inc.† Mid-America Apartment Communities, Inc. National Health Investors, Inc.† National Retail Properties, Inc.† Omega Healthcare Investors, Inc.† Parkway Properties, Inc.† Pebblebrook Hotel Trust Pennsylvania Real Estate Investment Trust Piedmont Office Realty Trust, Inc., Class A Post Properties, Inc. Prologis, Inc.† PS Business Parks, Inc.† Public Storage Ramco-Gershenson Properties Trust Realty Income Corp.† Regency Centers Corp. Retail Opportunity Investments Corp.† RLJ Lodging Trust Rouse Properties, Inc.† Sabra Healthcare REIT, Inc.† Saul Centers, Inc. Senior Housing Properties Trust† Simon Property Group, Inc. SL Green Realty Corp. Sovran Self Storage, Inc. Strategic Hotels & Resorts, Inc. Sun Communities, Inc.† Sunstone Hotel Investors, Inc. Tanger Factory Outlet Centers† Taubman Centers, Inc. UDR, Inc. Universal Health Realty Income Trust† Urstadt Biddle Properties, Inc., Class A Ventas, Inc. Vornado Realty Trust Washington Real Estate Investment Trust† Weingarten Realty Investors†

14,308 83,207 10,224 9,959 7,956 46,964 7,023 10,008 17,865 13,562 3,593 15,244 10,265 15,257 4,710 3,232 12,367 12,378 2,502 6,018 6,561 20,109 6,172 53,128 2,098 14,725 5,195 15,357 10,469 5,964 12,100 2,772 4,300 1,694 18,861 35,049 10,369 3,320 23,358 3,156 15,616 10,780 6,853 30,751 1,449 2,400 34,055 21,281 7,778 14,056

See Accompanying Notes to the Financial Statements.

191

COST

$

356 1,184 126 88 323 1,062 44 242 156 450 95 745 330 145 248 121 276 213 64 119 131 363 197 2,300 117 1,361 72 425 510 66 198 34 72 73 400 3,055 705 135 122 80 159 234 357 627 49 40 1,543 1,713 232 373

VALUE

$

347 1,221 82 81 377 915 35 263 160 492 128 890 275 150 326 173 365 300 28 137 94 343 319 1,718 142 2,193 66 633 501 73 213 38 80 71 429 5,625 817 190 142 147 156 347 531 818 63 46 2,290 1,777 208 378

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) United States - 42.3% - (Continued) Winthrop Realty Trust†

COST

2,850

$

PAR VALUE

$

19

$

22,450

23,900 19,848 2,130

894,842 17,219,451

Liabilities less Other Assets - (13.2)%

(2) (3) (4)

†

VALUE

-

$

$

-

VALUE -

$

COST

$

3 3

895 17,219 18,114 128,174

VALUE

$

895 17,219 18,114 137,515 (16,076) $ 121,439

NET ASSETS - 100.0% (1)

$

COST

UNITS SHORT-TERM INVESTMENTS - 14.9% Northern Trust Global Investments Collective Short-Term Investment Fund(2) NTI/NTCC Commingled Funds Custom Collateral Section(2)(3)(4) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 113.2%

VALUE

3 3

$

35 51,382 119,398

COST

NUMBER OF WARRANTS WARRANTS - 0.0% Property Perfect Alien Market, Exp. 6/28/14, Strike $1.00(1) Property Perfect Co. NVDR, Exp. 6/28/14, Strike $1.00(1) Vastned Offices, Exp. 4/1/13(1) TOTAL WARRANTS

$

COST

SHARES RIGHTS - 0.0% Brazil - 0.0% PDG Realty S.A. Empreendimentos e Participacoes(1) TOTAL RIGHTS

44 42,037 110,057

TOTAL COMMON STOCKS

CONVERTIBLE BONDS - 0.0% Real Estate - 0.0% YTL Land & Development Bhd., 3.00%, 10/31/21 TOTAL CONVERTIBLE BONDS

VALUE

Cost and Value amount rounds to less than $1. Investment in affiliated fund. See Note B in the Notes to the Financial Statements. Investment relates to cash collateral received from portfolio securities loaned. Security is either wholly or partially on loan.

Percentages shown are based on Net Assets.

See Accompanying Notes to the Financial Statements.

192

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Number of Contracts)

SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT

COST OF PURCHASES

$ 23,432 3

COMMON STOCKS CORPORATE BONDS NORTHERN TRUST FUNDS(1) TOTAL

(1)

PROCEEDS FROM SALES

$

REALIZED GAINS (LOSSES)

7,159 —

103,739

103,033

$127,174

$110,192

$(132) — — $(132)

The amounts presented exclude purchases and sales related to the NTI/NTCC Commingled Funds Custom Collateral Section. The net sales during the year were $6,800.

The Brazilian government charges transactional costs related to foreign investments in the Brazilian financial and capital markets. Transactional costs of $(5) have been netted against net realized gains (losses) on security transactions on the Statement of Operations and Changes in Net Assets. As such, the realized gains (losses) between this schedule and the Statement of Operations and Changes in Net Assets will differ by this amount. OPEN FUTURES CONTRACTS: TYPE

CURRENCY

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

EMINI S&P MIDCAP 400

United States Dollar

10

$939

Long

9/12

$ 5

EURO STOXX 50

Euro Hong Kong Dollar

5 3

143 381

Long Long

9/12 8/12

6 16

SPI 200 INDEX

Japanese Yen Australian Dollar

1 3

56 334

Long Long

9/12 9/12

1 11

YEN DENOMINATED NIKKEI 225

Japanese Yen

3

165

Long

9/12

3

HANG SENG INDEX NIKKEI 225

$42

TOTAL

Foreign currency and other liquid assets are pledged as collateral to cover margin requirements for open futures contracts.

See Accompanying Notes to the Financial Statements.

193

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

At July 31, 2012, the NT Collective Global Real Estate Index Fund - Lending’s investments had outstanding foreign currency exchange contracts as follows:

CONTRACTS TO DELIVER CURRENCY United States Dollar United States Dollar

IN EXCHANGE FOR CURRENCY

AMOUNT (LOCAL CURRENCY) 70 100

AMOUNT (LOCAL CURRENCY)

UNREALIZED GAINS (LOSSES) SETTLEMENT (U.S. DATE DOLLAR)

COUNTERPARTY

Canadian Dollar Australian Dollar

70 95

8/1/12 8/2/12

$ — —

Morgan Stanley & Co. New York Morgan Stanley & Co. New York

United States Dollar

44

Brazilian Real

90

8/2/12

—*

Morgan Stanley & Co. New York

United States Dollar United States Dollar

60 80

British Pound Euro

38 65

8/2/12 8/2/12

—* —

Morgan Stanley & Co. New York Morgan Stanley & Co. New York

United States Dollar

160

Hong Kong Dollar

1,241

8/2/12

—

Morgan Stanley & Co. New York

United States Dollar United States Dollar

110 65

Japanese Yen Singapore Dollar

8,591 75

8/2/12 8/2/12

— —

Morgan Stanley & Co. New York Morgan Stanley & Co. New York

United States Dollar Australian Dollar

7 159

Philippino Peso United States Dollar

308 165

8/3/12 9/19/12

—* (2)

HSBC Manila Morgan Stanley & Co. New York

112 2,016 1,009

United States Dollar United States Dollar United States Dollar

141 260 130

9/19/12 9/19/12 9/19/12

3 —* —*

Citibank London Citibank London UBS Securities New York

Euro Hong Kong Dollar Hong Kong Dollar United States Dollar

110

Australian Dollar

111

9/19/12

6

UBS Securities New York

United States Dollar United States Dollar

100 160

Canadian Dollar Euro

102 130

9/19/12 9/19/12

2 1

Goldman Sachs Capital Markets NY Morgan Stanley & Co. New York

United States Dollar

221

Hong Kong Dollar

1,714

9/19/12

—*

Citibank London

United States Dollar United States Dollar United States Dollar United States Dollar

225 115 12 110

Hong Kong Dollar Hong Kong Dollar Japanese Yen Japanese Yen

1,744 892 951 8,599

9/19/12 9/19/12 9/19/12 9/19/12

—* —* —* —*

Citibank London Goldman Sachs Capital Markets NY Morgan Stanley & Co. New York UBS Securities New York

$ 10

Total *

Amount rounds to less than one thousand.

At July 31, 2012, the NT Collective Global Real Estate Index Fund - Lending’s investments (excluding short-term investments) were denominated in the following currencies: CONCENTRATION BY CURRENCY United States Dollar Hong Kong Dollar Japanese Yen Australian Dollar Euro Canadian Dollar All other currencies less than 5% Total

% OF INVESTMENTS 43.5% 11.4 8.2 7.7 5.8 5.0 18.4 100.0%

See Accompanying Notes to the Financial Statements.

194

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

At July 31, 2012, the NT Collective Global Real Estate Index Fund - Lending’s investments (excluding short-term investments) were diversified as follows: INDUSTRY SECTOR Diversified Real Estate Activities Diversified REITs Health Care Facilities Home Building Industrial REITs Office REITs Real Estate Development Companies Real Estate Operating Companies Residential REITs Retail REITs Specialized REITs Total

% OF INVESTMENTS 14.5% 10.7 0.1 1.2 3.8 10.2 5.9 9.8 8.8 22.9 12.1 100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, and/or securities indices). Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security). The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective Global Real Estate Index Fund - Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

— —

$— —

$ 17,497 12,720

71 1,385

— —

— —

71 1,385

4,555 12,212

— —

— —

4,555 12,212

Common Stocks Diversified Real Estate Activities Diversified REITs

$ 17,497 12,720

Health Care Facilities Home Building Industrial REITs Office REITs

7,009

—

—

7,009

11,732 10,374

— 121

— —

11,732 10,495

27,298 14,424

— —

— —

27,298 14,424

3 —

— —

3 —

Real Estate Development Companies Real Estate Operating Companies Residential REITs Retail REITs Specialized REITs

— —*

Corporate Bonds Rights

—

18,114

—

18,114

$119,277

$18,238

$—

$137,515

Short-Term Investments Total Investments

$

See Accompanying Notes to the Financial Statements.

195

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

$42

$—

$—

$42

—

12

—

12

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts Foreign Currency Exchange Contracts Liabilities

—

Foreign Currency Exchange Contracts Total Other Financial Instruments *

$42

(2) $ 10

— $—

(2) $52

Amount rounds to less than one thousand.

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly.

See Accompanying Notes to the Financial Statements.

196

NT COLLECTIVE ALL COUNTRY WORLD EX-US IMI FUND - NON LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments in Northern Trust Funds, at Value (Cost $5,077,496) Cash Held at Broker (Restricted $129) Receivable for Investments Sold Receivable for Variation Margin on Futures Contracts Receivable for Fund Units Sold Total Assets

$

$

4,796,634 1,768 1,409 7 826 4,800,644

LIABILITIES Payable for Fund Units Redeemed Payable for Variation Margin on Futures Contracts Accrued Expenses Total Liabilities

$

2,241 17 6 2,264

NET ASSETS (Equivalent to $101.052 Per Unit, Based on 47,484,194 Units Outstanding)

$

4,798,380

$ $ $

22 22 6 6

$

16

$

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Income from Investment in Northern Trust Fund Total Investment Income Less: Audit Fee Total Expenses Net Investment Income (Loss) REALIZED AND UNREALIZED GAINS ((LOSSES)) Net Realized Gains (Losses) on Securities Transactions

$

(3,311)

Net Realized Gains (Losses) on Futures Contracts

$

(2,410)

$

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$

87,576 (280,792) (368,368)

Net Realized and Unrealized Gains (Losses) on Investments and Futures Contracts

$

(374,089)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(374,073)

$ $

2,263,272 (48,927) 2,214,345

$

1,840,272

$

4,798,380

UNIT TRANSACTIONS Admission of 22,364,818 Units Withdrawal of 510,092 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Beginning of Year (25,629,468 Units Outstanding)

2,958,108

End of Year (47,484,194 Units Outstanding*) *6.8% owned by NT Collective All Country World ex-US Investable Market Index Fund - DC - Non Lending

See Accompanying Notes to the Financial Statements.

197

NT COLLECTIVE ALL COUNTRY WORLD EX-US IMI FUND - NON LENDING FINANCIAL HIGHLIGHTS For the Period August 3, 2010 (Commencement of Operations) to July 31, 2011

For the Year Ended July 31, 2012 Unit Value, Beginning of Period

$

Net Investment Income (Loss)

115.418

$

100.000

-

(0.002)

Net Realized and Unrealized Gains (Losses)

(14.366)

15.420

Net Increase (Decrease)

(14.366)

15.418

Unit Value, End of Period

$

Total Return (1)

101.052

$

(12.441)%

115.418

15.41%

Supplemental Data and Ratios Net Assets (000's Omitted)

$

4,798,380

$

2,958,108

Ratio to Average Net Assets of: (2) Expenses - net of refund

0.00%

*

0.00%

*

Expenses - before refund

0.00%

*

0.00%

*

Net Investment Income (Loss) - net of refund

0.00%

Net Investment Income (Loss) - before refund

0.00%

* *

0.00% 0.00%

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of period. Total Return is not annualized for periods less than one year.

(2)

Ratios are annualized for periods less than one year.

*

Equals to less than 0.005%

See Accompanying Notes to the Financial Statements. 198

* *

NT COLLECTIVE ALL COUNTRY WORLD EX-US IMI FUND - NON LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Units and Number of Contracts)

UNITS NT COLLECTIVE FUNDS TRUST - 100.0% ACWI ex-US Index Fund - Non Lending (88.1%)(1) Developed International Small Cap Index Fund Non Lending (9.2%)(1) Emerging Markets Small Cap Index Fund Non Lending (2.7%)(1) TOTAL NT COLLECTIVE FUNDS TRUST SHORT-TERM INVESTMENTS - 0.0% Northern Trust Global Investments Collective Short-Term Investment Fund(1) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 100.0%

COST

38,302,616

$ 4,461,355

3,244,169

470,661

438,439

6,275,002

144,934 5,076,950

128,619 4,796,088

545,151

546 546 5,077,496

546 546 4,796,634

Other Assets less Liabilities - 0.0%

$

4,229,030

1,746 $4,798,380

NET ASSETS - 100.0% (1)

VALUE

Investment in affiliated fund.

Percentages shown are based on Net Assets. At July 31, 2012, the NT Collective All Country World ex-US IMI Fund - Non Lending’s percentage of ownership of other funds were as follows: NT COLLECTIVE FUNDS TRUST PERCENTAGE ACWI ex-US Index Fund - Non Lending 59.0% Developed International Small Cap Index Fund - Non Lending 58.8% Emerging Markets Small Cap Index Fund - Non Lending 56.6%

The 2012 financial statements for the funds listed above are included in the NT Collective Funds Trust International Equities report. OPEN FUTURES CONTRACTS: TYPE

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

MINI MSCI EAFE

23

$1,638

Long

9/12

MINI MSCI EMERGING MARKETS

14

662

Long

9/12

$47 23 $70

TOTAL

SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT NT COLLECTIVE FUNDS TRUST

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$2,232,915

$12,147

$(3,311)

53,333

61,973

$2,286,248

$74,120

NORTHERN TRUST FUND Total

See Accompanying Notes to the Financial Statements.

199

— $(3,311)

NT COLLECTIVE ALL COUNTRY WORLD EX-US IMI FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/ or securities indices). Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security). The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective All Country World ex-US IMI Fund - Non Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS NT Collective Funds Trust

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

$—

$4,796,088

$—

$4,796,088

—

546

—

546

$—

$4,796,634

$—

$4,796,634

$ 70

$

$—

$

Short-Term Investments Total Investments

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts

—

70

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly.

See Accompanying Notes to the Financial Statements.

200

NT COLLECTIVE EAFE INDEX - NON LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (Cost $10,412,999) Investments in Northern Trust Fund, at Value (Cost $55,895) Cash Held at Broker Foreign Currencies (Cost $53,321) Foreign Currencies Held at Broker (Cost $22,063) (Restricted $9,989) Receivable for Investments Sold Receivable for Variation Margin on Futures Contracts Receivable for Fund Units Sold Unrealized Gain on Forward Foreign Currency Exchange Contracts Reclaims Receivable Accrued Income Receivable Total Assets

$

$

LIABILITIES Payable for Investments Purchased Payable for Fund Units Redeemed Payable for Variation Margin on Futures Contracts Unrealized Loss on Forward Foreign Currency Exchange Contracts Accrued Expenses Total Liabilities

$

NET ASSETS (Equivalent to $194.676 Per Unit, Based on 53,539,894 Units Outstanding)

10,242,815 55,895 4,840 53,903 21,972 23,848 391 2,307 1,332 28,272 13,489 10,449,064

$

18,052 5,994 690 1,234 165 26,135

$

10,422,929

$

$

318,148 94 105 318,347 14 1,455 50 1,519

$

316,828

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $13,243 in Foreign Withholding Tax) Interest Income Income from Investment in Northern Trust Fund Total Investment Income Audit Fee Expense Recovery Other Expenses Total Expenses

$

Net Investment Income (Loss) REALIZED AND UNREALIZED GAINS (LOSSES) Net Realized Gains (Losses) on Securities Transactions

$

(42,091)

Net Realized Gains (Losses) on Futures Contracts

$

(12,926)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(6,369)

$

786,217 (160,682) (946,899)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$

Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts and on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year

$

End of Year

2,846 (1,147)

Change in Net Unrealized Appreciation (Depreciation)

$

(3,993)

Net Realized and Unrealized Gains (Losses) on Investments and Futures Contracts and Foreign Currency Transactions

$

(1,012,278)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(695,450)

$ $

7,054,801 (3,119,640) 3,935,161

$

3,239,711

$

10,422,929

UNIT TRANSACTIONS Admission of 36,784,401 Units Withdrawal of 16,029,785 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Beginning of Year (32,785,278 Units Outstanding)

7,183,218

End of Year (53,539,894 Units Outstanding)* *46.58% owned by NT Collective ACWI ex-US Index Fund - Non Lending *8.43% owned by NT Collective EAFE Index Fund – DC – Non Lending *2.12% owned by NT Collective World ex-US Index Fund - Non Lending

See Accompanying Notes to the Financial Statements.

201

NT COLLECTIVE EAFE INDEX - NON LENDING FINANCIAL HIGHLIGHTS For the Years Ended

July 31, 2012

July 31, 2011

July 31, 2010

July 31, 2009

July 31, 2008

Unit Value, Beginning of Year

$

Net Investment Income (Loss)

219.099

$

186.542

$

175.133

$

225.531

$

255.515

7.020

6.475

5.294

3.602

(0.065)

Net Realized and Unrealized Gains (Losses)

(31.443)

26.082

6.115

(54.000)

(29.919)

Net Increase (Decrease)

(24.423)

32.557

11.409

(50.398)

(29.984)

Unit Value, End of Year

Total Return

$

(1)

194.676

$

(11.15)%

219.099

$

17.45%

186.542

$

6.51%

175.133

$

(22.37)%

225.531

(11.73)%

Supplemental Data and Ratios Net Assets (000's Omitted)

$

10,422,929

$

7,183,218

$

5,077,245

$

1,870,905

$

33,004

Ratio to Average Net Assets of: Expenses - net of refund

0.02%

0.03%

N/A

N/A

Expenses - before refund

0.02%

0.03%

0.04%

0.03%

Net Investment Income (Loss) - net of refund

3.73%

3.14%

N/A

N/A

Net Investment Income (Loss) - before refund

3.73%

3.14%

2.95%

3.51%

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of year.

(2)

The Fund changed its investment strategy from being a Fund of Funds during 2008 and now invests primarily in income earning equity securities. N/A - Not applicable.

See Accompanying Notes to the Financial Statements.

202

N/A (2)

0.03% N/A

(2)

(0.03)%

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5% Australia - 9.0% AGL Energy Ltd. Alumina Ltd. Amcor Ltd. AMP Ltd. APA Group Asciano Ltd. ASX Ltd. Australia & New Zealand Banking Group Ltd. Bendigo and Adelaide Bank Ltd. BGP Holdings PLC(1) BHP Billiton Ltd. Boral Ltd. Brambles Ltd. Caltex Australia Ltd. Campbell Brothers Ltd. Centro Retail Australia CFS Retail Property Trust Group Coca-Cola Amatil Ltd. Cochlear Ltd. Commonwealth Bank of Australia Computershare Ltd. Crown Ltd. CSL Ltd. Dexus Property Group Echo Entertainment Group Ltd. Fairfax Media Ltd. Fortescue Metals Group Ltd. Goodman Group GPT Group Harvey Norman Holdings Ltd. Iluka Resources Ltd. Incitec Pivot Ltd. Insurance Australia Group Ltd. Leighton Holdings Ltd. Lend Lease Group Lynas Corp. Ltd. Macquarie Group Ltd. Metcash Ltd. Mirvac Group National Australia Bank Ltd. Newcrest Mining Ltd. Orica Ltd. Origin Energy Ltd. OZ Minerals Ltd. Qantas Airways Ltd. QBE Insurance Group Ltd. QR National Ltd. Ramsay Health Care Ltd. Rio Tinto Ltd. Santos Ltd. Sonic Healthcare Ltd.

568,296 2,587,624 1,264,313 2,998,426 674,996 1,023,381 183,590 2,812,277 409,569 2,379,635 3,384,960 783,310 1,628,762 141,041 71,123 1,339,757 2,086,843 597,124 59,854 1,659,708 464,650 419,483 545,059 4,829,397 781,109 2,336,836 1,472,885 1,627,154 1,518,486 562,640 438,673 1,709,730 2,179,871 159,037 569,947 1,790,406 348,427 911,992 3,584,917 2,349,659 802,082 382,413 1,139,399 333,147 1,160,889 1,214,857 1,786,712 137,849 457,596 991,659 388,508

See Accompanying Notes to the Financial Statements.

203

COST

$

7,680 3,765 7,797 13,495 3,500 4,668 5,603 56,994 3,335 120,041 3,244 10,502 1,597 3,661 2,479 3,667 6,418 3,657 77,123 3,941 3,168 17,007 3,843 2,870 2,473 6,670 5,107 4,326 1,486 7,037 5,203 7,116 3,855 4,343 3,424 11,192 3,549 4,433 54,848 25,723 8,487 15,828 3,431 2,255 19,095 5,550 2,404 28,657 12,696 4,500

VALUE

$

9,389 1,852 10,032 12,653 3,481 4,674 6,032 69,667 3,534 113,740 2,770 10,678 2,097 3,510 2,890 4,348 8,753 4,153 100,482 3,750 3,730 24,492 5,031 3,436 1,291 6,402 6,438 5,481 1,184 4,390 5,596 8,648 2,864 4,858 1,517 9,159 3,273 5,169 61,767 19,836 10,017 14,161 2,650 1,393 17,950 6,017 3,441 25,619 11,218 5,172

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Australia - 9.0% - (Continued) SP AusNet Stockland Suncorp Group Ltd. Sydney Airport TABCORP Holdings Ltd. Tatts Group Ltd. Telstra Corp. Ltd. Toll Holdings Ltd. Transurban Group Wesfarmers Ltd. Westfield Group Westfield Retail Trust Westpac Banking Corp. Whitehaven Coal Ltd. Woodside Petroleum Ltd. Woolworths Ltd. WorleyParsons Ltd. Austria - 0.3% Andritz A.G. Erste Group Bank A.G. Immofinanz A.G. OMV A.G. Raiffeisen Bank International A.G. Telekom Austria A.G. Verbund A.G. Vienna Insurance Group A.G. Wiener Versicherung Gruppe Voestalpine A.G.

1,742,429 2,427,938 1,351,330 389,474 751,190 1,400,503 4,569,016 717,889 1,375,805 1,056,195 2,301,560 3,043,120 3,205,506 475,854 676,259 1,287,525 215,371

76,411 226,368 979,199 154,800 51,031 348,335 71,459 40,485 115,206

COST

$

1,558 7,969 10,459 833 2,091 3,261 14,027 4,016 6,860 29,419 19,859 7,578 66,396 2,623 25,003 32,258 5,312 863,265

VALUE

$

1,935 8,559 12,073 1,291 2,569 4,274 19,233 3,037 8,861 36,223 24,221 9,767 78,261 1,838 24,019 38,710 5,913 941,469

3,904 6,624 3,508 5,574 2,085 4,509 2,516 1,818 3,768

4,193 4,106 3,209 4,877 1,688 3,174 1,371 1,578 3,143

34,306

27,339

Belgium - 1.1% Ageas Anheuser-Busch InBev N.V. Belgacom S.A. Colruyt S.A. Delhaize Group S.A. Groupe Bruxelles Lambert S.A. KBC Groep N.V. Mobistar S.A. Solvay S.A., Class A Telenet Group Holding N.V. UCB S.A. Umicore S.A.

2,456,019 843,079 159,211 79,637 107,250 84,785 169,101 31,604 62,056 59,275 115,246 119,306

6,279 46,114 5,344 3,580 6,889 6,655 5,008 1,838 6,170 2,423 4,658 4,641 99,599

4,903 66,628 4,590 3,623 3,844 5,560 3,549 976 6,464 2,617 5,785 5,297 113,836

China - 0.0% Yangzijiang Shipbuilding Holdings Ltd.

1,993,863

1,960

1,594

578 1,382 112,367

3,989 9,944 8,549

3,813 9,597 9,118

Denmark - 1.2% A.P. Moller - Maersk A/S, Class A A.P. Moller - Maersk A/S, Class B Carlsberg A/S, Class B

See Accompanying Notes to the Financial Statements.

204

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Denmark - 1.2% - (Continued) Coloplast A/S, Class B Danske Bank A/S DSV A/S Novo Nordisk A/S, Class B Novozymes A/S, Class B TDC A/S Tryg A/S William Demant Holding A/S Finland - 0.7% Elisa OYJ Fortum OYJ Kesko OYJ, Class B Kone OYJ, Class B Metso OYJ Neste Oil OYJ Nokia OYJ Nokian Renkaat OYJ Orion OYJ, Class B Pohjola Bank PLC, Class A Sampo OYJ, Class A Stora Enso OYJ (Registered) UPM-Kymmene OYJ Wartsila OYJ Abp France - 8.5% Accor S.A. Aeroports de Paris Air Liquide S.A. Alcatel-Lucent Alstom S.A. Arkema S.A. AtoS AXA S.A. BNP Paribas S.A Bouygues S.A. Bureau Veritas S.A. Cap Gemini S.A. Carrefour S.A. Casino Guichard Perrachon S.A. Christian Dior S.A. Cie de St-Gobain Cie Generale de Geophysique - Veritas Cie Generale des Etablissements Michelin Cie Generale d’Optique Essilor International S.A. CNP Assurances Credit Agricole S.A. Danone S.A. Dassault Systemes S.A. Edenred

23,910 685,146 199,702 427,440 256,202 517,828 25,620 27,440

COST

$

2,975 12,107 3,576 41,346 6,239 4,302 1,497 2,076

VALUE

$

4,539 10,206 4,293 66,109 6,331 3,521 1,457 2,596

96,600

121,580

148,325 466,350 66,739 163,432 133,542 134,477 3,930,965 116,724 100,292 145,354 439,682 578,301 550,909 175,996

2,986 11,119 2,230 7,732 4,650 1,863 35,679 3,555 1,943 1,561 10,894 4,112 7,023 4,777 100,124

3,089 7,822 1,729 10,164 4,883 1,426 9,440 4,671 2,006 1,693 11,696 3,312 5,916 5,297 73,144

155,493 31,082 327,765 2,424,088 216,820 64,661 57,080 1,855,682 975,370 198,507 57,479 155,311 610,633 58,201 57,314 421,452 143,337 188,940 213,431 170,159 1,051,971 606,694 63,989 177,984

5,049 2,428 34,006 6,694 10,818 5,844 2,773 33,073 55,526 7,762 3,855 6,493 21,565 4,893 6,682 18,848 3,395 12,852 14,210 3,011 11,777 36,452 4,456 3,949

5,183 2,415 36,725 2,687 7,220 4,767 3,218 22,739 36,241 5,018 5,088 5,692 11,330 4,894 7,944 12,748 4,133 12,896 18,620 1,797 4,523 36,970 6,336 4,706

See Accompanying Notes to the Financial Statements.

205

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) France - 8.5% - (Continued) Electricite de France S.A. Eurazeo Eutelsat Communications S.A. Fonciere Des Regions France Telecom S.A. GDF Suez Gecina S.A. Groupe Eurotunnel S.A. (Registered) ICADE Iliad S.A. Imerys S.A. JC Decaux S.A. Klepierre Lafarge S.A. Lagardere S.C.A. Legrand S.A. L’Oreal S.A. LVMH Moet Hennessy Louis Vuitton S.A. Natixis Pernod-Ricard S.A. Peugeot S.A. PPR Publicis Groupe S.A. Remy Cointreau S.A. Renault S.A. Rexel S.A. Safran S.A. Sanofi Schneider Electric S.A. SCOR S.E. SES S.A. Societe BIC S.A. Societe Generale S.A. Sodexo Suez Environnement Co. Technip S.A. Thales S.A. Total S.A. Unibail-Rodamco S.E. Vallourec S.A. Veolia Environnement S.A. Vinci S.A. Vivendi S.A. Wendel S.A. Zodiac Aerospace Germany - 7.4% Adidas A.G. Allianz S.E. (Registered) Axel Springer A.G. BASF S.E.

252,302 31,368 139,105 26,015 1,946,035 1,300,268 22,856 589,165 24,742 23,952 35,494 69,606 100,021 196,009 123,731 249,171 252,339 266,618 972,915 222,313 241,140 79,890 153,389 23,540 201,866 112,611 241,104 1,266,971 547,385 170,717 297,363 30,038 733,284 99,047 294,637 104,069 96,001 2,228,308 96,318 108,588 355,074 475,875 1,352,952 34,760 35,819

219,753 477,963 41,319 964,268

See Accompanying Notes to the Financial Statements.

206

COST

$

9,663 1,461 4,781 2,063 38,675 42,969 2,264 5,268 2,223 2,817 1,919 1,662 3,254 10,796 4,271 8,281 26,165 34,930 3,603 19,267 4,973 10,647 6,818 2,345 8,868 1,996 6,912 88,954 31,069 4,099 6,817 2,462 31,683 6,480 4,889 8,302 3,611 118,896 16,443 8,214 7,873 23,441 31,891 3,439 3,619 987,484 13,160 52,413 1,913 62,358

VALUE

$

5,242 1,253 4,211 1,885 26,100 29,121 2,103 4,201 1,900 3,305 1,796 1,410 3,267 9,036 3,349 8,015 30,337 40,240 2,438 23,959 1,881 12,003 7,576 2,783 8,848 1,888 8,194 103,716 31,030 4,060 7,167 3,052 16,264 7,493 3,243 10,981 3,013 103,198 18,552 4,515 4,012 20,249 25,760 2,492 3,507 882,535 16,539 47,732 1,851 70,635

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Germany - 7.4% - (Continued) Bayer A.G. (Registered) Bayerische Motoren Werke A.G. Beiersdorf A.G. Brenntag A.G. Celesio A.G. Commerzbank A.G. Continental A.G. Daimler A.G. (Registered) Deutsche Bank A.G. (Registered) Deutsche Boerse A.G. Deutsche Lufthansa A.G. (Registered) Deutsche Post A.G. (Registered) Deutsche Telekom A.G. (Registered) E.ON A.G. Fraport A.G. Frankfurt Airport Services Worldwide Fresenius Medical Care A.G. & Co. KGaA Fresenius S.E. & Co. KGaA GEA Group A.G. Hannover Rueckversicherung A.G. (Registered) HeidelbergCement A.G. Henkel A.G. & Co. KGaA Hochtief A.G. Hugo Boss A.G. Infineon Technologies A.G. K+S A.G. (Registered) Kabel Deutschland Holding A.G. Lanxess A.G. Linde A.G. MAN S.E. Merck KGaA Metro A.G. Muenchener Rueckversicherungs A.G. (Registered) RWE A.G. Salzgitter A.G. SAP A.G. Siemens A.G. (Registered) Suedzucker A.G. ThyssenKrupp A.G. United Internet A.G. (Registered) Volkswagen A.G. Wacker Chemie A.G. Greece - 0.0% Coca Cola Hellenic Bottling Co. S.A. OPAP S.A. Hong Kong - 3.0% AIA Group Ltd. ASM Pacific Technology Ltd. Bank of East Asia Ltd.

868,277 347,756 105,937 48,582 90,232 3,808,237 84,057 951,683 975,918 204,722 241,520 888,729 2,948,518 1,890,567 38,817 220,158 130,177 183,645 63,546 147,901 136,487 32,320 25,867 1,138,411 180,851 94,317 87,356 194,299 44,504 67,991 136,390 188,259 513,654 40,655 966,182 863,723 69,899 403,926 101,896 30,964 16,253

COST

$

57,948 22,089 6,120 4,980 1,952 14,287 6,357 48,528 48,464 13,676 3,646 14,692 37,262 55,539 2,130 13,214 10,678 4,578 3,043 8,328 6,143 2,493 2,509 8,280 10,277 5,116 5,856 25,700 4,456 6,384 6,599 26,609 30,069 2,853 50,943 81,633 1,797 11,765 1,556 5,566 2,000 805,959

VALUE

$

66,202 26,026 7,035 5,338 1,647 5,942 7,638 47,714 29,897 10,202 3,049 16,024 33,324 40,396 2,207 16,011 13,916 4,968 3,817 6,896 8,087 1,542 2,613 8,313 8,957 5,925 6,078 28,966 4,182 6,856 3,763 26,802 20,243 1,485 61,708 73,503 2,416 7,447 1,808 4,950 1,061 771,711

210,524 232,076

4,182 3,991 8,173

3,695 1,400 5,095

10,743,602 208,931 1,415,348

34,430 2,018 5,187

37,758 2,687 4,938

See Accompanying Notes to the Financial Statements.

207

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Hong Kong - 3.0% - (Continued) BOC Hong Kong Holdings Ltd. Cathay Pacific Airways Ltd. Cheung Kong Holdings Ltd. Cheung Kong Infrastructure Holdings Ltd. CLP Holdings Ltd. First Pacific Co. Ltd. Foxconn International Holdings Ltd. Galaxy Entertainment Group Ltd. Hang Lung Group Ltd. Hang Lung Properties Ltd. Hang Seng Bank Ltd. Henderson Land Development Co. Ltd. Hong Kong & China Gas Co. Ltd. Hong Kong Exchanges and Clearing Ltd. Hopewell Holdings Ltd. Hutchison Whampoa Ltd. Hysan Development Co. Ltd. Kerry Properties Ltd. Li & Fung Ltd. Lifestyle International Holdings Ltd. Link REIT (The) MGM China Holdings Ltd. MTR Corp. Ltd. New World Development Co. Ltd. Noble Group Ltd. NWS Holdings Ltd. Orient Overseas International Ltd. PCCW Ltd. Power Assets Holdings Ltd. Sands China Ltd. Shangri-La Asia Ltd. Sino Land Co. Ltd. SJM Holdings Ltd. Sun Hung Kai Properties Ltd. Swire Pacific Ltd., Class A Wharf Holdings Ltd. Wheelock & Co. Ltd. Wing Hang Bank Ltd. Wynn Macau Ltd. Yue Yuen Industrial Holdings Ltd.

3,882,723 1,226,578 1,457,164 500,979 1,894,157 2,226,307 2,270,044 1,533,520 916,921 2,343,025 803,253 1,007,211 5,475,111 1,076,161 588,241 2,236,560 665,894 751,395 5,965,745 526,138 2,370,665 994,873 1,515,692 3,847,232 4,051,238 1,444,638 229,904 4,200,558 1,454,507 2,529,722 1,638,794 3,087,113 2,020,946 1,647,148 713,299 1,588,375 958,420 186,430 1,634,291 778,063

Ireland - 0.8% CRH PLC CRH PLC Elan Corp. PLC Elan Corp. PLC Experian PLC Irish Bank Resolution Corp. Ltd.(2) James Hardie Industries S.E. Kerry Group PLC, Class A Kerry Group PLC, Class A

753,470 2,052 526,978 1,431 1,054,355 108,134 456,706 156,554 401

See Accompanying Notes to the Financial Statements.

208

COST

$

9,566 2,248 18,631 2,385 14,783 2,409 1,556 3,453 5,082 8,492 11,166 5,916 10,587 18,330 1,727 18,675 2,209 3,302 12,895 1,072 7,321 1,622 5,065 4,754 4,858 1,995 1,351 1,304 9,488 5,957 3,252 4,952 3,544 22,047 7,623 8,392 2,929 1,791 3,565 2,362 300,291 16,156 44 4,963 21 11,805 13 2,856 5,348 18

VALUE

$

11,943 2,031 19,188 3,046 16,368 2,498 679 3,699 5,948 8,340 11,178 5,872 12,682 14,462 1,715 20,163 2,817 3,455 11,787 1,211 10,395 1,383 5,298 4,927 3,500 2,210 1,311 1,652 11,443 7,488 3,234 5,287 3,618 20,596 8,560 9,218 3,764 1,713 3,486 2,358 315,906 13,868 38 6,211 17 15,677 4,023 7,124 18

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Ireland - 0.8% - (Continued) Ryanair Holdings PLC Ryanair Holdings PLC ADR Shire PLC WPP PLC Israel - 0.6% Bank Hapoalim BM Bank Leumi Le-Israel BM Bezeq The Israeli Telecommunication Corp. Ltd. Delek Group Ltd. Elbit Systems Ltd. Israel (The) Corp. Ltd. Israel Chemicals Ltd. Mizrahi Tefahot Bank Ltd. NICE Systems Ltd. Teva Pharmaceutical Industries Ltd. Italy - 2.0% Assicurazioni Generali S.p.A. Atlantia S.p.A. Autogrill S.p.A. Banca Monte dei Paschi di Siena S.p.A. Banco Popolare Scarl Enel Green Power S.p.A. Enel S.p.A. ENI S.p.A. Exor S.p.A. Fiat Industrial S.p.A. Fiat S.p.A. Finmeccanica S.p.A. Intesa Sanpaolo S.p.A. Intesa Sanpaolo S.p.A. (RSP) Luxottica Group S.p.A. Mediaset S.p.A. Mediobanca S.p.A. Pirelli & C. S.p.A. Prysmian S.p.A. Saipem S.p.A. Snam S.p.A. Telecom Italia S.p.A. Telecom Italia S.p.A. (RSP) Tenaris S.A. Terna Rete Elettrica Nazionale S.p.A. UniCredit S.p.A. Unione di Banche Italiane S.c.p.A. Japan - 20.6% ABC-Mart, Inc. Advantest Corp. Aeon Co. Ltd.

39,121 14,700 590,416 1,322,239

COST

$

192 391 14,927 13,496

VALUE

$

191 433 17,095 16,739

70,230

81,434

4,237 4,788 3,960 962 1,144 1,765 5,467 1,061 2,049 48,369

3,218 2,946 1,992 640 793 1,369 5,516 961 2,275 40,912

73,802

60,622

1,225,290 345,913 120,825 6,732,875 1,845,163 1,824,127 6,907,634 2,522,417 67,986 898,194 920,528 423,443 10,572,212 984,774 122,927 736,865 539,464 249,731 213,693 277,741 1,687,775 9,866,113 6,330,530 495,812 1,371,971 4,252,214 893,117

23,840 5,966 1,325 4,084 5,208 3,870 33,072 56,587 1,384 8,012 5,238 4,207 26,633 2,017 3,409 3,578 4,766 1,856 3,453 10,548 8,006 12,753 6,411 8,979 5,101 34,076 6,380 290,759

15,437 4,558 979 1,496 2,160 2,617 19,788 52,313 1,510 8,849 4,535 1,554 13,450 991 4,247 1,290 1,863 2,534 3,440 12,844 6,797 8,080 4,432 9,666 4,586 14,496 2,602 207,114

27,800 158,100 629,700

941 2,706 7,176

1,125 2,041 7,611

1,112,453 1,308,842 1,974,939 4,827 24,530 2,393 466,293 128,062 63,820 988,807

See Accompanying Notes to the Financial Statements.

209

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Japan - 20.6% - (Continued) Aeon Credit Service Co. Ltd. Aeon Mall Co. Ltd. Air Water, Inc. Aisin Seiki Co. Ltd. Ajinomoto Co., Inc. Alfresa Holdings Corp. All Nippon Airways Co. Ltd. Amada Co. Ltd. Aozora Bank Ltd. Asahi Glass Co. Ltd. Asahi Group Holdings Ltd. Asahi Kasei Corp. Asics Corp. Astellas Pharma, Inc. Bank of Kyoto (The) Ltd. Bank of Yokohama (The) Ltd. Benesse Holdings, Inc. Bridgestone Corp. Brother Industries Ltd. Canon, Inc. Casio Computer Co. Ltd. Central Japan Railway Co. Chiba Bank (The) Ltd. Chiyoda Corp. Chubu Electric Power Co., Inc. Chugai Pharmaceutical Co. Ltd. Chugoku Bank (The) Ltd. Chugoku Electric Power (The) Co., Inc. Citizen Holdings Co. Ltd. Coca-Cola West Co. Ltd. Cosmo Oil Co. Ltd. Credit Saison Co. Ltd. Dai Nippon Printing Co. Ltd. Daicel Corp. Daido Steel Co. Ltd. Daihatsu Motor Co. Ltd. Dai-ichi Life Insurance (The) Co. Ltd. Daiichi Sankyo Co. Ltd. Daikin Industries Ltd. Dainippon Sumitomo Pharma Co. Ltd. Daito Trust Construction Co. Ltd. Daiwa House Industry Co. Ltd. Daiwa Securities Group, Inc. Dena Co. Ltd. Denki Kagaku Kogyo K.K. Denso Corp. Dentsu, Inc. East Japan Railway Co. Eisai Co. Ltd. Electric Power Development Co. Ltd. FamilyMart Co. Ltd.

82,988 76,500 153,643 200,800 676,000 43,500 1,191,000 379,000 611,000 1,058,000 405,300 1,322,000 155,800 466,400 338,799 1,284,000 70,800 682,400 247,200 1,189,778 235,400 1,579 800,000 163,372 675,500 234,900 181,000 311,200 274,600 64,477 574,000 165,200 589,000 303,000 294,000 202,000 8,930 707,100 245,500 167,100 76,200 536,000 1,742,000 110,900 499,000 510,200 189,477 356,961 264,197 122,600 62,000

See Accompanying Notes to the Financial Statements.

210

COST

$

1,107 1,637 1,901 5,750 7,282 1,875 3,398 2,494 1,246 9,382 7,819 7,435 1,671 17,848 2,966 6,291 3,159 13,372 2,896 49,800 1,649 12,330 4,936 1,546 14,468 4,145 2,377 6,006 1,572 1,155 1,589 2,721 6,670 1,857 1,515 2,861 12,420 13,604 7,682 1,659 5,213 6,214 7,804 2,881 1,937 14,925 5,067 22,572 10,079 3,520 2,290

VALUE

$

1,596 1,846 1,861 6,183 9,608 2,323 2,760 2,019 1,416 6,272 9,144 7,076 1,839 22,275 2,494 5,853 3,350 15,562 2,311 40,370 1,564 13,101 4,691 2,148 7,239 4,545 2,318 3,985 1,533 1,108 1,264 3,786 4,517 1,831 1,679 3,412 9,513 11,698 6,739 1,855 7,366 7,673 6,580 2,417 1,661 16,456 5,068 22,944 11,738 2,896 2,945

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Japan - 20.6% - (Continued) FANUC Corp. Fast Retailing Co. Ltd. Fuji Electric Co. Ltd. Fuji Heavy Industries Ltd. FUJIFILM Holdings Corp. Fujitsu Ltd. Fukuoka Financial Group, Inc. Furukawa Electric Co. Ltd. Gree, Inc. GS Yuasa Corp. Gunma Bank (The) Ltd. Hachijuni Bank (The) Ltd. Hakuhodo DY Holdings, Inc. Hamamatsu Photonics K.K. Hankyu Hanshin Holdings, Inc. Hino Motors Ltd. Hirose Electric Co. Ltd. Hisamitsu Pharmaceutical Co., Inc. Hitachi Chemical Co. Ltd. Hitachi Construction Machinery Co. Ltd. Hitachi High-Technologies Corp. Hitachi Ltd. Hitachi Metals Ltd. Hokkaido Electric Power Co., Inc. Hokuriku Electric Power Co. Honda Motor Co. Ltd. Hoya Corp. Hulic Co. Ltd. Ibiden Co. Ltd. Idemitsu Kosan Co. Ltd. IHI Corp. Inpex Corp. Isetan Mitsukoshi Holdings Ltd. Isuzu Motors Ltd. ITOCHU Corp. Itochu Techno-Solutions Corp. Iyo Bank (The) Ltd. J. Front Retailing Co. Ltd. Japan Petroleum Exploration Co. Japan Prime Realty Investment Corp. Japan Real Estate Investment Corp. Japan Retail Fund Investment Corp. Japan Steel Works (The) Ltd. Japan Tobacco, Inc. JFE Holdings, Inc. JGC Corp. Joyo Bank (The) Ltd. JSR Corp. JTEKT Corp. Jupiter Telecommunications Co. Ltd. JX Holdings, Inc.

201,100 55,700 594,000 616,926 485,200 1,956,000 814,000 668,000 97,448 366,000 401,000 437,973 24,200 74,113 1,199,000 272,000 31,550 65,000 108,289 113,500 65,157 4,743,000 173,000 191,100 176,500 1,711,000 455,800 249,700 125,500 23,300 1,384,000 2,302 371,420 1,247,000 1,579,600 25,900 270,000 510,000 30,300 715 571 1,977 331,000 944,400 484,400 218,000 679,000 187,500 232,000 2,173 2,355,629

See Accompanying Notes to the Financial Statements.

211

COST

$

26,046 9,317 1,413 3,575 13,198 11,075 3,295 2,357 1,884 2,456 2,171 2,480 1,331 2,513 5,780 1,374 3,182 2,578 1,967 2,234 1,331 21,737 1,811 3,359 3,702 55,981 10,168 1,379 3,319 2,093 2,900 14,181 3,785 4,547 14,187 949 2,481 2,440 1,325 1,730 4,954 2,811 3,015 19,310 12,973 4,844 3,046 3,403 2,530 2,168 13,011

VALUE

$

31,440 11,518 1,323 4,637 8,760 7,764 2,991 1,403 1,551 1,467 1,961 2,338 1,605 2,613 6,448 1,902 3,034 3,287 1,662 2,061 1,641 28,239 1,914 1,764 1,806 55,887 10,190 1,314 2,063 1,969 2,977 12,940 3,942 6,435 16,524 1,343 2,092 2,547 1,151 1,865 5,410 3,319 1,822 29,795 6,444 6,738 3,043 3,337 2,062 2,170 11,461

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Japan - 20.6% - (Continued) Kajima Corp. Kamigumi Co. Ltd. Kaneka Corp. Kansai Electric Power (The) Co., Inc. Kansai Paint Co. Ltd. Kao Corp. Kawasaki Heavy Industries Ltd. Kawasaki Kisen Kaisha Ltd. KDDI Corp. Keikyu Corp. Keio Corp. Keisei Electric Railway Co. Ltd. Keyence Corp. Kikkoman Corp. Kinden Corp. Kintetsu Corp. Kirin Holdings Co. Ltd. Kobe Steel Ltd. Koito Manufacturing Co. Ltd. Komatsu Ltd. Konami Corp. Konica Minolta Holdings, Inc. Kubota Corp. Kuraray Co. Ltd. Kurita Water Industries Ltd. Kyocera Corp. Kyowa Hakko Kirin Co. Ltd. Kyushu Electric Power Co., Inc. Lawson, Inc. LIXIL Group Corp. Mabuchi Motor Co. Ltd. Makita Corp. Marubeni Corp. Marui Group Co. Ltd. Maruichi Steel Tube Ltd. Mazda Motor Corp. McDonald’s Holdings Co. Japan Ltd. Medipal Holdings Corp. MEIJI Holdings Co. Ltd. Miraca Holdings, Inc. Mitsubishi Chemical Holdings Corp. Mitsubishi Corp. Mitsubishi Electric Corp. Mitsubishi Estate Co. Ltd. Mitsubishi Gas Chemical Co., Inc. Mitsubishi Heavy Industries Ltd. Mitsubishi Logistics Corp. Mitsubishi Materials Corp. Mitsubishi Motors Corp. Mitsubishi Tanabe Pharma Corp. Mitsubishi UFJ Financial Group, Inc.

884,000 244,000 294,124 789,000 228,000 552,287 1,495,000 761,000 2,824 494,000 608,000 289,000 47,798 178,000 141,000 1,707,690 912,000 2,617,609 101,509 980,800 104,900 499,500 1,148,000 361,100 118,400 160,400 273,000 448,000 63,200 279,056 25,200 117,000 1,734,978 235,700 49,700 2,722,000 69,027 153,600 63,867 58,088 1,419,500 1,474,900 2,029,000 1,313,000 410,000 3,185,000 130,000 1,172,000 4,068,926 235,700 13,370,348

See Accompanying Notes to the Financial Statements.

212

COST

$

2,492 1,993 1,794 15,710 1,967 14,020 4,050 2,302 16,880 4,206 4,011 1,914 10,178 2,000 1,177 6,401 11,962 4,748 1,527 22,341 2,389 4,352 9,873 4,540 3,282 13,853 2,947 8,108 3,333 5,399 1,174 3,918 10,208 1,684 1,044 5,112 1,639 1,756 2,634 2,166 7,464 32,228 17,156 21,603 2,354 12,908 1,475 3,344 5,398 3,377 66,668

VALUE

$

2,547 1,968 1,525 5,940 2,397 14,999 3,599 1,169 19,562 4,624 4,484 2,620 12,002 2,250 953 6,800 10,416 2,480 1,297 22,077 2,259 3,569 10,980 4,263 2,683 12,836 3,052 3,516 4,548 5,878 986 3,964 11,729 1,738 974 3,311 1,997 2,222 2,928 2,484 6,052 29,574 16,237 23,805 2,378 12,968 1,387 3,271 3,907 3,615 65,225

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Japan - 20.6% - (Continued) Mitsubishi UFJ Lease & Finance Co. Ltd. Mitsui & Co. Ltd. Mitsui Chemicals, Inc. Mitsui Fudosan Co. Ltd. Mitsui O.S.K. Lines Ltd. Mizuho Financial Group, Inc. MS&AD Insurance Group Holdings Murata Manufacturing Co. Ltd. Nabtesco Corp. Namco Bandai Holdings, Inc. NEC Corp. Nexon Co. Ltd. NGK Insulators Ltd. NGK Spark Plug Co. Ltd. NHK Spring Co. Ltd. Nidec Corp. Nikon Corp. Nintendo Co. Ltd. Nippon Building Fund, Inc. Nippon Electric Glass Co. Ltd. Nippon Express Co. Ltd. Nippon Meat Packers, Inc. Nippon Paper Group, Inc. Nippon Steel Corp. Nippon Telegraph & Telephone Corp. Nippon Yusen K.K. Nishi-Nippon City Bank (The) Ltd. Nissan Motor Co. Ltd. Nisshin Seifun Group, Inc. Nisshin Steel Co. Ltd. Nissin Foods Holdings Co. Ltd. Nitori Holdings Co. Ltd. Nitto Denko Corp. NKSJ Holdings, Inc. NOK Corp. Nomura Holdings, Inc. Nomura Real Estate Holdings, Inc. Nomura Real Estate Office Fund, Inc. Nomura Research Institute Ltd. NSK Ltd. NTN Corp. NTT Data Corp. NTT DoCoMo, Inc. NTT Urban Development Corp. Obayashi Corp. Odakyu Electric Railway Co. Ltd. OJI Paper Co. Ltd. Olympus Corp. Omron Corp. Ono Pharmaceutical Co. Ltd. Oracle Corp. Japan

60,799 1,823,404 907,000 880,000 1,143,000 23,952,830 532,192 212,596 106,416 187,100 2,732,229 112,800 283,000 186,000 164,600 114,100 357,900 111,600 644 392,500 891,000 180,000 102,367 5,362,000 458,129 1,691,000 714,000 2,608,900 197,500 726,000 61,700 35,900 172,900 392,225 108,400 3,814,900 99,400 286 105,434 465,000 480,000 1,320 16,031 1,219 680,000 657,000 840,000 226,802 213,700 86,400 39,900

See Accompanying Notes to the Financial Statements.

213

COST

$

2,210 26,794 2,788 14,946 5,893 40,909 12,048 11,267 2,131 2,216 6,701 2,002 4,404 2,292 1,471 9,470 7,621 23,505 5,882 4,137 3,605 2,256 2,485 16,795 20,852 5,663 1,931 21,692 2,431 1,266 2,224 3,028 6,373 9,364 1,753 20,486 1,575 1,676 2,304 3,183 2,001 4,234 26,635 998 3,019 5,908 3,895 5,202 4,334 4,340 1,618

VALUE

$

2,452 27,246 2,056 17,194 3,498 39,564 8,702 10,684 2,350 2,700 3,673 2,341 3,287 2,174 1,747 9,043 10,008 12,503 6,275 2,091 3,651 2,372 1,304 10,848 21,323 3,789 1,572 24,853 2,367 809 2,364 3,365 7,516 7,568 2,097 13,579 1,859 1,653 2,196 2,846 1,303 4,023 26,951 993 3,108 6,764 2,818 4,298 4,307 5,465 1,796

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Japan - 20.6% - (Continued) Oriental Land Co. Ltd. ORIX Corp. Osaka Gas Co. Ltd. Otsuka Corp. Otsuka Holdings Co. Ltd. Panasonic Corp. Rakuten, Inc. Resona Holdings, Inc. Ricoh Co. Ltd. Rinnai Corp. Rohm Co. Ltd. Sankyo Co. Ltd. Sanrio Co. Ltd. Santen Pharmaceutical Co. Ltd. SBI Holdings, Inc. Secom Co. Ltd. Sega Sammy Holdings, Inc. Seiko Epson Corp. Sekisui Chemical Co. Ltd. Sekisui House Ltd. Seven & I Holdings Co. Ltd. Seven Bank Ltd. Sharp Corp. Shikoku Electric Power Co., Inc. Shimadzu Corp. Shimamura Co. Ltd. Shimano, Inc. Shimizu Corp. Shin-Etsu Chemical Co. Ltd. Shinsei Bank Ltd. Shionogi & Co. Ltd. Shiseido Co. Ltd. Shizuoka Bank (The) Ltd. Showa Denko K.K. Showa Shell Sekiyu K.K. SMC Corp. Softbank Corp. Sojitz Corp. Sony Corp. Sony Financial Holdings, Inc. Square Enix Holdings Co. Ltd. Stanley Electric Co. Ltd. Sumco Corp. Sumitomo Chemical Co. Ltd. Sumitomo Corp. Sumitomo Electric Industries Ltd. Sumitomo Heavy Industries Ltd. Sumitomo Metal Industries Ltd. Sumitomo Metal Mining Co. Ltd. Sumitomo Mitsui Financial Group, Inc. Sumitomo Mitsui Trust Holdings, Inc.

52,600 110,050 1,964,000 16,400 380,592 2,316,200 761,700 1,979,614 665,000 34,000 101,289 51,500 46,488 77,700 23,391 220,100 209,900 135,488 455,000 569,000 790,600 562,816 1,048,000 178,700 248,000 23,400 78,000 619,000 430,700 1,587,000 313,200 377,300 575,000 1,492,000 197,300 56,600 930,000 1,315,000 1,054,200 182,000 67,100 151,678 120,600 1,567,000 1,180,800 790,900 580,000 3,524,000 550,000 1,409,834 3,266,220

See Accompanying Notes to the Financial Statements.

214

COST

$

4,669 8,908 7,356 1,054 10,648 26,347 6,638 11,720 7,520 2,002 5,708 2,660 2,248 2,776 2,853 10,076 3,592 1,957 3,322 5,226 20,590 1,234 9,693 5,004 1,930 2,252 3,727 2,532 22,382 1,913 5,391 6,991 5,597 2,968 1,596 8,051 26,352 2,387 25,472 2,874 1,370 2,520 1,657 6,480 14,469 9,429 3,104 7,802 7,788 45,932 11,177

VALUE

$

6,560 10,526 8,072 1,449 11,622 16,193 7,598 8,136 4,606 2,203 3,665 2,565 1,613 3,318 1,602 10,258 4,502 1,091 3,892 5,479 25,155 1,412 3,623 2,762 2,039 2,727 5,213 1,942 21,949 1,809 4,483 5,430 5,816 2,713 1,079 9,602 35,783 2,054 12,999 2,936 1,042 2,255 928 4,394 16,722 9,418 2,354 5,234 5,944 44,913 9,452

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Japan - 20.6% - (Continued) Sumitomo Realty & Development Co. Ltd. Sumitomo Rubber Industries Ltd. Suruga Bank Ltd. Suzuken Co. Ltd. Suzuki Motor Corp. Sysmex Corp. T&D Holdings, Inc. Taiheiyo Cement Corp. Taisei Corp. Taisho Pharmaceutical Holdings Co. Ltd. Taiyo Nippon Sanso Corp. Takashimaya Co. Ltd. Takeda Pharmaceutical Co. Ltd. TDK Corp. Teijin Ltd. Terumo Corp. THK Co. Ltd. Tobu Railway Co. Ltd. Toho Co. Ltd. Toho Gas Co. Ltd. Tohoku Electric Power Co., Inc. Tokio Marine Holdings, Inc. Tokyo Electric Power Co., Inc. Tokyo Electron Ltd. Tokyo Gas Co. Ltd. Tokyu Corp. Tokyu Land Corp. TonenGeneral Sekiyu K.K. Toppan Printing Co. Ltd. Toray Industries, Inc. Toshiba Corp. Tosoh Corp. TOTO Ltd. Toyo Seikan Kaisha Ltd. Toyo Suisan Kaisha Ltd. Toyoda Gosei Co. Ltd. Toyota Boshoku Corp. Toyota Industries Corp. Toyota Motor Corp. Toyota Tsusho Corp. Trend Micro, Inc. Tsumura & Co. Ube Industries Ltd. Unicharm Corp. Ushio, Inc. USS Co. Ltd. West Japan Railway Co. Yahoo Japan Corp. Yakult Honsha Co. Ltd. Yamada Denki Co. Ltd. Yamaguchi Financial Group, Inc.

376,000 180,200 189,830 73,696 381,975 75,680 607,100 1,160,000 1,080,000 38,100 257,000 278,000 828,704 129,217 984,000 159,300 125,500 1,071,000 118,800 431,000 472,900 759,700 1,518,100 179,700 2,582,000 1,194,000 450,000 296,000 588,000 1,540,000 4,224,000 540,000 292,000 158,400 93,000 69,100 69,200 170,800 2,895,220 223,300 110,242 62,800 1,064,000 119,400 109,000 23,060 178,346 15,239 101,600 91,330 222,000

See Accompanying Notes to the Financial Statements.

215

COST

$

7,442 1,877 1,761 2,196 8,261 2,433 6,964 2,357 2,575 2,732 2,088 2,098 36,309 6,590 3,248 7,813 2,393 5,479 1,990 2,377 7,814 20,166 22,785 9,561 11,347 5,499 1,870 2,935 4,707 9,672 19,287 1,539 2,070 2,490 2,283 1,514 1,011 4,700 109,491 3,615 3,498 1,906 2,867 4,764 1,719 1,791 6,931 5,043 2,902 5,759 2,197

VALUE

$

9,494 2,185 2,017 2,653 7,048 3,319 6,250 2,570 2,987 3,049 1,451 2,040 38,199 4,964 2,910 6,568 2,245 5,814 2,139 2,599 3,064 17,626 2,546 8,456 13,356 5,748 2,299 2,433 3,674 9,721 14,170 1,341 2,180 1,882 2,242 1,431 784 4,595 111,953 4,172 3,297 1,770 2,343 6,589 1,386 2,495 7,718 5,577 3,942 4,765 1,882

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Japan - 20.6% - (Continued) Yamaha Corp. Yamaha Motor Co. Ltd. Yamato Holdings Co. Ltd. Yamato Kogyo Co. Ltd. Yamazaki Baking Co. Ltd. Yaskawa Electric Corp. Yokogawa Electric Corp.

166,300 292,000 391,800 43,900 113,905 224,000 212,000

COST

$

1,786 3,897 5,864 1,268 1,460 1,821 1,770

VALUE

$

1,616 2,494 6,456 1,251 1,594 1,626 2,196

2,256,510

2,146,867

188,373

3,685

4,297

Netherlands - 5.0% Aegon N.V. Akzo Nobel N.V. ArcelorMittal ASML Holding N.V. Corio N.V. DE Master Blenders 1753 N.V. Delta Lloyd N.V. European Aeronautic Defence and Space Co. N.V. Fugro N.V. - CVA Gemalto N.V. Heineken Holding N.V. Heineken N.V. ING Groep N.V. - CVA Koninklijke Ahold N.V. Koninklijke Boskalis Westminster N.V. Koninklijke DSM N.V. Koninklijke KPN N.V. Koninklijke Philips Electronics N.V. Koninklijke Vopak N.V. QIAGEN N.V. Randstad Holding N.V. Reed Elsevier N.V. Royal Dutch Shell PLC, Class A Royal Dutch Shell PLC, Class B SBM Offshore N.V. TNT Express N.V. Unilever N.V. - CVA Wolters Kluwer N.V.

1,804,852 246,352 983,038 440,868 68,109 620,142 107,212 431,003 72,312 83,331 106,265 241,939 4,021,365 1,097,615 73,586 161,884 1,078,189 1,059,051 73,712 246,066 125,337 721,732 3,850,629 2,793,425 180,616 342,989 1,709,936 316,221

10,501 13,194 25,288 15,571 3,615 6,991 1,982 11,358 4,220 5,494 4,264 11,450 35,610 13,895 2,662 7,533 14,663 24,980 3,499 4,385 4,692 8,471 121,878 88,316 3,405 3,983 52,185 6,069 510,154

8,240 13,320 15,817 25,638 3,018 7,194 1,401 15,531 4,742 6,393 4,891 13,127 26,649 13,376 2,405 7,981 8,858 23,320 4,679 4,393 3,808 8,485 131,101 98,455 2,207 3,723 59,501 5,263 523,516

New Zealand - 0.1% Auckland International Airport Ltd. Contact Energy Ltd. Fletcher Building Ltd. SKYCITY Entertainment Group Ltd. Telecom Corp. of New Zealand Ltd.

976,080 381,391 715,819 604,690 2,023,524

1,592 1,535 3,838 1,500 3,009 11,474

1,973 1,551 3,551 1,748 4,370 13,193

172,969

2,241

2,553

Mexico - 0.0% Fresnillo PLC

Norway - 0.9% Aker Solutions ASA

See Accompanying Notes to the Financial Statements.

216

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Norway - 0.9% - (Continued) DNB ASA Gjensidige Forsikring ASA Norsk Hydro ASA Orkla ASA Seadrill Ltd. Statoil ASA Telenor ASA Yara International ASA Portugal - 0.2% Banco Espirito Santo S.A. (Registered) Energias de Portugal S.A. Galp Energia SGPS S.A. Jeronimo Martins SGPS S.A. Portugal Telecom SGPS S.A. (Registered) Singapore - 1.9% Ascendas Real Estate Investment Trust CapitaLand Ltd. CapitaMall Trust CapitaMalls Asia Ltd. City Developments Ltd. ComfortDelGro Corp. Ltd. Cosco Corp. Singapore Ltd. DBS Group Holdings Ltd. Fraser and Neave Ltd. Genting Singapore PLC Global Logistic Properties Ltd. Golden Agri-Resources Ltd. Hutchison Port Holdings Trust, Class U Jardine Cycle & Carriage Ltd. Keppel Corp. Ltd. Keppel Land Ltd. Neptune Orient Lines Ltd. Olam International Ltd. Oversea-Chinese Banking Corp. Ltd. SembCorp Industries Ltd. SembCorp Marine Ltd. Singapore Airlines Ltd. Singapore Exchange Ltd. Singapore Press Holdings Ltd. Singapore Technologies Engineering Ltd. Singapore Telecommunications Ltd. StarHub Ltd. United Overseas Bank Ltd. UOL Group Ltd. Wilmar International Ltd. Spain - 2.4% Abertis Infraestructuras S.A.

1,025,375 210,619 977,905 807,430 369,244 1,171,083 760,063 195,953

COST

$

10,771 2,551 5,482 6,512 10,758 27,302 10,564 7,938

VALUE

$

10,825 2,591 3,999 5,791 14,512 28,016 12,914 9,307

84,119

90,508

2,102,376 2,005,657 242,877 231,743 655,547

3,038 6,888 3,886 3,039 5,659 22,510

1,295 4,580 3,290 3,639 2,785 15,589

1,987,079 2,690,375 2,435,920 1,428,528 527,000 1,990,000 1,067,000 1,904,705 968,092 6,391,553 2,168,599 7,014,983 5,490,000 112,214 1,500,200 776,826 959,466 1,667,686 2,709,307 1,031,556 870,600 567,854 898,000 1,688,602 1,612,000 8,362,789 624,612 1,335,270 486,842 2,011,000

2,946 6,392 3,220 2,049 4,012 2,220 1,053 18,832 3,935 6,772 3,531 3,116 4,699 3,072 9,812 1,968 1,118 2,949 16,910 3,218 2,660 5,254 4,829 4,730 3,586 19,291 1,200 17,448 1,467 8,279 170,568

3,625 6,487 3,837 1,871 4,955 2,687 832 22,564 6,364 6,704 3,921 4,172 4,186 4,212 13,480 2,148 887 2,473 20,795 4,386 3,400 4,838 4,828 5,578 4,275 24,062 1,928 21,463 2,027 5,236 198,221

385,013

6,426

4,768

See Accompanying Notes to the Financial Statements.

217

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Spain - 2.4% - (Continued) Acciona S.A. Acerinox S.A. ACS Actividades de Construccion y Servicios S.A. Amadeus IT Holding S.A., Class A Banco Bilbao Vizcaya Argentaria S.A. Banco de Sabadell S.A. Banco Popular Espanol S.A. Banco Santander S.A. Bankia S.A. CaixaBank CaixaBank Distribuidora Internacional de Alimentacion S.A. Enagas S.A. Ferrovial S.A. Gas Natural SDG S.A. Grifols S.A. Grifols S.A., Class B Iberdrola S.A. Inditex S.A. Mapfre S.A. Red Electrica Corp. S.A. Repsol S.A. Repsol S.A. Telefonica S.A. Zardoya Otis S.A. Sweden - 3.2% Alfa Laval AB Assa Abloy AB, Class B Atlas Copco AB, Class A Atlas Copco AB, Class B Boliden AB Electrolux AB, Class B Elekta AB, Class B Getinge AB, Class B Hennes & Mauritz AB, Class B Hexagon AB, Class B Holmen AB, Class B Husqvarna AB, Class B Industrivarden AB, Class C Investment AB Kinnevik, Class B Investor AB, Class B Lundin Petroleum AB Millicom International Cellular S.A. Modern Times Group AB, Class B Nordea Bank AB Ratos AB, Class B Sandvik AB Scania AB, Class B Securitas AB, Class B Skandinaviska Enskilda Banken AB, Class A

23,534 103,531 149,153 328,056 4,970,849 2,183,234 1,118,061 9,826,108 819,790 802,145 1,531 645,280 187,697 424,334 362,691 145,824 10,753 4,265,817 228,937 802,903 113,509 863,933 3,006 4,311,563 152,732

351,867 348,203 617,006 509,386 287,814 252,603 95,892 209,986 996,351 248,723 55,832 421,874 123,573 216,031 477,730 233,777 65,900 47,780 2,760,341 199,789 1,054,184 335,506 328,873 1,478,660

See Accompanying Notes to the Financial Statements.

218

COST

$

2,311 1,632 5,434 6,169 52,808 7,414 6,045 95,843 3,958 3,655 5 3,038 3,665 4,450 5,617 2,514 110 28,007 16,735 2,676 5,337 21,440 47 90,564 2,282

VALUE

$

1,029 1,034 2,360 7,105 32,593 4,168 2,105 59,902 806 2,632 5 3,181 3,259 4,625 4,478 4,551 244 15,498 23,636 1,466 4,505 13,837 48 48,994 1,702

378,182

248,531

5,632 7,741 11,177 8,381 4,041 4,937 4,589 4,618 30,388 4,094 1,546 2,510 1,742 3,947 8,991 5,698 5,768 2,399 24,868 2,726 13,263 5,249 3,067 9,152

6,116 10,586 13,923 10,242 4,400 5,748 4,467 6,019 36,939 4,770 1,502 2,162 1,667 4,461 9,992 4,976 5,979 2,197 25,859 2,075 14,712 5,802 2,684 10,901

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Sweden - 3.2% - (Continued) Skanska AB, Class B SKF AB, Class B SSAB AB, Class A Svenska Cellulosa AB, Class B Svenska Handelsbanken AB, Class A Swedbank AB, Class A Swedish Match AB Tele2 AB, Class B Telefonaktiebolaget LM Ericsson, Class B TeliaSonera AB Volvo AB, Class B Switzerland - 8.9% ABB Ltd. (Registered) Actelion Ltd. (Registered) Adecco S.A. (Registered) Aryzta A.G. Aryzta A.G. (Turquoise Exchange) Baloise Holding A.G. (Registered) Banque Cantonale Vaudoise (Registered) Barry Callebaut A.G. (Registered) Cie Financiere Richemont S.A., Class A (Bearer) Credit Suisse Group A.G. (Registered) GAM Holding A.G. Geberit A.G. (Registered) Givaudan S.A. (Registered) Glencore International PLC Holcim Ltd. (Registered) Julius Baer Group Ltd. Kuehne + Nagel International A.G. (Registered) Lindt & Spruengli A.G. (Participation Certificate) Lindt & Spruengli A.G. (Registered) Lonza Group A.G. (Registered) Nestle S.A. (Registered) Novartis A.G. (Registered) Pargesa Holding S.A. (Bearer) Partners Group Holding A.G. Roche Holding A.G. (Genusschein) Schindler Holding A.G. (Participation Certificate) Schindler Holding A.G. (Registered) SGS S.A. (Registered) Sika A.G. (Bearer) Sonova Holding A.G. (Registered) STMicroelectronics N.V. Straumann Holding A.G. (Registered) Sulzer A.G. (Registered) Swatch Group (The) A.G. (Bearer) Swatch Group (The) A.G. (Registered) Swiss Life Holding A.G. (Registered) Swiss Prime Site A.G. (Registered) Swiss Re A.G.

399,068 410,942 165,489 606,019 514,517 861,563 223,323 333,598 3,160,195 2,272,968 1,461,752

2,307,704 116,308 138,824 91,642 1,227 49,749 3,152 1,891 547,763 1,220,370 194,659 39,661 8,721 1,452,122 240,355 216,490 56,746 935 110 55,200 3,463,887 2,414,437 28,320 14,030 737,431 50,926 22,518 5,738 2,259 51,499 671,890 9,023 25,123 32,394 45,467 32,053 51,160 369,515

See Accompanying Notes to the Financial Statements.

219

COST

$

6,258 8,056 2,029 8,535 14,120 10,903 6,238 5,649 31,680 15,191 16,956

VALUE

$

6,048 8,529 1,365 10,337 17,931 15,051 9,431 5,538 29,511 15,082 18,118

302,139

335,120

43,636 5,270 6,773 3,858 61 3,982 1,612 1,721 23,998 42,744 2,336 6,828 7,376 10,503 14,808 8,000 6,061 2,414 3,290 3,840 178,190 129,072 2,077 2,552 117,340 4,833 2,139 8,861 4,104 5,205 5,114 1,775 3,871 10,667 2,697 3,289 4,085 17,754

40,408 5,324 6,120 4,561 61 3,292 1,612 1,711 31,138 20,843 2,155 7,807 8,498 7,284 14,217 7,768 6,475 2,900 3,947 2,499 213,241 141,829 1,711 2,564 131,013 5,967 2,645 11,506 4,226 4,881 3,660 1,214 3,255 12,908 3,184 3,077 4,288 23,240

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) Switzerland - 8.9% - (Continued) Swisscom A.G. (Registered) Syngenta A.G. (Registered) Transocean Ltd. UBS A.G. (Registered) Wolseley PLC Xstrata PLC Zurich Financial Services A.G. United Kingdom - 19.7% 3i Group PLC Aberdeen Asset Management PLC Admiral Group PLC Aggreko PLC AMEC PLC Anglo American PLC Antofagasta PLC ARM Holdings PLC Associated British Foods PLC AstraZeneca PLC Aviva PLC Babcock International Group PLC BAE Systems PLC Balfour Beatty PLC Barclays PLC BG Group PLC BHP Billiton PLC BP PLC British American Tobacco PLC British Land Co. PLC British Sky Broadcasting Group PLC BT Group PLC Bunzl PLC Burberry Group PLC Capita PLC Capital Shopping Centres Group PLC Carnival PLC Centrica PLC Cobham PLC Compass Group PLC Croda International PLC Diageo PLC Eurasian Natural Resources Corp. PLC Evraz PLC G4S PLC GKN PLC GlaxoSmithKline PLC Hammerson PLC HSBC Holdings PLC ICAP PLC IMI PLC Imperial Tobacco Group PLC

24,430 99,273 367,621 3,819,388 298,665 2,177,674 154,645

1,017,494 899,335 212,103 279,903 347,082 1,392,533 413,636 1,441,631 373,658 1,339,875 3,051,030 376,963 3,396,398 717,824 12,164,061 3,564,397 2,216,716 19,920,746 2,066,426 896,139 1,173,817 8,165,322 346,956 460,233 685,751 588,250 190,114 5,428,908 1,133,576 1,987,026 142,163 2,626,759 269,278 350,348 1,480,621 1,630,918 5,299,315 745,362 18,898,631 577,880 336,729 1,050,243

See Accompanying Notes to the Financial Statements.

220

COST

$

9,084 27,696 21,346 54,926 8,332 34,525 35,074

VALUE

$

9,803 33,961 17,517 40,291 10,777 28,937 34,514

893,719

928,829

3,811 3,388 3,851 7,256 4,935 52,481 6,865 9,614 5,945 61,065 17,221 3,917 17,070 3,146 48,302 70,057 66,305 152,018 80,516 6,786 11,828 21,354 4,174 6,956 7,583 3,243 6,460 24,596 3,734 16,162 4,927 50,153 3,162 1,940 5,954 5,220 108,583 4,580 176,410 3,665 4,795 33,993

3,322 3,640 3,629 8,955 6,080 41,455 6,947 12,457 7,347 62,696 13,940 5,071 16,438 3,260 32,019 70,479 64,913 132,666 110,000 7,505 13,104 27,800 6,056 9,042 7,639 2,969 6,398 26,964 4,129 21,341 5,234 70,253 1,658 1,304 5,751 5,376 121,929 5,408 158,090 2,883 4,337 40,792

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) United Kingdom - 19.7% - (Continued) Inmarsat PLC InterContinental Hotels Group PLC International Consolidated Airlines Group S.A. Intertek Group PLC Invensys PLC Investec PLC ITV PLC J. Sainsbury PLC Johnson Matthey PLC Kazakhmys PLC Kingfisher PLC Land Securities Group PLC Legal & General Group PLC Lloyds Banking Group PLC London Stock Exchange Group PLC Lonmin PLC Man Group PLC Marks & Spencer Group PLC Meggitt PLC Melrose PLC National Grid PLC Next PLC Old Mutual PLC Pearson PLC Petrofac Ltd. Prudential PLC Randgold Resources Ltd. Reckitt Benckiser Group PLC Reed Elsevier PLC Resolution Ltd. Rexam PLC Rio Tinto PLC Rolls-Royce Holdings PLC Royal Bank of Scotland Group PLC RSA Insurance Group PLC SABMiller PLC Sage Group (The) PLC Schroders PLC Segro PLC Serco Group PLC Severn Trent PLC Smith & Nephew PLC Smiths Group PLC SSE PLC Standard Chartered PLC Standard Life PLC Subsea 7 S.A. Tate & Lyle PLC Tesco PLC TUI Travel PLC Tullow Oil PLC

469,165 305,488 969,396 168,014 851,293 562,301 3,881,989 1,282,437 225,031 220,599 2,482,663 816,923 6,167,634 43,358,375 185,288 169,240 1,897,156 1,680,837 817,752 1,264,495 3,612,952 176,348 5,110,455 856,044 272,536 2,673,946 91,249 692,129 1,278,583 1,445,118 917,653 1,413,202 1,964,598 2,178,590 3,706,260 1,002,309 1,365,131 118,885 777,925 521,174 249,515 938,515 412,339 984,624 2,502,140 2,465,206 294,514 488,392 8,429,435 473,117 949,549

See Accompanying Notes to the Financial Statements.

221

COST

$

4,217 5,279 2,800 5,074 3,366 3,562 3,860 6,480 6,176 3,599 9,315 8,512 9,393 31,946 2,420 3,541 6,372 8,968 4,877 4,432 33,117 6,169 10,874 13,430 5,408 25,705 7,993 35,243 10,237 6,066 4,805 71,349 18,013 10,975 6,994 31,438 5,456 2,465 3,342 4,225 5,293 8,717 6,508 18,893 57,891 8,263 6,756 5,197 49,879 1,613 18,684

VALUE

$

3,614 7,548 2,431 7,197 3,213 3,321 4,592 6,496 7,686 2,437 10,378 10,112 12,321 20,621 2,815 1,851 2,368 8,788 4,914 4,371 37,503 8,894 12,627 16,041 6,367 31,966 8,292 38,031 10,778 4,664 6,247 65,242 26,180 7,294 6,324 43,296 6,149 2,390 2,885 4,708 6,744 9,609 6,893 20,256 57,414 9,343 6,204 5,050 42,012 1,354 19,192

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 97.5%- (CONTINUED) United Kingdom - 19.7% - (Continued) Unilever PLC United Utilities Group PLC Value Realisation Trust PLC(1) Vedanta Resources PLC Vodafone Group PLC Weir Group (The) PLC Whitbread PLC WM Morrison Supermarkets PLC United States - 0.0% Sims Metal Management Ltd. TOTAL COMMON STOCKS PREFERRED STOCKS - 0.5% Germany - 0.5% Bayerische Motoren Werke A.G. Henkel A.G. & Co. KGaA Porsche Automobil Holding S.E. ProSiebenSat.1 Media A.G. RWE A.G. Volkswagen A.G. TOTAL PREFERRED STOCKS RIGHTS - 0.0% Austria - 0.0% Immoeast A.G.(1) Immoeast A.G.(1)

1,346,965 715,466 4,055 111,610 52,305,704 221,447 186,537 2,494,832

40,390 6,430 2,851 128,948 6,242 4,342 11,147

$

48,350 7,656 1,707 149,645 5,742 6,246 10,839 2,048,484

175,189

2,866 10,338,036

1,530 10,158,064

54,751 186,938 160,843 92,404 40,733 151,837

2,314 9,994 9,713 2,204 2,264 19,968 46,457

2,738 13,468 8,324 1,946 1,447 25,992 53,915

194,695 189,866

-

-

8

-

-

149,142 9,826,080 160,400

7 7 7

180 1,803 85 2,068 2,068

575,367

28,499 28,499

28,768 28,768

TOTAL RIGHTS INVESTMENT COMPANIES - 0.3% iShares MSCI EAFE Index Fund TOTAL INVESTMENT COMPANIES

$

VALUE

1,969,558

France - 0.0% Eurazeo(1) Spain - 0.0% ACS Actividades de Construccion y Servicios S.A.(3) Banco Santander S.A.(3) Zardoya Otis S.A.

COST

See Accompanying Notes to the Financial Statements.

222

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Units and Number of Contracts)

UNITS SHORT-TERM INVESTMENTS - 0.5% Northern Trust Global Investments Collective Short-Term Investment Fund(4) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 98.8%

COST

55,895,062

$

55,895 55,895 10,468,894

VALUE

$

55,895 55,895 10,298,710

Other Assets less Liabilities - 1.2%

124,219 $10,422,929

NET ASSETS - 100.0% (1) (2)

(3) (4)

Cost and Value amount rounds to less than $1. Security has been deemed worthless by the Northern Trust Global Investments Pricing and Valuation Committee and is a Level 3 investment. Cost amount rounds to less than $1. Investment in affiliated fund.

Percentages shown are based on Net Assets. SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$

NORTHERN TRUST FUND

$ 4,939,790 24,288 1,147,241 8,608,332

837,508 3,485 1,116,974 8,564,130

$(38,240) 682 (4,530) —

TOTAL

$14,719,651

$10,522,097

$(42,088)

COMMON STOCKS PREFERRED STOCKS MUTUAL FUNDS

There are transactional costs related to American Depositary Receipts (ADRs). Transactional costs of $(3) have been netted against net realized gains (losses) on securities transactions on the Statement of Operations and Changes in Net Assets. As such, the realized gains (losses) between this schedule and the Statement of Operations and Changes in Net Assets will differ by this amount. OPEN FUTURES CONTRACTS: TYPE EURO STOXX 50 FTSE 100 INDEX HANG SENG INDEX NIKKEI 225 SPI 200 INDEX TOPIX INDEX

CURRENCY

Euro British Pound Hong Kong Dollar Japanese Yen Australian Dollar Japanese Yen

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

2,101 579 55 32 184 404

$60,237 50,856 6,992 1,777 20,462 37,969

Long Long Long Long Long Long

9/12 9/12 8/12 9/12 9/12 9/12

$5,218 1,836 342 (1) 569 1,538 $9,502

TOTAL

Foreign currency and other liquid assets are pledged as collateral to cover margin requirements for open futures contracts.

See Accompanying Notes to the Financial Statements.

223

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

At July 31, 2012, the NT Collective EAFE Index Fund - Non Lending’s investments had outstanding foreign currency exchange contracts as follows:

CONTRACTS TO DELIVER CURRENCY

AMOUNT (LOCAL CURRENCY)

IN EXCHANGE FOR CURRENCY

AMOUNT (LOCAL CURRENCY)

UNREALIZED GAINS (LOSSES) SETTLEMENT (U.S. DATE DOLLAR)

COUNTERPARTY

Australian Dollar Australian Dollar

849 3,003

United States Dollar United States Dollar

865 3,050

9/19/12 9/19/12

$ (24) (96)

British Pound

5,259

United States Dollar

8,175

9/19/12

(65)

Morgan Stanley & Co. New York

British Pound British Pound Euro

635 2,271 413

United States Dollar United States Dollar United States Dollar

1,000 3,520 500

9/19/12 9/19/12 9/19/12

6 (39) (9)

UBS Securities New York UBS Securities New York Citibank London

Euro Euro

433 409

United States Dollar United States Dollar

525 500

9/19/12 9/19/12

(9) (4)

Citibank London Morgan Stanley & Co. New York

Euro Euro

7,402 1,521

United States Dollar United States Dollar

9,070 1,865

9/19/12 9/19/12

(51) (10)

Morgan Stanley & Co. New York UBS Securities New York

8,299 189,587 593,685

United States Dollar United States Dollar United States Dollar

1,070 2,400 7,500

9/19/12 9/19/12 9/19/12

(1) (29) (105)

Morgan Stanley & Co. New York Morgan Stanley & Co. New York Morgan Stanley & Co. New York

Hong Kong Dollar Japanese Yen Japanese Yen Singapore Dollar Swedish Krona Swiss Franc Swiss Franc

Morgan Stanley & Co. New York Morgan Stanley & Co. New York

841

United States Dollar

665

9/19/12

(11)

Morgan Stanley & Co. New York

7,642 2,860

United States Dollar United States Dollar

1,085 2,920

9/19/12 9/19/12

(38) (16)

Morgan Stanley & Co. New York Morgan Stanley & Co. New York

218

United States Dollar

220

9/19/12

United States Dollar United States Dollar United States Dollar United States Dollar

345 545 6,955 1,400

Australian Dollar Australian Dollar Australian Dollar Australian Dollar

348 541 7,025 1,400

9/19/12 9/19/12 9/19/12 9/19/12

21 22 405 67

Citibank London Goldman Sachs Capital Markets NY UBS Securities New York UBS Securities New York

United States Dollar United States Dollar

700 1,525

Australian Dollar British Pound

700 978

9/19/12 9/19/12

33 7

UBS Securities New York Goldman Sachs Capital Markets NY

United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar

530 5,420 20,636 1,800 4,285 3,230 800 21,701 555 2,000 4,200 2,875 1,456 300 500 550

British Pound British Pound British Pound British Pound Euro Euro Euro Euro Euro Euro Euro Euro Hong Kong Dollar Hong Kong Dollar Hong Kong Dollar Japanese Yen

341 3,481 13,265 1,151 3,492 2,627 647 17,218 444 1,599 3,369 2,282 11,292 2,327 3,878 44,175

9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12

4 34 146 3 18 7 (2) (484) (8) (30) (49) (63) 1 —* —* 16

Goldman Sachs Capital Markets NY Morgan Stanley & Co. New York UBS Securities New York UBS Securities New York Citibank London Citibank London Citibank London Citibank London Goldman Sachs Capital Markets NY Morgan Stanley & Co. New York UBS Securities New York UBS Securities New York Citibank London Citibank London UBS Securities New York Goldman Sachs Capital Markets NY

See Accompanying Notes to the Financial Statements.

224

(4)

UBS Securities New York

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

CONTRACTS TO DELIVER CURRENCY United States Dollar United States Dollar

IN EXCHANGE FOR CURRENCY

AMOUNT (LOCAL CURRENCY) 372 13,776

Japanese Yen Japanese Yen

United States Dollar

355

United States Dollar United States Dollar

3,600 1,700

United States Dollar United States Dollar United States Dollar

AMOUNT (LOCAL CURRENCY)

UNREALIZED GAINS (LOSSES) SETTLEMENT (U.S. DATE DOLLAR) 9/19/12 9/19/12

Japanese Yen

27,876

Japanese Yen Japanese Yen

286,805 134,940

1,350

Japanese Yen

485 1,900

Japanese Yen Singapore Dollar

United States Dollar United States Dollar

200 300

Singapore Dollar Singapore Dollar

United States Dollar United States Dollar United States Dollar

2,685 300 500

Swedish Krona Swedish Krona Swedish Krona

United States Dollar

2,440

Swiss Franc

2,320

9/19/12

(59)

Citibank London

United States Dollar United States Dollar

700 1400

Swiss Franc Swiss Franc

671 1347

9/19/12 9/19/12

(11) (17)

UBS Securities New York UBS Securities New York

8 204

Inkind Transition Morgan Stanley & Co. New York

9/19/12

2

Morgan Stanley & Co. New York

9/19/12 9/19/12

74 29

UBS Securities New York UBS Securities New York

106,581

9/19/12

15

UBS Securities New York

38,580 2,436

9/19/12 9/19/12

9 58

UBS Securities New York Citibank London

255 383

9/19/12 9/19/12

5 8

Morgan Stanley & Co. New York UBS Securities New York

18,928 2,125 3,544

9/19/12 9/19/12 9/19/12

97 12 21

Morgan Stanley & Co. New York Morgan Stanley & Co. New York UBS Securities New York

$ 98

Total *

$

COUNTERPARTY

29,627 1,091,293

Amount rounds to less than one thousand.

At July 31, 2012, the NT Collective EAFE Index Fund - Non Lending’s investments (excluding short-term investments) were denominated in the following currencies: CONCENTRATION BY CURRENCY Euro British Pound Japanese Yen Australian Dollar Swiss Franc All other currencies less than 5% Total

% OF INVESTMENTS 26.6% 23.1 21.0 9.3 8.6 11.4 100.0%

At July 31, 2012, the NT Collective EAFE Index Fund - Non Lending’s investments (excluding short-term investments) were diversified as follows:

See Accompanying Notes to the Financial Statements.

225

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

INDUSTRY SECTOR Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Total

% OF INVESTMENTS 10.4% 12.2 8.3 22.9 10.4 12.5 4.4 9.5 5.5 3.9 100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, and/or securities indices). Level 3 - Valuations based on inputs that are unobservable and significant. The Fund utilized the following techniques on Level 3 investments: The Fund valued certain securities using prices provided by a third party pricing provider. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective EAFE Index Fund - Non Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

$1,027,842 1,236,828 853,223

$— — —

2,309,985 1,064,002 1,278,728 449,531 973,940 566,836 397,149

LEVEL 3

TOTAL

Common Stocks Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities

$

— — —

$1,027,842 1,236,828 853,223

— — — — — — —

— — — — — — —

2,309,985 1,064,002 1,278,728 449,531 973,940 566,836 397,149

39,000 13,468 1,447

— — —

— — —

39,000 13,468 1,447

— 181 28,768

— — —

1,803 84 —

1,803 265 28,768

Preferred Stocks Consumer Discretionary Consumer Staples Utilities Rights Financials Industrials Investment Companies

See Accompanying Notes to the Financial Statements.

226

NT COLLECTIVE EAFE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

INVESTMENTS

LEVEL 1

LEVEL 3

TOTAL

—

55,895

—

55,895

$10,240,928

$55,895

$1,887

$10,298,710

$

$

$

$

Short-Term Investments Total Investments

LEVEL 2

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts Foreign Currency Exchange Contracts

9,503

—

—

9,503

—

1,332

—

1,332

(1) —

— (1,234)

— —

(1) (1,234)

Liabilities Futures Contracts Foreign Currency Exchange Contracts

$

Total Other Financial Investments

9,502

$

98

$

—

$

9,600

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value: CHANGE IN CHANGE IN UNREALIZED TRANSFERS BALANCE REALIZED REALIZED UNREALIZED TRANSFERS BALANCE AS OF 7/31/11 GAINS (LOSSES) APPRECIATION (DEPRECIATION) PURCHASES (SALES) IN TO LEVEL 3(1) OUT OF LEVEL 3(1) AS OF 7/31/12 Rights (1)

$28

$—

$—

$1,880

$(28)

$7

$—

$—

The value of Transfers In and/or Out of Level 3 was measured using the fair value as of the end of the period ended, July 31, 2012.

The amount of change in total unrealized gains on investments in Level 3 securities still held at July 31, 2012 was approximately $1,881, which is included in the Statement of Operations and Changes in Net Assets as Change in Unrealized Appreciation (Depreciation).

See Accompanying Notes to the Financial Statements.

227

$—

$1,887

NT COLLECTIVE INTERNATIONAL EQUITY FUND - NON LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (Cost $28,663) Investments in Northern Trust Fund, at Value (Cost $408) Foreign Currencies (Cost $38) Receivable for Investments Sold Unrealized Gain on Forward Foreign Currency Exchange Contracts Reclaims Receivable Accrued Income Receivable Total Assets

$

$

28,309 408 38 950 1 198 41 29,945

LIABILITIES Payable for Investments Purchased Unrealized Loss on Forward Foreign Currency Exchange Contracts Accrued Expenses Total Liabilities

$

439 1 15 455

NET ASSETS (Equivalent to $16.978 Per Unit, Based on 1,736,948 Units Outstanding)

$

29,490

$ $

922 922 14 19 11 44

$

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $53 in Foreign Withholding Tax) Total Investment Income Less: Audit Fee Expense Recovery Other Expenses Total Expenses

$

Less: Refund of Expenses by Trustee

(5)

Net Expenses

$

39

Net Investment Income (Loss)

$

883

Net Realized Gains (Losses) on Securities Transactions

$

(551)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(17)

$

3,632 (354) (3,986)

REALIZED AND UNREALIZED GAINS (LOSSES)

Net Unrealized Appreciation (Depreciation) on Investments Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$

Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts and on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year

$

End of Year

29 (11)

Change in Net Unrealized Appreciation (Depreciation)

$

(40)

Net Realized and Unrealized Gains (Losses) on Investments and Foreign Currency Transactions

$

(4,594)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(3,711)

$ $

4,700 (825) 3,875

$

164

UNIT TRANSACTIONS Admission of 289,576 Units Withdrawal of 48,411 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Beginning of Year (1,495,783 Units Outstanding)

29,326

End of Year (1,736,948 Units Outstanding)

$

See Accompanying Notes to the Financial Statements.

228

29,490

NT COLLECTIVE INTERNATIONAL EQUITY FUND - NON LENDING FINANCIAL HIGHLIGHTS For the Years Ended

July 31, 2012

July 31, 2011

July 31, 2010

July 31, 2009

July 31, 2008

Unit Value, Beginning of Year

$

Net Investment Income (Loss)

19.606

$

16.669

$

14.709

$

18.672

$

20.758

0.527

0.501

0.377

0.389

0.536

Net Realized and Unrealized Gains (Losses)

(3.155)

2.436

1.583

(4.352)

(2.622)

Net Increase (Decrease)

(2.628)

2.937

1.960

(3.963)

(2.086)

Unit Value, End of Year

$

Total Return (1)

16.978

$

(13.38)%

19.606

$

17.62%

16.669

$

13.33%

14.709

$

(21.22)%

18.672

(10.05)%

Supplemental Data and Ratios Net Assets (000's Omitted)

$

29,490

$

29,326

$

25,055

$

22,225

$

39,415

Ratio to Average Net Assets of: Expenses - net of refund

0.14%

0.11%

N/A

N/A

N/A

Expenses - before refund

0.16%

0.11%

0.16%

0.16%

0.07%

Net Investment Income (Loss) - net of refund

3.15%

2.67%

N/A

N/A

N/A

Net Investment Income (Loss) - before refund

3.13%

2.67%

2.28%

2.78%

2.62%

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of year. N/A - Not applicable.

See Accompanying Notes to the Financial Statements.

229

NT COLLECTIVE INTERNATIONAL EQUITY FUND - NON LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 92.0% Australia - 2.2% Alumina Ltd. Woodside Petroleum Ltd. WorleyParsons Ltd.

195,429 8,623 7,221

COST

$

363 291 180 834

VALUE

$

140 306 198 644

Belgium - 2.4% Anheuser-Busch InBev N.V.

8,831

305

698

Brazil - 2.7% Petroleo Brasileiro S.A. ADR Vale S.A. ADR

16,219 26,408

511 553 1,064

318 477 795

1,157,000

464

443

2,075

300

321

8,578 18,005 7,276 11,827 6,430 4,200

609 571 501 714 378 314

319 455 443 262 298 301

3,087

2,078

China - 1.5% Bank of China Ltd., Class H Denmark - 1.1% Novo-Nordisk A/S, Class B France - 7.1% BNP Paribas S.A. Bouygues S.A. Danone S.A. Societe Generale S.A. Total S.A. Wendel S.A. Germany - 11.7% Adidas A.G. Allianz S.E. (Registered) Bayer A.G. (Registered) Deutsche Bank A.G. (Registered) E.ON A.G. GEA Group A.G. Infineon Technologies A.G. SAP A.G. Siemens A.G. (Registered)

4,467 3,767 4,410 10,226 4,347 14,211 42,302 11,836 6,431

281 659 304 543 168 409 343 718 621 4,046

336 376 336 313 93 385 309 756 547 3,451

Hong Kong - 0.7% AIA Group Ltd.

60,000

170

211

Ireland - 1.6% WPP PLC

37,442

401

474

103,853 35,091 137,293 27,600 252

260 266 779 317 410

250 335 670 412 424

Japan - 9.8% Kawasaki Heavy Industries Ltd. Kubota Corp. Mitsubishi UFJ Financial Group, Inc. Mitsui & Co. Ltd. NTT DOCOMO, Inc.

See Accompanying Notes to the Financial Statements.

230

NT COLLECTIVE INTERNATIONAL EQUITY FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 92.0%- (CONTINUED) Japan - 9.8% - (Continued) Shimano, Inc. Tokio Marine Holdings, Inc.

5,502 18,400

COST

$

246 495

VALUE

$

368 427

2,773

2,886

31,019 5,704 7,261 16,216

600 237 367 540 1,744

499 332 461 571 1,863

6,968

174

205

Portugal - 1.2% Jeronimo Martins SGPS S.A.

23,043

217

362

Singapore - 1.6% DBS Group Holdings Ltd.

40,314

274

478

3,240 325

377 278 655

679 377 1,056

Spain - 1.1% Banco Santander S.A.

51,220

539

312

Sweden - 3.6% Autoliv, Inc. Husqvarna AB, Class B Telefonaktiebolaget LM Ericsson, Class B

5,388 78,038 39,498

301 354 416

305 400 369

1,071

1,074

8,435 14,787 328 11,224 3,531 895 27,878

173 597 308 484 590 173 471 2,796

148 253 320 659 627 306 370 2,683

44,504 260,803 83,908 27,394 23,783 269,234 14,964 41,766

300 887 513 179 474 530 196 338

215 687 559 294 547 336 281 499

Netherlands - 6.3% ArcelorMittal ASML Holding N.V. Koninklijke Vopak N.V. Royal Dutch Shell PLC, Class B Norway - 0.7% TGS Nopec Geophysical Co. ASA

South Korea - 3.6% Hyundai Motor Co. Samsung Electronics Co. Ltd.

Switzerland - 9.1% ABB Ltd. (Registered) Credit Suisse Group A.G. (Registered) Givaudan S.A. (Registered) Novartis A.G. (Registered) Roche Holding A.G. (Genusschein) Syngenta A.G. (Registered) Xstrata PLC United Kingdom - 18.5% BAE Systems PLC Barclays PLC BP PLC Compass Group PLC GlaxoSmithKline PLC Man Group PLC Pearson PLC Prudential PLC

See Accompanying Notes to the Financial Statements.

231

NT COLLECTIVE INTERNATIONAL EQUITY FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 92.0%- (CONTINUED) United Kingdom - 18.5% - (Continued) Rolls-Royce Holdings PLC Standard Chartered PLC Vodafone Group PLC Weir Group (The) PLC

17,300 24,700 270,295 18,365

United States - 5.5% Halliburton Co. Mead Johnson Nutrition Co. Schlumberger Ltd. Virgin Media, Inc.

COST

$

95 558 770 202

355 285 458 224

393 406 483 352

1,322 27,278

1,634 27,133

35,655

788

564

3,576

597 1,385

612 1,176

Germany - 2.1% Volkswagen A.G. TOTAL PREFERRED STOCKS

UNITS

407,507

COST

$

408 408 29,071

Other Assets less Liabilities - 2.6%

Percentages shown are based on Net Assets. SUMMARY OF INVESTMENTS PURCHASED AND SOLD:

COMMON STOCKS PREFERRED STOCKS

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$12,987 262

$ 8,670 23

$(548) (3)

7,530

7,615

$20,779

$16,308

NORTHERN TRUST FUND TOTAL

$

408 408 28,717 $29,490

Investment in affiliated fund.

TYPE OF INVESTMENT

VALUE

773

NET ASSETS - 100.0% (1)

231 567 773 476 5,465

TOTAL COMMON STOCKS

SHORT-TERM INVESTMENTS - 1.4% Northern Trust Global Investments Collective Short-Term Investment Fund(1) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 97.4%

$

5,042 11,877 5,566 6,775 12,841

PREFERRED STOCKS - 4.0% Brazil - 1.9% Itau Unibanco Holding S.A. ADR

VALUE

See Accompanying Notes to the Financial Statements.

232

— $(551)

NT COLLECTIVE INTERNATIONAL EQUITY FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

At July 31, 2012, the NT Collective International Equity Fund - Non Lending had outstanding foreign currency exchange contracts as follows: CONTRACTS TO DELIVER CURRENCY

AMOUNT (LOCAL CURRENCY)

IN EXCHANGE FOR CURRENCY

AMOUNT (LOCAL CURRENCY)

SETTLEMENT DATE

British Pound Euro

246 9

United States Dollar United States Dollar

386 11

8/1/12 8/1/12

Japanese Yen

40,572

United States Dollar

519

8/3/12

Total *

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR) $

1 —* (1)

$ —*

Amount rounds to less than one thousand.

At July 31, 2012, the NT Collective International Equity Fund - Non Lending’s investments (excluding short-term investments) were denominated in the following currencies: CONCENTRATION BY CURRENCY Euro British Pound United States Dollar Japanese Yen Swiss Franc All other currencies less than 5% Total

% OF INVESTMENTS 31.1% 24.3 11.6 10.2 8.2 14.6 100.0%

At July 31, 2012, the NT Collective International Equity Fund - Non Lending’s investments (excluding short-term investments) were diversified as follows: INDUSTRY SECTOR Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Total

% OF INVESTMENTS 14.5% 6.7 11.8 24.8 8.8 13.8 7.6 7.5 4.2 0.3 100.0%

See Accompanying Notes to the Financial Statements.

233

COUNTERPARTY Chase Manhattan Bank New York Chase Manhattan Bank New York Mellon Bank Pittsburg

NT COLLECTIVE INTERNATIONAL EQUITY FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/ or securities indices). Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security). The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective International Equity Fund - Non Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

$ 3,488

$ —

$—

$ 3,488

1,909 3,332

— —

— —

1,909 3,332

Health Care

6,453 2,491

— —

— —

6,453 2,491

Industrials

3,916

—

—

3,916

Information Technology

2,142 2,112

— —

— —

2,142 2,112

1,197 93

— —

— —

1,197 93

Consumer Discretionary

612

—

—

612

Financials

564 —

— 408

— —

564 408

$28,309

$408

$—

$28,717

$

$ 1

$—

$

Common Stocks Consumer Discretionary Consumer Staples Energy Financials

Materials Telecommunication Services Utilities Preferred Stocks

Short-Term Investments Total Investments

OTHER FINANCIAL INSTRUMENTS Assets Foreign Currency Exchange Contracts

—

1

Liabilities Foreign Currency Exchange Contracts Total Other Financial Instruments *

$

—

(1)

—

—

$ —*

$—

Amount rounds to less than one thousand.

See Accompanying Notes to the Financial Statements.

234

(1) $

—

NT COLLECTIVE INTERNATIONAL EQUITY FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly.

See Accompanying Notes to the Financial Statements.

235

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (Cost $3,603,058) Investments in Northern Trust Fund, at Value (Cost $5,077) Cash Held at Broker (Restricted $893) Foreign Currencies (Cost $30,322) Foreign Currencies Held at Broker (Cost $1,906) Receivable for Investments Sold Receivable for Variation Margin on Futures Contracts Receivable for Fund Units Sold Unrealized Gain on Forward Foreign Currency Exchange Contracts Reclaims Receivable Accrued Income Receivable Total Assets

$

$

3,466,266 5,077 4,204 30,460 1,901 4,707 288 2,703 87 59 13,761 3,529,513

LIABILITIES Payable for Investments Purchased Payable for Fund Units Redeemed Payable for Variation Margin on Futures Contracts Unrealized Loss on Forward Foreign Currency Exchange Contracts Accrued Expenses Total Liabilities

$

8,296 1,185 148 47 130 9,806

NET ASSETS (Equivalent to $140.201 Per Unit, Based on 25,104,812 Units Outstanding)

$

3,519,707

$

$

81,123 541 21 81,685 14 1,110 378 1,502

$

80,183

Net Realized Gains (Losses) on Securities Transactions

$

(36,646)

Net Realized Gains (Losses) on Futures Contracts

$

(1,110)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(4,769)

$

172,854 (135,000) (307,854)

$

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $8,935 in Foreign Withholding Tax) Interest Income Income from Investment in Northern Trust Fund Total Investment Income Audit Fee Expense Recovery Other Expenses Total Expenses Net Investment Income (Loss)

$

REALIZED AND UNREALIZED GAINS (LOSSES)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$

Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts and on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year

$

End of Year

(55) 150

Change in Net Unrealized Appreciation (Depreciation)

$

Net Realized and Unrealized Gains (Losses) on Investments and Futures Contracts and Foreign Currency Transactions

$

(350,174)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(269,991)

$ $

2,333,273 (465,168) 1,868,105

$

1,598,114

UNIT TRANSACTIONS Admission of 16,611,284 Units Withdrawal of 3,272,426 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Beginning of Year (11,765,954 Units Outstanding)

205

1,921,593

End of Year (25,104,812 Units Outstanding)

$

*48.5% owned by NT Collective ACWI ex-US Index Fund - Non Lending *0.3% owned by NT Collective Emerging Markets Index Fund - DC - Non Lending

See Accompanying Notes to the Financial Statements.

236

3,519,707

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING FINANCIAL HIGHLIGHTS

For the Year Ended July 31, 2012

For the Year Ended July 31, 2011

For the Year Ended July 31, 2010

For the Period June 24, 2009 (Commencement of Operations) to July 31, 2009

Unit Value, Beginning of Period

$

Net Investment Income (Loss)

163.318

$

139.668

$

116.587

$

100.000

3.882

3.510

2.736

0.312

Net Realized and Unrealized Gains (Losses)

(26.999)

20.140

20.345

16.275

Net Increase (Decrease)

(23.117)

23.650

23.081

16.587

Unit Value, End of Period Total Return

$

(1)

140.201

$

(14.16)%

163.318

$

16.93%

139.668

$

19.80%

116.587 16.60%

Supplemental Data and Ratios Net Assets (000's Omitted) Ratio to Average Net Assets of:

$

3,519,707

$

1,921,593

$

844,280

$

136,966

(2)

Expenses - net of refund

0.05%

0.05%

N/A

N/A

Expenses - before refund

0.05%

0.05%

0.08%

0.03%

Net Investment Income (Loss) - net of refund

2.89%

2.37%

N/A

N/A

Net Investment Income (Loss) - before refund

2.89%

2.37%

2.19%

2.92%

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of period. Total Return is not annualized for periods less than one year.

(2)

Ratios are annualized for periods less than one year. N/A - Not applicable.

See Accompanying Notes to the Financial Statements. 237

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9% Brazil - 5.9% All America Latina Logistica S.A. Amil Participacoes S.A. Anhanguera Educacional Participacoes S.A. Banco do Brasil S.A. Banco Santander Brasil S.A. Banco Santander Brasil S.A. ADR BM&FBovespa S.A. BR Malls Participacoes S.A. BR Properties S.A. BRF - Brasil Foods S.A. CCR S.A. Centrais Eletricas Brasileiras S.A. CETIP S.A. - Mercados Organizados Cia de Saneamento Basico do Estado de Sao Paulo Cia de Saneamento de Minas Gerais-COPASA Cia Hering Cia Siderurgica Nacional S.A. Cielo S.A. Cosan S.A. Industria e Comercio CPFL Energia S.A. Cyrela Brazil Realty S.A. Empreendimentos e Participacoes Diagnosticos da America S.A. Duratex S.A. EcoRodovias Infraestrutura e Logistica S.A. EDP - Energias do Brasil S.A. Embraer S.A. Fibria Celulose S.A. HRT Participacoes em Petroleo S.A. Hypermarcas S.A. JBS S.A. Light S.A. Localiza Rent a CAR S.A. Lojas Renner S.A. MMX Mineracao e Metalicos S.A. MPX Energia S.A. MRV Engenharia e Participacoes S.A. Multiplan Empreendimentos Imobiliarios S.A. Multiplus S.A. Natura Cosmeticos S.A. Obrascon Huarte Lain Brasil S.A. Odontoprev S.A. OGX Petroleo e Gas Participacoes S.A. Oi S.A. PDG Realty S.A. Empreendimentos e Participacoes Petroleo Brasileiro S.A. Porto Seguro S.A. Raia Drogasil S.A. Redecard S.A. Souza Cruz S.A. Sul America S.A. Tim Participacoes S.A.

444,221 125,486 121,334 568,834 687,191 67,160 1,769,473 404,530 183,900 654,895 876,576 280,259 200,999 114,129 56,800 136,605 739,083 294,124 120,509 240,498 291,705 230,456 245,517 165,626 245,355 560,668 243,235 258,000 337,575 410,834 64,554 130,627 124,505 191,271 49,000 309,730 74,107 47,900 171,452 124,900 264,047 1,283,311 248,942 1,117,476 2,967,729 109,515 197,929 333,668 379,437 108,555 840,345

See Accompanying Notes to the Financial Statements.

238

COST

$

2,992 1,291 2,149 8,717 6,999 871 11,212 4,057 2,097 11,143 5,893 3,239 2,970 3,038 1,208 2,713 8,699 6,249 1,741 2,999 2,933 2,478 1,621 1,310 1,767 3,714 2,719 3,413 2,861 1,405 952 1,941 3,776 971 839 2,214 1,523 1,099 3,802 1,006 1,353 11,141 1,754 4,893 47,362 1,306 1,529 5,239 4,174 989 4,206

VALUE

$

2,048 1,206 1,721 6,008 5,208 512 9,944 4,726 2,123 9,340 7,310 1,921 2,531 4,805 1,388 2,710 3,804 8,586 1,829 2,785 2,133 1,296 1,430 1,330 1,623 3,569 1,850 626 2,164 1,083 796 2,107 3,700 538 800 1,698 1,862 1,157 4,473 1,075 1,273 3,572 1,417 1,890 29,046 946 2,221 5,375 5,369 657 3,498

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) Brazil - 5.9% - (Continued) Totvs S.A. Tractebel Energia S.A. Ultrapar Participacoes S.A. Vale S.A. Chile - 1.7% AES Gener S.A. Aguas Andinas S.A., Class A Banco de Chile Banco de Credito e Inversiones Banco Santander Chile CAP S.A. Cencosud S.A. Cia Cervecerias Unidas S.A. Colbun S.A. Corpbanca E.CL S.A. Empresa Nacional de Electricidad S.A. Empresas CMPC S.A. Empresas COPEC S.A. Enersis S.A. ENTEL Chile S.A. Latam Airlines Group S.A. Latam Airlines Group S.A. BDR S.A.C.I. Falabella Vina Concha y Toro S.A. China - 13.4% Agile Property Holdings Ltd. Agricultural Bank of China Ltd., Class H Air China Ltd., Class H Airtac International Group Aluminum Corp. of China Ltd., Class H Angang Steel Co. Ltd., Class H Anhui Conch Cement Co. Ltd., Class H Anta Sports Products Ltd. Bank of China Ltd., Class H Bank of Communications Co. Ltd., Class H BBMG Corp., Class H Beijing Capital International Airport Co. Ltd., Class H Byd Co. Ltd., Class H China Agri-Industries Holdings Ltd. China BlueChemical Ltd., Class H China Citic Bank Corp. Ltd., Class H China Coal Energy Co. Ltd., Class H China Communications Construction Co. Ltd., Class H China Communications Services Corp. Ltd., Class H China Construction Bank Corp., Class H China COSCO Holdings Co. Ltd., Class H China Everbright Ltd.

109,923 160,686 325,912 1,299,684

2,366,998 2,243,272 17,556,591 31,997 65,072,066 74,134 986,575 110,467 7,811,668 100,016,616 497,718 3,253,384 1,124,718 452,105 12,884,632 118,809 199,481 64,620 474,326 421,807

1,364,411 21,362,921 1,979,360 78,000 3,867,846 1,023,984 1,245,659 822,549 75,173,856 7,336,944 1,045,302 1,877,416 514,000 1,536,938 1,756,000 7,359,980 4,040,801 4,412,000 2,413,017 71,967,877 2,541,291 848,000

See Accompanying Notes to the Financial Statements.

239

COST

$

2,021 2,478 5,386 33,884

VALUE

$

2,020 2,881 7,633 23,553

260,336

207,166

1,276 1,293 2,350 1,703 4,721 2,910 5,605 1,210 2,066 1,469 1,408 5,348 4,718 6,948 5,063 2,102 4,913 1,409 4,118 897

1,290 1,490 2,508 2,059 4,728 2,670 5,643 1,463 2,173 1,252 1,126 5,430 4,233 6,570 4,293 2,341 4,932 1,575 4,628 828

61,527

61,232

1,605 9,805 1,699 435 2,831 1,158 3,852 1,182 32,644 6,112 1,126 995 2,179 1,470 1,274 4,428 5,230 3,882 1,220 54,345 2,090 1,630

1,624 8,706 1,402 395 1,596 528 3,285 461 28,795 4,873 653 1,283 878 765 1,155 3,721 3,726 3,886 1,239 48,637 1,055 1,140

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) China - 13.4% - (Continued) China International Marine Containers Co. Ltd., Class B China Life Insurance Co. Ltd., Class H China Longyuan Power Group Corp., Class H China Merchants Bank Co. Ltd., Class H China Minsheng Banking Corp. Ltd., Class H China National Building Material Co. Ltd., Class H China Oilfield Services Ltd., Class H China Pacific Insurance Group Co. Ltd., Class H China Petroleum & Chemical Corp., Class H China Railway Construction Corp. Ltd., Class H China Railway Group Ltd., Class H China Rongsheng Heavy Industry Group Co. Ltd. China Shanshui Cement Group Ltd. China Shenhua Energy Co. Ltd., Class H China Shipping Container Lines Co. Ltd., Class H China Shipping Development Co. Ltd., Class H China Southern Airlines Co. Ltd., Class H China Taiping Insurance Holdings Co. Ltd. China Telecom Corp. Ltd., Class H China Unicom Hong Kong Ltd. China Vanke Co. Ltd., Class B China Yurun Food Group Ltd. China ZhengTong Auto Services Holdings Ltd. China Zhongwang Holdings Ltd. Chongqing Rural Commercial Bank, Class H Citic Pacific Ltd. CITIC Securities Co. Ltd., Class H CNOOC Ltd. COSCO Pacific Ltd. Country Garden Holdings Co. CSG Holding Co. Ltd., Class B CSR Corp. Ltd., Class H Daphne International Holdings Ltd. Datang International Power Generation Co. Ltd., Class H Dongfang Electric Corp. Ltd., Class H Dongfeng Motor Group Co. Ltd., Class H Dongyue Group ENN Energy Holdings Ltd. Evergrande Real Estate Group Ltd. Fosun International Ltd. Franshion Properties China Ltd. Geely Automobile Holdings Ltd. Golden Eagle Retail Group Ltd. GOME Electrical Appliances Holdings Ltd. Great Wall Motor Co. Ltd., Class H Guangdong Investment Ltd. Guangzhou Automobile Group Co. Ltd., Class H Guangzhou R&F Properties Co. Ltd., Class H Hengan International Group Co. Ltd. Huaneng Power International, Inc., Class H Industrial & Commercial Bank of China, Class H

600,980 7,427,133 2,125,832 3,892,059 5,237,762 2,858,453 1,530,000 1,738,796 16,733,073 1,931,500 3,904,011 3,186,000 1,796,454 3,395,515 3,618,000 1,214,550 1,722,321 832,764 13,794,130 4,679,788 1,323,937 1,352,755 847,453 1,552,661 2,403,479 1,251,913 580,000 17,810,798 1,615,182 4,286,886 730,600 1,891,000 904,397 2,931,477 343,678 2,702,717 1,000,190 750,931 5,133,922 1,602,500 3,194,734 3,684,402 664,347 9,962,124 1,029,180 2,454,000 2,213,062 902,772 733,303 3,210,000 64,965,298

See Accompanying Notes to the Financial Statements.

240

COST

$

837 24,787 1,922 8,717 4,761 3,599 2,363 6,239 16,290 1,767 2,022 835 1,456 14,563 1,152 1,203 1,040 2,031 7,679 8,133 1,571 3,069 847 861 1,395 2,700 1,186 34,272 2,322 1,588 800 1,400 1,055 1,102 1,076 4,341 783 2,345 2,599 1,066 817 1,275 1,545 2,989 1,579 1,406 2,339 1,112 6,205 1,823 44,448

VALUE

$

725 20,547 1,371 7,188 4,871 2,798 2,364 5,528 15,193 1,691 1,712 440 1,022 12,744 887 500 855 1,173 7,187 6,905 1,702 813 404 567 936 1,815 1,016 36,110 2,233 1,625 456 1,393 905 1,036 501 3,772 529 2,881 2,397 771 989 1,226 1,201 822 2,320 1,772 1,661 1,152 6,961 2,339 37,285

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) China - 13.4% - (Continued) Inner Mongolia Yitai Coal Co., Class B Intime Department Store Group Co. Ltd. Jiangsu Expressway Co. Ltd., Class H Jiangxi Cooper Co. Ltd., Class H Kunlun Energy Co. Ltd. Lee & Man Paper Manufacturing Ltd. Lenovo Group Ltd. Longfor Properties Co. Ltd. Lonking Holdings Ltd. Parkson Retail Group Ltd. PetroChina Co. Ltd., Class H PICC Property & Casualty Co. Ltd., Class H Ping An Insurance Group Co., Class H Sany Heavy Equipment International Holdings Co. Ltd. Shandong Weigao Group Medical Polymer Co. Ltd., Class H Shanghai Electric Group Co. Ltd., Class H Shanghai Pharmaceuticals Holding Co. Ltd., Class H Shui On Land Ltd. Sihuan Pharmaceutical Holdings Group Ltd. Sino-Ocean Land Holdings Ltd. Sinopec Shanghai Petrochemical Co. Ltd., Class H Sinopharm Group Co. Ltd., Class H Soho China Ltd. Sun Art Retail Group Ltd. Tencent Holdings Ltd. Tingyi Cayman Islands Holding Corp. Tsingtao Brewery Co. Ltd., Class H Uni-President China Holdings Ltd. Want Want China Holdings Ltd. Weichai Power Co. Ltd., Class H Wumart Stores, Inc., Class H Yanzhou Coal Mining Co. Ltd., Class H Zhaojin Mining Industry Co. Ltd., Class H Zhejiang Expressway Co. Ltd., Class H Zhongsheng Group Holdings Ltd. Zhuzhou CSR Times Electric Co. Ltd., Class H Zijin Mining Group Co. Ltd., Class H Zoomlion Heavy Industry Science and Technology Development Co. Ltd., Class H ZTE Corp., Class H Colombia - 1.0% Almacenes Exito S.A. BanColombia S.A. Bolsa de Valores de Colombia Cementos Argos S.A. Corp. Financiera Colombiana S.A. Ecopetrol S.A. Grupo de Inversiones Suramericana S.A. Interconexion Electrica S.A. ESP

614,600 990,386 1,133,594 1,365,937 3,220,095 1,891,011 6,222,982 1,294,860 1,837,367 1,382,960 21,004,428 2,621,679 1,723,073 887,921 1,576,000 2,808,964 513,956 2,670,752 1,864,715 2,901,351 2,418,000 790,449 2,050,962 1,901,110 1,009,985 1,945,324 302,000 1,076,000 5,906,832 396,240 501,919 1,926,059 867,548 1,378,276 544,083 452,405 5,842,739

COST

$

3,247 1,465 1,065 3,422 4,866 993 4,198 1,659 931 1,942 27,076 3,223 14,184 907 1,696 1,346 906 1,090 892 1,639 950 2,475 1,418 2,571 22,586 5,287 1,585 949 5,264 1,915 1,088 4,759 1,643 1,065 951 1,348 2,806

VALUE

$

3,272 931 1,053 3,016 5,216 776 4,318 1,910 339 1,247 26,331 2,938 13,523 447 1,758 1,058 729 1,102 705 1,418 649 2,324 1,526 2,251 30,194 4,827 1,772 1,026 7,176 1,204 980 2,867 1,091 1,003 582 1,079 1,876

1,402,619 619,262

2,151 1,817 523,879

1,570 826 472,004

201,904 225,390 837,505 386,666 71,268 4,913,759 230,406 390,791

2,522 3,224 1,159 1,271 1,294 10,990 3,994 2,523

3,461 3,421 1,162 1,529 1,313 14,132 3,950 2,488

See Accompanying Notes to the Financial Statements.

241

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) Colombia - 1.0% - (Continued) Inversiones Argos S.A. Czech Republic - 0.3% CEZ A.S. Komercni Banka A.S. Telefonica Czech Republic A.S. Egypt - 0.3% Commercial International Bank Egypt S.A.E. Egyptian Financial Group-Hermes Holding S.A.E. Egyptian Kuwaiti Holding Co. S.A.E. National Societe Generale Bank S.A.E Orascom Construction Industries Orascom Telecom Holding S.A.E. Talaat Moustafa Group Telecom Egypt Co. Hong Kong - 3.9% AviChina Industry & Technology Co. Ltd., Class H Beijing Enterprises Holdings Ltd. Belle International Holdings Ltd. Bosideng International Holdings Ltd. Brilliance China Automotive Holdings Ltd. China Gas Holdings Ltd. China Mengniu Dairy Co. Ltd. China Merchants Holdings International Co. Ltd. China Mobile Ltd. China Overseas Land & Investment Ltd. China Resources Cement Holdings Ltd. China Resources Enterprise Ltd. China Resources Gas Group Ltd. China Resources Land Ltd. China Resources Power Holdings Co. Ltd. China State Construction International Holdings Ltd. Dah Chong Hong Holdings Ltd. Far East Horizon Ltd. GCL-Poly Energy Holdings Ltd. Haier Electronics Group Co. Ltd. Hengdeli Holdings Ltd. Huabao International Holdings Ltd. Kingboard Chemical Holdings Ltd. Metallurgical Corp. of China Ltd., Class H Minmetals Resources Ltd. Nine Dragons Paper Holdings Ltd. Poly Hong Kong Investments Ltd. Shanghai Industrial Holdings Ltd. Shimao Property Holdings Ltd. Shougang Fushan Resources Group Ltd. Yingde Gases

290,543

159,035 15,216 109,797

561,601 381,761 630,985 97,973 93,384 2,570,885 888,860 359,940

1,905,067 517,500 4,607,401 2,895,893 2,482,929 3,003,321 1,231,338 1,144,397 6,005,572 4,063,191 2,013,100 1,195,033 716,822 2,036,609 1,890,200 1,743,055 821,236 1,318,003 7,545,089 815,499 2,114,741 2,066,000 593,500 3,023,121 1,495,730 1,630,251 1,972,775 532,000 1,386,098 2,835,869 915,800

See Accompanying Notes to the Financial Statements.

242

COST

$

2,779

VALUE

$

2,794

29,756

34,250

7,035 2,971 2,404

5,353 2,587 2,074

12,410

10,014

2,738 1,019 865 537 3,809 1,324 747 963

2,531 675 764 492 4,022 1,371 590 745

12,002

11,190

1,038 2,981 7,842 978 2,466 1,289 3,754 3,871 59,494 8,008 1,587 4,340 1,072 3,640 3,625 1,630 1,045 1,090 2,619 770 1,063 1,887 2,315 977 936 1,750 1,479 1,973 1,837 1,506 958

575 3,371 8,533 758 2,014 1,588 3,668 3,564 70,445 9,611 1,062 3,314 1,387 4,134 3,988 1,821 706 916 1,119 946 589 925 1,228 636 567 767 1,036 1,458 1,991 772 784

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) Hong Kong - 3.9% - (Continued) Yuexiu Property Co. Ltd. Hungary - 0.3% Magyar Telekom Telecommunications PLC MOL Hungarian Oil and Gas PLC OTP Bank PLC Richter Gedeon Nyrt. India - 6.1% ACC Ltd. Adani Enterprises Ltd. Adani Ports and Special Economic Zone Aditya Birla Nuvo Ltd. Ambuja Cements Ltd. Asian Paints Ltd. Axis Bank Ltd. Bajaj Auto Ltd. Bank of Baroda Bank of India Bharat Heavy Electricals Ltd. Bharat Petroleum Corp. Ltd. Bharti Airtel Ltd. Cairn India Ltd. Canara Bank Cipla Ltd. Coal India Ltd. Dabur India Ltd. DLF Ltd. Dr. Reddy’s Laboratories Ltd. Dr. Reddy’s Laboratories Ltd. ADR GAIL India Ltd. GMR Infrastructure Ltd. Godrej Consumer Products Ltd. HCL Technologies Ltd. HDFC Bank Ltd. HDFC Bank Ltd. ADR Hero Motocorp Ltd. Hindalco Industries Ltd. Hindustan Unilever Ltd. Housing Development Finance Corp. ICICI Bank Ltd. ICICI Bank Ltd. ADR Idea Cellular Ltd. Infosys Ltd. Infosys Ltd. ADR Infrastructure Development Finance Co. Ltd. ITC Ltd. Jaiprakash Associates Ltd. Jindal Steel & Power Ltd. JSW Steel Ltd.

5,007,565

448,130 41,170 223,445 13,935

53,971 214,449 398,099 31,457 600,065 29,072 226,617 83,234 81,721 110,961 577,710 173,494 572,333 225,156 84,179 347,385 497,525 419,407 415,330 96,277 5,848 382,348 938,795 117,463 83,896 1,448,266 23,475 39,256 1,041,993 879,840 1,089,600 406,132 9,442 667,166 411,840 17,780 1,007,567 2,169,049 933,031 375,308 78,439

See Accompanying Notes to the Financial Statements.

243

COST

$

1,002

VALUE

$

1,137

130,822

135,410

1,297 3,701 4,847 2,521

834 2,988 3,458 2,373

12,366

9,653

1,163 2,320 1,245 572 1,706 1,901 5,369 2,411 1,008 906 4,439 1,094 4,029 1,338 1,020 2,281 3,532 962 2,164 3,038 101 3,264 775 1,194 727 13,681 451 1,520 3,386 5,986 14,498 7,722 279 1,194 23,302 654 2,906 8,215 1,764 4,526 1,328

1,285 698 862 444 1,947 1,904 4,255 2,401 964 594 2,240 1,133 3,088 1,351 554 2,115 3,215 900 1,561 2,796 170 2,433 392 1,326 782 15,306 796 1,415 2,250 7,394 13,541 7,021 327 959 16,491 704 2,438 10,068 1,231 2,690 942

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) India - 6.1% - (Continued) Kotak Mahindra Bank Ltd. Larsen & Toubro Ltd. LIC Housing Finance Ltd. Lupin Ltd. Mahindra & Mahindra Ltd. Maruti Suzuki India Ltd. NTPC Ltd. Oil & Natural Gas Corp. Ltd. Piramal Healthcare Ltd. Power Finance Corp. Ltd. Power Grid Corp. of India Ltd. Ranbaxy Laboratories Ltd. Reliance Capital Ltd. Reliance Communications Ltd. Reliance Industries Ltd. Reliance Industries Ltd. GDR Reliance Infrastructure Ltd. Reliance Power Ltd. Rural Electrification Corp. Ltd. Satyam Computer Services Ltd. Sesa Goa Ltd. Shriram Transport Finance Co. Ltd. Siemens Ltd. State Bank of India Sterlite Industries India Ltd. Sun Pharmaceutical Industries Ltd. Tata Consultancy Services Ltd. Tata Motors Ltd. Tata Power Co. Ltd. Tata Steel Ltd. Titan Industries Ltd. Ultratech Cement Ltd. Unitech Ltd. United Phosphorus Ltd. United Spirits Ltd. Wipro Ltd. Wipro Ltd. ADR Zee Entertainment Enterprises Ltd. Indonesia - 2.7% Adaro Energy Tbk PT Astra Agro Lestari Tbk PT Astra International Tbk PT Bank Central Asia Tbk PT Bank Danamon Indonesia Tbk PT Bank Mandiri Tbk PT Bank Negara Indonesia Persero Tbk PT Bank Rakyat Indonesia Persero Tbk PT Bumi Resources Tbk PT Charoen Pokphand Indonesia Tbk PT Gudang Garam Tbk PT

277,998 207,198 296,855 144,546 305,887 35,460 565,713 762,883 69,236 256,825 1,079,497 126,583 98,630 505,693 1,250,420 26,933 109,422 563,354 298,291 650,044 347,439 123,889 67,933 133,612 1,331,878 308,773 468,261 1,471,017 964,504 298,090 212,216 74,530 1,301,492 217,224 85,752 478,080 10,298 470,299

14,509,922 391,000 20,234,410 12,212,866 3,336,356 9,187,679 7,447,103 10,919,798 14,338,613 7,340,105 478,291

See Accompanying Notes to the Financial Statements.

244

COST

$

2,639 6,506 1,350 1,440 4,273 910 2,174 4,480 618 796 2,306 1,249 1,024 1,333 23,112 1,111 1,575 1,577 1,460 1,043 1,904 1,640 932 5,438 4,052 2,873 9,845 6,068 2,311 3,154 949 1,813 1,212 686 1,736 3,989 67 1,223 250,839 3,310 943 13,417 9,416 1,897 6,503 3,060 7,006 3,788 1,807 2,613

VALUE

$

2,678 5,102 1,399 1,562 3,855 724 1,597 3,924 643 800 2,309 1,132 592 510 16,719 712 973 924 1,011 958 1,188 1,288 832 4,817 2,564 3,629 10,471 5,984 1,704 2,221 847 2,197 507 468 1,248 2,923 80 1,424 215,499 2,238 950 14,965 10,322 2,133 8,057 3,127 8,076 1,575 2,482 2,847

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) Indonesia - 2.7% - (Continued) Indo Tambangraya Megah Tbk PT Indocement Tunggal Prakarsa Tbk PT Indofood Sukses Makmur Tbk PT Indosat Tbk PT Jasa Marga Persero Tbk PT Kalbe Farma Tbk PT Perusahaan Gas Negara PT Semen Gresik Persero Tbk PT Tambang Batubara Bukit Asam Tbk PT Telekomunikasi Indonesia Tbk PT Unilever Indonesia Tbk PT United Tractors Tbk PT Vale Indonesia Tbk PT XL Axiata Tbk PT Malaysia - 3.5% AirAsia Bhd. Alliance Financial Group Bhd. AMMB Holdings Bhd. Axiata Group Bhd. Berjaya Corp. Bhd. Berjaya Sports Toto Bhd. British American Tobacco Malaysia Bhd. Bumi Armada Bhd. CIMB Group Holdings Bhd. DiGi.Com Bhd. Felda Global Ventures Holdings Bhd. Gamuda Bhd. Genting Bhd. Genting Malaysia Bhd. Genting Plantations Bhd. Hong Leong Bank Bhd. Hong Leong Financial Group Bhd. IJM Corp. Bhd. IOI Corp. Bhd. Kuala Lumpur Kepong Bhd. Lafarge Malayan Cement Bhd. Malayan Banking Bhd. Malaysia Airports Holdings Bhd. Malaysia Marine and Heavy Engineering Holdings Bhd. Maxis Bhd. MISC Bhd. MMC Corp. Bhd. Parkson Holdings Bhd. Petronas Chemicals Group Bhd. Petronas Dagangan Bhd. Petronas Gas Bhd. PPB Group Bhd. Public Bank Bhd. (Registered) RHB Capital Bhd. Sapurakencana Petroleum Bhd.

391,368 1,486,104 4,546,175 1,288,814 2,007,000 4,472,537 10,772,848 2,966,691 794,000 10,065,248 1,515,868 1,664,037 2,395,820 1,679,923

1,298,000 994,900 1,619,700 2,528,000 2,409,379 668,757 115,000 1,148,400 4,797,300 3,114,300 1,102,500 1,698,100 2,049,000 3,027,000 229,600 567,320 217,200 1,145,000 3,163,233 477,100 387,800 3,416,183 545,817 489,114 1,883,353 1,111,280 721,895 595,274 2,808,700 244,900 586,700 472,700 1,046,900 649,315 2,223,200

See Accompanying Notes to the Financial Statements.

245

COST

$

1,734 2,594 2,400 765 1,158 1,734 4,193 3,154 1,598 8,572 2,756 4,198 1,056 1,062 90,734 1,195 1,073 2,980 3,707 851 924 1,743 1,462 11,321 3,060 1,905 1,835 6,276 3,337 576 1,845 725 2,027 5,263 3,112 862 8,960 1,109 1,076 3,328 2,475 604 1,034 5,672 1,198 2,467 2,544 4,216 1,534 1,491

VALUE

$

1,470 3,376 2,594 660 1,209 1,807 4,325 4,059 1,334 9,677 3,884 3,692 614 1,092 96,565 1,551 1,351 3,323 4,734 562 915 2,195 1,438 12,034 4,418 1,814 1,905 6,200 3,260 693 2,476 863 1,895 5,398 3,622 991 9,562 971 830 3,858 1,605 554 923 5,914 1,643 3,468 2,296 4,811 1,529 1,741

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) Malaysia - 3.5% - (Continued) Sime Darby Bhd. SP Setia Bhd. Telekom Malaysia Bhd. Tenaga Nasional Bhd. UEM Land Holdings Bhd. UMW Holdings Bhd. YTL Corp. Bhd. YTL Power International Bhd.

2,690,000 446,900 1,048,000 2,719,125 1,509,350 520,200 4,890,576 2,085,500

COST

$

7,631 587 1,251 5,409 1,147 1,147 2,314 1,347

VALUE

$

8,450 518 1,892 5,865 960 1,574 2,907 1,200

114,620

124,709

283,485 39,309,028 315,572 10,585,996 433,071 1,034,113 205,163 1,941,024 306,902 1,629,547 569,213 1,857,662 1,984,499 3,792,244 633,168 2,568,807 138,036 1,541,835 743,980 625,508 5,302,875

2,998 48,215 1,300 7,459 4,155 1,682 1,509 11,763 1,075 3,320 1,399 7,389 3,986 10,781 3,748 10,728 5,197 2,863 2,340 2,069 13,771 147,747

4,537 52,574 1,986 7,358 4,859 1,034 1,622 16,591 1,206 4,062 1,971 9,988 5,231 10,681 5,736 11,706 5,655 3,214 3,524 2,479 14,979 170,993

Morocco - 0.1% Attijariwafa Bank Douja Promotion Groupe Addoha S.A. Maroc Telecom S.A.

27,733 120,914 94,518

1,182 1,344 1,590 4,116

1,074 934 1,142 3,150

Peru - 0.5% Cia de Minas Buenaventura S.A. ADR Credicorp Ltd. Volcan Cia Minera SAA, Class B

188,638 68,034 2,019,021

7,488 6,926 2,206 16,620

6,870 7,888 2,227 16,985

Philippines - 0.9% Aboitiz Equity Ventures, Inc. Aboitiz Power Corp. Alliance Global Group, Inc. Ayala Corp. Ayala Land, Inc. Bank of the Philippine Islands

1,920,288 1,796,994 4,071,106 170,102 5,189,100 699,022

1,927 1,287 1,041 1,201 1,852 866

2,263 1,487 1,139 1,773 2,716 1,216

Mexico - 4.9% Alfa S.A.B. de C.V., Class A America Movil S.A.B. de C.V., Series L Arca Continental S.A.B. de C.V. Cemex S.A.B. de C.V., Series CPO Coca-Cola Femsa S.A.B. de C.V., Series L Compartamos S.A.B. de C.V. El Puerto de Liverpool S.A.B. de C.V., Series C1 Fomento Economico Mexicano S.A.B. de C.V., Series UBD Grupo Aeroportuario del Pacifico S.A.B. de C.V., Class B Grupo Bimbo S.A.B. de C.V., Series A Grupo Carso S.A.B. de C.V., Series A1 Grupo Financiero Banorte S.A.B. de C.V., Class O Grupo Financiero Inbursa S.A., Class O Grupo Mexico S.A.B. de C.V., Series B Grupo Modelo S.A.B. de C.V., Series C Grupo Televisa S.A.B., Series CPO Industrias Penoles S.A.B. de C.V. Kimberly-Clark de Mexico S.A.B. de C.V., Class A Mexichem S.A.B. de C.V. Minera Frisco S.A.B. de C.V., Series A1 Wal-Mart de Mexico S.A.B. de C.V., Series V

See Accompanying Notes to the Financial Statements.

246

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) Philippines - 0.9% - (Continued) BDO Unibank, Inc. DMCI Holdings, Inc. Energy Development Corp. Globe Telecom, Inc. International Container Terminal Services, Inc. Jollibee Foods Corp. Manila Electric Co. Metropolitan Bank & Trust Philippine Long Distance Telephone Co. San Miguel Corp. SM Investments Corp. SM Prime Holdings, Inc. Universal Robina Corp. Poland - 1.3% Asseco Poland S.A. Bank Handlowy w Warszawie S.A. Bank Millennium S.A. Bank Pekao S.A. BRE Bank S.A. Cyfrowy Polsat S.A. Enea S.A. Eurocash S.A. Grupa Lotos S.A. Jastrzebska Spolka Weglowa S.A. KGHM Polska Miedz S.A. PGE S.A. Polski Koncern Naftowy Orlen S.A. Polskie Gornictwo Naftowe i Gazownictwo S.A. Powszechna Kasa Oszczednosci Bank Polski S.A. Powszechny Zaklad Ubezpieczen S.A. Synthos S.A. Tauron Polska Energia S.A. Telekomunikacja Polska S.A. TVN S.A.

Russia - 5.6% Federal Grid Co. Unified Energy System JSC Federal Hydrogenerating Co. JSC Federal Hydrogenerating Co. JSC ADR (London Exchange) Federal Hydrogenerating Co. JSC ADR (OTC Exchange) Gazprom OAO Gazprom OAO ADR (London Exchange) Gazprom OAO ADR (OTC Exchange) IDGC Holding JSC Inter Rao Ues OAO LSR Group GDR (Registered) Lukoil OAO Lukoil OAO ADR (London Exchange)

1,429,048 791,910 7,466,900 31,790 773,790 416,771 222,480 425,978 43,415 527,660 213,540 6,994,675 821,540

COST

$

1,764 1,054 959 700 1,000 802 1,172 674 2,470 1,467 2,639 1,599 975

VALUE

$

2,206 1,112 1,086 874 1,349 1,029 1,413 1,021 2,843 1,409 3,837 2,343 1,157

25,449

32,273

67,269 31,227 414,233 117,695 14,474 180,512 135,209 68,761 59,234 33,814 140,137 745,025 319,815 1,724,527 623,587 56,088 532,670 1,162,313 731,071 137,514

1,120 771 584 5,919 1,262 866 822 751 568 1,307 6,135 5,152 4,043 2,151 7,453 6,203 879 1,996 4,026 600 52,608

918 759 434 4,937 1,238 793 632 809 465 949 5,327 4,158 3,435 2,096 6,081 5,957 847 1,604 3,455 309 45,203

309,634,584 95,734,962 150,087 33,118 4,922,316 2,564,598 262,158 17,197,697 1,777,929,684 205,883 222,339 262,881

3,326 3,897 721 188 27,943 31,533 2,924 1,586 1,989 1,225 12,447 15,588

2,189 2,439 368 80 23,061 23,735 2,414 951 1,464 920 12,631 14,853

See Accompanying Notes to the Financial Statements.

247

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) Russia - 5.6% - (Continued) Lukoil OAO ADR (OTC Exchange) Magnit OJSC Magnit OJSC GDR (Registered) Mechel Mechel ADR MMC Norilsk Nickel OJSC MMC Norilsk Nickel OJSC ADR (London Exchange) MMC Norilsk Nickel OJSC ADR (OTC Exchange) Mobile Telesystems OJSC ADR NovaTek OAO GDR (Registered) Novolipetsk Steel OJSC GDR (Registered) Rosneft Oil Co. Rosneft Oil Co. GDR (Registered) Rostelecom OJSC Sberbank of Russia Sberbank of Russia ADR Severstal OAO Severstal OAO GDR (Registered) Sistema JSFC GDR (Registered) (London Exchange) Sistema JSFC GDR (Registered) (OTC Exchange) Surgutneftegaz OAO Surgutneftegaz OAO ADR (London Exchange) Surgutneftegaz OAO ADR (OTC Exchange) Tatneft OAO Tatneft OAO ADR (London Exchange) Tatneft OAO ADR (OTC Exchange) TMK OAO GDR (Registered) Uralkali OJSC Uralkali OJSC GDR (Registered) VTB Bank OJSC VTB Bank OJSC GDR (Registered) South Africa - 7.8% ABSA Group Ltd. African Bank Investments Ltd. African Rainbow Minerals Ltd. Anglo American Platinum Ltd. AngloGold Ashanti Ltd. ArcelorMittal South Africa Ltd. Aspen Pharmacare Holdings Ltd. Assore Ltd. Aveng Ltd. Barloworld Ltd. Bidvest Group Ltd. Discovery Holdings Ltd. Exxaro Resources Ltd. FirstRand Ltd. Foschini Group (The) Ltd. Gold Fields Ltd. Growthpoint Properties Ltd. Harmony Gold Mining Co. Ltd.

19,993 3,192 243,969 7,739 136,321 26,892 135,557 63,440 510,808 90,361 65,626 712,673 816,160 1,152,486 8,536,594 700 95,827 101,650 115,115 3,088 3,074,530 336,154 60,124 1,088,725 38,270 12,440 59,291 915,305 91,914 1,699,620,225 436,265

287,731 711,834 107,305 66,410 381,360 180,611 279,984 34,415 390,780 222,744 293,245 289,521 124,542 3,081,022 204,500 718,849 1,616,185 385,794

See Accompanying Notes to the Financial Statements.

248

COST

$

1,121 274 5,940 93 2,287 4,736 3,415 962 9,251 10,089 1,857 4,942 6,249 6,567 23,975 9 1,240 1,399 2,368 56 2,685 3,234 496 5,877 1,089 411 870 7,288 3,162 4,150 2,471

VALUE

$

1,124 383 7,902 47 883 4,180 2,094 977 9,680 10,220 1,093 4,330 4,913 3,994 23,805 8 1,081 1,138 2,388 51 2,600 2,820 503 6,679 1,441 472 848 7,700 3,831 2,799 1,427

221,930

196,516

5,248 3,263 2,602 5,404 16,451 1,835 3,285 1,122 1,893 2,244 5,878 1,524 2,618 8,131 2,433 10,964 3,719 4,540

4,725 3,163 2,035 3,436 13,133 983 4,947 1,240 1,712 2,264 7,084 1,903 2,556 10,366 3,547 9,375 5,008 3,880

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) South Africa - 7.8% - (Continued) Impala Platinum Holdings Ltd. Imperial Holdings Ltd. Investec Ltd. Kumba Iron Ore Ltd. Liberty Holdings Ltd. Life Healthcare Group Holdings Ltd. Massmart Holdings Ltd. MMI Holdings Ltd. Mr Price Group Ltd. MTN Group Ltd. Naspers Ltd., Class N Nedbank Group Ltd. Netcare Ltd. Northam Platinum Ltd. Pick n Pay Stores Ltd. Pretoria Portland Cement Co. Ltd. Redefine Properties Ltd. Remgro Ltd. Reunert Ltd. RMB Holdings Ltd. RMI Holdings Sanlam Ltd. Sappi Ltd. Sasol Ltd. Shoprite Holdings Ltd. Spar Group (The) Ltd. Standard Bank Group Ltd. Steinhoff International Holdings Ltd. Tiger Brands Ltd. Truworths International Ltd. Vodacom Group Ltd. Woolworths Holdings Ltd. South Korea - 14.4% Amorepacific Corp. BS Financial Group, Inc. Celltrion, Inc. Cheil Industries, Inc. CJ CheilJedang Corp. CJ Corp. Daelim Industrial Co. Ltd. Daewoo Engineering & Construction Co. Ltd. Daewoo International Corp. Daewoo Securities Co. Ltd. Daewoo Shipbuilding & Marine Engineering Co. Ltd. DGB Financial Group, Inc. Dongbu Insurance Co. Ltd. Dongkuk Steel Mill Co. Ltd. Doosan Corp. Doosan Heavy Industries and Construction Co. Ltd.

536,766 178,705 236,780 80,591 113,684 927,548 105,080 980,607 234,309 1,690,695 388,845 203,383 851,354 244,624 233,595 502,648 2,694,640 432,568 185,169 711,628 654,610 1,777,994 520,852 545,181 424,626 168,421 1,189,645 1,163,379 161,030 437,842 369,616 751,554

COST

$

12,540 2,767 1,579 4,738 1,135 2,583 2,025 2,241 2,869 29,582 18,264 3,845 1,539 1,164 1,321 1,905 2,677 6,073 1,500 2,371 1,143 6,411 2,038 24,867 6,103 2,321 16,281 3,470 4,465 4,005 3,954 3,241

VALUE

$

8,494 4,116 1,424 5,053 1,296 3,788 2,221 2,220 3,515 30,661 21,295 4,472 1,683 764 1,203 1,583 3,026 7,419 1,804 3,177 1,453 7,696 1,576 22,864 8,397 2,455 16,510 3,484 5,219 5,506 4,319 4,922

264,171

274,972

3,191 178,580 103,254 47,012 7,690 13,892 27,656 98,950 36,128 160,021 94,060 130,980 41,813 38,630 8,625

2,917 2,034 2,076 3,972 1,804 970 2,336 949 1,059 2,021 2,323 1,695 1,650 905 1,010

2,890 1,887 2,571 4,042 1,887 899 2,143 747 1,150 1,500 2,080 1,500 1,553 507 1,011

47,194

2,727

2,534

See Accompanying Notes to the Financial Statements.

249

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) South Korea - 14.4% - (Continued) Doosan Infracore Co. Ltd. E-Mart Co. Ltd. GS Engineering & Construction Corp. GS Holdings Hana Financial Group, Inc. Hankook Tire Co. Ltd. Hanwha Chem Corp. Hanwha Corp. Honam Petrochemical Corp. Hyosung Corp. Hyundai Department Store Co. Ltd. Hyundai Development Co. Hyundai Engineering & Construction Co. Ltd. Hyundai Glovis Co. Ltd. Hyundai Heavy Industries Co. Ltd. Hyundai Hysco Hyundai Marine & Fire Insurance Co. Ltd. Hyundai Merchant Marine Co. Ltd. Hyundai Mipo Dockyard Hyundai Mobis Hyundai Motor Co. Hyundai Securities Co. Hyundai Steel Co. Hyundai Wia Corp. Industrial Bank of Korea Kangwon Land, Inc. KB Financial Group, Inc. KCC Corp. Kia Motors Corp. Korea Aerospace Industries Ltd. Korea Electric Power Corp. Korea Exchange Bank Korea Gas Corp. Korea Investment Holdings Co. Ltd. Korea Life Insurance Co. Ltd. Korea Zinc Co. Ltd. Korean Air Lines Co. Ltd. KP Chemical Corp. KT Corp. KT Corp. ADR KT&G Corp. Kumho Petro chemical Co. Ltd. LG Chem Ltd. LG Corp. LG Display Co. Ltd. LG Electronics, Inc. LG Household & Health Care Ltd. LG Innotek Co. Ltd. LG Uplus Corp. Lotte Confectionery Co. Ltd. Lotte Shopping Co. Ltd.

99,390 20,757 35,372 51,746 229,310 90,690 84,357 44,535 14,482 22,729 14,930 56,700 66,507 12,890 42,004 32,050 61,780 43,054 10,722 68,028 153,932 112,140 54,825 15,325 160,750 93,930 368,329 4,216 263,611 34,310 254,020 252,850 23,156 38,508 175,487 8,387 37,000 46,740 20,463 22,000 108,982 13,507 46,371 96,220 230,140 106,959 9,298 10,211 231,735 706 10,105

See Accompanying Notes to the Financial Statements.

250

COST

$

1,842 4,770 3,032 2,643 7,610 3,020 2,055 1,575 3,492 1,505 1,937 1,367 4,112 1,965 11,844 1,328 1,786 1,223 1,336 16,458 25,868 1,156 4,951 2,103 2,112 2,023 14,903 1,156 13,761 1,138 6,125 2,155 845 1,280 1,149 2,333 1,820 965 662 460 6,686 2,310 13,956 5,929 6,138 8,089 3,591 930 1,366 934 3,390

VALUE

$

1,596 4,828 2,174 2,632 7,332 3,345 1,563 1,140 3,055 1,080 1,684 1,026 3,506 2,474 8,991 1,246 1,533 952 1,124 18,020 32,267 838 4,073 2,257 1,749 1,936 11,777 1,063 18,209 819 5,684 1,879 909 1,178 1,012 2,849 1,581 502 584 313 8,029 1,475 12,878 4,979 4,977 5,903 4,794 798 1,353 984 2,592

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) South Korea - 14.4% - (Continued) LS Corp. LS Industrial Systems Co. Ltd. Mando Corp. Mirae Asset Securities Co. Ltd. NCSoft Corp. NHN Corp. OCI Co. Ltd. Orion Corp. POSCO POSCO ADR S1 Corp. Samsung C&T Corp. Samsung Card Co. Samsung Electro-Mechanics Co. Ltd. Samsung Electronics Co. Ltd. Samsung Engineering Co. Ltd. Samsung Fire & Marine Insurance Co. Ltd. Samsung Heavy Industries Co. Ltd. Samsung Life Insurance Co. Ltd. Samsung SDI Co. Ltd. Samsung Securities Co. Ltd. Samsung Techwin Co. Ltd. Shinhan Financial Group Co. Ltd. Shinsegae Co. Ltd. SK C&C Co. Ltd. SK Holdings Co. Ltd. SK Hynix, Inc. SK Innovation Co. Ltd. SK Networks Co. Ltd. SK Telecom Co. Ltd. SK Telecom Co. Ltd. ADR S-Oil Corp. STX Pan Ocean Co. Ltd. Woongjin Coway Co. Ltd. Woori Finance Holdings Co. Ltd. Woori Investment & Securities Co. Ltd. Yuhan Corp. Taiwan - 10.3% Acer, Inc. Advanced Semiconductor Engineering, Inc. Advantech Co. Ltd. Asia Cement Corp. Asustek Computer, Inc. AU Optronics Corp. Capital Securities Corp. Catcher Technology Co. Ltd. Cathay Financial Holding Co. Ltd. Chang Hwa Commercial Bank Cheng Shin Rubber Industry Co. Ltd. Cheng Uei Precision Industry Co. Ltd.

17,631 15,033 12,499 21,780 15,193 40,866 15,411 3,526 65,100 996 16,463 124,140 45,413 59,408 110,123 29,819 35,280 160,580 60,342 33,936 60,982 36,829 424,459 6,746 22,704 25,686 521,090 60,142 123,520 3,437 54,709 44,601 98,980 53,070 360,650 128,644 8,293

2,458,548 5,301,531 274,055 1,885,681 673,867 7,459,631 1,920,438 561,007 6,686,731 4,236,846 1,596,868 387,537

See Accompanying Notes to the Financial Statements.

251

COST

$

1,407 956 1,921 872 3,516 7,485 3,860 2,012 25,027 83 789 7,350 1,861 5,164 89,778 4,972 6,663 4,649 5,031 4,421 3,245 2,429 16,566 1,815 2,074 2,993 11,166 8,343 1,161 449 1,012 3,960 763 1,754 4,003 1,546 1,008 487,736 4,362 4,587 720 2,103 5,072 5,185 771 2,793 8,820 2,441 3,299 809

VALUE

$

1,385 874 1,807 570 3,010 9,940 2,740 2,797 20,987 79 840 7,060 1,344 5,570 127,497 4,813 6,615 5,560 4,953 4,277 2,616 2,378 13,590 1,244 2,008 3,521 10,001 8,272 972 439 759 3,795 343 1,662 3,557 1,240 910 508,468 2,262 4,127 973 2,392 6,257 2,311 653 2,712 6,622 2,303 4,249 711

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) Taiwan - 10.3% - (Continued) Chicony Electronics Co. Ltd. Chimei Innolux Corp. China Airlines Ltd. China Development Financial Holding Corp. China Life Insurance Co. Ltd. China Motor Corp. China Petrochemical Development Corp. China Steel Corp. Chinatrust Financial Holding Co. Ltd. Chunghwa Telecom Co. Ltd. Chunghwa Telecom Co. Ltd. ADR Clevo Co. Compal Electronics, Inc. CTCI Corp. Delta Electronics, Inc. E Ink Holdings, Inc. E.Sun Financial Holding Co. Ltd. Epistar Corp. Eternal Chemical Co. Ltd. Eva Airways Corp. Evergreen Marine Corp. Tawain Ltd. Everlight Electronics Co. Ltd. Far Eastern Department Stores Co. Ltd. Far Eastern New Century Corp. Far EasTone Telecommunications Co. Ltd. Farglory Land Development Co. Ltd. Feng Hsin Iron & Steel Co. First Financial Holding Co. Ltd. Formosa Chemicals & Fibre Corp. Formosa International Hotels Corp. Formosa Petrochemical Corp. Formosa Plastics Corp. Formosa Taffeta Co. Ltd. Foxconn Technology Co. Ltd. Fubon Financial Holding Co. Ltd. Giant Manufacturing Co. Ltd. Highwealth Construction Corp. Hiwin Technologies Corp. Hon Hai Precision Industry Co. Ltd. Hotai Motor Co. Ltd. HTC Corp. Hua Nan Financial Holdings Co. Ltd. Inotera Memories, Inc. Inventec Co. Ltd. Kinsus Interconnect Technology Corp. Largan Precision Co. Ltd. LCY Chemical Corp. Lite-On Technology Corp. Macronix International MediaTek, Inc. Mega Financial Holding Co. Ltd.

474,671 5,047,574 2,688,411 12,939,123 1,719,529 527,000 1,365,400 11,444,688 10,208,203 3,690,159 10,080 421,260 4,126,387 563,000 1,803,238 773,623 3,688,996 716,000 658,562 1,723,418 1,697,798 338,634 884,010 2,887,489 1,586,422 327,000 413,932 6,126,140 3,105,026 28,381 1,123,685 3,974,753 722,412 695,109 5,374,699 277,795 381,230 161,220 9,063,076 248,152 718,175 5,059,889 1,905,940 2,239,314 270,000 100,060 422,571 2,088,513 3,512,321 968,679 7,847,646

See Accompanying Notes to the Financial Statements.

252

COST

$

866 3,950 1,300 3,582 1,541 491 1,427 11,106 6,424 11,186 231 748 4,559 1,127 5,528 1,333 1,799 1,890 599 1,080 987 771 1,122 3,542 2,546 655 694 3,915 8,538 393 3,285 10,967 648 2,385 6,020 1,010 726 1,280 27,619 1,326 14,742 3,021 686 962 803 2,125 831 2,504 1,688 11,088 5,409

VALUE

$

918 1,607 1,120 3,037 1,674 451 1,127 10,169 6,126 11,073 299 555 3,880 1,049 6,102 753 2,023 1,342 501 1,011 934 533 934 3,240 3,999 530 660 3,738 8,220 305 3,259 11,000 631 2,468 5,645 1,528 594 1,492 25,564 1,663 6,992 2,868 362 671 760 2,052 571 2,629 870 8,236 6,371

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) Taiwan - 10.3% - (Continued) Motech Industries, Inc. MStar Semiconductor, Inc. Nan Kang Rubber Tire Co. Ltd. Nan Ya Plastics Corp. Nan Ya Printed Circuit Board Corp. Novatek Microelectronics Corp. Pegatron Corp. Phison Electronics Corp. Pou Chen Corp. Powertech Technology, Inc. President Chain Store Corp. Quanta Computer, Inc. Radiant Opto-Electronics Corp. Realtek Semiconductor Corp. Richtek Technology Corp. Ruentex Development Co. Ltd. Ruentex Industries Ltd. Shin Kong Financial Holding Co. Ltd. Siliconware Precision Industries Co. Simplo Technology Co. Ltd. Sino-American Silicon Products, Inc. SinoPac Financial Holdings Co. Ltd. Standard Foods Corp. Synnex Technology International Corp. Taishin Financial Holding Co. Ltd. Taiwan Business Bank Taiwan Cement Corp. Taiwan Cooperative Financial Holding Taiwan Fertilizer Co. Ltd. Taiwan Glass Industrial Corp. Taiwan Mobile Co. Ltd. Taiwan Semiconductor Manufacturing Co. Ltd. Teco Electric and Machinery Co. Ltd. TPK Holding Co. Ltd. Transcend Information, Inc. Tripod Technology Corp. TSRC Corp. Tung Ho Steel Enterprise Corp. U-Ming Marine Transport Corp. Unimicron Technology Corp. Uni-President Enterprises Corp. United Microelectronics Corp. Walsin Lihwa Corp. Wan Hai Lines Ltd. Wintek Corp. Wistron Corp. WPG Holdings Ltd. Yang Ming Marine Transport Corp. Yuanta Financial Holding Co. Ltd. Yulon Motor Co. Ltd.

295,351 392,967 440,496 4,709,381 177,754 501,044 1,548,134 126,344 2,239,532 717,945 566,327 2,480,044 409,836 450,022 133,813 588,627 481,329 5,810,603 2,999,000 270,299 502,900 5,755,624 246,512 1,239,561 5,008,402 3,278,332 3,125,284 4,006,182 717,000 1,016,257 1,675,851 24,540,142 1,728,000 167,475 183,321 419,668 579,690 701,415 441,000 1,211,000 3,866,111 12,370,960 3,282,000 1,048,589 1,733,014 2,141,732 1,326,025 1,339,000 7,972,101 846,657

See Accompanying Notes to the Financial Statements.

253

COST

$

742 2,615 675 10,077 542 1,400 1,727 742 1,832 1,869 2,693 5,107 1,288 862 863 748 957 2,053 3,255 1,497 1,139 2,025 667 2,881 2,074 959 3,612 2,523 2,053 1,000 4,510 57,226 1,043 2,485 508 1,254 1,117 692 771 1,720 5,011 5,672 1,323 579 1,517 3,019 1,882 652 4,399 1,512

VALUE

$

322 2,509 620 9,186 271 1,463 2,029 1,032 2,027 1,448 2,965 6,483 1,612 782 745 1,001 947 1,773 3,340 1,532 625 2,485 659 2,707 2,037 960 3,637 2,438 1,702 966 5,532 66,275 1,100 1,871 495 954 1,324 630 691 1,361 6,497 5,197 991 519 760 2,310 1,410 549 3,721 1,485

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) Taiwan - 10.3% - (Continued) Zhen Ding Technology Holding Ltd. Thailand - 2.1% Advanced Info Service PCL NVDR Bangkok Bank PCL (Registered) Bangkok Bank PCL NVDR Bank of Ayudhya PCL NVDR Banpu PCL NVDR BEC World PCL (Registered) BEC World PCL NVDR Charoen Pokphand Foods PCL NVDR CP ALL PCL NVDR Glow Energy PCL NVDR Indorama Ventures PCL NVDR IRPC PCL NVDR Kasikornbank PCL (Registered) Kasikornbank PCL NVDR Krung Thai Bank PCL NVDR PTT Exploration & Production PCL NVDR PTT Global Chemical PCL (Registered) PTT Global Chemical PCL NVDR PTT PCL NVDR Siam Cement PCL (Registered) Siam Cement PCL NVDR Siam Commercial Bank PCL (Registered) Siam Commercial Bank PCL NVDR Thai Oil PCL NVDR Turkey - 1.7% Akbank T.A.S. Anadolu Efes Biracilik Ve Malt Sanayii A.S. Arcelik A.S. Asya Katilim Bankasi A.S. BIM Birlesik Magazalar A.S. Coca-Cola Icecek A.S. Emlak Konut Gayrimenkul Yatirim Ortakligi A.S. Enka Insaat ve Sanayi A.S. Eregli Demir ve Celik Fabrikalari T.A.S. Ford Otomotiv Sanayi A.S. Haci Omer Sabanci Holding A.S. KOC Holding A.S. Koza Altin Isletmeleri A.S. TAV Havalimanlari Holding A.S. Tupras Turkiye Petrol Rafinerileri A.S. Turk Hava Yollari Turk Telekomunikasyon A.S. Turkcell Iletisim Hizmetleri A.S. Turkiye Garanti Bankasi A.S. Turkiye Halk Bankasi A.S. Turkiye Is Bankasi, Class C

159,000

892,600 33,000 1,333,800 1,868,300 104,805 25,900 970,600 3,050,259 4,412,290 524,599 1,393,404 10,003,708 126,300 1,709,776 3,005,299 1,145,658 16,693 1,664,633 845,432 35,600 415,403 45,800 1,514,872 802,705

1,795,310 201,419 233,604 474,724 105,636 63,413 599,391 347,958 1,091,513 67,456 814,851 620,790 38,549 153,832 124,006 519,565 523,443 768,296 2,301,636 313,529 1,572,225

See Accompanying Notes to the Financial Statements.

254

COST

$

518

VALUE

$

479

381,904

364,162

3,356 102 6,543 1,339 2,037 26 1,139 2,677 3,150 794 1,931 1,405 476 6,713 1,442 5,970 40 3,223 8,255 389 4,192 124 5,296 1,526

5,673 218 8,307 1,929 1,332 46 1,735 3,223 4,767 1,013 1,317 1,151 710 9,508 1,566 5,534 31 3,134 8,758 395 4,330 234 7,726 1,505

62,145

74,142

6,887 2,554 1,013 707 3,381 745 919 884 1,552 542 3,179 2,182 586 751 2,745 961 2,118 4,164 9,050 2,137 4,221

6,776 2,744 1,161 511 4,600 988 800 1,010 1,200 650 3,585 2,426 764 845 2,741 995 2,028 4,311 8,995 2,696 4,617

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 88.9%- (CONTINUED) Turkey - 1.7% - (Continued) Turkiye Sise ve Cam Fabrikalari A.S. Turkiye Vakiflar Bankasi Tao, Class D Yapi ve Kredi Bankasi A.S. Ukraine - 0.0% Kernel Holding S.A. United States - 0.2% Southern Copper Corp. TOTAL COMMON STOCKS PREFERRED STOCKS - 8.0% Brazil - 6.8% AES Tiete S.A. Banco Bradesco S.A. Banco do Estado do Rio Grande do Sul, Class B Bradespar S.A. Braskem S.A., Class A Centrais Eletricas Brasileiras S.A., Class B Cia Brasileira de Distribuicao Grupo Pao de Acucar Cia de Bebidas das Americas Cia de Transmissao de Energia Eletrica Paulista Cia Energetica de Minas Gerais Cia Energetica de Sao Paulo, Class B Cia Paranaense de Energia, Class B Eletropaulo Metropolitana Eletricidade de Sao Paulo S.A. Gerdau S.A. Itau Unibanco Holding S.A. Itausa - Investimentos Itau S.A. Klabin S.A. Lojas Americanas S.A. Metalurgica Gerdau S.A. Oi S.A. Petroleo Brasileiro S.A. Telefonica Brasil S.A. Usinas Siderurgicas de Minas Gerais S.A., Class A Vale S.A. Chile - 0.2% Sociedad Quimica y Minera de Chile S.A., Class B Colombia - 0.3% Banco Davivienda S.A. BanColombia S.A. Grupo Aval Acciones y Valores Grupo de Inversiones Suramericana S.A. Inversiones Argos S.A. Russia - 0.2% AK Transneft OAO Sberbank of Russia

407,951 747,444 853,899

COST

$

771 1,522 1,914 55,485

VALUE

$

569 1,569 1,769 58,350

52,226

1,154

1,095

168,917

5,407 3,225,763

5,453 3,129,454

100,294 1,908,933 174,905 229,863 157,031 232,609 95,288 751,432 34,600 478,958 155,497 103,985 100,492 853,504 2,275,850 2,572,370 446,841 400,466 270,746 828,434 4,188,039 295,046 378,875 1,997,698

1,336 32,813 1,700 4,716 1,424 3,366 3,575 22,285 1,016 6,721 2,593 2,274 1,896 9,064 44,729 14,822 1,607 2,607 3,637 4,934 60,124 7,345 3,413 47,519 285,516

1,418 29,234 1,385 3,380 953 2,258 3,850 28,916 976 9,119 2,826 2,107 954 7,738 35,907 12,062 1,969 2,826 3,079 4,111 39,805 6,881 1,363 35,492 238,609

89,323

4,648

5,372

88,943 327,960 1,352,433 62,395 128,833

1,090 4,775 880 1,145 1,107 8,997

1,076 5,102 914 1,139 1,238 9,469

1,515 996,108

2,158 2,122

2,427 1,960

See Accompanying Notes to the Financial Statements.

255

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES PREFERRED STOCKS - 8.0%- (CONTINUED) Russia - 0.2% - (Continued) Surgutneftegaz OAO Surgutneftegaz OAO ADR

5,862,064 96,811

South Korea - 0.5% Hyundai Motor Co. Hyundai Motor Co., Class 2 LG Chem Ltd. Samsung Electronics Co. Ltd.

COST

$

3,066 401

23,425 37,266 7,553 20,519

1,248 2,052 939 10,851 15,090 321,998

1,376 2,469 645 14,682 19,172 280,954

293 196,248

-

4 4 4

1,395,661

55,297

55,854

UNITS SHORT-TERM INVESTMENTS - 0.1% Northern Trust Global Investments Collective Short-Term Investment Fund(3) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 98.6%

5,077,462

COST

$

5,077 5,077 3,608,135

Other Assets less Liabilities - 1.4%

(2) (3)

Percentages shown are based on Net Assets. SUMMARY OF INVESTMENTS PURCHASED AND SOLD:

COMMON STOCKS PREFERRED STOCKS INVESTMENT COMPANIES NORTHERN TRUST FUND TOTAL

$

5,077 5,077 3,471,343 48,364

Cost and Value amount rounds to less than $1. Cost amount rounds to less than $1. Investment in affiliated fund.

TYPE OF INVESTMENT

VALUE

$3,519,707

NET ASSETS - 100.0% (1)

3,403 542 8,332

TOTAL RIGHTS INVESTMENT COMPANIES - 1.6% Vanguard MSCI Emerging Markets ETF (1.6%)

$

7,747

TOTAL PREFERRED STOCKS RIGHTS - 0.0% Brazil - 0.0% Cia de Transmissao de Energia Eletrica Paulista(1) PDG Realty S.A. Empreendimentos e Participacoes(2)

VALUE

COST OF PURCHASES

PROCEEDS FROM SALES

$1,791,897

$

REALIZED GAINS (LOSSES)

89,952

$(31,530)

169,306

7,029

(1,763)

374,203 1,485,713

330,968 1,480,636

(1,548) —

$3,821,119

$1,908,585

$(34,841)

See Accompanying Notes to the Financial Statements.

256

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Number of Contracts)

The Brazilian and Indian governments charge transactional costs related to foreign investments in Brazilian and Indian financial and capital markets. Transactional costs of $1,805 have been netted against net realized gains (losses) on securities transactions on the Statement of Operations and Changes in Net Assets. As such, the realized gains (losses) between this schedule and the Statement of Operations and Changes in Net Assets will differ by this amount. OPEN FUTURES CONTRACTS: TYPE

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

CURRENCY

FTSE/JSE TOP 40 INDEX

Euro South African Rand

HANG SENG INDEX

Hong Kong Dollar

MSCI TAIWAN INDEX

United States Dollar Canadian Dollar United States Dollar Australian Dollar

582 44

DAX INDEX

S&P/TSX 60 INDEX SGX S&P CNX INDEX SPI 200 INDEX

22 228

$ 4,595 8,390

Long Long

9/12 9/12

$ 389 (25)

96

12,204

Long

8/12

591

377 49

9,561 6,493

Long Long

8/12 9/12

386 146

6,109 4,893

Long Long

8/12 9/12

135 170 $1,792

TOTAL

Foreign currency and other liquid assets are pledged as collateral to cover margin requirements for open futures contracts. At July 31, 2012, the NT Collective Emerging Markets Fund - Non Lending had outstanding foreign currency exchange contracts as follows: CONTRACTS TO DELIVER CURRENCY

IN EXCHANGE FOR CURRENCY

AMOUNT (LOCAL CURRENCY)

United States Dollar

—*

Hong Kong Dollar United States Dollar

31,021 800

United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar

Korean Won

AMOUNT (LOCAL CURRENCY)

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR) $—

COUNTERPARTY

34

8/3/12

United States Dollar Brazilian Real

4,000 1,679

9/19/12 9/19/12

(2) 12

UBS Securities New York UBS Securities New York

460 2,700

Brazilian Real Brazilian Real

971 5,516

9/19/12 9/19/12

9 (33)

UBS Securities New York UBS Securities New York

3,385 900 750 500 900 800 16 621 441 700 1,000 400 778

Hong Kong Dollar Hong Kong Dollar Hong Kong Dollar Hong Kong Dollar Korean Won Korean Won Korean Won Russian Rouble Taiwan Dollar Taiwan Dollar Taiwan Dollar Indian Rupee Indian Rupee

26,252 6,980 5,819 3,877 1,051,200 909,760 18,749 20,561 13,168 20,913 29,775 23,228 44,159

9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/20/12 9/20/12

1 — 1 — 27 2 1 13 (2) (3) (7) 13 8

Citibank London Citibank London UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York

$ 40

Total *

SETTLEMENT DATE

Amount rounds to less than one thousand.

See Accompanying Notes to the Financial Statements.

257

HSBC Holdings PLC

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

At July 31, 2012, the NT Collective Emerging Markets Fund - Non Lending’s investments (excluding short-term investments) were denominated in the following currencies: CONCENTRATION BY CURRENCY Hong Kong Dollar Korean Won Brazilian Real Taiwan Dollar United States Dollar South African Rand Indian Rupee All other currencies less than 5% Total

% OF INVESTMENTS 17.4% 15.2 12.9 10.5 8.4 7.9 6.1 21.6 100.0%

At July 31, 2012, the NT Collective Emerging Markets Fund - Non Lending’s investments (excluding short-term investments) were diversified as follows: INDUSTRY SECTOR Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Total

% OF INVESTMENTS 7.8% 8.3 12.5 26.3 1.1 6.6 13.4 11.9 8.3 3.8 100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, and/or securities indices). The Fund adjusted the price of certain foreign equity securities held in its portfolio on July 31, 2012 using adjustment factors designed to reflect more accurately the fair value of the securities. See Note 2 for a discussion of this procedure. The fair valuation of these securties resulted in their categorization as Level 2 investments. Level 3 - Valuations based on inputs that are unobservable and significant. The Fund utilized the following techniques on Level 3 investments: The Fund valued certain securities using prices provided by a third party provider.

See Accompanying Notes to the Financial Statements.

258

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective Emerging Markets Fund - Non Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Common Stocks

—

$ —

$ 264,693

256,060 387,351

— —

— —

256,060 387,351

766,729 39,417

— —

— —

766,729 39,417

229,165 448,731

— —

725 —

229,890 448,731

Telecommunication Services

349,109 277,237

— 51

— —

349,109 277,288

Utilities

110,186

—

—

110,186

Consumer Staples

6,671 32,766

— —

— —

6,671 32,766

Energy

46,178

—

—

46,178

Financials

88,779 14,682

— —

— —

88,779 14,682

Telecommunication Services

61,228 10,992

— —

— —

61,228 10,992

Utilities

19,658

—

—

19,658

4 55,854

— —

— —

4 55,854

—

5,077

—

5,077

$3,465,490

$5,128

$725

$3,471,343

$

$

$

Consumer Discretionary

$ 264,693

Consumer Staples Energy Financials Health Care Industrials Information Technology Materials

$

Preferred Stocks Consumer Discretionary

Information Technology Materials

Rights Consumer Discretionary Investment Companies Short-Term Investments Total Investments

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts Foreign Currency Exchange Contracts

1,817

—

$ —

—

87

—

1,817 87

(25) —

— (47)

— —

(25) (47)

Liabilities Futures Contracts Foreign Currency Exchange Contracts Total Other Financial Instruments

$

1,792

$

40

$ —

See Accompanying Notes to the Financial Statements.

259

$

1,832

NT COLLECTIVE EMERGING MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly. The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

BALANCE AS OF 7/31/11

NET REALIZED GAIN(LOSS)

NET CHANGE IN UNREALIZED APPRECIATION

NET CHANGE IN UNREALIZED DEPRECIATION

NET PURCHASES

NET SALES

TRANSFERS INTO LEVEL 3*

TRANSFERS OUT OF LEVEL 3*

BALANCE AS OF 7/31/12

$ 29 481

$(31) —

$ 3 —

$— (34)

$— 25

$ (1) —

$ — —

$ — (472)

$ — —

Common Stock Consumer Discretionary Energy Industrials Total *

— $510

—

—

—

$(31)

$ 3

$(34)

— $ 25

—

725

$ (1)

$725

The value of Transfers In and/or Out of Level 3 was measured using the fair value as of the end of the year. Transfers out of Level 3 investments occurred from movement into actively traded markets with multiple pricing sources. Transfers into Level 3 investments occurred from using evaluated prices from a third party vendor.

The amount of change in total unrealized losses on investments in Level 3 securities still held at July 31, 2012 was approximately $111, which is included in the Statement of Operations and Changes in Net Assets as Change in Unrealized Appreciation (Depreciation).

See Accompanying Notes to the Financial Statements.

260

— $(472)

725 $725

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (Cost $233,955) Investments in Northern Trust Fund, at Value (Cost $2,398) Cash Held at Broker (Restricted $237) Foreign Currencies (Cost $4,391) Foreign Currencies Held at Broker (Cost $10) Receivable for Investments Sold Receivable for Variation Margin on Futures Contracts Receivable for Fund Units Sold Unrealized Gain on Forward Foreign Currency Exchange Contracts Reclaims Receivable Accrued Income Receivable Total Assets

$

$

218,798 2,398 844 4,434 8 24 60 28 31 3 872 227,500

LIABILITIES Payable for Fund Units Redeemed Payable for Variation Margin on Futures Contracts Unrealized Loss on Forward Foreign Currency Exchange Contracts Accrued Expenses Total Liabilities

$

50 13 5 21 89

NET ASSETS (Equivalent to $20.497 Per Unit, Based on 11,094,924 Units Outstanding)

$

227,411

$

$

5,538 47 4 5,589 14 97 121 232

Net Expenses

$

231

Net Investment Income (Loss)

$

5,358

Net Realized Gains (Losses) on Securities Transactions

$

(8,578)

Net Realized Gains (Losses) on Futures Contracts

$

(619)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(667)

$

40,277 (14,860) (55,137)

$

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $748 in Foreign Withholding Tax) Interest Income (Net of Foreign Withholding Tax, which is less than $1) Income from Investment in Northern Trust Fund Total Investment Income Audit Fee Expense Recovery Other Expenses Total Expenses

$

Less: Refund of Expenses by Trustee

(1)

REALIZED AND UNREALIZED GAINS (LOSSES)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$

Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts and on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year

$

End of Year

23 64

Change in Net Unrealized Appreciation (Depreciation)

$

Net Realized and Unrealized Gains (Losses) on Investments and Futures Contracts and Foreign Currency Transactions

$

(64,960)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(59,602)

$ $

73,025 (59,793) 13,232

$

(46,370)

UNIT TRANSACTIONS Admission of 3,470,220 Units Withdrawal of 3,000,683 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Beginning of Year (10,625,387 Units Outstanding)

41

273,781

End of Year (11,094,924 Units Outstanding)

$

*56.6% owned by NT Collective All Country World ex-US Investable Market Index Fund - Non Lending *1.8% owned by NT Collective All Country World ex-US Investable Market Index Fund - Lending

See Accompanying Notes to the Financial Statements.

261

227,411

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING FINANCIAL HIGHLIGHTS

For the Year Ended July 31, 2012

For the Year Ended July 31, 2011

For the Year Ended July 31, 2010

For the Period December 19, 2008 (Commencement of Operations) to July 31, 2009

Unit Value, Beginning of Period

$

Net Investment Income (Loss)

25.767

$

21.720

$

16.925

$

10.000

0.474

0.475

0.400

0.196

Net Realized and Unrealized Gains (Losses)

(5.744)

3.572

4.395

6.729

Net Increase (Decrease)

(5.270)

4.047

4.795

6.925

Unit Value, End of Period Total Return

$

(1)

20.497

$

(20.45)%

25.767

$

18.63%

21.720

$

28.33%

16.925 69.25%

Supplemental Data and Ratios Net Assets (000's Omitted)

$

227,411

$

273,781

$

208,346

$

105,001

Ratio to Average Net Assets of: (2) Expenses - net of refund

0.10%

0.08%

N/A

N/A

Expenses - before refund

0.10%

0.08%

0.13%

0.23%

Net Investment Income (Loss) - net of refund

2.20%

1.95%

N/A

N/A

Net Investment Income (Loss) - before refund

2.20%

1.95%

1.93%

2.72%

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of period. Total Return is not annualized for periods less than one year.

(2)

Ratios are annualized for periods less than one year. N/A - Not applicable.

See Accompanying Notes to the Financial Statements. 262

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8% Brazil - 4.9% Abril Educacao S.A. Aliansce Shopping Centers S.A. Arezzo Industria e Comercio S.A. Autometal S.A. B2W Cia Global Do Varejo Brasil Brokers Participacoes S.A. Brasil Insurance Participacoes e Administracao S.A. Brazil Pharma S.A. Brookfield Incorporacoes S.A. Camargo Correa Desenvolvimento Imobiliario S.A. Cia Providencia Industria e Comercio S.A. Cremer S.A. Equatorial Energia S.A. Estacio Participacoes S.A. Eternit S.A. Even Construtora e Incorporadora S.A. Ez Tec Empreendimentos e Participacoes S.A. Fertilizantes Heringer S.A. Fleury S.A. Gafisa S.A. General Shopping Brasil S.A. Grendene S.A. Helbor Empreendimentos S.A. IdeiasNet S.A. Iguatemi Empresa de Shopping Centers S.A. Industrias Romi S.A. Iochpe-Maxion S.A. JHSF Participacoes S.A. JSL S.A. Kepler Weber S.A. Kroton Educacional S.A. LLX Logistica S.A. Log-in Logistica Intermodal S.A. LPS Brasil Consultoria de Imoveis S.A. Lupatech S.A. Magazine Luiza S.A. Marfrig Alimentos S.A. Mills Estruturas e Servicos de Engenharia S.A. Minerva S.A. Plascar Participacoes Industriais S.A. Positivo Informatica S.A. Profarma Distribuidora de Produtos Farmaceuticos S.A. Refinaria de Petroleos de Manguinhos S.A. Restoque Comercio e Confeccoes de Roupas S.A. Rodobens Negocios Imobiliarios S.A. Rossi Residencial S.A. Santos Brasil Participacoes S.A. Sao Martinho S.A. SLC Agricola S.A. Sonae Sierra Brasil S.A.

11,300 41,958 22,097 18,707 35,700 62,386 25,800 60,000 111,100 22,231 12,212 16,438 27,575 30,497 37,497 81,500 25,678 9,397 27,403 215,700 12,214 44,571 54,876 36,127 15,822 16,813 33,222 42,500 31,936 458,600 36,274 173,255 25,667 15,582 12,361 32,500 69,300 37,866 18,412 32,300 15,102 7,070 129,500 47,234 10,908 87,200 23,088 22,524 24,506 13,295

See Accompanying Notes to the Financial Statements.

263

COST

$

125 281 348 179 201 252 301 304 197 70 40 111 154 372 186 308 166 46 320 643 88 191 174 67 262 86 332 79 198 105 381 425 110 230 95 197 316 500 57 44 83 53 76 297 86 231 244 229 228 200

VALUE

$

169 384 346 144 117 193 228 358 168 59 36 123 206 375 196 259 272 70 289 268 53 252 243 30 337 44 360 129 159 54 544 253 80 273 19 162 326 515 83 13 40 38 51 244 52 200 360 241 270 183

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Brazil - 4.9% - (Continued) T4F Entretenimento S.A. Technos S.A. Tecnisa S.A. Tegma Gestao Logistica Tempo Participacoes S.A. TPI - Triunfo Participacoes e Investimentos S.A. Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao S.A. Vanguarda Agro S.A. Viver Incorporadora e Construtora S.A. Canada - 0.2% Rio Alto Mining Ltd. Chile - 1.7% Administradora de Fondos de Pensiones Provida S.A. AquaChile S.A. Besalco S.A. Cia Pesquera Camanchaca S.A. Cia Sud Americana de Vapores S.A. Cruz Blanca Salud S.A. Empresas Hites S.A. Empresas Iansa S.A. Empresas La Polar S.A. Enjoy S.A. Inversiones Aguas Metropolitanas S.A. Masisa S.A. Multiexport Foods S.A. Norte Grande S.A. Parque Arauco S.A. PAZ Corp. S.A. Salfacorp S.A. Sociedad Matriz SAAM S.A. Socovesa S.A. Sonda S.A. China - 11.4% AMVIG Holdings Ltd. Anhui Expressway Co., Class H Anhui Tianda Oil Pipe Co. Ltd., Class H Anton Oilfield Services Group Asia Cement China Holdings Corp. Ausnutria Dairy Corp. Ltd. AVIC International Holding HK Ltd. Baoye Group Co. Ltd., Class H BaWang International Group Holding Ltd. Beijing Capital Land Ltd., Class H Beijing Enterprises Water Group Ltd. Beijing Jingkelong Co. Ltd., Class H Beijing Jingneng Clean Energy Co. Ltd., Class H

17,200 15,000 50,969 11,400 42,863 25,992 22,582 520,118 71,100

COST

$

129 122 277 110 112 108

VALUE

$

142 140 181 190 78 103

213 210 120

353 94 51

11,669

11,200

80,449

275

351

82,501 170,933 128,012 677,550 2,462,874 126,315 82,369 1,267,911 124,071 283,100 198,361 1,037,615 276,734 10,143,190 209,294 55,849 164,417 2,905,644 210,548 173,706

270 132 232 101 273 123 91 139 519 62 252 134 117 171 296 49 366 652 84 366 4,429

485 110 217 38 302 139 55 102 63 52 362 101 70 107 398 27 303 323 88 521 3,863

256,000 254,000 109,000 488,311 234,328 167,000 1,470,000 154,751 584,972 504,777 1,557,000 87,000 196,000

159 154 62 63 138 106 68 99 188 164 438 73 42

116 114 14 97 94 31 42 79 40 155 291 59 44

See Accompanying Notes to the Financial Statements.

264

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) China - 11.4% - (Continued) Beijing North Star Co. Ltd., Class H Beijing Properties Holdings Ltd. Besunyen Holdings Co. Billion Industrial Holdings Ltd. Binhai Investment Co. Ltd. Biostime International Holdings Ltd. Boer Power Holdings Ltd. Boshiwa International Holding Ltd. BYD Electronic International Co. Ltd. Catic Shenzhen Holdings Ltd., Class H Central China Real Estate Ltd. Changchai Co. Ltd., Class B Changshouhua Food Co. Ltd. Chaowei Power Holdings Ltd. Chiho-Tiande Group Ltd. China All Access Holdings Ltd. China Aoyuan Property Group Ltd. China Automation Group Ltd. China Chengtong Development Group Ltd. China Datang Corp. Renewable Power Co. Ltd., Class H China Dongxiang Group Co. China Everbright International Ltd. China Fangda Group Co. Ltd., Class B China Flooring Holding Co. Ltd. China Forestry Holdings Co. Ltd.(1) China Green Holdings Ltd. China Haidian Holdings Ltd. China High Precision Automation Group Ltd. China High Speed Transmission Equipment Group Co. Ltd. China Huiyuan Juice Group Ltd. China ITS Holdings Co. Ltd. China Kingstone Mining Holdings Ltd. China Lilang Ltd. China Lumena New Materials Corp. China Medical System Holdings Ltd. China Merchants China Direct Investments Ltd. China Metal Recycling Holdings Ltd. China Mining Resources Group Ltd.(1) China Modern Dairy Holdings Ltd. China National Accord Medicines Corp. Ltd., Class B China National Materials Co. Ltd., Class H China Nickel Resources Holding Co. Ltd. China Pharmaceutical Group Ltd. China Power International Development Ltd. China Power New Energy Development Co. Ltd. China Precious Metal Resources Holdings Co. Ltd. China Properties Group Ltd. China Public Procurement Ltd.(1) China Qinfa Group Ltd. China Rare Earth Holdings Ltd. China Sanjiang Fine Chemicals Co. Ltd.

346,000 970,000 362,010 282,500 838,542 76,737 110,601 305,118 390,536 126,275 296,648 69,500 126,000 193,000 156,000 324,000 573,000 320,000 575,112 1,176,000 1,404,000 915,012 139,153 220,000 466,000 234,836 792,816 303,476 551,000 291,636 356,915 474,000 214,000 1,398,000 481,781 55,995 285,600 3,423,720 958,644 26,300 521,000 384,540 373,993 882,014 2,321,819 1,392,000 267,401 1,120,000 296,000 542,000 300,575

See Accompanying Notes to the Financial Statements.

265

COST

$

77 68 137 159 78 155 110 152 192 59 78 47 72 68 96 81 86 160 42 247 179 359 50 50 164 179 91 209 263 189 147 78 241 415 249 86 312 99 293 69 167 53 178 220 160 274 72 147 54 137 110

VALUE

$

62 47 32 150 41 172 32 66 78 47 73 23 63 113 80 62 75 57 23 135 110 476 32 39 53 84 59 149 97 46 10 131 220 239 70 203 255 64 126 27 94 240 85 199 89 31 115 73

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) China - 11.4% - (Continued) China SCE Property Holdings Ltd. China Shineway Pharmaceutical Group Ltd. China Singyes Solar Technologies Holdings Ltd. China Starch Holdings Ltd. China Suntien Green Energy Corp. Ltd., Class H China Textile Machinery, Class B China Tontine Wines Group Ltd. China Vanadium Titano - Magnetite Mining Co. Ltd. China Wireless Technologies Ltd. Chinasoft International Ltd. Chongqing Iron & Steel Co. Ltd., Class H Chongqing Machinery & Electric Co. Ltd., Class H Chu Kong Petroleum & Natural Gas Steel Pipe Holdings Ltd. CIMC Enric Holdings Ltd. CITIC Dameng Holdings Ltd. Comtec Solar Systems Group Ltd. Cosco International Holdings Ltd. CPMC Holdings Ltd. Credit China Holdings Ltd. Da Ming International Holdings Ltd. DaChan Food Asia Ltd. Dalian Refrigeration Co. Ltd., Class B Daqing Dairy Holdings Ltd. Dawnrays Pharmaceutical Holdings Ltd. Dazhong Transportation Group Co. Ltd., Class B Digital China Holdings Ltd. Dongjiang Environmental Co. Ltd., Class H Double Coin Holdings Ltd., Class B Dynasty Fine Wines Group Ltd. Eastern Communications Co. Ltd., Class B Embry Holdings Ltd. Evergreen International Holdings Ltd. Extrawell Pharmaceutical Holdings Ltd. Fantasia Holdings Group Co. Ltd. First Tractor Co. Ltd., Class H Fiyta Holdings Ltd. Foshan Electrical and Lighting Co. Ltd., Class B Fufeng Group Ltd. Global Bio-Chem Technology Group Co. Ltd. Global Sweeteners Holdings Ltd. Golden Meditech Holdings Ltd. Goldlion Holdings Ltd. Good Friend International Holdings, Inc. Great Wall Technology Co. Ltd., Class H Greattown Holdings Ltd., Class B Greatview Aseptic Packaging Co. Ltd. Greentown China Holdings Ltd. Guangdong Provincial Expressway Development Co. Ltd., Class B Guangzhou Pharmaceutical Co. Ltd., Class H GZI Real Estate Investment Trust

488,000 164,000 201,600 1,118,496 671,661 69,500 586,000 463,000 728,000 390,000 286,000 510,816 176,000 146,857 425,768 246,000 338,000 129,000 408,000 180,211 214,930 39,700 254,986 172,000 263,800 384,020 17,503 126,700 169,374 132,000 57,700 159,747 1,030,000 900,000 200,000 45,100 117,900 394,000 970,883 274,000 826,771 182,580 78,000 218,000 70,200 228,044 327,000 158,200 108,030 341,386

See Accompanying Notes to the Financial Statements.

266

COST

$

128 228 104 68 195 46 93 173 202 113 75 115 67 70 113 76 156 86 77 67 41 32 95 57 183 527 62 88 38 49 29 86 99 112 152 55 118 198 198 48 141 53 39 88 29 135 144 67 67 144

VALUE

$

113 233 66 28 113 24 51 69 111 83 35 65 43 77 49 21 129 89 34 24 37 18 55 39 112 599 73 54 26 44 26 36 65 92 157 30 62 124 113 14 92 77 32 38 23 110 345 43 189 160

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) China - 11.4% - (Continued) Hainan Meilan International Airport Co. Ltd., Class H Haitian International Holdings Ltd. Hangzhou Steam Turbine Co., Class B Harbin Power Equipment Co. Ltd., Class H Hefei Meiling Co. Ltd., Class B Heng Tai Consumables Group Ltd. Hi Sun Technology China Ltd. Hidili Industry International Development Ltd. Hilong Holding Ltd. Hisense Kelon Electrical Holdings Co. Ltd., Class H Honghua Group Ltd. Hosa International Ltd. Hua Han Bio-Pharmaceutical Holdings Ltd., Class H Huadian Energy Co. Ltd., Class B Huangshan Tourism Development Co. Ltd., Class B Huangshi Dongbei Electrical Appliance Co. Ltd., Class B Hubei Sanonda Co. Ltd., Class B Hunan Non-Ferrous Metal Corp. Ltd., Class H Inspur International Ltd. International Taifeng Holdings Ltd. Jiangsu Future Land Co. Ltd., Class B Jinan Qingqi Motorcycle Co., Class B Jingwei Textile Machinery, Class H Jinshan Development & Construction Co. Ltd., Class B Jinzhou Port Co. Ltd., Class B Ju Teng International Holdings Ltd. Kai Yuan Holdings Ltd. Kaisa Group Holdings Ltd. Kingdee International Software Group Co. Ltd. Kingsoft Corp. Ltd. Kingway Brewery Holdings Ltd. Konka Group Co. Ltd., Class B Labixiaoxin Snacks Group Ltd. Lai Fung Holdings Ltd. Lao Feng Xiang Co. Ltd., Class B Leoch International Technology Ltd. Li Ning Co. Ltd. Lianhua Supermarket Holdings Co. Ltd., Class H Lijun International Pharmaceutical Holding Ltd. Lingbao Gold Co. Ltd., Class H Livzon Pharmaceutical, Inc., Class B Loudong General Nice Resources China Holdings Ltd. Luoyang Glass Co. Ltd., Class H Luthai Textile Co. Ltd., Class B Maoye International Holdings Ltd. Microport Scientific Corp. MIE Holdings Corp. MIN XIN Holdings Ltd. Minmetals Land Ltd. Minth Group Ltd.

58,000 278,579 134,812 336,000 50,400 2,555,910 929,882 513,000 272,000 216,859 477,391 192,000 595,360 227,100 74,500 56,500 145,200 810,377 1,361,962 156,000 316,900 96,800 87,409 100,400 122,160 418,725 3,883,836 835,104 879,802 305,941 425,105 133,000 164,000 4,215,700 85,500 188,707 370,000 186,000 605,000 153,051 33,700 932,400 116,000 163,000 675,000 248,725 402,796 121,580 546,000 323,348

See Accompanying Notes to the Financial Statements.

267

COST

$

45 196 129 306 34 205 239 170 50 89 86 47 93 75 89 44 58 233 127 76 156 40 45 43 57 198 140 288 252 183 110 40 54 93 174 83 285 208 155 75 74 102 36 135 157 173 180 54 121 369

VALUE

$

32 269 105 252 19 60 103 118 59 36 71 47 108 47 82 23 47 252 38 36 190 28 42 39 41 120 95 152 102 127 123 32 52 79 146 23 191 185 148 59 75 41 20 128 105 106 103 66 67 332

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) China - 11.4% - (Continued) Nanjing Panda Electronics Co. Ltd., Class H NetDragon Websoft, Inc. New World Department Store China Ltd. North Mining Shares Co. Ltd. NVC Lighting Holdings Ltd. O-Net Communications Group Ltd. Overseas Chinese Town Asia Holdings Ltd. Pacific Online Ltd. PCD Stores Group Ltd. Peak Sport Products Co. Ltd. Ports Design Ltd. Pou Sheng International Holdings Ltd. Powerlong Real Estate Holdings Ltd. Prince Frog International Holdings Ltd. Qingling Motors Co. Ltd., Class H Qunxing Paper Holdings Co. Ltd.(1) Real Gold Mining Ltd.(1) Real Nutriceutical Group Ltd. Regent Manner International Holdings Ltd. Renhe Commercial Holdings Co. Ltd. Richly Field China Development Ltd. RREEF China Commercial Trust(1) Semiconductor Manufacturing International Corp. SGSB Group Co. Ltd., Class B Shandong Airlines Co. Ltd., Class B Shandong Chenming Paper Holdings Ltd., Class B Shandong Chenming Paper Holdings Ltd., Class H Shandong Luoxin Pharmacy Stock Co. Ltd., Class H Shandong Molong Petroleum Machinery Co. Ltd., Class H Shanghai Automation Instrumentation Co. Ltd., Class B Shanghai Baosight Software Co. Ltd., Class B Shanghai Chlor-Alkali Chemical Co. Ltd., Class B Shanghai Dajiang Group, Class B Shanghai Diesel Engine Co. Ltd., Class B Shanghai Dingli Technology Development Group Co. Ltd., Class B Shanghai Erfangji Co. Ltd., Class B Shanghai Haixin Group Co., Class B Shanghai Highly Group Co. Ltd., Class B Shanghai Jin Jiang International Hotels Group Co. Ltd., Class H Shanghai Jinjiang International Hotels Development Co. Ltd., Class B Shanghai Jinjiang International Industrial Investment Co. Ltd., Class B Shanghai Jinjiang International Travel Co. Ltd., Class B Shanghai Jinqiao Export Processing Zone Development Co. Ltd., Class B Shanghai Lingyun Industries Development Co. Ltd. Shanghai Material Trading Co. Ltd., Class B Shanghai Mechanical and Electrical Industry Co. Ltd., Class B Shanghai Potevio Co. Ltd., Class B

100,011 90,811 254,898 3,558,512 624,021 195,053 98,000 184,030 1,362,000 362,000 194,040 880,253 631,000 199,000 369,930 252,214 228,995 342,000 308,000 5,828,000 2,370,000 184,965 9,661,000 110,800 67,900 273,400 151,339 90,000 141,600 64,000 50,270 200,900 185,700 169,280

COST

$

VALUE

23 55 187 183 321 145 56 64 349 223 434 123 160 48 86 77 300 200 66 293 111 64 324 52 91 137 72 106 100 40 59 110 59 75

$

21 73 138 163 113 44 37 61 98 53 191 70 110 53 83 91 58 241 27 355 38 57 93 48 69 33 27 49 78 43 86

53,600 134,100 207,800 129,300 608,770

27 51 93 65 128

31 42 79 58 80

75,700

133

87

71,400 30,600

65 52

46 30

132,494 102,900 47,250 107,300 67,300

110 60 24 112 40

82 32 21 97 31

See Accompanying Notes to the Financial Statements.

268

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) China - 11.4% - (Continued) Shanghai Prime Machinery Co. Ltd., Class H Shanghai Waigaoqiao Free Trade Zone Development Co. Ltd., Class B Shengli Oil&Gas Pipe Holdings Ltd. Shenzhen Chiwan Petroleum, Class B Shenzhen Chiwan Wharf Holdings Ltd., Class B Shenzhen Expressway Co. Ltd., Class H Shenzhen International Enterprise., Class B Shenzhen International Holdings Ltd. Shenzhen Investment Ltd. Shenzhen SEG Co. Ltd., Class B(1) Shenzhou International Group Holdings Ltd. Shijiazhuang Baoshi Electronic Glass Co. Ltd., Class B Shirble Department Stores Holdings China Ltd. Sijia Group Co. Silver Grant International Sino Biopharmaceutical Sino Oil And Gas Holdings Ltd. Sinolink Worldwide Holdings Ltd. SinoMedia Holding Ltd. Sinopec Kantons Holdings Ltd. Sinotrans Ltd., Class H Sinotrans Shipping Ltd. Solargiga Energy Holdings Ltd. Sparkle Roll Group Ltd. SPG Land Holdings Ltd. SRE Group Ltd. Sunac China Holdings Ltd. Sunny Optical Technology Group Co. Ltd. SVA Electron Co. Ltd., Class B SYP Glass Group Co. Ltd., Class B TCL Multimedia Technology Holdings Ltd. Tech Pro Technology Development Ltd. Tiangong International Co. Ltd. Tianjin Capital Environmental Protection Group Co. Ltd., Class H Tianjin Development Holdings Ltd. Tianjin Marine Shipping Co. Ltd., Class B Tianjin Port Development Holdings Ltd. Tianneng Power International Ltd. Tong Ren Tang Technologies Co. Ltd., Class H Towngas China Co. Ltd. TPV Technology Ltd. Trauson Holdings Co. Ltd. Travelsky Technology Ltd., Class H Trony Solar Holdings Co. Ltd. Tsann Kuen China Enterprise Co. Ltd., Class B Vinda International Holdings Ltd. VODone Ltd. Wafangdian Bearing Co. Ltd., Class B Wasion Group Holdings Ltd.

376,000

COST

$

VALUE

74

$

51

111,400 579,000 28,300 71,800 374,000 31,300 4,461,225 1,076,415 105,300 231,893 52,900 335,252 131,740 681,232 1,487,001 4,753,108 953,837 95,897 310,457 818,942 706,000 535,011 888,000 147,075 1,383,572 446,834 193,000 164,800 100,000 240,000 334,000 496,000

88 88 29 98 176 38 308 337 44 271 42 70 97 158 386 201 108 20 136 192 241 114 124 69 91 166 58 75 58 118 123 75

71 38 26 83 136 38 282 249 410 29 31 31 110 564 109 62 37 243 100 148 33 52 31 55 189 75 48 38 84 130 102

160,000 262,300 84,500 920,687 325,025 131,000 311,996 386,000 151,590 461,443 364,038 322,400 235,289 1,368,400 36,300 228,831

43 162 33 240 144 81 119 194 62 227 158 67 224 261 39 140

36 126 18 100 201 243 218 72 65 225 30 21 388 104 19 97

See Accompanying Notes to the Financial Statements.

269

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES

COST

VALUE

COMMON STOCKS - 94.8%- (CONTINUED) China - 11.4% - (Continued) Weiqiao Textile Co. Ltd., Class H West China Cement Ltd. Winsway Coking Coal Holding Ltd. Wuxi Little Swan Co. Ltd., Class B Xiamen International Port Co. Ltd., Class H Xingda International Holdings Ltd. Xinhua Winshare Publishing and Media Co. Ltd., Class H Xinjiang Xinxin Mining Industry Co. Ltd., Class H Xiwang Special Steel Co. Ltd. Xiwang Sugar Holdings Co. Ltd. XTEP International Holdings Yantai North Andre Juice Co., Class H Yashili International Holdings Ltd. Yip’s Chemical Holdings Ltd. Yuanda China Holdings Ltd. Yuexiu Transport Infrastructure Ltd. Yuzhou Properties Co. Zhejiang Southeast Electric Power Co., Class B Zhonglu Co. Ltd., Class B

207,000 1,095,196 778,000 62,700 434,000 418,337 204,965 350,654 243,000 215,894 324,000 765,000 424,027 138,000 1,234,000 295,563 396,000 339,800 48,350

Colombia - 0.1% Bolsa de Valores de Colombia Fabricato S.A. Interbolsa S.A.

6,749,267 2,012,604 57,768

118 80 78 276

110 100 70 280

18,626 10,151 4,505 269 36,096

308 76 103 138 282

95 47 98 145 297

907

682

55 129 96 140 177 52 159 163 107 89 61 78 131 139 86 1,662

41 71 48 143 132 37 131 62 64 126 46 76 72 82 64 1,195

Czech Republic - 0.3% Central European Media Enterprises Ltd., Class A Fortuna Entertainment Group N.V. Pegas Nonwovens S.A. Philip Morris CR A.S. Unipetrol A.S. Egypt - 0.5% Amer Group Holding Citadel Capital S.A.E. Egyptian Resorts Co. ElSwedy Electric Co. Ezz Steel Heliopolis Housing Juhayna Food Industries Maridive & Oil Services SAE Medinet Nasr Housing Orascom Telecom Media And Technology Holding S.A.E. Oriental Weavers Palm Hills Developments S.A.E. Pioneers Holding Six of October Development & Investment South Valley Cement

378,218 143,005 270,077 38,855 108,149 14,757 173,496 56,663 24,346 1,321,268 15,097 230,717 105,280 29,770 107,731

See Accompanying Notes to the Financial Statements.

270

$

118 370 273 74 74 270 81 169 50 50 161 41 115 91 185 130 98 177 41 35,897

$

68 165 109 51 43 141 90 64 36 20 99 29 65 90 126 143 93 160 27 25,870

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Hong Kong - 3.0% 361 Degrees International Ltd. Ajisen China Holdings Ltd. Anxin-China Holdings Ltd. Apollo Solar Energy Technology Holdings Ltd. Asia Energy Logistics Group Ltd. Asian Citrus Holdings Ltd. C C Land Holdings Ltd. Century Ginwa Retail Holdings Ltd. CGN Mining Co. Ltd. Chigo Holding Ltd. China Aerospace International Holdings Ltd. China Energine International Holdings Ltd. China Glass Holdings Ltd. China Oil and Gas Group Ltd. China Overseas Grand Oceans Group Ltd. China South City Holdings Ltd. China Travel International Inv HK China Water Affairs Group Ltd. ChinaVision Media Group Ltd. Citic 21CN Co. Ltd. Citic Resources Holdings Ltd. Comba Telecom Systems Holdings Ltd. DBA Telecommunication Asia Holdings Ltd. Global Energy Resources International Group Ltd. Glorious Property Holdings Ltd. Goodtop Tin International Holdings Ltd. Guangzhou Shipyard International Co. Ltd., Class H Henderson Investment Ltd. Heng Xin China Holdings Ltd. HKC Holdings Ltd. Hopson Development Holdings Ltd. Hutchison Harbour Ring Ltd. Interchina Holdings Co. Jinchuan Group International Resources Co. Ltd. Kingboard Laminates Holdings Ltd. KWG Property Holding Ltd. Le Saunda Holdings Ltd. Magic Holdings International Ltd. Media Chinese International Ltd. New World China Land Ltd. PAX Global Technology Ltd. Phoenix Satellite Television Holdings Ltd. REXLot Holdings Ltd. Road King Infrastructure Ltd. Royale Furniture Holdings Ltd. Shanghai Industrial Urban Development Group Ltd. Shougang Concord International Enterprises Co. Ltd. SIM Technology Group Ltd. Sinofert Holdings Ltd. Skyworth Digital Holdings Ltd. SMI Corp. Ltd.

313,000 266,399 1,001,661 2,286,000 3,190,000 397,514 646,484 874,000 579,991 1,602,980 982,551 798,000 336,000 1,840,000 342,000 896,474 1,410,434 580,000 720,000 1,076,000 1,368,545 417,190 257,695 3,488,000 1,359,000 843,530 101,400 495,674 1,025,983 1,865,260 302,581 870,000 1,589,144 475,000 521,000 577,000 150,000 244,216 292,000 1,290,000 178,000 503,861 3,273,622 120,000 230,297 747,816 2,445,771 464,000 1,050,000 878,000 1,451,961

See Accompanying Notes to the Financial Statements.

271

COST

$

188 335 240 60 68 344 201 44 84 121 97 61 108 164 193 149 253 189 27 68 270 319 60 136 234 146 123 51 144 96 263 69 216 138 240 186 83 104 117 313 64 168 277 86 99 235 284 56 181 388 73

VALUE

$

70 185 186 62 49 190 139 47 55 33 71 19 34 183 311 135 258 141 26 50 198 112 161 29 203 49 64 36 36 71 195 72 89 74 197 320 41 88 143 496 37 152 207 78 31 128 117 21 214 340 37

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Hong Kong - 3.0% - (Continued) TCL Communication Technology Holdings Ltd. Texhong Textile Group Ltd. Tibet 5100 Water Resources Holdings Ltd. Viva China Holdings Ltd. Welling Holding Ltd. Winteam Pharmaceutical Group Ltd. Yanchang Petroleum International Ltd. Youyuan International Holdings Ltd. Hungary - 0.1% EGIS Pharmaceuticals PLC India - 7.2% Aban Offshore Ltd. ABG Shipyard Ltd. Alok Industries Ltd. Alstom India Ltd. Amara Raja Batteries Ltd. Amtek Auto Ltd. Amtek India Ltd. Anant Raj Industries Ltd. Andhra Bank Apollo Hospitals Enterprise Ltd. Apollo Tyres Ltd. Areva T&D India Ltd. Arshiya International Ltd. Arvind Ltd. Asahi India Glass Ltd. Ashok Leyland Ltd. Aurobindo Pharma Ltd. Bajaj Electricals Ltd. Bajaj Finance Ltd. Bajaj Hindusthan Ltd. Ballarpur Industries Ltd. Balrampur Chini Mills Ltd. BASF India Ltd. Bata India Ltd. Bayer CropScience Ltd. BEML Ltd. Berger Paints India Ltd. BF Utilities Ltd. Bharat Forge Ltd. Biocon Ltd. Blue Star Ltd. Bombay Dyeing & Manufacturing Co. Ltd. Bombay Rayon Fashions Ltd. Britannia Industries Ltd. Century Textile & Industries Ltd. CESC Ltd. Chambal Fertilizers & Chemicals Ltd.

248,000 166,000 573,000 3,794,279 472,800 250,000 2,084,639 177,000

COST

$

133 119 176 143 120 48 175 101

VALUE

$

52 54 130 40 70 44 148 34

9,228

6,852

1,917

170

134

6,141 6,521 183,932 8,614 10,227 48,742 36,914 57,848 58,560 32,596 38,258 23,150 10,890 62,579 17,370 460,968 57,221 12,888 5,758 97,722 117,868 61,941 5,450 7,558 5,242 5,603 44,930 4,409 42,640 23,462 10,682 7,314 28,642 14,651 14,592 27,907 48,334

80 39 75 93 39 141 35 110 137 288 32 108 30 65 20 254 161 59 61 96 70 104 61 75 69 69 77 67 232 138 73 57 153 132 91 175 63

42 44 52 56 54 90 61 49 107 369 53 76 24 81 19 185 112 41 107 53 41 60 55 121 84 32 112 32 230 102 37 66 127 122 76 150 62

See Accompanying Notes to the Financial Statements.

272

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) India - 7.2% - (Continued) Cholamandalam Investment and Finance Co. Ltd. Clariant Chemicals India Ltd. CMC Ltd. Core Projects & Technologies Ltd. Corporation Bank Cox & Kings Ltd. Deepak Fertilizers & Petrochemicals Corp. Ltd. Delta Corp. Ltd. DEN Networks Ltd. Dena Bank Development Credit Bank Ltd. Dewan Housing Finance Corp. Ltd. Edelweiss Financial Services Ltd. Educomp Solutions Ltd. Eicher Motors Ltd. EID Parry India Ltd. EIH Ltd. Elgi Equipments Ltd. Emami Ltd. Eros International Media Ltd. Escorts Ltd. FDC Ltd. Federal Bank Ltd. Financial Technologies India Ltd. Fortis Healthcare Ltd. Gateway Distriparks Ltd. Gitanjali Gems Ltd. Glodyne Technoserve Ltd. Godrej Industries Ltd. Graphite India Ltd. Great Eastern Shipping (The) Co. Ltd. Greaves Cotton Ltd. Gruh Finance Ltd. Gujarat Flourochemicals Ltd. Gujarat Gas Co. Ltd. Gujarat Mineral Development Corp. Ltd. Gujarat Narmada Valley Fertilizers Co. Ltd. Gujarat NRE Coke Ltd. Gujarat State Fertilisers & Chemicals Ltd. Gujarat State Petronet Ltd. GVK Power & Infrastructure Ltd. Hathway Cable & Datacom Ltd. Havells India Ltd. HCL Infosystems Ltd. Hexaware Technologies Ltd. Himachal Futuristic Communications Hindustan Construction Co. Hindustan Oil Exploration Co. Ltd. Hotel Leela Venture Ltd. Housing Development & Infrastructure Ltd. ICRA Ltd.

10,094 3,163 3,966 17,873 14,647 29,255 11,414 23,995 11,365 35,435 53,005 25,725 88,841 23,340 3,181 26,204 59,746 18,118 18,891 10,630 29,722 22,206 61,177 9,038 42,906 26,203 18,448 6,229 31,764 23,917 34,078 29,022 20,995 10,718 16,670 37,454 18,116 125,314 9,271 73,017 348,078 15,297 15,669 56,850 102,590 183,956 181,335 14,702 49,122 113,682 975

See Accompanying Notes to the Financial Statements.

273

COST

$

41 46 64 91 108 143 42 47 51 52 56 120 72 246 68 100 116 38 178 46 84 29 382 172 117 65 78 57 138 37 185 46 40 58 118 92 38 119 59 120 269 50 94 140 121 58 179 58 33 132 28

VALUE

$

39 36 70 93 107 73 26 25 25 59 38 67 48 67 112 99 85 28 169 32 31 33 456 117 76 67 109 22 136 36 159 34 58 67 93 125 29 39 58 93 81 52 151 38 211 39 57 31 27 162 21

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) India - 7.2% - (Continued) IFCI Ltd. IL&FS Transportation Networks Ltd. India Cements Ltd. India Infoline Ltd. Indiabull Infrastructure and Power Ltd. Indiabulls Financial Services Ltd. Indiabulls Power Ltd. Indiabulls Real Estate Ltd. Indian Hotels Co. Ltd. Indian Overseas Bank Indraprastha Gas Ltd. Ingersoll-Rand India Ltd. Ipca Laboratories Ltd. IRB Infrastructure Developers Ltd. IVRCL Ltd. Jagran Prakashan Ltd. Jai Corp. Ltd. Jain Irrigation Systems Ltd. Jammu & Kashmir Bank Ltd. Jet Airways India Ltd. Jindal Saw Ltd. JSW ISPAT Steel Ltd. Jubilant Foodworks Ltd. Jyothy Laboratories Ltd. Kalpataru Power Transmission Ltd. Karnataka Bank Ltd. Karur Vysya Bank Ltd. KEC International Ltd. Kemrock Industries & Exports Ltd. Lakshmi Machine Works Ltd. Lanco Infratech Ltd. Madras Cements Ltd. Mahanagar Telephone Nigam Maharashtra Seamless Ltd. Mahindra & Mahindra Financial Services Ltd. Manappuram Finance Ltd. MAX India Ltd. McLeod Russel India Ltd. Merck Ltd. MindTree Ltd. MOIL Ltd. Monnet Ispat & Energy Ltd. MRF Ltd. Nagarjuna Fertilizers & Chemicals Ltd.(2) Nava Bharat Ventures Ltd. Navneet Publications India Ltd. NCC Ltd. NIIT Ltd. NIIT Technologies Ltd. Novartis India Ltd. Orchid Chemicals & Pharmaceuticals Ltd.

236,582 18,876 83,602 77,382 452,052 84,890 214,666 154,969 170,312 60,498 18,332 4,066 15,595 39,196 104,657 45,206 16,092 58,385 10,214 9,128 54,395 276,452 12,810 17,794 17,207 49,287 19,561 29,155 4,840 1,382 281,670 29,514 73,813 14,461 23,187 217,927 54,542 21,425 1,827 5,240 16,482 6,165 497 45,504 19,652 28,253 90,390 41,498 15,607 3,911 15,585

See Accompanying Notes to the Financial Statements.

274

COST

$

203 61 169 159 65 292 49 118 256 108 103 31 79 170 196 120 87 211 140 83 119 123 151 37 50 118 137 47 50 35 67 63 121 87 304 241 192 91 29 48 81 55 55 18 111 34 213 42 49 59 65

VALUE

$

151 56 126 72 36 347 49 156 181 79 77 33 112 89 83 74 16 85 168 58 117 51 259 40 21 85 146 30 35 39 64 88 40 87 296 131 172 124 20 59 80 34 86 69 29 61 28 82 46 31

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) India - 7.2% - (Continued) Orient Paper & Industries Ltd. Orissa Minerals Development Co. Ltd. Page Industries Ltd. Parsvnath Developers Ltd. Persistent Systems Ltd. Phoenix Mills Ltd. Polaris Financial Technology Ltd. PPipavav Defence & Offshore Engineering Co. Ltd. Praj Industries Ltd. Prestige Estates Projects Ltd. Prism Cement Ltd. PTC India Ltd. Punj Lloyd Ltd. Punjab & Sind Bank Radico Khaitan Ltd. Rain Commodities Ltd. Rajesh Exports Ltd. Rallis India Ltd. Raymond Ltd. Redington India Ltd. REI Agro Ltd. Rolta India Ltd. Ruchi Soya Industries Ltd. S Kumars Nationwide Ltd. Shoppers Stop Ltd. Shree Renuka Sugars Ltd. Sintex Industries Ltd. SKF India Ltd. Sobha Developers Ltd. SpiceJet Ltd. SREI Infrastructure Finance Ltd. SRF Ltd. State Bank of Bikaner & Jaipur State Bank of Travancore Sterlite Technologies Ltd. Strides Arcolab Ltd. Sun Pharma Advanced Research Co. Ltd. Sundaram Finance Ltd. Sundram Fasteners Ltd. Sunteck Realty Ltd. Supreme Industries Ltd. Suzlon Energy Ltd. Syndicate Bank Tata Global Beverages Ltd. Tata Investment Corp. Ltd. Tata Teleservices Maharashtra Ltd. Texmaco Rail & Engineering Ltd. Thermax Ltd. Time Technoplast Ltd. Torrent Pharmaceuticals Ltd. Trent Ltd.

30,329 82 1,311 46,238 4,560 26,421 23,983 64,967 25,181 35,949 51,937 86,513 85,214 19,418 25,953 41,475 35,995 24,834 14,101 98,996 282,395 48,169 49,187 71,900 10,246 160,619 80,278 6,441 19,229 55,561 112,820 7,403 7,049 4,959 50,977 14,060 33,510 6,564 24,049 7,663 16,569 352,945 56,135 137,957 6,336 210,827 22,044 14,004 21,819 10,550 3,131

See Accompanying Notes to the Financial Statements.

275

COST

$

32 115 72 56 41 115 48 107 44 108 48 163 245 46 60 30 80 60 79 154 157 107 100 95 64 217 208 64 104 66 112 37 80 65 67 112 54 87 27 73 59 113 120 253 63 91 32 169 30 138 62

VALUE

$

35 68 70 32 32 87 48 71 24 73 48 88 78 22 50 25 84 57 88 121 53 59 75 34 66 89 87 71 121 32 44 27 45 44 30 180 45 88 21 49 75 117 99 315 50 49 21 122 17 126 58

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) India - 7.2% - (Continued) Triveni Turbine Ltd. TTK Prestige Ltd. Tube Investments Of India Tulip Telecom Ltd. TVS Motor Co. Ltd. UCO Bank Uflex Ltd. Unichem Laboratories Ltd. Usha Martin Ltd. Uttam Galva Steels Ltd. Vardhman Special Steels Ltd. Vardhman Textiles Ltd. Vijaya Bank VIP Industries Ltd. Voltas Ltd. Welspun Corp Ltd. Whirlpool of India Ltd. Wockhardt Ltd. Zuari Holdings Ltd. Zydus Wellness Ltd. Indonesia - 4.4% Agung Podomoro Land Tbk PT AKR Corporindo Tbk PT Alam Sutera Realty Tbk PT Aneka Tambang Tbk PT Asahimas Flat Glass Tbk PT Bakrie and Brothers Tbk PT Bakrie Sumatera Plantations Tbk PT Bakrie Telecom Tbk PT Bakrieland Development Tbk PT Bank Bukopin Tbk PT Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT Bank Tabungan Negara Tbk PT Barito Pacific Tbk PT Benakat Petroleum Energy Tbk PT Berlian Laju Tanker Tbk PT(1) Bhakti Investama Tbk PT Bisi International PT BW Plantation Tbk PT Central Proteinaprima Tbk PT(1) Ciputra Development Tbk PT Ciputra Properity Tbk PT Citra Marga Nusaphala Persada Tbk PT Clipan Finance Indonesia Tbk PT Darma Henwa Tbk PT Delta Dunia Makmur Tbk PT Energi Mega Persada Tbk PT Erajaya Swasembada Tbk PT Gajah Tunggal Tbk PT Garuda Indonesia Persero Tbk PT

40,190 1,242 34,150 22,407 64,070 61,193 14,448 17,786 58,224 18,637 1,450 7,353 53,986 19,070 48,523 56,441 13,327 10,751 3,669 4,110

3,039,649 858,000 4,891,500 1,669,500 42,500 38,106,000 5,147,108 11,321,500 19,557,539 1,591,166 1,376,323 1,339,000 1,360,302 7,831,500 3,245,166 10,809,656 709,682 704,500 9,126,073 5,298,500 1,530,500 747,000 909,000 6,853,301 2,413,845 15,225,736 499,500 808,000 3,372,527

See Accompanying Notes to the Financial Statements.

276

COST

$

10 50 98 77 66 97 72 42 84 49 3 35 66 55 139 198 79 65 23 47

VALUE

$

33 80 100 41 44 77 27 48 28 22 1 31 52 25 93 104 53 189 25 31

20,226

16,302

126 161 185 204 32 261 250 308 346 113 200 199 152 128 119 305 123 68 76 221 83 125 42 92 292 343 85 148 200

111 331 238 226 26 201 92 205 126 106 137 194 75 165 463 88 110 364 102 160 41 36 70 193 111 199 264

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Indonesia - 4.4% - (Continued) Hexindo Adiperkasa Tbk PT Holcim Indonesia Tbk PT Indah Kiat Pulp & Paper Corp Tbk PT Indika Energy Tbk PT Intiland Development Tbk PT Japfa Comfeed Indonesia Tbk PT Kawasan Industri Jababeka Tbk PT Krakatau Steel Persero Tbk PT Lippo Karawaci Tbk PT Medco Energi Internasional Tbk PT Mitra Adiperkasa Tbk PT Modernland Realty Tbk PT Multistrada Arah Sarana Tbk PT Nippon Indosari Corpindo Tbk PT Pakuwon Jati Tbk PT Panin Financial Tbk PT Pembangunan Perumahan Persero Tbk PT Perusahaan Perkebunan London Sumatra Indonesia Tbk PT Polychem Indonesia Tbk PT Ramayana Lestari Sentosa Tbk PT Resource Alam Indonesia Tbk PT Sampoerna Agro PT Selamat Sempurna Tbk PT Sentul City Tbk PT Summarecon Agung Tbk PT Surya Semesta Internusa Tbk PT Timah Persero Tbk PT Tower Bersama Infrastructure Tbk PT Trada Maritime Tbk PT Tunas Baru Lampung Tbk PT Wijaya Karya Persero Tbk PT Malaysia - 5.3% Aeon Credit Service M Bhd. Affin Holdings Bhd. Alam Maritim Resources Bhd. Ann Joo Resources Bhd. APM Automotive Holdings Bhd. Benalec Holdings Bhd. BIMB Holdings Bhd. Bursa Malaysia Bhd. CapitaMalls Malaysia Trust Carlsberg Brewery Malaysia Bhd. CB Industrial Product Holding Bhd. Coastal Contracts Bhd. CSC Steel Holdings Bhd. Dayang Enterprise Holdings Bhd. Dialog Group Bhd. DRB-Hicom Bhd. Eastern & Oriental Bhd. ECM Libra Financial Group Bhd.

104,000 844,548 1,356,211 775,000 2,126,500 481,074 7,403,500 1,573,067 9,283,250 684,878 371,000 1,221,000 2,380,500 97,000 4,733,824 6,252,500 523,000 1,539,745 570,000 1,593,900 198,141 331,852 314,500 11,010,000 2,400,390 1,641,500 1,026,486 571,567 2,407,000 1,037,000 1,044,500

22,700 155,900 138,300 63,100 54,551 155,035 131,600 159,800 472,100 68,600 59,700 61,466 63,500 71,600 717,850 387,100 280,600 118,800

See Accompanying Notes to the Financial Statements.

277

COST

$

55 214 209 185 96 240 136 198 598 197 214 59 135 40 124 91 43 316 36 152 125 91 48 229 205 74 219 147 243 71 79

VALUE

$

79 234 176 141 76 221 143 125 873 125 282 58 121 50 113 92 33 447 22 212 72 105 66 256 411 199 144 237 226 59 110

9,856

9,942

44 102 46 46 87 76 81 301 188 103 47 58 32 46 336 192 103 37

80 182 23 33 87 57 128 321 249 260 50 37 24 46 551 319 137 33

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Malaysia - 5.3% - (Continued) Evergreen Fibreboard Bhd. Eversendai Corp. Bhd. Faber Group Bhd. Hai-O Enterprise Bhd. HAP Seng Consolidated Bhd. Hap Seng Plantations Holdings Bhd. Hartalega Holdings Bhd. Hibiscus Petroleum Bhd. Hock Seng LEE Bhd. IGB Corp. Bhd. IJM Land Bhd. IJM Plantations Bhd. JCY International Bhd. KFC Holdings Malaysia Bhd. Kian JOO CAN Factory Bhd. Kim Loong Resources Bhd. Kinsteel Bhd. KLCC Property Holdings Bhd. KNM Group Bhd. Kossan Rubber Industries KPJ Healthcare Bhd Kulim Malaysia Bhd. Kurnia Asia Bhd. Landmarks Bhd. Latexx Partners Bhd. Lingui Development Bhd. Lion Industries Corp. Bhd. Mah Sing Group Bhd. Malayan Flour Mills Bhd. Malaysia Building Society Malaysian Airline System Bhd. Malaysian Bulk Carriers Bhd. Malaysian Pacific Industries Bhd. Malaysian Resources Corp Bhd. Masterskill Education Group Bhd MBM Resources Bhd. Media Prima Bhd. MSM Malaysia Holdings Bhd. Mudajaya Group Bhd. Muhibbah Engineering M Bhd. Mulpha International Bhd. Multi-Purpose Holdings Bhd. Naim Holdings Bhd. O.S.K. Holdings Bhd. Padini Holdings Bhd. Paramount Corp. Bhd. Pavilion Real Estate Investment Trust Perdana Petroleum Bhd. Perisai Petroleum Teknologi Bhd. Petron Malaysia Refining & Marketing Bhd. Pharmaniaga Bhd.

203,100 130,775 69,300 63,000 324,200 98,500 89,800 111,400 89,205 423,023 206,100 139,200 252,700 101,251 108,100 40,200 181,500 184,600 372,100 75,300 229,300 221,300 177,100 103,100 73,200 61,100 188,100 227,200 117,500 180,057 411,600 147,000 39,000 687,850 128,265 74,720 423,200 103,900 80,466 120,700 548,400 356,300 48,400 242,463 145,000 79,486 448,200 15,750 185,600 38,700 3,458

See Accompanying Notes to the Financial Statements.

278

COST

$

87 67 49 60 148 67 82 54 38 250 135 117 89 132 62 24 49 171 268 57 312 184 34 43 63 26 98 131 59 76 180 125 63 341 84 54 277 162 80 49 76 214 34 96 82 56 182 5 51 41 5

VALUE

$

56 65 32 42 179 99 127 60 47 370 165 160 125 123 90 34 24 300 75 76 435 366 39 33 41 30 67 162 57 143 139 76 35 398 35 93 325 168 65 36 74 404 27 112 95 41 190 3 53 42 10

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Malaysia - 5.3% - (Continued) POS Malaysia Bhd. Press Metal Bhd. Puncak Niaga Holding Bhd. QL Resources Bhd. QSR Brands Bhd. Rimbunan Sawit Bhd. Sarawak Oil Palms Bhd. Scomi Group Bhd. Sunway Bhd. Sunway Real Estate Investment Trust Supermax Corp. Bhd. Ta Ann Holdings Bhd. TA Enterprise Bhd. TA Global Bhd. TAN Chong Motor Holdings Bhd. TDM Bhd. TH Plantations Bhd. Time dotCom Bhd. Top Glove Corp. Bhd. Tradewinds Corp. Bhd. Tradewinds Malaysia Bhd. TSH Resources Bhd. Uchi Technologies Bhd. Unisem M Bhd. United Malacca Bhd. UOA Development Bhd. Wah Seong Corp. Bhd. WCT Bhd. WTK Holdings Bhd. YTL E-Solutions Bhd. YTL Land & Development Bhd. Mexico - 2.3% Alsea S.A.B. de C.V. Axtel S.A.B. de C.V., Series CPO Bolsa Mexicana de Valores S.A.B. de C.V. Cia Minera Autlan S.A.B. de C.V., Series B Consorcio ARA S.A.B. de C.V. Corporacion GEO S.A.B. de C.V., Series B Desarrolladora Homex S.A.B. de C.V. Empresas ICA S.A.B. de C.V. Genomma Lab Internacional S.A.B. de C.V., Class B Gruma S.A.B. de C.V., Class B Grupo Aeromexico S.A.B. de C.V. Grupo Aeroportuario del Centro Norte S.A.B. de C.V. Grupo Aeroportuario del Sureste S.A.B. de C.V., Class B Grupo Famsa S.A.B. de C.V., Class A Grupo Herdez S.A.B. de C.V. Grupo Simec S.A.B. de C.V., Series B Industrias CH S.A.B. de C.V., Series B

163,464 90,891 51,500 165,620 60,200 197,300 64,700 547,300 257,613 827,025 201,700 73,440 457,600 98,100 124,800 36,800 93,000 153,340 168,200 105,300 43,700 143,500 98,300 201,070 32,300 206,300 165,862 303,800 103,600 128,200 115,400

COST

$

165 75 45 115 87 65 112 76 146 281 108 100 82 11 118 46 53 135 202 25 134 91 37 94 54 94 103 236 47 31 46

VALUE

$

152 52 22 169 125 68 142 38 186 378 141 110 78 9 177 53 75 171 289 27 117 119 38 83 78 113 99 246 40 32 42

10,228

12,129

174,276 363,811 105,359 26,458 387,023

143 208 142 45 183

241 56 201 29 103

247,191 108,697 306,505 370,350 84,000 68,400 86,860 104,981 85,867 69,906 49,808 87,287

510 400 596 631 133 129 130 509 111 145 116 295

260 215 515 749 220 107 183 941 101 171 162 438

See Accompanying Notes to the Financial Statements.

279

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Mexico - 2.3% - (Continued) TV Azteca S.A.B. de C.V., Series CPO Urbi Desarrollos Urbanos S.A.B. de C.V.

516,638 268,400

COST

$

VALUE

276 231

$

344 159

4,933

5,195

1,000

79

166

18,554 202,094 89,598 382,259 245,551

97 72 48 304 61 582

93 26 46 311 55 531

Philippines - 1.7% Atlas Consolidated Mining & Development Belle Corp. Cebu Air, Inc. Filinvest Land, Inc. First Gen Corp. First Philippine Holdings Corp. Global-Estate Resorts, Inc. Lepanto Consolidated Mining, Class B Lopez Holdings Corp. Manila Water Co., Inc. Megaworld Corp. Nickel Asia Corp. Philex Petroleum Corp. Philippine National Bank Philweb Corp. Puregold Price Club, Inc. Rizal Commercial Banking Corp. Robinsons Land Corp. Security Bank Corp. SM Development Corp. Vista Land & Lifescapes, Inc.

349,500 2,103,474 104,733 4,868,000 602,383 114,220 1,115,000 3,031,000 898,100 360,400 5,280,000 199,546 167,600 101,140 257,400 348,800 120,400 813,900 99,646 946,144 1,470,000

123 238 209 105 147 111 51 119 77 133 185 102 158 77 81 184 55 215 132 158 74 2,734

146 253 173 159 277 212 55 100 125 225 286 134 159 182 96 222 128 380 338 140 155 3,945

Poland - 1.2% Agora S.A. Alchemia S.A. Bank Gospodarki Zywnosciowej S.A. Bioton S.A. Boryszew S.A. Budimex S.A. Ciech S.A. Get Bank S.A. Getin Holding S.A. Globe Trade Centre S.A. Impexmetal S.A. Kopex S.A. KRUK S.A.

22,442 28,373 4,602 2,438,986 514,003 5,686 17,033 661,912 173,649 81,757 48,379 14,769 4,960

158 81 63 134 166 147 145 304 115 133 50 95 65

55 46 97 44 82 95 82 318 86 153 50 76 68

Morocco - 0.1% Managem Peru - 0.2% Casa Grande S.A.A. Cia Minera Atacocha S.A. Corp. Aceros Arequipa S.A., Class I Ferreyros S.A.A. Refineria La Pampilla S.A. Relapasa

See Accompanying Notes to the Financial Statements.

280

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Poland - 1.2% - (Continued) LC Corp. S.A. Lubelski Wegiel Bogdanka S.A. Narodowy Fundusz Inwestycyjny Midas S.A. Netia S.A. Pol-Aqua S.A. Polimex-Mostostal S.A. Rafako S.A. Rovese S.A. Warsaw Stock Exchange Zaklady Azotowe Pulawy S.A. Zaklady Azotowe w Tarnowie-Moscicach S.A., Class M Russia - 0.5% Aeroflot - Russian Airlines OJSC AvtoVAZ OAO Belon OJSC Inter-Regional Distribution Network Co. Center and Privolzhya OJSC Mosenergosbyt JSC OGK-1 OAO OGK-2 OAO OGK-2 OAO Pharmacy Chain 36.6 OAO PIK Group Protek RAO Energy System of East OAO RAO Energy System of East OAO RBC OJSC Sollers OJSC TGK-5 South Africa - 8.8% Acucap Properties Ltd. Adcock Ingram Holdings Ltd. Adcorp Holdings Ltd. Advtech Ltd. Aeci Ltd. Afgri Ltd. African Oxygen Ltd. Allied Electronics Corp. Ltd. Allied Technologies Ltd. Astral Foods Ltd. AVI Ltd. Basil Read Holdings Ltd. Blue Label Telecoms Ltd. Brait S.E. Capital Property Fund Cashbuild Ltd. Cipla Medpro South Africa Ltd. City Lodge Hotels Ltd.

110,171 16,923 249,938 136,886 1,452 258,854 15,039 86,394 13,421 3,323 17,756

COST

$

46 525 39 217 11 264 54 182 239 96 167

VALUE

$

41 618 46 244 2 50 37 53 137 112 248

3,496

2,840

138,400 171,415 113,579

181 116 91

180 84 28

16,610,847 2,969,992 8,700,200 6,475,615 4,292,392 19,000 86,095 65,000 7,862,950 558,312 65,458 8,518 181,023,938

111 57 232 307 209 68 305 59 102 9 59 145 62 2,113

88 36 171 88 58 19 195 49 48 3 31 113 21 1,212

77,320 83,819 34,674 173,394 64,445 166,851 68,875 23,682 20,904 18,790 137,635 46,748 201,269 220,403 686,765 10,656 169,619 16,723

324 558 128 125 558 127 174 78 164 272 478 91 145 537 656 123 126 163

441 614 114 120 612 109 162 69 121 235 990 66 137 758 896 196 167 168

See Accompanying Notes to the Financial Statements.

281

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) South Africa - 8.8% - (Continued) Clicks Group Ltd. Clover Industries Ltd. Coronation Fund Managers Ltd. DataTec Ltd. DRDGOLD Ltd. ElementOne Ltd.(1) Emira Property Fund EOH Holdings Ltd. Famous Brands Ltd. Fountainhead Property Trust Grindrod Ltd. Group Five Ltd. Hudaco Industries Ltd. Hulamin Ltd. Hyprop Investments Ltd. Illovo Sugar Ltd. JD Group Ltd. JSE Ltd. Lewis Group Ltd. Merafe Resources Ltd. Metair Investments Ltd. Mondi Ltd. Mpact Ltd. Murray & Roberts Holdings Ltd. Nampak Ltd. Omnia Holdings Ltd. Palabora Mining Co. Ltd. Pick’n Pay Holdings Ltd. Pinnacle Technology Holdings Ltd. Raubex Group Ltd. Resilient Property Income Fund Ltd. Royal Bafokeng Platinum Ltd. SA Corporate Real Estate Fund Nominees Pty Ltd. Santam Ltd. Sentula Mining Ltd. Stefanutti Stocks Holdings Ltd. Sun International Ltd. Super Group Ltd. Sycom Property Fund Telkom S.A. Ltd. Tongaat Hulett Ltd. Vukile Property Fund Ltd. Wilson Bayly Holmes-Ovcon Ltd. Zeder Investments Ltd. South Korea - 15.5% 3S Korea Co. Ltd. Able C&C Co. Ltd. Aekyung Petrochemical Co. Ltd. Agabang&Company Ahnlab, Inc.

138,835 89,047 117,987 88,117 194,199 56,637 189,534 42,706 23,665 580,853 193,352 61,106 15,301 111,940 48,719 114,058 60,419 41,135 43,824 632,030 45,421 56,378 83,104 222,379 316,136 25,248 7,297 130,653 59,830 50,944 119,770 28,827 635,132 17,918 296,889 53,567 55,240 156,728 74,474 130,536 53,021 123,007 24,797 313,207

14,067 3,499 1,312 9,674 2,080

See Accompanying Notes to the Financial Statements.

282

COST

$

548 141 229 318 126 78 310 132 108 483 390 250 146 130 311 420 341 337 370 101 131 368 130 790 766 228 101 287 107 122 450 251 236 248 103 77 642 167 200 350 666 214 369 85 17,184 303 80 46 91 48

VALUE

$

923 152 423 496 120 302 186 184 564 304 169 200 63 404 400 324 379 378 62 138 484 175 637 1,001 338 82 302 116 84 687 166 279 358 66 67 534 310 256 285 881 282 394 106 20,036 190 191 34 111 217

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) South Korea - 15.5% - (Continued) Alti-Electronics Co. Ltd.(1) Aminologics Co. Ltd. AMOREPACIFIC Group Asia Cement Co. Ltd. Asia Pacific Systems, Inc. Asiana Airlines, Inc. AtlasBX Co. Ltd. AUK Corp. Basic House (The) Co. Ltd. BHI Co. Ltd. Binggrae Co. Ltd. Bioland Ltd. Bukwang Pharmaceutical Co. Ltd. Busan City Gas Co. Ltd. Capro Corp. Celltrion Pharm, Inc. Chabio & Diostech Co. Ltd. Cheil Worldwide, Inc. Chong Kun Dang Pharm Corp. Chosun Refractories Co. Ltd. CJ CGV Co. Ltd. CJ E&M Corp. CJ Freshway Corp. CJ O Shopping Co. Ltd. Com2uSCorp Cosmax, Inc. Cosmochemical Co. Ltd. Credu Corp. Crown Confectionery Co. Ltd. CrucialTec Co. Ltd. Curexo, Inc. Dae Han Flour Mills Co. Ltd. Dae Won Kang Up Co. Ltd. Daeduck Electronics Co. Daeduck GDS Co. Ltd. Daehan Steel Co. Ltd. Daekyo Co. Ltd. Daesang Corp. Daewoong Pharmaceutical Co. Ltd. Daishin Securities Co. Ltd. Daou Technology, Inc. Daum Communications Corp. Digitech Systems Co. Ltd. Dong Ah Tire & Rubber Co. Ltd. Dong-A Pharmaceutical Co. Ltd. Dongbu HiTek Co. Ltd. Dongbu Securities Co. Ltd. Dongbu Steel Co. Ltd. Dongil Industries Co. Ltd. Dongjin Semichem Co. Ltd. Dongkuk Industries Co. Ltd.

5,759 20,272 1,388 1,310 9,043 47,250 3,439 22,300 3,310 2,440 2,689 4,972 7,707 3,510 10,980 4,554 20,869 44,455 4,320 531 6,100 10,155 2,372 1,511 3,011 5,230 4,120 1,040 283 8,678 8,592 446 10,830 15,770 8,670 5,130 14,290 10,260 2,613 19,060 12,290 5,696 6,477 4,690 3,407 10,690 10,040 11,659 553 12,240 12,356

See Accompanying Notes to the Financial Statements.

283

COST

$

28 91 208 54 116 262 65 90 67 39 116 59 95 60 171 97 193 492 71 25 114 348 56 242 68 83 69 44 43 136 83 54 44 97 71 52 70 83 98 221 89 386 107 35 289 90 50 73 40 51 65

VALUE

$

47 451 52 88 310 79 41 33 57 211 57 91 60 139 80 155 747 80 28 141 209 51 241 110 127 39 31 45 59 57 42 54 149 107 34 72 128 57 139 123 557 52 49 281 64 30 42 22 42 43

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) South Korea - 15.5% - (Continued) Dongkuk Structures & Construction Co. Ltd. Dongsuh Co., Inc. Dongwon F&B Co. Ltd. Dongwon Industries Co. Ltd. Dongyang Mechatronics Corp. Doosan Engine Co. Ltd. Dragonfly GF Co. Ltd. Duksan Hi-Metal Co. Ltd. DuzonBIzon Co. Ltd. E1 Corp. EG Corp. ELK Corp. Eo Technics Co. Ltd. Eugene Corp. Eugene Investment & Securities Co. Ltd. Eugene Technology Co. Ltd. Fila Korea Ltd. Foosung Co. Ltd. Forhuman Co. Ltd.(1) GameHi Co. Ltd. Gamevil, Inc. GemVax & Kael Co. Ltd. Genic Co. Ltd. Global & Yuasa Battery Co. Ltd. Golfzon Co. Ltd. Grand Korea Leisure Co. Ltd. Green Cross Corp. Green Cross Holdings Corp. GS Global Corp. GS Home Shopping, Inc. GwangjuShinsegae Co. Ltd. Haansoft, Inc. Haesung Industrial Co. Ltd. Halla Climate Control Corp. Halla Engineering & Construction Corp. Hana Micron, Inc. Hana Tour Service, Inc. Hanall Biopharma Co. ltd. Handok Pharmaceuticals Co. Ltd. Handsome Co. Ltd. Hanil Cement Co. Ltd. Hanil E-Wha Co. Ltd. Hanjin Heavy Industries & Construction Co. Ltd. Hanjin Heavy Industries & Construction Holdings Co. Ltd. Hanjin Shipping Co. Ltd. Hanjin Shipping Holdings Co. Ltd. Hanjin Transportation Co. Ltd. Hankook Shell Oil Co. Ltd. Hanmi Holdings Co. Ltd. Hanmi Semiconductor Co. Ltd. Hansae Co. Ltd.

10,404 5,141 549 566 11,100 12,020 3,038 6,789 9,480 1,220 2,416 5,015 3,503 15,989 22,782 6,132 4,270 23,520 6,040 9,048 1,828 10,443 1,667 2,690 2,140 15,480 2,522 10,560 4,917 800 310 7,331 1,713 18,610 7,210 5,844 4,309 11,750 3,140 6,930 1,884 10,700 15,700 6,120 43,900 4,300 3,830 317 2,452 6,420 7,936

See Accompanying Notes to the Financial Statements.

284

COST

$

58 143 24 59 79 188 46 128 134 66 65 74 87 54 126 67 315 102 50 65 53 204 65 61 99 286 301 154 72 63 38 74 36 253 115 72 149 75 41 119 93 73 245 60 358 52 99 47 194 36 34

VALUE

$

31 141 29 117 125 108 35 127 78 57 126 55 99 41 50 93 252 95 74 126 340 66 115 107 332 323 135 49 67 60 70 54 420 61 35 173 78 29 137 50 84 167 37 561 19 61 61 177 32 67

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) South Korea - 15.5% - (Continued) Hansol Chemical Co. Ltd. Hansol Paper Co. Hansol Technics Co. Ltd. Hanssem Co. Ltd. Hanwha General Insurance Co. Ltd. Hanwha Securities Co. Harim & Co. Ltd. Hite Holdings Co. Ltd. HMC Investment Securities Co. Ltd. HNK Machine Tool Co. Ltd. Hotel Shilla Co. Ltd. Huchems Fine Chemical Corp. Humax Co. Ltd. Huvis Corp. Hwa Shin Co. Ltd. Hy-Lok Corp. Hyundai BNG Steel Co. Ltd. Hyundai Corp. Hyundai Greenfood Co. Ltd. Hyundai Home Shopping Network Corp. Hyundai Hy Communications & Networks Co. Ltd. Hyunjin Materials Co. Ltd. ICD Co. Ltd. Il Dong Pharmaceutical Co. Ltd. Iljin Display Co. Ltd. Iljin Electric Co. Ltd. Iljin Materials Co. Ltd. Ilsung Pharmaceuticals Co. Ltd. Ilyang Pharmaceutical Co. Ltd. iMarketKorea, Inc. INFINITT Co. Ltd. Infraware, Inc. Interflex Co. Ltd. Interpark Corp. INTOPS Co. Ltd. IS Dongseo Co. Ltd. ISU Chemical Co. Ltd. JCEntertainment Corp. Jcontentree Corp. Jeil Pharmaceutical Co. Jeonbuk Bank Jinsung T.E.C. Jusung Engineering Co. Ltd. JVM Co. Ltd. JW Pharmaceutical Corp. JW Shinyak Corp. KC Tech Co. Ltd. KCC Engineering & Construction Co. Ltd. KEPCO Plant Service & Engineering Co. Ltd. KISCO Corp. KISWIRE Ltd.

3,850 17,160 4,725 4,560 7,471 26,749 14,811 2,800 7,225 1,828 16,880 11,224 6,895 8,400 9,590 4,100 3,650 5,610 21,862 1,591 11,980 5,252 5,399 4,200 7,300 8,180 5,840 308 5,655 8,010 6,790 6,777 3,411 16,511 3,524 4,220 4,380 3,197 11,645 2,760 25,809 4,959 12,039 1,466 3,472 8,654 8,603 955 5,620 1,800 2,272

See Accompanying Notes to the Financial Statements.

285

COST

$

66 151 123 47 64 174 51 66 112 54 345 194 89 64 109 58 39 123 193 210 31 86 137 28 62 70 97 16 121 168 72 90 73 75 56 38 91 70 52 34 127 33 148 36 51 41 43 29 184 61 73

VALUE

$

67 137 66 68 38 90 45 23 78 19 723 237 54 69 83 69 31 101 306 133 38 33 62 25 100 32 49 21 113 161 50 50 177 78 53 38 81 100 32 51 102 38 73 47 38 47 31 22 248 45 66

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) South Korea - 15.5% - (Continued) KIWOOM Securities Co. Ltd. Koh Young Technology, Inc. Kolao Holdings Kolon Corp. Kolon Global Corp. Kolon Industries, Inc. Komipharm International Co. Ltd. Kook Soon Dang Brewery Co. Ltd. Korea District Heating Corp. Korea Electric Terminal Co. Ltd. Korea Electronic Power Industrial Development Co. Ltd. Korea Kolmar Co. Ltd. Korea Line Corp. Korea Real Estate Investment Trust Co. Korean Petrochemical Ind Co. Ltd. Korean Reinsurance Co. KPX Chemical Co. Ltd. KT Hitel Co. Ltd. KT Skylife Co. Ltd. KTB Investment & Securities Co. Ltd. Kukdo Chemical Co. Ltd. Kumho Electric Co. Ltd. Kumho Industrial Co. Ltd. Kumho Tire Co., Inc. Kwang Dong Pharmaceutical Co. Ltd. Kyobo Securities Co. Ltd. Kyungbang Ltd. LG Fashion Corp. LG Hausys Ltd. LG International Corp. LG Life Sciences Ltd. LIG Insurance Co. Ltd. Lock & Lock Co. Ltd. Lotte Chilsung Beverage Co. Ltd. Lotte Midopa Co. Ltd. Lotte Non-Life Insurance Co. Ltd. Lotte Samkang Co. Ltd. Lumens Co. Ltd. Maeil Dairy Industry Co. Ltd. Medipost Co. Ltd. Medy-Tox, Inc. MegaStudy Co. Ltd. Melfas, Inc. Meritz Finance Holdings Co. Ltd. Meritz Fire & Marine Insurance Co. Ltd. Meritz Securities Co. Ltd. Modetour Network, Inc. Moorim P&P Co. Ltd. Motonic Corp. Muhak Co. Ltd. Namhae Chemical Corp.

6,090 3,379 6,520 2,922 13,960 8,330 15,102 3,697 1,400 2,530 6,840 9,810 4,860 42,336 1,309 38,339 810 7,188 9,830 23,950 1,484 1,620 25,321 28,633 16,570 8,760 294 9,515 3,152 14,510 5,728 19,560 9,624 308 8,120 8,180 344 13,932 2,870 3,220 1,938 2,047 6,764 13,808 24,101 90,940 5,090 13,970 4,700 5,870 11,170

See Accompanying Notes to the Financial Statements.

286

COST

$

276 91 45 57 60 554 138 38 72 50 46 72 40 49 118 392 28 45 237 64 50 55 350 349 41 49 34 247 268 436 237 375 275 256 101 57 69 89 36 201 78 312 135 39 205 69 68 62 34 61 154

VALUE

$

322 70 89 57 52 492 110 22 69 49 35 90 22 43 79 332 32 33 220 40 59 28 123 377 61 37 24 227 170 481 180 380 232 356 93 34 154 72 50 284 105 124 129 30 217 70 88 43 29 60 90

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) South Korea - 15.5% - (Continued) Namyang Dairy Products Co. Ltd. Neowiz Corp. Neowiz Games Corp. Neowiz Internet Corp. NEPES Corp. Nexen Corp. Nexen Tire Corp. Nexolon Co. Ltd. NH Investment & Securities Co. Ltd. NICE Holdings Co. Ltd. NK Co. Ltd. Nong Shim Holdings Co. Ltd. NongShim Co. Ltd. OCI Materials Co. Ltd. Osstem Implant Co. Ltd. Osung LST Co. Ltd. Ottogi Corp. Paradise Co. Ltd. Partron Co. Ltd. Pharmicell Co. Ltd. Poongsan Corp. Poongsan Holdings Corp. POSCO Chemtech Co. Ltd. Posco ICT Co. Ltd. Posco M-Tech Co. Ltd. Pyeong Hwa Automotive Co. Ltd. RNL BIO Co. Ltd. S&T Dynamics Co. Ltd. S&T Holdings Co. Ltd. S&T Motiv Co. Ltd. Sajo Industries Co. Ltd. Sam Young Electronics Co. Ltd. Samchully Co. Ltd. Samkwang Glass Co. Ltd. Samsung Fine Chemicals Co. Ltd. Samyang Corp. Samyang Corp. Samyang Genex Co. Ltd. Sapphire Technology Co. Ltd. SBS Contents Hub Co. Ltd. SBS Media Holdings Co. Ltd. Seah Besteel Corp. SeAH Holdings Corp. SeAH Steel Corp. Sebang Co. Ltd. Seegene, Inc. Sejong Industrial Co. Ltd. Seobu T&D Seoul Semiconductor Co. Ltd. SFA Engineering Corp. Shinsegae Food Co. Ltd.

249 2,526 5,985 2,309 7,450 1,363 16,540 19,250 13,351 967 6,860 910 1,516 2,929 4,746 8,759 598 18,299 14,320 17,717 9,780 1,730 1,036 20,458 15,408 5,414 37,792 10,510 2,960 3,090 850 5,820 1,198 1,366 9,015 1,746 757 648 2,405 4,450 18,820 6,262 424 1,006 4,270 2,906 4,280 4,496 15,984 4,921 822

See Accompanying Notes to the Financial Statements.

287

COST

$

142 60 211 27 88 83 142 67 68 47 52 49 301 206 44 204 70 75 101 110 242 64 89 117 89 75 202 141 36 69 34 54 115 58 438 84 33 33 79 56 53 191 37 45 46 137 59 68 287 164 54

VALUE

$

169 29 120 22 115 76 300 56 58 41 23 41 296 119 78 56 88 206 146 118 263 34 128 121 80 88 133 124 25 54 41 42 94 62 495 83 30 26 95 43 78 183 37 76 56 124 46 95 301 183 63

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) South Korea - 15.5% - (Continued) Shinsegae International Co. Ltd. Shinyoung Securities Co. Ltd. Signetics Corp. Silicon Works Co. Ltd. Silla Co. Ltd. Simm Tech Co. Ltd. Sindoh Co. Ltd. SK Broadband Co. Ltd. SK Chemicals Co. Ltd. SK Communications Co. Ltd. SK Gas Co. Ltd. SK Securities Co. Ltd. SKC Co. Ltd. SL Corp. SM Entertainment Co. SNU Precision Co. Ltd. Songwon Industrial Co. Ltd. Soulbrain Co. Ltd. Ssangyong Cement Industrial Co. Ltd. Ssangyong Engineering & Construction Co. Ltd. Ssangyong Motor Co. STS Semiconductor & Telecommunications STX Corp. Co. Ltd. STX Engine Co. Ltd. STX Offshore & Shipbuilding Co. Ltd. Sung Jin Geotec Co. Ltd. Sung Kwang Bend Co. Ltd. Sungwoo Hitech Co. Ltd. Suprema, Inc. Taekwang Industrial Co. Ltd. Taewoong Co. Ltd. Taeyoung Engineering & Construction Co. ltd. Taihan Electric Wire Co. Ltd. Tera Resource Co. Ltd. TK Chemical Corp. TK Corp. Tong Yang Securities, Inc. Tongyang Life Insurance Tongyang, Inc. Toptec Co. Ltd. TS Corp. Uju Electronics Co. Ltd. Unid Co. Ltd. ViroMed Co. Ltd. Webzen, Inc. WeMade Entertainment Co. Ltd. Wonik IPS Co. Ltd. Woongjin Chemical Co. Ltd. Woongjin Energy Co. Ltd. Woongjin Holdings Co. Ltd. Woongjin Thinkbig Co. Ltd.

1,234 2,320 14,263 4,400 3,224 9,494 1,742 71,622 6,936 7,510 1,699 122,540 9,947 5,970 5,975 7,520 7,480 3,660 8,860 5,747 17,860 15,069 16,515 10,070 27,850 6,530 7,776 13,971 5,484 193 3,673 17,220 67,662 99,703 24,357 6,690 40,450 18,730 34,240 3,091 2,022 2,627 1,473 5,719 4,049 3,366 24,158 104,360 20,729 6,130 7,930

See Accompanying Notes to the Financial Statements.

288

COST

$

146 69 54 119 44 98 77 260 344 83 82 220 286 90 131 108 91 86 56 39 143 120 285 215 398 67 126 105 67 154 140 80 354 88 52 137 201 192 27 67 42 58 61 97 42 58 171 106 177 51 132

VALUE

$

75 58 40 114 46 91 102 188 360 48 118 125 393 96 253 49 61 107 32 28 80 74 137 92 248 59 145 158 66 137 60 75 115 110 35 150 136 181 25 39 35 51 43 120 32 157 116 64 81 27 57

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) South Korea - 15.5% - (Continued) Wooree ETI Co. Ltd. Woori Financial Co. Ltd. Y G-1 Co. Ltd. YESCO Co. Ltd. YG Entertainment, Inc. Youlchon Chemical Co. Ltd. Young Poong Precision Corp. Youngone Corp. Youngone Holdings Co. Ltd. Yungjin Pharmaceutical Co. Ltd. Taiwan - 18.8% A.G.V. Products Corp. Ability Enterprise Co. Ltd. AcBel Polytech, Inc. Accton Technology Corp. ACES Electronic Co. Ltd. ACHEM Technology Corp. Acme Electronics Corp. Acter Co. Ltd. Actron Technology Corp. A-DATA Technology Co. Ltd. Adimmune Corp. Adlink Technology, Inc. Advanced Ceramic X Corp. Advanced International Multitech Co. Ltd. Advanced Wireless Semiconductor Co. Alcor Micro Corp. ALI Corp. Alpha Networks, Inc. Altek Corp. Ambassador Hotel (The) AmTRAN Technology Co. Ltd. APCB, Inc. Apex Biotechnology Corp. Arcadyan Technology Corp. Ardentec Corp. Arima Communications Corp. Asia Optical Co., Inc. Asia Plastic Recycling Holding Ltd. Asia Polymer Corp. Asia Vital Components Co. Ltd. ASROCK, Inc. Aten International Co. Ltd. Aurora Corp. AV Tech Corp. Avermedia Technologies, Inc. AVY Precision Technology, Inc. Bank of Kaohsiung BenQ Materials Corp. BES Engineering Corp.

12,086 4,584 5,939 1,290 2,448 6,030 3,613 10,172 2,874 39,431

213,137 175,786 174,430 208,073 40,169 62,525 44,623 15,996 21,804 95,675 31,148 51,577 19,901 51,769 59,373 32,000 144,217 141,347 175,196 145,000 389,499 70,000 42,943 43,325 168,373 99,000 96,823 26,450 131,275 122,219 22,604 41,190 48,723 22,386 93,509 20,776 185,375 66,144 653,965

See Accompanying Notes to the Financial Statements.

289

COST

$

VALUE

78 47 93 29 89 43 35 99 84 35

$

46 63 50 29 108 43 34 256 153 52

36,282

35,358

81 231 114 96 87 41 82 81 58 169 47 71 67 76 66 53 203 106 227 178 269 79 87 76 112 62 155 58 105 93 82 59 57 65 106 89 61 63 181

75 165 100 111 56 32 58 64 55 117 34 57 54 64 63 51 159 97 98 144 302 45 114 44 121 45 98 74 158 63 80 75 72 66 57 33 54 27 146

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Taiwan - 18.8% - (Continued) Bright Led Electronics Corp. Capella Microsystems Taiwan, Inc. Career Technology MFG Co. Ltd. Cathay Real Estate Development Co. Ltd. Chailease Holding Co. Ltd. Champion Building Materials Co. Ltd. Chang Wah Electromaterials, Inc. CHC Resources Corp. Cheng Loong Corp. Chenming Mold Industry Corp. Chia Hsin Cement Corp. Chien Kuo Construction Co. Ltd. Chimei Materials Technology Corp. China Bills Finance Corp. China Chemical & Pharmaceutical Co. Ltd. China Electric Manufacturing Corp. China General Plastics Corp. China Manmade Fibers Corp. China Metal Products Co. Ltd. China Steel Chemical Corp. China Steel Structure Co. Ltd. China Synthetic Rubber Corp. Chinese Gamer International Corp. Chinese Maritime Transport Ltd. Chin-Poon Industrial Co. Ltd. Chipbond Technology Corp. Chong Hong Construction Co. Chroma ATE, Inc. Chun Yuan Steel Chung Hsin Electric & Machinery Manufacturing Corp. Chung Hung Steel Corp. Chung Hwa Pulp Corp. Chunghwa Picture Tubes Ltd. CMC Magnetics Corp. Compal Communications, Inc. Compeq Manufacturing Co. Ltd. Concord Securities Corp. Continental Holdings Corp. Coretronic Corp. Cosmos Bank Taiwan Coxon Precise Industrial Co. Ltd. CSBC Corp. Taiwan Cyberlink Corp. CyberPower Systems, Inc. CyberTAN Technology, Inc. DA CIN Construction Co. Ltd. Darfon Electronics Corp. DelSolar Co. Ltd. Depo Auto Parts Ind Co. Ltd. D-Link Corp. Dynapack International Technology Corp.

55,712 12,502 137,369 373,953 275,919 144,257 16,896 39,000 460,840 50,000 204,362 130,873 67,680 475,315 116,669 120,000 126,000 505,000 126,894 70,501 55,000 224,550 18,000 50,000 167,112 237,324 75,142 160,013 191,488 177,425 432,969 213,030 1,948,000 1,253,000 152,000 443,960 292,571 179,116 343,000 158,940 46,000 208,564 36,712 19,000 135,878 73,270 110,786 43,664 48,692 287,413 61,629

See Accompanying Notes to the Financial Statements.

290

COST

$

66 71 169 161 266 91 41 53 166 104 105 61 72 135 83 73 50 148 97 245 51 220 111 120 108 256 150 311 65 102 183 86 92 194 143 153 86 66 243 46 82 182 143 48 144 45 128 44 103 234 202

VALUE

$

31 70 193 151 467 52 36 60 165 42 92 60 67 166 72 75 49 170 73 309 53 209 43 57 183 298 153 357 75 101 108 65 58 198 141 189 62 62 302 44 63 151 106 30 95 43 78 17 104 174 283

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Taiwan - 18.8% - (Continued) Eastern Media International Corp. Eclat Textile Co. Ltd. Edison Opto Corp. Elan Microelectronics Corp. E-LIFE MALL Corp. Elite Material Co. Ltd. Elite Semiconductor Memory Technology, Inc. Elitegroup Computer Systems Co. Ltd. eMemory Technology, Inc. ENG Electric Co. Ltd. Entire Technology Co. Ltd. Episil Technologies, Inc. E-Ton Solar Tech Co. Ltd. Etron Technology, Inc. Evergreen International Storage & Transport Corp. Everlight Chemical Industrial Corp. Excelsior Medical Co. Ltd. Far Eastern International Bank Faraday Technology Corp. Federal Corp. Feng TAY Enterprise Co. Ltd. Firich Enterprises Co. Ltd. First Hotel First Steamship Co. Ltd. FLEXium Interconnect, Inc. Flytech Technology Co. Ltd. Forhouse Corp. Formosa Advanced Technologies Co. Ltd. Formosa Epitaxy, Inc. Formosan Rubber Group, Inc. Formosan Union Chemical Fortune Electric Co. Ltd. FSP Technology, Inc. Fulltech Fiber Glass Corp. G Shank Enterprise Co. Ltd. G Tech Optoelectronics Corp. Gamania Digital Entertainment Co. Ltd. Gemtek Technology Corp. Genesis Photonics, Inc. Genius Electronic Optical Co. Ltd. GeoVision, Inc. Getac Technology Corp. Giantplus Technology Co. Ltd. Giga Solar Materials Corp. Gigabyte Technology Co. Ltd. Gigastorage Corp. Gintech Energy Corp. Global Brands Manufacture Ltd. Global Lighting Technologies, Inc. Global Mixed Mode Technology, Inc. Global Unichip Corp.

409,000 62,900 36,942 176,531 37,247 125,935 109,053 299,958 30,946 42,487 61,321 144,756 104,435 188,744 236,000 170,479 34,831 576,256 169,108 166,585 132,499 63,440 75,571 70,012 79,681 30,652 188,522 65,464 178,546 202,593 110,630 53,682 80,403 105,628 78,140 70,341 61,529 138,049 101,688 22,654 17,180 167,016 89,486 8,450 252,960 130,104 151,758 113,748 26,000 35,632 40,000

See Accompanying Notes to the Financial Statements.

291

COST

$

73 81 136 221 60 103 136 99 111 147 196 59 185 81 110 94 78 191 232 84 102 111 54 115 165 68 169 61 195 144 60 47 69 76 51 152 101 180 179 117 56 105 50 130 207 143 265 53 34 128 174

VALUE

$

45 170 59 288 80 116 85 119 69 77 103 44 43 58 128 99 70 229 231 82 129 82 49 74 323 71 96 49 117 125 77 23 69 53 40 184 54 124 88 158 63 123 26 71 221 99 149 49 39 101 131

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Taiwan - 18.8% - (Continued) Globe Union Industrial Corp. Gloria Material Technology Corp. Gold Circuit Electronics Ltd. Goldsun Development & Construction Co. Ltd. Grand Pacific Petrochemical Grape King Industrial Co. Great China Metal Industry Great Taipei Gas Co. Ltd. Great Wall Enterprise Co. Ltd. Greatek Electronics, Inc. Green Energy Technology, Inc. Hannstar Board Corp. HannStar Display Corp. Hannstouch Solution, Inc. Harvatek Corp. Hey Song Corp. Ho Tung Chemical Corp. Holiday Entertainment Co. Ltd. Holtek Semiconductor, Inc. Holy Stone Enterprise Co. Ltd. Hsin Kuang Steel Co. Ltd. Hu Lane Associate, Inc. HUA Eng Wire & Cable Co. Ltd. Huaku Development Co. Ltd. Huang Hsiang Construction Co. Huga Optotech, Inc. Hung Poo Real Estate Development Corp. Hung Sheng Construction Co. Ltd. Ichia Technologies, Inc. I-Chiun Precision Industry Co. Ltd. ICP Electronics, Inc. Infortrend Technology, Inc. Insyde Software Corp. International Games System Co. Ltd. I-Sheng Electric Wire & Cable Co. Ltd. ITE Technology, Inc. ITEQ Corp. J Touch Corp. Jentech Precision Industrial Co. Ltd. Jess-Link Products Co. Ltd. Jih Sun Financial Holdings Co. Ltd. Johnson Health Tech Co. Ltd. Kaulin Manufacturing Co. Ltd. KD Holding Corp. KEE TAI Properties Co. Ltd. Kenda Rubber Industrial Co. Ltd. Kerry TJ Logistics Co. Ltd. Kindom Construction Co. Ltd. King Slide Works Co. Ltd. King Yuan Electronics Co. Ltd. King’s Town Bank

88,991 196,134 199,494 603,202 394,000 47,000 74,000 151,000 186,023 123,115 108,075 116,258 2,487,000 352,428 73,235 192,770 303,682 25,000 77,200 133,247 111,678 32,184 203,000 117,319 57,100 99,399 107,834 242,900 143,000 87,037 73,417 122,960 13,053 28,987 49,032 79,195 119,093 36,462 25,794 68,268 511,062 29,544 50,000 9,000 147,594 245,520 174,114 165,000 22,675 572,034 372,000

See Accompanying Notes to the Financial Statements.

292

COST

$

63 129 73 263 190 66 63 82 177 101 238 64 125 211 65 130 120 35 82 130 96 63 52 268 113 78 114 104 78 90 93 136 59 168 64 124 121 96 96 121 163 39 43 43 73 213 132 119 91 233 152

VALUE

$

62 190 41 206 174 95 85 96 182 94 75 55 154 132 36 247 174 44 83 121 69 55 53 242 112 35 88 121 67 45 119 78 47 127 64 63 121 37 70 60 146 79 36 41 75 298 221 95 132 251 247

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Taiwan - 18.8% - (Continued) King’s Town Construction Co. Ltd. Kinik Co. Kinko Optical Co. Ltd. Kinpo Electronics Kuoyang Construction Co. Ltd. Kwong Fong Industries KYE Systems Corp. L&K Engineering Co. Ltd. LAN FA Textile Lealea Enterprise Co. Ltd. Leofoo Development Co. LES Enphants Co. Ltd. Lextar Electronics Corp. Li Peng Enterprise Co. Ltd. Lien Hwa Industrial Corp. Lingsen Precision Industries Ltd. LITE-ON IT Corp. Lite-On Semiconductor Corp. Long Bon International Co. Ltd. Long Chen Paper Co. Ltd. Longwell Co. Lotes Co. Ltd. Lumax International Corp. Ltd. Macroblock, Inc. Makalot Industrial Co. Ltd. Masterlink Securities Corp. Medigen Biotechnology Corp. Mercuries & Associates Ltd. Merida Industry Co. Ltd. Merry Electronics Co. Ltd. Microbio Co. Ltd. Microlife Corp. Micro-Star International Co. Ltd. MIN AIK Technology Co. Ltd. Mirle Automation Corp. Mitac International Corp. MPI Corp. Namchow Chemical Industrial Ltd. Nantex Industry Co. Ltd. National Petroleum Co. Ltd. Neo Solar Power Corp. Newmax Technology Co. Ltd. Nien Hsing Textile Co. Ltd. Ocean Plastics Co. Ltd. Opto Technology Corp. Orient Semiconductor Electronics Ltd. Oriental Union Chemical Corp. Orise Technology Co. Ltd. Pacific Hospital Supply Co. Ltd. Pan Jit International, Inc. Pan-International Industrial

88,957 52,000 59,226 541,242 165,000 149,300 119,095 60,000 87,480 315,092 117,706 73,897 104,995 215,125 238,818 149,000 202,909 137,734 147,939 178,843 49,000 24,642 38,357 15,000 69,158 485,951 39,000 145,867 85,562 69,489 115,280 19,978 356,000 73,750 67,825 534,000 28,660 78,000 110,012 98,000 202,541 26,000 126,365 78,000 231,557 300,582 286,517 37,000 29,356 146,776 177,343

See Accompanying Notes to the Financial Statements.

293

COST

$

74 68 59 138 83 56 84 53 40 86 67 77 134 72 134 90 222 78 56 54 73 103 66 60 144 171 81 78 152 76 118 24 183 135 51 199 66 77 75 96 299 144 77 57 133 53 262 66 104 115 202

VALUE

$

75 71 81 114 64 70 39 56 25 112 66 66 87 61 146 77 190 71 67 45 45 58 89 62 191 145 83 122 371 91 137 33 167 179 44 164 57 82 95 98 128 38 79 57 87 40 330 36 77 56 180

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Taiwan - 18.8% - (Continued) Parade Technologies Ltd. PChome Online, Inc. Phihong Technology Co. Ltd. Phytohealth Corp. Pihsiang Machinery Manufacturing Co. Ltd. Pixart Imaging, Inc. Powerchip Technology Corp. President Securities Corp. Prince Housing & Development Corp. ProMOS Technologies, Inc.(1) Qisda Corp. Quanta Storage, Inc. Radium Life Tech Co. Ltd. Rechi Precision Co. Ltd. Rich Development Co. Ltd. Ritek Corp. Run Long Construction Co. Ltd. Sampo Corp. San Chih Semiconductor Co. San Fang Chemical Industry Co. Ltd. San Shing Fastech Corp. Sanyang Industry Co. Ltd. Sanyo Electric Taiwan Co. Ltd. SDI Corp. Senao International Co. Ltd. Sercomm Corp. Sesoda Corp. Sheng Yu Steel Co. Ltd. ShenMao Technology, Inc. Shih Wei Navigation Co. Ltd. Shihlin Electric & Engineering Corp. Shihlin Paper Corp. Shin Zu Shing Co. Ltd. Shining Building Business Co. Ltd. Shinkong Insurance Co. Ltd. Shinkong Synthetic Fibers Corp. Shinkong Textile Co. Ltd. Shiny Chemical Industrial Co. Ltd. Sigurd Microelectronics Corp. Silicon Integrated Systems Corp. Silitech Technology Corp. Sinbon Electronics Co. Ltd. Sincere Navigation Corp. Sinon Corp. Sinyi Realty Co. Sirtec International Co. Ltd. Sitronix Technology Corp. Skymedi Corp. Soft-World International Corp. Solar Applied Materials Technology Co. Solartech Energy Corp.

10,000 22,917 111,626 54,485 66,911 60,540 2,605,000 354,489 351,900 1,002,750 784,000 98,936 246,744 112,750 221,579 1,252,995 33,000 241,773 15,674 78,488 33,000 344,890 54,648 53,000 44,586 68,000 49,019 55,112 37,198 84,634 155,902 57,649 55,429 91,685 100,000 691,173 112,000 24,000 174,000 272,073 59,615 69,000 147,000 155,710 80,458 60,000 48,981 26,939 47,549 148,706 91,611

See Accompanying Notes to the Financial Statements.

294

COST

$

143 126 145 83 108 199 76 180 191 129 172 101 212 57 95 281 49 64 37 59 33 151 56 35 114 97 51 38 65 107 179 130 171 91 59 219 122 33 114 140 139 39 167 65 111 94 71 112 196 216 142

VALUE

$

102 147 91 76 82 177 47 180 226 174 62 156 100 102 166 38 73 12 61 42 226 48 35 166 99 59 34 42 76 180 79 159 78 70 204 153 30 127 93 122 53 130 72 103 72 58 30 104 201 62

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Taiwan - 18.8% - (Continued) Sonix Technology Co. Ltd. Southeast Cement Co. Ltd. Sporton International, Inc. Springsoft, Inc. St Shine Optical Co. Ltd. Standard Chemical & Pharma Star Comgistic Capital Co. Ltd. Sunonwealth Electric Machine Industry Co. Ltd. Sunplus Technology Co. Ltd. Sunrex Technology Corp. Sunspring Metal Corp. Syncmold Enterprise Corp. Systex Corp. TA Chen Stainless Pipe Co. Ta Chong Bank Ltd. Ta Ya Electric Wire & Cable Ta Yih Industrial Co. Ltd. Tah Hsin Industrial Co. Ltd. TA-I Technology Co. Ltd. Taichung Commercial Bank Taiflex Scientific Co. Ltd. Tainan Enterprises Co. Ltd. Tainan Spinning Co. Ltd. Taisun Enterprise Co. Ltd. Taiwan Acceptance Corp. Taiwan Cogeneration Corp. Taiwan Fire & Marine Insurance Co. Taiwan Hon Chuan Enterprise Co. Ltd. Taiwan Land Development Corp. Taiwan Life Insurance Co. Ltd. Taiwan Navigation Co. Ltd. Taiwan Paiho Ltd. Taiwan PCB Techvest Co. Ltd. Taiwan Prosperity Chemical Corp. Taiwan Pulp & Paper Corp. Taiwan Sakura Corp. Taiwan Secom Co. Ltd. Taiwan Semiconductor Co. Ltd. Taiwan Sogo Shin Kong SEC Co. Taiwan Styrene Monomer Taiwan Surface Mounting Technology Co. Ltd. Taiwan TEA Corp. Taiyen Biotech Co. Ltd. Tang Eng Iron Works Co. Ltd. Tatung Co. Ltd. Tekcore Co. Ltd. Test Research, Inc. Test-Rite International Co. Ltd. Thinking Electronic Industrial Co. Ltd. Thye Ming Industrial Co. Ltd. Ton Yi Industrial Corp.

75,021 97,964 27,129 86,000 21,051 34,240 63,000 67,400 221,000 90,000 29,000 46,347 81,955 271,681 615,680 243,280 13,000 52,543 82,144 717,159 76,742 52,917 468,000 123,480 42,000 155,557 100,440 116,253 275,656 179,988 70,000 128,750 91,760 58,000 181,080 114,620 120,000 122,000 118,000 255,953 109,040 273,837 92,757 36,000 993,000 77,014 71,066 163,035 41,000 76,798 357,700

See Accompanying Notes to the Financial Statements.

295

COST

$

130 35 59 76 180 37 63 47 112 79 25 66 91 144 170 55 29 41 53 226 98 49 153 73 72 74 72 227 109 136 81 86 119 135 85 91 196 82 83 96 192 169 63 34 222 90 81 102 66 81 162

VALUE

$

106 39 63 122 239 29 27 44 58 40 29 71 83 130 191 61 23 46 52 229 106 50 193 66 104 99 66 258 107 115 71 82 116 103 56 57 240 52 120 61 168 136 68 33 196 35 110 116 36 68 216

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Taiwan - 18.8% - (Continued) Tong Hsing Electronic Industries Ltd. Tong Yang Industry Co. Ltd. Tong-Tai Machine & Tool Co. Ltd. Topco Scientific Co. Ltd. Topco Technologies Corp. Tsann Kuen Enterprise Co. Ltd. Ttet Union Corp. TTY Biopharm Co. Ltd. Tung Thih Electronic Co. Ltd. TXC Corp. TYC Brother Industrial Co. Ltd. Tyntek Corp. Ubright Optronics Corp. Union Bank Of Taiwan Unitech Printed Circuit Board Corp. United Integrated Services Co. Ltd. Unity Opto Technology Co. Ltd. Universal Cement Corp. Unizyx Holding Corp. UPC Technology Corp. USI Corp. Vanguard International Semiconductor Corp. Ve Wong Corp. Via Technologies, Inc. Visual Photonics Epitaxy Co. Ltd. Vivotek, Inc. Wafer Works Corp. Wah Hong Industrial Corp. Wah Lee Industrial Corp. Walsin Technology Corp. Walton Advanced Engineering, Inc. WAN HWA Enterprise Co. Waterland Financial Holdings Co. Ltd. Ways Technical Corp. Ltd. Wei Chuan Food Corp. Wei Mon Industry Co. Ltd. Weikeng Industrial Co. Ltd. Well Shin Technology Co. Ltd. Win Semiconductors Corp. Winbond Electronics Corp. Wisdom Marine Lines Co. Ltd. Wistron NeWeb Corp. Wowprime Corp. WT Microelectronics Co. Ltd. WUS Printed Circuit Co. Ltd. Xxentria Technology Materials Corp. Yageo Corp. YC INOX Co. Ltd. Yem Chio Co. Ltd. Yieh Phui Enterprise Co. Ltd. Young Fast Optoelectronics Co. Ltd.

65,196 177,937 86,898 62,192 16,737 53,196 19,000 64,721 21,273 142,220 91,621 141,618 10,000 314,738 240,440 92,000 133,949 177,028 160,465 316,477 321,791 369,000 56,354 249,000 108,779 21,000 126,355 30,000 79,146 258,639 123,600 74,550 905,162 25,800 199,796 98,574 95,200 23,929 179,478 1,375,000 66,167 107,211 22,000 129,418 151,000 50,434 988,230 139,961 96,728 442,867 56,000

See Accompanying Notes to the Financial Statements.

296

COST

$

203 202 62 81 40 81 32 193 53 186 52 70 34 94 104 76 189 87 107 168 214 119 42 215 165 60 182 59 105 110 44 39 297 52 218 63 79 38 231 171 83 204 295 151 95 101 293 97 70 152 116

VALUE

$

186 175 69 100 34 109 32 269 44 219 36 46 39 113 75 74 126 79 79 182 305 155 38 77 162 62 72 43 101 58 37 33 306 53 207 53 69 30 212 195 96 214 337 167 66 95 267 72 89 134 119

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Taiwan - 18.8% - (Continued) Young Optics, Inc. Youngtek Electronics Corp. Yuen Foong Yu Paper Manufacturing Co. Ltd. Yung Chi Paint & Varnish Manufacturing Co. Ltd. YungShin Global Holding Corp. Yungtay Engineering Co. Ltd. Zeng Hsing Industrial Co. Ltd. Zig Sheng Industrial Co. Ltd. Zinwell Corp Thailand - 3.7% Amata Corp. PCL (Registered) Amata Corp. PCL NVDR Asian Property Development PCL NVDR Bangchak Petroleum PCL NVDR Bangkok Chain Hospital PCL NVDR Bangkok Expressway PCL NVDR Bangkok Life Assurance PCL Bangkokland PCL NVDR BTS Group Holdings PCL BTS Group Holdings PCL NVDR Bumrungrad Hospital PCL (Registered) Bumrungrad Hospital PCL NVDR CalComp Electronics Thailand PCL (Registered) CalComp Electronics Thailand PCL NVDR Central Plaza Hotel PCL (Registered) Central Plaza Hotel PCL NVDR CH. Karnchang PCL NVDR Delta Electronics Thai PCL (Registered) Delta Electronics Thai PCL NVDR Dynasty Ceramic PCL (Registered) Dynasty Ceramic PCL NVDR Electricity Generating PCL NVDR Energy Earth PCL Esso Thailand PCL (Registered) Esso Thailand PCL NVDR G J Steel PCL (Registered) G J Steel PCL NVDR G Steel PCL (Registered) G Steel PCL NVDR GFPT PCL NVDR Hana Microelectronics PCL Hana Microelectronics PCL NVDR Hemaraj Land and Development PCL (Registered) Hemaraj Land and Development PCL NVDR Indorama Polymers PCL (Registered) Italian-Thai Development PCL (Registered) Italian-Thai Development PCL NVDR Jasmine International PCL NVDR Khon Kaen Sugar Industry PCL Khon Kaen Sugar Industry PCL NVDR

28,545 39,953 580,589 31,000 82,238 158,995 17,913 191,304 143,894

27,200 229,700 411,440 168,900 306,581 184,202 149,700 3,486,801 1,517,500 7,045,136 31,800 147,100 164,600 842,700 82,900 201,400 177,800 19,700 226,263 7,700 63,800 67,701 306,900 41,100 473,202 985,301 8,706,300 319,000 4,273,900 216,100 12,600 291,702 944,300 1,404,301 63,700 12,900 728,800 1,832,000 48,900 180,301

See Accompanying Notes to the Financial Statements.

297

COST

$

136 87 223 40 97 162 61 93 212

VALUE

$

92 99 232 54 107 260 58 61 139

45,882

42,703

3 82 60 91 50 101 220 59 37 171 26 180 9 74 7 38 33 7 159 3 85 181 43 6 128 4 67 4 88 56 4 192 35 71 9 1 88 118 8 73

15 126 97 119 90 167 220 93 39 179 77 355 13 65 40 98 40 15 171 13 105 236 48 13 155 4 39 4 56 57 8 185 89 133 16 1 74 191 19 69

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Thailand - 3.7% - (Continued) Kiatnakin Bank PCL (Registered) Kiatnakin Bank PCL NVDR LH Financial Group PCL NVDR LPN Development PCL NVDR Major Cineplex Group PCL (Registered) Major Cineplex Group PCL NVDR MCOT PCL NVDR Minor International PCL NVDR Phatra Capital PCL NVDR Polyplex PCL NVDR Precious Shipping PCL (Registered) Precious Shipping PCL NVDR Preuksa Real Estate PCL (Registered) Preuksa Real Estate PCL NVDR Quality House PCL (Registered) Quality Houses PCL NVDR Ratchaburi Electricity Generating Holding PCL NVDR Robinson Department Store PCL (Registered) Robinson Department Store PCL NVDR Sahaviriya Steel Industries PCL (Registered) Sahaviriya Steel Industries PCL NVDR Samart Corp. PCL (Registered) Samart Corp. PCL NVDR Sansiri PCL Sansiri PCL NVDR SC Asset Corp. PCL NVDR Siam Future Development PCL NVDR Siam Global House PCL NVDR Siamgas & Petrochemicals PCL (Registered) Siamgas & Petrochemicals PCL NVDR Sino Thai Engineering & Construction PCL NVDR Somboon Advance Technology PCL NVDR Sri Trang Agro-Industry PCL NVDR STP & I PCL NVDR Supalai PCL NVDR Thai Airways International PCL NVDR Thai Tap Water Supply PCL (Registered) Thai Tap Water Supply PCL NVDR Thai Vegetable Oil PCL (Registered) Thai Vegetable Oil PCL NVDR Thaicom PCL NVDR Thanachart Capital PCL (Registered) Thanachart Capital PCL NVDR Thoresen Thai Agencies PCL (Registered) Thoresen Thai Agencies PCL NVDR Ticon Industrial Connection PCL (Registered) Ticon Industrial Connection PCL NVDR Tisco Financial Group PCL (Registered) Tisco Financial Group PCL NVDR TPI Polene PCL NVDR True Corp. PCL NVDR

19,100 120,100 1,498,850 254,901 39,600 168,301 55,800 478,438 57,500 194,000 72,200 69,702 26,300 304,800 406,466 1,390,027 186,712 80,100 85,001 219,220 4,199,200 50,100 139,001 148,400 1,231,000 111,100 227,000 262,200 27,400 110,200 288,800 71,900 321,200 54,600 271,871 324,100 151,000 531,000 51,900 133,000 215,400 43,600 280,301 9,660 159,800 49,500 135,900 20,900 161,701 236,900 2,514,200

See Accompanying Notes to the Financial Statements.

298

COST

$

6 115 67 63 8 57 39 149 45 186 24 38 9 145 11 81 268 14 70 4 162 7 35 5 59 50 59 72 9 48 75 62 238 47 68 197 22 74 25 99 46 23 211 5 113 8 53 6 153 68 256

VALUE

$

25 156 63 141 24 101 51 239 65 91 33 32 15 171 23 79 283 156 165 4 84 15 40 11 94 53 57 100 13 51 139 68 148 48 155 205 35 124 42 107 103 45 287 5 77 21 58 27 207 90 320

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 94.8%- (CONTINUED) Thailand - 3.7% - (Continued) Vinythai PCL NVDR Turkey - 2.7% Adana Cimento Sanayii T.A.S., Class A Afyon Cimento Sanayi T.A.S. Akcansa Cimento A.S. Akenerji Elektrik Uretim A.S. Akfen Holding A.S. Akmerkez Gayrimenkul Yatirim Ortakligi A.S. Aksa Akrilik Kimya Sanayii Aksigorta A.S. Alarko Holding A.S. Albaraka Turk Katilim Bankasi A.S. Anadolu Cam Sanayii A.S. Anadolu Hayat Emeklilik A.S. Anadolu Sigorta Aselsan Elektronik Sanayi Ve Ticaret A.S. Bagfas Bandirma Gubre Fabrik Baticim Bati Anadolu Cimento Sanayii A.S. Bizim Toptan Satis Magazalari A.S. Borusan Mannesmann Boru Sanayi ve Ticaret A.S. Boyner Buyuk Magazacilik Bursa Cimento Fabrikasi A.S. Celebi Hava Servisi A.S. Cimsa Cimento Sanayi VE Tica Deva Holding A.S. Dogan Sirketler Grubu Holdings A.S. Dogan Yayin Holding A.S. Dogus Otomotiv Servis ve Ticaret A.S. Eczacibasi Yatirim Holding Ortakligi A.S. EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S. Fenerbahce Futbol ASA Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S. Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. Goodyear Lastikleri T.A.S. Gubre Fabrikalari T.A.S. Hurriyet Gazetecilik A.S. Ihlas Holding A.S. Ipek Dogal Enerji Kaynaklari Ve Uretim A.S. Is Finansal Kiralama A.S. Is Gayrimenkul Yatirim Ortakligi A.S. Is Yatirim Menkul Degerler A.S. Izmir Demir Celik Sanayi A.S. Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S., Class A Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S., Class B Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S., Class D Kartonsan Karton Sanayi ve Ticaret A.S. Konya Cimento Sanayii A.S. Koza Anadolu Metal Madencilik Isletmeleri A.S. Mardin Cimento Sanayii ve Ticaret A.S.

116,875

COST

$

VALUE

60

$

68

6,485

8,348

31,364 709 23,386 54,788 21,469 10,202 40,617 59,652 32,499 153,462 48,015 31,167 122,828 22,930 830 20,010 8,815 4,539 17,142 29,588 2,885 23,326 25,331 385,467 243,438 37,625 15,403

88 50 90 111 142 133 64 63 61 115 50 54 84 76 69 88 145 42 40 85 33 90 48 112 160 82 55

60 32 101 65 112 111 97 62 71 100 64 85 69 159 83 72 130 72 35 79 27 104 31 174 94 126 57

77,609 1,996 2,000 1,613 1,868 9,838 77,599 332,057 51,651 87,972 161,060 48,549 37,417 73,378 44,783 244,134 459 485 89,682 25,960

85 72 64 52 68 64 68 178 75 52 108 36 32 46 29 103 29 54 128 98

81 59 60 48 54 82 38 200 120 44 105 47 88 60 55 151 59 80 212 79

See Accompanying Notes to the Financial Statements.

299

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES

COST

VALUE

COMMON STOCKS - 94.8%- (CONTINUED) Turkey - 2.7% - (Continued) NET Holding A.S. Netas Telekomunikasyon A.S. Otokar Otomotiv Ve Savunma Sanayi A.S. Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. Pinar SUT Mamulleri Sanayii A.S. Polyester Sanayi A.S. Saf Gayrimenkul Yatirim Ortakligi A.S. Sekerbank T.A.S. Selcuk Ecza Deposu Ticaret ve Sanayi A.S. Sinpas Gayrimenkul Yatirim Ortakligi A.S. Soda Sanayii A.S. TAT Konserve Sanayii A.S. TAV Havalimanlari Holding A.S.(3) Trakya Cam Sanayi A.S. Turcas Petrol A.S. Turkiye Sinai Kalkinma Bankasi A.S. Ulker Gida Sanayi A.S. Vakif Gayrimenkul Yatirim Ortakligi AS Vestel Beyaz Esya Sanayi ve Ticaret A.S. Vestel Elektronik Sanayi ve Ticaret A.S. Yapi Kredi Sigorta A.S. Yazicilar Holding A.S., Class A Zorlu Enerji Elektrik Uretim A.S.

85,906 1,131 3,907 27,187 8,749 79,972 131,058 170,396 83,305 96,473 18,527 34,845 1 102,957 35,826 274,853 41,963 26,368 36,285 47,076 13,504 23,735 111,944

United Kingdom - 0.1% Delphi Automotive PLC

341,500

135

129

United States - 0.1% BG Medicine, Inc. Integrated Memory Logic Ltd. InvenSense, Inc.

424,000 21,000 32,027

84 85 81 250 230,517

82 79 90 251 215,573

298,800

43 43

24 24

25,194 28,193 35,154 76,379 11,988 10,000 11,200 22,188 18,800 23,079 46,671

138 129 234 234 62 201 174 128 198 100 75

129 131 99 147 78 187 210 125 192 73 59

TOTAL COMMON STOCKS CONVERTIBLE PREFERRED STOCKS - 0.0% Malaysia - 0.0% TA Global Bhd. TOTAL CONVERTIBLE PREFERRED STOCKS PREFERRED STOCKS - 1.4% Brazil - 1.2% Banco ABC Brasil S.A. Banco Daycoval S.A. Banco Industrial e Comercial S.A. Banco Panamericano S.A. Banco Pine S.A. Centrais Eletricas de Santa Catarina S.A. Cia Energetica do Ceara, Class A Cia Ferro Ligas da Bahia - Ferbasa Contax Participacoes S.A. Eucatex S.A. Industria e Comercio Forjas Taurus S.A.

See Accompanying Notes to the Financial Statements.

300

$

73 58 44 51 55 106 77 110 96 78 31 71 131 63 205 93 55 69 54 93 140 115 5,539

$

74 90 75 85 80 53 60 118 89 67 32 42 121 53 307 176 49 50 51 155 165 73 6,059

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES PREFERRED STOCKS - 1.4%- (CONTINUED) Brazil - 1.2% - (Continued) Gol Linhas Aereas Inteligentes S.A. Inepar S.A. Industria e Construcoes Kroton Educacional S.A. Marcopolo S.A. Parana Banco S.A. Randon Participacoes S.A. Saraiva S.A. Livreiros Editores Unipar Participacoes S.A., Class B Russia - 0.0% AvtoVAZ OAO South Africa - 0.1% Allied Electronics Corp. Ltd.

COST

50,000 25,505 657 120,806 10,700 64,722 9,406 237,965

South Korea - 0.1% Daishin Securities Co. Ltd. Daishin Securities Co. Ltd., Class 2

$

235 27 1 595 67 286 92 29

116,300

21

22

108,839

351

302

11,324 4,160

88 31

63 23

119 3,384

86 3,172

4 4

1 1

897

$

COST

44

$

NUMBER OF WARRANTS WARRANTS - 0.0% Bangkokland PCL NVDR Exp. 12/31/49(4) Dialog Group Bhd. Exp. 2/12/17, Strike $2.40(4) G Steel PCL Exp. 12/31/49, Strike $1.00(3) G Steel PCL Exp. 12/31/49, Strike $1.00(3) Hartalega Holdings Bhd. Exp. 5/29/15, Strike $4.14(4)

$

2,762

PAR VALUE CONVERTIBLE BONDS - 0.0% Real Estate - 0.0% YTL Land & Development Bhd., 3.00%, 10/31/21 TOTAL CONVERTIBLE BONDS

199 64 1 324 55 335 151 91 2,893

TOTAL PREFERRED STOCKS RIGHTS - 0.0% Banco ABC Brasil S.A. TOTAL RIGHTS

VALUE

403,112

VALUE

7 7

$

COST

$

7 7

VALUE

-

$

2

65,870

-

12

1,424,633

-

-

106,333

-

-

7,110

-

3

See Accompanying Notes to the Financial Statements.

301

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

NUMBER OF WARRANTS WARRANTS - 0.0%- (CONTINUED) MBM Resources Bhd. Exp. 6/14/17, Strike $3.20(4) TOTAL WARRANTS

14,010

COST

$

UNITS SHORT-TERM INVESTMENTS - 1.1% Northern Trust Global Investments Collective Short-Term Investment Fund(5)

2,398,130

-

$

2,398

Other Assets less Liabilities - 2.7%

(3) (4) (5)

4 21 VALUE

$

2,398 221,196 6,215 $227,411

NET ASSETS - 100.0%

(2)

$

COST

236,353

TOTAL INVESTMENTS - 97.3%

(1)

VALUE

Security has been deemed worthless by the Northern Trust Global Investments Pricing and Valuation Committee. Value amount rounds to less than $1. Cost and Value amount rounds to less than $1. Cost amount rounds to less than $1. Investment in affiliated fund.

Percentages shown are based on Net Assets. SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT COMMON STOCKS CORPORATE BONDS PREFERRED STOCKS NORTHERN TRUST FUND OTHER(1) TOTAL

(1)

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$107,719 7

$ 93,193 —

$(8,609) —

1,417 106,538 —

1,541 105,765 —

99 — (2)

$215,681

$200,499

$(8,512)

Realized loss reflects the reclassification of market associated cost fees.

The Brazilian and Indian governments charge transactional costs related to foreign investments in Brazilian and Indian financial and capital markets. Transactional costs of $66 have been netted against net realized gains (losses) on securities transactions on the Statement of Operations and Changes in Net Assets. As such, the realized gains (losses) between this schedule and the Statement of Operations and Changes in Net Assets will differ by this amount.

See Accompanying Notes to the Financial Statements.

302

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Number of Contracts)

OPEN FUTURES CONTRACTS: TYPE ASX SPI 200 INDEX DAX INDEX FTSE/JSE TOP 40 INDEX HANG SENG INDEX MSCI TAIWAN INDEX SGX S&P CNX NIFTY INDEX TOPIX INDEX

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

CURRENCY

Australian Dollar Euro

10 3

$1,112 627

Long Long

9/12 9/12

$ 32 45

South African Rand Hong Kong Dollar United States Dollar

28 11 111

1,030 1,398 2,815

Long Long Long

9/12 8/12 8/12

(7) 68 113

United States Dollar Japanese Yen

125 4

1,312 376

Long Long

8/12 9/12

27 19 $297

TOTAL

Foreign currency and other liquid assets are pledged as collateral to cover margin requirements for open futures contracts. At July 31, 2012, NT Collective Emerging Markets Small Cap Index Fund - Non Lending had outstanding foreign currency exchange contracts as follows: CONTRACTS TO DELIVER CURRENCY

AMOUNT (LOCAL CURRENCY)

IN EXCHANGE FOR CURRENCY

United States Dollar

318

Brazilian Real

United States Dollar United States Dollar

626 608

Hong Kong Dollar Korean Won

United States Dollar United States Dollar

1,323 473

Taiwan Dollar Indian Rupee

AMOUNT (LOCAL CURRENCY)

SETTLEMENT DATE

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR)

COUNTERPARTY

671

9/19/12

$ 6

UBS Securities New York

4,855 712,454

9/19/12 9/19/12

— 20

Citibank London UBS Securities New York

39,505 26,847

9/19/12 9/20/12

(5) 5

UBS Securities New York UBS Securities New York

$26

Total

At July 31, 2012, the NT Collective Emerging Markets Small Cap Index Fund - Non Lending’s investments (excluding short-term investments) were denominated in the following currencies: CONCENTRATION BY CURRENCY Taiwan Dollar Korean Won Hong Kong Dollar South African Rand Indian Rupee Brazilian Real Malaysian Ringgit All other currencies less than 5% Total

% OF INVESTMENTS 19.6% 16.2 13.9 9.3 7.5 6.4 5.6 21.5 100.0%

See Accompanying Notes to the Financial Statements.

303

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

At July 31, 2012, the NT Collective Emerging Markets Small Cap Index Fund - Non Lending’s investments (excluding short-term investments) were diversified as follows: INDUSTRY SECTOR Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Total

% OF INVESTMENTS 17.4% 8.9 1.9 18.9 5.9 15.8 14.7 12.7 1.1 2.7 100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted Quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/ or securities indices). Level 3 - Valuations based on inputs that are unobservable and significant. The Fund utilized the following valuation technique on Level 3 investments: The Fund valued certain securities using prices provided by the Fund’s Valuation Committee. The Fund also valued certain secutiries using a quote from a third party vendor. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities or other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective Emerging Markets Small Cap Index Fund - Non Lending’s investments and other financial instruments which are carried at fair value, as of July 31, 2012: INVESTMENTS LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Common Stocks Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities

$37,814 19,240 4,254 40,615 12,882 32,690 32,157 27,557 2,426 5,456

$— — — — — — — — — —

$126 200 — — — 52 88 16 — —

$37,940 19,440 4,254 40,615 12,882 32,742 32,245 27,573 2,426 5,456

24

—

—

24

Convertible Preferred Stocks Financials

See Accompanying Notes to the Financial Statements.

304

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

INVESTMENTS LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Preferred Stocks Consumer Discretionary

$

— — — — —

$ — — — — —

1

—

—

1

—

7

—

7

4 2

— —

— —

4 2

3 12 —

— — 2,398

— — —

3 12 2,398

$218,309

$2,405

$482

$221,196

$

$

$

Financials Industrials Materials Utilities

114 739 1,768 154 397

$

$

114 739 1,768 154 397

Rights Financials Convertible Bonds Financials Warrants Consumer Discretionary Financials Health Care Industrials Short-Term Investments Total Investments

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts Foreign Currency Exchange Contracts

304

—

$ —

—

31

—

304 31

(7) —

— (5)

— —

(7) (5)

Liabilities Futures Contracts Foreign Currency Exchange Contracts Total Other Financial Instruments

$

297

$

26

$ —

$

323

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly.

See Accompanying Notes to the Financial Statements.

305

NT COLLECTIVE EMERGING MARKETS SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value: TRANSFERS TRANSFERS CHANGE IN CHANGE IN OUT OF BALANCE INTO UNREALIZED BALANCE REALIZED REALIZED UNREALIZED LEVEL 3* AS OF 7/31/12 LEVEL 3* APPRECIATION (DEPRECIATION) PURCHASES SALES AS OF 7/31/11 GAINS LOSSES Common Stocks Consumer Discretionary Consumer Staples Industrials Information Technology Materials Total *

$ 78

$—

97 99

13 —

84 161 $519

$(105)

$113

$ —

$ (86)

$126

—

— 2

$ — (27) (34)

— 68

(83) (8)

200 27

— (102)

200 52

4 —

— (126)

— 71

(31) (90)

18 18

(45) (18)

88 —

(30) —

88 16

$ 17

$(231)

$186

$(182)

$104

$(240)

$441

$(132)

$482

The value of Transfers In and/or Out of Level 3 was measured using the fair value as of the end of the year. Transfers out of Level 3 investments occurred from movement into actively traded markets with multiple pricing sources. Transfers into Level 3 investments occurred from suspension from actively traded markets.

The amount of change in total unrealized losses on investments in Level 3 securities still held at July 31, 2012 was approximately $(1,193), which is included in the Statement of Operations and Changes in Net Assets as Change in Unrealized Appreciation (Depreciation).

See Accompanying Notes to the Financial Statements.

306

$ —

$126

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (Cost $760,061) Investments in Northern Trust Fund, at Value (Cost $2,013) Cash Held at Broker Foreign Currencies (Cost $10,195) Foreign Currencies Held at Broker (Cost $120) Receivable for Investments Sold Receivable for Variation Margin on Futures Contracts Unrealized Gain on Forward Foreign Currency Exchange Contracts Reclaims Receivable Accrued Income Receivable Total Assets

$

$

728,295 2,013 1,945 10,229 120 1,231 52 211 1,153 1,297 746,546

LIABILITIES Payable for Investments Purchased Payable for Fund Units Redeemed Payable for Variation Margin on Futures Contracts Unrealized Loss on Forward Foreign Currency Exchange Contracts Accrued Expenses Total Liabilities

$

1,222 170 57 85 32 1,566

NET ASSETS (Equivalent to $135.022 Per Unit, Based on 5,517,476 Units Outstanding)

$

744,980

$

$

26,161 459 12 26,632 14 348 202 564

$

26,068

$

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $660 in Foreign Withholding Tax) Interest Income (Net of $5 in Foreign Withholding Tax) Income from Investment in Northern Trust Fund Total Investment Income Less: Audit Fee Expense Recovery Other Expenses Total Expenses Net Investment Income (Loss)

$

REALIZED AND UNREALIZED GAINS (LOSSES) Net Realized Gains (Losses) on Securities Transactions

$

2,849

Net Realized Gains (Losses) on Futures Contracts

$

(2,128)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(1,169)

$

181,565 (31,166) (212,731)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$

Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts and on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year

$

530

$

(437)

End of Year

93

Change in Net Unrealized Appreciation (Depreciation) Net Realized and Unrealized Gains (Losses) on Investments and Futures Contracts and Foreign Currency Transactions

$

(213,616)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(187,548)

$ $

281,510 (677,096) (395,586)

$

(583,134)

UNIT TRANSACTIONS Admission of 2,074,591 Units Withdrawal of 4,965,811 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Beginning of Year (8,408,696 Units Outstanding)

1,328,114

End of Year (5,517,476 Units Outstanding*)

$

*58.8% owned by NT Collective All Country World ex-US IMI Fund - Non Lending *4.5% owned by NT Collective World ex-US Investable Market Index Fund - Non Lending

See Accompanying Notes to the Financial Statements.

307

744,980

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING FINANCIAL HIGHLIGHTS

For the Year Ended July 31, 2012

For the Year Ended July 31, 2011

For the Year Ended July 31, 2010

For the Year Ended July 01, 2009 (Commencement of Operations) to July 31, 2009

Unit Value, Beginning of Period

$

Net Investment Income (Loss)

157.945

$

125.597

$

108.036

$

100.000

3.916

3.628

2.693

0.118

Net Realized and Unrealized Gains (Losses)

(26.839)

28.720

14.868

7.918

Net Increase (Decrease)

(22.923)

32.348

17.561

8.036

Unit Value, End of Period Total Return

$

(1)

135.022

$

(14.51)%

157.945

$

25.76%

125.597

$

16.25%

108.036 8.03%

Supplemental Data and Ratios Net Assets (000's Omitted) Ratio to Average Net Assets of:

$

744,980

$

1,328,114

$

1,157,385

$

238,278

(2)

Expenses - net of refund

0.06%

0.05%

N/A

N/A

Expenses - before refund

0.06%

0.05%

0.07%

0.01%

Net Investment Income (Loss) - net of refund

2.69%

2.33%

N/A

N/A

Net Investment Income (Loss) - before refund

2.69%

2.33%

2.20%

1.44%

(1)

Total Return is calculated as the sum of net investment income and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of period. Total Return is not annualized for periods less than one year.

(2)

Ratios are annualized for periods less than one year. N/A - Not applicable.

See Accompanying Notes to the Financial Statements. 308

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4% Australia - 7.9% Aapc Ltd. Abacus Property Group Acrux Ltd. Adelaide Brighton Ltd. Aditya Birla Minerals Ltd. Ainsworth Game Technology Ltd. Alesco Corp. Ltd. Alkane Resources Ltd. Allied Gold Mining PLC Ampella Mining Ltd. Ansell Ltd. APN News & Media Ltd. Aquarius Platinum Ltd. Aquila Resources Ltd. ARB Corp. Ltd. Aristocrat Leisure Ltd. Arrium Ltd. Aspen Group Aspire Mining Ltd. Astro Japan Property Group Atlas Iron Ltd. Aurora Oil and Gas Ltd. Ausdrill Ltd. Ausenco Ltd. Austal Ltd. Austin Engineering Ltd. Australand Property Group Australian Agricultural Co. Ltd. Australian Infrastructure Fund Automotive Holdings Group AWE Ltd. Bandanna Energy Ltd. Bank of Queensland Ltd. Bathurst Resources Ltd. BC Iron Ltd. Beach Energy Ltd. Beadell Resources Ltd. Billabong International Ltd. Biota Holdings Ltd. BlueScope Steel Ltd. Bradken Ltd. BT Investment Management Ltd. Buru Energy Ltd. BWP Trust Cabcharge Australia Ltd. Cape Lambert Resources Ltd. Capital Property Trust Cardno Ltd. carsales.com Ltd. Challenger Diversified Property Group Challenger Infrastructure Fund, Class A

147,093 127,269 71,596 226,744 72,652 42,092 48,699 125,785 102,151 94,032 63,709 222,429 227,751 79,865 30,980 208,758 640,786 262,776 107,800 30,689 403,411 167,588 117,523 39,014 48,069 22,118 127,926 103,302 295,015 76,882 253,000 56,271 133,380 268,461 19,922 608,318 319,212 187,488 89,347 1,585,840 79,312 54,859 79,354 203,911 53,925 234,804 172,027 59,760 93,613 257,535 81,558

See Accompanying Notes to the Financial Statements.

309

COST

$

170 241 174 612 84 76 155 238 279 224 731 323 986 480 235 538 733 117 87 103 994 586 301 119 107 116 307 143 489 181 428 99 1,128 330 50 559 269 689 130 628 549 117 266 341 253 79 299 270 465 125 102

VALUE

$

204 266 286 802 32 99 105 109 219 48 890 125 144 179 310 518 486 101 13 90 732 605 413 127 81 98 381 120 804 210 394 17 1,074 82 54 704 220 267 63 442 416 101 285 424 318 82 110 525 622 150 115

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Australia - 7.9% - (Continued) Challenger Ltd. Charter Hall Group Charter Hall Retail REIT Clough Ltd. Cockatoo Coal Ltd. Commonwealth Property Office Fund Consolidated Media Holdings Ltd. CSG Ltd. CSR Ltd. Cudeco Ltd. Dart Energy Ltd. David Jones Ltd. Decmil Group Ltd. Discovery Metals Ltd. Downer EDI Ltd. Drillsearch Energy Ltd. DUET Group DuluxGroup Ltd. Elemental Minerals Ltd. Emeco Holdings Ltd. Endeavour Mining Corp. Energy Resources of Australia Ltd. Energy World Corp. Ltd. Envestra Ltd. Evolution Mining Ltd. FKP Property Group Fleetwood Corp. Ltd. FlexiGroup Ltd. Flight Centre Ltd. Focus Minerals Ltd. Forge Group Ltd. Gindalbie Metals Ltd. Goodman Fielder Ltd. GrainCorp Ltd. Grange Resources Ltd. Gryphon Minerals Ltd. GUD Holdings Ltd. Guildford Coal Ltd. Gunns Ltd.(1) GWA Group Ltd. Hastings Diversified Utilities Fund Hills Holdings Ltd. Horizon Oil Ltd. iiNET Ltd. Imdex Ltd. Independence Group NL Indophil Resources NL Industrea Ltd. Infigen Energy Integra Mining Ltd. Intrepid Mines Ltd.

255,954 109,847 131,054 119,175 308,234 1,196,955 71,802 77,953 242,941 59,105 256,062 250,146 66,092 184,753 209,679 160,276 532,273 176,719 68,482 310,398 76,318 92,201 463,036 413,831 219,767 323,620 23,217 85,160 27,870 2,090,667 21,237 373,625 943,166 99,251 177,340 139,977 34,622 146,037 414,421 103,214 205,781 108,458 487,611 58,384 89,444 108,287 380,442 180,146 392,004 369,438 216,562

See Accompanying Notes to the Financial Statements.

310

COST

$

933 241 366 86 151 1,037 191 105 714 211 236 999 196 262 913 197 843 446 86 250 195 404 213 228 433 203 217 147 460 125 122 290 775 679 96 232 268 166 261 268 273 164 151 145 187 561 194 215 233 208 417

VALUE

$

902 297 477 88 54 1,348 256 59 318 207 40 642 182 259 669 195 1,165 573 50 248 182 135 231 375 358 128 320 274 623 77 96 157 481 962 67 100 311 54 228 550 122 141 200 148 357 132 237 93 122 50

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Australia - 7.9% - (Continued) Investa Office Fund Invocare Ltd. IOOF Holdings Ltd. Iress Ltd. Ivanhoe Australia Ltd. JB Hi-Fi Ltd. Jupiter Mines Ltd. Kagara Ltd.(1) Kangaroo Resources Ltd. Karoon Gas Australia Ltd. Kingsgate Consolidated Ltd. Kingsrose Mining Ltd. Linc Energy Ltd. M2 Telecommunications Group Ltd. MACA Ltd. Macmahon Holdings Ltd. Macquarie Atlas Roads Group Matrix Composites & Engineering Ltd. Maverick Drilling & Exploration Ltd. McMillan Shakespeare Ltd. Medusa Mining Ltd. Mermaid Marine Australia Ltd. Mesoblast Ltd. Metals X Ltd. Metminco Ltd. Mincor Resources NL Mineral Deposits Ltd. Mineral Resources Ltd. Mirabela Nickel Ltd. Molopo Energy Ltd. Monadelphous Group Ltd. Mount Gibson Iron Ltd. Murchison Metals Ltd. Myer Holdings Ltd. Navitas Ltd. Nexus Energy Ltd. Northern Iron Ltd. NRW Holdings Ltd. Nufarm Ltd. OceanaGold Corp. OrotonGroup Ltd. Pacific Brands Ltd. Paladin Energy Ltd. PanAust Ltd. Panoramic Resources Ltd. Perilya Ltd. Perpetual Ltd. Perseus Mining Ltd. Pharmaxis Ltd. Platinum Asset Management Ltd. Premier Investments Ltd.

332,818 53,958 83,248 53,147 99,067 47,320 159,217 287,383 421,941 85,232 62,938 81,899 138,759 54,205 41,802 272,026 194,980 19,535 80,101 22,695 82,212 102,096 65,062 203,914 429,827 96,887 34,730 60,493 376,010 117,965 39,993 304,433 156,467 278,053 92,424 576,328 112,806 109,187 82,987 129,646 9,496 419,027 358,055 228,606 106,086 202,826 19,049 216,777 170,894 96,983 43,532

See Accompanying Notes to the Financial Statements.

311

COST

$

732 338 456 395 242 773 93 155 65 534 511 124 250 189 111 144 222 123 88 184 409 273 348 52 138 163 158 558 453 106 609 404 194 757 359 172 151 211 395 363 75 361 573 608 197 94 530 500 270 446 266

VALUE

$

1,019 507 548 375 45 440 28 40 333 269 99 78 185 95 173 268 40 110 283 420 282 431 26 37 65 167 509 105 52 916 306 80 535 377 82 139 332 478 273 78 229 441 573 66 54 479 527 201 370 224

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Australia - 7.9% - (Continued) Primary Health Care Ltd. Prime Infrastructure Group Programmed Maintenance Services Ltd. Qube Logistics Holdings Ltd. Ramelius Resources Ltd. REA Group Ltd. Redflex Holdings Ltd. Regis Resources Ltd. Reject Shop (The) Ltd. Resolute Mining Ltd. Rex Minerals Ltd. Roc Oil Co. Ltd. SAI Global Ltd. Sandfire Resources NL Saracen Mineral Holdings Ltd. Sedgman Ltd. Seek Ltd. Senex Energy Ltd. Seven West Media Ltd. Sigma Pharmaceuticals Ltd. Silex Systems Ltd. Silver Lake Resources Ltd. Skilled Group Ltd. SMS Management & Technology Ltd. Southern Cross Media Group Ltd. Spark Infrastructure Group Spotless Group Ltd. St. Barbara Ltd. STW Communications Group Ltd. Sundance Resources Ltd. Super Retail Group Ltd. Tassal Group Ltd. Ten Network Holdings Ltd. Tiger Resources Ltd. TPG Telecom Ltd. Transfield Services Ltd. Transpacific Industries Group Ltd. Treasury Wine Estates Ltd. Troy Resources Ltd. UGL Ltd. Western Areas NL White Energy Co. Ltd. Wotif.com Holdings Ltd. Austria - 0.8% AMAG Austria Metall A.G. AMS A.G. Atrium European Real Estate Ltd. Austria Technologie & Systemtechnik A.G. BWT A.G. CA Immobilien Anlagen A.G.

226,168 191,111 58,151 215,461 136,830 25,962 28,294 143,536 12,117 331,901 62,961 301,880 99,090 50,345 231,454 53,724 147,804 296,907 293,926 579,803 59,379 100,763 72,149 32,392 262,053 614,900 131,055 170,174 149,767 1,197,664 69,091 60,418 427,330 258,372 140,973 249,821 452,135 314,995 33,772 80,958 62,081 104,596 48,473

7,063 4,542 99,678 6,682 6,792 36,720

See Accompanying Notes to the Financial Statements.

312

COST

$

874 138 309 198 317 56 240 147 396 148 135 388 291 165 99 872 195 905 384 252 274 132 182 418 680 281 313 134 312 394 92 443 120 232 701 378 1,169 156 1,005 307 268 221 64,741 148 155 533 97 141 469

VALUE

$

719 132 340 72 374 61 686 126 475 54 89 466 374 117 83 947 192 481 369 241 284 167 195 325 1,055 365 249 147 422 557 80 214 79 287 485 369 1,465 142 1,111 229 34 209 59,059 157 370 445 52 109 364

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Austria - 0.8% - (Continued) CAT Oil A.G. Conwert Immobilien Invest S.E. EVN A.G. Flughafen Wien A.G. Intercell A.G. Kapsch TrafficCom A.G. Lenzing A.G. Mayr Melnhof Karton A.G. Oesterreichische Post A.G. Palfinger A.G. RHI A.G. Rosenbauer International A.G. S IMMO A.G. Schoeller-Bleckmann Oilfield Equipment A.G. Semperit A.G. Holding Strabag S.E. (Bearer) Wienerberger A.G. Zumtobel A.G. Belgium - 1.2% Ablynx N.V. Ackermans & van Haaren N.V. AGFA-Gevaert N.V. Arseus N.V. Barco N.V. Befimmo S.C.A. Sicafi Bekaert N.V. Cie d’Entreprises CFE Cie Maritime Belge S.A. Cofinimmo Deceuninck N.V. Dexia S.A. D’ieteren S.A./N.V. Econocom Group Elia System Operator S.A. N.V. Euronav N.V. EVS Broadcast Equipment S.A. Exmar N.V. Galapagos N.V. Gimv N.V. Hamon & CIE S.A. Intervest Offices & Warehouses Ion Beam Applications KBC Ancora Kinepolis Group N.V. Leasinvest Real Estate S.C.A. Melexis N.V. Nyrstar Recticel S.A. RHJ International Roularta Media Group N.V.

7,524 33,562 16,747 5,222 21,335 2,353 5,129 4,580 16,333 6,440 10,053 1,750 24,100 5,428 4,688 11,723 56,285 12,964

13,388 11,437 88,491 9,642 5,295 6,788 19,668 3,297 7,018 7,261 36,440 299,714 10,844 7,021 13,286 10,552 5,731 11,756 9,972 8,481 1,391 3,608 9,161 16,080 2,247 735 10,812 74,368 9,791 33,223 1,736

See Accompanying Notes to the Financial Statements.

313

COST

$

68 413 296 257 460 138 465 443 465 146 267 81 153 351 180 297 861 235

VALUE

$

47 380 208 204 51 170 450 404 521 127 223 85 133 457 159 265 475 140

7,119

5,996

135 845 373 132 269 531 513 180 197 898 92 151 470 122 565 203 315 92 139 437 52 107 80 268 124 63 134 770 90 243 43

47 878 136 157 305 406 509 172 147 789 48 81 451 147 529 68 271 84 179 371 25 88 47 140 194 60 162 358 61 156 30

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Belgium - 1.2% - (Continued) Sipef S.A. Tessenderlo Chemie N.V. Tessenderlo Chemie N.V. (VVPR) ThromboGenics N.V. Warehouses De Pauw S.C.A. Wereldhave Belgium N.V. Canada - 12.6% 5N Plus, Inc. Advantage Oil & Gas Ltd. Aecon Group, Inc. AG Growth International, Inc. AGF Management Ltd., Class B Aimia, Inc. Alamos Gold, Inc. Alaris Royalty Corp. Alexco Resource Corp. Algonquin Power & Utilities Corp. Alliance Grain Traders, Inc. Allied Properties Real Estate Investment Trust AltaGas Ltd. Alterra Power Corp. Angle Energy, Inc. Artis Real Estate Investment Trust Astral Media, Inc., Class A Atco Ltd., Class I Atrium Innovations, Inc. ATS Automation Tooling Systems, Inc. Augusta Resource Corp. AuRico Gold, Inc. Aurizon Mines Ltd. Avalon Rare Metals, Inc. Avion Gold Corp. B2Gold Corp. Bankers Petroleum Ltd. Banro Corp. Bellatrix Exploration Ltd. Bellatrix Exploration Ltd. (OTC Exchange) Birchcliff Energy Ltd. Bird Construction, Inc. Black Diamond Group Ltd. Black Diamond Group Ltd. (OTC Exchange) BlackPearl Resources, Inc. Boardwalk Real Estate Investment Trust Bonterra Energy Corp. Boralex, Inc., Class A Brick (The) Ltd. C&C Energia Ltd. Calfrac Well Services Ltd. Calloway Real Estate Investment Trust Canaccord Financial, Inc.

2,889 11,515 606 15,743 5,423 966

23,599 76,265 27,475 6,261 38,676 84,718 59,452 8,300 26,223 63,531 6,414 11,663 43,218 167,397 34,839 24,314 25,653 18,585 12,283 42,821 47,644 137,224 80,148 52,291 202,799 164,767 118,449 102,940 3,413 45,897 48,691 19,859 17,100 14,600 136,398 11,301 7,649 10,721 30,400 19,402 16,412 26,854 34,680

See Accompanying Notes to the Financial Statements.

314

COST

$

202 368 385 260 78

VALUE

$

222 302 509 274 94

9,926

8,497

154 458 285 223 624 875 820 162 218 303 181 206 961 177 265 271 890 919 177 265 187 1,139 413 316 362 405 682 405 17 243 432 212 380 117 512 440 288 83 115 192 385 535 344

49 299 330 206 459 1,128 932 195 108 418 89 349 1,345 76 128 410 1,259 1,367 139 349 88 891 356 79 101 529 287 401 12 165 339 272 369 94 411 722 357 93 121 122 388 792 159

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Canada - 12.6% - (Continued) Canaccord Financial, Inc. (London Exchange) Canacol Energy Ltd. Canacol Energy Ltd. (OTC Exchange) Canadian Apartment Properties REIT Canadian Energy Services & Technology Corp. Canadian Real Estate Investment Trust Canadian Western Bank Canexus Corp. Canfor Corp. Canfor Pulp Products, Inc. Canyon Services Group, Inc. Capital Power Corp. Capstone Infrastructure Corp. Capstone Mining Corp. Cascades, Inc. CCL Industries, Inc., Class B Celestica, Inc. Celtic Exploration Ltd. Cequence Energy Ltd. Chartwell Seniors Housing Real Estate Investment Trust China Gold International Resources Corp. Ltd. Churchill (The) Corp., Class A Cineplex, Inc. Cline Mining Corp. CML HealthCare, Inc. Cogeco Cable, Inc. Colossus Minerals, Inc. Cominar Real Estate Investment Trust Connacher Oil and Gas Ltd. Continental Gold Ltd. Copper Mountain Mining Corp. Corus Entertainment, Inc., Class B Cott Corp. Crew Energy, Inc. Crombie Real Estate Investment Trust Davis & Henderson Corp. Denison Mines Corp. Detour Gold Corp. Dollarama, Inc. Dorel Industries, Inc., Class B Dundee Corp., Class A Dundee International Real Estate Investment Trust Dundee Precious Metals, Inc. Dundee Real Estate Investment Trust Eastern Platinum Ltd. Eco Oro Minerals Corp. Element Financial Corp. Element Financial Corp. (OTC Exchange) Enbridge Income Fund Holdings, Inc. Endeavour Mining Corp. Endeavour Silver Corp.

7,984 325,000 167,857 20,397 21,514 16,153 36,790 60,400 47,894 16,268 25,849 33,097 33,002 138,649 28,784 12,813 96,477 42,173 52,762 36,400 78,052 10,453 28,587 82,789 43,993 8,024 48,640 24,999 204,979 44,808 45,227 38,567 47,041 48,670 10,800 28,941 161,797 54,172 31,153 13,021 21,032 11,900 49,255 20,167 417,814 38,981 35,100 142,369 15,108 29,900 42,982

See Accompanying Notes to the Financial Statements.

315

COST

$

57 210 110 306 257 471 892 501 398 289 360 783 216 416 168 348 835 665 173 337 341 180 617 216 479 302 344 478 217 378 333 699 346 614 150 514 235 1,315 978 365 314 112 439 579 414 149 186 120 279 77 445

VALUE

$

38 148 155 500 226 679 964 475 566 140 255 711 146 311 137 443 735 737 76 365 181 86 856 24 412 290 175 613 99 314 146 873 399 336 162 527 218 1,202 1,943 362 458 127 384 773 81 62 210 112 352 70 344

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Canada - 12.6% - (Continued) EnerCare, Inc. Enerflex Ltd. Ensign Energy Services, Inc. Exeter Resource Corp. EXFO, Inc. Extendicare, Inc. Extorre Gold Mines Ltd. Fairborne Energy Ltd. First Capital Realty, Inc. First Majestic Silver Corp. FirstService Corp. Fortress Paper Ltd. Fortuna Silver Mines, Inc. Freehold Royalties Ltd. Gabriel Resources Ltd. Gasfrac Energy Services, Inc. Genivar, Inc. Genworth MI Canada, Inc. Gibson Energy, Inc. Gluskin Sheff + Associates, Inc. GMP Capital, Inc. Great Basin Gold Ltd. Great Canadian Gaming Corp. Guide Exploration Ltd. Guyana Goldfields, Inc. Harry Winston Diamond Corp. High River Gold Mines Ltd. Home Capital Group, Inc. HudBay Minerals, Inc. Imperial Metals Corp. Innergex Renewable Energy, Inc. InnVest Real Estate Investment Trust International Tower Hill Mines Ltd. Ithaca Energy, Inc. Ithaca Energy, Inc. (OTC Exchange) Ivanhoe Energy, Inc. Jaguar Mining, Inc. Jean Coutu Group PJC (The), Inc., Class A Just Energy Group, Inc. Katanga Mining Ltd. Keegan Resources, Inc. Keyera Corp. Killam Properties, Inc. Kirkland Lake Gold, Inc. Labrador Iron Mines Holdings Ltd. Lake Shore Gold Corp. Laurentian Bank of Canada Legacy Oil + Gas, Inc. Linamar Corp. Liquor Stores N.A. Ltd. Longview Oil Corp.

25,693 37,494 63,596 35,850 13,227 18,571 36,154 41,693 40,349 56,569 13,415 5,496 57,056 22,408 148,109 28,349 12,893 19,422 48,589 7,652 25,520 270,177 28,199 53,091 36,603 38,720 110,532 16,077 83,051 21,860 37,966 23,638 44,197 132,372 36,700 149,248 38,820 48,474 66,479 279,660 33,864 36,865 21,418 30,877 24,059 174,627 12,339 61,590 23,695 11,321 15,196

See Accompanying Notes to the Financial Statements.

316

COST

$

165 375 913 212 81 204 281 172 592 833 324 203 321 451 577 214 383 498 955 131 267 415 192 182 248 440 138 677 995 216 351 151 233 243 285 262 332 462 868 257 287 1,255 223 362 226 520 507 790 375 176 143

VALUE

$

226 430 937 50 63 142 150 77 748 919 359 78 216 434 260 94 278 329 1,006 110 123 162 277 121 81 502 157 728 702 183 411 122 112 258 256 97 33 696 736 140 104 1,665 279 360 49 179 585 398 478 220 94

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Canada - 12.6% - (Continued) Lundin Mining Corp. MacDonald Dettwiler & Associates Ltd. MAG Silver Corp. Major Drilling Group International Manitoba Telecom Services, Inc. Maple Leaf Foods, Inc. Martinrea International, Inc. Medical Facilities Corp. Medical Facilities Corp. (OTC Exchange) Mercator Minerals Ltd. Methanex Corp. Midas Gold Corp. Midnight Oil Exploration Ltd. Morguard Real Estate Investment Trust Morneau Shepell, Inc. Mullen Group Ltd. Nevsun Resources Ltd. Newalta Corp. NGEx Resources, Inc. Niko Resources Ltd. Norbord, Inc. North American Palladium Ltd. North West (The) Co., Inc. Northern Dynasty Minerals Ltd. Northern Property Real Estate Investment Trust Northland Power, Inc. NorthWest Healthcare Properties Real Estate Investment Trust Novagold Resources, Inc. NuVista Energy Ltd. Paladin Labs, Inc. Paramount Resources Ltd., Class A Parex Resources, Inc. Parkland Fuel Corp. Pason Systems, Inc. PetroBakken Energy Ltd., Class A Petrobank Energy & Resources Ltd. Petrominerales Ltd. Peyto Exploration & Development Corp. Poseidon Concepts Corp. Premier Gold Mines Ltd. Premium Brands Holdings Corp. Pretium Resources, Inc. Primaris Retail Real Estate Investment Trust Progressive Waste Solutions Ltd. Quebecor, Inc., Class B Queenston Mining, Inc. Rainy River Resources Ltd. Reitmans Canada Ltd., Class A Romarco Minerals, Inc. RONA, Inc. Rubicon Minerals Corp.

263,295 15,209 20,150 38,581 10,729 47,885 36,893 14,900 27,700 92,569 45,408 24,700 24,193 14,237 20,803 40,462 98,564 20,401 64,766 24,600 11,055 83,648 23,669 28,075 6,555 36,164 9,500 111,731 39,627 6,857 22,939 55,800 31,225 31,760 40,242 48,206 49,474 65,467 36,900 67,190 9,200 35,344 19,399 58,643 21,377 28,331 44,500 22,870 268,263 62,412 141,093

See Accompanying Notes to the Financial Statements.

317

COST

$

1,241 628 146 389 320 509 268 200 206 204 982 80 186 173 206 679 437 203 185 726 139 284 461 240 160 523 118 810 360 203 560 315 359 380 404 969 1,369 1,121 513 424 166 439 307 1,147 623 140 193 365 478 793 506

VALUE

$

1,127 834 185 391 365 478 302 211 195 51 1,247 58 72 258 256 888 344 253 110 422 154 141 509 66 217 666 127 450 179 339 618 268 462 461 500 560 458 1,398 512 294 167 517 465 1,176 753 93 192 274 161 841 442

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Canada - 12.6% - (Continued) Russel Metals, Inc. Sabina Gold & Silver Corp. San Gold Corp. Sandvine Corp. Savanna Energy Services Corp. Seabridge Gold, Inc. Secure Energy Services, Inc. SEMAFO, Inc. ShawCor Ltd., Class A Sherritt International Corp. Sierra Wireless, Inc. Silver Standard Resources, Inc. Silvercorp Metals, Inc. Southern Pacific Resource Corp. SouthGobi Resources Ltd. Sprott Resource Corp. Sprott, Inc. Stantec, Inc. Student Transportation, Inc. Superior Plus Corp. TAG Oil Ltd. Tanzanian Royalty Exploration Corp. Taseko Mines Ltd. Torex Gold Resources, Inc. Toromont Industries Ltd. Torstar Corp., Class B Total Energy Services, Inc. Transcontinental, Inc., Class A TransForce, Inc. TransGlobe Energy Corp. Trican Well Service Ltd. Trilogy Energy Corp. Trinidad Drilling Ltd. Twin Butte Energy Ltd. Uranium One, Inc. Uranium Participation Corp. Valener, Inc. Veresen, Inc. Wajax Corp. West Fraser Timber Co. Ltd. Westfire Energy Ltd. Westport Innovations, Inc. Whitecap Resources, Inc. Wi-Lan, Inc. Yukon-Nevada Gold Corp. Zargon Oil & Gas Ltd.

29,116 66,328 143,772 70,842 42,113 14,678 44,463 130,453 28,217 143,257 14,492 38,751 81,712 156,027 37,618 45,167 22,771 22,154 33,852 54,137 25,800 49,740 90,207 211,927 37,493 30,847 13,688 32,178 36,815 34,004 71,542 27,154 58,765 94,800 229,076 53,180 19,005 83,820 8,119 16,244 25,800 23,458 58,616 60,918 310,000 12,312

China - 0.1% AAC Technologies Holdings, Inc.

329,405

See Accompanying Notes to the Financial Statements.

318

COST

$

564 366 423 109 281 411 338 784 745 974 120 776 576 244 285 190 127 565 224 556 233 220 311 359 617 269 231 385 375 471 1,083 442 392 239 663 331 291 1,218 259 567 117 461 505 314 198 226 98,880 569

VALUE

$

749 154 132 82 318 216 372 411 997 637 137 495 435 218 148 179 114 637 212 398 180 211 229 412 780 280 194 312 653 327 859 658 341 236 523 305 301 1,076 393 861 117 884 409 309 94 95 93,582 962

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Denmark - 1.4% ALK-Abello A/S Alm Brand A/S Amagerbanken A/S(1) Auriga Industries, Class B Bang & Olufsen A/S Bavarian Nordic A/S Chr Hansen Holding A/S D/S Norden A/S Dfds A/S East Asiatic Co. Ltd. A/S FLSmidth & Co. A/S Genmab A/S GN Store Nord A/S IC Companys A/S Jyske Bank A/S (Registered) NKT Holding A/S Pandora A/S Rockwool International A/S, Class B Royal UNIBREW A/S Schouw & Co. SimCorp A/S Solar A/S, Class B Sydbank A/S Topdanmark A/S United International Enterprises Vestas Wind Systems A/S

3,205 36,583 189,920 7,415 15,710 11,971 43,687 12,714 1,891 5,895 25,877 17,294 98,216 3,919 33,016 11,489 28,869 4,194 4,688 7,860 2,263 3,002 33,830 5,197 1,288 102,287

Finland - 1.3% Amer Sports OYJ Atria PLC Biotie Therapies OYJ Cargotec OYJ, Class B Citycon OYJ Cramo OYJ F-Secure OYJ HKScan OYJ, Class A Huhtamaki OYJ Kemira OYJ Konecranes OYJ Metsa Board OYJ Oriola-KD OYJ, Class B Outokumpu OYJ Outotec OYJ PKC Group OYJ Ponsse OYJ Poyry OYJ Ramirent OYJ Rautaruukki OYJ Sanoma OYJ Sponda OYJ Stockmann OYJ Abp, Class B

54,836 6,385 149,664 16,981 83,199 11,262 44,433 14,083 41,025 48,231 24,116 87,126 53,472 464,466 22,307 7,495 4,932 17,086 32,297 41,404 41,555 118,052 16,235

See Accompanying Notes to the Financial Statements.

319

COST

$

224 95 204 121 175 203 910 436 126 174 1,630 292 687 106 1,116 535 299 394 208 171 381 165 789 677 170 626 10,914 594 93 119 514 285 183 139 131 485 561 702 215 210 870 877 121 55 228 300 398 346 495 428

VALUE

$

203 71 94 156 104 1,250 313 91 140 1,563 178 1,176 58 887 365 278 369 296 166 370 154 549 884 204 490 10,409 624 39 68 371 253 135 86 61 617 606 628 224 126 407 1,026 115 41 77 249 271 358 475 296

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Finland - 1.3% - (Continued) Talvivaara Mining Co. PLC Technopolis OYJ Tieto OYJ Tikkurila OYJ Uponor OYJ Vacon PLC YIT OYJ France - 3.1% AB Science S.A. ABC Arbitrage Air France-KLM Akka Technologies S.A. Altamir Amboise Alten Ltd. Altran Technologies S.A. ANF Immobilier April Archos Artprice.com Assystem Axway Software S.A. Beneteau S.A. Boiron S.A. Bonduelle S.C.A. Bourbon S.A. Boursorama Bull Carmat Cegid Group CFAO S.A. Cie des Alpes Ciments Francais S.A. Club Mediterranee S.A. Credit Agricole Nord de France Derichebourg S.A. Devoteam S.A. Eiffage S.A. Esso S.A. Francaise Etablissements Maurel et Prom Euler Hermes S.A. Euro Disney S.C.A. (Registered) Eurofins Scientific Faiveley Transport Faurecia FFP Fimalac GameLoft S.A. GFI Informatique S.A. GL Events Groupe Steria S.C.A.

73,415 34,269 29,550 18,465 27,161 5,270 52,713

8,767 15,749 66,781 2,244 14,830 9,681 46,338 4,400 7,171 11,556 2,296 5,638 2,571 15,063 3,328 1,805 19,320 11,253 37,282 592 2,793 17,670 4,403 3,283 10,442 8,428 43,272 4,061 17,564 1,284 40,433 6,553 11,090 3,888 2,960 23,713 2,722 3,103 29,306 21,159 3,732 10,379

See Accompanying Notes to the Financial Statements.

320

COST

$

494 156 507 357 385 230 986

VALUE

$

174 140 494 319 282 245 949

11,464

9,756

130 148 377 64 123 269 226 190 200 96 113 90 51 226 124 170 712 131 151 83 72 566 124 286 190 148 189 100 531 166 598 484 75 248 224 547 143 134 154 99 95 248

104 126 356 66 114 274 217 185 103 49 76 103 42 144 90 154 513 76 108 70 47 837 68 182 171 120 94 45 467 89 623 409 55 507 172 378 88 120 168 70 75 133

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) France - 3.1% - (Continued) Haulotte Group S.A. Havas S.A. Ingenico Interparfums S.A. Ipsen S.A. IPSOS Jacquet Metal Service LISI LVL Medical Groupe S.A. Maisons France Confort Manitou BF S.A. Mauna Kea Technologies Maurel & Prom Nigeria S.A. Medica S.A. Mercialys S.A. Mersen Metropole Television S.A. Naturex Neopost S.A. Nexans S.A. Nexity S.A. NRJ Group Orpea PagesJaunes Groupe Parrot S.A. Pierre & Vacances S.A. Plastic Omnium S.A. Rallye S.A. Rubis S.C.A. Sa des Ciments Vicat Saft Groupe S.A. Sartorius Stedim Biotech SEB S.A. Seche Environnement S.A. Sechilienne-Sidec Sequana S.A. Societe de la Tour Eiffel Societe d’Edition de Canal + Societe Immobiliere de Location pour I’Industrie et le Commerce Societe Internationale de Plantations d’Heveas S.A. Societe Television Francaise 1 SOITEC Sopra Group S.A. Spir Communication ST Dupont S.A. Stallergenes S.A. Technicolor S.A. (Registered) Teleperformance S.A. Tessi S.A. Transgene S.A.

7,000 133,338 17,983 3,384 15,074 18,253 6,242 1,661 1,608 1,625 5,105 2,694 43,790 17,496 15,594 7,416 28,009 1,562 16,800 10,868 14,107 8,448 12,997 57,687 3,638 2,510 12,297 10,298 15,194 7,716 11,793 1,761 10,979 1,567 7,342 9,952 2,862 25,276 5,060 655 58,788 50,346 2,097 1,213 83,971 1,860 114,844 27,081 747 8,196

See Accompanying Notes to the Financial Statements.

321

COST

$

92 563 558 85 452 599 102 111 34 69 90 42 143 313 335 278 420 120 872 763 456 71 506 506 71 175 214 349 739 533 418 94 819 108 222 78 178 176 564 60 433 477 108 31 58 110 439 760 68 145

VALUE

$

47 651 964 71 357 531 58 109 61 44 85 28 99 293 308 188 390 88 960 476 335 51 485 102 111 36 334 301 801 326 268 146 730 54 94 19 154 143 498 51 497 139 99 26 31 102 251 669 66 74

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) France - 3.1% - (Continued) Trigano S.A. UBISOFT Entertainment Valeo S.A. Vilmorin & Cie Virbac S.A. Vranken - Pommery Monopole Germany - 4.5% Aareal Bank A.G. ADVA Optical Networking S.E. Air Berlin PLC Aixtron S.E. N.A. Alstria Office REIT-A.G. Asian Bamboo A.G. (Bearer) Aurelius A.G. Aurubis A.G. Balda A.G. Bauer A.G. BayWa A.G. Bechtle A.G. Bertrandt A.G. Bilfinger Berger S.E. Borussia Dortmund GmbH & Co. KGaA Carl Zeiss Meditec A.G. (Bearer) CENTROTEC Sustainable A.G. Cewe Color Holding A.G. Colonia Real Estate A.G. Comdirect Bank A.G. Constantin Medien A.G. CropEnergies A.G. CTS Eventim A.G. DAB Bank A.G. Delticom A.G. Deutsche Beteiligungs A.G. Deutsche Euroshop A.G. Deutsche Wohnen A.G. (Bearer) Deutz A.G. Dialog Semiconductor PLC DIC Asset A.G. Douglas Holding A.G. Draegerwerk A.G. & Co. KGaA Drillisch A.G. Duerr A.G. Elmos Semiconductor A.G. ElringKlinger A.G. Evotec A.G. Freenet A.G. Fuchs Petrolub A.G. GAGFAH S.A. Gerresheimer A.G. Gerry Weber International A.G.

4,952 42,295 35,386 2,394 2,137 1,187

23,513 19,392 20,045 47,223 28,529 4,745 2,814 17,308 19,673 4,115 6,031 6,787 2,749 21,262 27,068 16,055 4,664 2,302 7,266 15,906 26,292 10,145 11,782 9,296 2,449 5,575 21,969 66,540 44,208 29,612 11,757 10,504 1,578 20,704 5,786 4,285 16,789 43,767 48,231 8,711 44,483 15,780 11,653

See Accompanying Notes to the Financial Statements.

322

COST

$

108 490 1,311 241 268 50

VALUE

$

58 293 1,523 270 376 34

26,570

23,243

500 103 90 1,209 362 169 119 812 115 171 218 222 143 1,463 92 272 84 90 41 152 62 62 315 50 153 128 739 863 249 450 116 464 114 163 221 72 431 135 579 283 371 591 297

391 118 45 624 318 41 114 887 120 96 225 259 196 1,750 82 389 71 83 30 143 47 61 347 37 167 113 809 1,112 165 570 98 439 135 195 387 33 467 140 708 439 458 740 480

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Germany - 4.5% - (Continued) Gesco A.G. GFK S.E. Gildemeister A.G. Grammer A.G. GSW Immobilien A.G. H&R A.G. Hamborner REIT A.G. Hamburger Hafen und Logistik A.G. Heidelberger Druckmaschinen A.G. Homag Group A.G. Indus Holding A.G. IVG Immobilien A.G. Jenoptik A.G. KHD Humboldt Wedag International A.G. Kloeckner & Co. S.E. Kontron A.G. Krones A.G. KSB A.G. KUKA A.G. KWS Saat A.G. Leoni A.G. MLP A.G. Morphosys A.G. MTU Aero Engines Holding A.G. Muehlbauer Holding A.G. & Co. KGaA Nemetschek A.G. Nordex S.E. NORMA Group OHB A.G. Patrizia Immobilien A.G. Pfeiffer Vacuum Technology A.G. Prime Office REIT-A.G. PSI A.G. Gesellschaft Fuer Produkte und Systeme der Informationstechnologie QSC A.G. R Stahl A.G. Rational A.G. Rheinmetall A.G. SAF-Holland S.A. SGL Carbon S.E. Sixt A.G. Sky Deutschland A.G. Software A.G. Solarworld A.G. Stada Arzneimittel A.G. STRATEC Biomedical A.G. Stroer Out-of-Home Media A.G. Suss Microtec A.G. Symrise A.G. TAG Immobilien A.G. Takkt A.G.

1,479 8,363 23,603 5,658 23,993 6,914 21,754 11,981 88,544 3,504 10,890 60,833 20,152 17,847 47,389 24,038 6,245 91 12,603 1,068 16,437 24,193 10,097 24,027 1,630 2,463 24,599 10,922 2,173 14,828 5,028 18,723 5,257 34,691 1,496 1,679 19,301 20,140 17,596 7,661 196,461 32,488 37,811 28,772 3,585 8,168 9,619 54,613 44,960 10,170

See Accompanying Notes to the Financial Statements.

323

COST

$

102 317 383 124 776 160 183 440 309 56 256 338 126 125 1,008 237 328 56 226 193 530 241 241 1,365 98 84 249 212 40 78 457 111 124 92 38 300 1,141 199 719 134 585 1,181 391 878 131 247 127 1,261 365 128

VALUE

$

116 393 358 94 885 104 184 266 114 52 255 142 137 107 413 118 293 47 287 292 613 131 226 1,810 44 84 92 242 37 91 498 81 110 99 46 385 968 115 715 137 602 1,063 55 913 144 77 108 1,719 433 117

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Germany - 4.5% - (Continued) Tipp24 S.E. Tom Tailor Holding A.G. TUI A.G. Verbio A.G. Vossloh A.G. VTG A.G. Wacker Neuson S.E. Wincor Nixdorf A.G. Wirecard A.G. XING A.G. zooplus A.G. Greece - 0.5% Alpha Bank A.E. Bank of Cyprus PLC EFG Eurobank Ergasias S.A. Ellaktor S.A. Eurobank Properties Real Estate Investment Co. Folli Follie Group Frigoglass S.A. Hellenic Exchanges S.A. Holding Clearing Settlement and Registry Hellenic Petroleum S.A. Hellenic Telecommunications Organization S.A. Intralot S.A. - Integrated Lottery Systems & Services JUMBO S.A. Marfin Investment Group S.A. Metka S.A. Motor Oil Hellas Corinth Refineries S.A. Mytilineos Holdings S.A. National Bank of Greece S.A. Piraeus Bank S.A. Public Power Corp. S.A. Terna Energy S.A. Titan Cement Co. S.A. Viohalco Hellenic Copper and Aluminum Industry S.A. Hong Kong - 2.4% Apac Resources Ltd. Bonjour Holdings Ltd. Brightoil Petroleum Holdings Ltd. Cafe de Coral Holdings Ltd. Cecep Costin New Materials Group Ltd. Century City International Holdings Ltd. Champion REIT Chen Hsong Holdings China Daye Non-Ferrous Metals Mining Ltd. China Financial International Investments Ltd. China Resources and Transportation Group Ltd. China WindPower Group Ltd.

2,290 7,662 70,711 8,846 2,780 5,567 11,130 14,927 51,889 1,909 1,259

COST

$

86 135 401 38 302 97 151 907 709 102 85

VALUE

$

98 132 458 28 246 83 166 569 1,029 96 42

33,838

33,488

246,833 677,492 151,887 59,308 7,494 14,864 14,054

233 468 98 317 61 212 121

368 183 126 76 38 94 60

33,646 35,102 127,899 57,509 44,659 335,800 12,059 27,525 38,472 479,259 524,860 53,283 15,011 26,037 40,357

243 283 206 290 370 314 156 303 238 599 948 300 99 505 232 6,596

103 230 318 64 167 75 90 163 100 750 143 141 22 417 109 3,837

1,580,000 607,300 1,090,124 165,637 121,894 778,800 1,119,836 124,000 2,146,627 1,606,282 2,624,533 1,710,000

99 98 356 392 106 50 496 47 139 103 113 160

51 91 214 476 50 51 492 35 97 97 93 50

See Accompanying Notes to the Financial Statements.

324

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Hong Kong - 2.4% - (Continued) Chow Sang Sang Holdings International Ltd. Citic Telecom International Holdings Ltd. City Telecom HK Ltd. CK Life Sciences International Holdings, Inc. CSI Properties Ltd. CST Mining Group Ltd. Dah Sing Banking Group Ltd. Dah Sing Financial Holdings Ltd. Dickson Concepts International Ltd. Emperor International Holdings Ltd. Emperor Watch & Jewellery Ltd. Esprit Holdings Ltd. eSun Holdings Ltd. EVA Precision Industrial Holdings Ltd. Get Nice Holdings Ltd. Giordano International Ltd. Glorious Sun Enterprises Ltd. Goodbaby International Holdings Ltd. Great Eagle Holdings Ltd. G-Resources Group Ltd. Guotai Junan International Holdings Ltd. Haitong International Securities Group Ltd. HKR International Ltd. Honbridge Holdings Ltd. Hongkong Chinese Ltd. Hutchison Telecommunications Hong Kong Holdings Ltd. I.T Ltd. Imagi International Holdings Ltd. IRC Ltd. Johnson Electric Holdings Ltd. K Wah International Holdings Ltd. Kingston Financial Group Ltd. Kosmopolito Hotels International Ltd. Kowloon Development Co. Ltd. Lai Sun Development Lee & Man Chemical Co. Ltd. Luk Fook Holdings International Ltd. Man Wah Holdings Ltd. Melco International Development Ltd. Midland Holdings Ltd. Ming Fung Jewellery Group Ltd. Mongolia Energy Co. Ltd. Neo-Neon Holdings Ltd. Newocean Energy Holdings Ltd. Newton Resources Ltd. Oriental Press Group Oriental Watch Holdings Pacific Andes International Holdings Ltd. Pacific Basin Shipping Ltd. Pacific Textile Holdings Ltd. Paliburg Holdings Ltd.

149,965 489,000 196,337 1,486,000 1,920,697 8,144,771 170,110 62,591 116,500 566,000 1,813,044 643,788 418,000 584,897 1,733,336 617,838 245,766 177,238 139,584 7,862,743 211,962 111,528 310,400 940,575 460,524 714,370 213,386 2,548,125 515,622 728,842 529,256 2,237,551 309,561 154,000 4,653,000 106,000 158,670 164,026 393,116 310,381 1,292,495 1,778,376 238,500 343,731 368,474 348,000 204,382 992,152 807,415 217,000 196,000

See Accompanying Notes to the Financial Statements.

325

COST

$

295 122 110 86 78 189 211 300 73 102 209 925 87 227 115 318 96 80 356 500 115 51 128 177 77 183 182 71 127 367 185 241 68 169 91 80 345 239 264 233 138 314 105 79 49 46 109 103 488 117 58

VALUE

$

306 94 44 83 88 122 157 201 63 116 164 783 54 45 72 432 76 43 354 456 62 34 115 72 71 347 90 33 45 428 194 225 61 150 84 51 385 61 298 167 60 70 25 72 19 36 62 54 359 152 60

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Hong Kong - 2.4% - (Continued) Pearl Oriental Oil Ltd. Pico Far East Holdings Ltd. Polytec Asset Holdings Ltd. Prosperity International Holdings HK Ltd. Prosperity REIT Regal Hotels International Holdings Ltd. Regal Real Estate Investment Trust Richfield Group Holdings Ltd. Ruifeng Petroleum Chemical Holdings Ltd. SA SA International Holdings Ltd. Samson Holding Ltd. Sateri Holdings Ltd. Shenyin Wanguo HK Ltd. Shun Tak Holdings Ltd. Silver base Group Holdings Ltd. Singamas Container Holdings Ltd. Sinopoly Battery Ltd. Sino-Tech International Holdings Ltd.(1) SITC International Holdings Co. Ltd. Sitoy Group Holdings Ltd. SmarTone Telecommunications Holding Ltd. SOCAM Development Ltd. Soundwill Holdings Ltd. Stella International Holdings Ltd. Sun Innovation Holdings Ltd. SUNeVision Holdings Ltd. Sunlight Real Estate Investment Trust Techtronic Industries Co. Television Broadcasts Ltd. Texwinca Holdings Ltd. Titan Petrochemicals Group Ltd. Trinity Ltd. Truly International Holdings United Laboratories International Holdings (The) Ltd. Value Partners Group Ltd. Victory City International Holdings Ltd. Vitasoy International Holdings Ltd. VST Holdings Ltd. VTech Holdings Ltd. Xinyi Glass Holdings Ltd. YGM Trading Ltd. Ireland - 1.3% Aer Lingus Group PLC Beazley PLC C&C Group PLC Circle Oil PLC DCC PLC FBD Holdings PLC Glanbia PLC

786,674 408,000 570,000 1,304,063 560,000 226,000 496,000 714,240 1,158,899 486,867 472,145 350,962 125,000 737,764 181,990 663,975 2,377,403 3,962,546 628,764 129,000

COST

$

105 70 93 88 107 82 119 95 124 201 94 206 59 366 154 152 244 142 244 55

VALUE

$

62 89 52 56 142 88 120 29 11 297 56 78 33 257 74 139 86 147 57

170,246 117,347 42,813 240,112 1,782,368 437,000 561,148 587,243 152,765 300,558 1,587,303 458,631 568,268 266,500 322,550 450,872 351,867 284,776 79,095 811,233 37,889

153 146 73 531 56 61 154 558 838 309 124 353 94 203 215 76 246 88 787 430 80 20,012

360 114 63 600 24 85 207 795 1,095 284 50 300 84 127 149 44 313 44 931 410 86 17,530

77,333 250,553 165,146 226,973 40,731 11,179 64,504

82 473 684 119 1,033 112 302

103 623 726 65 1,013 109 485

See Accompanying Notes to the Financial Statements.

326

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Ireland - 1.3% - (Continued) Governor & Co. of the Bank of Ireland Grafton Group PLC Greencore Group PLC Independent News & Media PLC Irish Continental Group PLC Kentz Corp. Ltd. Kingspan Group PLC Paddy Power PLC San Leon Energy PLC Smurfit Kappa Group PLC Total Produce PLC UBM PLC United Drug PLC Israel - 0.9% Africa Israel Investments Ltd. Africa Israel Properties Ltd. Airport City Ltd. Alon Holdings Blue Square Israel Ltd. Alony Hetz Properties & Investments Ltd. AL-ROV Israel Ltd. Alrov Properties and Lodgings Ltd. Amot Investments Ltd. Avgol Industries 1953 Ltd. B Communications Ltd. Babylon Ltd. Bayside Land Corp. Cellcom Israel Ltd. Ceragon Networks Ltd. Clal Biotechnology Industries Ltd. Clal Industries and Investments Ltd. Clal Insurance Enterprises Holdings Ltd. Delek Automotive Systems Ltd. Discount Investment Corp. Electra Ltd. FIBI Holdings Ltd. First International Bank Of Israel Ltd. Frutarom Industries Ltd. Gazit-Globe Ltd. Gilat Satellite Networks Ltd. Given Imaging Ltd. Hadera Paper Ltd. Harel Insurance Investments & Financial Services Ltd. Hot Telecommunication System Ltd. Industrial Buildings Corp. Israel Discount Bank Ltd., Class A Israel Land Development (The) Co. Ltd. Ituran Location and Control Ltd. Jerusalem Economy Ltd. Jerusalem Oil Exploration Koor Industries Ltd.

11,981,423 101,387 152,482 182,716 10,119 39,681 63,704 21,342 354,593 74,236 153,258 119,214 117,563

37,908 4,968 16,914 7,322 33,151 2,071 2,135 29,201 55,007 3,783 14,368 308 28,608 13,702 15,757 26,548 9,737 18,761 13,167 828 3,217 10,214 17,416 34,219 13,741 8,382 1,001 5,290 6,203 46,407 400,753 4,368 7,514 12,608 5,033 6,123

See Accompanying Notes to the Financial Statements.

327

COST

$

1,710 430 172 161 206 277 535 837 149 670 76 962 363

VALUE

$

1,490 353 180 46 186 241 510 1,440 54 553 75 1,196 304

9,353

9,752

185 57 71 81 150 54 48 73 43 94 119 68 202 121 88 179 201 187 199 86 65 137 152 360 70 146 72 259 77 99 439 44 105 104 84 98

96 32 65 15 132 34 28 60 40 9 148 48 160 113 38 74 83 101 15 60 35 99 155 319 36 120 34 128 49 54 374 26 84 50 85 41

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Israel - 0.9% - (Continued) Matrix IT Ltd. Melisron Ltd. Mellanox Technologies Ltd. Menorah Mivtachim Holdings Ltd. Migdal Insurance & Financial Holding Ltd. Naphtha Israel Petroleum Corp. Ltd. Nitsba Holdings 1995 Ltd. Norstar Holdings, Inc. Oil Refineries Ltd. Ormat Industries Ltd. Osem Investments Ltd. Partner Communications Co. Ltd. Paz Oil Co. Ltd. Phoenix Holdings (The) Ltd. Plasson Industries Ltd. Property & Building Corp. Rami Levi Chain Stores Hashikma Marketing 2006 Ltd. Retalix Ltd. Shikun & Binui Ltd. Shufersal Ltd. Strauss Group Ltd. Tower Semiconductor Ltd. Union Bank of Israel Italy - 2.1% A2A S.p.A. ACEA S.p.A. Alerion Cleanpower S.p.A. Amplifon S.p.A. Ansaldo STS S.p.A. Arnoldo Mondadori Editore S.p.A. Ascopiave S.p.A. Astaldi S.p.A. Autostrada Torino-Milano S.p.A. Azimut Holding S.p.A. Banca Carige S.p.A. Banca Generali S.p.A. Banca IFIS S.p.A. Banca Piccolo Credito Valtellinese Scarl Banca Popolare dell’Emilia Romagna Scarl Banca Popolare di Milano Scarl Banca Popolare di Sondrio Scarl Banca Profilo S.p.A. BasicNet S.p.A. Beni Stabili S.p.A. Brembo S.p.A. Buzzi Unicem S.p.A. Buzzi Unicem S.p.A. (RSP) Cairo Communication S.p.A. Cam Finanziaria S.p.A. Cementir Holding S.p.A.

16,889 6,782 16,081 13,048 131,342 16,480 13,442 3,073 422,357 29,860 15,108 45,025 2,254 28,849 1,562 705 2,436 7,921 89,938 38,578 15,920 130,539 12,691

634,710 29,193 10,241 38,579 46,971 57,355 23,397 22,308 15,514 55,538 496,422 23,187 5,632 124,447 166,648 1,521,338 150,264 97,119 15,154 515,788 13,280 36,633 21,121 11,968 110,685 24,917

See Accompanying Notes to the Financial Statements.

328

COST

$

89 121 419 143 224 48 114 57 222 200 221 203 331 71 32 41 60 112 187 195 224 142 52

VALUE

$

66 103 1,731 70 121 51 89 49 194 130 188 147 235 43 34 20 62 166 118 84 142 85 33

8,125

7,001

393 304 68 190 493 192 51 166 185 542 402 269 40 651 1,590 820 1,218 80 57 368 112 469 160 39 57 84

266 156 43 144 361 65 25 130 101 532 380 264 32 163 727 699 830 29 37 236 137 369 102 39 39 41

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Italy - 2.1% - (Continued) CIR-Compagnie Industriali Riunite S.p.A. Cofide S.p.A. Credito Emiliano S.p.A. Danieli & C Officine Meccaniche S.p.A. Danieli & C Officine Meccaniche S.p.A. (RSP) Davide Campari-Milano S.p.A. DeA Capital S.p.A. De’Longhi S.p.A. DiaSorin S.p.A. Ei Towers S.p.A. Engineering Ingegneria Informatica S.p.A. ERG S.p.A. Esprinet S.p.A. Falck Renewables S.p.A. Fondiaria-Sai S.p.A. Fondiaria-Sai S.p.A. (RSP) Gemina S.p.A. Geox S.p.A. Gruppo Editoriale L’Espresso S.p.A. Hera S.p.A. Immobiliare Grande Distribuzione IMMSI S.p.A. Impregilo S.p.A. Indesit Co. S.p.A. Industria Macchine Automatiche S.p.A. Interpump Group S.p.A. Iren S.p.A. Italcementi S.p.A. Italcementi S.p.A. (RSP) Italmobiliare S.p.A. Italmobiliare S.p.A. (RSP) Juventus Football Club S.p.A. KME Group S.p.A. Landi Renzo S.p.A. Lottomatica Group S.p.A. Maire Tecnimont S.p.A. Marcolin S.p.A. Mariella Burani S.p.A.(1) MARR S.p.A. Mediolanum S.p.A. Milano Assicurazioni S.p.A. Piaggio & C. S.p.A. Poltrona Frau S.p.A. Prelios S.p.A. RCS MediaGroup S.p.A. Recordati S.p.A. Reply S.p.A. Sabaf S.p.A. Safilo Group S.p.A. Salvatore Ferragamo Italia S.p.A. Saras S.p.A.

182,132 167,955 37,846 6,417 17,644 141,574 47,714 17,076 12,368 3,782 2,250 23,704 13,675 55,328 205,942 663 226,795 40,206 63,923 180,253 65,077 87,965 136,928 20,566 3,758 29,140 187,373 32,533 46,284 3,435 8,401 193,358 126,483 24,009 25,318 57,884 9,696 2,015 13,432 106,834 379,888 87,939 27,233 326,808 75,527 46,637 1,872 2,500 16,097 20,730 181,451

See Accompanying Notes to the Financial Statements.

329

COST

$

352 138 217 144 219 806 91 94 439 83 67 316 105 60 876 2 182 232 146 366 114 93 427 173 69 172 300 255 201 122 187 76 53 100 395 205 74 8 129 442 241 250 29 172 114 375 44 62 159 308 304

VALUE

$

184 82 129 136 193 978 75 189 340 88 72 167 53 60 254 31 175 93 50 221 62 48 517 74 61 202 66 134 101 46 64 45 47 37 498 41 54 122 356 126 211 29 40 45 315 40 29 104 404 200

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES

COST

VALUE

COMMON STOCKS - 97.4%- (CONTINUED) Italy - 2.1% - (Continued) Snai S.p.A. Societa Cattolica di Assicurazioni Scarl Societa Iniziative Autostradali e Servizi S.p.A. Societa per la Bonifica dei Terreni Ferraresi e Imprese Agricole S.p.A. Sogefi S.p.A. Sorin S.p.A. Telecom Italia Media S.p.A. Tod’s S.p.A. Trevi Finanziaria Industriale S.p.A. Unipol Gruppo Finanziario S.p.A. Vittoria Assicurazioni S.p.A. Yoox S.p.A. Zignago Vetro S.p.A.

1,275 24,405 120,908 205,919 6,157 16,498 111,090 12,282 21,736 15,918

64 65 226 86 537 207 447 67 235 85 22,461

56 58 254 37 568 89 276 64 290 91 15,871

Japan - 24.5% 77 Bank (The) Ltd. Access Co. Ltd. Accordia Golf Co. Ltd. Achilles Corp. ADEKA Corp. Aderans Co. Ltd. Advance Residence Investment Corp. Aeon Delight Co. Ltd. Ai Holdings Corp. Aica Kogyo Co. Ltd. Aichi Bank (The) Ltd. Aichi Corp. Aichi Steel Corp. Aida Engineering Ltd. Aiful Corp. Ain Pharmaciez, Inc. Aiphone Co. Ltd. Airport Facilities Co. Ltd. Aisan Industry Co. Ltd. Akebono Brake Industry Co. Ltd. Alpen Co. Ltd. Alpha Systems, Inc. Alpine Electronics, Inc. Alps Electric Co. Ltd. Amano Corp. Anritsu Corp. AOC Holdings, Inc. AOKI Holdings, Inc. Aomori Bank (The) Ltd. Aoyama Trading Co. Ltd. Arc Land Sakamoto Co. Ltd. Arcs Co. Ltd. Ariake Japan Co. Ltd. Arnest One Corp. Asahi Co. Ltd.

163,655 121 494 75,000 40,800 10,400 531 9,700 23,000 25,000 3,500 14,500 46,000 26,400 68,150 4,392 6,800 11,200 12,800 33,600 8,100 3,480 19,300 82,100 26,100 58,000 17,700 7,400 88,000 26,200 6,400 13,300 8,100 19,712 6,700

645 203 422 112 403 122 850 176 136 289 248 65 222 115 130 159 122 51 107 180 141 59 224 639 231 451 117 100 264 444 96 211 136 214 121

620 86 325 102 346 126 1,040 225 128 389 175 66 176 159 117 276 132 52 105 148 153 45 205 496 211 724 58 165 267 513 97 293 175 271 111

20,983 20,956 26,043

See Accompanying Notes to the Financial Statements.

330

$

86 543 225

$

22 255 176

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) Asahi Diamond Industrial Co. Ltd. Asahi Holdings, Inc. Asahi Intecc Co. Ltd. Asahi Organic Chemicals Industry Co. Ltd. Asatsu-DK, Inc. ASKA Pharmaceutical Co. Ltd. ASKUL Corp. Atom Corp. Atsugi Co. Ltd. Autobacs Seven Co. Ltd. Avex Group Holdings, Inc. Awa Bank (The) Ltd. Axell Corp. Azbil Corp. Bando Chemical Industries Ltd. Bank of Iwate (The) Ltd. Bank of Nagoya (The) Ltd. Bank of Okinawa (The) Ltd. Bank of Saga (The) Ltd. Bank of the Ryukyus Ltd. Belluna Co. Ltd. Best Denki Co. Ltd. Bic Camera, Inc. Bit-isle, Inc. BML, Inc. Bunka Shutter Co. Ltd. C. Uyemura & Co. Ltd. Calbee, Inc. Calsonic Kansei Corp. Canon Electronics, Inc. Canon Marketing Japan, Inc. Capcom Co. Ltd. Cawachi Ltd. Central Glass Co. Ltd. Century Tokyo Leasing Corp. Chiba Kogyo Bank (The) Ltd. Chiyoda Co. Ltd. Chiyoda Integre Co. Ltd. Chofu Seisakusho Co. Ltd. Chori Co. Ltd. Chudenko Corp. Chuetsu Pulp & Paper Co. Ltd. Chugai Ro Co. Ltd. Chugoku Marine Paints Ltd. CKD Corp. Clarion Co. Ltd. Cleanup Corp. CMIC Holdings Co. Ltd. CMK Corp. Coca-Cola Central Japan Co. Ltd. Cocokara fine, Inc.

24,500 12,700 4,500 33,000 14,400 8,000 9,600 21,808 73,000 11,600 14,500 96,000 3,700 32,200 41,000 7,100 71,000 9,000 57,000 17,300 11,700 21,000 453 6,900 4,500 24,000 3,000 8,300 73,000 9,700 28,278 23,000 6,800 85,000 23,500 18,300 11,700 6,100 8,200 63,000 13,400 39,000 34,000 28,000 23,500 58,000 9,700 4,000 19,600 11,300 7,000

See Accompanying Notes to the Financial Statements.

331

COST

$

327 246 114 86 353 61 168 63 94 441 162 592 116 725 146 371 265 347 165 206 70 73 211 73 106 78 123 405 272 222 311 444 139 365 341 123 169 78 190 81 173 79 107 205 172 95 62 53 120 149 162

VALUE

$

285 220 123 82 415 44 120 101 87 573 221 592 80 657 146 300 216 383 135 213 94 41 242 57 121 108 112 580 360 203 383 471 138 317 411 100 283 72 182 80 127 70 98 138 149 109 61 62 70 146 239

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) Colowide Co. Ltd. COMSYS Holdings Corp. COOKPAD, Inc. Corona Corp. Cosel Co. Ltd. Cosmos Pharmaceutical Corp. CREATE SD HOLDINGS Co. Ltd. CyberAgent, Inc. Dai Nippon Toryo Co. Ltd. Daibiru Corp. Daido Metal Co. Ltd. Daidoh Ltd. Daiei (The), Inc. Daifuku Co. Ltd. Daihen Corp. Daiichi Chuo K.K. Daiichi Jitsugyo Co. Ltd. Dai-ichi Seiko Co. Ltd. Daiichikosho Co. Ltd. Daiken Corp. Daikokutenbussan Co. Ltd. Daikyo, Inc. Dainichiseika Color & Chemicals Manufacturing Co. Ltd. Dainippon Screen Manufacturing Co. Ltd. Daio Paper Corp. Daiseki Co. Ltd. Daishi Bank (The) Ltd. Daiso Co. Ltd. Daisyo Corp. Daiwa Industries Ltd. Daiwa Office Investment Corp. Daiwabo Holdings Co. Ltd. Daiwahouse Residential Investment Corp. DCM Holdings Co. Ltd. Denki Kogyo Co. Ltd. Denyo Co. Ltd. Descente Ltd. DIC Corp. Digital Garage, Inc. Disco Corp. Don Quijote Co. Ltd. Doshisha Co. Ltd. Doutor Nichires Holdings Co. Ltd. Dowa Holdings Co. Ltd. Dr Ci:Labo Co. Ltd. DTS Corp. Dunlop Sports Co. Ltd. Duskin Co. Ltd. Dwango Co. Ltd. Dydo Drinco, Inc. eAccess Ltd.

23,500 55,400 3,200 6,000 10,800 4,100 5,700 263 57,000 23,400 12,094 11,600 46,700 39,000 42,000 61,000 19,000 3,900 20,400 34,000 2,600 143,000 31,000 99,000 42,000 16,700 160,000 32,000 3,200 15,000 111 82,000 67 38,000 31,000 7,226 22,000 351,000 69 12,800 26,900 5,200 13,900 111,317 67 10,400 6,000 23,100 52 4,600 876

See Accompanying Notes to the Financial Statements.

332

COST

$

142 558 72 78 150 137 134 535 63 183 124 98 185 251 166 153 76 149 305 94 84 268 124 568 337 340 562 100 42 77 300 204 418 243 143 90 115 628 178 735 811 120 184 668 224 118 61 423 96 164 382

VALUE

$

191 695 85 77 143 334 158 521 59 165 114 79 108 234 131 62 91 67 419 89 73 363 126 672 255 281 471 94 43 72 302 148 470 265 146 84 138 611 116 681 902 151 174 691 227 135 72 458 79 215 162

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) Eagle Industry Co. Ltd. Earth Chemical Co. Ltd. Ebara Corp. EDION Corp. Eighteenth Bank (The) Ltd. Eizo Nanao Corp. Enplas Corp. EPS Corp. Exedy Corp. Ezaki Glico Co. Ltd. Fancl Corp. FCC Co. Ltd. FDK Corp. Ferrotec Corp. Fields Corp. Foster Electric Co. Ltd. FP Corp. France Bed Holdings Co. Ltd. Frontier Real Estate Investment Corp. Fudo Tetra Corp. Fuji Co. Ltd. Fuji Kyuko Co. Ltd. Fuji Machine Manufacturing Co. Ltd. Fuji Oil Co. Ltd. Fuji Seal International, Inc. Fuji Soft, Inc. Fujicco Co. Ltd. Fujikura Ltd. Fujimi, Inc. Fujita Kanko, Inc. Fujitec Co. Ltd. Fujitsu General Ltd. Fujiya Co. Ltd. Fukuoka REIT Co. Fukuyama Transporting Co. Ltd. Funai Electric Co. Ltd. Furukawa Co. Ltd. Furukawa-Sky Aluminum Corp. Furuno Electric Co. Ltd. Furuya Metal Co. Ltd. Fuso Pharmaceutical Industries Ltd. Futaba Corp. Futaba Industrial Co. Ltd. Future Architect, Inc. Fuyo General Lease Co. Ltd. Gakken Holdings Co. Ltd. GCA Savvian Group Corp. Geo Holdings Corp. Global One Real Estate Investment Corp. Glory Ltd. GMO internet, Inc.

11,000 6,500 191,000 31,500 71,000 6,500 5,700 60 14,200 32,000 17,900 15,700 36,000 14,700 71 8,100 5,700 62,000 105 70,148 9,000 28,000 17,000 28,000 10,000 8,800 9,000 165,000 8,700 25,000 30,000 27,000 53,000 52 68,000 8,200 144,000 41,000 10,600 1,300 32,000 17,100 25,100 84 8,400 22,000 63 144 43 29,600 27,100

See Accompanying Notes to the Financial Statements.

333

COST

$

85 211 806 258 204 141 108 136 378 362 253 301 53 215 105 161 311 97 818 133 184 150 281 396 201 149 108 734 124 97 159 138 102 323 348 288 160 101 55 75 97 293 150 33 225 52 73 159 322 652 115

VALUE

$

87 238 726 153 180 127 168 164 286 371 219 244 38 75 116 125 398 133 859 98 204 179 279 355 189 137 111 501 123 82 182 229 133 368 382 106 120 111 42 45 98 256 118 32 275 46 58 161 271 616 137

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) GMO Payment Gateway, Inc. Godo Steel Ltd. Goldcrest Co. Ltd. Goldwin, Inc. GROWELL HOLDINGS Co. Ltd. Gulliver International Co. Ltd. Gun-Ei Chemical Industry Co. Ltd. Gunze Ltd. Gurunavi, Inc. H2O Retailing Corp. HAJIME CONSTRUCTION Co. Ltd. Hakuto Co. Ltd. Hankyu Reit, Inc. Hanwa Co. Ltd. Harmonic Drive Systems, Inc. Haseko Corp. Heiwa Corp. Heiwa Real Estate Co. Ltd. Heiwa Real Estate REIT, Inc. Heiwado Co. Ltd. Hibiya Engineering Ltd. Higashi-Nippon Bank (The) Ltd. Higo Bank (The) Ltd. Hikari Tsushin, Inc. Hioki EE Corp. HIS Co. Ltd. Hisaka Works Ltd. Hitachi Cable Ltd. Hitachi Capital Corp. Hitachi Koki Co. Ltd. Hitachi Kokusai Electric, Inc. Hitachi Medical Corp. Hitachi Transport System Ltd. Hitachi Zosen Corp. Hogy Medical Co. Ltd. Hokkoku Bank (The) Ltd. Hokuetsu Bank (The) Ltd. Hokuetsu Kishu Paper Co. Ltd. Hokuto Corp. Honeys Co. Ltd. Horiba Ltd. Hoshizaki Electric Co. Ltd. Hosiden Corp. Hosokawa Micron Corp. House Foods Corp. Hyakugo Bank (The) Ltd. Hyakujushi Bank (The) Ltd. IBJ Leasing Co. Ltd. Ichibanya Co. Ltd. Ichiyoshi Securities Co. Ltd. Icom, Inc.

4,000 53,000 6,980 17,000 3,750 3,020 25,000 78,000 6,700 56,000 6,369 6,700 38 89,000 4,900 689,000 19,600 77,500 245 14,600 10,500 56,000 80,000 9,487 3,800 9,500 10,000 84,000 24,600 22,300 24,000 7,000 22,200 365,500 5,300 146,000 93,000 56,500 9,800 7,880 17,400 17,700 26,600 14,000 31,400 113,000 112,000 7,500 3,300 17,100 4,500

See Accompanying Notes to the Financial Statements.

334

COST

$

90 126 158 110 77 138 65 291 104 396 176 63 173 362 80 562 266 198 144 186 106 117 461 185 75 213 114 225 330 205 193 73 324 505 252 550 180 315 209 95 484 325 274 56 500 504 468 151 86 120 108

VALUE

$

78 103 109 89 137 93 66 207 78 579 188 68 173 320 111 476 356 183 147 212 118 123 424 455 63 329 82 145 450 167 159 92 411 449 258 533 179 262 192 146 619 458 157 71 525 476 414 191 97 85 100

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) Idec Corp. Iida Home Max Iino Kaiun Kaisha Ltd. Inaba Denki Sangyo Co. Ltd. Inabata & Co. Ltd. Industrial & Infrastructure Fund Investment Corp. Ines Corp. Information Services International-Dentsu Ltd. Internet Initiative Japan, Inc. Iseki & Co. Ltd. Ishihara Sangyo Kaisha Ltd. IT Holdings Corp. Ito En Ltd. Itochu Enex Co. Ltd. Itochu-Shokuhin Co. Ltd. Itoham Foods, Inc. Iwatani Corp. Izumi Co. Ltd. Izumiya Co. Ltd. J Trust Co. Ltd. Jaccs Co. Ltd. Jafco Co. Ltd. Japan Airport Terminal Co. Ltd. Japan Aviation Electronics Industry Ltd. Japan Cash Machine Co. Ltd. Japan Digital Laboratory Co. Ltd. Japan Drilling Co. Ltd. Japan Excellent, Inc. Japan Hotel REIT Investment Corp. Japan Logistics Fund, Inc. Japan Pulp & Paper Co. Ltd. Japan Radio Co. Ltd. Japan Rental Housing Investments, Inc. Japan Securities Finance Co. Ltd. Japan Vilene Co. Ltd. Japan Wool Textile (The) Co. Ltd. JCR Pharmaceuticals Co. Ltd. Jeol Ltd. JFE Shoji Trade Corp. Jin Co. Ltd. J-Oil Mills, Inc. Joshin Denki Co. Ltd. JSP Corp. Juki Corp. Juroku Bank (The) Ltd. JVC Kenwood Corp. kabu.com Securities Co. Ltd. Kadokawa Group Holdings, Inc. Kaga Electronics Co. Ltd. Kagome Co. Ltd. Kagoshima Bank (The) Ltd.

13,600 9,100 35,000 8,100 21,400 58 14,700 6,700 53 78,000 133,000 38,700 26,330 22,800 2,300 63,000 81,000 23,400 31,000 6,600 56,000 15,450 17,600 23,000 6,800 9,600 2,305 83 737 71 38,000 21,000 410 38,800 13,000 29,000 6,715 33,000 49,000 4,000 43,000 18,000 8,065 63,000 156,000 64,010 31,500 8,300 10,200 37,500 69,000

See Accompanying Notes to the Financial Statements.

335

COST

$

127 74 178 205 110 288 109 42 160 230 134 490 450 127 79 235 246 332 151 67 134 364 243 155 59 111 82 405 191 572 133 50 158 257 63 221 95 117 200 65 135 168 101 123 529 308 150 222 112 694 473

VALUE

$

122 83 146 234 133 381 89 56 229 205 107 403 502 125 85 264 308 474 155 67 182 277 202 190 51 106 70 410 198 628 127 45 205 188 55 196 72 74 176 85 124 206 121 94 513 198 96 235 106 835 417

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) Kakaku.com, Inc. Kaken Pharmaceutical Co. Ltd. Kamei Corp. Kanamoto Co. Ltd. Kandenko Co. Ltd. Kanematsu Corp. Kansai Urban Banking Corp. Kanto Denka Kogyo Co. Ltd. Kanto Natural Gas Development Ltd. Kappa Create Co. Ltd. Kasumi Co. Ltd. Katakura Industries Co. Ltd. Kato Sangyo Co. Ltd. Keihin Corp. Keiyo Bank (The) Ltd. Keiyo Co. Ltd. Kenedix Realty Investment Corp. Kenedix, Inc. Kewpie Corp. KEY Coffee, Inc. Kinki Sharyo Co. Ltd. Kintetsu World Express, Inc. Kinugawa Rubber Industrial Co. Ltd. Kisoji Co. Ltd. Kissei Pharmaceutical Co. Ltd. Kitz Corp. Kiyo Holdings, Inc. Koa Corp. Koatsu Gas Kogyo Co. Ltd. Kobayashi Pharmaceutical Co. Ltd. Kohnan Shoji Co. Ltd. Kojima Co. Ltd. Kokuyo Co. Ltd. Komeri Co. Ltd. Komori Corp. Konaka Co. Ltd. Kose Corp. Krosaki Harima Corp. K’s Holdings Corp. Kumiai Chemical Industry Co. Ltd. Kura Corp. Kurabo Industries Ltd. Kureha Corp. Kuroda Electric Co. Ltd. KYB Co. Ltd. Kyodo Printing Co. Ltd. Kyoei Steel Ltd. Kyokuto Kaihatsu Kogyo Co. Ltd. KYORIN Holdings, Inc. Kyoritsu Maintenance Co. Ltd. Kyosan Electric Manufacturing Co. Ltd.

16,900 37,000 12,000 13,000 42,000 172,000 116,000 21,054 11,000 6,500 16,600 10,800 9,800 19,900 114,000 15,300 140 1,032 48,500 7,400 18,000 6,600 22,000 10,600 13,300 40,800 326,000 15,200 13,000 12,300 12,400 10,100 35,500 14,600 28,800 8,600 14,100 21,000 21,800 20,000 5,400 83,000 59,000 13,200 66,000 37,000 8,000 15,000 22,000 4,800 22,613

See Accompanying Notes to the Financial Statements.

336

COST

$

430 391 120 129 258 160 183 129 64 139 92 105 175 352 580 84 468 229 593 133 107 177 189 214 286 188 446 151 76 547 155 57 289 383 293 125 330 63 615 72 83 155 305 161 298 97 157 134 361 76 105

VALUE

$

541 526 113 148 200 205 149 65 57 143 118 90 186 269 514 95 451 138 720 139 66 206 141 216 234 164 459 136 82 643 149 33 265 366 174 99 332 45 715 97 75 142 242 155 285 97 157 135 481 104 93

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) Kyowa Exeo Corp. Kyudenko Corp. Leopalace21 Corp. Lintec Corp. Lion Corp. M3, Inc. Macnica, Inc. Macromill, Inc. Maeda Corp. Maeda Road Construction Co. Ltd. Makino Milling Machine Co. Ltd. Mandom Corp. Mani, Inc. Mars Engineering Corp. Marudai Food Co. Ltd. Maruetsu (The), Inc. Maruha Nichiro Holdings, Inc. Marusan Securities Co. Ltd. Maruwa Co. Ltd. Maruzen Showa Unyu Co. Ltd. Matsuda Sangyo Co. Ltd. Matsui Securities Co. Ltd. Matsumotokiyoshi Holdings Co. Ltd. Matsuya Co. Ltd. Matsuya Foods Co. Ltd. Max Co. Ltd. Megachips Corp. Megane TOP Co. Ltd. Megmilk Snow Brand Co. Ltd. Meidensha Corp. Meiko Electronics Co. Ltd. Meitec Corp. Meito Sangyo Co. Ltd. Meiwa Corp. Melco Holdings, Inc. Message Co. Ltd. MID Reit, Inc. Mie Bank (The) Ltd. Mikuni Coca-Cola Bottling Co. Ltd. Milbon Co. Ltd. Mimasu Semiconductor Industry Co. Ltd. Minato Bank (The) Ltd. Minebea Co. Ltd. Ministop Co. Ltd. Mirait Holdings Corp. Misawa Homes Co. Ltd. MISUMI Group, Inc. Mitsuba Corp. Mitsubishi Paper Mills Ltd. Mitsubishi Pencil Co. Ltd. Mitsubishi Research Institute, Inc.

40,600 19,000 67,300 22,400 102,000 103 4,600 9,400 55,000 30,000 47,000 9,700 3,000 4,100 42,000 16,000 201,000 25,900 4,090 26,000 6,700 50,218 15,000 15,100 3,900 15,000 9,200 14,000 22,600 85,000 5,500 14,700 3,800 10,500 5,700 59 94 36,000 12,400 4,910 8,200 83,000 166,000 6,700 29,290 13,400 39,700 18,000 117,000 8,800 2,949

See Accompanying Notes to the Financial Statements.

337

COST

$

380 118 194 450 533 285 94 81 174 286 291 253 102 90 131 69 324 146 175 86 111 231 324 120 60 172 160 131 407 368 106 278 53 105 143 148 229 103 105 126 96 127 723 108 226 185 793 113 140 131 66

VALUE

$

420 109 228 410 567 538 98 104 265 402 243 249 101 94 159 59 301 86 117 85 98 298 340 134 74 169 169 162 384 315 47 317 51 62 117 206 232 80 107 155 64 151 587 118 213 198 969 118 99 151 66

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) Mitsubishi Shokuhin Co. Ltd. Mitsubishi Steel Manufacturing Co. Ltd. Mitsuboshi Belting Co. Ltd. Mitsui Engineering & Shipbuilding Co. Ltd. Mitsui High-Tec, Inc. Mitsui Home Co. Ltd. Mitsui Matsushima Co. Ltd. Mitsui Mining & Smelting Co. Ltd. Mitsui Sugar Co. Ltd. Mitsui-Soko Co. Ltd. Mitsumi Electric Co. Ltd. Mitsuuroko Holdings Co. Ltd. Miura Co. Ltd. Mixi, Inc. Miyazaki Bank (The) Ltd. Mizuno Corp. Mochida Pharmaceutical Co. Ltd. Modec, Inc. Monex Group, Inc. MonotaRO Co. Ltd. Mori Hills REIT Investment Corp. Mori Seiki Co. Ltd. Mori Trust Sogo Reit, Inc. Morinaga & Co. Ltd. Morinaga Milk Industry Co. Ltd. MOS Food Services, Inc. Moshi Moshi Hotline, Inc. MTI Ltd. Musashi Seimitsu Industry Co. Ltd. Musashino Bank (The) Ltd. Nachi-Fujikoshi Corp. Nafco Co. Ltd. Nagaileben Co. Ltd. Nagase & Co. Ltd. Namura Shipbuilding Co. Ltd. Nanto Bank (The) Ltd. NEC Capital Solutions Ltd. NEC Fielding Ltd. NEC Mobiling Ltd. NEC Networks & System Integration Corp. NET One Systems Co. Ltd. Neturen Co. Ltd. Nice Holdings, Inc. Nichias Corp. Nichicon Corp. Nichiden Corp. Nichiha Corp. Nichii Gakkan Co. Nichi-iko Pharmaceutical Co. Ltd. Nichirei Corp. Nidec Copal Corp.

5,900 63,000 26,000 338,000 12,100 13,000 60,006 272,748 37,000 42,000 41,001 11,600 13,400 36 68,000 43,000 28,000 8,500 787 7,300 86 45,900 81 79,000 94,000 11,700 18,900 40 9,400 14,300 78,000 5,400 9,900 53,200 16,200 109,000 4,408 8,300 3,700 11,400 40,200 13,700 33,000 43,000 25,100 3,200 10,500 20,200 13,200 129,000 6,400

See Accompanying Notes to the Financial Statements.

338

COST

$

146 162 125 512 117 72 130 842 139 155 408 75 346 178 208 204 286 154 229 147 254 474 670 180 384 207 185 70 201 448 261 98 122 602 87 584 58 108 111 155 348 110 69 188 318 98 94 191 395 547 86

VALUE

$

136 135 153 428 59 72 94 569 123 144 267 78 340 52 170 224 336 155 130 150 364 339 681 182 343 235 204 46 163 399 255 96 150 619 50 463 60 104 135 193 574 101 79 216 206 82 121 190 285 657 55

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) Nidec Copal Electronics Corp. Nidec Sankyo Corp. Nidec-Tosok Corp. Nifco, Inc. Nihon Dempa Kogyo Co. Ltd. Nihon Kohden Corp. Nihon M&A Center, Inc. Nihon Nohyaku Co. Ltd. Nihon Parkerizing Co. Ltd. Nihon Unisys Ltd. Nihon Yamamura Glass Co. Ltd. Nikkiso Co. Ltd. Nippo Corp. Nippon Accommodations Fund, Inc. Nippon Beet Sugar Manufacturing Co. Ltd. Nippon Carbon Co. Ltd. Nippon Ceramic Co. Ltd. Nippon Chemi-Con Corp. Nippon Coke & Engineering Co. Ltd. Nippon Denko Co. Ltd. Nippon Densetsu Kogyo Co. Ltd. Nippon Flour Mills Co. Ltd. Nippon Kanzai Co. Ltd. Nippon Kayaku Co. Ltd. Nippon Koei Co. Ltd. Nippon Konpo Unyu Soko Co. Ltd. Nippon Koshuha Steel Co. Ltd. Nippon Light Metal Co. Ltd. Nippon Paint Co. Ltd. Nippon Road (The) Co. Ltd. Nippon Seiki Co. Ltd. Nippon Sharyo Ltd. Nippon Sheet Glass Co. Ltd. Nippon Shinyaku Co. Ltd. Nippon Shokubai Co. Ltd. Nippon Signal Co. Ltd. Nippon Soda Co. Ltd. Nippon Steel Trading Co. Ltd. Nippon Suisan Kaisha Ltd. Nippon Synthetic Chemical Industry (The) Co. Ltd. Nippon Thompson Co. Ltd. Nippon Valqua Industries Ltd. Nippon Yakin Kogyo Co. Ltd. Nipro Corp. Nishimatsu Construction Co. Ltd. Nishimatsuya Chain Co. Ltd. Nishio Rent All Co. Ltd. Nissan Chemical Industries Ltd. Nissan Shatai Co. Ltd. Nissen Holdings Co. Ltd. Nissha Printing Co. Ltd.

8,200 19,000 4,919 22,000 8,000 17,900 4,400 22,000 23,000 27,400 43,000 28,000 25,000 89 55,000 51,000 8,100 59,000 101,500 41,000 16,000 53,000 2,700 75,000 31,000 27,900 37,000 242,000 95,000 33,000 18,000 29,000 457,000 23,000 65,000 24,000 70,000 24,000 109,300 25,000 30,000 38,000 69,500 53,900 122,000 23,700 7,000 65,542 33,000 14,700 12,076

See Accompanying Notes to the Financial Statements.

339

COST

$

56 128 54 489 134 350 112 130 298 201 119 216 203 554 131 149 133 267 152 248 153 261 47 681 116 308 42 343 607 91 197 143 448 288 653 182 288 60 344 154 188 91 226 493 181 210 52 669 264 60 241

VALUE

$

46 103 40 493 97 586 131 97 325 184 95 322 300 603 116 113 115 134 125 130 160 234 51 729 113 335 38 266 788 128 177 102 427 284 796 153 292 63 253 149 130 105 72 300 212 203 85 695 364 62 123

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) Nisshin Oillio Group (The) Ltd. Nisshinbo Holdings, Inc. Nissin Corp. Nissin Electric Co. Ltd. Nissin Kogyo Co. Ltd. Nitta Corp. Nittetsu Mining Co. Ltd. Nitto Boseki Co. Ltd. Nitto Kogyo Corp. Nitto Kohki Co. Ltd. NOF Corp. Nohmi Bosai Ltd. Nomura Real Estate Residential Fund, Inc. Noritake Co. Ltd. Noritsu Koki Co. Ltd. Noritz Corp. NS Solutions Corp. NS United Kaiun Kaisha Ltd. NSD Co. Ltd. Nuflare Technology, Inc. Obara Group, Inc. OBIC Business Consultants Ltd. Obic Co. Ltd. Ogaki Kyoritsu Bank (The) Ltd. Ohara, Inc. Ohsho Food Service Corp. Oiles Corp. Oita Bank (The) Ltd. Okabe Co. Ltd. Okamoto Industries, Inc. Okamura Corp. Okasan Securities Group, Inc. Oki Electric Industry Co. Ltd. Okinawa Electric Power (The) Co., Inc. OKUMA Corp. Okumura Corp. Okuwa Co. Ltd. OncoTherapy Science, Inc. Onoken Co. Ltd. Onward Holdings Co. Ltd. Organo Corp. Orient Corp. Orix JREIT, Inc. Osaka Securities Exchange Co. Ltd. Osaka Steel Co. Ltd. OSAKA Titanium Technologies Co. Osaki Electric Co. Ltd. OSG Corp. Otsuka Kagu Ltd. Oyo Corp. Pacific Industrial Co. Ltd.

51,000 68,586 34,000 22,000 16,700 10,900 26,000 92,000 13,200 5,500 67,000 11,000 66 41,000 7,100 12,900 8,000 48,000 16,800 14 6,500 2,550 3,411 147,000 3,600 5,831 13,400 72,000 19,800 31,000 26,000 87,000 340,000 6,500 65,000 74,000 10,000 59 5,700 58,655 15,000 123,000 136 122 7,600 8,495 11,000 35,700 4,900 9,100 18,873

See Accompanying Notes to the Financial Statements.

340

COST

$

255 633 83 134 247 177 112 227 147 123 306 73 300 136 59 221 149 128 166 72 74 130 620 498 57 145 229 266 122 125 157 365 317 321 418 283 110 110 51 425 111 124 649 604 129 356 101 404 47 91 119

VALUE

$

202 454 92 141 224 168 97 273 238 118 325 70 352 103 33 224 156 64 148 114 76 135 696 510 32 145 261 230 120 129 207 310 540 177 394 255 139 93 47 441 103 167 614 722 128 253 85 489 48 97 110

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) Pacific Metals Co. Ltd. Pack (The) Corp. Pal Co. Ltd. Paltac Corp. PanaHome Corp. Paramount Bed Holdings Co. Ltd. Parco Co. Ltd. Paris Miki Holdings, Inc. Park24 Co. Ltd. Pasona Group, Inc. Penta-Ocean Construction Co. Ltd. PGM Holdings K.K. Pigeon Corp. Pilot Corp. Pioneer Corp. Plenus Co. Ltd. Point, Inc. Pola Orbis Holdings, Inc. Premier Investment Corp. Press Kogyo Co. Ltd. Prima Meat Packers Ltd. Pronexus, Inc. Proto Corp. Psc, Inc. Relo Holdings, Inc. Rengo Co. Ltd. Resorttrust, Inc. Ricoh Leasing Co. Ltd. Riken Corp. Ringer Hut Co. Ltd. Riso Kagaku Corp. Rohto Pharmaceutical Co. Ltd. Roland Corp. Roland DG Corp. Round One Corp. Royal Holdings Co. Ltd. Ryobi Ltd. Ryohin Keikaku Co. Ltd. Ryosan Co. Ltd. Ryoyo Electro Corp. S Foods, Inc. Saizeriya Co. Ltd. Sakai Chemical Industry Co. Ltd. Sakata Seed Corp. San-A Co. Ltd. San-Ai Oil Co. Ltd. Sanden Corp. Sangetsu Co. Ltd. San-In Godo Bank (The) Ltd. Sanken Electric Co. Ltd. Sanki Engineering Co. Ltd.

64,000 7,100 2,668 12,608 35,000 7,000 22,600 13,000 46,600 97 139,500 122 9,400 71 125,000 10,000 7,330 11,799 90 42,000 64,000 11,300 2,400 400 5,000 98,000 17,600 7,000 40,000 8,500 8,500 43,000 9,300 5,000 28,200 13,400 55,000 10,900 15,400 11,300 5,500 13,100 45,000 13,000 3,500 24,000 51,000 13,900 73,000 49,000 25,000

See Accompanying Notes to the Financial Statements.

341

COST

$

462 114 97 157 222 157 188 114 506 75 268 78 346 111 469 156 379 295 333 128 74 74 84 83 128 634 251 155 149 109 121 516 95 69 182 145 192 478 365 113 47 229 189 185 133 111 164 320 575 194 164

VALUE

$

230 121 147 180 216 213 288 81 716 66 355 93 412 132 346 189 257 386 317 188 118 68 77 36 175 542 311 162 157 115 142 583 73 58 146 159 144 592 287 118 49 201 139 173 130 116 163 343 514 184 135

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) Sankyo-Tateyama Holdings, Inc. Sankyu, Inc. Sanoh Industrial Co. Ltd. Sanshin Electronics Co. Ltd. Sanwa Holdings Corp. Sanyo Chemical Industries Ltd. Sanyo Denki Co. Ltd. Sanyo Shokai Ltd. Sanyo Special Steel Co. Ltd. Sapporo Hokuyo Holdings, Inc. Sapporo Holdings Ltd. Sasebo Heavy Industries Co. Ltd. Sato Holding Corp. Sawai Phamaceutical Co. Ltd. SCSK Corp. Seika Corp. Seikagaku Corp. Seiko Holdings Corp. Seino Holdings Corp. Seiren Co. Ltd. Sekisui House SI Investment Co. Sekisui Jushi Corp. Sekisui Plastics Co. Ltd. Senko Co. Ltd. Senshu Ikeda Holdings, Inc. Senshukai Co. Ltd. Seria Co. Ltd. Shibusawa Warehouse (The) Co. Ltd. Shiga Bank (The) Ltd. Shikoku Chemicals Corp. Shima Seiki Manufacturing Ltd. Shimachu Co. Ltd. Shimojima Co. Ltd. Shindengen Electric Manufacturing Co. Ltd. Shin-Etsu Polymer Co. Ltd. Shinko Electric Industries Co. Ltd. Shinko Plantech Co. Ltd. Shinko Shoji Co. Ltd. Shinmaywa Industries Ltd. Shinsho Corp. Ship Healthcare Holdings, Inc. Shizuoka Gas Co. Ltd. SHO-BOND Holdings Co. Ltd. Shochiku Co. Ltd. Showa Corp. Showa Sangyo Co. Ltd. Siix Corp. Simplex Holdings, Inc. Sinanen Co. Ltd. Sinfonia Technology Co. Ltd. Sintokogio Ltd.

112,000 126,000 10,567 12,500 108,000 30,000 18,000 46,000 46,000 172,590 163,590 58,000 9,700 7,200 23,868 28,000 14,500 58,000 70,000 23,300 53 14,000 20,000 43,000 107,707 14,600 9,200 21,000 108,000 16,230 11,800 21,300 5,600 34,000 21,400 33,355 18,700 9,600 38,000 23,000 15,600 25,500 9,300 39,000 26,500 38,000 7,139 165 19,000 46,000 19,200

See Accompanying Notes to the Financial Statements.

342

COST

$

136 530 87 106 350 194 98 149 211 663 617 110 121 601 379 68 161 152 514 141 215 126 87 148 733 96 159 71 662 91 264 454 79 130 124 301 178 79 142 46 197 164 203 308 164 118 110 97 88 111 160

VALUE

$

205 476 85 93 456 183 113 153 171 497 517 62 152 787 324 81 151 159 476 156 231 147 61 191 554 92 143 59 595 89 169 450 68 101 92 235 174 83 190 48 410 166 278 383 206 125 87 62 81 98 183

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) SKY Perfect JSAT Holdings, Inc. Skymark Airlines, Inc. SMK Corp. Sodick Co. Ltd. Sohgo Security Services Co. Ltd. So-net Entertainment Corp. Sotetsu Holdings, Inc. Sparx Group Co. Ltd. ST Corp. St. Marc Holdings Co. Ltd. Star Micronics Co. Ltd. Starbucks Coffee Japan Ltd. Start Today Co. Ltd. Stella Chemifa Corp. Sugi Holdings Co. Ltd. Sumikin Bussan Corp. Sumitomo Bakelite Co. Ltd. Sumitomo Forestry Co. Ltd. Sumitomo Light Metal Industries Ltd. Sumitomo Osaka Cement Co. Ltd. Sumitomo Precision Products Co. Ltd. Sumitomo Real Estate Sales Co. Ltd. Sumitomo Seika Chemicals Co. Ltd. Sumitomo Warehouse (The) Co. Ltd. Sundrug Co. Ltd. SWCC Showa Holdings Co. Ltd. SxL Corp. Systena Corp. T. RAD Co. Ltd. Tachi-S Co. Ltd. Tadano Ltd. Taihei Dengyo Kaisha Ltd. Taihei Kogyo Co. Ltd. Taiho Kogyo Co. Ltd. Taikisha Ltd. Taiyo Holdings Co. Ltd. Taiyo Yuden Co. Ltd. Takamatsu Construction Group Co. Ltd. Takaoka Electric Manufacturing Co. Ltd. Takara Bio, Inc. Takara Holdings, Inc. Takara Standard Co. Ltd. Takasago International Corp. Takasago Thermal Engineering Co. Ltd. Takata Corp. Takihyo Co. Ltd. Takiron Co. Ltd. Takuma Co. Ltd. Tamron Co. Ltd. Tamura Corp. Tatsuta Electric Wire and Cable Co. Ltd.

842 15,434 28,000 22,011 26,000 53 189,000 507 5,900 3,700 15,900 146 26,600 4,400 19,100 47,000 89,000 65,100 213,000 185,000 15,000 4,280 17,000 59,000 16,500 119,000 47,000 105 28,000 9,600 54,000 16,000 24,000 8,000 12,800 7,500 49,400 8,000 35,000 17,300 84,000 44,000 35,000 28,500 16,400 13,000 22,000 29,000 7,000 34,000 20,000

See Accompanying Notes to the Financial Statements.

343

COST

$

355 179 130 153 284 149 697 63 71 131 158 67 355 150 482 115 478 538 211 427 73 185 71 277 441 121 126 91 93 116 297 136 96 97 211 201 584 119 116 102 490 295 178 243 346 67 72 92 120 108 87

VALUE

$

353 75 85 109 355 224 639 33 68 140 149 95 354 79 638 114 371 564 207 616 75 224 64 268 576 101 82 83 92 159 371 111 113 86 280 191 411 140 67 90 578 328 173 219 331 71 71 128 230 81 131

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) TECMO KOEI HOLDINGS Co. Ltd. Temp Holdings Co. Ltd. Tenma Corp. T-Gaia Corp. TKC Corp. Toa Corp. Toagosei Co. Ltd. TOC Co. Ltd. Tocalo Co. Ltd. Tochigi Bank (The) Ltd. Toda Corp. Toda Kogyo Corp. Toei Co. Ltd. Toenec Corp. Toho Bank (The) Ltd. Toho Holdings Co. Ltd. Toho Real Estate Co. Ltd. Toho Titanium Co. Ltd. Toho Zinc Co. Ltd. Tohokushinsha Film Corp. Tokai Carbon Co. Ltd. Tokai Corp. TOKAI Holdings Corp. Tokai Rika Co. Ltd. Tokai Rubber Industries, Inc. Tokai Tokyo Financial Holdings, Inc. Token Corp. Toko, Inc. Tokuyama Corp. Tokyo Broadcasting System Holdings, Inc. Tokyo Dome Corp. Tokyo Energy & Systems, Inc. Tokyo Ohka Kogyo Co. Ltd. Tokyo Rope Manufacturing Co. Ltd. Tokyo Seimitsu Co. Ltd. Tokyo Steel Manufacturing Co. Ltd. Tokyo Tatemono Co. Ltd. Tokyo Tomin Bank (The) Ltd. Tokyotokeiba Co. Ltd. Tokyu Community Corp. Tokyu Construction Co. Ltd. Tokyu Livable, Inc. Tokyu REIT, Inc. TOMONY Holdings, Inc. Tomy Co. Ltd. Top REIT, Inc. Topcon Corp. Toppan Forms Co. Ltd. Topre Corp. Topy Industries Ltd. Toridoll.corp

16,100 13,400 7,800 78 8,000 75,000 93,000 34,200 6,900 43,000 97,000 15,000 33,000 17,000 95,000 23,200 9,900 14,100 56,000 8,400 93,000 4,986 41,558 25,400 18,600 104,000 3,740 38,000 160,254 17,641 80,000 11,000 19,500 58,000 18,300 49,587 207,340 13,500 74,000 2,600 35,780 9,700 75 63,700 26,200 69 27,800 20,800 18,000 83,000 8,100

See Accompanying Notes to the Financial Statements.

344

COST

$

123 120 92 136 160 113 383 149 128 189 346 129 158 97 312 303 55 304 239 46 479 108 189 447 217 356 129 72 729 218 224 84 385 161 296 463 724 186 109 67 102 91 414 246 204 335 148 214 158 195 76

VALUE

$

127 154 74 160 164 129 352 183 97 139 298 66 157 91 294 457 52 162 186 69 387 128 198 397 204 354 164 100 361 204 234 54 415 92 288 185 775 123 101 87 68 114 365 261 163 318 200 193 165 218 141

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) Torii Pharmaceutical Co. Ltd. Torishima Pump Manufacturing Co. Ltd. Toshiba Machine Co. Ltd. Toshiba Plant Systems & Services Corp. Toshiba TEC Corp. Totetsu Kogyo Co. Ltd. Touei Housing Corp. Towa Bank (The) Ltd. Towa Pharmaceutical Co. Ltd. Toyo Construction Co. Ltd. Toyo Corp. Toyo Electric Manufacturing Co. Ltd. Toyo Engineering Corp. Toyo Ink SC Holdings Co. Ltd. Toyo Kanetsu K.K. Toyo Kohan Co. Ltd. Toyo Tanso Co. Ltd. Toyo Tire & Rubber Co. Ltd. Toyobo Co. Ltd. TPR Co. Ltd. Transcosmos, Inc. Trusco Nakayama Corp. TS Tech Co. Ltd. TSI Holdings Co. Ltd. Tsubakimoto Chain Co. Tsugami Corp. Tsukishima Kikai Co. Ltd. Tsukuba Bank Ltd. Tsuruha Holdings, Inc. Tsutsumi Jewelry Co. Ltd. TV Asahi Corp. Tv Tokyo Holdings Corp. Uchida Yoko Co. Ltd. Ulvac, Inc. Uniden Corp. Union Tool Co. Unipres Corp. United Arrows Ltd. United Urban Investment Corp. Unitika Ltd. Universal Entertainment Corp. UNY Co. Ltd. Usen Corp. Valor Co. Ltd. Vital KSK Holdings, Inc. Wacoal Holdings Corp. Wacom Co. Ltd. WATAMI Co. Ltd. Weathernews, Inc. Xebio Co. Ltd. Yachiyo Bank (The) Ltd.

6,800 9,100 50,000 18,000 64,000 11,710 6,825 123,000 4,300 139,000 13,200 17,000 53,000 90,000 50,000 23,000 4,700 82,000 407,000 10,000 12,200 8,100 21,700 35,800 66,000 29,000 9,000 38,400 7,600 4,100 103 3,300 23,000 18,100 28,000 5,900 16,700 8,800 1,025 227,000 11,900 87,184 59,340 14,600 17,400 52,000 177 9,600 2,700 11,100 5,900

See Accompanying Notes to the Financial Statements.

345

COST

$

123 136 216 214 256 100 72 121 220 117 138 98 184 361 97 105 228 187 636 84 128 138 366 246 312 153 68 127 322 96 161 68 72 400 88 138 354 118 1,115 180 229 775 50 144 118 655 308 195 82 235 164

VALUE

$

150 88 210 222 238 150 71 123 252 119 148 52 229 327 113 75 132 247 516 145 167 157 353 225 374 190 77 131 493 97 163 38 67 142 67 88 446 231 1,118 113 265 790 53 239 173 623 398 212 97 243 119

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Japan - 24.5% - (Continued) Yahagi Construction Co. Ltd. Yamagata Bank (The) Ltd. Yamanashi Chuo Bank (The) Ltd. Yamazen Corp. Yaoko Co. Ltd. Yellow Hat Ltd. Yodogawa Steel Works Ltd. Yokogawa Bridge Holdings Corp. Yokohama Reito Co. Ltd. Yokohama Rubber (The) Co. Ltd. Yomiuri Land Co. Ltd. Yonekyu Corp. Yorozu Corp. Yoshinoya Holdings Co. Ltd. Yuasa Trading Co. Ltd. Yurtec Corp. Yusen Logistics Co. Ltd. Yushin Precision Equipment Co. Ltd. Zenrin Co. Ltd. Zensho Holdings Co. Ltd. Zeon Corp. ZERIA Pharmaceutical Co. Ltd.

13,800 64,000 73,000 23,300 3,500 8,400 56,000 14,000 18,500 107,000 20,000 8,900 5,557 217 78,000 19,000 8,600 5,000 12,600 32,800 81,000 11,000

Netherlands - 1.6% Aalberts Industries N.V. Accell Group AMG Advanced Metallurgical Group N.V. Amsterdam Commodities N.V. APERAM Arcadis N.V. ASM International N.V. BE Semiconductor Industries N.V. Beter Bed Holding N.V. BinckBank N.V. Brunel International N.V. CSM Dockwise Ltd. Eurocommercial Properties N.V. - CVA Exact Holding N.V. Grontmij Kardan N.V. KAS Bank N.V. - CVA Kendrion N.V. Koninklijke BAM Groep N.V. Koninklijke Ten Cate N.V. Koninklijke Wessanen N.V. Mediq N.V. New World Resources N.V., Class A New World Resources PLC, Class A Nieuwe Steen Investments N.V. Nutreco N.V.

47,462 8,561 12,086 7,202 21,172 28,098 21,208 14,378 7,875 29,487 4,689 32,449 13,238 18,419 5,860 31,608 25,879 5,716 4,174 107,019 12,670 39,208 26,771 73,531 52,081 26,990 16,919

See Accompanying Notes to the Financial Statements.

346

COST

$

80 317 327 116 108 140 244 103 128 547 67 82 101 258 104 102 119 89 137 309 549 140 182,337 739 174 149 99 733 549 541 120 164 371 161 802 260 716 152 160 128 99 99 608 351 160 446 773 385 476 978

VALUE

$

62 262 308 165 129 136 208 100 146 748 64 83 83 290 147 70 99 94 120 421 670 189 182,395 752 144 99 108 291 587 806 108 142 196 179 486 227 623 120 87 21 49 83 281 297 100 283 342 241 233 1,216

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Netherlands - 1.6% - (Continued) PostNL N.V. Royal Imtech N.V. Sligro Food Group N.V. SNS REAAL N.V. TKH Group N.V. TomTom N.V. Unit4 N.V. USG People N.V. Vastned Retail N.V. Wereldhave N.V.

197,375 34,618 13,052 65,316 16,709 45,935 12,977 28,858 9,036 9,808

New Zealand - 0.7% Air New Zealand Ltd. AMP NZ Office Ltd. Chorus Ltd. Fisher & Paykel Appliances Holdings Ltd. Fisher & Paykel Healthcare Corp. Ltd. Freightways Ltd. Goodman Property Trust Infratil Ltd. Kiwi Income Property Trust Mainfreight Ltd. New Zealand Oil & Gas Ltd. Nuplex Industries Ltd. PGG Wrightson Ltd. Pike River Coal Ltd.(1) Ryman Healthcare Ltd. Sky Network Television Ltd. Trade Me Ltd. Vector Ltd. Warehouse Group (The) Ltd.

139,733 370,228 186,412 281,282 254,997 67,199 410,100 270,715 365,732 46,350 176,446 84,813 162,138 187,506 138,248 85,957 72,681 127,080 56,331

Norway - 2.0% Aker ASA, Class A Algeta ASA Archer Ltd. Atea ASA Austevoll Seafood ASA Bakkafrost P/F BW Offshore Ltd. BWG Homes ASA Cermaq ASA Clavis Pharma ASA Copeinca ASA Deep Sea Supply PLC Det Norske Oljeselskap ASA DNO International ASA Electromagnetic GeoServices A.S. Eltek ASA Fred Olsen Energy ASA

12,420 15,206 83,792 34,354 41,019 11,314 157,337 28,942 25,117 14,727 9,070 38,997 29,587 319,457 57,801 109,915 16,073

See Accompanying Notes to the Financial Statements.

347

COST

$

666 967 400 335 344 393 319 435 511 836 15,599

VALUE

$

805 885 302 80 338 184 303 192 344 516 12,050

116 217 446 126 542 146 305 365 279 270 166 162 53 138 234 313 222 221 145

102 297 471 129 395 211 336 459 321 351 117 174 41 411 347 219 287 119

4,466

4,787

294 301 345 260 216 82 254 71 260 131 54 66 226 406 146 58 558

349 417 148 288 170 83 145 59 299 144 63 61 408 425 132 71 611

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Norway - 2.0% - (Continued) Frontline Ltd. Golar LNG Ltd. Golden Ocean Group Ltd. Hoegh LNG Holdings Ltd. Hurtigruten ASA Kvaerner ASA Leroey Seafood Group ASA Marine Harvest ASA Morpol ASA Nordic Semiconductor ASA Northern Offshore Ltd. Norwegian Air Shuttle A.S. Norwegian Energy Co. A.S. Norwegian Property ASA Opera Software ASA Panoro Energy ASA Petroleum Geo-Services ASA Polarcus Ltd. Pronova BioPharma ASA ProSafe S.E. Renewable Energy Corp. ASA Schibsted ASA Sevan Drilling AS Songa Offshore S.E. SpareBank 1 SMN Storebrand ASA STX OSV Holdings Ltd. TGS Nopec Geophysical Co. ASA Tomra Systems ASA Portugal - 0.2% Altri SGPS S.A. Banco BPI S.A. (Registered) Banco Comercial Portugues S.A., Class R Brisa Auto-Estradas de Portugal S.A. Mota-Engil SGPS S.A. Portucel Empresa Produtora de Pasta e Papel S.A. REN - Redes Energeticas Nacionais S.A. Semapa-Sociedade de Investimento e Gestao Sonae Sonaecom - SGPS S.A. Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS S.A. Russia - 0.0% RusPetro PLC Singapore - 2.5% AIMS AMP Capital Industrial REIT Amtek Engineering Ltd.

27,869 22,040 141,267 20,690 109,938 73,568 8,315 1,435,667 43,167 63,062 55,467 11,205 98,989 221,583 35,676 119,078 108,293 145,025 77,542 109,888 223,058 36,794 129,225 57,548 51,785 164,949 301,416 51,409 71,016

COST

$

506 751 187 157 77 173 172 970 148 221 114 180 239 334 165 127 1,208 131 169 671 145 819 105 224 349 980 317 948 399 14,714

VALUE

$

106 855 106 160 64 171 142 962 59 162 93 202 90 312 247 72 1,601 125 121 807 78 1,132 137 139 274 632 382 1,514 560 15,178

63,199 153,292 1,938,662 88,916 29,499 88,041 51,696 26,995 363,718 47,978

140 231 336 492 119 252 182 251 370 98

88 95 224 300 37 216 128 166 193 72

82,665

342 2,813

210 1,729

66,691

161

152

156,320 98,937

132 71

161 48

See Accompanying Notes to the Financial Statements.

348

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Singapore - 2.5% - (Continued) ARA Asset Management Ltd. Ascendas India Trust Ascott Residence Trust Biosensors International Group Ltd. Boustead Singapore Ltd. Cache Logistics Trust Cambridge Industrial Trust Cape PLC CapitaCommercial Trust CapitaRetail China Trust CDL Hospitality Trusts China Aviation Oil Singapore Corp. Ltd. China Minzhong Food Corp. Ltd. Chip Eng Seng Corp. Ltd. CSE Global Ltd. CWT Ltd. Ezion Holdings Ltd. Ezra Holdings Ltd. First Real Estate Investment Trust First Resources Ltd. Frasers Centrepoint Trust Frasers Commercial Trust Gallant Venture Ltd. GMG Global Ltd. GuocoLeisure Ltd. Hi-P International Ltd. Ho Bee Investment Ltd. Hong Leong Asia Ltd. Hyflux Ltd. Indofood Agri Resources Ltd. Jaya Holdings Ltd. K1 Ventures Ltd. K-Green Trust K-REIT Asia KS Energy Ltd. LionGold Corp. Ltd. Lippo Malls Indonesia Retail Trust M1 Ltd. Mapletree Commercial Trust Mapletree Industrial Trust Mapletree Logistics Trust Mewah International, Inc. Miclyn Express Offshore Ltd. Midas Holdings Ltd. OM Holdings Ltd. OSIM International Ltd. Otto Marine Ltd. Overseas Union Enterprise Ltd. Parkway Life Real Estate Investment Trust Perennial China Retail Trust Raffles Education Corp. Ltd.

194,780 269,214 288,612 413,000 128,702 311,142 520,935 58,433 967,000 204,000 331,000 107,000 115,144 272,000 221,000 107,000 288,617 338,200 219,957 170,342 227,487 226,000 315,000 1,353,610 243,579 91,000 132,000 68,000 291,500 238,000 387,000 408,000 144,425 287,550 47,000 218,000 698,000 179,000 460,000 558,281 654,280 155,267 47,547 493,000 129,743 141,126 298,753 177,702 182,000 373,000 292,055

See Accompanying Notes to the Financial Statements.

349

COST

$

152 203 221 297 84 236 188 291 830 173 421 101 115 83 143 67 171 346 139 155 234 124 78 140 130 50 135 124 379 309 158 47 123 218 35 152 202 283 312 513 394 133 84 250 189 118 67 379 199 148 221

VALUE

$

218 168 284 408 101 276 251 265 1,041 235 545 85 53 90 152 108 219 269 168 260 329 198 71 129 113 54 132 93 326 266 174 44 113 257 30 223 233 364 396 583 534 53 94 145 58 138 22 364 287 147 93

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES

COST

VALUE

COMMON STOCKS - 97.4%- (CONTINUED) Singapore - 2.5% - (Continued) Raffles Medical Group Ltd. Rotary Engineering Ltd. Sabana Shari’ah Compliant Industrial Real Estate Investment Trust SATS Ltd. SC Global Developments Ltd. Sheng Siong Group Ltd. Singapore Post Ltd. SMRT Corp. Ltd. Stamford Land Corp. Ltd. Starhill Global REIT Straits Asia Resources Ltd. Suntec Real Estate Investment Trust Super Group Ltd. Swiber Holdings Ltd. Tat Hong Holdings Ltd. Tiger Airways Holdings Ltd. Transpac Industrial Holdings Ltd. Tuan Sing Holdings Ltd. United Engineers Ltd. UOB-Kay Hian Holdings Ltd. Venture Corp. Ltd. Wheelock Properties Singapore Ltd. Wing Tai Holdings Ltd. XP Power Ltd. Yanlord Land Group Ltd. Ying Li International Real Estate Ltd.

259,168 319,000 61,000 206,401 730,000 372,000 243,000 746,000 299,000 976,000 119,317 231,000 104,000 283,456 53,605 273,768 85,386 145,000 127,000 120,000 147,992 7,500 336,691 365,650

194 597 67 67 562 531 91 323 481 945 145 142 73 193 61 80 146 173 788 158 165 145 378 104 17,424

210 661 48 79 616 487 106 426 315 1,134 192 109 82 159 60 63 156 189 761 175 168 129 329 90 18,520

Spain - 1.2% Abengoa S.A. Almirall S.A. Antena 3 de Television S.A. Banca Civica S.A. Bankinter S.A. Bolsas y Mercados Espanoles S.A. Campofrio Food Group S.A. Cementos Portland Valderrivas S.A. Cie Automotive S.A. Codere S.A. Construcciones y Auxiliar de Ferrocarriles S.A. Corp. Financiera Alba Deoleo S.A. Duro Felguera S.A. Ebro Foods S.A. Ence Energia y Celulosa S.A. Faes Farma S.A. Fomento de Construcciones y Contratas S.A. Gamesa Corp. Tecnologica S.A. Grupo Catalana Occidente S.A. Indra Sistemas S.A. Indra Sistemas S.A. (OTC Exchange)

20,150 23,234 33,679 102,999 109,066 33,702 7,857 5,639 14,335 9,982 841 8,760 210,712 24,180 40,259 58,929 100,597 26,023 100,811 20,674 49,789 110,254

495 226 259 317 333 936 80 155 111 99 413 428 170 156 742 184 369 328 617 403 446 170

268 180 126 206 353 662 57 27 96 39 378 276 82 133 633 123 170 266 153 255 442 170

130,249 118,000

See Accompanying Notes to the Financial Statements.

350

$

187 81

$

260 48

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Spain - 1.2% - (Continued) Laboratorios Farmaceuticos Rovi S.A. Mediaset Espana Comunicacion S.A. Melia Hotels International S.A. Miquel y Costas & Miquel S.A. NH Hoteles S.A. Obrascon Huarte Lain S.A. Papeles y Cartones de Europa S.A. Pescanova S.A. Promotora de Informaciones S.A., Class A Prosegur Cia de Seguridad S.A. (Registered) Realia Business S.A. Tecnicas Reunidas S.A. Tubacex S.A. Tubos Reunidos S.A., Class B Viscofan S.A. Vueling Airlines S.A. Zeltia S.A. Sweden - 2.8% AarhusKarlshamn AB Active Biotech AB AF AB, Class B Alliance Oil Co. Ltd. SDR Avanza Bank Holding AB Axfood AB Axis Communications AB B&B Tools AB, Class B BE Group AB Betsson AB Bilia AB, Class A Billerud AB BioGaia AB, Class B BioInvent International AB Bjoern Borg AB Black Earth Farming Ltd. SDR Bure Equity AB Byggmax Group AB Castellum AB CDON Group AB Clas Ohlson AB, Class B Creades AB, Class A Duni AB East Capital Explorer AB Eniro AB Fabege AB Fastighets AB Balder, Class B Gunnebo AB Hakon Invest AB Haldex AB Hexpol AB HIQ International AB

8,197 78,881 25,163 4,202 38,222 19,531 15,125 3,960 137,238 93,520 34,710 13,488 44,470 49,320 21,591 7,624 69,656

13,069 19,455 12,678 45,300 8,544 11,561 20,062 13,323 24,554 14,941 7,182 41,088 6,791 30,576 9,634 35,246 32,882 17,221 75,486 24,435 16,496 7,738 16,842 15,951 51,472 62,443 34,202 21,535 25,114 22,775 12,072 25,296

See Accompanying Notes to the Financial Statements.

351

COST

$

72 464 200 75 162 502 74 115 333 418 59 671 159 128 650 98 310 11,927 301 225 180 618 231 356 314 160 139 223 97 270 116 105 68 119 144 134 809 116 252 158 162 144 359 461 175 94 370 56 202 105

VALUE

$

52 394 143 108 96 385 33 68 60 431 17 571 84 94 992 41 106 8,770 426 141 243 423 164 410 516 103 62 434 85 368 177 15 50 68 108 82 1,016 146 251 125 131 106 61 543 158 91 398 100 430 134

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Sweden - 2.8% - (Continued) Hoganas AB, Class B Hufvudstaden AB, Class A Industrial & Financial Systems, Class B Indutrade AB Intrum Justitia AB JM AB KappAhl AB Klovern AB Kungsleden AB Lindab International AB Loomis AB, Class B Lundbergforetagen AB, Class B Meda AB, Class A Medivir AB, Class B Mekonomen AB Micronic Mydata AB NCC AB NCC AB, Class B Net Entertainment NE AB New Wave Group AB, Class B Nibe Industrier AB, Class B Nobia AB Nolato AB, Class B Nordic Mines AB Nordnet AB, Class B Northland Resources S.A. Oresund Investment AB Oriflame Cosmetics S.A. SDR PA Resources AB Peab AB Proffice AB, Class B Rezidor Hotel Group AB Saab AB, Class B SAS AB SkiStar AB Swedish Orphan Biovitrum AB TradeDoubler AB Trelleborg AB, Class B Unibet Group PLC Vostok Nafta Investment Ltd. SDR Wallenstam AB, Class B Wihlborgs Fastigheter AB Switzerland - 3.5% Acino Holding A.G. (Registered) AFG Arbonia-Forster Holding A.G. (Registered) Allreal Holding A.G. (Registered) Ascom Holding A.G. (Registered) Autoneum Holding A.G. Bachem Holding A.G., Class B (Registered) Bank Sarasin & Cie A.G., Class B (Registered)

12,066 54,021 8,076 9,468 36,525 40,744 98,095 44,587 66,122 30,766 29,970 20,092 110,417 13,599 10,505 27,813 3,177 36,823 13,761 22,470 41,623 59,251 9,656 26,760 40,480 115,407 7,666 20,983 324,737 82,637 28,265 38,623 32,657 85,049 10,675 66,013 22,045 120,809 14,618 38,847 41,958 30,193

1,563 6,505 6,761 12,950 1,565 2,109 16,079

See Accompanying Notes to the Financial Statements.

352

COST

$

343 489 96 214 462 634 152 146 463 295 359 562 978 203 287 75 51 609 116 104 524 320 91 148 130 274 104 1,025 252 496 100 149 479 331 177 246 130 902 341 163 274 325 20,882 186 141 858 143 108 125 600

VALUE

$

390 659 134 256 510 776 82 161 380 190 379 645 1,048 133 301 53 60 693 156 90 572 214 99 42 114 96 104 785 55 389 89 130 547 75 120 231 49 1,251 358 177 451 439 21,048 178 110 984 95 71 77 443

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Switzerland - 3.5% - (Continued) Basilea Pharmaceutica (Registered) BKW A.G. Bobst Group A.G. (Registered) Bossard Holding A.G. (Bearer) Bucher Industries A.G. (Registered) Burckhardt Compression Holding A.G. Charles Voegele Holding A.G. (Bearer) Clariant A.G. (Registered) Dufry A.G. (Registered) EFG International A.G. EMS-Chemie Holding A.G. (Registered) Ferrexpo PLC Flughafen Zuerich A.G. (Registered) Forbo Holding A.G. (Registered) Galenica A.G. (Registered) Gategroup Holding A.G. Georg Fischer A.G. (Registered) Gurit Holding A.G. (Bearer) Helvetia Holding A.G. (Registered) Huber & Suhner A.G. (Registered) Implenia A.G. (Registered) Inficon Holding A.G. (Registered) Informa PLC Intershop Holdings (Bearer) Kaba Holding A.G., Class B (Registered) Komax Holding A.G. (Registered) Kudelski S.A. (Bearer) Kuoni Reisen Holding A.G. (Registered) LEM Holding S.A. (Registered) Liechtensteinische Landesbank A.G. (Bearer) Logitech International S.A. (Registered) Meyer Burger Technology A.G. Micronas Semiconductor Holding A.G. (Registered) Mobilezone Holding A.G. (Bearer) Mobimo Holding A.G. (Registered) Myriad Group A.G. Nobel Biocare Holding A.G. (Registered OC Oerlikon Corp. A.G. (Registered) Orascom Development Holding A.G. Panalpina Welttransport Holding A.G. (Registered) Petroplus Holdings A.G.(1) PSP Swiss Property A.G. (Registered) PubliGroupe A.G. (Registered) Rieter Holding A.G. (Registered) Schmolz + Bickenbach A.G. (Registered) Schweiter Technologies A.G. (Bearer) Schweizerische National-Versicherungs-Gesellschaft A.G. (Registered) Siegfried Holding A.G. (Registered) St. Galler Kantonalbank A.G. (Registered) Swisslog Holding A.G. (Registered)

3,715 6,097 4,578 1,202 3,293 1,422 3,416 122,310 9,854 23,588 3,946 115,279 1,767 819 2,372 12,195 1,879 207 2,814 6,990 5,099 804 292,336 474 1,398 1,539 17,518 1,805 289 5,685 86,724 21,166 15,230 13,393 2,996 18,806 59,069 77,901 7,277 6,551 45,412 18,369 968 1,626 34,457 385 6,124 1,527 1,229 129,734

See Accompanying Notes to the Financial Statements.

353

COST

$

247 391 144 202 456 307 133 1,522 900 299 566 577 572 398 1,062 424 614 116 876 461 132 127 1,601 150 424 124 310 596 130 367 997 544 99 117 556 81 944 500 287 610 36 1,228 126 288 232 195 195 151 534 109

VALUE

$

188 186 127 143 565 364 54 1,295 1,205 162 778 328 639 470 1,372 354 655 89 875 285 162 157 1,695 158 513 114 146 477 148 175 771 280 155 135 693 54 545 638 102 631 1,652 135 216 148 187 224 178 423 121

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) Switzerland - 3.5% - (Continued) Swissquote Group Holding S.A. (Registered) Tecan Group A.G. (Registered) Temenos Group A.G. (Registered) U-Blox A.G. Valiant Holding (Registered) Valora Holding A.G. (Registered) Verwaltungs- und Privat-Bank A.G. (Bearer) Vetropack Holding A.G. (Bearer) Von Roll Holding A.G. (Bearer) Vontobel Holding A.G. (Registered) Walter Meier A.G., Class A (Registered) Zehnder Group A.G. (Bearer) Zueblin Immobilien Holding A.G. (Registered) United Kingdom - 17.7% 888 Holdings PLC Abcam PLC Advanced Medical Solutions Group PLC Aegis Group PLC Aero Inventory PLC(1) Afren PLC African Barrick Gold PLC African Minerals Ltd. Amerisur Resources PLC Amlin PLC Andor Technology Ltd. Anglo Pacific Group PLC Ashmore Group PLC Ashtead Group PLC ASOS PLC Atkins WS PLC Aurelian Oil & Gas PLC Avanti Communications Group PLC Aveva Group PLC Avocet Mining PLC AZ Electronic Materials S.A. Bahamas Petroleum Co. PLC Barratt Developments PLC BBA Aviation PLC Bellway PLC Berendsen PLC Berkeley Group Holdings PLC Betfair Group PLC Big Yellow Group PLC Blinkx PLC Bodycote PLC Booker Group PLC Borders & Southern Petroleum PLC Bovis Homes Group PLC BowLeven PLC Brewin Dolphin Holdings PLC

3,958 5,321 34,212 2,881 7,896 1,292 1,872 101 33,242 12,846 303 4,810 20,203

70,089 76,574 99,577 399,164 17,163 521,920 60,670 123,907 418,995 241,852 13,313 48,828 176,676 245,434 33,587 48,943 211,376 47,286 33,171 78,327 171,520 590,743 470,783 227,700 57,672 82,550 60,728 38,624 62,200 144,519 92,393 725,180 231,705 65,497 140,034 112,650

See Accompanying Notes to the Financial Statements.

354

COST

$

192 346 841 141 1,074 330 208 177 180 387 28 198 82

VALUE

$

108 371 454 121 688 219 137 181 68 283 68 286 68

28,402

26,177

91 431 121 839 69 840 489 1,004 180 1,405 117 201 856 481 562 513 207 257 650 179 796 156 864 641 623 552 941 508 307 190 349 604 250 434 313 251

88 486 107 1,478 1,044 357 568 246 1,429 67 173 896 972 954 567 30 279 928 92 759 69 975 654 725 659 1,302 462 304 89 476 1,045 61 463 137 265

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) United Kingdom - 17.7% - (Continued) Britvic PLC BTG PLC Bwin.Party Digital Entertainment PLC Cable & Wireless Communications PLC Cairn Energy PLC Capital & Counties Properties PLC Carillion PLC Carpetright PLC Catlin Group Ltd. Centamin PLC Chariot Oil & Gas Ltd. Chemring Group PLC Chesnara PLC Chime Communications PLC Cineworld Group PLC Clarkson PLC Close Brothers Group PLC Colt Group S.A. Computacenter PLC Concentric AB Connaught PLC(1) Cookson Group PLC Costain Group PLC Cove Energy PLC CSR PLC Cupid PLC Daily Mail & General Trust PLC, Class A Dairy Crest Group PLC Darty PLC De La Rue PLC Debenhams PLC Derwent London PLC Development Securities PLC Devro PLC Dialight PLC Dignity PLC Diploma PLC Dixons Retail PLC Domino’s Pizza Group PLC Drax Group PLC DS Smith PLC Dunelm Group PLC easyJet PLC Electrocomponents PLC Elementis PLC EnQuest PLC Enterprise Inns PLC Essar Energy PLC Euromoney Institutional Investor PLC F&C Asset Management PLC Falkland Oil & Gas Ltd.

117,853 159,662 326,865 1,207,102 269,610 307,350 209,955 23,030 167,079 499,853 69,606 92,381 58,599 32,851 70,534 5,241 69,976 183,362 42,658 16,555 101,374 134,469 20,086 246,448 99,064 18,216 141,625 61,997 243,711 47,466 614,962 44,568 62,267 81,124 15,689 26,973 55,675 1,767,870 65,809 177,549 451,637 46,486 77,192 213,437 216,955 323,398 251,189 167,799 19,521 220,862 159,766

See Accompanying Notes to the Financial Statements.

355

COST

$

740 577 1,103 967 1,475 753 1,057 239 970 1,060 225 791 186 136 222 78 800 345 219 90 499 1,009 77 424 534 59 964 361 471 664 669 983 238 259 253 293 230 651 420 1,101 898 291 489 697 322 560 352 353 163 239 229

VALUE

$

556 935 526 592 1,212 1,011 832 211 1,134 522 128 419 151 93 248 105 816 322 237 119 1,161 65 921 486 56 1,005 328 163 759 886 1,361 139 370 253 377 364 440 528 1,322 1,062 407 678 719 714 571 226 303 218 305 178

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) United Kingdom - 17.7% - (Continued) Faroe Petroleum PLC Fenner PLC Fidessa Group PLC Filtrona PLC Firstgroup PLC Galliford Try PLC Gem Diamonds Ltd. Genus PLC Go-Ahead Group PLC Grainger PLC Great Portland Estates PLC Greene King PLC Greggs PLC Gulf Keystone Petroleum Ltd. Gulfsands Petroleum PLC Halfords Group PLC Halma PLC Hansteen Holdings PLC Hardy Oil & Gas PLC Hargreaves Lansdown PLC Hargreaves Services PLC Hays PLC Helical Bar PLC Henderson Group PLC Heritage Oil PLC Highland Gold Mining Ltd. Hikma Pharmaceuticals PLC Hill & Smith Holdings PLC Hiscox Ltd. Hochschild Mining PLC Home Retail Group PLC Homeserve PLC Howden Joinery Group PLC Hunting PLC IG Group Holdings PLC Imagination Technologies Group PLC Immunodiagnostic Systems Holdings PLC Inchcape PLC Innovation Group PLC Intermediate Capital Group PLC International Personal Finance PLC Interserve PLC IQE PLC ITE Group PLC J.D. Wetherspoon PLC Jardine Lloyd Thompson Group PLC Jazztel PLC JKX Oil & Gas PLC John Menzies PLC John Wood Group PLC Jupiter Fund Management PLC

84,385 92,360 17,242 99,973 235,404 40,244 54,947 29,465 19,115 204,572 149,670 105,789 52,159 394,814 36,711 98,932 183,729 325,690 29,237 118,519 12,038 677,255 50,877 507,929 83,558 96,629 69,966 38,730 193,469 82,576 389,061 135,439 305,844 62,332 180,773 101,384 9,385 213,210 480,338 191,472 125,283 58,350 241,017 109,987 49,031 62,636 100,384 51,837 20,770 166,087 150,798

See Accompanying Notes to the Financial Statements.

356

COST

$

204 369 398 399 1,281 268 196 385 400 414 733 741 376 830 142 607 841 368 119 723 159 1,002 231 1,053 531 171 698 218 1,091 508 762 812 393 618 1,192 640 145 1,018 154 826 419 215 164 274 340 561 436 203 148 1,153 632

VALUE

$

194 508 379 728 824 386 170 591 385 290 1,007 993 421 1,183 64 318 1,138 366 52 1,051 135 798 157 777 161 174 763 183 1,340 543 472 442 661 762 1,271 796 36 1,258 137 780 550 297 93 329 356 720 518 71 204 2,028 513

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) United Kingdom - 17.7% - (Continued) Kcom Group PLC Keller Group PLC Kier Group PLC Kofax PLC Ladbrokes PLC Laird PLC Lancashire Holdings Ltd. Logica PLC London & Stamford Property PLC London Mining PLC Lonrho PLC Lookers PLC Majestic Wine PLC Marston’s PLC Mcbride PLC Mears Group PLC Mecom Group PLC Metric Property Investments PLC Michael Page International PLC Micro Focus International PLC Millennium & Copthorne Hotels PLC Mitchells & Butlers PLC Mitie Group PLC Mondi PLC Moneysupermarket.com Group PLC Monitise PLC Morgan Crucible Co. PLC Morgan Sindall Group PLC Mothercare PLC N Brown Group PLC Nanoco Group PLC National Express Group PLC Nautical Petroleum PLC Northgate PLC Ocado Group PLC Ophir Energy PLC Pace PLC Pan African Resources PLC Paragon Group of Cos. PLC Patagonia Gold PLC Pendragon PLC Pennon Group PLC Persimmon PLC Petra Diamonds Ltd. Petropavlovsk PLC Phoenix Group Holdings Playtech Ltd. Premier Farnell PLC Premier Foods PLC Premier Oil PLC Primary Health Properties PLC

239,345 27,528 19,125 38,184 442,063 130,564 79,517 786,272 241,167 64,351 801,230 116,644 31,521 280,354 79,853 42,574 48,933 96,486 140,475 78,779 77,659 104,138 172,082 182,411 116,597 287,872 133,392 18,328 38,529 72,231 46,916 207,393 41,502 61,546 187,276 115,993 122,890 552,768 146,871 225,137 691,389 175,310 146,946 183,107 81,405 42,969 81,232 180,707 100,728 259,459 32,381

See Accompanying Notes to the Financial Statements.

357

COST

$

189 234 353 151 972 307 744 1,325 445 298 125 109 164 432 184 177 137 160 858 548 506 454 628 1,211 146 119 451 184 263 286 79 720 222 213 437 609 314 136 337 175 166 1,612 1,020 358 1,178 361 499 568 421 1,530 152

VALUE

$

293 201 381 166 1,065 444 976 1,290 435 170 92 119 217 489 150 180 53 128 809 663 583 425 732 1,556 259 121 529 192 120 298 46 685 292 191 217 1,058 292 132 407 70 165 2,109 1,417 344 542 327 442 504 114 1,569 167

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES COMMON STOCKS - 97.4%- (CONTINUED) United Kingdom - 17.7% - (Continued) Provident Financial PLC PZ Cussons PLC QinetiQ Group PLC Quintain Estates & Development PLC Rank Group PLC Rathbone Brothers PLC Raven Russia Ltd. Redrow PLC Regus PLC Renishaw PLC Rentokil Initial PLC Restaurant Group PLC Rightmove PLC Rockhopper Exploration PLC Rotork PLC RPC Group PLC RPS Group PLC Salamander Energy PLC Savills PLC SDL PLC Senior PLC Severfield-Rowen PLC Shaftesbury PLC Shanks Group PLC SIG PLC Sirius Minerals PLC Soco International PLC Songbird Estates PLC Spectris PLC Speedy Hire PLC Spirax-Sarco Engineering PLC Spirent Communications PLC Spirit Pub Co. PLC Sportingbet PLC Sports Direct International PLC St. James’s Place PLC St. Modwen Properties PLC Stagecoach Group PLC Sthree PLC Stobart Group Ltd. Stolt-Nielsen Ltd. SuperGroup PLC Synergy Health PLC TalkTalk Telecom Group PLC Taylor Wimpey PLC Telecity Group PLC Telecom Plus PLC Thomas Cook Group PLC Travis Perkins PLC TT electronics PLC Tullet Prebon PLC

66,690 139,743 314,350 261,662 46,124 21,363 277,151 139,553 317,881 17,879 883,880 98,355 50,873 143,616 42,186 79,564 107,170 120,149 62,103 38,778 193,323 45,603 122,226 182,575 289,376 613,654 108,167 93,813 56,594 264,869 37,802 320,934 303,452 266,790 85,174 95,667 75,105 210,666 44,329 137,315 13,224 14,349 27,273 246,282 1,558,741 99,827 24,262 448,237 120,994 66,556 105,281

See Accompanying Notes to the Financial Statements.

358

COST

$

983 687 667 227 102 326 242 278 435 244 1,349 373 684 667 945 477 342 366 321 323 359 151 813 285 496 171 610 210 909 123 892 577 299 231 200 421 203 774 195 304 222 268 310 514 881 793 182 755 1,571 109 577

VALUE

$

1,344 672 825 204 83 432 267 273 457 423 998 503 1,189 391 1,458 511 406 354 359 412 583 108 1,043 224 426 132 553 151 1,372 100 1,164 831 245 140 385 516 208 932 200 252 234 94 385 670 1,078 1,342 304 118 1,913 154 450

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES

COST

VALUE

COMMON STOCKS - 97.4%- (CONTINUED) United Kingdom - 17.7% - (Continued) Ultra Electronics Holdings PLC Unite Group PLC Valiant Petroleum PLC Vectura Group PLC Victrex PLC Volex PLC WH Smith PLC William Hill PLC Wolfson Microelectronics PLC Workspace Group PLC WSP Group PLC Xchanging PLC Xcite Energy Ltd. Yule Catto & Co. PLC

33,633 79,549 18,252 169,547 38,116 23,798 66,837 341,600 56,309 51,193 32,608 110,289 121,465 140,563

United States - 0.6% Alacer Gold Corp. Argonaut Gold, Inc. Atlantic Power Corp. BNK Petroleum, Inc. Boart Longyear Ltd. China XLX Fertiliser Ltd. Golden Star Resources Ltd. Sound Global Ltd. Tahoe Resources, Inc. Tetragon Financial Group Ltd. Thompson Creek Metals Co., Inc.

106,497 47,499 56,935 66,169 231,689 154,561 119,102 281,804 44,542 61,503 77,430

709 328 749 338 720 57 362 150 729 498 770 5,410 758,090

632 394 784 50 558 41 139 139 674 463 216 4,090 725,753

684 2,312

41 166 207

25 181 206

2,581 3,132 17,309 7,322 4,096 9,037 1,270

132 205 599 179 122 124 139 1,500

129 307 925 193 286 140 180 2,160

140,385

256 1,963

169 2,535

TOTAL COMMON STOCKS PREFERRED STOCKS - 0.3% Australia - 0.0% Gunns Ltd. Multiplex SITES Trust Germany - 0.3% Biotest A.G. Draegerwerk A.G. & Co. KGaA Fuchs Petrolub A.G. Jungheinrich A.G. Sartorius A.G. Sixt A.G. Sto A.G. Italy - 0.0% Unipol Gruppo Finanziario S.p.A. TOTAL PREFERRED STOCKS

See Accompanying Notes to the Financial Statements.

359

$

785 258 172 179 630 117 496 1,055 139 184 154 261 266 364 123,387

$

774 264 122 183 758 87 576 1,681 178 200 222 168 146 308 131,874

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Warrants)

SHARES RIGHTS - 0.0% France - 0.0% Technicolor S.A. TOTAL RIGHTS

114,844

COST

$

NUMBER OF WARRANTS WARRANTS - 0.0% France - 0.0% UBISOFT Entertainment, Exp. 10/10/13

39,140

Netherlands - 0.0% Vastned Offices, Exp. 4/1/13(2)

16,757

VALUE

8 8

COST

$

UNITS

2,012,727

(3)

-

-

1 VALUE

$

2,013 2,013 730,308 14,672 $744,980

NET ASSETS - 100.0%

(2)

1

-

2,013 2,013 762,074

Other Assets less Liabilities - 2.0%

(1)

$

COST

$

6 6

VALUE

-

TOTAL WARRANTS

SHORT-TERM INVESTMENTS - 0.3% Northern Trust Global Investments Collective Short-Term Investment Fund(3) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 98.0%

$

Security has been deemed worthless by the Northern Trust Global Investments Pricing and Valuation Committee and is a Level 3 investment. Security has been delisted. Investment in affiliated fund.

Percentages shown are based on Net Assets. SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT COMMON STOCKS PREFERRED STOCKS NORTHERN TRUST FUND TOTAL

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$402,856 1,181

$ 769,266 2,027

$2,529 320

360,546

365,950

—

$764,583

$1,137,243

$2,849

See Accompanying Notes to the Financial Statements.

360

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Number of Contracts)

OPEN FUTURES CONTRACTS: TYPE

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

CURRENCY

DAX INDEX

Euro

15

$3,133

Long

9/12

$230

EURO STOXX 50

Euro

37

1,061

Long

9/12

58

FTSE 100 INDEX NIKKEI 225

British Pound Japanese Yen

35 82

3,074 4,554

Long Long

9/12 9/12

82 85

S&P/TSX 60 INDEX

Canadian Dollar

28

3,710

Long

9/12

75

SPI 200 INDEX

Australian Dollar

22

2,447

Long

9/12

68

YEN DENOMINATED NIKKEI

Japanese Yen

3

165

Long

9/12

2 $600

TOTAL

Foreign currency and other liquid assets are pledged as collateral to cover margin requirements for open futures contracts. At July 31, 2012, the Collective Developed International Small Cap Index Fund - Non Lending’s investments had outstanding foreign currency exchange contracts as follows: CONTRACTS TO DELIVER CURRENCY United States Dollar

AMOUNT (LOCAL CURRENCY) 1,000

IN EXCHANGE FOR CURRENCY

AMOUNT (LOCAL CURRENCY)

SETTLEMENT DATE

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR)

COUNTERPARTY

Euro

799

9/19/12

$(15)

UBS Securities New York

Australian Dollar Australian Dollar

327 291

United States Dollar United States Dollar

340 290

9/19/12 9/19/12

(2) (15)

UBS Securities New York UBS Securities New York

British Pound British Pound

639 449

United States Dollar United States Dollar

1,000 700

9/19/12 9/19/12

(2) (3)

UBS Securities New York UBS Securities New York

Canadian Dollar Canadian Dollar Canadian Dollar

408 140 494

United States Dollar United States Dollar United States Dollar

400 135 480

9/19/12 9/19/12 9/19/12

(7) (4) (13)

Goldman Sachs Capital Markets NY UBS Securities New York UBS Securities New York

962 545 2,637 776 74,613 2,732 432 125 842 170 56 1,257 500 128 180 1,206 350

United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar Australian Dollar Australian Dollar Australian Dollar British Pound British Pound British Pound British Pound Canadian Dollar Canadian Dollar

1,200 680 340 100 940 457 454 130 850 166 56 808 321 82 115 1,239 360

9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12

15 9 — — (16) 4 11 2 49 4 3 9 3 — — 28 9

Morgan Stanley & Co. New York UBS Securities New York Citibank London UBS Securities New York UBS Securities New York UBS Securities New York Citibank London UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York UBS Securities New York Citibank London UBS Securities New York

Euro Euro Hong Kong Dollar Hong Kong Dollar Japanese Yen Norwegian Krone Swiss Franc Swiss Franc United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar

See Accompanying Notes to the Financial Statements.

361

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

CONTRACTS TO DELIVER CURRENCY

AMOUNT (LOCAL CURRENCY)

United States Dollar United States Dollar

92 120

IN EXCHANGE FOR CURRENCY Canadian Dollar Canadian Dollar

AMOUNT (LOCAL CURRENCY) 95 123

SETTLEMENT DATE

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR)

9/19/12 9/19/12

$

2 2

COUNTERPARTY UBS Securities New York UBS Securities New York

United States Dollar

65

Euro

52

9/19/12

(2)

Citibank London

United States Dollar United States Dollar

1,100 210

Euro Euro

910 170

9/19/12 9/19/12

22 (1)

Morgan Stanley & Co. New York UBS Securities New York

United States Dollar

400

Euro

325

9/19/12

1

United States Dollar

124

Euro

98

9/19/12

(3)

UBS Securities New York

United States Dollar United States Dollar United States Dollar

1,011 330 225

Japanese Yen Japanese Yen Japanese Yen

80,088 26,076 17,839

9/19/12 9/19/12 9/19/12

15 4 3

Morgan Stanley & Co. New York UBS Securities New York UBS Securities New York

United States Dollar United States Dollar United States Dollar

200 172 260

Japanese Yen Japanese Yen Japanese Yen

15,784 13,555 20,331

9/19/12 9/19/12 9/19/12

2 2 —

UBS Securities New York UBS Securities New York UBS Securities New York

United States Dollar

205

Singapore Dollar

United States Dollar United States Dollar

176 140

Swedish Krona Swiss Franc

263

9/19/12

6

1,241 135

9/19/12 9/19/12

6 (2) $126

Total

At July 31, 2012, the Collective Developed International Small Cap Index Fund - Non Lending’s investments (excluding short-term investments) were denominated in the following currencies: CONCENTRATION BY CURRENCY Japanese Yen British Pound Euro Canadian Dollar Australian Dollar All other currencies less than 5% Total

% OF INVESTMENTS 25.0% 18.9 18.1 13.2 8.2 16.6 100.0%

At July 31, 2012, the Collective Developed International Small Cap Index Fund - Non Lending’s investments (excluding short-term investments) were diversified as follows: INDUSTRY SECTOR Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommuncation Services Utilities Total

% OF INVESTMENTS 17.5% 6.1 8.3 19.1 4.9 20.0 8.3 12.4 1.0 2.4 100.0%

See Accompanying Notes to the Financial Statements.

362

UBS Securities New York

Citibank London Morgan Stanley & Co. New York Goldman Sachs Capital Markets NY

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, and/or securities indices). The Fund adjusted the price of certain foreign equity securities held in its portfolio on July 31, 2012 using adjustment factors designed to reflect more accurately the fair value of the securities. See Note 2 for a discussion of this procedure. The fair valuation of these securities resulted in their categorization as Level 2 investments. Level 3 - Valuations based on inputs that are unobservable and significant. The Fund utilized the following valution technique on Level 3 investments: The Fund valued certian securities using a quote from a third party pricing provider. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the Collective Developed International Small Cap Index Fund Non Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Common Stocks

—

$127,916

44,148 60,111

— —

— 212

44,148 60,323

138,393 34,975

217 —

— —

138,610 34,975

145,003 60,754

— —

587 —

145,590 60,754

Telecommunication Services

88,254 7,261

— —

342 —

88,596 7,261

Utilities

17,580

—

—

17,580

Financials

350

—

—

350

Health Care

722 333

— —

— —

722 333

1,105

—

25

1,130

6

—

—

6

1 —

— 2,013

— —

1 2,013

$726,912

$2,230

$1,166

$730,308

Consumer Discretionary

$127,916

Consumer Staples Energy Financials Health Care Industrials Information Technology Materials

$

—

$

Preferred Stocks

Industrials Materials Rights Consumer Discretionary Warrants Information Technology Short-Term Investments Total Investments

See Accompanying Notes to the Financial Statements.

363

NT COLLECTIVE DEVELOPED INTERNATIONAL SMALL CAP INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts Foreign Currency Exchange Contracts

$600

$ —

$—

$600

—

211

—

211

Liabilities

—

Foreign Currency Exchange Contracts

(85)

$600

Total Other Financial Instruments

—

$126

(85)

$—

$726

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly. The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value: CHANGE IN CHANGE IN UNREALIZED TRANSFERS TRANSFERS BALANCE BALANCE REALIZED REALIZED UNREALIZED AS OF 7/31/11 GAINS (LOSSES) APPRECIATION (DEPRECIATION) PURCHASES SALES IN TO LEVEL 3* OUT OF LEVEL 3 AS OF 7/31/12 Common Stock

—

$—

$ —

$ —

$—

Industrials

— —

— —

(253) —

198 —

— —

90 —

(35) —

Information Technology

—

—

—

—

—

—

—

—(1)

—

—

1,079

—

—

—

(737)

—

—

—

—

342

—

—

—

—

—

—

—

25

—

25

$1,079

$—

$824

$—

$1,166

Energy Healthcare

Materials

$

$ —

$—

$212

$—

$ 212

— 587

— —

— 587

Preferred Stock Materials Total Investments (1) *

$(253)

$198

$(737)

$ 90

$(35)

Amount rounds to less than $1. The value of Transfers Into Level 3 was measured using the fair value as of the end of the year. Transfers into Level 3 investments occurred from suspension from actively traded markets.

The amount of change in total unrealized loss on investments in Level 3 securities still held at July 31, 2012 was approximately $570, which is included in the Statement of Operations and Changes in Net Assets as Change in Unrealized Appreciation (Depreciation).

See Accompanying Notes to the Financial Statements.

364

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (Cost $472,348) Investments in Northern Trust Fund, at Value (Cost $8,664) Cash Held at Broker (Restricted $180) Foreign Currencies (Cost $1,853) Receivable for Investments Sold Receivable for Variation Margin on Futures Contracts Receivable for Fund Units Sold Unrealized Gain on Forward Foreign Currency Exchange Contracts Reclaims Receivable Accrued Income Receivable Total Assets LIABILITIES Payable for Fund Units Redeemed Payable for Variation Margin on Futures Contracts Unrealized Loss on Forward Foreign Currency Exchange Contracts Due to Broker Accrued Expenses Total Liabilities

$

$

$

5,215 56 52 44 35 5,402

$

513,287

$

$

13,468 18 9 13,495 14 211 85 310

$

13,185

Net Realized Gains (Losses) on Securities Transactions

$

(2,235)

Net Realized Gains (Losses) on Futures Contracts

$

(276)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(297)

NET ASSETS (Equivalent to $132.463 Per Unit, Based on 3,874,963 Units Outstanding)

$

504,419 8,664 1,764 1,858 8 56 464 89 220 1,147 518,689

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $441 in Foreign Withholding Tax) Interest Income (Net of Foreign Withholding Tax, which is less than $1) Income from Investment in Northern Trust Fund Total Investment Income Less: Audit Fee Expense Recovery Other Expenses Total Expenses Net Investment Income (Loss)

$

REALIZED AND UNREALIZED GAINS (LOSSES)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$ $

22,159 32,177 10,018

Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts and on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year

$

End of Year

72 56

Change in Net Unrealized Appreciation (Depreciation)

$

Net Realized and Unrealized Gains (Losses) on Investments and Futures Contracts and Foreign Currency Transactions

$

7,194

Net Increase (Decrease) in Net Assets from Investment Activities

$

20,379

$ $

180,232 (98,477) 81,755

$

102,134

$

513,287

UNIT TRANSACTIONS Admission of 1,495,019 Units Withdrawal of 827,073 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets

(16)

NET ASSETS Beginning of Year (3,207,017 Units Outstanding)

411,153

End of Year (3,874,963 Units Outstanding)* * 13.7% owned by NT Collective Globl Real Estate Fund - TD - Non Lending

See Accompanying Notes to the Financial Statements.

365

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING FINANCIAL HIGHLIGHTS

For the Year Ended July 31, 2012

For the Year Ended July 31, 2011

For the Period October 19, 2009 (Commencement of Operations) to July 31, 2010

Unit Value, Beginning of Period

$

128.204

Net Investment Income (Loss) Net Realized and Unrealized Gains (Losses) Net Increase (Decrease)

$

106.469

$

100.000

4.458

3.023

2.654

(0.199)

18.712

3.815

4.259

21.735

6.469

Unit Value, End of Period

$

132.463

Total Return (1)

$

3.32%

128.204

$

20.41%

106.469 6.47%

Supplemental Data and Ratios Net Assets (000's Omitted) Ratio to Average Net Assets of:

$

513,287

$

411,153

$

75,711

(2)

Expenses - net of refund

0.07%

0.07%

N/A

Expenses - before refund

0.07%

0.07%

0.16%

Net Investment Income (Loss) - net of refund

3.12%

2.96%

N/A

Net Investment Income (Loss) - before refund

3.12%

2.96%

3.41%

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of period.

(2)

Ratios are annualized for periods less than one year. N/A - Not applicable.

See Accompanying Notes to the Financial Statements. 366

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3% Australia - 7.5% BWP Trust Centro Retail Australia CFS Retail Property Trust Group Charter Hall Retail REIT Commonwealth Property Office Fund Dexus Property Group FKP Property Group Goodman Group GPT Group Investa Office Fund Mirvac Group Stockland Westfield Group Westfield Retail Trust Austria - 0.6% Atrium European Real Estate Ltd. CA Immobilien Anlagen A.G. Conwert Immobilien Invest S.E. IMMOFINANZ A.G. Belgium - 0.4% Befimmo S.C.A. Sicafi Cofinimmo Intervest Offices Leasinvest Real Estate S.C.A. Warehouses De Pauw S.C.A. Wereldhave Belgium N.V. Brazil - 2.3% Aliansce Shopping Centers S.A. BR Malls Participacoes S.A. BR Properties S.A. Brookfield Incorporacoes S.A. Camargo Correa Desenvolvimento Imobiliario S.A. Cyrela Brazil Realty S.A. Empreendimentos e Participacoes Even Construtora e Incorporadora S.A. Ez Tec Empreendimentos e Participacoes S.A. Gafisa S.A. General Shopping Brasil S.A. Helbor Empreendimentos S.A. Iguatemi Empresa de Shopping Centers S.A. JHSF Participacoes S.A. MRV Engenharia e Participacoes S.A. Multiplan Empreendimentos Imobiliarios S.A. PDG Realty S.A. Empreendimentos e Participacoes Rodobens Negocios Imobiliarios S.A. Rossi Residencial S.A. Sonae Sierra Brasil S.A. Tecnisa S.A.

257,268 654,692 1,033,816 146,533 1,164,073 2,364,573 447,524 752,626 886,075 300,069 1,669,443 1,089,701 1,127,770 1,492,518

90,491 42,652 41,730 535,068

COST

$

455 1,325 1,921 459 1,064 2,016 316 2,579 2,703 739 2,140 3,869 10,813 3,946 34,345

VALUE

$

535 1,412 2,154 534 1,311 2,463 177 2,978 3,198 919 2,407 3,842 11,868 4,790 38,588

413 652 594 1,974

404 423 472 1,753

3,633

3,052

8,887 7,566 3,454 742 5,078 1,200

714 995 109 67 262 112 2,259

532 822 84 61 256 117 1,872

50,665 219,632 151,381 105,443 22,630 154,663 113,361 28,871 208,856 12,450 71,592 19,186 42,055 176,322 40,563 549,553 11,707 97,279 15,174 68,512

398 2,215 1,662 454 81 1,707 549 302 1,225 81 281 410 109 1,432 847 2,772 104 742 228 432

464 2,566 1,748 160 60 1,131 360 306 259 54 317 408 127 967 1,019 929 56 223 209 244

See Accompanying Notes to the Financial Statements.

367

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) Brazil - 2.3% - (Continued) Viver Incorporadora e Construtora S.A.

103,191

COST

$

182

VALUE

$

74

16,213

11,681

Canada - 4.3% Allied Properties Real Estate Investment Trust Artis Real Estate Investment Trust Boardwalk Real Estate Investment Trust Calloway Real Estate Investment Trust Canadian Apartment Properties REIT Canadian Real Estate Investment Trust Chartwell Seniors Housing Real Estate Investment Trust Cominar Real Estate Investment Trust Crombie Real Estate Investment Trust Dundee Real Estate Investment Trust Extendicare, Inc. First Capital Realty, Inc. Granite Real Estate, Inc. Granite Real Estate, Inc. (New York Exchange) H&R Real Estate Investment Trust InnVest Real Estate Investment Trust Killam Properties, Inc. Morguard Real Estate Investment Trust Northern Property Real Estate Investment Trust NorthWest Healthcare Properties Real Estate Investment Trust Primaris Retail Real Estate Investment Trust RioCan Real Estate Investment Trust

27,257 53,079 23,365 52,197 45,495 33,054 83,196 54,118 22,440 47,110 41,218 34,849 22,600 300 88,306 46,556 24,178 21,182 15,269 17,403 42,854 139,913

590 700 1,045 1,205 818 1,064 657 1,143 285 1,491 373 554 774 10 1,781 263 258 305 427 210 835 3,134 17,922

816 894 1,492 1,539 1,116 1,390 833 1,328 336 1,806 315 646 807 11 2,203 241 315 384 506 233 1,026 3,998 22,235

Chile - 0.1% Parque Arauco S.A.

255,703

486

486

680,000 334,000 126,200 639,995 1,790,984 2,930,000 1,009,500 382,000 474,400 976,000 504,500

939 92 238 802 683 1,730 123 306 700 566 752

809 60 239 823 679 1,368 103 404 605 602 744

251,500 1,453,150 2,063,798 1,015,500

371 667 1,081 742 9,792

244 600 1,009 756 9,045

China - 1.8% Agile Property Holdings Ltd. Beijing North Star Co. Ltd., Class H China Merchants Property Development Co. Ltd., Class B China Vanke Co. Ltd., Class B Country Garden Holdings Co. Evergrande Real Estate Group Ltd. Fantasia Holdings Group Co. Ltd. Greentown China Holdings Ltd. Guangzhou R&F Properties Co. Ltd., Class H Hui Xian Real Estate Investment Trust Longfor Properties Co. Ltd. Shanghai Lujiazui Finance & Trade Zone Development Co. Ltd., Class B Shui On Land Ltd. Sino-Ocean Land Holdings Ltd. Soho China Ltd.

See Accompanying Notes to the Financial Statements.

368

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) Egypt - 0.0% Six of October Development & Investment Finland - 0.2% Citycon OYJ Sponda OYJ Technopolis OYJ France - 2.8% Affine S.A. ANF Immobilier Fonciere Des Regions Gecina S.A. ICADE Klepierre Mercialys S.A. Orco Property Group Societe de la Tour Eiffel Societe Immobiliere de Location pour I’Industrie et le Commerce Unibail-Rodamco S.E. Germany - 1.0% Alstria Office REIT-A.G. Colonia Real Estate A.G. Deutsche Euroshop A.G. Deutsche Wohnen A.G. (Bearer) DIC Asset A.G. GAGFAH S.A. GSW Immobilien A.G. Hamborner REIT A.G. IVG Immobilien A.G. Patrizia Immobilien A.G. Prime Office REIT-A.G. TAG Immobilien A.G. Greece - 0.0% Eurobank Properties Real Estate Investment Co. Hong Kong - 10.6% C C Land Holdings Ltd. Champion REIT China Overseas Land & Investment Ltd. China Resources Land Ltd. Franshion Properties China Ltd. Hang Lung Properties Ltd. Henderson Land Development Co. Ltd. Hongkong Land Holdings Ltd. Hysan Development Co. Ltd. Kerry Properties Ltd.

43,134

102,027 139,579 36,683

COST

$

VALUE

201

$

119

398 658 182

311 562 150

1,238

1,023

2,046 5,496 13,437 8,960 10,622 46,356 22,399 8,418 2,748

51 238 1,244 1,025 1,110 1,696 543 38 202

29 231 974 824 816 1,514 443 21 147

6,384 44,629

819 8,477

629 8,596

15,443

14,224

38,465 9,729 25,237 71,408 16,940 43,757 24,690 21,610 75,684 13,767 18,235 46,838

529 66 933 950 198 414 750 206 432 80 163 414 5,135

429 40 929 1,193 142 450 911 182 176 85 78 451 5,066

8,927

72

45

628,000 1,195,127 1,994,993 1,138,183 1,778,000 1,089,793 576,234 851,000 384,633 348,936

154 641 3,949 2,105 459 4,480 3,770 5,460 1,639 1,744

135 526 4,719 2,311 550 3,879 3,359 5,106 1,627 1,604

See Accompanying Notes to the Financial Statements.

369

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) Hong Kong - 10.6% - (Continued) Link REIT (The) Mingfa Group International Co. Ltd. New World China Land Ltd. New World Development Ltd. Poly Hong Kong Investments Ltd. Shenzhen Investment Ltd. Shimao Property Holdings Ltd. Sino Land Co. Ltd. Sun Hung Kai Properties Ltd. Swire Properties Ltd. Wharf Holdings Ltd. Yuexiu Property Co. Ltd. India - 0.3% Anant Raj Industries Ltd. DLF Ltd. Orbit Corp. Ltd. Parsvnath Developers Ltd. Prestige Estates Projects Ltd. Sunteck Realty Ltd. Unitech Ltd. Indonesia - 0.7% Agung Podomoro Land Tbk PT Alam Sutera Realty Tbk PT Bakrieland Development Tbk PT Bumi Serpong Damai PT Ciputra Development Tbk PT Ciputra Properity Tbk PT Ciputra Surya Tbk PT Intiland Development Tbk PT Kawasan Industri Jababeka Tbk PT Lippo Karawaci Tbk PT Pakuwon Jati Tbk PT Sentul City Tbk PT Summarecon Agung Tbk PT Israel - 0.1% Azrieli Group Italy - 0.0% Beni Stabili S.p.A. Immobiliare Grande Distribuzione Japan - 8.1% Activia Properties, Inc. Advance Residence Investment Corp. Aeon Mall Co. Ltd. Japan Prime Realty Investment Corp.

1,075,440 577,000 1,264,000 2,234,863 876,000 1,335,307 676,743 1,438,283 958,006 314,000 738,912 3,397,600

COST

$

3,416 184 373 3,184 787 420 1,003 2,398 14,748 946 4,865 801 57,526

VALUE

$

4,716 149 486 2,862 460 308 972 2,463 11,979 938 4,289 771 54,209

56,169 250,218 41,390 68,034 31,293 9,301 954,146

113 1,397 57 76 97 86 1,024 2,850

48 941 34 48 63 59 371 1,564

3,082,994 7,151,387 21,671,000 3,401,500 5,529,132 1,483,447 386,000 3,693,000 9,635,000 8,466,750 6,850,144 11,471,879 2,501,500

119 389 334 464 242 65 30 113 186 590 162 199 281 3,174

112 347 140 413 380 99 79 133 186 796 163 267 428 3,543

17,698

450

377

479,331 65,610

386 122 508

220 62 282

101 403 44,200 350

591 785 1,085 919

603 789 1,067 913

See Accompanying Notes to the Financial Statements.

370

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES

COST

VALUE

COMMON STOCKS - 98.3%- (CONTINUED) Japan - 8.1% - (Continued) Japan Real Estate Investment Corp. Japan Retail Fund Investment Corp. Kenedix Realty Investment Corp. Mitsubishi Estate Co. Ltd. Mitsui Fudosan Co. Ltd. Mori Trust Sogo REIT, Inc. Nippon Accommodations Fund, Inc. Nippon Building Fund, Inc. Nomura Real Estate Holdings, Inc. Nomura Real Estate Office Fund, Inc. NTT Urban Development Corp. Orix JREIT, Inc. Premier Investment Co. Sumitomo Realty & Development Co. Ltd. Tokyo Tatemono Co. Ltd. Tokyu Land Corp. Tokyu REIT, Inc. Top REIT, Inc. United Urban Investment Corp.

268 916 138 509,133 431,000 59 72 297 37,400 148 638 105 96 233,000 160,000 194,000 62 76 1,027

Malaysia - 0.4% Eastern & Oriental Bhd. Glomac Bhd. IGB Corp. Bhd. IJM Land Bhd. KLCC Property Holdings Bhd. Land & General Bhd. LBS Bina Group Bhd. Pavilion Real Estate Investment Trust SP Setia Bhd. Tebrau Teguh Bhd. YTL Land & Development Bhd.

423,800 151,000 541,718 270,463 229,500 250,300 142,600 443,400 282,731 249,600 113,100

174 40 379 228 254 38 31 157 365 63 33 1,762

207 41 474 217 373 37 39 188 328 61 41 2,006

Mexico - 0.1% Consorcio ARA S.A.B. de C.V. Corporacion GEO S.A.B. de C.V., Series B Desarrolladora Homex S.A.B. de C.V. Sare Holding S.A.B. de C.V., Class B Urbi Desarrollos Urbanos S.A.B. de C.V.

474,714 200,709 123,298 368,073 241,942

270 588 617 95 494 2,064

127 211 244 34 143 759

45,122 19,977 30,964 9,016 10,608

2,801 873 549 595 980 5,798

1,999 676 267 344 558 3,844

Netherlands - 0.7% Corio N.V. Eurocommercial Properties N.V. - CVA Nieuwe Steen Investments N.V. Vastned Retail N.V. Wereldhave N.V.

See Accompanying Notes to the Financial Statements.

371

$

2,550 1,509 539 9,059 8,140 571 530 2,954 660 979 591 585 391 5,264 675 922 388 441 1,243 41,371

$

2,539 1,538 445 9,231 8,421 496 488 2,894 700 856 519 474 338 5,883 598 991 302 350 1,120 41,555

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES

COST

VALUE

COMMON STOCKS - 98.3%- (CONTINUED) New Zealand - 0.1% Kiwi Income Property Trust

473,755

Norway - 0.1% Norwegian Property ASA

243,762

429

343

2,522,700 4,719,000 5,078,000 806,000 901,400 3,388,800 1,641,300

867 114 234 248 134 809 101 2,507

1,320 154 275 376 134 1,135 173 3,567

54,022 101,582

353 55 408

101 38 139

36,319

83

82

274,000 1,017,000 1,033,000 1,549,000 1,220,000 760,000 347,397 333,000 223,000 1,122,268 364,000 682,000 601,262 892,240 1,090,000 282,000 187,998 289,000

183 1,619 1,074 4,120 1,761 1,092 536 2,906 155 1,835 1,079 516 561 617 1,235 1,091 229 337 20,946

171 1,855 1,113 3,735 1,922 996 572 3,131 170 2,029 1,006 587 628 728 1,266 1,174 213 282 21,578

38,390 38,389 787,915 247,943 563,479 852,686 89,621

29 21 960 441 512 1,974 682

31 27 1,028 395 547 2,642 743

Philippines - 0.7% Ayala Land, Inc. Filinvest Land, Inc. Megaworld Corp. Robinsons Land Corp. SM Development Corp. SM Prime Holdings, Inc. Vista Land & Lifescapes, Inc. Poland - 0.0% Globe Trade Centre S.A. LC Corp. S.A. Russia - 0.0% PIK Group Singapore - 4.2% Ascendas India Trust Ascendas Real Estate Investment Trust CapitaCommercial Trust CapitaLand Ltd. CapitaMall Trust CapitaMalls Asia Ltd. CDL Hospitality Trusts City Developments Ltd. First Real Estate Investment Trust Global Logistic Properties Ltd. Keppel Land Ltd. Mapletree Commercial Trust Mapletree Industrial Trust Mapletree Logistics Trust Suntec Real Estate Investment Trust UOL Group Ltd. Wing Tai Holdings Ltd. Yanlord Land Group Ltd. South Africa - 1.6% Arrowhead Properties Ltd., Class A Arrowhead Properties Ltd., Class B Capital Property Fund Emira Property Fund Fountainhead Property Trust Growthpoint Properties Ltd. Hyprop Investments Ltd.

See Accompanying Notes to the Financial Statements.

372

$

382

$

415

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) South Africa - 1.6% - (Continued) Redefine Properties Ltd. Resilient Property Income Fund Ltd. SA Corporate Real Estate Fund Nominees Pty Ltd.

1,316,392 137,847 997,588

COST

$

VALUE

1,338 611 423 6,991

$

1,478 791 438 8,120

Sweden - 0.9% Castellum AB Fabege AB Fastighets AB Balder, Class B Hufvudstaden AB, Class A Klovern AB Kungsleden AB Wallenstam AB, Class B Wihlborgs Fastigheter AB

84,102 80,933 55,729 74,538 62,156 66,488 56,321 37,193

1,107 777 277 794 244 574 583 500 4,856

1,132 703 257 909 224 382 605 541 4,753

Switzerland - 1.1% Allreal Holding A.G. (Registered) Mobimo Holding A.G. (Registered) PSP Swiss Property A.G. (Registered) Swiss Prime Site A.G. (Registered)

3,920 3,022 22,638 26,566

565 763 1,728 1,948

571 699 2,035 2,226

5,004

5,531

77,796

94

64

Thailand - 0.4% Amata Corp. PCL (Registered) Amata Corp. PCL NVDR Asian Property Development PCL (Registered) Asian Property Development PCL NVDR Central Pattana PCL (Registered) Central Pattana PCL NVDR Land and Houses PCL Land and Houses PCL (Registered) Land and Houses PCL NVDR LPN Development PCL (Registered) LPN Development PCL NVDR Property Perfect PCL (Registered) Property Perfect PCL NVDR Pruksa Real Estate PCL (Registered) Pruksa Real Estate PCL NVDR SC Asset Corp. PCL (Registered) SC Asset Corp. PCL NVDR Siam Future Development PCL NVDR Supalai PCL (Registered) Supalai PCL NVDR Ticon Industrial Connection PCL NVDR

26,300 229,839 63,960 327,060 68,701 248,210 348,980 700,920 418,774 43,594 237,237 423,498 2,213,968 3,601 320,636 30,802 95,440 233,450 230,301 54,537 190,000

7 107 9 55 67 236 69 139 89 9 78 9 57 2 176 7 32 56 73 22 80 1,379

14 126 15 77 107 386 87 173 104 24 131 15 77 2 180 15 46 58 130 31 81 1,879

Turkey - 0.2% Akfen Gayrimenkul Yatirim Ortakligi A.S. Akmerkez Gayrimenkul Yatirim Ortakligi A.S.

26,779 13,515

20 230

25 147

Taiwan - 0.0% Hung Poo Real Estate Development Corp.

See Accompanying Notes to the Financial Statements.

373

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) Turkey - 0.2% - (Continued) Alarko Gayrimenkul Yatirim Ortakligi A.S. Dogus Gayrimenkul Yatirim Ortakligi A.S. Emlak Konut Gayrimenkul Yatirim Ortakligi A.S. Is Gayrimenkul Yatirim Ortakligi A.S. Sinpas Gayrimenkul Yatirim Ortakligi A.S. Torunlar Gayrimenkul Yatirim Ortakligi A.S. United Arab Emirates - 0.3% Aldar Properties PJSC Emaar Properties PJSC United Kingdom - 4.4% Big Yellow Group PLC British Land Co. PLC Capital & Counties Properties PLC Capital Shopping Centres Group PLC Daejan Holdings PLC Derwent London PLC Development Securities PLC F&C Commercial Property Trust Ltd. Grainger PLC Great Portland Estates PLC Hammerson PLC Hansteen Holdings PLC Helical Bar PLC IRP Property Investments Ltd. Land Securities Group PLC London & Stamford Property PLC Mucklow A & J Group PLC Picton Property Income Ltd. Primary Health Properties PLC Quintain Estates & Development PLC Safestore Holdings PLC Schroder Real Estate Investment Trust Ltd. Segro PLC Shaftesbury PLC St. Modwen Properties PLC Standard Life Investment Property Income Trust PLC UK Commercial Property Trust Ltd. Unite Group PLC Workspace Group PLC United States - 42.3% Acadia Realty Trust Agree Realty Corp. Alexander’s, Inc. Alexandria Real Estate Equities, Inc. American Assets Trust, Inc. American Campus Communities, Inc. American Realty Capital Trust, Inc.

2,251 22,212 363,967 112,795 119,440 33,414

COST

$

24 26 613 96 109 129

VALUE

$

21 17 485 74 83 107

1,247

959

324 1,288

252 1,350

1,612

1,602

64,137 432,582 334,296 314,987 2,323 49,678 59,838 260,794 201,966 152,896 345,931 312,127 56,030 49,312 380,644 264,997 29,200 168,114 36,217 253,804 88,717 169,256 362,617 122,303 72,509 65,535 236,792 78,657 70,831

353 3,592 832 1,864 101 1,249 215 427 347 861 2,374 428 257 66 4,244 530 159 134 187 208 192 104 1,728 891 207 66 292 272 275 22,455

314 3,623 1,100 1,590 109 1,517 134 433 286 1,029 2,510 351 173 51 4,712 478 170 105 187 198 140 98 1,345 1,043 201 65 259 261 276 22,758

21,492 5,742 998 30,263 19,087 43,817 77,400

407 134 395 2,202 398 1,567 849

515 135 426 2,224 496 2,088 853

796,668 1,458,447

See Accompanying Notes to the Financial Statements.

374

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) United States - 42.3% - (Continued) Apartment Investment & Management Co., Class A Ashford Hospitality Trust, Inc. Associated Estates Realty Corp. AvalonBay Communities, Inc. BioMed Realty Trust, Inc. Boston Properties, Inc. Brandywine Realty Trust BRE Properties, Inc. Brookfield Office Properties, Inc. Camden Property Trust Campus Crest Communities, Inc. CapLease, Inc. CBL & Associates Properties, Inc. Cedar Shopping Centers, Inc. Chesapeake Lodging Trust Colonial Properties Trust CommonWealth REIT Corporate Office Properties Trust Cousins Properties, Inc. CubeSmart DCT Industrial Trust, Inc. DDR Corp. DiamondRock Hospitality Co. Digital Realty Trust, Inc. Douglas Emmett, Inc. Duke Realty Corp. DuPont Fabros Technology, Inc. EastGroup Properties, Inc. Education Realty Trust, Inc. Entertainment Properties Trust Equity Lifestyle Properties, Inc. Equity One, Inc. Equity Residential Essex Property Trust, Inc. Extra Space Storage, Inc. Federal Realty Investment Trust FelCor Lodging Trust, Inc. First Industrial Realty Trust, Inc. First Potomac Realty Trust Forest City Enterprises, Inc., Class A Franklin Street Properties Corp. General Growth Properties, Inc. Getty Realty Corp. Glimcher Realty Trust Government Properties Income Trust HCP, Inc. Health Care REIT, Inc. Healthcare Realty Trust, Inc. Hersha Hospitality Trust Highwoods Properties, Inc. Home Properties, Inc.

64,878 33,396 24,505 46,495 75,037 73,217 69,714 37,467 183,451 39,215 18,543 31,483 72,446 34,415 15,724 42,643 40,934 35,051 50,486 59,924 121,709 137,827 91,722 59,512 51,174 129,974 30,943 13,849 46,459 22,711 20,158 28,276 146,878 17,201 50,260 31,066 61,455 43,274 24,516 73,343 40,383 229,297 12,462 68,262 17,130 205,013 104,132 38,055 97,562 36,120 23,514

See Accompanying Notes to the Financial Statements.

375

COST

$

1,571 301 360 5,366 1,306 6,663 775 1,667 2,946 2,168 214 157 1,151 178 261 787 991 1,137 409 577 626 1,739 983 3,551 906 1,626 699 588 384 964 1,201 507 7,654 2,044 1,012 2,499 359 434 353 1,150 552 3,417 316 588 426 7,388 5,100 757 544 1,138 1,284

VALUE

$

1,780 255 366 6,839 1,411 8,120 828 1,974 3,139 2,796 203 143 1,429 177 267 966 747 780 383 719 762 2,073 868 4,646 1,203 1,879 832 741 545 1,026 1,450 613 9,299 2,707 1,646 3,376 297 551 284 1,035 419 4,155 232 684 392 9,679 6,480 935 474 1,223 1,543

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) United States - 42.3% - (Continued) Hospitality Properties Trust Host Hotels & Resorts, Inc. Inland Real Estate Corp. Investors Real Estate Trust Kilroy Realty Corp. Kimco Realty Corp. Kite Realty Group Trust LaSalle Hotel Properties Lexington Realty Trust Liberty Property Trust LTC Properties, Inc. Macerich (The) Co. Mack-Cali Realty Corp. Medical Properties Trust, Inc. Mid-America Apartment Communities, Inc. National Health Investors, Inc. National Retail Properties, Inc. Omega Healthcare Investors, Inc. Parkway Properties, Inc. Pebblebrook Hotel Trust Pennsylvania Real Estate Investment Trust Piedmont Office Realty Trust, Inc., Class A Post Properties, Inc. ProLogis, Inc. PS Business Parks, Inc. Public Storage Ramco-Gershenson Properties Trust Realty Income Corp. Regency Centers Corp. Retail Opportunity Investments Corp. RLJ Lodging Trust Rouse Properties, Inc. Sabra Healthcare REIT, Inc. Saul Centers, Inc. Senior Housing Properties Trust Simon Property Group, Inc. SL Green Realty Corp. Sovran Self Storage, Inc. Strategic Hotels & Resorts, Inc. Sun Communities, Inc. Sunstone Hotel Investors, Inc. Tanger Factory Outlet Centers Taubman Centers, Inc. UDR, Inc. Universal Health Realty Income Trust Urstadt Biddle Properties, Inc., Class A Ventas, Inc. Vornado Realty Trust Washington Real Estate Investment Trust Weingarten Realty Investors

60,296 351,330 43,334 42,495 33,292 198,326 30,174 41,787 75,514 57,348 14,988 64,498 42,974 65,977 19,805 13,594 52,159 51,682 11,141 25,635 27,682 84,543 25,916 224,369 8,848 62,394 22,893 65,135 43,945 24,717 51,844 11,863 18,200 7,135 79,389 148,093 43,765 14,087 99,788 12,866 66,180 45,166 28,651 129,431 6,096 9,958 143,876 90,073 32,250 59,124

See Accompanying Notes to the Financial Statements.

376

COST

$

1,454 5,726 372 347 1,241 3,394 142 1,072 591 1,913 414 2,946 1,383 649 1,215 610 1,284 1,037 170 511 345 1,580 907 7,014 510 6,792 262 2,175 1,773 277 852 144 305 298 1,714 15,737 3,047 552 573 417 644 1,178 1,568 3,073 219 180 7,392 7,465 954 1,415

VALUE

$

1,463 5,158 346 347 1,576 3,865 152 1,097 675 2,081 535 3,767 1,151 650 1,371 730 1,539 1,253 124 582 398 1,442 1,339 7,254 598 9,294 292 2,684 2,103 301 912 164 337 297 1,806 23,767 3,447 804 605 599 662 1,454 2,221 3,444 265 189 9,676 7,521 861 1,589

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Number of Warrants and Units)

SHARES COMMON STOCKS - 98.3%- (CONTINUED) United States - 42.3% - (Continued) Winthrop Realty Trust

COST

12,095

$

TOTAL COMMON STOCKS RIGHTS - 0.0% Brazil - 0.0% PDG Realty S.A. Empreendimentos e Participacoes(1) TOTAL RIGHTS

CONVERTIBLE BONDS - 0.0% Malaysia - 0.0% YTL Land & Development Bhd., 3.00%, 10/31/21 TOTAL CONVERTIBLE BONDS

$

Thailand - 0.0% Property Perfect PCL, Exp. 6/28/14(2) Property Perfect PCL, Exp. 6/28/14(2)

68

9,061

-

2 2

$

$

(2) (3)

10 10

VALUE

-

$

-

-

-

COST

$

8,664 8,664 481,012

VALUE

$

8,664 8,664 513,083 204 $513,287

NET ASSETS - 100.0% (1)

$

COST

UNITS

Other Assets less Liabilities - 0.0%

VALUE

11 11

170,049 30,250

8,663,570

147 217,042 504,407

TOTAL WARRANTS

SHORT-TERM INVESTMENTS - 1.7% Northern Trust Global Investments Collective Short-Term Investment Fund(3) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 100.0%

$

COST

NUMBER OF WARRANTS WARRANTS - 0.0% Netherlands - 0.0% Vastned Offices, Exp. 4/1/13(2)

143 181,702 472,337

95,440

PAR VALUE

VALUE

Cost amount rounds to less than $1. Cost and Value amount rounds to less than $1. Investment in affiliated fund.

Percentages shown are based on Net Assets.

See Accompanying Notes to the Financial Statements.

377

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Number of Contracts)

SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT COMMON STOCKS CORPORATE BONDS

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$151,011 11

$ 61,514 —

$(2,204) —

156,879

148,303

$307,901

$209,817

NORTHERN TRUST FUND TOTAL

— $(2,204)

The Brazilian and Indian governments charge transactional costs related to foreign investments in the Brazilian and Indian financial and capital markets. Transactional costs of $(31) have been netted against net realized gains (losses) on security transactions on the Statement of Operations and Changes in Net Assets. As such, the realized gains (losses) between this schedule and the Statement of Operations and Changes in Net Assets will differ by this amount. OPEN FUTURES CONTRACTS: TYPE

CURRENCY

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

EURO STOXX 50

Euro

26

$ 745

Long

9/12

$ 24

HANG SENG INDEX

Hong Kong Dollar Australian Dollar

10 12

1,271 1,334

Long Long

8/12 9/12

57 26

United States Dollar Japanese Yen

40 10

3,754 940

Long Long

9/12 9/12

4 (5)

SPI 200 INDEX E-MINI S&P MIDCAP 400 TOPIX INDEX

$106

TOTAL

Foreign currency and other liquid assets are pledged as collateral to cover margin requirements for open futures contracts.

See Accompanying Notes to the Financial Statements.

378

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

At July 31, 2012, the Global Real Estate Index Fund - Non Lending’s investments had outstanding foreign currency exchange contracts as follows: CONTRACTS TO DELIVER CURRENCY Australian Dollar Australian Dollar Australian Dollar

AMOUNT (LOCAL CURRENCY) 372 305

IN EXCHANGE FOR CURRENCY United States Dollar United States Dollar

AMOUNT (LOCAL CURRENCY) 390 305

SETTLEMENT DATE

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR)

9/19/12 9/19/12

$ —* (15)

COUNTERPARTY Morgan Stanley & Co. New York Morgan Stanley & Co. New York

18

United States Dollar

18

9/19/12

(1)

British Pound British Pound

160 152

United States Dollar United States Dollar

250 238

9/19/12 9/19/12

(1) —*

Morgan Stanley & Co. New York Morgan Stanley & Co. New York

Canadian Dollar

266

United States Dollar

265

9/19/12

—*

Morgan Stanley & Co. New York

Canadian Dollar Euro

337 248

United States Dollar United States Dollar

330 313

9/19/12 9/19/12

Euro Hong Kong Dollar

249 2,636

United States Dollar United States Dollar

307 340

9/19/12 9/19/12

—* —*

Morgan Stanley & Co. New York Citibank London

Hong Kong Dollar Japanese Yen Japanese Yen

4,535 40,159 33,191

United States Dollar United States Dollar United States Dollar

585 500 425

9/19/12 9/19/12 9/19/12

—* (14) —*

Morgan Stanley & Co. New York Goldman Sachs Capital Markets NY Morgan Stanley & Co. New York

Japanese Yen

70,770

United States Dollar

900

9/19/12

21 278

United States Dollar United States Dollar

16 223

9/19/12 9/19/12

Singapore Dollar Singapore Dollar Swiss Franc

22

United States Dollar

(6) 7

(7) —* —*

23

9/19/12

1

United States Dollar United States Dollar United States Dollar United States Dollar

260 240 215 276

Australian Dollar Australian Dollar British Pound British Pound

251 239 139 177

9/19/12 9/19/12 9/19/12 9/19/12

3 10 2 2

United States Dollar United States Dollar

341 320

Canadian Dollar Canadian Dollar

350 323

9/19/12 9/19/12

8 2

United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar

245 230 300 309 690 310 235 1,075 422 215 250 325 61

203 188 237 2,396 5,350 2,404 1,823 86,154 33,430 16,891 19,686 413 430

9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12 9/19/12

Euro Euro Euro Hong Kong Dollar Hong Kong Dollar Hong Kong Dollar Hong Kong Dollar Japanese Yen Japanese Yen Japanese Yen Japanese Yen Singapore Dollar Swedish Krona

$ 37

Total *

5 1 (8) —* —* —* —* 29 6 2 2 7 2

Amount rounds to less than $1.

See Accompanying Notes to the Financial Statements.

379

UBS Securities New York

UBS Securities New York Citibank London

Morgan Stanley & Co. New York Citibank London Morgan Stanley & Co. New York Citibank London Morgan Stanley & Co. New York UBS Securities New York Morgan Stanley & Co. New York UBS Securities New York Citibank London Goldman Sachs Capital Markets NY Citibank London UBS Securities New York UBS Securities New York Citibank London Citibank London Citibank London Citibank London Citibank London Morgan Stanley & Co. New York Morgan Stanley & Co. New York UBS Securities New York Morgan Stanley & Co. New York Morgan Stanley & Co. New York

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

At July 31, 2012, the Global Real Estate Index Fund - Non Lending’s investments (excluding short-term investments) were denominated in the following currencies: CONCENTRATION BY CURRENCY United States Dollar Hong Kong Dollar Japanese Yen Australian Dollar Euro Canadian Dollar All other currencies less than 5% Total

% OF INVESTMENTS 43.5% 11.4 8.2 7.7 5.8 5.0 18.4 100.0%

At July 31, 2012, the Global Real Estate Index Fund - Non Lending’s investments (excluding short-term investments) were diversified as follows: INDUSTRY SECTOR Diversified Real Estate Activities Diversified REITs Health Care Facilities Home Building Industrial REITs Office REITs Real Estate Development Companies Real Estate Operating Companies Residential REITs Retail REITs Specialized REITs Total

% OF INVESTMENTS 14.7% 10.6 0.1 1.2 3.8 10.2 5.9 9.8 8.8 22.8 12.1 100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unaudited quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, and/or securities indices). The Fund adjusted the price of certain foreign equity securities held in its portfolio on July 31, 2012 using adjustment factors designed to reflect more accurately the fair value of the securities. See Note 2 for a discussion of this procedure. The fair valuation of these securities resulted in their categorization as Level 2 investments. Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).

See Accompanying Notes to the Financial Statements.

380

NT COLLECTIVE GLOBAL REAL ESTATE INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the Global Real Estate Index Fund - Non Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Common Stocks Diversified Real Estate Activities

$ 73,965

—

$—

$ 73,965

53,700 315

— —

— —

53,700 315

5,927 19,257

— —

— —

5,927 19,257

51,552 29,545

— —

— —

51,552 29,545

49,537 43,761

— 506

— —

49,537 44,267

115,293 61,049

— —

— —

115,293 61,049

2

—

—

2

— —

10 8,664

— —

10 8,664

$503,903

$9,180

$—

$513,083

$

$

—

$—

$

89

—

Diversified REITs Health Care Facilities Home Building Industrial REITs Office REITs Real Estate Development Companies Real Estate Operating Companies Residential REITs Retail REITs Specialized REITs

$

Rights Home Building Convertible Bonds Diversified Real Estate Activities Short-Term Investments Total Investments

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts

111 —

Foreign Currency Exchange Contracts

111 89

Liabilities Futures Contracts

(5)

—

—

(5)

Foreign Currency Exchange Contracts

—

(52)

—

(52)

Total Other Financial Instruments

$

106

$

37

$—

$

143

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly.

See Accompanying Notes to the Financial Statements.

381

NT COLLECTIVE CANADA INDEX FUND - NON LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (Cost $749,022) Investments in Northern Trust Fund, at Value (Cost $6,061) Cash Held at Broker (Restricted $582) Foreign Currencies (Cost $2,485) Receivable for Variation Margin on Futures Contracts Receivable for Fund Units Sold Unrealized Gain on Forward Foreign Currency Exchange Contracts Accrued Income Receivable Total Assets

$

$

700,231 6,061 1,186 2,501 13 503 255 1,165 711,915

LIABILITIES Due to Broker Payable for Investments Purchased Payable for Fund Units Redeemed Payable for Variation Margin on Futures Contracts Unrealized Loss on Forward Foreign Currency Exchange Contracts Accrued Expenses Total Liabilities

$

79 21 137 78 98 26 439

NET ASSETS (Equivalent to $121.820 Per Unit, Based on 5,840,397 Units Outstanding)

$

711,476

$

$

16,576 9 16,585 14 166 141 321

$

16,264

$

(2,801)

$

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $12 in Foreign Withholding Tax) Income from Investment in Northern Trust Fund Total Investment Income Less: Audit Fee Expense Recovery Other Expenses Total Expenses Net Investment Income (Loss)

$

REALIZED AND UNREALIZED GAINS (LOSSES) Net Realized Gains (Losses) on Securities Transactions Net Realized Gains (Losses) on Futures Contracts

$

(473)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(127)

$

10,508 (48,728) (59,236)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$

Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts and on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year

$

End of Year

(2) 186

Change in Net Unrealized Appreciation (Depreciation)

$

Net Realized and Unrealized Gains (Losses) on Investments and Futures Contracts and Foreign Currency Transactions

$

(62,449)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(46,185)

$ $

478,945 (57,080) 421,865

$

375,680

UNIT TRANSACTIONS Admission of 3,883,698 Units Withdrawal of 463,664 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets

188

NET ASSETS Beginning of Year (2,420,363 Units Outstanding)

335,796

End of Year (5,840,397 Units Outstanding*)

$

*82.3% owned by NT Collective ACWI ex-US Index Fund - Non Lending *9.1% owned by NT Collective World ex-US Investable Market Index Fund - Lending *3.7% owned by NT Collective World ex-US Index Fund - Non Lending

See Accompanying Notes to the Financial Statements.

382

711,476

NT COLLECTIVE CANADA INDEX FUND - NON LENDING FINANCIAL HIGHLIGHTS

For the Year Ended July 31, 2012

For the Year Ended July 31, 2011

For the Period September 2, 2009 (Commencement of Operations) to July 31, 2010

Unit Value, Beginning of Period

$

138.738

Net Investment Income (Loss)

$

116.060

$

100.000

3.399

3.188

2.175

Net Realized and Unrealized Gains (Losses)

(20.317)

19.490

13.885

Net Increase (Decrease)

(16.918)

22.678

16.060

Unit Value, End of Period

$

121.820

Total Return (1)

$

(12.20)%

138.738

$

19.54%

116.060 16.06%

Supplemental Data and Ratios Net Assets (000's Omitted) Ratio to Average Net Assets of:

$

711,476

$

335,796

$

69,117

(2)

Expenses - net of refund

0.05%

0.05%

N/A

Expenses - before refund

0.05%

0.05%

0.27%

Net Investment Income (Loss) - net of refund

2.78%

2.38%

N/A

Net Investment Income (Loss) - before refund

2.78%

2.38%

2.28%

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of period. Total Return is not annualized for periods less than one year.

(2)

Ratios are annualized for periods less than one year. N/A - Not applicable.

See Accompanying Notes to the Financial Statements. 383

NT COLLECTIVE CANADA INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 98.1% Aerospace/Defense - 0.2% CAE, Inc. Apparel - 0.3% Gildan Activewear, Inc.

153,331

COST

$

1,629

VALUE

$

1,547

68,667

1,807

1,937

Auto Parts & Equipment - 0.8% Magna International, Inc.

131,886

5,234

5,290

Banks - 23.5% Bank of Montreal Bank of Nova Scotia Canadian Imperial Bank of Commerce National Bank of Canada Royal Bank of Canada Toronto-Dominion Bank (The)

380,919 654,586 239,508 95,672 856,453 538,711

22,317 34,601 17,865 6,723 44,766 40,779 167,051

21,830 34,189 17,528 7,128 43,904 42,417 166,996

Chemicals - 4.4% Agrium, Inc. Potash Corp. of Saskatchewan, Inc.

93,851 510,726

7,224 24,177 31,401

8,932 22,624 31,556

53,685

1,211

1,136

133,922 280,643

2,505 9,531 12,036

3,157 2,011 5,168

92,847 61,059 44,339

1,948 2,695 1,740 6,383

2,067 2,393 2,190 6,650

112,283 133,587

3,590 2,767 6,357

3,757 2,086 5,843

Engineering & Construction - 0.5% SNC-Lavalin Group, Inc.

89,832

4,514

3,546

Food - 1.6% Empire Co. Ltd., Class A George Weston Ltd. Loblaw Cos. Ltd. Metro, Inc. Saputo, Inc.

18,020 30,529 67,027 59,964 76,966

1,006 2,094 2,530 2,846 3,010 11,486

1,027 1,805 2,178 3,329 3,281 11,620

Commercial Services - 0.2% Ritchie Bros. Auctioneers, Inc. Computers - 0.7% CGI Group, Inc., Class A Research In Motion Ltd. Diversified Financial Services - 0.9% CI Financial Corp. IGM Financial, Inc. TMX Group, Inc. Electric - 0.8% Fortis, Inc. TransAlta Corp.

See Accompanying Notes to the Financial Statements.

384

NT COLLECTIVE CANADA INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES

COST

VALUE

COMMON STOCKS - 98.1%- (CONTINUED) Forest Products & Paper - 0.0% Sino-Forest Corp.(1)

64,835

Gas - 0.3% Canadian Utilities Ltd., Class A

33,713

1,903

2,354

102,083

2,411

2,347

11,842 169,460 53,831 77,057 1,071,326 207,808 147,462 349,613

4,731 3,894 1,713 4,111 14,645 5,222 4,065 8,735

4,460 3,665 1,200 4,959 11,512 4,777 3,637 7,597

47,116

41,807

54,749

1,782

2,085

223,611 221,687

4,611 7,106

4,366 6,290

11,717

10,656

Hand/Machine Tools - 0.3% Finning International, Inc. Insurance - 5.9% Fairfax Financial Holdings Ltd. Great-West Lifeco, Inc. Industrial Alliance Insurance & Financial Services, Inc. Intact Financial Corp. Manulife Financial Corp. Power Corp. of Canada Power Financial Corp. Sun Life Financial, Inc. Investment Companies - 0.3% Onex Corp. Media - 1.5% Shaw Communications, Inc., Class B Thomson Reuters Corp.

$

1,215

$

-

Mining - 14.1% Agnico-Eagle Mines Ltd. Barrick Gold Corp. Cameco Corp. Centerra Gold, Inc. Eldorado Gold Corp. First Quantum Minerals Ltd. Franco-Nevada Corp. Goldcorp, Inc. IAMGOLD Corp. Inmet Mining Corp. Ivanhoe Mines Ltd. Kinross Gold Corp. New Gold, Inc. Osisko Mining Corp. Pan American Silver Corp. Silver Wheaton Corp. Teck Resources Ltd., Class B Yamana Gold, Inc.

101,959 595,063 234,767 98,610 400,966 283,327 82,294 481,719 223,577 30,930 237,906 676,687 274,394 229,195 91,484 210,244 342,926 443,643

5,599 28,083 5,721 1,853 6,479 5,784 3,101 22,421 4,078 1,884 3,914 9,918 3,278 2,829 2,329 6,704 14,206 6,063 134,244

4,477 19,598 4,919 709 4,340 5,148 4,018 17,398 2,498 1,231 2,006 5,658 2,795 1,960 1,370 5,798 9,624 6,582 100,129

Miscellaneous Manufacturing - 0.4% Bombardier, Inc., Class B

855,719

4,100

3,082

See Accompanying Notes to the Financial Statements.

385

NT COLLECTIVE CANADA INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 98.1%- (CONTINUED) Oil & Gas - 20.3% ARC Resources Ltd. Athabasca Oil Corp. Baytex Energy Corp. Bonavista Energy Corp. Canadian Natural Resources Ltd. Canadian Oil Sands Ltd. Cenovus Energy, Inc. Crescent Point Energy Corp. Encana Corp. Enerplus Corp. Husky Energy, Inc. Imperial Oil Ltd. MEG Energy Corp. Nexen, Inc. Pacific Rubiales Energy Corp. Pengrowth Energy Corp. Penn West Petroleum Ltd. Precision Drilling Corp. Progress Energy Resources Corp. Suncor Energy, Inc. Talisman Energy, Inc. Tourmaline Oil Corp. Vermilion Energy, Inc. Pharmaceuticals - 1.9% Catamaran Corp. Valeant Pharmaceuticals International, Inc.

172,104 190,029 70,542 85,973 652,196 288,225 448,378 173,270 437,355 116,601 201,049 176,481 74,957 314,241 173,717 300,717 281,288 139,409 111,161 936,420 613,420 75,409 54,522

57,213 173,268

COST

$

4,222 2,550 3,559 2,239 24,387 7,312 14,806 7,465 10,946 3,036 5,104 7,500 3,345 6,185 4,246 3,042 5,651 1,703 1,415 31,131 9,906 2,243 2,425

VALUE

$

4,298 2,330 2,926 1,564 17,797 5,803 13,711 6,891 9,748 1,639 4,997 7,564 3,051 7,988 3,933 1,917 3,839 1,110 2,524 28,645 7,589 2,186 2,543

164,418

144,593

5,384 7,126

4,862 8,263

12,510

13,125

Pipelines - 5.9% Enbridge, Inc. Pembina Pipeline Corp. TransCanada Corp.

441,977 169,547 418,794

14,245 4,968 16,995 36,208

18,093 4,534 19,082 41,709

Real Estate - 2.0% Brookfield Asset Management, Inc., Class A Brookfield Office Properties, Inc.

333,315 164,731

9,651 2,621 12,272

11,313 2,819 14,132

Real Estate Investment Trusts - 0.5% H&R Real Estate Investment Trust RioCan Real Estate Investment Trust

50,127 81,026

1,138 1,929 3,067

1,251 2,315 3,566

Retail - 2.3% Alimentation Couche Tard, Inc., Class B Canadian Tire Corp. Ltd., Class A Shoppers Drug Mart Corp. Tim Hortons, Inc.

70,753 46,408 126,267 93,710

1,949 2,807 5,071 4,186 14,013

3,353 3,070 5,209 4,986 16,618

See Accompanying Notes to the Financial Statements.

386

NT COLLECTIVE CANADA INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares and Units)

SHARES COMMON STOCKS - 98.1%- (CONTINUED) Software - 0.2% Open Text Corp.

34,404

Telecommunications - 3.4% BCE, Inc. Bell Aliant, Inc. Rogers Communications, Inc., Class B TELUS Corp. TELUS Corp. (Non Voting)

COST

$

152,196 44,725 232,997 4,019 119,687

Transportation - 4.9% Canadian National Railway Co. Canadian Pacific Railway Ltd. Viterra, Inc.

24,328

18,917 6,306 1,972

23,225 8,240 3,010

27,195 746,585

34,475 697,850

15

-

-

90,570

2,437

2,381

UNITS

6,060,928

COST

$

6,061 6,061 755,083

Other Assets less Liabilities - 0.7%

(3)

Percentages shown are based on Net Assets. SUMMARY OF INVESTMENTS PURCHASED AND SOLD:

COMMON STOCKS MUTUAL FUNDS NORTHERN TRUST FUND TOTAL

$

6,061 6,061 706,292 $711,476

Value amount rounds to less than $1. Cost and Value amount rounds to less than $1. Investment in affiliated fund.

TYPE OF INVESTMENT

VALUE

5,184

NET ASSETS - 100.0%

(2)

1,555

21,468

RIGHTS - 0.0% Ivanhoe Mines Ltd.(2) TOTAL RIGHTS

(1)

$

6,481 1,113 9,138 251 7,345

TOTAL COMMON STOCKS

SHORT-TERM INVESTMENTS - 0.9% Northern Trust Global Investments Collective Short-Term Investment Fund(3) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 99.3%

1,837

5,685 1,273 8,496 142 5,872

263,120 101,326 187,863

INVESTMENT COMPANIES - 0.3% iShares MSCI Canada Index Fund (0.3%)

VALUE

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$428,396

$ 19,297

$(1,965)

12,377 246,198

11,436 240,207

(836) —

$686,971

$270,940

$(2,801)

See Accompanying Notes to the Financial Statements.

387

NT COLLECTIVE CANADA INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Number of Contracts)

OPEN FUTURES CONTRACTS: TYPE

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

S&P/TSX 60 INDEX

81

$10,734

Long

9/12

$63

Foreign currency and other liquid assets are pledged as collateral to cover margin requirements for open futures contracts. At July 31, 2012, the NT Collective Canada Index Fund - Non Lending had outstanding foreign currency exchange contracts as follows: CONTRACTS TO DELIVER CURRENCY

AMOUNT (LOCAL CURRENCY)

IN EXCHANGE FOR CURRENCY

AMOUNT (LOCAL CURRENCY)

SETTLEMENT DATE

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR)

COUNTERPARTY

Canadian Dollar

1,695

United States Dollar

1,650

9/19/12

$ (39)

Canadian Dollar Canadian Dollar

2,310 667

United States Dollar United States Dollar

2,300 660

9/19/12 9/19/12

(2) (5)

Morgan Stanley & Co. New York Morgan Stanley & Co. New York

Canadian Dollar Canadian Dollar Canadian Dollar

1,290 143 194

United States Dollar United States Dollar United States Dollar

1,270 140 190

9/19/12 9/19/12 9/19/12

(15) (2) (4)

Morgan Stanley & Co. New York UBS Securities New York UBS Securities New York

Canadian Dollar Canadian Dollar

406 727

United States Dollar United States Dollar

400 720

9/19/12 9/19/12

(5) (5)

UBS Securities New York UBS Securities New York

Canadian Dollar Canadian Dollar

419 1,489

United States Dollar United States Dollar

410 1,470

9/19/12 9/19/12

(7) (14)

UBS Securities New York UBS Securities New York

United States Dollar United States Dollar United States Dollar

4,123 540 2,850

Canadian Dollar Canadian Dollar Canadian Dollar

4,234 555 2,900

9/19/12 9/19/12 9/19/12

97 13 40

Citibank London Morgan Stanley & Co. New York UBS Securities New York

United States Dollar

2,000

Canadian Dollar

2,042

9/19/12

36

UBS Securities New York

United States Dollar United States Dollar

1,780 1,200

Canadian Dollar Canadian Dollar

1,805 1,219

9/19/12 9/19/12

19 14

UBS Securities New York UBS Securities New York

United States Dollar

460

Canadian Dollar

473

9/19/12

11

UBS Securities New York

United States Dollar United States Dollar United States Dollar

450 1,440 300

Canadian Dollar Canadian Dollar Canadian Dollar

461 1,453 308

9/19/12 9/19/12 9/19/12

10 8 7

UBS Securities New York UBS Securities New York UBS Securities New York

$157

Total

See Accompanying Notes to the Financial Statements.

388

Goldman Sachs Capital Markets New York

NT COLLECTIVE CANADA INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

At July 31, 2012, the NT Collective Canada Index Fund - Non Lending’s investments (excluding shortterm investments) were diversified as follows: INDUSTRY SECTOR Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Total

% OF INVESTMENTS 3.7% 3.3 27.3 33.9 1.9 6.1 1.0 18.1 3.5 1.2 100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/ or securities indices). Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security). The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective Canada Index Fund - Non Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS Common Stocks Investment Companies Short-Term Investments Total Investments

LEVEL 1

LEVEL 2 (1)

$697,850

$

LEVEL 3

TOTAL

—

$—

$697,850

2,381 —

— 6,061

— —

2,381 6,061

$700,231

$6,061

$—

$706,292

See Accompanying Notes to the Financial Statements.

389

NT COLLECTIVE CANADA INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

$63

$ —

$—

$ 63

—

255

—

255

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts Foreign Currency Exchange Contracts Liabilities Foreign Currency Exchange Contracts Total Other Financial Instruments (1)

— $63

(98) $157

— $—

(98) $220

Classifications as defined in the Statement of Investments.

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly. The amount of change in total unrealized loss on investments in Level 3 securities still held at July 31, 2012 was $496, which is included in the Statement of Operations and Changes in Net Assets in Change in Net Unrealized Appreciation (Depreciation).

See Accompanying Notes to the Financial Statements.

390

NT COLLECTIVE DIVERSIFIED FRONTIER MARKETS FUND - NON LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (Cost $13,919) Investments in Northern Trust Fund, at Value (Cost $33) Cash Held at Broker (Restricted $12) Foreign Currencies (Cost $79) Receivable for Investments Sold Receivable from Trustee Reclaims Receivable Accrued Income Receivable Total Assets

$

$

12,305 33 122 79 147 1 2 9 12,698

LIABILITIES Payable for Investments Purchased Payable for Variation Margin on Futures Contracts Accrued Expenses Total Liabilities

$

133 1 14 148

NET ASSETS (Equivalent to $91.743 Per Unit, Based on 136,793 Units Outstanding)

$

12,550

$ $

390 390 14 6 63 83

$

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income (Net of $27 in Foreign Withholding Tax) Total Investment Income Less: Audit Fee Expense Recovery Other Expenses Total Expenses

$

Less: Refund of Expenses by Trustee

(12)

Net Expenses

$

71

Net Investment Income (Loss)

$

319

Net Realized Gains (Losses) on Securities Transactions

$

(375)

Net Realized Gains (Losses) on Futures Contracts

$

(74)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(10)

$ $

56 (1,606) (1,662)

$

-

Change in Net Unrealized Appreciation (Depreciation)

$

-

Net Realized and Unrealized Gains (Losses) on Investments and Futures Contracts and Foreign Currency Transactions

$

(2,121)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(1,802)

$ $

5,268 (1,385) 3,883

$

2,081

REALIZED AND UNREALIZED GAINS (LOSSES)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

Net Unrealized Appreciation (Depreciation) on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year End of Year

-

UNIT TRANSACTIONS Admission of 54,552 Units Withdrawal of 14,925 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Beginning of Year (97,166 Units Outstanding)

10,469

End of Year (136,793 Units Outstanding)

$

See Accompanying Notes to the Financial Statements.

391

12,550

NT COLLECTIVE DIVERSIFIED FRONTIER MARKETS FUND - NON LENDING FINANCIAL HIGHLIGHTS

For the Year Ended July 31, 2012

For the Year Ended July 31, 2011

For the Period May 27, 2010 (Commencement of Operations) to July 31, 2010

Unit Value, Beginning of Period

$

107.745

Net Investment Income (Loss)

$

104.456

$

100.000

2.729

6.630

1.170

Net Realized and Unrealized Gains (Losses)

(18.731)

(3.341)

3.286

Net Increase (Decrease)

(16.002)

3.289

4.456

Unit Value, End of Period

$

91.743

Total Return (1)

$

(14.85)%

107.745

$

3.15%

104.456 4.46%

Supplemental Data and Ratios Net Assets (000's Omitted) Ratio to Average Net Assets of:

$

12,550

$

10,469

$

22,856

(2)

Expenses - net of refund

0.63%

0.21%

N/A

Expenses - before refund

0.74%

0.22%

0.55%

Net Investment Income (Loss) - net of refund

2.91%

3.02%

N/A

Net Investment Income (Loss) - before refund

2.80%

3.01%

6.81%

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of period. Total Return is not annualized for periods less than one year.

(2)

Ratios are annualized for periods less than one year. N/A - Not applicable.

See Accompanying Notes to the Financial Statements. 392

NT COLLECTIVE DIVERSIFIED FRONTIER MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 98.0% Argentina - 4.7% Arcos Dorados Holdings, Inc., Class A Banco Macro S.A. ADR Cresud SACIF y A ADR Grupo Financiero Galicia S.A. ADR MercadoLibre, Inc. Pampa Energia S.A. ADR Telecom Argentina S.A. ADR

13,500 3,776 4,000 7,073 3,400 4,547 4,450

COST

$

VALUE

276 91 50 91 223 65 72

$

177 46 34 33 227 18 54

868

589

333,000 83,975

214 13 227

191 11 202

4,908 3,200 38,647 21,339 4,850 15,200 11,690 34,900 16,074 9,900 6,790 7,835 10,090 2,896 28,712 25,500

3 9 61 15 10 31 5 12 10 6 8 5 33 5 30 30 273

2 5 30 14 4 38 6 14 5 4 4 3 31 3 17 22 202

4,537

198

152

199,074 178,951

252 152 404

54 13 67

Jordan - 3.2% Arab Bank PLC

40,440

557

400

Kazakhstan - 3.9% Halyk Savings Bank of Kazakhstan JSC GDR (Registered) Kazkommertsbank JSC GDR (Registered) KazMunaiGas Exploration Production JSC GDR (Registered)

15,124 19,652 19,479

112 91 363 566

85 51 354 490

Kenya - 1.2% East African Breweries Ltd.

35,300

80

94

Bahrain - 1.6% Ahli United Bank BSC Gulf Finance House EC Bangladesh - 1.6% AB Bank Ltd. Aftab Automobiles Ltd. Bangladesh Export Import Co. Ltd. Beximco Pharmaceuticals Ltd. BSRM Steels Ltd. GrameenPhone Ltd. Islami Bank Bangladesh Ltd. Lafarge Surma Cement Ltd. National Bank Ltd. People’s Leasing and Financial Services Ltd. Prime Finance & Investment Ltd. Pubali Bank Ltd. Square Pharmaceuticals Ltd. Square Textiles Ltd. Summit Power Ltd. Titas Gas Transmission & Distribution Co. Ltd. Croatia - 1.2% Hrvatski Telekom dd Greece - 0.5% Bank of Cyprus PLC Cyprus Popular Bank PCL

See Accompanying Notes to the Financial Statements.

393

NT COLLECTIVE DIVERSIFIED FRONTIER MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 98.0%- (CONTINUED) Kenya - 1.2% - (Continued) Safaricom Ltd.

1,125,200

COST

$

VALUE

66

$

51

146

145

30,000 41,500 10,000 40,000 40,000 30,000 25,000 27,587 35,000 80,000 80,000 62,250 7,500 11,000 77,456 7,500 30,000 5,000 33,100 12,650 139,500 115,172 54,000 10,000 4,500 20,000 20,000

45 82 11 18 31 60 49 37 95 22 18 93 41 15 227 36 24 13 38 28 529 393 51 11 31 11 7 2,016

41 96 10 11 27 64 50 46 98 21 14 87 29 16 190 33 27 14 42 53 341 404 36 4 35 8 8 1,805

Lebanon - 2.1% Solidere GDR (Registered)

19,159

363

259

Mauritius - 1.2% Mauritius Commercial Bank

27,743

134

150

1,896,421 438,802 1,638,537 3,617,965 3,210,344 76,029 33,701 382,541 211,004 1,526,443 181,634 3,644,311

79 41 60 274 294 93 95 200 62 67 45 161

86 12 26 258 346 114 105 284 18 28 38 100

Kuwait - 14.4% Agility Public Warehousing Co. KSC Al Ahli Bank of Kuwait KSC ALAFCO Aviation Lease and Finance Co. KSCC Alimtiaz Investment Co. KSCC Al-Qurain Petrochemicals Co. Boubyan Bank KSC Boubyan Petrochemicals Co. Burgan Bank SAK Commercial Bank of Kuwait SAK Commercial Real Estate Co. Global Investment House KSCC Gulf Bank KSC Gulf Cable & Electrical Industries Co. Jazeera Airways Kuwait Finance House Kuwait Foods Americana Kuwait International Bank Kuwait Portland Cement Co. Kuwait Projects Co. Holding KSC Mabanee Co. SAKC Mobile Telecommunications Co. KSC National Bank of Kuwait National Industries Group Holding National Investments Co. National Mobile Telecommunication Co. KSC National Real Estate Co. United Real Estate Co.

Nigeria - 13.8% Access Bank PLC Dangote Sugar Refinery PLC Diamond Bank PLC First Bank of Nigeria PLC Guaranty Trust Bank PLC Guinness Nigeria PLC Nestle Nigeria PLC Nigerian Breweries PLC Oando PLC Skye Bank PLC UAC of Nigeria PLC United Bank for Africa PLC

See Accompanying Notes to the Financial Statements.

394

NT COLLECTIVE DIVERSIFIED FRONTIER MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 98.0%- (CONTINUED) Nigeria - 13.8% - (Continued) Zenith Bank PLC Oman - 1.6% Bank Sohar BankMuscat SAOG Oman Telecommunications Co. SAOG Renaissance Services SAOG Pakistan - 5.4% Bank Alfalah Ltd. Engro Corp. Ltd. Fatima Fertilizer Co. Ltd. Fauji Fertilizer Bin Qasim Ltd. Fauji Fertilizer Co. Ltd. HUB Power Co. Lucky Cement Ltd MCB Bank Ltd. National Bank Of Pakistan National Refinery Ltd. Nishat Mills Ltd. Oil & Gas Development Co. Ltd. Pakistan Oilfields Ltd. Pakistan Petroleum Ltd. Pakistan State Oil Co. Ltd. Pakistan Telecommunication Co. Ltd. Panama - 2.3% Copa Holdings S.A., Class A Qatar - 14.6% Al Meera Consumer Goods Co. Barwa Real Estate Co. Commercial Bank of Qatar QSC (The) Doha Bank QSC Gulf International Services OSC Industries Qatar QSC Masraf Al Rayan National Leasing Qatar Electricity & Water Co. Qatar Gas Transport Co. Nakilat Qatar Insurance Co. Qatar International Islamic Bank Qatar Islamic Bank Qatar National Bank Qatar Navigation Qatar Telecom Qtel QSC Romania - 1.4% Banca Transilvania

3,473,310

COST

$

VALUE

309

$

311

1,780

1,726

37 73 81 40

29 63 88 25

231

205

76,903 31,291 76,137 31,501 65,059 75,765 31,358 61,294 49,537 2,113 28,808 71,290 10,586 31,567 10,175 48,828

11 40 19 16 65 31 30 114 26 6 19 117 35 63 31 9 632

15 31 20 13 81 35 41 122 25 5 16 126 44 65 27 7 673

3,768

228

292

193 7,475 4,851 4,019 3,129 10,738 28,454 732 1,954 10,771 1,734 2,943 4,623 13,672 2,234 5,533

8 59 94 55 19 332 143 8 62 55 30 37 94 420 46 154 1,616

9 57 93 62 22 389 211 9 73 46 33 40 99 499 36 159 1,837

162,301

53

44

79,218 46,941 25,468 22,037

See Accompanying Notes to the Financial Statements.

395

NT COLLECTIVE DIVERSIFIED FRONTIER MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares)

SHARES COMMON STOCKS - 98.0%- (CONTINUED) Romania - 1.4% - (Continued) BRD-Groupe Societe Generale OMV Petrom S.A.

31,676 520,180

COST

$

VALUE

118 52

$

72 54

223

170

3,025 336

230 62 292

156 50 206

Sri Lanka - 0.8% John Keells Holdings PLC

67,153

100

94

Switzerland - 0.5% Ferrexpo PLC

22,864

139

65

1,186 5,960 4,194

21 125 55 201

21 125 54 200

113,486 261,774 252,226 183,197 360,910 18,644 181,861 63,587 325,257 50,219 108,099 111,375

58 193 53 98 62 184 68 37 286 112 217 88 1,456

60 240 44 58 38 189 48 34 301 121 247 90 1,470

3,992 39,181 23,173

68 456 403 927

73 242 256 571

5,200

48

53

19,392 15,063 19,010 16,354 9,850 15,480 28,200

27 18 98 9 18 24 13

27 17 87 10 16 27 14

Slovenia - 1.6% Krka dd Novo mesto Mercator Poslovni Sistem

Ukraine - 1.6% Astarta Holding N.V. Kernel Holding S.A. MHP S.A. GDR (Registered) United Arab Emirates - 11.7% Aabar Investments PJSC Abu Dhabi Commercial Bank PJSC Air Arabia PJSC Aldar Properties PJSC Dana Gas PJSC DP World Ltd. Dubai Financial Market Dubai Islamic Bank PJSC Emaar Properties PJSC First Gulf Bank PJSC National Bank of Abu Dhabi PJSC Union National Bank PJSC United Kingdom - 4.5% Bank of Georgia Holdings PLC Eurasian Natural Resources Corp. PLC Kazakhmys PLC United States - 0.4% Adecoagro S.A. Vietnam - 2.2% HAGL JSC Hoa Phat Group JSC Masan Group Corp. Ocean Group JSC PetroVietnam Drilling and Well Services JSC Petrovietnam Fertilizer & Chemicals JSC Viet Nam Construction and Import-Export JSC

See Accompanying Notes to the Financial Statements.

396

NT COLLECTIVE DIVERSIFIED FRONTIER MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Contracts)

SHARES COMMON STOCKS - 98.0%- (CONTINUED) Vietnam - 2.2% - (Continued) Vingroup JSC

COST

22,759

$

VALUE

87

$

294 13,919

TOTAL COMMON STOCKS UNITS SHORT-TERM INVESTMENTS - 0.3% Northern Trust Global Investments Collective Short-Term Investment Fund(1) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 98.3%

COST

32,823

$

84 282 12,305 VALUE

33 33 13,952

$

33 33 12,338

Other Assets less Liabilities - 1.7%

212 $12,550

NET ASSETS - 100.0% (1)

Investment in affiliated fund.

Percentages shown are based on Net Assets. SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$ 7,135 —

$2,657 210

$(324) (51)

4,599

4,566

$11,734

$7,433

Common Stocks Mutual Funds Northern Trust Fund TOTAL

— $(375)

OPEN FUTURES CONTRACTS: TYPE

CURRENCY

MINI MSCI EMERGING MARKETS

United States Dollar

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

5

$236

Long

9/12

$8

At July 31, 2012, the NT Collective Diversified Frontier Markets Fund - Non Lending’s investments had outstanding foreign currency exchange contracts as follows: CONTRACTS TO DELIVER CURRENCY United States Dollar United States Dollar United States Dollar

AMOUNT (LOCAL CURRENCY) 8 27 70

IN EXCHANGE FOR CURRENCY British Pound Euro Kuwaiti Dinar

AMOUNT (LOCAL CURRENCY)

SETTLEMENT DATE

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR)

5 22 20

8/02/12 8/02/12 8/02/12

$ — — —* $ —*

Total *

Amount rounds to less than one thousand.

See Accompanying Notes to the Financial Statements.

397

COUNTERPARTY Citibank London Citibank London Citibank London

NT COLLECTIVE DIVERSIFIED FRONTIER MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Shares, Units and Number of Contracts)

At July 31, 2012, the Diversified Frontier Markets Fund - Non Lending’s investments (excluding shortterm investments) were denominated in the following currencies: CONCENTRATION BY CURRENCY Kuwaiti Dinar United States Dollar Qatari Rial Nigerian Naira United Arab Emirates Dirham Pakistani Rupee British Pound All other currencies less than 5% Total

% OF INVESTMENTS 16.2% 15.7 14.9 14.0 10.5 5.5 5.2 18.0 100.0%

See Accompanying Notes to the Financial Statements.

398

NT COLLECTIVE DIVERSIFIED FRONTIER MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

At July 31, 2012, the Diversified Frontier Markets Fund - Non Lending’s investments (excluding shortterm investments) were diversified as follows: INDUSTRY SECTOR Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Total

% OF INVESTMENTS 2.0% 8.4 7.0 52.5 1.6 10.8 1.9 7.2 7.5 1.1 100.0%

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuation based on commonly quoted benchmark interest rates and yield curves, maturities, ratings, and/or securities indices). Level 3 - Valuations based on inputs that are unobservable and insignificant. The Fund utilized the following techniques on Level 3 investments: The Fund valued certain securities using prices provided by a broker and NTGI PVC. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the Diversified Frontier Markets Fund - Non Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

243 1,034

$— —

$ — —

864 6,382

— —

— 74

864 6,456

201 1,324

— —

— —

201 1,324

Information Technology

227

—

—

227

Materials

887 891

— —

— 35

887 926

143 —

— 33

— —

143 33

$12,196

$ 33

$109

$12,338

Common Stocks Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials

$

Telecommunication Services Utilities Investment Companies Total Investments

See Accompanying Notes to the Financial Statements.

399

$

243 1,034

NT COLLECTIVE DIVERSIFIED FRONTIER MARKETS FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

$8

$—

$—

$8

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly. The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value: CHANGE IN CHANGE IN UNREALIZED TRANSFERS BALANCE REALIZED REALIZED UNREALIZED TRANSFERS BALANCE AS OF 7/31/11 GAINS (LOSSES) APPRECIATION (DEPRECIATION) PURCHASES (SALES) IN TO LEVEL 3(1) OUT OF LEVEL 3(1) AS OF 7/31/12 Common Stock Financials Telecommunication Services Total Investments (1)

$45

$—

$—

$15

$—

$—

$—

$14

$—

$ 74

—

—

—

—

—

—

—

35

—

35

$45

$—

$—

$15

$—

$—

$—

$49

$—

$109

The value of Transfers In and/or Out of Level 3 was measured using the fair value as of the end of the period ended, July 31, 2012.

The amount of change in total unrealized gain on investments in Level 3 securities still held at July 31, 2012 was $17, which is included in the Statement of Operations and Changes in Net Assets in Change in Net Unrealized Appreciation (Depreciation).

See Accompanying Notes to the Financial Statements.

400

NT COLLECTIVE ACWI EX-US INDEX FUND - NON LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (Cost $14,927) Investment in Northern Trust Fund, at Value (Cost $7,327,930) Cash Held at Broker (Restricted $23) Foreign Currencies (Cost $1,499) Foreign Currencies Held at Broker (Cost $1,586) (Restricted $258) Receivable for Variation Margin on Futures Contracts Receivable for Fund Units Sold Unrealized Gain on Forward Foreign Currency Exchange Contracts Total Assets

$

$

14,423 7,148,883 961 1,504 1,553 14 57 44 7,167,439

LIABILITIES Payable for Fund Units Redeemed Payable for Variation Margin on Futures Contracts Unrealized Loss on Forward Foreign Currency Exchange Contracts Accrued Expenses Total Liabilities

$

2,020 20 66 6 2,112

NET ASSETS (Equivalent to $110.412 Per Unit, Based on 64,896,557 Units Outstanding)

$

7,165,327

$

$

496 1 14 511 6 4 10

$

501

$

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Year Ended July 31, 2012 (000's Omitted, Except Units) INVESTMENT INCOME Dividend Income Interest Income Income from Investment in Northern Trust Fund Total Investment Income Less: Audit Fee Other Expenses Total Expenses

$

Net Investment Income (Loss) REALIZED AND UNREALIZED GAINS (LOSSES) Net Realized Gains (Losses) on Securities Transactions

$

(29 244) (29,244)

Net Realized Gains (Losses) on Futures Contracts

$

(1,340)

Net Realized Gains (Losses) on Foreign Currency Transactions

$

(495)

$

233,066 (179,322) (412,388)

Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts Beginning of Year End of Year Change in Net Unrealized Appreciation (Depreciation)

$

Net Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts and on Translation of Other Assets and Liabilities Denominated in Foreign Currencies Beginning of Year

$

156

Change in Net Unrealized Appreciation (Depreciation)

$

(206)

Net Realized and Unrealized Gains (Losses) on Investments, Futures Contracts and Foreign Currency Transactions

$

(443,673)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(443,172)

$ $

5,283,612 (1,665,919) 3,617,693

$

3,174,521

End of Year

(50)

UNIT TRANSACTIONS Admission of 48,299,136 Units Withdrawal of 15,220,710 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS

3,990,806

Beginning of Year (31,818,131 Units Outstanding) End of Year (64,896,557 Units Outstanding*)

$

*16.3% owned by NT Collective All Country World (ACWI) ex-US Fund - DC - Non Lending *59.0% owned by NT Collective All Country World ex-US Investable Market Index Fund - Non Lending

See Accompanying Notes to the Financial Statements.

401

7,165,327

NT COLLECTIVE ACWI EX-US INDEX FUND - NON LENDING FINANCIAL HIGHLIGHTS

For the Year Ended July 31, 2012

For the Year Ended July 31, 2011

For the Period September 2, 2009 (Commencement of Operations) to July 31, 2010

Unit Value, Beginning of Period

$

125.426

Net Investment Income (Loss)

$

106.829

$

100.000

0.008

(0.004)

(0.045)

Net Realized and Unrealized Gains (Losses)

(15.022)

18.601

6.874

Net Increase (Decrease)

(15.014)

18.597

6.829

Unit Value, End of Period

$

110.412

Total Return (1)

$

(11.96)%

125.426

$

17.41%

106.829 6.83%

Supplemental Data and Ratios Net Assets (000's Omitted) Ratio to Average Net Assets of:

$

7,165,327

$

3,990,806

$

917,277

(2)

Expenses - net of refund

0.00%

0.01%

N/A

Expenses - before refund

0.00%

0.02%

0.06%

Net Investment Income (Loss) - net of refund

0.01%

0.01%

N/A

Net Investment Income (Loss) - before refund

0.01%

0.00%

(0.06)%

(1)

Total Return is calculated as the sum of net investment income and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of period. Total Return is not annualized for periods less than one year.

(2)

Ratios are annualized for periods less than one year. N/A - Not applicable.

See Accompanying Notes to the Financial Statements.

402

NT COLLECTIVE ACWI EX-US INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Units and Shares)

UNITS NT COLLECTIVE FUNDS TRUST - 99.8% Canada Index Fund - Non Lending (8.2%)(1) EAFE Index Fund - Non Lending (67.8%)(1) Emerging Markets Fund - Non Lending (23.8%)(1) TOTAL NT COLLECTIVE FUNDS TRUST

4,804,265 24,937,187 12,182,481

COST $

SHARES INVESTMENT COMPANIES - 0.2% iShares MSCI Canada Index Fund iShares MSCI EAFE Index Fund Vanguard MSCI Emerging Markets ETF TOTAL INVESTMENT COMPANIES

45,423 195,835 85,893

1,009,658

$

COST $

UNITS SHORT-TERM INVESTMENTS - 0.0% Northern Trust Global Investments Collective Short-Term Investment Fund(1) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 100.0%

611,063 4,941,189 1,774,668 7,326,920

VALUE

1,235 10,137 3,555 14,927

VALUE $

COST

$

1,010 1,010 7,342,857

585,255 4,854,622 1,707,996 7,147,873

1,194 9,792 3,437 14,423 VALUE

$

1,010 1,010 7,163,306

Other Assets less Liabilities - 0.0%

2,021 $7,165,327

NET ASSETS - 100.0% (1)

Investment in affiliated fund.

Percentages shown are based on Net Assets. At July 31, 2012, the NT Collective ACWI ex-US Index Fund - Non Lending’s percentages of ownership of other funds were as follows: NT COLLECTIVE FUNDS TRUST Canada Index Fund - Non Lending EAFE Index Fund - Non Lending Emerging Markets Fund - Non Lending

PERCENTAGE 82.3% 46.6% 48.5%

The 2012 financial statement for the funds listed above is included in the NT Collective Funds Trust International Equities report. SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT NT COLLECTIVE FUNDS TRUST MUTUAL FUNDS NORTHERN TRUST FUND TOTAL

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$4,199,592

$ 572,413

$(24,581)

201,592 1,389,940

202,652 1,395,572

(4,663) —

$5,791,124

$2,170,637

$(29,244)

See Accompanying Notes to the Financial Statements.

403

NT COLLECTIVE ACWI EX-US INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted, Except Number of Contracts)

OPEN FUTURES CONTRACTS: TYPE

CURRENCY

NUMBER OF NOTIONAL CONTRACT CONTRACT UNREALIZED CONTRACTS AMOUNT POSITION EXPIRATION GAINS (LOSSES)

DAX INDEX

Euro

1

$ 209

Long

9/12

$ 19

EURO STOXX 50

Euro

32

917

Long

9/12

76

FTSE 100 INDEX

British Pound South African Rand

12 5

1,054 184

Long Long

9/12 9/12

31 5

Hong Kong Dollar United States Dollar

3 10

381 254

Long Long

8/12 8/12

19 10

4 5

445 663

Long Long

9/12 9/12

12 16

15 8

157 752

Long Long

8/12 9/12

3 38

FTSE/JSE TOP 40 INDEX HANG SENG INDEX MSCI TAIWAN INDEX SPI 200 INDEX S&P/TSX 60 INDEX SGX S&P CNX INDEX TOPIX INDEX

Australian Dollar Canadian Dollar United States Dollar Japanese Yen

$229

TOTAL

At July 31, 2012, the NT Collective ACWI ex-US Index Fund - Non Lending had outstanding foreign currency exchange contracts as follows: CONTRACTS TO DELIVER CURRENCY

AMOUNT (LOCAL CURRENCY)

IN EXCHANGE FOR CURRENCY

AMOUNT (LOCAL CURRENCY)

SETTLEMENT DATE

UNREALIZED GAINS (LOSSES) (U.S. DOLLAR)

COUNTERPARTY

Australian Dollar

195

United States Dollar

200

9/19/12

$ (5)

British Pound Euro

323 906

United States Dollar United States Dollar

500 1,100

9/19/12 9/19/12

(6) (17)

UBS Securities New York Morgan Stanley & Co. New York

1,551 39,089 99

United States Dollar United States Dollar United States Dollar

200 500 100

9/19/12 9/19/12 9/19/12

— (1) (1)

UBS Securities New York Morgan Stanley & Co. New York UBS Securities New York

Australian Dollar British Pound

366 602

9/19/12 9/19/12

21 7

UBS Securities New York UBS Securities New York

1,031 2,691 69,949 634 293

9/19/12 9/19/12 9/19/12 9/19/12 9/19/12

(29) — 13 3 (7)

Hong Kong Dollar Japanese Yen Swiss Franc United States Dollar United States Dollar

362 936

United States Dollar United States Dollar United States Dollar United States Dollar United States Dollar

1,299 347 883 90 308

Euro Hong Kong Dollar Japanese Yen Swedish Krona Swiss Franc

$(22)

Total

See Accompanying Notes to the Financial Statements.

404

Citibank London

Citibank London Citibank London Morgan Stanley & Co. New York Morgan Stanley & Co. New York Citibank London

NT COLLECTIVE ACWI EX-US INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/ or securities indices). Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security). The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective ACWI ex-US Index Fund - Non Lending’s investments and other financial instruments, which are carried at fair value, as of July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

NT Collective Funds Trust

$ — 14,423

$7,147,873 —

$— —

$7,147,873 14,423

Investment Companies

—

1,010

—

1,010

$14,423

$7,148,883

$—

$7,163,306

$

$

$

Short-Term Investments Total Investments

OTHER FINANCIAL INSTRUMENTS Assets Futures Contracts Foreign Currency Exchange Contracts

229

—

$—

—

44

—

229 44

—

(66)

—

(66)

(22)

$—

Liabilities Foreign Currency Exchange Contracts Total Other Financial Instruments

$

229

$

$

207

The Fund discloses significant transfers between levels based on valuations at the end of each reporting period. At July 31, 2012, there were no significant transfers between Level 1 and Level 2 based on levels assigned to the securities on July 31, 2011. GAAP provides additional guidance for estimating fair value when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate when a transaction is not orderly.

See Accompanying Notes to the Financial Statements.

405

NT COLLECTIVE WORLD EX-US INVESTABLE MARKET INDEX FUND - LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments in Northern Trust Funds, at Value (Cost $671,668) Receivable for Fund Units Sold Total Assets

$ $

679,970 5,309 685,279

LIABILITIES Payable for Investments Purchased Accrued Expenses Total Liabilities

$

5,309 6 5,315

NET ASSETS (Equivalent to $101.516 Per Unit, Based on 6,698,109 Units Outstanding)

$

679,964

Audit Fee Total Expenses

$ $

6 6

Net Investment Income (Loss)

$

(6)

$

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Period January 3, 2012 (Commencement of Operations) to July 31, 2012 (000's Omitted, Except Units) EXPENSES

REALIZED AND UNREALIZED GAINS (LOSSES) Net Realized Gains (Losses) on Northern Trust Funds

$

517

$ $

8,302 8,302

Net Realized and Unrealized Gains (Losses) on Investments

$

8,819

Net Increase (Decrease) in Net Assets from Investment Activities

$

8,813

Net Unrealized Appreciation (Depreciation) on Investments Inception End of Period Change in Net Unrealized Appreciation (Depreciation)

UNIT TRANSACTIONS Admission of 7,201,801 Units Withdrawal of 503,692 Units Net Increase (Decrease) in Net Assets from Unit Transactions

$

Net Increase (Decrease) in Net Assets

$

722,425 (51,274) 671,151

$

679,964

NET ASSETS Inception

-

End of Period (6,698,109 Units Outstanding)

$

See Accompanying Notes to the Financial Statements.

406

679,964

NT COLLECTIVE WORLD EX-US INVESTABLE MARKET INDEX FUND - LENDING FINANCIAL HIGHLIGHTS For the Period January 03, 2012 (Commencement of Operations) to July 31, 2012 Unit Value, Beginning of Period

$

100.000

Net Investment Income (Loss)

(0.001)

Net Realized and Unrealized Gains (Losses)

1.517

Net Increase (Decrease)

1.516

Unit Value, End of Period

$

101.516

Total Return (1)

1.52%

Supplemental Data and Ratios Net Assets (000's Omitted) Ratio to Average Net Assets of:

$

679,964

(2)

Expenses - net of refund

0.00%

*

Expenses - before refund

0.00%

*

Net Investment Income (Loss) - net of refund

0.00%

*

Net Investment Income (Loss) - before refund

0.00%

*

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of period. Total Return is not annualized for periods less than one year.

(2)

Ratios are annualized for periods less than one year. * Equals to less than 0.005%

See Accompanying Notes to the Financial Statements. 407

NT COLLECTIVE WORLD EX-US INVESTABLE MARKET INDEX FUND - LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Units)

UNITS NT COLLECTIVE FUNDS TRUST - 100.0% Canada Index Fund – Non Lending (9.5%)(1) Developed International Small Cap Index Fund – Lending (11.9%)(1) EAFE Index Fund – Lending (78.6%)(1) TOTAL NT COLLECTIVE FUNDS TRUST

528,762

COST $

8,251,404 1,560,977

959

66,011

$

64,425 81,276 534,268 679,969

COST

VALUE

1 671,668

TOTAL INVESTMENTS - 100.0%

$

80,521 525,135 671,667

UNITS SHORT-TERM INVESTMENTS - 0.0% Northern Trust Global Investments Collective Short-Term Investment Fund(1)

VALUE

$

1 679,970

Liabilities less Other Assets - 0.0%

(6) $679,964

NET ASSETS - 100.0% (1)

Investment in affiliated fund.

Percentages shown are based on Net Assets. At July 31, 2012, the NT Collective World ex-US Investable Market Index Fund – Lending’s percentages of ownership of other funds were as follows: NT COLLECTIVE FUNDS TRUST Canada Index Fund – Non Lending Developed International Small Cap Index Fund – Lending EAFE Index Fund – Lending

PERCENTAGE 9.1% 32.5% 13.2%

The 2012 financial statements for the funds listed above are included in the NT Collective Funds Trust International Equities report.

SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT NT COLLECTIVE FUNDS TRUST

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$724,570

$53,420

$517

277

276

—

$724,847

$53,696

$517

NORTHERN TRUST FUND TOTAL

See Accompanying Notes to the Financial Statements.

408

NT COLLECTIVE WORLD EX-US INVESTABLE MARKET INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/ or securities indices). Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security). The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective World ex-US Investable Market Index Fund – Lending’s investments, which are carried at fair value, as of July 31, 2012: INVESTMENTS NT Collective Funds Trust

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

$—

$679,969

$—

$679,969

—

1

—

1

$—

$679,970

$—

$679,970

Short-Term Investments Total

See Accompanying Notes to the Financial Statements.

409

NT COLLECTIVE WORLD EX-US INVESTABLE MARKET INDEX FUND - NON LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments in Northern Trust Funds, at Value (Cost $260,252) Total Assets

$ $

281,202 281,202

LIABILITIES Accrued Expenses Total Liabilities

$ $

6 6

NET ASSETS (Equivalent to $108.054 Per Unit, Based on 2,602,372 Units Outstanding)

$

281,196

Audit Fee Total Expenses

$ $

6 6

Net Investment Income (Loss)

$

(6)

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Period December 15, 2011 (Commencement of Operations) to July 31, 2012 (000's Omitted, Except Units) EXPENSES

REALIZED AND UNREALIZED GAINS (LOSSES) Net Realized Gains (Losses) on Northern Trust Funds Transactions

$

5,010

$ $

20,950 20,950

Net Realized and Unrealized Gains (Losses) on Investments

$

25,960

Net Increase (Decrease) in Net Assets from Investment Activities

$

25,954

$ $

320,242 (65,000) 255,242

$

281,196

$

281,196

Net Unrealized Appreciation (Depreciation) on Investments Inception End of Period Change in Net Unrealized Appreciation (Depreciation)

UNIT TRANSACTIONS Admission of 3,202,422 Units Withdrawal of 600,050 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Inception

-

End of Period (2,602,372 Units Outstanding)

See Accompanying Notes to the Financial Statements.

410

NT COLLECTIVE WORLD EX-US INVESTABLE MARKET INDEX FUND - NON LENDING FINANCIAL HIGHLIGHTS For the Period December 15, 2011 (Commencement of Operations) to July 31, 2012 Unit Value, Beginning of Period

$

100.000

Net Investment Income (Loss)

(0.002)

Net Realized and Unrealized Gains (Losses)

8.056

Net Increase (Decrease)

8.054

Unit Value, End of Period

$

108.054

Total Return (1)

8.05%

Supplemental Data and Ratios Net Assets (000's Omitted) Ratio to Average Net Assets of:

$

281,196

(2)

Expenses - net of refund

0.00%

*

Expenses - before refund

0.00%

*

Net Investment Income (Loss) - net of refund

(0.00)%

*

Net Investment Income (Loss) - before refund

(0.00)%

*

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of period. Total Return is not annualized for periods less than one year.

(2)

Ratios are annualized for periods less than one year.

*

Equals to less than 0.005%

See Accompanying Notes to the Financial Statements. 411

NT COLLECTIVE WORLD EX-US INVESTABLE MARKET INDEX FUND - NON LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Units)

UNITS NT COLLECTIVE FUNDS TRUST - 100.0% Developed International Small Cap Index Fund Non Lending (12.0%)(1) World ex-US Index Fund - Non Lending (88.0%)(1) TOTAL NT COLLECTIVE FUNDS TRUST TOTAL INVESTMENTS - 100.0%

COST

249,594 2,289,606

$

31,291 228,961 260,252 260,252

VALUE

$

33,732 247,470 281,202 281,202

Liabilities less Other Assets - 0.0%

(6) $281,196

NET ASSETS - 100.0% (1)

Investment in affiliated fund.

Percentages shown are based on Net Assets. At July 31, 2012, the NT Collective World ex-US Investable Market Index Fund - Non Lending’s percentages of ownership of other funds were as follows: NT COLLECTIVE FUNDS TRUST PERCENTAGE Developed International Small Cap Index Fund – Non Lending 4.5% World ex-US Index Fund - Non Lending 100.0%

The 2012 financial statements for the Funds listed above are included in the NT Collective Funds Trust - International Equities report. SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT NT COLLECTIVE FUNDS TRUST

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$320,870

$65,628

$5,010

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/ or securities indices). Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security). The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective World ex-US Investable Market Index Fund Non Lending’s investments, which are carried at fair value, as of July 31, 2012:

INVESTMENTS NT Collective Funds Trust

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

$—

$281,202

$—

$281,202

See Accompanying Notes to the Financial Statements.

412

NT COLLECTIVE ALL COUNTRY WORLD EX - US INVESTABLE MARKET INDEX FUND - LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investment in Northern Trust Funds, at Value (Cost $155,059) Receivable for Fund Units Sold Total Assets

$ $

LIABILITIES Payable for Investments Purchased Accrued Expenses Total Liabilities

$

152,502 1,200 153,702

$

1,200 8 1,208

$

152,494

Audit Fee Total Expenses

$ $

6 6

Less: Refund of Expenses by Trustee Net Expenses

$

(1) 5

Net Investment Income (Loss)

$

(5)

$

67

NET ASSETS (Equivalent to $95.827 Per Unit, Based on 1,591,349 Units Outstanding)

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Period September 1, 2011 (Commencement of Operations) to July 31, 2012 (000's Omitted, Except Units) EXPENSES

REALIZED AND UNREALIZED GAINS (LOSSES) Net Realized Gains (Losses) on Northern Trust Funds Transactions Net Unrealized Appreciation (Depreciation) on Investments Inception End of Period Change in Net Unrealized Appreciation (Depreciation)

$ $

(2,557) (2,557)

Net Realized and Unrealized Gains (Losses) on Investments

$

(2,490)

Net Increase (Decrease) in Net Assets from Investment Activities

$

(2,495)

$ $

174,477 (19,488) 154,989

$

152,494

UNIT TRANSACTIONS Admission of 1,785,355 Units Withdrawal of 194,006 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Inception

-

End of Period (1,591,349 Units Outstanding)

$

See Accompanying Notes to the Financial Statements.

413

152,494

NT COLLECTIVE ALL COUNTRY WORLD EX - US INVESTABLE MARKET INDEX FUND - LENDING FINANCIAL HIGHLIGHTS For the Period September 1, 2011 (Commencement of Operations) to July 31, 2012 Unit Value, Beginning of Period

$

100.000

Net Investment Income (Loss)

(0.004)

Net Realized and Unrealized Gains (Losses)

(4.169)

Net Increase (Decrease)

(4.173)

Unit Value, End of Period

Total Return

$

(1)

95.827

(4.17)%

Supplemental Data and Ratios Net Assets (000's Omitted) Ratio to Average Net Assets of:

$

152,494

(2)

Expenses - net of refund Expenses - before refund

0.00%

*

0.01%

Net Investment Income (Loss) - net of refund

(0.00)%

Net Investment Income (Loss) - before refund

(0.01)%

*

(1)

Total Return is calculated as the sum of net investment income ((loss)) and net realized and unrealized gain g (loss) ( ) on investments,, divided by unit value at beginning of period. Total Return is not annualized for periods less than one year.

(2)

Ratios are annualized for periods less than one year.

*

Equals to less than 0.005%

See Accompanying Notes to the Financial Statements. 414

NT COLLECTIVE ALL COUNTRY WORLD EX-US INVESTABLE MARKET INDEX FUND - LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Units)

UNITS NT COLLECTIVE FUNDS TRUST - 100.0% All County World ex-US Index Fund Lending (88.2%)(1) Developed International Small Cap Index Fund Lending (9.1%)(1) Emerging Markets Small Cap Index Fund Non Lending (2.7%)(1) TOTAL NT COLLECTIVE FUNDS TRUST

12,636,110

COST

$

136,366

$

134,512

1,411,697

14,419

13,905

199,201

4,272 155,057

4,083 152,500

1,956

2 2 155,059

2 2 152,502

SHORT-TERM INVESTMENTS - 0.0% Northern Trust Global Investments Collective Short-Term Investment Fund(1) TOTAL SHORT-TERM INVESTMENTS TOTAL INVESTMENTS - 100.0% Liabilities less Other Assets - 0.0%

(8) $152,494

NET ASSETS - 100.0% (1)

VALUE

Investment in affiliated fund.

Percentages shown are based on Net Assets. At July 31, 2012, the NT Collective All Country World ex-US Investable Market Index Fund - Lending’s percentage of ownership of other funds were as follows: NT COLLECTIVE FUNDS TRUST All Country World ex-US Index Fund - Lending Developed International Small Cap Index Fund - Lending Emerging Markets Small Cap Index Fund - Non Lending

PERCENTAGE 8.3% 5.6% 1.8%

The 2012 financial statements for the Funds listed above are included in the NT Collective Funds Trust - International Equities report. SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT NT COLLECTIVE FUNDS TRUST NORTHERN TRUST FUND TOTAL

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$165,750

$10,760

$67

74,989

74,987

—

$240,739

$85,747

$67

See Accompanying Notes to the Financial Statements.

415

NT COLLECTIVE ALL COUNTRY WORLD EX-US INVESTABLE MARKET INDEX FUND - LENDING STATEMENT OF INVESTMENTS (Continued) July 31, 2012 (000’s Omitted)

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/ or securities indices). Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security). The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective All Country World ex-US Investable Market Index Fund - Lending’s investments, which are carried at fair value, as of July 31, 2012: INVESTMENTS

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

Short-Term Investments

$— —

$152,500 2

$— —

$152,500 2

Total Investments

$—

$152,502

$—

$152,502

NT Collective Funds Trust

See Accompanying Notes to the Financial Statements.

416

NT COLLECTIVE WORLD EX-US INDEX FUND - NON LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments in Northern Trust Funds, at Value (Cost $228,967) Total Assets

$ $

247,477 247,477

LIABILITIES Accrued Expenses

$

6

NET ASSETS (Equivalent to $108.084 Per Unit, Based on 2,289,606 Units Outstanding)

$

247,471

$

6

$

(6)

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Period December 15, 2011 (Commencement of Operations) to July 31, 2012 (000's Omitted, Except Units) EXPENSES Audit Fee Net Investment Income (Loss) REALIZED AND UNREALIZED GAINS (LOSSES) Net Realized Gains (Losses) on Securities Transactions

$

4,311

$ $

18,510 18,510

Net Realized and Unrealized Gains (Losses) on Investments

$

22,821

Net Increase (Decrease) in Net Assets from Investment Activities

$

22,815

$ $

281,899 (57,243) 224,656

$

247,471

$

247,471

Net Unrealized Appreciation (Depreciation) on Investments Inception End of Period Change in Net Unrealized Appreciation (Depreciation)

UNIT TRANSACTIONS Admission of 2,818,978 Units Withdrawal of 529,372 Units Net Increase (Decrease) in Net Assets from Unit Transactions Net Increase (Decrease) in Net Assets NET ASSETS Inception

-

End of Period (2,289,606 Units Outstanding*) *100.0% owned by NT Collective World ex-US Investable Market Index Fund - Non Lending

See Accompanying Notes to the Financial Statements.

417

NT COLLECTIVE WORLD EX-US INDEX FUND - NON LENDING FINANCIAL HIGHLIGHTS For the Period December 15, 2011 (Commencement of Operations) to July 31, 2012 Unit Value, Beginning of Period

$

100.000

Net Investment Income (Loss)

-

Net Realized and Unrealized Gains (Losses)

8.084

Net Increase (Decrease)

8.084

Unit Value, End of Period

$

108.084

Total Return (1)

8.09%

Supplemental Data and Ratios Net Assets (000's Omitted)

$

247,471

Ratio to Average Net Assets of: (2) Expenses - net of refund

0.00%

*

Expenses - before refund

0.00%

*

Net Investment Income (Loss) - net of refund

0.00%

*

Net Investment Income (Loss) - before refund

0.00%

*

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of period. Total Return is not annualized for periods less than one year.

(2)

Ratios are annualized for periods less than one year.

*

Equals to less than 0.005%

See Accompanying Notes to the Financial Statements. 418

NT COLLECTIVE WORLD EX-US INDEX FUND – NON LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Units)

UNITS NT COLLECTIVE FUNDS TRUST - 100.0% Canada Index Fund – Non Lending (10.8%)(1) EAFE Index Fund – Non Lending (89.2%)(1) TOTAL NT COLLECTIVE FUNDS TRUST TOTAL INVESTMENTS - 100.0%

COST

218,654 1,134,411

$

24,946 204,021 228,967 228,967

VALUE $

26,637 220,840 247,477 247,477

Liabilities less Other Assets - 0.0%

(6) $247,471

NET ASSETS - 100.0% (1)

Investment in affiliated fund.

Percentages shown are based on Net Assets. At July 31, 2012, the NT Collective World ex-US Index Fund - Non Lending’s percentages of ownership of other funds were as follows: NT COLLECTIVE FUNDS TRUST Canada Index Fund – Non Lending EAFE Index Fund – Non Lending

PERCENTAGE 3.7% 2.1%

The 2012 financial statements for the funds listed above are included in the NT Collective Funds Trust International Equities report. SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT NT COLLECTIVE FUNDS TRUST

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$282,403

$57,747

$4,311

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/ or securities indices). Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security). The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective World ex-US Index Fund – NonLending’s investments, which are carried at fair value, as of July 31, 2012: INVESTMENTS NT Collective Funds Trust

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

$—

$247,477

$—

$247,477

See Accompanying Notes to the Financial Statements.

419

NT COLLECTIVE COMMODITIES FUND-NON LENDING STATEMENT OF ASSETS AND LIABILITIES July 31, 2012 (000's Omitted, Except Units) ASSETS Investments, at Value (Cost $38,848) Receivable for Investments Sold Receivable from Trustee Total Assets

$

$

LIABILITIES Cash Overdraft Payable for Investments Purchased Payable for Fund Units Redeemed Accrued Expenses Total Liabilities

$

39,033 125 1 39,159

$

106 19 11 36 172

$

38,987

$ $

6 31 37

Net Expenses

$

31

Net Investment Income (Loss)

$

(31)

$

(3)

NET ASSETS (Equivalent to $99.903 Per Unit, Based on 390,245 Units Outstanding)

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS For the Period March 28, 2012 (Commencement of Operations) to July 31, 2012 (000's Omitted, Except Units) EXPENSES Audit Fee Investment Advisory Fee Total Expenses Less: Refund of Expenses by Trustee

(6)

REALIZED AND UNREALIZED GAINS (LOSSES) Net Realized Gains (Losses) on Securities Transactions Net Unrealized Appreciation (Depreciation) on Investments Inception End of Period Change in Net Unrealized Appreciation (Depreciation)

$

185 185

Net Realized and Unrealized Gains (Losses) on Investments

$

182

Net Increase (Decrease) in Net Assets from Investment Activities

$

151

$

UNIT TRANSACTIONS Admission of 407,278 Units Withdrawal of 17,033 Units Net Increase (Decrease) in Net Assets from Unit Transactions

$

Net Increase (Decrease) in Net Assets

$

40,500 (1,664) 38,836

$

38,987

$

38,987

NET ASSETS Inception

-

End of Period (390,245 Units Outstanding*) *0.0% owned by NT Focus 2005 Fund *1.6% owned by NT Focus 2010 Fund *6.3% owned by NT Focus 2015 Fund *13.4% owned by NT Focus 2020 Fund *13.6% owned by NT Focus 2025 Fund *18.6% owned by NT Focus 2030 Fund *16.8% owned by NT Focus 2035 Fund *16.7% owned by NT Focus 2040 Fund *8.1% owned by NT Focus 2045 Fund *3.8% owned by NT Focus 2050 Fund *1.1% owned by NT Focus 2055 Fund

See Accompanying Notes to the Financial Statements.

420

NT COLLECTIVE COMMODITIES FUND-NON LENDING FINANCIAL HIGHLIGHTS For the Period March 28, 2012 (Commencement of Operations) to July 31, 2012 Unit Value, Beginning of Period

$

100.000

Net Investment Income (Loss)

(0.080)

Net Realized and Unrealized Gains (Losses)

(0.017)

Net Increase (Decrease)

(0.097)

Unit Value, End of Period

$

Total Return (1)

99.903

(0.10)%

Supplemental Data and Ratios Net Assets (000's Omitted)

$

38,987

Ratio to Average Net Assets of: (2) Expenses - net of refund (3)

0.24%

Expenses - before refund (3) Net Investment Income (Loss) - net of refund

0.26% (3)

Net Investment Income (Loss) - before refund

(3)

(0.24)% (0.26)%

(1)

Total Return is calculated as the sum of net investment income (loss) and net realized and unrealized gain (loss) on investments, divided by unit value at beginning of period. Total Return is not annualized for periods less than one year.

(2)

Ratios are annualized for periods less than one year.

(3)

Expenses do not reflect underlying expenses of the investment companies.

See Accompanying Notes to the Financial Statements.

421

NT COLLECTIVE COMMODITIES FUND - NON LENDING STATEMENT OF INVESTMENTS July 31, 2012 (000’s Omitted, Except Shares)

SHARES INVESTMENT COMPANIES - 100.1% Blackrock Dow Jones-UBS Commodity Index Daily Fund F iPath Dow Jones-UBS Commodity Index Total Return ETN TOTAL INVESTMENT COMPANIES TOTAL INVESTMENTS - 100.1%

COST

4,404,526 8,400

$

38,511 337 38,848 38,848

VALUE $

Liabilities less Other Assets - (0.1)%

38,672 361 39,033 39,033 (46) $38,987

NET ASSETS - 100.0%

Percentages shown are based on Net Assets. SUMMARY OF INVESTMENTS PURCHASED AND SOLD: TYPE OF INVESTMENT MUTUAL FUNDS

COST OF PURCHASES

PROCEEDS FROM SALES

REALIZED GAINS (LOSSES)

$43,047

$4,196

$ (3)

3,389

3,389

—

$46,436

$7,585

$ (3)

NORTHERN TRUST FUND TOTAL

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/ or securities indices). Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security). The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. Following is a summary of the inputs used in valuing the NT Collective Commodities Fund - Non Lending’s investments, which are carried at fair value, as of July 31, 2012: INVESTMENTS Investment Companies

LEVEL 1

LEVEL 2

LEVEL 3

TOTAL

$361

$38,672

$—

$39,033

See Accompanying Notes to the Financial Statements.

422

NOTES TO THE FINANCIAL STATEMENTS

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS The Northern Trust– Quantitative Management Collective Funds Trust, originally effective November 22, 2002 and subsequently amended, was further amended and restated effective January 31, 2006, and designated pursuant to such restatement as the Northern Trust Global Investments Collective Funds Trust (“Trust”). The Trust is currently comprised of 102 collective funds (each, referred to as a “Fund”, and collectively as the “Funds”), each with its own investment objective. Twenty two of these Funds are listed below. Northern Trust Investments, Inc. (“NTI”), a wholly-owned subsidiary of The Northern Trust Company (“Northern”) serves as trustee; in this capacity, NTI has investment responsibility for the Funds. Northern, a wholly-owned subsidiary of Northern Trust Corporation, serves as custodian for the Funds. NTI has established this Trust for the commingling of assets of eligible employee benefit plan accounts in accordance with the Declaration of Trust. The Funds to which this report applies are as follows: NT Collective All Country World ex-US Index Fund – Lending NT Collective EAFE Index Fund – Lending NT Collective Quant Enhanced EAFE Equity Fund – Lending NT Collective Quant Enhanced EASEA Equity Fund – Lending NT Collective Emerging Markets Index Fund – Lending NT Collective Developed International Small Cap Index Fund – Lending NT Collective Global Real Estate Index Fund – Lending NT Collective All Country World ex-US IMI Fund – Non Lending NT Collective EAFE Index Fund – Non Lending NT Collective International Equity Fund – Non Lending NT Collective Emerging Markets Fund – Non Lending NT Collective Emerging Markets Small Cap Index Fund – Non Lending NT Collective Developed International Small Cap Index Fund – Non Lending NT Collective Global Real Estate Index Fund – Non Lending NT Collective Canada Index Fund – Non Lending NT Collective Diversified Frontier Markets Fund – Non Lending NT Collective ACWI ex-US Index Fund – Non Lending NT Collective World ex-US Investable Market Index Fund – Lending (a) NT Collective World ex-US Investable Market Index Fund – Non Lending (b) NT Collective All Country World ex-US Investable Market Index Fund – Lending (c) NT Collective World ex-US Index Fund – Non Lending(b) NT Collective Commodities Fund – Non Lending (d) (a)

Fund commenced operations on January 3, 2012. Fund commenced operations on December 15, 2011. (c) Fund commenced operations on September 1, 2011. (d) Fund commenced operations on March 28, 2012. (b)

Note A - Summary of Significant Accounting Policies The following is a summary of significant accounting policies followed by the Funds. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The presentation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results may differ from those estimates. Investment Valuation Securities are stated at their fair value. Securities traded on U.S. securities exchanges or in the Nasdaq National Market System are generally valued at the regular trading session closing price on the exchange or market in which such securities are principally traded. If any such security is not traded on a valuation date, it is valued at the most recent quoted bid price. Over-the-counter securities not reported in the Nasdaq National Market System are also generally valued at the most recent quoted bid price. The values of securities of foreign issuers are generally based upon market quotations, which, depending upon local convention or regulation, may be the last sale price, the last bid or the mean between the last bid and

423

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued) ask price as of, in each case, the close of the appropriate exchange or other designated time. Foreign fixed income securities may, like domestic fixed income securities, be valued based on prices provided by independent pricing services when such prices are believed to reflect the fair value of such securities. Spot and forward foreign currency exchange contracts are generally valued using an independent pricing service. Short-term investments are valued at amortized cost, which approximates fair value. Certain other investments may be valued based on quotations received from independent brokers. Investments in other Funds are valued at the applicable unit value of those Funds. Any securities for which no current market quotations are readily available are valued at fair value as determined in good faith by NTI. NTI, in its discretion, may make adjustments to the prices of securities held by a Fund if an event occurs after the publication of market values normally used by the Fund but before the time as of which the Fund calculates its Net Asset Value (“NAV”), depending on the nature and significance of the event, consistent with applicable regulatory guidance. This may occur particularly with respect to certain foreign securities held by a Fund, in which case NTI may use adjustment factors obtained from an independent valuation service that are intended to reflect more accurately the fair value of those securities as of the time the Fund’s NAV is calculated. The use of fair valuation involves the risk that the values used by the Funds to price their investments may be higher or lower than the values used by other unaffiliated investment companies and investors to price the same investments. Investment Transactions and Investment Income Investment transactions are accounted for on a trade date basis (the date the order to buy or sell is executed). The Funds determine the gain or loss realized from investment transactions on an average-cost basis. Dividend income is recorded on the ex-dividend date or, for foreign securities, as soon as the information becomes available. Interest income and expenses are recorded on an accrual basis. Interest income includes amortization of premiums and accretion of discounts on fixed income securities using the effective yield method. Interest rates reflected in the Statements of Investments represent either the stated coupon rate, annualized yield on date of purchase for discounted notes, or, for floating rate securities, the current reset rate. Net investment income per share disclosed in the Financial Highlights is calculated using the sum of each day’s net investment income divided by each respective day’s shares outstanding. Futures Contracts Certain Funds enter into various exchange-traded equity index futures contracts, in accordance with the terms of the Declaration of Trust, for hedging purposes or to maintain liquidity. When used as a hedge, a Fund will sell a futures contract in order to offset a decrease in the market value of its portfolio securities that might otherwise result from a market decline. A Fund will do so either to hedge the value of its portfolio securities as a whole, or to protect against declines, occurring prior to sales of securities, in the value of the securities to be sold. Conversely, a Fund will purchase a futures contract as a hedge in anticipation of purchases of securities. In addition, a Fund will purchase or sell futures contracts in anticipation of changes in the composition of its portfolio holdings. Risks associated with such contracts include the possibility that there may be an illiquid market and that changes in the values of the contracts may not correlate with changes in the value of the underlying securities. Credit risk is mitigated, as the clearinghouse of the exchange assumes the risk of a party defaulting on its obligations under the contract. Upon entering into a futures contract, the Fund will be required to make a margin deposit into a segregated account of either cash or eligible securities. Changes in initial settlement value are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. During the period of the contract, payments (called variation margin) are made between the Fund and the broker to cover fluctuations in settlement values. The Statements of Assets and Liabilities reflect the amounts payable or receivable for variation margin and the Statements of Operations and Changes in Net Assets reflect the realized and unrealized gains (losses) associated with such contracts. Future contracts outstanding and any securities pledged as collateral as of July 31, 2012, are noted in each applicable Fund’s Statement of Investments. Further information on how these position impact the financial statements can be found in Note I.

424

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued)

Foreign Currency Transactions and Translations Values of investments denominated in foreign currencies are converted into U.S. dollars using the exchange rates provided by WM/Reuters normally as of approximately 10:00 am CST (4:00 pm London time). The cost of purchases and proceeds from sales of investments, interest, and dividend income are translated into U.S. dollars using the spot market rate of exchange prevailing on the respective dates of such transactions. The gains or losses, if any, on investments resulting from changes in foreign exchange rates are included on the Statements of Operations and Changes in Net Assets with net realized and unrealized gains (losses) on investments. The realized gains (losses), if any, on translations of other assets and liabilities denominated in foreign currencies are included in net realized gains (losses) on foreign currency transactions on the Statements of Operations and Changes in Net Assets, as applicable. The Funds may enter into spot contracts in order to buy or sell a certain amount of foreign currency at the current market rate, with settlement occurring in two business days. The Funds may enter into spot contracts in order to make payments, or to receive payments, based on trading activity in a foreign currency. A spot contract allows the Funds to buy or sell foreign currency on the day it chooses to deal. Forward foreign currency exchange contracts may be entered into by certain Funds to hedge a portion of certain portfolios’ foreign currency exposure. All foreign currency exchange contracts are marked-to-market daily at the applicable exchange rates and any resulting unrealized gains or losses are recorded in net changes in unrealized appreciation (depreciation) on foreign currency exchange contracts on the Statement of Operations and Change in Net Assets. The realized gain or loss on forward foreign currency exchange contracts includes the gain or loss from translation of the contracts at current exchange rates. Such gains or losses are included in net realized gain (losses) on foreign currency transactions on the Statement of Operations and Changes in Net Assets. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. The Funds bear the market risk from changes in foreign currency exchange rates and the credit risk if the counterparty to the contract fails to perform. The contractual amounts of forward foreign currency exchange contracts do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. Foreign currency exchange contracts open at July 31, 2012 are included in each Fund’s Statement of Investments, as applicable. Further information on how these positions impact the financial statements can be found in Note I. Note B - Emerging Markets Risk Certain Funds may invest in emerging market securities. Additional risks are involved when a portfolio invests its assets in countries with emerging economies or securities markets. These countries are located in the Asia and Pacific regions, the Middle East, Eastern Europe, Central America, South America and Africa. Political and economic structures in many of these countries may lack the social, political and economic stability characteristics of more developed countries. In general, the securities markets of these countries are less liquid, subject to greater price volatility and have smaller market capitalizations. As a result, the risks presented by investments in these countries are heightened. Note C - Portfolio Securities Loaned Certain of the Funds participate in Northern’s Securities Lending Program administered by Northern and have loaned a portion of their investment portfolios at July 31, 2012. As part of the program, each Fund receives collateral, in the form of cash and/or securities, in excess of the value of the securities loaned. The value of collateral is monitored on a daily basis to help ensure its meets or exceeds the value of the securities loaned. However, in the event of default or bankruptcy by the borrowing party realization and/or retention of the collateral may be subject to legal proceedings. Cash collateral is recognized by the Funds and is included in each Fund’s Statement of Assets and Liabilities. Cash collateral is generally invested in collateral pools that transact at a constant dollar net asset value per the governing documents of the designated collateral pools. In the event that the market to book value of the cash collateral pools falls below the point where transacting at a constant dollar NAV is deemed to be appropriate, each Fund would be allocated its share of the losses, based on its pro rata share of the market value of securities loaned, rather than the type of collateral received from the borrower. Non-cash collateral is taken in accordance with the securities lending agreement and is not

425

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued) reinvested or included on the Funds’ Statements of Assets and Liabilities, as the Funds do not exercise direct control over the securities. The cash collateral received from borrowers relating to securities lending activities is invested in the NTI/NTCC Commingled Funds Custom Collateral Section (the “FCP”). The FCP’s investment strategy is similar to a short-term investment fund. In general, the composition of the FCP’s diversified investment portfolio includes repurchase agreements, commercial paper, time deposits, asset-backed securities and other short term investment products. At July 31, 2012, each Fund’s cash collateral invested in the FCP was less than 1.00% of the FCP’s net assets. The cash collateral portion of the FCP was valued at amortized cost, which approximates fair value for the fiscal year ended July 31, 2012. Participant activity in the FCP during this period was processed at a constant dollar per the governing documents of the FCP. Any fluctuations in the market value-based NAV of the FCP during this period were less than $0.005 per share and will occur from time to time due to the fact that the FCP’s market value-based NAV per unit is based on the value of the underlying cash collateral assets. The Funds may receive income for lending their securities in the form of income earned on invested cash collateral (net of rebates paid to lending counterparties), fees paid by counterparties on non-cash collateral and fees paid by borrowers for having exclusive borrowing rights to Fund portfolios. In general, each participant receives its pro rata share of the net investment income earned by the FCP, which is calculated daily and distributed on a monthly basis. Income earned is disclosed in each Fund’s Statement of Operations and Changes in Net Assets as Net Income from Securities Loaned. During the period the securities are on loan, the borrower accrues interest and dividend income on the securities on loan. Upon receipt of the income, the borrower provides the Funds income in place of the interest and dividend income they would have received if the securities were not on loan. This income is reported as interest income and dividend income on the Statements of Operations and Changes in Net Assets. In the event of a loss of principal value of a specific investment of cash collateral or a decline in the NAV of the FCP below permissible tolerances (a collateral deficiency), under the securities lending authorization agreement, participants in the FCP may be required to reimburse the FCP for any loss arising from the collateral deficiency, based on the participant’s pro rata share of loaned securities attributable to the FCP. In addition, securities lending income may be offset by principal losses and passed on to the participants in the FCP. Northern receives a fee for various services rendered relating to the administration of the securities lending program. The fees are typically based on a percentage of the revenue or loss generated from the lending activities and were 25% to 35% of gross revenues earned during the period. Information with respect to the securities lending activities at July 31, 2012 and fees earned (paid) by Northern during the year then ended, are as follows (in thousands):

Fund

Value of Securities Loaned

Percent of Net Assets

Cash Collateral Received

Non-Cash Collateral Received

Fees Earned by Northern

NT Collective All Country World ex-US Index Fund – Lending

$192,400

11.87%

$196,096

$6,902

$590

NT Collective EAFE Index Fund – Lending

318,666

7.86

322,606

13,228

1,532

5,783

4.02

4,705

1,378

42

471

4.54

395

104

3

14,646

12.90

15,151

253

34

NT Collective Quant Enhanced EAFE Equity Fund –Lending NT Collective Quant Enhanced EASEA Equity Fund – Lending NT Collective Emerging Markets Index Fund – Lending

426

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued)

Fund NT Collective Developed International Small Cap Index Fund – Lending NT Collective Global Real Estate Index Fund – Lending

Value of Securities Loaned

Percent of Net Assets

Cash Collateral Received

Non-Cash Collateral Received

Fees Earned by Northern

$32,146

12.86%

$32,275

$1,705

$153

16,765

13.81

17,219

99

35

The following Funds had loaned securities in excess of 5% of net assets to the following individual broker/dealers at July 31, 2012. No other loans to an individual broker/dealer exceeded 5% of each respective Fund’s net assets at the fiscal year end. % of Securities Loaned with respect to Net Fund Broker/Dealer Assets NT Collective All Country World ex-US Index Fund – Goldman, Sachs Lending & Co. 5.78% Goldman, Sachs NT Collective Emerging Markets Index Fund – Lending & Co. 6.48% Note D - Admissions and Withdrawals The Funds are valued on a daily basis using the ending number of units outstanding and the total Net Assets of the Funds on that date. Admissions and withdrawals are recorded at the unit value determined on the valuation date and shall be made only in accordance with the terms of the Declaration of Trust. Any withdrawal requests received prior to July 31, 2012 for payment in August 2012 are recorded as Payable for Fund Units Redeemed on the Statement of Assets and Liabilities. Net investment income is reinvested. Net realized gains from security transactions are not distributed to participants, and are reinvested in the Funds. Note E - Income Taxes The Funds met the requirements of the Internal Revenue Code (“IRC”) Section 401(a) and are exempt from taxation under IRC Section 501(a) as provided for by Revenue Ruling 81-100 (as modified by Revenue Ruling 2011-1). Accordingly, no provision for federal, state, or local income tax is required. Management has evaluated the uncertain tax positions of the Funds and has determined that a liability is not required to be recorded in the financial statements as of July 31, 2012. Although the Funds are exempt from taxation, the Funds file annual information returns. The annual information returns of the Funds remains subject to examination. No amounts for interest or penalties have been recognized in the Statement of Operations and Changes in Net Assets or in the Statement of Assets and Liabilities. Note F - In-Kind Redemptions Participants in certain Funds elected to receive securities rather than cash for their redemption proceeds in accordance with the provisions of the Trust. These participants received securities with a fair value equal to the value of the number of units they owned at the current NAV at the redemption date. Gains and losses on the securities that were distributed to participants were included in Net Realized Gains (Losses) on Securities Transactions and the redemption amounts were included in Unit Transaction Withdrawals on the Statement of Operations and Changes in Net Assets as follows (in thousands):

427

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued)

Fund NT Collective EAFE Index Fund – Lending NT Collective Developed International Small Cap Index Fund – Non Lending NT Collective ACWI ex-US Index Fund – Non Lending

Unit Transaction Withdrawals $271,608

Net Realized Gain/ (Loss) $(28,798)

563,000

(6,938)

10,233

(833)

Note G – Related-Party Transactions Expense recovery represents amounts reimbursed to the Trustee and its affiliates for direct expenses incurred in providing custody and other services for the Funds and are accrued based on various factors, including the daily net assets of each Fund. Expenses are calculated at the Fund’s respective valuation date and are paid monthly. Such expenses are included in the expense recovery caption of each Fund's Statement of Operations and Changes in Net Assets, when applicable. The Trustee implemented an expense limitation for certain funds as designated in the table below. The expense limitation applies to both third-party audit fees and the expense recovery of direct expenses incurred by the Trustee and its affiliates in providing custody and other services for the Funds described in the above paragraph. As a result, the Trustee has agreed to voluntarily refund, to the Funds, the amount for the expenses that are subject to this cap, that exceed the expense limitation. The amount of each applicable Fund’s refund for the year ended July 31, 2012 is shown on the respective Statements of Operations and Changes in Net Assets as “Refund of Expenses by Trustee.” The annual expense recovery rate charged to each applicable Fund and their respective expense limitations as of July 31, 2012, were as follows: Fund NT Collective All Country World ex-US Index Fund – Lending NT Collective EAFE Index Fund – Lending NT Collective Quant Enhanced EAFE Equity Fund – Lending NT Collective Quant Enhanced EASEA Equity Fund – Lending NT Collective Emerging Markets Index Fund – Lending NT Collective Developed International Small Cap Index Fund – Lending NT Collective Global Real Estate Index Fund – Lending NT Collective All Country World ex-US Investable Market Index Fund – Non Lending NT Collective EAFE Index Fund – Non Lending NT Collective International Equity Fund – Non Lending NT Collective Emerging Markets Fund – Non Lending NT Collective Emerging Markets Small Cap Index Fund – Non Lending NT Collective Developed International Small Cap Index Fund – Non Lending NT Collective Global Real Estate Index Fund – Non Lending NT Collective Canada Index Fund – Non Lending NT Collective Diversified Frontier Markets Fund – Non Lending NT Collective ACWI ex-US Index Fund – Non Lending NT Collective World ex-US Investable Market Index Fund – Lending NT Collective World ex-US Investable Market Index Fund – Non Lending NT Collective All Country World ex-US Investable Market Index Fund – Lending NT Collective World ex-US Index Fund – Non Lending NT Collective Commodities Fund – Non Lending

Annual Rate 0.0400 0.0218 0.0700 0.0700 0.0400 0.0400 0.0500 NA 0.0175 0.0700 0.0400 0.0400 0.0308 0.0500 0.0222 0.0500 NA NA NA NA NA NA

The reimbursements described above are voluntary and can be modified or terminated at any time.

428

%

Expense Limitations 0.0450 % 0.0450 0.1000 0.1000 0.0450 0.0450 0.0650 0.0025 0.0450 0.1000 0.0450 0.0450 0.0450 0.0650 0.0450 0.0650 0.0025 0.0050 0.0050 0.0050 0.0050 NA

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued) Certain Funds participate in Northern’s securities lending program. These Funds pay fees to Northern based on a percentage of net revenue for administering the securities lending program and are disclosed in Note C – Portfolio Securities Loaned. Income (net of fees) is disclosed in each Funds’ Statement of Operations and Changes in Net Assets. Further information related to the Northern Securities Lending program can be found in Notes C. Certain Funds own units of other NTGI Collective Funds, as detailed in the accompanying Statements of Investments, including, but not limited to, an investment in the NTGI Collective Short-Term Investment Fund (“STIF”). These NTGI Collective Funds value their investments at fair value as described in their financial statements and declaration of trust. The NTGI Collective Funds use a variety of financial instruments in their trading strategies, including, but not limited to equity and debt securities of U.S. and foreign issuers, futures and forward contracts. These financial instruments contain varying degrees of both market and credit risk. However, as an investor in the NTGI Collective Funds, the Funds’ financial risk is limited to the fair value of their investment in the NTGI Collective Funds, which is reflected in the accompanying Statements of Investments. Each Fund’s investment in other NTGI Collective Funds is subject to the terms and conditions of the respective declaration of trust. With the exception of the net investment income earned by STIF and distributed to the Funds, net investment income and realized gains from security transactions earned by all other investee of the NTGI Collective Funds are reinvested and not distributed to the Funds, accordingly Funds that own units of other NTGI Collective Funds recognize their share of the realized gains or losses of the other NTGI Collective Funds through changes in the unit value of the other NTGI Collective Funds. The income distributed to the Funds from STIF is included in Income from Investment in Northern Trust Fund in the Statement of Operations and Changes in Net Assets. Funds that own units of other Funds recognize their share of the realized gains or losses of the underlying Funds through changes in the unit value of the underlying Funds. In addition, certain Funds maintain an investment in the common stock of Northern Trust Corporation. Dividends paid to the Funds from the common stock of Northern Trust Corporation are included in Dividend Income in the Statement of Operations and Changes in Net Assets. Expenses of investee funds are imbedded in the NAV of the investee funds. The Funds have no commitments to the NTGI Collective Funds and can redeem their investments on either a monthly or daily basis pursuant to the terms of each NTGI Collective Fund’s declaration of trust. Note H – Indemnifications and Warranties In the ordinary course of their business, the Funds may enter into contracts or agreements that contain indemnifications or warranties. Future events could occur that lead to the execution of these provisions against the Funds. The maximum exposure to the Funds under these provisions is unknown, as this would involve future claims that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and believe the risk of loss to be remote. Note I – Derivative Instruments Although certain Funds use derivatives to maintain liquidity or for hedging purposes to protect against possible losses on the value of investments, none of the derivatives held in the Funds have been designated as hedging instruments. Information concerning the types of derivatives in which the Funds invest and their related risks can be found in Note A. Below are the values by types of derivatives in each Fund by location as presented in the Statement of Asset and Liabilities as of July 31, 2012: Assets

Amounts in thousands

NT Collective All Country World ex-US Index Fund – Lending

Statement of Asset and Liabilities Location Net assets – Unrealized appreciation

Unrealized Gain on Forward Foreign currency contracts

429

Equity Contracts* $741

N/A

Foreign Exchange Contracts* N/A

Counterparty UBS Securities

$201

UBS Securities, Citibank, Goldman Sachs, Morgan Stanley, HSBC

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued)

Assets

Equity Contracts* $4,230

Foreign Exchange Contracts* N/A

Unrealized Gain on Forward Foreign currency contracts

N/A

$839

UBS Securities, Citibank, Goldman Sachs, Morgan Stanley

Net assets – Unrealized appreciation

166

N/A

UBS Securities

NT Collective Quant Enhanced Net assets – Unrealized appreciation EASEA Equity Fund – Lending

18

N/A

UBS Securities

NT Collective Emerging Markets Index Fund – Lending

Net assets – Unrealized appreciation

113

N/A

Merrill Lynch, Goldman Sachs

Unrealized Gain on Forward Foreign currency contracts

N/A

7

UBS Securities

NT Collective Developed International Small Cap Index Fund – Lending

Net assets – Unrealized appreciation

170

N/A

UBS Securities

Unrealized Gain on Forward Foreign currency contracts

N/A

60

NT Collective Global Real Estate Index Fund – Lending

Net assets – Unrealized appreciation

42

N/A

UBS Securities, Citibank, Goldman Sachs, Morgan Stanley Goldman Sachs, UBS Securities

N/A

12

Amounts in thousands

NT Collective EAFE Index Fund – Lending

NT Collective Quant Enhanced EAFE Equity Fund – Lending

Statement of Asset and Liabilities Location Net assets – Unrealized appreciation

Unrealized Gain on Forward Foreign currency contracts

Counterparty Merrill Lynch, Goldman Sachs, UBS Securities

NT Collective All Country World ex-US Investable Market Index Fund – Non Lending

Net assets – Unrealized appreciation

70

N/A

UBS Securities, Citibank, Morgan Stanley, Goldman Sachs UBS Securities

NT Collective EAFE Index Fund – Non Lending

Net assets – Unrealized appreciation

9,503

N/A

UBS Securities

Unrealized Gain on Forward Foreign currency contracts

N/A

1,332

UBS Securities, Citibank, Morgan Stanley, Goldman Sachs

430

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued)

Assets

Statement of Asset and Liabilities Location Unrealized Gain on Forward Foreign currency contracts

Equity Contracts* N/A

Foreign Exchange Contracts* $1

Counterparty JP Morgan

Net assets – Unrealized appreciation

$1,817

N/A

UBS Securities

Unrealized Gain on Forward Foreign currency contracts

N/A

87

UBS Securities, Citibank

NT Collective Emerging Markets Small Cap Index Fund – Non Lending

Net assets – Unrealized appreciation

304

N/A

UBS Securities

Unrealized Gain on Forward Foreign currency contracts

N/A

31

UBS Securities

NT Collective Developed International Small Cap Index Fund – Non Lending

Net assets – Unrealized appreciation

600

N/A

Goldman Sachs, UBS Securities

Unrealized Gain on Forward Foreign currency contracts

N/A

211

Net assets – Unrealized appreciation

111

N/A

UBS Securities, Citibank, Morgan Stanley, Goldman Sachs UBS Securities

Unrealized Gain on Forward Foreign currency contracts

N/A

89

63

N/A

N/A

255

Amounts in thousands

NT Collective International Equity Fund– Non Lending NT Collective Emerging Markets Fund – Non Lending

NT Collective Global Real Estate Index Fund – Non Lending

NT Collective Canada Index Fund – Non Lending

Net assets – Unrealized appreciation Unrealized Gain on Forward Foreign currency contracts

UBS Securities, Citibank, Morgan Stanley, Goldman Sachs UBS Securities

NT Collective Diversified Frontier Markets Fund – Non Lending

Net assets – Unrealized appreciation

8

N/A

Citibank, Morgan Stanley, UBS Securities UBS Securities

NT Collective ACWI ex-US Index Fund – Non Lending

Net assets – Unrealized appreciation

229

N/A

UBS Securities

Unrealized Gain on Forward Foreign currency contracts

N/A

44

Citibank, Morgan Stanley, UBS Securities

431

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued)

Liabilities

Amounts in thousands

NT Collective All Country World ex-US Index Fund - Lending

Statement of Asset and Liabilities Location Unrealized Loss on Forward Foreign currency contracts

Equity Contracts* N/A

Foreign Exchange Contracts* $117

Counterparty Citibank, Morgan Stanley, Goldman Sachs, UBS Securities

NT Collective EAFE Index Fund – Lending

Unrealized Loss on Forward Foreign currency contracts

N/A

284

UBS Securities, Citibank, Goldman Sachs, Morgan Stanley

NT Collective Emerging Markets Index Fund – Lending

Unrealized Loss on Forward Foreign currency contracts

N/A

$3

UBS Securities

NT Collective Developed International Small Cap Index Fund – Lending

Unrealized Loss on Forward Foreign currency contracts

N/A

6

UBS Securities, Citibank, Goldman Sachs, Morgan Stanley

NT Collective Global Real Estate Index Fund – Lending

Unrealized Loss on Forward Foreign currency contracts

N/A

2

UBS Securities, Citibank, Morgan Stanley

NT Collective EAFE Index Fund – Non Lending

Net assets – Unrealized depreciation

$1

N/A

UBS Securities

Unrealized Loss on Forward Foreign currency contracts

N/A

1,234

Unrealized Loss on Forward Foreign currency contracts

N/A

1

UBS Securities, Citibank, Morgan Stanley, Goldman Sachs JP Morgan, Mellon Bank

25

N/A

UBS Securities

N/A

47

UBS Securities, Citibank

7

N/A

UBS Securities

N/A

5

UBS Securities, Citibank

N/A

85

Goldman Sachs, Citibank, Morgan Stanley, UBS Securities

NT Collective International Equity Fund– Non Lending

NT Collective Emerging Net assets – Unrealized depreciation Markets Fund – Non Lending Unrealized Loss on Forward Foreign currency contracts NT Collective Emerging Net assets – Unrealized depreciation Markets Small Cap Index Fund – Non Lending Unrealized Loss on Forward Foreign currency contracts NT Collective Developed Unrealized Loss on Forward International Small Cap Foreign currency contracts Index Fund – Non Lending

432

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued)

Liabilities

Equity Contracts* $5

Foreign Exchange Contracts* N/A

Unrealized Loss on Forward Foreign currency contracts

N/A

$52

NT Collective Canada Index Fund – Non Lending

Unrealized Loss on Forward Foreign currency contracts

N/A

98

NT Collective ACWI ex-US Index Fund – Non Lending

Unrealized Loss on Forward Foreign currency contracts

N/A

66

Amounts in thousands

NT Collective Global Real Estate Index Fund – Non Lending

Statement of Asset and Liabilities Location Net assets – Unrealized depreciation

Counterparty UBS Securities UBS Securities, Citibank, Goldman Sachs, Morgan Stanley UBS Securities, Goldman Sachs, Morgan Stanley, Citibank UBS Securities, Citibank, Morgan Stanley

* Includes cumulative appreciation/depreciation on futures contracts and foreign exchange contracts as reported in Statement of Investments. Only the variation margin receivable/payable is reported within the Statement of Assets and Liabilities for futures contracts.

433

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS The following tables set forth by primary risk exposure and type of derivative each Fund’s realized gains/losses, change in unrealized gains/losses, and volume activity by type of derivative contract for the year ended July 31, 2012: Amount of Realized Gain (Loss) on Derivative Instruments

Amounts in thousands

NT Collective All Country World ex-US Index Fund – Lending

NT Collective EAFE Index Fund – Lending

NT Collective Quant Enhanced EAFE Equity Fund – Lending

NT Collective Quant Enhanced EASEA Equity Fund – Lending

NT Collective Emerging Markets Index Fund – Lending

NT Collective Developed International Small Cap Index Fund – Lending

NT Collective Global Real Estate Index Fund – Lending

NT Collective All Country World ex-US Investable Market Index Fund – Non Lending NT Collective EAFE Index Fund – Non Lending

NT Collective International Equity Fund – Non Lending NT Collective Emerging Markets Index Fund – Non Lending

Statement of Operations Location Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions Net realized gains (losses) on futures contracts

Equity Contracts $(4,257)

Foreign Exchange Contracts N/A

N/A

$(841)

(11,117)

N/A

N/A (691)

1,554 N/A

N/A

(126)

(44)

N/A

N/A

(2)

(420)

N/A

N/A

14

(615)

N/A

N/A

(1,072)

48

N/A

N/A

16

(2,410)

N/A

Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions Net realized gains (losses) on foreign currency transactions

(12,926)

N/A

N/A

(466)

N/A

12

Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions

(1,110)

N/A

N/A

(1,302)

434

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued)

Amount of Realized Gain (Loss) on Derivative Instruments

Amounts in thousands

NT Collective Emerging Markets Small Cap Index Fund – Non Lending

NT Collective Developed International Small Cap Index Fund – Non Lending

NT Collective Global Real Estate Index Fund – Non Lending

NT Collective Canada Index Fund – Non Lending

NT Collective Diversified Frontier Markets Fund – Non Lending

NT Collective ACWI ex-US Index Fund – Non Lending

Statement of Operations Location Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions Net realized gains (losses) on futures contracts Net realized gains (losses) on foreign currency transactions

435

Equity Contracts $(619)

Foreign Exchange Contracts N/A

N/A

$(377)

(2,128)

N/A

N/A

(349)

(276)

N/A

N/A

(127)

(473)

N/A

N/A

(1,789)

(74)

N/A

N/A

(3)

(1,340)

N/A

N/A

(330)

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued) Change in Unrealized Appreciation (Depreciation) on Derivative Instruments

Equity Contracts $987

Foreign Exchange Contracts N/A

N/A

$156

4,647

N/A

N/A

1,322

217

N/A

NT Collective Quant Enhanced EASEA Equity Net change in unrealized appreciation Fund – Lending (depreciation) on futures contracts

25

N/A

NT Collective Emerging Markets Index Fund – Lending

143

N/A

N/A

6

208

N/A

N/A

72

62

N/A

N/A

8

66

N/A

10,776

N/A

N/A

735

Amounts in thousands

NT Collective All Country World ex-US Index Fund – Lending

NT Collective EAFE Index Fund – Lending

NT Collective Quant Enhanced EAFE Equity Fund – Lending

NT Collective Developed International Small Cap Index Fund – Lending

NT Collective Global Real Estate Index Fund – Lending

NT Collective All Country World ex-US Investable Market Index Fund – Non Lending NT Collective EAFE Index Fund – Non Lending

Statement of Operations Location Net change in unrealized appreciation (depreciation) on futures contracts Net change in unrealized appreciation (depreciation) on foreign currency transactions Net change in unrealized appreciation (depreciation) on futures contracts Net change in unrealized appreciation (depreciation) on foreign currency transactions Net change in unrealized appreciation (depreciation) on futures contracts

Net change in unrealized appreciation (depreciation) on futures contracts Net change in unrealized appreciation (depreciation) on foreign currency transactions Net change in unrealized appreciation (depreciation) on futures contracts Net change in unrealized appreciation (depreciation) on foreign currency transactions Net change in unrealized appreciation (depreciation) on futures contracts Net change in unrealized appreciation (depreciation) on foreign currency transactions Net change in unrealized appreciation (depreciation) on futures contracts Net change in unrealized appreciation (depreciation) on futures contracts Net change in unrealized appreciation (depreciation) on foreign currency transactions

436

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued) Change in Unrealized Appreciation (Depreciation) on Derivative Instruments Amounts in thousands

Statement of Operations Location

NT Collective International Equity Fund – Non Lending

Net change in unrealized appreciation (depreciation) on foreign currency transactions NT Collective Emerging Markets Net change in unrealized appreciation Fund – Non Lending (depreciation) on futures contracts Net change in unrealized appreciation (depreciation) on foreign currency transactions NT Collective Emerging Markets Small Net change in unrealized appreciation Cap Index Fund – Non Lending (depreciation) on futures contracts Net change in unrealized appreciation (depreciation) on foreign currency transactions NT Collective Developed International Net change in unrealized appreciation Small Cap Index Fund – Non Lending (depreciation) on futures contracts Net change in unrealized appreciation (depreciation) on foreign currency transactions NT Collective Global Real Estate Index Fund – Net change in unrealized appreciation Non Lending (depreciation) on futures contracts Net change in unrealized appreciation (depreciation) on foreign currency transactions NT Collective Canada Index Fund – Net change in unrealized appreciation Non Lending (depreciation) on futures contracts Net change in unrealized appreciation (depreciation) on foreign currency transactions NT Collective Diversified Frontier Markets Fund – Non Lending

NT Collective ACWI ex-US Index Fund – Non Lending

Net change in unrealized appreciation (depreciation) on futures contracts Net change in unrealized appreciation (depreciation) on foreign currency transactions Net change in unrealized appreciation (depreciation) on futures contracts Net change in unrealized appreciation (depreciation) on foreign currency transactions

Equity Contracts N/A

Foreign Exchange Contracts $(1)

$2,062

N/A

N/A

170

342

N/A

N/A

26

846

N/A

N/A

62

225

N/A

N/A

14

155

N/A

N/A

153

2

N/A

N/A

-

357

N/A

N/A

(84)

Realized and unrealized gains (losses) on foreign currency transactions may include gains (losses) on translation of other assets and liabilities denominated in foreign currencies.

437

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued)

Volume of derivative activity for the period ended July 31, 2012*

NT Collective All Country World ex-US Index Fund – Lending NT Collective EAFE Index Fund – Lending NT Collective Quant Enhanced EAFE Equity Fund – Lending NT Collective Quant Enhanced EASEA Equity Fund – Lending NT Collective Emerging Markets Index Fund – Lending NT Collective Developed International Small Cap Index Fund – Lending NT Collective Global Real Estate Index Fund – Lending NT Collective All Country World ex-US Investable Market Index Fund – Non Lending NT Collective EAFE Index Fund – Non Lending NT Collective Emerging Markets Fund – Non Lending NT Collective Emerging Markets Small Cap Index Fund – Non Lending NT Collective Developed International Small Cap Index Fund – Non Lending NT Collective Global Real Estate Index Fund – Non Lending NT Collective Canada Index Fund – Non Lending NT Collective Diversified Frontier Markets Fund – Non Lending NT Collective ACWI ex-US Index Fund – Non Lending

Contract Type Futures Equity Contracts Futures Equity Contracts Futures Equity Contracts Futures Equity Contracts Futures Equity Contracts Futures Equity Contracts Futures Equity Contracts Futures Equity Contracts Futures Equity Contracts Futures Equity Contracts Futures Equity Contracts Futures Equity Contracts Futures Equity Contracts Futures Equity Contracts Futures Equity Contracts Futures Equity Contracts

438

Number of Transactions

Average Notional Amount** 847

$385

307

1,505

93

242

25

63

148

190

218

221

182

153

207

357

372

2,335

305

1,130

227

359

408

366

484

268

123

788

14

110

174

376

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued)

Volume of derivative activity for the period ended July 31, 2012* Number of Transactions

Average Notional Amount**

NT Collective EAFE Index Fund – Lending NT Collective Quant Enhanced EAFE Equity Fund – Lending NT Collective Quant Enhanced EASEA Equity Fund – Lending NT Collective Emerging Markets Index Fund – Lending NT Collective Developed International Small Cap Index Fund – Lending NT Collective Global Real Estate Index Fund – Lending NT Collective EAFE Index Fund – Non Lending NT Collective Emerging Markets Fund – Non Lending NT Collective Emerging Markets Small Cap Index Fund – Non Lending

Contract Type Forward Foreign Exchange Contracts Forward Foreign Exchange Contracts Forward Foreign Exchange Contracts Forward Foreign Exchange Contracts Forward Foreign Exchange Contracts Forward Foreign Exchange Contracts Forward Foreign Exchange Contracts Forward Foreign Exchange Contracts Forward Foreign Exchange Contracts Forward Foreign Exchange Contracts

NT Collective Developed International Small Cap Index Fund – Non Lending

Forward Foreign Exchange Contracts

295

690

NT Collective Global Real Estate Index Fund – Non Lending

Forward Foreign Exchange Contracts

342

378

NTM Collective International Equity Fund – Non Lending

Forward Foreign Exchange Contracts

75

126

NTM Collective Canada Index Fund – Non Lending

Forward Foreign Exchange Contracts

97

3,266

NT Collective Diversified Frontier Markets Fund – Non Lending NT Collective ACWI ex-US Index Fund – Non Lending

Forward Foreign Exchange Contracts Forward Foreign Exchange Contracts

59

13

64

595

NT Collective All Country World ex-US Index Fund – Lending

465

$1,107

460

1,553

134

248

50

10

107

153

164

794

106

113

944

3,280

412

1,372

124

499

*Activity during the period is measured by number of transactions during the period and average notional amount per the foreign exchange contracts and futures contracts. **Amounts in thousands.

439

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST NOTES TO THE FINANCIAL STATEMENTS (continued)

Note J – Account Level Management Fees NTI, as Trustee, has entered into an Investment Management Agreement with BlackRock Institutional Trust Company, N.A. (“BlackRock”) pursuant to which certain assets of the NT Collective Commodities Fund are invested in collective investment funds maintained by BlackRock. A fee is paid to BlackRock for the investment management services it performs relating to the BlackRock Dow Jones-UBS Commodity Index Daily Fund F in the NT Collective Commodities Fund. The fee is accrued on a daily basis and paid quarterly and is noted in the Statement of Operations and Changes in Net Assets as “Investment Advisory Fee”. Note K - New Accounting Pronouncements On May 12, 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-04, Fair Value Measurement: Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs (“ASU 2011-04”), modifying Accounting Standards Codification (“ASC”) 820. At the same time, the International Accounting Standards Board (“IASB”) issued International Financial Reporting Standard (“IFRS”) 13, Fair Value Measurement. The objective by the FASB and IASB is convergence of their guidance on fair value measurements and disclosures. Specifically, ASU 2011-04 requires reporting entities to disclose 1) the amounts of and reasons for any transfers between Level 1 and Level 2, and 2) for Level 3 fair value measurements: a) quantitative information about significant unobservable inputs used, b) a description of the valuation procedures used by the reporting entity, and c) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. The effective date of ASU 2011-04 is for interim and annual periods beginning after December 15, 2011. At this time, management is evaluating the implications of this requirement and the impact it will have to the Funds’ financial statement disclosures. All other Funds that commenced after December 15, 2011, adopted ASU 2011-04 and all disclosures required by ASU 2011-04 are reflected in these financial statements. In December 2011, FASB issued ASU No. 2011-11, Disclosure about Offsetting Assets and Liabilities (“ASU 2011-11). These disclosure requirements are intended to help investors and other financial statements users to better assess the effect or potential effect of offsetting arrangements on a company’s financial position. They also improve transparency in the reporting of how companies mitigate credit risk, including disclosure of related collateral pledge or received. In addition, ASU 2011-11 facilitates comparisons between those reporting entities that prepare their financial statements on the basis of GAAP and those reporting entities that prepare their financial statements on the basis of IFRS. Specifically, ASU 2011-11 requires reporting entities to disclose 1) both gross and net information about both instruments and transactions eligible for offset in the financial statements and 2) to disclose instruments and transactions subject to an agreement similar to a master netting agreement. The effective date of ASU 2011-11 is for interim and annual periods beginning on or after January 1, 2013. At this time, management is evaluating the implications of requirement and the impact it will have on the Funds’ financial statement disclosures. Note L - Subsequent Events Management has evaluated subsequent events for Funds through the date the financial statements were available to be issued October 29, 2012, and has concluded there are no events that require adjustments to the financial statements or disclosure in the footnotes. For questions about or to obtain financial statements of the NTGI Collective Funds, please contact your NTI administrative officer.

440

ADDITIONAL INFORMATION

NORTHERN TRUST GLOBAL INVESTMENTS COLLECTIVE FUNDS TRUST ADDITIONAL INFORMATION

Section 103(a)(2) of the Employee Retirement Income Security Act of 1974 (“ERISA”) provides that a bank or similar institution which holds some or all of the information necessary to enable the plan administrator to comply with the requirements of ERISA shall transmit such information to the administrator. Further, Department of Labor regulation 2520.103-5(c) requires that such information shall include a copy of the annual statement of assets and liabilities of the collective trust for the fiscal year of such trust that ends with or within the plan year for which the annual report is made. In compliance with such regulation, The Northern Trust Company hereby provides the enclosed annual statement. Pursuant to Department of Labor regulation section 2520.103-5(d), The Northern Trust Company further certifies that the information contained in this annual report is accurate and complete.

CC ANR IE 2012