l&g (n) tracker trust interim manager’s report for the ......notes to the financial statements...

Distribution Number 25 L&G (N) Tracker Trust

Interim Manager’s Report for the period ended 31 March 2012 (Unaudited)

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Contents Page Number Manager’s Investment Report 2

Authorised Status 5

Directors’ Statement 5

Portfolio Statement 6

Statement of Total Return 23

Statement of Change in Net Assets attributable to Unitholders 23

Balance Sheet 24

Notes to the Financial Statements 25

Trust Facts 26

Synthetic Risk and Reward Indicator 27

Performance Record 28

General Information 29

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Manager’s Investment Report Investment Objective and Policy L&G (N) Tracker Trust aims to track the capital performance of the UK equity market, as represented by the FTSE All-Share Index, by investment in a representative sample of stocks selected from all economic sectors.

Securities in the FTSE All-Share Index will be held with weightings generally proportionate to their company’s market capitalisation. From time to time non-index constituents may be held as a result of a corporate action and these holdings will be sold or transferred as soon as reasonably practical.

Manager’s Investment Report During the period under review, from noon 30 September 2011 to noon 30 March 2012, being the last working day of the accounting period, the bid price of the Trust’s accumulation units rose by 14.79%. As the benchmark Index is not published at midday, in order to provide an appropriate comparison, the Trust has been valued at closing prices, the same basis as used for the Index. Over the review period from close 30 September 2011 to close 30 March 2012, being the last working day of the accounting period, the capital only price of the Trust’s accumulation units rose by 13.16%. The FTSE All-Share Index (capital only) rose by 13.13% (Source: Bloomberg). Past performance is not a guide to future performance. The value of investments and any income from them may go down as well as up. Exchange rate changes may cause the value of any overseas investments to rise or fall. The FTSE All-Share Index is calculated by FTSE International Limited (“FTSE”). FTSE does not sponsor, endorse or promote this product.

All copyright in the Index values and constituent list belongs to FTSE. Legal & General has obtained full license from FTSE to use such copyright in the creation of this product.

“FTSE™”, “FT-SE®” and “Footsie®” are trade marks of the London Stock Exchange Plc and The Financial Times Limited and are used by FTSE International Limited (“FTSE”) under licence. “All-Share®” is a trade mark of FTSE.

Market/Economic Review The FTSE All-Share Index comprises the FTSE 250 Index (+17.51%), the best performing element of the FTSE All-Share Index over the review period, the FTSE 100 Index (+12.48%) and the FTSE SmallCap Index (+11.95%) (Source: Bloomberg).

The UK budget in March 2012 left sentiment broadly neutral. Although in line with overall expectations, and the government remaining committed to deficit reduction, the UK still remains vulnerable to wider shocks in the global economy. Retail sales fell 0.8% in February 2012, and January 2012 figures were revised lower (0.9% to 0.3%), reflecting the squeeze on real income people are experiencing amongst growing levels of unemployment. Reduced energy bills for many UK homes helped bring the consumer prices index (CPI) down slightly in February 2012, to the lowest level in more than a year, but at 3.4% it was still considerably higher than Bank of England’s target of 2%.

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Manager’s Investment Report continued In coming months, high petrol prices and the threat of drought hitting farming and leading to increased food prices are likely to put a halt to any downward trends in inflation. Despite this unappealing backdrop, UK equities continued to mimic global markets, and the FTSE 100 broke through its highest close barrier (5,948) of 2012 in March. Towards the end of the month, however, economic growth concerns drove down performance. In particular, resource stocks were hit by slowdown and reduced demand concerns.

Over the review period, major sectors such as Chemicals (+38.1%), Oil Equipment, Services & Distribution (+37.0%), and Electronic & Electrical Equipment (+30.3%) showed the largest positive returns. The sectors that underperformed the most were Alternative Energy (-64.5%), Leisure Goods (-15.1%) and Food & Drug Retailers (-5.9%).

Trust Review At the quarterly Index review in December 2011, six companies were added to the FTSE All-Share Index, including the construction and material company CRH after its change of primary listing from Dublin. The Russian companies Evraz (steelmaker) and Polymetal International (precious metals miner) were included after both became eligible following their change of listing to London. Mouchel Parkman and Hampson Industries were both deleted from the Index.

At the quarterly Index review in March 2012, five companies were added to the FTSE All-Share Index including miners Petra Diamonds and Avocet Mining, oil and gas producer Ruspetro, food producer Greencore Group and Bilfinger Berger Global Infrastructure. Game Group, MWB Group Holdings and Namakwa Diamonds were deleted from the Index.

At each of the Index review effective dates the Trust’s portfolio was rebalanced accordingly.

Takeovers included Autonomy Corporation by US company Hewlett-Packard for £6.3 billion cash and Northumbrian Water Group for £4.7 billion by the consortium UK Water (2011) Ltd. Other takeovers included oil and gas company Hansen Transmissions International by ZF International BV, manufacturer Charter International by US company Colefax Corp and Collins Stewart Hawkpoint acquired by Canaccord Financial Inc. Other acquisitions also included Robert Wiseman Dairies, Alterian and Arena Leisure Plc.

Capital raisings were completed in the following companies for growth reasons: Smith (David S) Holdings (£465 million) to fund acquisitions of packaging manufacturer SCA Packaging Holding BV and clothing manufacturer Jaeger Group, MedicX Fund (£37 million) to fund further growth and Talvivaara Mining (£69 million) to fund research and development.

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Manager’s Investment Report continued Vodafone Group paid a £2 billion special dividend after receiving income from its 45% holding in US company Verizon Wireless. Stagecoach and Aegis Group also had capital repayments. Cairn Energy returned over £2.2 billion to shareholders following its sale of Cairn India to Vedanta Resources, and GlaxoSmithKline repaid £250 million following the disposal of non-core activities. Other capital repayments included European Investment Trust, Micro Focus International, easyJet and Millennium & Copthorne Hotels.

At the end of the review period, the Trust had holdings in all of the 614 companies in the Index. The three largest stocks in the Index at the end of the review period were Royal Dutch Shell (7.65%), HSBC (5.42%) and BP (4.76%).

Outlook European equities strengthened on completion of the Greek debt swap, and due to the European Central Bank (ECB) keeping interest rates at 1%. Fears of missing further gains has forced many investors into equity markets, even though there are concerns over the fragile state of the peripheral weaker eurozone nations and the uncertainty surrounding the impact of a slowdown globally, including China.

As the Bank of England is considering further doses of quantitative easing if the UK economy struggles to recover from one of the longest and deepest recessions of the post-war era, unemployment in the UK is expected to potentially peak at 8.8% of the workforce this year, with declines not being seen until 2013. However, quantitative easing is expected to help improve the flow of credit to small businesses and households, helping gross domestic product (GDP) growth to gradually pick up, ensuring that the Trust is in a good position to capture any upturn in markets. Legal & General Investment Management Limited (Investment Adviser) 17 April 2012

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Authorised Status Authorised Status This Trust is an Authorised Unit Trust Scheme as defined in section 243 of the Financial Services and Markets Act 2000 and is a UCITS Retail Scheme within the meaning of the FSA Collective Investment Schemes sourcebook.

Directors’ Statement We hereby certify that this Manager’s Report has been prepared in accordance with the requirements of the FSA Collective Investment Schemes sourcebook. M. B. Boardman S. D. Thomas (Director) (Director) Legal & General (Unit Trust Managers) Limited 21 May 2012

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Portfolio Statement Portfolio Statement as at 31 March 2012 All investments are in ordinary shares unless otherwise stated. The percentages in brackets show the equivalent sector holdings at 30 September 2011.

Holding/ Market % of Nominal Value Net Value Investment £ Assets

UNITED KINGDOM — 93.53% (94.27%)

Oil & Gas Producers — 16.41% (16.42%) 604,600 Afren 806,536 0.08 1,950,019 BG Group 28,343,526 2.69 10,924,471 BP 50,181,558 4.76 321,215 Cairn Energy 1,046,197 0.10 372,997 Enquest 474,079 0.05 223,773 Essar Energy 334,988 0.03 940,168 Fortune Oil 94,017 0.01 111,163 Heritage Oil 158,074 0.02 84,505 JKX Oil & Gas 133,940 0.01 38,302 Melrose Resources 46,441 — 125,983 Ophir Energy 631,805 0.06 302,618 Premier Oil 1,194,131 0.11 2,128,755 Royal Dutch Shell (A) 46,396,215 4.40 1,560,497 Royal Dutch Shell (B) 34,284,119 3.25 59,200 Ruspetro 122,189 0.01 95,409 Salamander Energy 209,423 0.02 189,112 SOCO International 564,499 0.05 525,495 Tullow Oil 8,024,309 0.76 --------------------------------------------------------------------------------------------------------------------------------------- 173,046,046 16.41 --------------------------------------------------------------------------------------------------------------------------------------- Oil Equipment, Services & Distribution — 0.47% (0.37%) 86,778 Hunting 823,523 0.08 153,523 Petrofac 2,625,243 0.25 214,868 Wood Group (John) 1,525,563 0.14 --------------------------------------------------------------------------------------------------------------------------------------- 4,974,329 0.47 --------------------------------------------------------------------------------------------------------------------------------------- Alternative Energy — 0.00% (0.00%) 118,802 PV Crystalox Solar 5,548 — --------------------------------------------------------------------------------------------------------------------------------------- Chemicals — 0.59% (0.48%) 33,600 Carclo 125,496 0.01 79,853 Croda International 1,673,719 0.16 247,502 Elementis 454,661 0.04 125,306 Johnson Matthey 2,957,222 0.28 51,646 Victrex 701,353 0.07 141,954 Yule Catto 351,620 0.03 --------------------------------------------------------------------------------------------------------------------------------------- 6,264,071 0.59 --------------------------------------------------------------------------------------------------------------------------------------- Forestry & Paper — 0.12% (0.11%) 215,705 Mondi (UK) 1,282,366 0.12 --------------------------------------------------------------------------------------------------------------------------------------- Industrial Metals — 0.08% (0.00%) 227,776 Evraz 836,166 0.08 --------------------------------------------------------------------------------------------------------------------------------------- Mining — 9.49% (9.44%) 65,132 African Barrick Gold 258,574 0.03 115,000 Allied Gold Mining 132,825 0.01 91,521 Anglesey Mining 18,991 — 771,206 Anglo American 18,188,894 1.72 62,173 Anglo Pacific Group 195,907 0.02

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Portfolio Statement continued


Mining — (cont.) 229,966 Antofagasta 2,676,804 0.25 73,234 Avocet Mining 139,145 0.01 1,229,899 BHP Billiton 23,657,107 2.24 47,100 Bumi 295,788 0.03 225,138 Eurasion Natural Resources 1,345,200 0.13 103,189 Ferrexpo 319,473 0.03 126,374 Fresnillo 2,056,105 0.20 112,833 Hochschild Mining 527,720 0.05 121,077 Kazakhmys 1,122,384 0.11 121,096 Lonmin 1,282,407 0.12 69,239 New World Resources 305,067 0.03 108,388 Petropavlovsk 624,857 0.06 53,020 Randgold Resources 2,916,100 0.28 832,501 Rio Tinto 28,925,247 2.74 156,496 UK Coal 26,213 — 74,458 Vedanta Resources 929,980 0.09 1,290,733 Xstrata 14,120,619 1.34 --------------------------------------------------------------------------------------------------------------------------------------- 100,065,407 9.49 --------------------------------------------------------------------------------------------------------------------------------------- Construction & Materials — 0.24% (0.24%) 54,113 Aga Rangemaster Group 47,755 0.01 400,643 Balfour Beatty 1,151,448 0.11 32,216 Costain Group 71,197 0.01 51,741 Galliford Try 320,794 0.03 54,400 Henry Boot 66,912 0.01 32,879 Keller 147,627 0.01 21,812 Kier Group 248,439 0.02 191,418 Low & Bonar 114,372 0.01 129,226 Marshalls Group 131,164 0.01 18,871 Morgan Sindall 127,945 0.01 264,000 Norcros 25,793 — 74,813 ROK* — — 69,280 Severfield-Rowen 126,263 0.01 --------------------------------------------------------------------------------------------------------------------------------------- 2,579,709 0.24 --------------------------------------------------------------------------------------------------------------------------------------- Aerospace & Defence — 1.91% (1.76%) 1,881,542 BAE Systems 5,618,284 0.54 106,110 Chemring Group 429,427 0.04 681,223 Cobham 1,538,881 0.15 447,375 Meggitt 1,812,764 0.17 431,693 QinetiQ 657,037 0.06 1,085,592 Rolls-Royce 8,869,287 0.84 225,716 Senior 444,661 0.04 35,988 Ultra Electronics Holdings 626,911 0.06 31,131 UMECO 118,920 0.01 --------------------------------------------------------------------------------------------------------------------------------------- 20,116,172 1.91 --------------------------------------------------------------------------------------------------------------------------------------- General Industrials — 0.68% (0.57%) 17,822 Avon Rubber 52,218 0.01 12,145 British Polythene Industries 41,323 — 172,271 Cookson Group 1,196,422 0.11 509,059 Rexam 2,190,481 0.21 91,667 RPC Group 337,793 0.03 514,993 Smith (David S) Holdings 922,352 0.09 229,353 Smiths Group 2,403,619 0.23 --------------------------------------------------------------------------------------------------------------------------------------- 7,144,208 0.68 ---------------------------------------------------------------------------------------------------------------------------------------

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Electronic & Electrical Equipment — 0.45% (0.38%) 17,238 Dialight 155,314 0.01 60,931 Domino Printing Sciences 339,081 0.03 123,268 E2V Holdings 147,922 0.01 214,583 Halma 816,274 0.08 172,549 Laird Group 375,812 0.04 145,574 Morgan Crucible 467,729 0.04 50,834 Novae Group 183,257 0.02 34,917 Oxford Instruments 421,099 0.04 23,932 Renishaw 310,159 0.03 13,029 Sepura 7,068 — 23,931 SFI Group Holdings* — — 70,822 Spectris 1,271,963 0.12 97,842 TT Electronics 164,130 0.02 41,446 Xaar 99,470 0.01 --------------------------------------------------------------------------------------------------------------------------------------- 4,759,278 0.45 --------------------------------------------------------------------------------------------------------------------------------------- Industrial Engineering — 0.77% (0.68%) 131,580 Bodycote 506,188 0.05 126,259 Fenner 551,752 0.05 2,300 Goodwin 31,510 — 45,535 Hill & Smith Holdings 154,136 0.02 186,771 IMI 1,812,613 0.17 222,559 Melrose 942,092 0.09 145,800 Renold 51,030 0.01 48,062 Rotork 954,511 0.09 42,640 Spirax-Sarco Engineering 878,384 0.08 22,584 Vitec Group 146,118 0.01 122,536 Weir Group 2,149,281 0.20 --------------------------------------------------------------------------------------------------------------------------------------- 8,177,615 0.77 --------------------------------------------------------------------------------------------------------------------------------------- Industrial Transportation — 0.13% (0.12%) 283,335 BBA Aviation 602,937 0.06 14,863 Braemar Seascope Group 60,641 0.01 8,895 Clarkson 117,058 0.01 28,479 Fisher (James) & Sons 168,738 0.02 187,787 Stobart Group 244,311 0.02 11,702 UK Mail Group 27,734 — 82,765 Wincanton 62,488 0.01 --------------------------------------------------------------------------------------------------------------------------------------- 1,283,907 0.13 --------------------------------------------------------------------------------------------------------------------------------------- Support Services — 3.01% (2.78%) 10,326 4imprint Group 30,178 — 153,892 Aggreko 3,474,881 0.33 190,603 AMEC 2,100,445 0.20 187,279 Anite 238,313 0.02 321,194 Ashtead Group 824,184 0.08 54,878 Atkins (WS) 401,981 0.04 211,162 Babcock International Group 1,676,626 0.16 92,494 Berendsen 482,819 0.05 66,166 Brammer 223,641 0.02 191,433 Bunzl 1,916,244 0.18 356,128 Capita Group 2,610,418 0.25 254,336 Carillion 756,395 0.07 55,694 De La Rue 503,474 0.05 59,880 Diploma 249,520 0.02 295,101 Electrocomponents 744,540 0.07 93,333 Fiberweb 57,400 0.01

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Support Services — (cont.) 127,567 Filtrona 593,187 0.06 817,314 G4S 2,241,892 0.21 25,000 Harvey Nash Group 14,625 — 775,010 Hays 669,996 0.06 175,160 Homeserve 416,180 0.04 347,789 Howden Joinery Group 430,911 0.04 25,135 Hyder Consulting 100,540 0.01 91,837 Interserve 271,287 0.03 92,093 Intertek Group 2,308,772 0.22 106,294 Lavendon Group 129,147 0.01 253,186 Management Consulting Group 98,743 0.01 57,537 Mears Group 147,151 0.01 23,788 Menzies (John) 143,085 0.01 197,583 Michael Page International 948,398 0.09 233,075 Mitie Group 647,715 0.06 26,249 PayPoint 157,494 0.02 196,879 Premier Farnell 421,912 0.04 1,014,330 Rentokil Initial 860,152 0.08 25,384 Ricardo 89,225 0.01 52,471 Robert Walters 127,111 0.01 107,570 RPS Group 256,447 0.02 282,386 Serco Group 1,533,356 0.15 203,768 Shanks Group 200,813 0.02 432,280 SIG 512,252 0.05 315,760 Speedy Hire 87,623 0.01 54,784 St. Ives 44,786 — 61,020 SThree 202,739 0.02 138,395 Travis Perkins 1,497,434 0.14 17,013 Vp 41,257 — 38,833 WSP Group 99,995 0.01 161,096 Xchanging 155,055 0.02 --------------------------------------------------------------------------------------------------------------------------------------- 31,740,339 3.01 --------------------------------------------------------------------------------------------------------------------------------------- Automobiles & Parts — 0.18% (0.17%) 904,276 GKN 1,883,607 0.18 73,174 Torotrak 28,904 — --------------------------------------------------------------------------------------------------------------------------------------- 1,912,511 0.18 --------------------------------------------------------------------------------------------------------------------------------------- Beverages — 3.82% (3.53%) 21,212 Barr 253,483 0.02 145,959 Britvic 560,629 0.05 1,461,457 Diageo 22,016,850 2.09 690,640 SABMiller 17,490,458 1.66 --------------------------------------------------------------------------------------------------------------------------------------- 40,321,420 3.82 --------------------------------------------------------------------------------------------------------------------------------------- Food Producers — 2.13% (2.32%) 11,087 Anglo-Eastern Plantations 84,982 0.01 231,032 Associated British Foods 2,804,728 0.27 893,100 Booker Group 743,059 0.07 4,100 Carr's Milling Industries 32,800 — 25,216 Cranswick 202,989 0.02 72,508 Dairy Crest Group 238,914 0.02 110,727 Devro 340,707 0.03 59,260 Greggs 309,337 0.03 24,538 Hilton Food Group 70,240 0.01 1,475,595 Premier Foods 236,095 0.02 11,909 REA Holdings 80,445 0.01

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Food Producers — (cont.) 271,935 Tate & Lyle 1,899,466 0.18 748,292 Unilever 15,422,292 1.46 --------------------------------------------------------------------------------------------------------------------------------------- 22,466,054 2.13 --------------------------------------------------------------------------------------------------------------------------------------- Household Goods & Home Construction — 1.92% (1.88%) 538,502 Barratt Developments 767,365 0.07 64,970 Bellway 533,079 0.05 80,870 Berkeley Group 1,069,910 0.10 83,802 Bovis Homes Group 407,194 0.04 46,397 Headlam Group 137,103 0.01 117,525 McBride 143,381 0.01 189,499 Persimmon 1,221,321 0.12 420,481 Reckitt Benckiser Group 14,817,750 1.41 168,509 Redrow Group 217,377 0.02 1,784,798 Taylor Wimpey 924,525 0.09 --------------------------------------------------------------------------------------------------------------------------------------- 20,239,005 1.92 --------------------------------------------------------------------------------------------------------------------------------------- Leisure Goods — 0.00% (0.02%) 22,990 Hornby 21,611 — --------------------------------------------------------------------------------------------------------------------------------------- Personal Goods — 0.40% (0.36%) 253,887 Burberry Group 3,775,300 0.36 135,480 PZ Cussons 404,679 0.04 --------------------------------------------------------------------------------------------------------------------------------------- 4,179,979 0.40 --------------------------------------------------------------------------------------------------------------------------------------- Tobacco — 4.85% (4.80%) 1,142,501 British American Tobacco 36,188,719 3.43 584,047 Imperial Tobacco 14,916,552 1.42 --------------------------------------------------------------------------------------------------------------------------------------- 51,105,271 4.85 --------------------------------------------------------------------------------------------------------------------------------------- Health Care Equipment & Services — 0.35% (0.36%) 18,362 Consort Medical 114,763 0.01 23,120 Optos 55,199 0.01 519,485 Smith & Nephew 3,288,340 0.31 31,810 Synergy Healthcare 268,954 0.02 --------------------------------------------------------------------------------------------------------------------------------------- 3,727,256 0.35 --------------------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals & Biotechnology — 6.73% (7.53%) 745,564 AstraZeneca 20,808,682 1.97 178,233 BTG 590,308 0.06 40,724 Dechra Pharmaceuticals 200,973 0.02 33,343 Genus 424,456 0.04 2,943,315 GlaxoSmithKline 41,265,276 3.91 95,485 Hikma Pharmaceuticals 651,685 0.06 415,176 Oxford Biomedica 12,663 — 326,413 Shire 6,893,843 0.66 191,570 Vectura 101,532 0.01 --------------------------------------------------------------------------------------------------------------------------------------- 70,949,418 6.73 --------------------------------------------------------------------------------------------------------------------------------------- Food & Drug Retailers — 2.22% (2.70%) 1,482,330 Morrison (WM) Supermarkets 4,411,407 0.42 229,000 Ocado Group 265,869 0.03 1,075,610 Sainsbury (J) 3,351,601 0.32 15,682 SuperGroup 95,268 0.01 4,624,158 Tesco 15,234,289 1.44 --------------------------------------------------------------------------------------------------------------------------------------- 23,358,434 2.22 ---------------------------------------------------------------------------------------------------------------------------------------

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General Retailers — 1.54% (1.54%) 103,320 Ashley (Laura) Holdings 23,505 — 114,555 Brown (N) Group 267,600 0.03 25,387 Carpetright 174,155 0.02 837,449 Debenhams 675,821 0.06 32,994 Dignity 265,767 0.03 2,029,296 Dixons Retail 385,363 0.04 43,637 Dunelm Group 223,203 0.02 874,251 Findel 31,473 — 32,000 French Connection Group 15,040 — 109,203 Halfords Group 338,529 0.03 465,601 Home Retail Group 537,769 0.05 283,729 Inchcape 1,071,077 0.10 9,672 JD Sports Fashion 75,925 0.01 325,392 Kesa Electricals 237,862 0.02 1,365,665 Kingfisher 4,184,398 0.40 175,006 Lookers 109,379 0.01 920,368 Marks & Spencer Group 3,490,956 0.33 46,595 Mothercare 79,561 0.01 99,114 Next 2,941,704 0.28 860,715 Pendragon 114,045 0.01 145,980 Photo-Me International 65,691 0.01 110,826 Sports Direct International 317,295 0.03 19,195 Ted Baker 153,656 0.01 94,526 Topps Tiles 35,447 — 81,784 WH Smith 447,767 0.04 --------------------------------------------------------------------------------------------------------------------------------------- 16,262,988 1.54 --------------------------------------------------------------------------------------------------------------------------------------- Media — 2.08% (2.09%) 670,573 Aegis Group 1,239,219 0.12 26,687 Bloomsbury Publishing 28,689 — 756,767 BSkyB 5,089,258 0.48 84,379 Centaur Holdings 32,064 — 41,305 Chime Communications 90,251 0.01 33,000 Creston 20,295 — 148,408 Daily Mail & General Trust (A) 668,578 0.06 24,861 Euromoney Institutional Investor 186,333 0.02 130,118 Huntsworth 70,264 0.01 164,388 ITE Group 364,777 0.03 2,253,369 ITV 1,984,091 0.19 71,865 Mecom Group 131,513 0.01 136,488 Moneysupermarket.com 172,384 0.02 471,617 Pearson 5,522,635 0.52 58,800 Perform Group 176,400 0.01 703,740 Reed Elsevier 3,888,164 0.37 75,814 Rightmove 1,082,624 0.10 93,447 Smiths News 82,934 0.01 173,627 Trinity Mirror 65,110 0.01 132,392 United Business Media 826,788 0.08 57,491 UTV Media 86,668 0.01 51,782 Wilmington Group 49,322 0.01 1,623,073 Yell Group 61,839 0.01 --------------------------------------------------------------------------------------------------------------------------------------- 21,920,200 2.08 --------------------------------------------------------------------------------------------------------------------------------------- Travel & Leisure — 2.36% (2.36%) 76,792 888 Holdings 48,379 — 108,489 Arena Leisure Plc 47,876 — 64,400 Betfair Group 556,416 0.05 124,146 Carnival 2,490,369 0.24 75,511 Cineworld 165,369 0.02

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Travel & Leisure — (cont.) 1,086,850 Compass Group 7,097,131 0.67 73,476 Domino's Pizza UK & Ireland 323,956 0.03 162,759 easyJet 788,893 0.07 282,384 Enterprise Inns 159,547 0.02 293,030 FirstGroup 707,667 0.07 16,500 Flybe Group 11,509 — 19,502 Fuller Smith & Turner 138,269 0.01 24,555 Go-Ahead Group 303,500 0.03 114,706 Greene King 586,148 0.06 143,300 Hogg Robinson Group 98,161 0.01 167,689 InterContinental Hotels 2,426,460 0.23 483,644 Ladbrokes 770,445 0.07 395,328 Marston's 389,596 0.04 83,495 Millennium & Copthorne Hotels 400,108 0.04 170,670 Mitchells & Butlers 462,004 0.04 320,533 National Express 769,279 0.07 90,302 Northgate 193,427 0.02 498,197 Punch Taverns 53,556 0.01 87,170 Rank Group 112,536 0.01 139,126 Restaurant Group 412,648 0.04 498,197 Spirit Pub Company 311,373 0.03 352,232 Sportingbet 132,968 0.01 353,287 Stagecoach 904,415 0.09 487,663 Thomas Cook 109,724 0.01 315,658 Tui Travel 617,427 0.06 13,595 Wembley* — — 70,906 Wetherspoon (JD) 292,204 0.03 101,608 Whitbread 1,883,812 0.18 418,268 William Hill 1,091,679 0.10 --------------------------------------------------------------------------------------------------------------------------------------- 24,856,851 2.36 --------------------------------------------------------------------------------------------------------------------------------------- Fixed Line Telecommunications — 1.15% (1.05%) 4,494,540 BT Group 10,081,253 0.96 1,495,333 Cable & Wireless Communications 477,161 0.05 1,629,614 Cable & Wireless Worldwide 553,417 0.05 286,839 Kingston Communications 197,345 0.02 408,727 TalkTalk Telecom Group 557,095 0.05 29,985 Telecom Plus 206,747 0.02 --------------------------------------------------------------------------------------------------------------------------------------- 12,073,018 1.15 --------------------------------------------------------------------------------------------------------------------------------------- Mobile Telecommunications — 4.85% (5.43%) 262,864 Inmarsat 1,202,340 0.11 28,967,339 Vodafone Group 49,838,295 4.73 40,200 Volex Group 104,018 0.01 --------------------------------------------------------------------------------------------------------------------------------------- 51,144,653 4.85 --------------------------------------------------------------------------------------------------------------------------------------- Electricity — 1.13% (1.14%) 214,803 Drax Group 1,167,454 0.11 886,031 International Power 3,602,602 0.34 543,128 SSE 7,158,371 0.68 --------------------------------------------------------------------------------------------------------------------------------------- 11,928,427 1.13 --------------------------------------------------------------------------------------------------------------------------------------- Gas, Water & Multiutilities — 2.68% (3.08%) 2,993,854 Centrica 9,379,745 0.89 2,064,913 National Grid 12,988,303 1.23 211,757 Pennon Group 1,501,357 0.14

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Gas, Water & Multiutilities — (cont.) 137,380 Severn Trent 2,100,540 0.20 389,353 United Utilities 2,330,278 0.22 --------------------------------------------------------------------------------------------------------------------------------------- 28,300,223 2.68 --------------------------------------------------------------------------------------------------------------------------------------- Banks — 10.06% (9.76%) 7,065,631 Barclays 16,802,071 1.59 10,344,376 HSBC Holdings 57,163,022 5.42 23,430,097 Lloyds Banking Group 7,847,911 0.74 10,360,331 Royal Bank of Scotland 2,894,676 0.28 1,377,154 Standard Chartered 21,407,859 2.03 --------------------------------------------------------------------------------------------------------------------------------------- 106,115,539 10.06 --------------------------------------------------------------------------------------------------------------------------------------- Nonlife Insurance — 0.49% (0.56%) 123,942 Admiral Group 1,442,685 0.14 294,671 Amlin 978,013 0.09 51,600 CPP Group 29,283 — 82,187 Jardine Lloyd Thompson Group 569,556 0.05 2,035,735 RSA Insurance Group 2,151,772 0.21 --------------------------------------------------------------------------------------------------------------------------------------- 5,171,309 0.49 --------------------------------------------------------------------------------------------------------------------------------------- Life Insurance — 2.83% (2.47%) 1,690,544 Aviva 5,629,512 0.54 67,034 Chesnara 126,694 0.01 3,330,759 Legal & General Group 4,363,294 0.41 3,215,711 Old Mutual 5,100,118 0.48 1,468,459 Prudential 11,072,181 1.05 109,770 St.James's Place Capital 384,963 0.04 1,378,026 Standard Life 3,165,326 0.30 --------------------------------------------------------------------------------------------------------------------------------------- 29,842,088 2.83 --------------------------------------------------------------------------------------------------------------------------------------- Real Estate Investment & Services — 0.28% (0.29%) 413,175 Capital & Counties Properties 795,362 0.07 245,541 Capital & Regional 78,573 0.01 13,848 CLS Holdings 86,550 0.01 2,462 Daejan Holdings 74,426 0.01 70,275 Development Securities 111,386 0.01 52,900 DTZ Holdings* — — 199,502 Grainger Trust 206,086 0.02 389,836 Hansteen Holdings 278,733 0.03 68,701 Helical Bar 129,673 0.01 50,960 IRP Property Investments 35,545 — 42,587 LSL Property Services 114,240 0.01 100,000 Metric Property Investments 90,000 0.01 179,073 Picton Property Income 73,420 0.01 332,524 Quintain Estates & Development 128,022 0.01 104,893 Safestore 122,725 0.01 71,936 Savills 265,732 0.02 103,204 St. Modwen Properties 178,801 0.02 104,464 Unite Group 204,488 0.02 --------------------------------------------------------------------------------------------------------------------------------------- 2,973,762 0.28 --------------------------------------------------------------------------------------------------------------------------------------- Real Estate Investment Trusts — 1.24% (1.32%) 79,590 Big Yellow Group 226,036 0.02 514,057 British Land 2,458,735 0.23 376,629 Capital Shopping Centres 1,253,421 0.12 64,081 Derwent London 1,107,320 0.11

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Real Estate Investment Trusts — (cont.) 166,867 Great Portland Estates 597,050 0.06 412,888 Hammerson 1,705,227 0.16 452,260 Land Securities Group 3,242,704 0.31 304,908 London & Stamford Property 335,704 0.03 22,474 McKay Securities 28,654 — 18,323 Mucklow (A&J) Group 60,145 0.01 35,133 Primary Health Properties 111,284 0.01 422,287 SEGRO 988,996 0.09 141,978 Shaftesbury 699,668 0.07 17,937 Town Centre Securities 31,748 — 106,808 Workspace Group 250,465 0.02 --------------------------------------------------------------------------------------------------------------------------------------- 13,097,157 1.24 --------------------------------------------------------------------------------------------------------------------------------------- Financial Services — 1.63% (1.71%) 563,308 3i Group 1,188,580 0.11 670,391 Aberdeen Asset Management 1,722,905 0.16 194,807 Ashmore Group 717,669 0.07 152,894 Brewin Dolphin 253,498 0.02 885 Camellia 84,526 0.01 26,084 Charles Taylor Consulting 37,822 — 20,748 City of London Investment Group 73,655 0.01 77,254 Close Brothers Group 607,216 0.06 280,706 F&C Asset Management 187,231 0.02 380,279 ICAP 1,486,130 0.14 221,148 IG Group 982,782 0.09 222,175 Intermediate Capital Group 637,642 0.06 182,339 International Personal Finance 479,369 0.05 347,125 Investec 1,324,629 0.13 193,806 IP Group 250,494 0.02 191,167 Jupiter Fund Management 445,801 0.04 118,291 London Stock Exchange 1,213,666 0.12 1,004,717 Lonrho 115,542 0.01 1,066,570 Man Group 1,432,404 0.14 185,112 Paragon Group 350,417 0.03 74,788 Provident Financial 855,575 0.08 23,685 Rathbone Brothers 300,563 0.03 252,000 RSM Tenon Group 20,941 — 99,535 Schroders 1,566,681 0.15 31,197 Schroders (Non-voting) 385,283 0.04 130,519 Tullet Prebon 459,296 0.04 --------------------------------------------------------------------------------------------------------------------------------------- 17,180,317 1.63 --------------------------------------------------------------------------------------------------------------------------------------- Equity Investment Instruments — 2.80% (2.67%) 355,169 3I Infrastructure 440,765 0.04 72,126 Aberdeen Asian Income Fund 134,876 0.01 17,404 Aberdeen Asian Smaller Companies Investment Trust 125,135 0.01 8,740 Aberdeen New Dawn Investment Trust 71,187 0.01 56,917 Aberforth Smaller Companies Trust 362,561 0.03 75,000 AcenciA Debt Strategies 61,688 0.01 366,523 Alliance Trust 1,344,021 0.13 85,497 Alternative Investment Strategies Hedged 95,329 0.01 24,500 Artemis Alpha Trust 65,721 0.01 54,138 Baillie Gifford Japan Trust 110,712 0.01 57,893 Bankers Investment Trust 242,051 0.02

15



Equity Investment Instruments — (cont.) 16,914 Baring Emerging Europe 123,218 0.01 43,600 Blackrock Frontiers Investment Trust 35,861 — 61,882 Blackrock Greater Europe Investment Trust 111,852 0.01 88,497 Blackrock New Energy Investment Trust 27,655 — 24,980 Blackrock Smaller Companies Trust 129,896 0.01 101,203 Blackrock World Mining Trust 676,036 0.06 173,929 British Assets Trust 219,151 0.02 100,403 British Empire Securities & General Trust 424,705 0.04 30,987 Brunner Investment Trust 129,061 0.01 28,223 Caledonia Investments 418,265 0.04 13,548 Candover Investments 57,816 0.01 1,490 Capital Gearing Trust 43,970 — 32,086 City Merchants High Yield Trust 51,861 0.01 36,866 City Natural Resources High Yield Trust 97,787 0.01 122,572 City of London Investment Trust 361,465 0.03 52,080 Dexion Equity Alternative 65,100 0.01 14,021 Dunedin Enterprise Investment Trust 50,861 0.01 84,608 Dunedin Income Growth Investment Trust 190,156 0.02 22,200 Dunedin Smaller Companies Investment Trust 31,080 — 110,600 Ecofin Water & Power Opportunities 131,338 0.01 108,442 Edinburgh Dragon Trust 264,924 0.03 117,990 Edinburgh Investment Trust 586,056 0.06 81,349 Edinburgh UK Tracker Trust 210,694 0.02 21,815 Edinburgh US Tracker Trust 150,742 0.01 22,174 Edinburgh Worldwide Investment Trust 64,526 0.01 21,556 Electra Investment Trust 368,176 0.04 48,924 Electric & General Investment Trust* — — 26,600 EP Global Opportunities Trust 46,550 — 28,074 European Investment Trust 148,090 0.01 36,301 F&C Capital and Income Investment Trust 80,770 0.01 324,499 F&C Commercial Property Trust 326,446 0.03 39,342 F&C Emerging Market Investment* — — 28,070 F&C Private Equity Trust 41,544 — 33,870 F&C Smaller Companies 205,591 0.02 4,600 F&C US Smaller Companies 21,620 — 49,713 Fidelity Asian Values 95,076 0.01 347,708 Fidelity China Special Situations 276,602 0.03 28,546 Fidelity European Values 322,570 0.03 36,554 Fidelity Special Values 194,833 0.02 34,100 Finsbury Emerging Biotechnology Trust 80,476 0.01 27,691 Finsbury Growth & Income Trust 95,534 0.01 29,297 Finsbury Worldwide Pharmaceutical Trust 231,446 0.02 372,607 Foreign & Colonial Investment Trust 1,174,085 0.11 96,241 Goldman Sachs Dynamic Opportunities Fund 93,594 0.01

16



Equity Investment Instruments — (cont.) 29,930 Govett Strategic Investment Trust* — — 47,207 Graphite Enterprise Trust 180,449 0.02 8,691 Hansa Trust (A) 76,611 0.01 131,541 Hargreaves Lansdown 637,053 0.06 14,758 Henderson European Focus Trust 83,383 0.01 10,545 Henderson EuroTrust 55,361 0.01 15,676 Henderson Fledgeling Trust 59,020 0.01 21,159 Henderson Global Trust 66,281 0.01 17,948 Henderson High Income Trust 23,063 — 66,951 Henderson Smaller Companies Investment Trust 207,715 0.02 102,807 Henderson TR Pacific Investment Trust 177,856 0.02 43,818 Herald Investment Trust 229,606 0.02 22,258 HG Capital Trust 214,790 0.02 348,121 HICL Infrastructure 418,093 0.04 108,733 Impax Asian Environmental Markets Trust 91,608 0.01 177,736 Impax Environmental Markets Trust 175,514 0.02 302,343 International Public Partnership 361,602 0.03 30,757 INVESCO Asia Trust 46,904 — 29,833 INVESCO Income Growth Trust 63,246 0.01 17,375 INVESCO Perpetual UK Smaller Companies Investment Trust 35,923 — 26,345 JPMorgan American Investment Trust 249,882 0.02 105,659 JPMorgan Asian Investment Trust 202,760 0.02 22,225 JPMorgan Chinese Investment Trust 29,170 — 34,826 JPMorgan Claverhouse Investment Trust 147,227 0.01 74,439 JPMorgan Emerging Markets Investment Trust 414,625 0.04 23,404 JPMorgan European Fledgling Investment Trust 168,977 0.02 73,796 JPMorgan European Investment Trust 120,287 0.01 26,400 JPMorgan European Investment Trust (Income Shares) 22,440 — 65,800 JPMorgan Global Emerging Markets Income Trust 75,670 0.01 15,878 JPMorgan id Cap Investment Trust 69,307 0.01 75,837 JPMorgan Indian Investment Trust 272,255 0.03 104,361 JPMorgan Japanese Investment Trust 178,457 0.02 29,109 JPMorgan Japanese Smaller Companies Investment Trust 41,335 — 52,040 JPMorgan Mercantile Investment Trust 539,134 0.05 18,559 JPMorgan Overseas Investment Trust 144,018 0.01 33,158 JPMorgan Russian Securities 189,001 0.02 15,851 JPMorgan Smaller Companies Investment Trust 78,145 0.01 42,471 Jupiter European Opportunities Trust 117,220 0.01

17



Equity Investment Instruments — (cont.) 12,336 Keystone Investment Trust 149,266 0.01 76,689 Law Debenture 287,584 0.03 131,314 LMS Capital 76,490 0.01 10,563 Lowland Investment Company 94,011 0.01 11,924 Majedie Investments 18,631 — 5,000 Manchester & London Investment Trust 15,950 — 18,635 Martin Currie Pacific Trust 50,501 0.01 72,779 Martin Currie Portfolio Investment Trust 97,160 0.01 176,016 MedicX Fund 135,546 0.01 53,702 Merchants Trust 205,464 0.02 21,662 Merrill Lynch Commodities Income 28,323 — 25,293 Merrill Lynch Latin American Investment Trust 149,987 0.01 52,178 Middlefield Canadian Income Trust 51,395 0.01 147,366 Monks Investment Trust 490,729 0.05 15,017 Montanaro UK Smaller Companies Investment Trust 52,935 0.01 40,749 Murray Income Trust 266,498 0.03 57,084 Murray International Trust 567,986 0.05 26,000 New India Investment Trust 57,265 0.01 8,057 North Atlantic Smaller Companies Investment Trust 79,361 0.01 76,914 Pacific Assets Trust 94,027 0.01 24,253 Pacific Horizon Investment Trust 39,229 — 18,910 Pantheon International Participations Fund 144,756 0.01 136,935 Perpetual Income & Growth Investment Trust 369,040 0.04 573 Personal Assets Trust 195,966 0.02 37,500 Polar Capital Global Healthcare Growth & Income Trust 43,406 — 73,820 Polar Capital Technology Trust 293,730 0.03 10,500 RCM Technology Trust 33,679 — 87,252 RIT Capital Partners 1,063,602 0.10 103,773 Schroder Asia Pacific Fund 243,867 0.02 35,214 Schroder Income Growth Fund 68,227 0.01 57,708 Schroder Japan Growth Fund 55,111 0.01 87,638 Schroder Oriental Income Fund 144,165 0.01 101,146 Schroder UK Growth Fund 130,984 0.01 10,000 Schroder UK Mid & Small Cap Fund 26,025 — 78,365 Scottish American Investment Trust 176,713 0.02 71,849 Scottish Investment Trust 349,545 0.03 158,385 Scottish Mortgage & Trust 1,117,406 0.11 22,600 Scottish Oriental Smaller Companies Trust 145,092 0.01 159,040 Securities Trust of Scotland — — 77,560 Securities Trust of Scotland Red Ord. 93,848 0.01 6,771 Shires Income 12,950 — 16,142 Standard Life Equity Income Trust 45,359 — 36,933 Standard Life European Private Equity Trust 52,999 0.01 62,312 Standard Life Investment Property Income Trust 38,478 — 20,700 Standard Life UK Smaller Companies Trust 42,590 — 201,325 SVG Capital 574,783 0.05

18



Equity Investment Instruments — (cont.) 40,370 SVM Global Fund 115,862 0.01 38,786 Temple Bar Investment Trust 357,995 0.03 205,660 Templeton Emerging Markets Investment Trust 1,215,451 0.12 56,916 Thames River Multi Hedge PCC 66,307 0.01 25,652 The Eastern European Trust 68,555 0.01 60,366 Throgmorton Trust 116,205 0.01 38,973 TR European Growth Trust 132,021 0.01 169,181 TR Property Investment Trust 262,400 0.02 76,664 TR Property Investment Trust (SIGMA) 53,358 0.01 56,296 Troy Income & Growth Trust 30,541 — 208,455 UK Commercial Property Trust 150,817 0.01 20,590 Value & Income Trust 37,113 — 112,687 Witan Investment Trust 555,547 0.05 61,429 Witan Pacific Investment Trust 123,779 0.01 --------------------------------------------------------------------------------------------------------------------------------------- 29,531,723 2.80 --------------------------------------------------------------------------------------------------------------------------------------- Software & Computer Services — 0.80% (1.16%) 44,715 Aveva Group 753,448 0.07 62,645 Computacenter 275,763 0.03 20,486 Fidessa Group 330,849 0.03 532,195 Innovation Group 106,439 0.01 452,764 Invensys 901,000 0.08 59,000 Kewill Systems 43,513 — 54,164 Kofax 164,659 0.02 952,132 LogicaCMG 954,036 0.09 107,569 Micro Focus International 496,001 0.05 178,060 Misys 638,701 0.06 20,173 NCC Group 184,347 0.02 36,041 Phoenix IT Group 70,370 0.01 45,835 RM 34,605 — 767,322 Sage Group 2,301,199 0.22 48,773 SDL 363,603 0.03 110,608 Telecity 808,544 0.08 --------------------------------------------------------------------------------------------------------------------------------------- 8,427,077 0.80 --------------------------------------------------------------------------------------------------------------------------------------- Technology Hardware & Equipment — 0.66% (0.62%) 783,789 ARM Holdings 4,647,869 0.44 113,703 CSR 268,225 0.02 135,562 Imagination Technologies 921,144 0.09 199,263 Pace 148,451 0.01 78,200 Promethean World 57,477 0.01 87,171 Psion 53,174 0.01 411,099 Spirent Communications 657,347 0.06 90,121 Wolfson Microelectronics 163,570 0.02 --------------------------------------------------------------------------------------------------------------------------------------- 6,917,257 0.66 --------------------------------------------------------------------------------------------------------------------------------------- CHANNEL ISLANDS — 2.91% (2.49%)

Oil Equipment, Services & Distribution — 0.02% (0.02%) 49,389 Kentz 225,510 0.02 --------------------------------------------------------------------------------------------------------------------------------------- Mining — 0.19% (0.00%) 160,190 Polymetal International 1,492,961 0.14

19



Mining — (cont.) 647,000 Centamin 458,400 0.05 --------------------------------------------------------------------------------------------------------------------------------------- 1,951,361 0.19 --------------------------------------------------------------------------------------------------------------------------------------- Construction & Materials — 0.37% (0.27%) 163,745 Wolseley 3,928,243 0.37 --------------------------------------------------------------------------------------------------------------------------------------- General Industrials — 0.32% (0.33%) 68,000 Cape 285,464 0.03 783,779 Glencore International 3,114,346 0.29 --------------------------------------------------------------------------------------------------------------------------------------- 3,399,810 0.32 --------------------------------------------------------------------------------------------------------------------------------------- Support Services — 0.58% (0.48%) 579,423 Experian Group 5,672,551 0.54 354,178 Regus 401,638 0.04 --------------------------------------------------------------------------------------------------------------------------------------- 6,074,189 0.58 --------------------------------------------------------------------------------------------------------------------------------------- Media — 0.74% (0.60%) 340,262 Informa 1,505,991 0.14 37,703 Tarsus Group 54,669 0.01 729,966 WPP 6,215,660 0.59 --------------------------------------------------------------------------------------------------------------------------------------- 7,776,320 0.74 --------------------------------------------------------------------------------------------------------------------------------------- Nonlife Insurance — 0.04% (0.04%) 291,999 Beazley 405,003 0.04 --------------------------------------------------------------------------------------------------------------------------------------- Life Insurance — 0.20% (0.23%) 810,117 Resolution 2,117,646 0.20 --------------------------------------------------------------------------------------------------------------------------------------- Financial Services — 0.09% (0.06%) 697,975 Henderson Group 894,804 0.08 172,935 Schroder Real Estate 59,663 0.01 --------------------------------------------------------------------------------------------------------------------------------------- 954,467 0.09 --------------------------------------------------------------------------------------------------------------------------------------- Real Estate Investment & Services — 0.02% (0.02%) 342,511 Raven Russia 214,926 0.02 --------------------------------------------------------------------------------------------------------------------------------------- Equity Investment Instruments — 0.32% (0.42%) 110,983 Absolute Return Trust 120,971 0.01 42,602 Advance Developing Markets Fund 190,537 0.02 16,929 Ashmore Global Opportunities 104,113 0.01 21,282 BH Global - GBP Shares 251,766 0.02 18,027 BH Global - USD Shares 134,551 0.01 27,969 BH Macro (GBP) 574,483 0.06 22,500 Cazenove Absolute Equity 27,619 — 283,029 Close AllBlue Fund 455,394 0.04 187,737 Dexion Absolute 265,648 0.03 70,830 Dexion Trading 83,756 0.01 72,565 Genesis Emerging Markets Fund 361,083 0.04 38,000 Henderson Diversified Income 30,495 — 70,211 Henderson Far East Income 207,122 0.02 58,020 HICL Infrastructure 'C' 59,471 0.01 42,172 ING Global Real Estate 36,162 — 23,983 ISIS Property Trust 21,465 — 27,030 JZ Capital Partners 96,767 0.01 200,883 NB Global Floating Rate Income Fund 198,975 0.02

20



Equity Investment Instruments — (cont.) 64,000 Ruffer 130,240 0.01 1 Tapestry Investment Company — — --------------------------------------------------------------------------------------------------------------------------------------- 3,350,618 0.32 --------------------------------------------------------------------------------------------------------------------------------------- Nonequity Investment Instruments — 0.02% (0.02%) 239,539 John Laing Infrastructure Fund 254,870 0.02 --------------------------------------------------------------------------------------------------------------------------------------- ISLE OF MAN — 0.01% (0.01%)

Oil & Gas Producers — 0.01% (0.01%) 33,580 Hardy Oil & Gas 51,461 0.01 --------------------------------------------------------------------------------------------------------------------------------------- BERMUDA — 0.31% (0.30%)

Mining — 0.05% (0.05%) 258,522 Aquarius Platinum 380,286 0.03 104,735 Petra Diamonds 186,533 0.02 --------------------------------------------------------------------------------------------------------------------------------------- 566,819 0.05 --------------------------------------------------------------------------------------------------------------------------------------- Nonlife Insurance — 0.25% (0.25%) 217,678 Catlin Group 888,997 0.09 33,630 Hardy Underwriting Bermuda 92,987 0.01 216,218 Hiscox 852,764 0.08 95,000 Lancashire Holdings 750,025 0.07 --------------------------------------------------------------------------------------------------------------------------------------- 2,584,773 0.25 --------------------------------------------------------------------------------------------------------------------------------------- Equity Investment Instruments — 0.01% (0.00%) 75,200 Utilico Emerging Markets 121,824 0.01 --------------------------------------------------------------------------------------------------------------------------------------- BRITISH VIRGIN ISLANDS — 0.07% (0.07%)

Mining — 0.02% (0.02%) 89,745 Gem Diamonds 251,017 0.02 --------------------------------------------------------------------------------------------------------------------------------------- Life Insurance — 0.05% (0.05%) 100,687 Phoenix Group 565,358 0.05 --------------------------------------------------------------------------------------------------------------------------------------- CAYMAN ISLANDS — 0.02% (0.03%)

Equity Investment Instruments — 0.02% (0.03%) 14,499 BH Macro 239,804 0.02 --------------------------------------------------------------------------------------------------------------------------------------- UNITED STATES — 0.00% (0.00%)

Industrial Transportation — 0.00% (0.00%) 19,941 Goldenport Holdings 15,953 — --------------------------------------------------------------------------------------------------------------------------------------- BELGIUM — 0.00% (0.02%)

Industrial Engineering — 0.00% (0.02%)

FINLAND — 0.03% (0.03%)

Industrial Metals & Mining — 0.03% (0.03%) 117,106 Talvivaara Mining 285,387 0.03 --------------------------------------------------------------------------------------------------------------------------------------- IRELAND — 0.56% (0.05%)

Mining 0.06% (0.05%) 1,263,300 Kenmare Resources 634,177 0.06 ---------------------------------------------------------------------------------------------------------------------------------------

21



Construction & Materials — 0.49% (0.00%) 408,395 CRH 5,202,952 0.49 --------------------------------------------------------------------------------------------------------------------------------------- Food Producers — 0.01% (0.00%) 168,000 Greencore Group 127,680 0.01 --------------------------------------------------------------------------------------------------------------------------------------- ISRAEL 0.00% (0.00%)

Software & Computer Services — 0.00% (0.00%) 72,621 Emblaze 35,221 — --------------------------------------------------------------------------------------------------------------------------------------- Technology Hardware & Equipment — 0.00% (0.00%) 196,951 BATM Advanced Communications 34,959 — --------------------------------------------------------------------------------------------------------------------------------------- LUXEMBOURG — 0.09% (0.06%)

Chemicals — 0.06% (0.03%) 211,807 AZ Electronic Materials 609,792 0.06 --------------------------------------------------------------------------------------------------------------------------------------- Fixed Line Telecommunications — 0.02% (0.03%) 223,211 Colt Telecom 234,372 0.02 --------------------------------------------------------------------------------------------------------------------------------------- Real Estate Investment & Services — 0.00% (0.00%) 95,000 Invista European Real Estate Trust 21,375 — --------------------------------------------------------------------------------------------------------------------------------------- Equity Investment Instruments — 0.01% (0.00%) 82,076 Bilfinger Berger Global Infrastructure 87,001 0.01 --------------------------------------------------------------------------------------------------------------------------------------- SPAIN — 0.24% (0.22%) Travel & Leisure — 0.24% (0.22%) 346,473 Bwin.Party Digital Entertainment 539,805 0.05 1,072,636 International Consolidated Airlines Group 1,956,488 0.19 --------------------------------------------------------------------------------------------------------------------------------------- 2,496,293 0.24 --------------------------------------------------------------------------------------------------------------------------------------- UKRAINE — 0.00% (0.01%) Oil & Gas Producers — 0.00% (0.01%) SINGAPORE — 0.01% (0.01%) Electronic & Electrical Equipment — 0.01% (0.01%) 9,758 XP Power 107,338 0.01 --------------------------------------------------------------------------------------------------------------------------------------- UNITED ARAB EMIRATES — 0.04% (0.04%) Oil & Gas Producers — 0.01% (0.01%) 62,663 Exillon Energy 105,023 0.01 --------------------------------------------------------------------------------------------------------------------------------------- Oil Equipment, Services & Distribution — 0.03% (0.03%) 106,687 Lamprell 355,801 0.03 --------------------------------------------------------------------------------------------------------------------------------------- AUSTRALIA — 0.00% (0.07%)

Industrial Metals & Mining — 0.00% (0.07%) 283,553 International Ferro Metals (UK Listing) 48,204 — ---------------------------------------------------------------------------------------------------------------------------------------

22



Futures — -0.03% (-0.02%) 182 FTSE 100 Index Future Expiry June 2012 (284,284) (0.03) --------------------------------------------------------------------------------------------------------------------------------------- Portfolio of investments^ 1,031,449,972 97.79

Net other assets 23,296,814 2.21 --------------------------------------------------------------------------------------------------------------------------------------- Total net assets £1,054,746,786 100.00% ---------------------------------------------------------------------------------------------------------------------------------------

^ Including Investment Liabilities.

* These are delisted securities and have been valued at the Manager’s best assessment of their fair value.

Total purchases for the period: £32,284,404.

Total sales for the period: £20,674,727.

23

Financial Statements Statement of Total Return for the period ended 31 March 2012

31/03/12 31/03/11

£ £ £ £

Income

Net capital gains 124,366,763 70,844,409

Revenue 17,959,612 14,319,659

Expenses (6,197,565) (6,163,900)

Finance costs: Interest — (406) ------------------------------------------------------------------- ------------------------------------------------------------------- Net revenue before taxation 11,762,047 8,155,353

Taxation 1,402 (34,477) ------------------------------------------------------------------- ------------------------------------------------------------------- Net revenue after taxation for the period 11,763,449 8,120,876 --------------------------------------------------------------------------------- ---------------------------------------------------------------------------------- Total return before distributions 136,130,212 78,965,285

Finance costs: Distributions (11,763,446) (8,120,989) --------------------------------------------------------------------------------- --------------------------------------------------------------------------------- Change in net assets attributable to Unitholders from investment activities £124,366,766 £70,844,296 --------------------------------------------------------------------------------- ---------------------------------------------------------------------------------

Statement of Change in Net Assets attributable to Unitholders for the period ended 31 March 2012

31/03/12 31/03/11

£ £ £ £

Opening net assets attributable to Unitholders 918,525,404 961,095,618

Amounts received on creation of units 20,652,191 20,645,450

Amounts paid on cancellation of units (20,416,677) (16,787,675) ------------------------------------------------------------------- ------------------------------------------------------------------- 235,514 3,857,775

Stamp Duty Reserve Tax (125,610) (29,962)

Change in net assets attributable to Unitholders from investment activities 124,366,766 70,844,296

Retained distribution on accumulation units 11,744,712 8,136,437 --------------------------------------------------------------------------------- ---------------------------------------------------------------------------------- Closing net assets attributable to Unitholders £1,054,746,786 £1,043,904,164 --------------------------------------------------------------------------------- ---------------------------------------------------------------------------------

The difference between the opening net assets and the comparative closing net assets is the movement in the second half of the year.

24

Financial Statements continued Balance Sheet as at 31 March 2012

31/03/12 30/09/11

£ £ £ £

ASSETS

Investment assets 1,031,734,256 897,228,368

Debtors 6,883,608 3,502,165

Cash and bank balances 17,478,793 19,225,933

Amounts held at futures clearing houses and brokers 1,147,991 698,054 ------------------------------------------------------------------- ------------------------------------------------------------------- Total other assets 25,510,392 23,426,152 --------------------------------------------------------------------------------- ---------------------------------------------------------------------------------- Total assets 1,057,244,648 920,654,520 --------------------------------------------------------------------------------- ---------------------------------------------------------------------------------- LIABILITIES

Investment liabilities (284,284) (203,284)

Creditors (1,650,359) (1,925,832)

Bank overdrafts (563,219) — ------------------------------------------------------------------- ------------------------------------------------------------------- Total other liabilities (2,213,578) (1,925,832) --------------------------------------------------------------------------------- ---------------------------------------------------------------------------------- Total liabilities (2,497,862) (2,129,116) --------------------------------------------------------------------------------- ---------------------------------------------------------------------------------- Net assets attributable to Unitholders £1,054,746,786 £918,525,404 --------------------------------------------------------------------------------- ----------------------------------------------------------------------------------

25

Notes to the Financial Statements 1. Accounting Policies The accounting policies applied are consistent with the most recent annual financial statements.

(a) Basis of accounting The financial statements have been prepared under the historical cost convention, as modified by the revaluation of investments, and in accordance with the Statement of Recommended Practice for Authorised Funds issued by the IMA in October 2010.

26

Trust Facts Distribution Information Accumulation Units The distribution payable on 31 May 2012 is 1.5686p net per unit for accumulation units.

CTF Accumulation Units The distribution payable on 31 May 2012 is 1.3009p net per unit for accumulation units.

Total Expense Ratios

31 Mar 12 30 Sep 11

Accumulation Units 1.15% 1.15% CTF Accumulation Units 1.50% 1.50%

The Total Expense Ratio is the ratio of the Trust’s operating costs (excluding overdraft interest and transaction fees) to the average net assets of the Trust.

Ongoing Charges Figure

31 Mar 12

Accumulation Units 1.15% CTF Accumulation Units 1.50%

The Ongoing Charges Figure (OCF) is the ratio of the Trust’s total discloseable costs (excluding overdraft interest) to the average net assets of the Trust.

The OCF is intended to provide a reliable figure which gives the most accurate measure of what it costs to invest in a trust and is calculated based on the last period’s figures. The OCF will be included in all Managers’ Reports for periods ending 28 February 2012 onwards in accordance with the FSA Collective Investment Schemes sourcebook and the additional guidance provided for the Statement of Recommended Practice for Authorised Funds issued by the IMA in July 2011. As a result the OCF will replace the TER in all subsequent reports, however, as prior period figures have not been calculated the TER will be retained as a comparative figure.

27

Synthetic Risk and Reward Indicator Lower risk Higher risk

Typically lower rewards Typically higher rewards

• This risk and reward indicator is based on historical data which may not be a reliable indication of the Trust’s risk and reward category in the future.

• The category is based on the rate at which the value of the Trust has moved up and down in the past.

• This Trust is in category six because it invests in company shares which generally provide higher rewards and higher risks than other investments such as bonds, cash or commercial property.

• The Trust’s category is not guaranteed to remain the same and may change over time.

• Even a trust in the lowest category is not a risk free investment.

1 2 3 4 5 6 7

28

Performance Record Net Asset Values

Net Asset Net Asset Number Of Accounting Value Of Value Per Units Date Trust Unit In Issue

30 Sep 09 Accumulation £708,748,099 114.16p 620,822,571 CTF Accumulation £124,064,410 111.68p 111,092,182



31 Mar 12 Accumulation £829,758,071 136.53p 607,763,463 CTF Accumulation £224,988,715 132.38p 169,953,190

Unit Price Range and Net Revenue Accumulation Units

Highest Lowest Net Year Price Price Revenue

2007 139.60p 122.10p 2.8537p 2008 134.10p 78.30p 3.4700p 2009 119.80p 74.46p 3.0132p 2010 136.70p 109.60p 2.4828p 2011 140.80p 114.90p 2.8376p 2012(1) 140.90p 130.20p 1.5686p

CTF Accumulation Units

Highest Lowest Net Year Price Price Revenue

2007 138.10p 126.70p 2.1822p 2008 132.30p 76.96p 2.8119p 2009 117.10p 73.04p 2.5019p 2010 133.10p 106.90p 2.0045p 2011 136.90p 111.60p 2.3091p 2012(1) 136.60p 126.30p 1.3009p

(1) The above tables show highest and lowest mid prices to 31 March 2012 and net revenue per unit to 31 May 2012.

Past performance is not a guide to future performance. The price of units and any income from them may go down as well as up. Exchange rate changes may cause the value of any overseas investments to rise or fall.

29

General Information The L&G (N) Tracker Trust has the following unit classes available: Accumulation Units CTF Accumulation Units

Constitution Launch dates: Tracker: 1 October 1999 Tracker CTF: 6 April 2005 Period end dates for distributions: 31 March, 30 September Distribution dates: 31 May, 30 November Minimum initial lump sum investment: £20 Valuation point: 12 noon Management charges: Tracker: 1% Tracker CTF: 1.50%

Initial charges: Nil

The L&G (N) Tracker Trust CTF Accumulation units shall only be available to investors where the beneficial owner of the units is an eligible child within the definition of the requirements of the Child Trust Fund Act 2004.

Pricing and Dealing The prices are published on the internet at www.legalandgeneral.com/investments/fund-information/daily-fund-prices/lg-unit-trust-prices.html immediately after they become available.

Dealing in units takes place on a forward pricing basis, from 8:30am to 6:00pm, Monday to Friday.

Buying and Selling Units Units may be bought on any business day from the Manager or by completing an application form. Units may normally be sold back to the Manager on any business day at the bid price calculated at the following valuation point.

Application to the L&G (N) Tracker Trust CTF The minimum additional contribution is £1 and the minimum regular payment is £1.

In accordance with the Child Trust Fund Act 2004, an eligible child cannot cash in any of the investment until the age of 18. However, this investment can be transferred to another CTF provider.

ISA Status This Trust may be held within this tax advantaged savings arrangement. The favourable tax treatment of ISAs may not be maintained. For full written information, please contact your usual financial adviser or ring 0370 050 0955.

Call charges will vary. We may record and monitor calls.

http://www.legalandgeneral.com/investments/fund-information/daily-fund-prices/lg-unit-trust-prices.html

http://www.legalandgeneral.com/investments/fund-information/daily-fund-prices/lg-unit-trust-prices.html

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General Information continued Stamp Duty Reserve Tax Stamp Duty Reserve Tax suffered on the surrender of units where applicable, has been charged against the capital assets of the Trust for L&G (N) Tracker CTF Accumulation Units. The Manager will incur the SDRT charge in respect of L&G (N) Tracker Trust Accumulation units.

Prospectus and Manager’s Reports The Manager will send to all persons on the Unitholder Register annual and interim short form reports.

Copies of the Prospectus and the most recent annual or interim reports are available free of charge by telephoning 0370 050 0955 or by writing to the Manager.

Do you have difficulty in reading information in print because of a disability? If so, we can help. We are able to produce information for our clients in large print and braille. If you would like to discuss your particular requirements, please contact us on 0370 050 0955.


Significant Changes Change in Fund Accountant The Fund Accountant of the Trust has changed. The Bank of New York Mellon (International) Limited ceased to be the Fund Accountant on 10 October 2011 and Northern Trust Global Services Limited has taken on responsibility thereafter.

This change has had no impact upon individual client investments and no action is required from investors.

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General Information continued Manager Legal & General (Unit Trust Managers) Limited Registered in England No. 01009418 Registered office: One Coleman Street, London EC2R 5AA Telephone: 0370 050 3350 Authorised and regulated by the Financial Services Authority

Directors of the Manager M. B. Boardman S. C. Ellis M. J. Gregory S. R. Pistell S. D. Thomas

Secretary A. Fairhurst

Registrar Legal & General (Portfolio Management Services) Limited P.O. Box 6080 Wolverhampton WV1 9RB Authorised and regulated by the Financial Services Authority

Dealing: 0370 050 0956 Enquiries: 0370 050 0955 Registration: 0370 050 0955


Trustee National Westminster Bank Plc Trustee and Depositary Services 135 Bishopsgate London EC2M 3UR Authorised and regulated by the Financial Services Authority

Independent Auditors PricewaterhouseCoopers LLP 7 More London Riverside London SE1 2RT

Investment Adviser Legal & General Investment Management Limited One Coleman Street, London EC2R 5AA Authorised and regulated by the Financial Services Authority

Authorised and regulated by the Financial Services Authority Legal & General (Unit Trust Managers) Limited Registered in England No. 01009418 Registered office: One Coleman Street, London EC2R 5AA www.legalandgeneral.com

l&g (n) tracker trust interim manager’s report for the ......notes to the financial statements...

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