-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, N7qdYEhHY6xS1bhNka3VvC0Fr/mpzMqXGcY7DS3IVCI8BdMExKv/nUie9kWPuDEJ 1kyD1WZpW8gLtBGTIPWctQ== 0000897436-01-500100.txt : 20010430 0000897436-01-500100.hdr.sgml : 20010430 ACCESSION NUMBER: 0000897436-01-500100 CONFORMED SUBMISSION TYPE: NSAR-B PUBLIC DOCUMENT COUNT: 9 CONFORMED PERIOD OF REPORT: 20010228 FILED AS OF DATE: 20010427 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GMO TRUST CENTRAL INDEX KEY: 0000772129 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NSAR-B SEC ACT: SEC FILE NUMBER: 811-04347 FILM NUMBER: 1613442 BUSINESS ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 6173307500 MAIL ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 FORMER COMPANY: FORMER CONFORMED NAME: GMO CORE TRUST DATE OF NAME CHANGE: 19900927 NSAR-B 1 0001.txt N-SAR (6.1) PAGE 1 000 B000000 02/28/2001 000 C000000 0000772129 000 D000000 N 000 E000000 NF 000 F000000 Y 000 G000000 N 000 H000000 N 000 I000000 6.1 000 J000000 A 001 A000000 GMO TRUST 001 B000000 811-4347 001 C000000 6173307500 002 A000000 40 ROWES WHARF 002 B000000 BOSTON 002 C000000 MA 002 D010000 02110 003 000000 N 004 000000 N 005 000000 N 006 000000 N 007 A000000 Y 007 B000000 39 007 C010100 1 007 C020100 GMO U.S. CORE FUND 007 C030100 N 007 C010200 2 007 C010300 3 007 C020300 GMO INTERNATIONAL INTRINSIC VALUE FUND 007 C030300 N 007 C010400 4 007 C020400 GMO GROWTH FUND 007 C030400 N 007 C010500 5 007 C020500 PELICAN FUND 007 C030500 N 007 C010600 6 007 C020600 GMO SHORT-TERM INCOME FUND 007 C030600 N 007 C010700 7 007 C020700 GMO JAPAN FUND 007 C030700 Y 007 C010800 8 007 C020800 GMO VALUE FUND 007 C030800 N 007 C010900 9 007 C020900 GMO TOBACCO-FREE CORE FUND 007 C030900 N 007 C011000 10 007 C021000 GMO FUNDAMENTAL VALUE FUND 007 C031000 Y 007 C011100 11 PAGE 2 007 C021100 GMO SMALL CAP VALUE FUND 007 C031100 N 007 C011200 12 007 C011300 13 007 C021300 GMO INTERNATIONAL SMALL COMPANIES FUND 007 C031300 N 007 C011400 14 007 C021400 GMO U.S. SECTOR FUND 007 C031400 N 007 C011500 15 007 C021500 GMO EMERGING MARKETS FUND 007 C031500 N 007 C011600 16 007 C021600 GMO INTERNATIONAL BOND FUND 007 C031600 N 007 C011700 17 007 C021700 GMO EMERGING COUNTRY DEBT FUND 007 C031700 N 007 C011800 18 007 C021800 GMO GLOBAL HEDGED EQUITY FUND 007 C031800 N 007 C011900 19 007 C021900 GMO DOMESTIC BOND FUND 007 C031900 N 007 C012000 20 007 C022000 GMO CURRENCY HEDGED INTERNATIONAL BOND FUND 007 C032000 N 007 C012100 21 007 C022100 GMO CURRENCY HEDGED INTERNATIONAL EQUITY FUND 007 C032100 N 007 C012200 22 007 C022200 GMO GLOBAL BOND FUND 007 C032200 N 007 C012300 23 007 C022300 GMO REIT FUND 007 C032300 N 007 C012400 24 007 C022400 GMO FOREIGN FUND 007 C032400 N 007 C012500 25 007 C022500 GMO WORLD EQUITY ALLOCATION FUND 007 C032500 N 007 C012600 26 007 C022600 GMO GLOBAL BALANCED ALLOCATION FUND 007 C032600 N 007 C012700 27 007 C022700 GMO SMALL CAP GROWTH FUND 007 C032700 N 007 C012800 28 007 C022800 GMO INTERNATIONAL EQUITY ALLOCATION FUND 007 C032800 N PAGE 3 007 C012900 29 007 C022900 GMO GLOBAL (US+) EQUITY ALLOCATION FUND 007 C032900 N 007 C013000 30 007 C013100 31 007 C023100 GMO INFLATION INDEXED BOND FUND 007 C033100 N 007 C013200 32 007 C023200 GMO US BOND/GLOBAL ALPHA A FUND 007 C033200 N 007 C013300 33 007 C023300 GMO US BOND/GLOBAL ALHPA B FUND 007 C033300 Y 007 C013400 34 007 C023400 GMO EVOLVING COUNTRIES FUND 007 C033400 N 007 C013500 35 007 C023500 GMO ASIA FUND 007 C033500 N 007 C013600 36 007 C023600 GMO TAX-MANAGED U.S. EQUITIES FUND 007 C033600 N 007 C013700 37 007 C023700 GMO TAX-MANAGED INTERNATIONAL EQUITIES FUND 007 C033700 N 007 C013800 38 007 C023800 GMO EMERGING COUNTRY DEBT SHARE FUND 007 C033800 N 007 C013900 39 007 C023900 GMO INTRINSIC VALUE FUND 007 C033900 N 007 C014000 40 007 C024000 GMO TAX-MANAGED SMALL COMPANIES FUND 007 C034000 N 007 C014100 41 007 C024100 GMO ALPHA LIBOR FUND 007 C034100 N 007 C014200 42 007 C024200 GMO FOREIGN SMALL COMPANIES FUND 007 C034200 N 007 C014300 43 007 C014400 44 007 C014500 45 007 C014600 46 007 C014700 47 007 C014800 48 007 C014900 49 007 C015000 50 007 C015100 51 007 C015200 52 007 C015300 53 PAGE 4 007 C015400 54 007 C015500 55 007 C015600 56 007 C015700 57 007 C015800 58 007 C015900 59 007 C016000 60 010 A00AA01 INVESTORS BANK & TRUST COMPANY 010 B00AA01 85-720 010 C01AA01 BOSTON 010 C02AA01 MA 010 C03AA01 02116 013 A00AA01 PRICEWATERHOUSECOOPERS LLP 013 B01AA01 BOSTON 013 B02AA01 MA 013 B03AA01 02110 018 00AA00 Y 019 A00AA00 Y 019 B00AA00 39 019 C00AA00 GMOMUTUALF 020 A000001 SALOMON SMITH BARNEY INC 020 C000001 1582 020 A000002 MORGAN STANLEY & CO INC 020 C000002 1581 020 A000003 BEAR STEARNS & CO INC 020 C000003 1481 020 A000004 CANTOR FITZGERALD & CO INC 020 C000004 1464 020 A000005 NATWEST SEC CORP 020 C000005 1213 020 A000006 UBS AG LONDON 020 C000006 1143 020 A000007 BROWN BROTHERS 020 C000007 906 020 A000008 MERRILL LYNCH 020 C000008 718 020 A000009 DEUTSCHE BANK 020 C000009 671 020 A000010 HSBC 020 C000010 628 021 000000 19813 022 A000001 INVESTORS BANK & TRUST CO 022 C000001 108895084 022 D000001 35373 022 A000002 BROWN BROTHERS HARRIMAN & CO 022 C000002 35636181 022 D000002 36147179 022 A000003 LEHMAN BROTHERS 022 C000003 4131250 022 D000003 242122 022 A000004 SWISS BANK CORP PAGE 5 022 C000004 2732981 022 D000004 1509940 022 A000005 CITIBANK 022 C000005 2930137 022 D000005 1225218 022 A000006 MORGAN STANLEY & CO 022 C000006 2746963 022 D000006 421835 022 A000007 JP MORGAN SECURITIES 022 C000007 1435841 022 D000007 586005 022 A000008 AIG TRADING 022 C000008 1327680 022 D000008 654740 022 A000009 BEAR STEARNS & CO INC 022 C000009 414792 022 D000009 334294 022 A000010 UBS AG LONDON 022 C000010 321392 022 D000010 394620 023 C000000 166870640 023 D000000 47444510 026 A000000 N 026 B000000 Y 026 C000000 N 026 D000000 Y 026 E000000 N 026 F000000 N 026 G010000 N 026 G020000 N 026 H000000 N 027 000000 Y 029 00AA00 N 030 A00AA00 0 030 B00AA00 0.00 030 C00AA00 0.00 031 A00AA00 0 031 B00AA00 0 032 00AA00 0 033 00AA00 0 034 00AA00 N 035 00AA00 0 036 B00AA00 0 042 A00AA00 0 042 B00AA00 0 042 C00AA00 0 042 D00AA00 0 042 E00AA00 0 042 F00AA00 0 042 G00AA00 0 042 H00AA00 0 PAGE 6 043 00AA00 0 044 00AA00 0 049 00AA00 N 050 00AA00 N 051 00AA00 N 052 00AA00 N 053 A00AA00 Y 053 B00AA00 Y 053 C00AA00 N 054 A00AA00 Y 054 B00AA00 Y 054 C00AA00 Y 054 D00AA00 N 054 E00AA00 N 054 F00AA00 N 054 G00AA00 Y 054 H00AA00 Y 054 I00AA00 N 054 J00AA00 Y 054 K00AA00 Y 054 L00AA00 Y 054 M00AA00 Y 054 N00AA00 Y 054 O00AA00 Y 055 A00AA00 Y 055 B00AA00 N 056 00AA00 Y 057 00AA00 Y 077 A000000 Y 077 B000000 Y 077 D000000 Y 077 H000000 Y 077 L000000 Y 077 P000000 Y 078 000000 N 080 C00AA00 10000 081 A00AA00 Y 081 B00AA00 39 082 A00AA00 Y 082 B00AA00 1000 083 A00AA00 N 083 B00AA00 0 084 A00AA00 N 084 B00AA00 0 085 A00AA00 Y 085 B00AA00 N 086 A010000 0 086 A020000 0 086 B010000 0 086 B020000 0 086 C010000 0 PAGE 7 086 C020000 0 086 D010000 0 086 D020000 0 086 E010000 0 086 E020000 0 086 F010000 0 086 F020000 0 008 A000101 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B000101 A 008 C000101 801-6003 008 D010101 BOSTON 008 D020101 MA 008 D030101 02110 012 A000101 INVESTORS BANK & TRUST COMPANY 012 B000101 85-720 012 C010101 BOSTON 012 C020101 MA 012 C030101 02116 015 A000101 INVESTORS BANK & TRUST COMPANY 015 B000101 C 015 C010101 BOSTON 015 C020101 MA 015 C030101 02116 015 E010101 X 024 000100 Y 025 A000101 BEAR STEARNS & CO INC 025 B000101 13-4946705 025 C000101 E 025 D000101 10284 025 A000102 J.P. MORGAN SECURITIES 025 C000102 E 025 D000102 35972 025 A000103 LEHMAN BROTHERS 025 C000103 E 025 D000103 3014 025 A000104 MORGAN STANLEY & CO 025 C000104 E 025 D000104 3810 025 A000105 DELETE 025 D000105 0 025 A000106 DELETE 025 D000106 0 025 A000107 DELETE 025 D000107 0 025 A000108 DELETE 025 D000108 0 025 D000109 0 025 D000110 0 025 D000111 0 025 D000112 0 025 D000113 0 PAGE 8 025 D000114 0 025 D000115 0 025 D000116 0 028 A010100 8952 028 A020100 0 028 A030100 0 028 A040100 7088 028 B010100 4730 028 B020100 8485 028 B030100 0 028 B040100 13525 028 C010100 5508 028 C020100 0 028 C030100 0 028 C040100 10110 028 D010100 21922 028 D020100 253890 028 D030100 0 028 D040100 58536 028 E010100 2893 028 E020100 0 028 E030100 0 028 E040100 3003 028 F010100 13967 028 F020100 0 028 F030100 0 028 F040100 26582 028 G010100 57972 028 G020100 262375 028 G030100 0 028 G040100 118844 028 H000100 0 037 000100 N 038 000100 0 039 000100 N 040 000100 N 041 000100 N 045 000100 Y 046 000100 N 047 000100 Y 048 000100 0.330 048 A010100 0 048 A020100 0.000 048 B010100 0 048 B020100 0.000 048 C010100 0 048 C020100 0.000 048 D010100 0 048 D020100 0.000 048 E010100 0 048 E020100 0.000 PAGE 9 048 F010100 0 048 F020100 0.000 048 G010100 0 048 G020100 0.000 048 H010100 0 048 H020100 0.000 048 I010100 0 048 I020100 0.000 048 J010100 0 048 J020100 0.000 048 K010100 0 048 K020100 0.000 058 A000100 N 059 000100 Y 060 A000100 Y 060 B000100 Y 061 000100 1000000 062 A000100 N 062 B000100 0.0 062 C000100 0.0 062 D000100 0.0 062 E000100 0.0 062 F000100 0.0 062 G000100 0.0 062 H000100 0.0 062 I000100 0.0 062 J000100 0.0 062 K000100 0.0 062 L000100 0.0 062 M000100 0.0 062 N000100 0.0 062 O000100 0.0 062 P000100 0.0 062 Q000100 0.0 062 R000100 0.0 063 A000100 0 063 B000100 0.0 066 A000100 Y 066 B000100 N 066 C000100 N 066 D000100 N 066 E000100 N 066 F000100 N 066 G000100 Y 067 000100 N 068 A000100 N 068 B000100 N 069 000100 N 070 A010100 Y 070 A020100 Y 070 B010100 Y PAGE 10 070 B020100 N 070 C010100 N 070 C020100 N 070 D010100 Y 070 D020100 N 070 E010100 N 070 E020100 N 070 F010100 Y 070 F020100 Y 070 G010100 Y 070 G020100 N 070 H010100 Y 070 H020100 N 070 I010100 N 070 I020100 N 070 J010100 Y 070 J020100 N 070 K010100 Y 070 K020100 Y 070 L010100 Y 070 L020100 Y 070 M010100 N 070 M020100 N 070 N010100 Y 070 N020100 Y 070 O010100 Y 070 O020100 N 070 P010100 N 070 P020100 N 070 Q010100 N 070 Q020100 N 070 R010100 N 070 R020100 N 071 A000100 2422769 071 B000100 2571218 071 C000100 3007461 071 D000100 81 072 A000100 12 072 B000100 9257 072 C000100 46287 072 D000100 0 072 E000100 0 072 F000100 10480 072 G000100 0 072 H000100 0 072 I000100 0 072 J000100 475 072 K000100 0 072 L000100 0 072 M000100 31 072 N000100 7 PAGE 11 072 O000100 0 072 P000100 0 072 Q000100 0 072 R000100 57 072 S000100 125 072 T000100 0 072 U000100 0 072 V000100 0 072 W000100 4231 072 X000100 15406 072 Y000100 726 072 Z000100 40864 072AA000100 239166 072BB000100 0 072CC010100 0 072CC020100 244700 072DD010100 18733 072DD020100 18125 072EE000100 511958 073 A010100 0.1900 073 A020100 0.2030 073 B000100 2.7310 073 C000100 0.0000 074 A000100 33 074 B000100 135296 074 C000100 10488 074 D000100 0 074 E000100 0 074 F000100 2785373 074 G000100 0 074 H000100 0 074 I000100 86077 074 J000100 0 074 K000100 39 074 L000100 5802 074 M000100 0 074 N000100 3023108 074 O000100 0 074 P000100 1083 074 Q000100 0 074 R010100 0 074 R020100 0 074 R030100 0 074 R040100 87606 074 S000100 0 074 T000100 2934419 074 U010100 109793 074 U020100 92400 074 V010100 13.95 074 V020100 13.94 074 W000100 0.0000 PAGE 12 074 X000100 262 074 Y000100 96565 075 A000100 0 075 B000100 3175726 076 000100 0.00 008 A000301 GRANTHAM, MAYO, VAN OTTERLOO, & CO. 008 B000301 A 008 C000301 801-6003 008 D010301 BOSTON 008 D020301 MA 008 D030301 02110 012 A000301 INVESTORS BANK & TRUST COMPANY 012 B000301 85-720 012 C010301 BOSTON 012 C020301 MA 012 C030301 02116 015 A000301 BROWN BROTHERS HARRIMAN & CO. 015 B000301 C 015 C010301 BOSTON 015 C020301 MA 015 C030301 02109 015 E010301 X 024 000300 Y 025 A000301 UBS AG 025 C000301 E 025 D000301 5497 025 D000302 0 025 D000303 0 025 D000304 0 025 D000305 0 025 D000306 0 025 D000307 0 025 D000308 0 028 A010300 2078 028 A020300 0 028 A030300 0 028 A040300 42224 028 B010300 20187 028 B020300 0 028 B030300 0 028 B040300 13470 028 C010300 6488 028 C020300 0 028 C030300 0 028 C040300 48866 028 D010300 14093 028 D020300 119116 028 D030300 0 028 D040300 259783 028 E010300 151098 028 E020300 0 PAGE 13 028 E030300 0 028 E040300 150427 028 F010300 2264 028 F020300 0 028 F030300 0 028 F040300 2235 028 G010300 196208 028 G020300 119116 028 G030300 0 028 G040300 517005 028 H000300 0 037 000300 N 038 000300 0 039 000300 N 040 000300 N 045 000300 Y 046 000300 N 047 000300 Y 048 000300 0.540 048 A010300 0 048 A020300 0.000 048 B010300 0 048 B020300 0.000 048 C010300 0 048 C020300 0.000 048 D010300 0 048 D020300 0.000 048 E010300 0 048 E020300 0.000 048 F010300 0 048 F020300 0.000 048 G010300 0 048 G020300 0.000 048 H010300 0 048 H020300 0.000 048 I010300 0 048 I020300 0.000 048 J010300 0 048 J020300 0.000 048 K010300 0 048 K020300 0.000 058 A000300 N 059 000300 Y 060 A000300 Y 060 B000300 Y 061 000300 1000000 062 A000300 N 062 B000300 0.0 062 C000300 0.0 062 D000300 0.0 062 E000300 0.0 PAGE 14 062 F000300 0.0 062 G000300 0.0 062 H000300 0.0 062 I000300 0.0 062 J000300 0.0 062 K000300 0.0 062 L000300 0.0 062 M000300 0.0 062 N000300 0.0 062 O000300 0.0 062 P000300 0.0 062 Q000300 0.0 062 R000300 0.0 066 A000300 Y 066 B000300 N 066 C000300 N 066 D000300 N 066 E000300 N 066 F000300 N 066 G000300 Y 067 000300 N 068 A000300 N 068 B000300 Y 069 000300 N 070 A010300 Y 070 A020300 N 070 B010300 Y 070 B020300 N 070 C010300 N 070 C020300 N 070 D010300 Y 070 D020300 N 070 E010300 N 070 E020300 N 070 F010300 Y 070 F020300 Y 070 G010300 Y 070 G020300 N 070 H010300 Y 070 H020300 N 070 I010300 N 070 I020300 N 070 J010300 Y 070 J020300 N 070 K010300 Y 070 K020300 Y 070 L010300 Y 070 L020300 Y 070 M010300 Y 070 M020300 Y 070 N010300 Y PAGE 15 070 N020300 Y 070 O010300 Y 070 O020300 N 070 P010300 N 070 P020300 N 070 Q010300 N 070 Q020300 N 070 R010300 N 070 R020300 N 071 A000300 536570 071 B000300 1312126 071 C000300 1743953 071 D000300 31 072 A000300 12 072 B000300 5324 072 C000300 45322 072 D000300 0 072 E000300 0 072 F000300 9826 072 G000300 0 072 H000300 0 072 I000300 57 072 J000300 1267 072 K000300 0 072 L000300 0 072 M000300 19 072 N000300 4 072 O000300 0 072 P000300 0 072 Q000300 0 072 R000300 85 072 S000300 70 072 T000300 0 072 U000300 0 072 V000300 0 072 W000300 2640 072 X000300 13968 072 Y000300 1518 072 Z000300 38196 072AA000300 89742 072BB000300 0 072CC010300 15595 072CC020300 0 072DD010300 14716 072DD020300 2204 072EE000300 143396 073 A010300 0.2270 073 A020300 0.2410 073 B000300 1.8410 073 C000300 0.0000 074 A000300 23 PAGE 16 074 B000300 0 074 C000300 8990 074 D000300 0 074 E000300 15308 074 F000300 1370270 074 G000300 0 074 H000300 0 074 I000300 112109 074 J000300 0 074 K000300 13 074 L000300 23350 074 M000300 407 074 N000300 1530470 074 O000300 0 074 P000300 763 074 Q000300 0 074 R010300 0 074 R020300 0 074 R030300 0 074 R040300 78262 074 S000300 0 074 T000300 1451445 074 U010300 62865 074 U020300 7635 074 V010300 20.37 074 V020300 20.37 074 W000300 0.0000 074 X000300 228 074 Y000300 86195 075 A000300 0 075 B000300 1819679 076 000300 0.00 008 A000401 GRANTHAM, MAYO, VAN OTTERLOO, & CO. 008 B000401 A 008 C000401 801-6003 008 D010401 BOSTON 008 D020401 MA 008 D030401 02110 012 A000401 INVESTORS BANK & TRUST COMPANY 012 B000401 85-720 012 C010401 BOSTON 012 C020401 MA 012 C030401 02116 015 A000401 INVESTORS BANK & TRUST COMPANY 015 B000401 C 015 C010401 BOSTON 015 C020401 MA 015 C030401 02116 015 E010401 X 024 000400 Y 025 A000401 BEAR STEARNS PAGE 17 025 B000401 13-4946705 025 C000401 E 025 D000401 192 025 A000402 DELETE 025 D000402 0 025 A000403 DELETE 025 D000403 0 025 A000404 DELETE 025 D000404 0 025 A000405 DELETE 025 D000405 0 025 D000406 0 025 D000407 0 025 D000408 0 025 D000409 0 025 D000410 0 025 D000411 0 025 D000412 0 025 D000413 0 025 D000414 0 025 D000415 0 025 D000416 0 028 A010400 0 028 A020400 0 028 A030400 0 028 A040400 7541 028 B010400 209 028 B020400 100 028 B030400 0 028 B040400 2474 028 C010400 0 028 C020400 0 028 C030400 0 028 C040400 85 028 D010400 3680 028 D020400 54628 028 D030400 0 028 D040400 3696 028 E010400 9 028 E020400 0 028 E030400 0 028 E040400 376 028 F010400 2005 028 F020400 0 028 F030400 0 028 F040400 20 028 G010400 5903 028 G020400 54728 028 G030400 0 028 G040400 14192 028 H000400 0 PAGE 18 037 000400 N 038 000400 0 039 000400 N 040 000400 N 041 000400 N 045 000400 Y 046 000400 N 047 000400 Y 048 000400 0.330 048 A010400 0 048 A020400 0.000 048 B010400 0 048 B020400 0.000 048 C010400 0 048 C020400 0.000 048 D010400 0 048 D020400 0.000 048 E010400 0 048 E020400 0.000 048 F010400 0 048 F020400 0.000 048 G010400 0 048 G020400 0.000 048 H010400 0 048 H020400 0.000 048 I010400 0 048 I020400 0.000 048 J010400 0 048 J020400 0.000 048 K010400 0 048 K020400 0.000 058 A000400 N 059 000400 Y 060 A000400 N 060 B000400 N 061 000400 1000000 062 A000400 N 062 B000400 0.0 062 C000400 0.0 062 D000400 0.0 062 E000400 0.0 062 F000400 0.0 062 G000400 0.0 062 H000400 0.0 062 I000400 0.0 062 J000400 0.0 062 K000400 0.0 062 L000400 0.0 062 M000400 0.0 062 N000400 0.0 062 O000400 0.0 PAGE 19 062 P000400 0.0 062 Q000400 0.0 062 R000400 0.0 066 A000400 Y 066 B000400 N 066 C000400 N 066 D000400 Y 066 E000400 N 066 F000400 N 066 G000400 N 067 000400 N 068 A000400 N 068 B000400 N 069 000400 N 070 A010400 Y 070 A020400 Y 070 B010400 Y 070 B020400 N 070 C010400 N 070 C020400 N 070 D010400 Y 070 D020400 N 070 E010400 N 070 E020400 N 070 F010400 Y 070 F020400 Y 070 G010400 Y 070 G020400 N 070 H010400 Y 070 H020400 N 070 I010400 N 070 I020400 N 070 J010400 Y 070 J020400 N 070 K010400 Y 070 K020400 Y 070 L010400 Y 070 L020400 Y 070 M010400 N 070 M020400 N 070 N010400 Y 070 N020400 Y 070 O010400 Y 070 O020400 N 070 P010400 N 070 P020400 N 070 Q010400 N 070 Q020400 N 070 R010400 N 070 R020400 N 071 A000400 175211 PAGE 20 071 B000400 228206 071 C000400 158304 071 D000400 111 072 A000400 12 072 B000400 313 072 C000400 918 072 D000400 0 072 E000400 0 072 F000400 543 072 G000400 0 072 H000400 0 072 I000400 0 072 J000400 62 072 K000400 0 072 L000400 0 072 M000400 2 072 N000400 0 072 O000400 0 072 P000400 0 072 Q000400 0 072 R000400 37 072 S000400 7 072 T000400 0 072 U000400 0 072 V000400 0 072 W000400 250 072 X000400 901 072 Y000400 111 072 Z000400 441 072AA000400 50812 072BB000400 0 072CC010400 0 072CC020400 39838 072DD010400 494 072DD020400 0 072EE000400 69085 073 A010400 0.0140 073 A020400 0.0000 073 B000400 2.0430 073 C000400 0.0000 074 A000400 2 074 B000400 5472 074 C000400 864 074 D000400 0 074 E000400 0 074 F000400 108754 074 G000400 0 074 H000400 0 074 I000400 8696 074 J000400 0 074 K000400 4 PAGE 21 074 L000400 56 074 M000400 0 074 N000400 123848 074 O000400 0 074 P000400 47 074 Q000400 0 074 R010400 0 074 R020400 0 074 R030400 0 074 R040400 8813 074 S000400 0 074 T000400 114988 074 U010400 5427 074 U020400 0 074 V010400 21.19 074 V020400 0.00 074 W000400 0.0000 074 X000400 54 074 Y000400 864 075 A000400 0 075 B000400 164616 076 000400 0.00 008 A000501 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B000501 A 008 C000501 801-6003 008 D010501 BOSTON 008 D020501 MA 008 D030501 02110 012 A000501 BOSTON FINANCIAL DATA SERVICES 012 B000501 85-xxxxxxx 012 C010501 BOSTON 012 C020501 MA 012 C030501 02266 015 A000501 STATE STREET BANK & TRUST COMPANY 015 B000501 C 015 C010501 BOSTON 015 C020501 MA 015 C030501 02110 015 E010501 X 024 000500 Y 025 A000501 JP MORGAN SECURITIES 025 C000501 E 025 D000501 1633 025 D000502 0 025 D000503 0 025 D000504 0 025 D000505 0 025 D000506 0 025 D000507 0 025 D000508 0 028 A010500 525 PAGE 22 028 A020500 0 028 A030500 0 028 A040500 2080 028 B010500 295 028 B020500 576 028 B030500 0 028 B040500 2187 028 C010500 642 028 C020500 10752 028 C030500 0 028 C040500 911 028 D010500 652 028 D020500 0 028 D030500 0 028 D040500 2189 028 E010500 1866 028 E020500 0 028 E030500 0 028 E040500 10106 028 F010500 2439 028 F020500 0 028 F030500 0 028 F040500 1888 028 G010500 6419 028 G020500 11328 028 G030500 0 028 G040500 19361 028 H000500 0 037 000500 N 038 000500 0 039 000500 N 040 000500 N 041 000500 N 045 000500 Y 046 000500 N 047 000500 Y 048 000500 0.750 048 A010500 0 048 A020500 0.000 048 B010500 0 048 B020500 0.000 048 C010500 0 048 C020500 0.000 048 D010500 0 048 D020500 0.000 048 E010500 0 048 E020500 0.000 048 F010500 0 048 F020500 0.000 048 G010500 0 048 G020500 0.000 PAGE 23 048 H010500 0 048 H020500 0.000 048 I010500 0 048 I020500 0.000 048 J010500 0 048 J020500 0.000 048 K010500 0 048 K020500 0.000 058 A000500 N 059 000500 Y 060 A000500 Y 060 B000500 Y 061 000500 5000 062 A000500 N 062 B000500 0.0 062 C000500 0.0 062 D000500 0.0 062 E000500 0.0 062 F000500 0.0 062 G000500 0.0 062 H000500 0.0 062 I000500 0.0 062 J000500 0.0 062 K000500 0.0 062 L000500 0.0 062 M000500 0.0 062 N000500 0.0 062 O000500 0.0 062 P000500 0.0 062 Q000500 0.0 062 R000500 0.0 066 A000500 Y 066 B000500 N 066 C000500 Y 066 D000500 N 066 E000500 N 066 F000500 N 066 G000500 N 067 000500 N 068 A000500 N 068 B000500 N 069 000500 N 070 A010500 Y 070 A020500 Y 070 B010500 Y 070 B020500 N 070 C010500 Y 070 C020500 N 070 D010500 Y 070 D020500 N 070 E010500 N PAGE 24 070 E020500 N 070 F010500 N 070 F020500 N 070 G010500 N 070 G020500 N 070 H010500 N 070 H020500 N 070 I010500 N 070 I020500 N 070 J010500 Y 070 J020500 N 070 K010500 N 070 K020500 N 070 L010500 Y 070 L020500 Y 070 M010500 Y 070 M020500 Y 070 N010500 N 070 N020500 N 070 O010500 Y 070 O020500 Y 070 P010500 N 070 P020500 N 070 Q010500 N 070 Q020500 N 070 R010500 N 070 R020500 N 071 A000500 42682 071 B000500 72628 071 C000500 117608 071 D000500 36 072 A000500 12 072 B000500 1064 072 C000500 2634 072 D000500 0 072 E000500 0 072 F000500 898 072 G000500 0 072 H000500 0 072 I000500 0 072 J000500 150 072 K000500 0 072 L000500 0 072 M000500 1 072 N000500 16 072 O000500 0 072 P000500 0 072 Q000500 0 072 R000500 38 072 S000500 4 072 T000500 0 PAGE 25 072 U000500 0 072 V000500 0 072 W000500 4 072 X000500 1111 072 Y000500 213 072 Z000500 2800 072AA000500 16085 072BB000500 0 072CC010500 11689 072CC020500 0 072DD010500 2869 072DD020500 0 072EE000500 23969 073 A010500 0.2890 073 A020500 0.0000 073 B000500 2.4500 073 C000500 0.0000 074 A000500 2 074 B000500 2330 074 C000500 0 074 D000500 11537 074 E000500 835 074 F000500 101447 074 G000500 0 074 H000500 0 074 I000500 0 074 J000500 173 074 K000500 15 074 L000500 302 074 M000500 10 074 N000500 116651 074 O000500 0 074 P000500 67 074 Q000500 0 074 R010500 0 074 R020500 0 074 R030500 0 074 R040500 517 074 S000500 0 074 T000500 116067 074 U010500 10206 074 U020500 0 074 V010500 11.37 074 V020500 0.00 074 W000500 0.0000 074 X000500 423 074 Y000500 0 075 A000500 0 075 B000500 119770 076 000500 0.00 008 A000601 GRANTHAM, MAYO, VAN OTTERLOO & CO. PAGE 26 008 B000601 A 008 C000601 801-6003 008 D010601 BOSTON 008 D020601 MA 008 D030601 02110 012 A000601 INVESTORS BANK & TRUST COMPANY 012 B000601 85-720 012 C010601 BOSTON 012 C020601 MA 012 C030601 02116 015 A000601 INVESTORS BANK & TRUST COMPANY 015 B000601 C 015 C010601 BOSTON 015 C020601 MA 015 C030601 02116 015 E010601 X 024 000600 Y 025 A000601 MORGAN STANLEY & CO 025 C000601 D 025 D000601 190 025 D000602 0 025 D000603 0 025 D000604 0 025 D000605 0 025 D000606 0 025 D000607 0 025 D000608 0 028 A010600 77 028 A020600 0 028 A030600 0 028 A040600 1035 028 B010600 1039 028 B020600 415 028 B030600 0 028 B040600 8 028 C010600 412 028 C020600 0 028 C030600 0 028 C040600 2479 028 D010600 4029 028 D020600 995 028 D030600 0 028 D040600 2764 028 E010600 2323 028 E020600 0 028 E030600 0 028 E040600 640 028 F010600 282 028 F020600 0 028 F030600 0 028 F040600 1870 PAGE 27 028 G010600 8162 028 G020600 1410 028 G030600 0 028 G040600 8796 028 H000600 0 037 000600 N 038 000600 0 039 000600 N 040 000600 N 041 000600 N 045 000600 Y 046 000600 N 047 000600 Y 048 000600 0.050 048 A010600 0 048 A020600 0.000 048 B010600 0 048 B020600 0.000 048 C010600 0 048 C020600 0.000 048 D010600 0 048 D020600 0.000 048 E010600 0 048 E020600 0.000 048 F010600 0 048 F020600 0.000 048 G010600 0 048 G020600 0.000 048 H010600 0 048 H020600 0.000 048 I010600 0 048 I020600 0.000 048 J010600 0 048 J020600 0.000 048 K010600 0 048 K020600 0.000 058 A000600 N 059 000600 Y 060 A000600 N 060 B000600 N 061 000600 1000000 062 A000600 Y 062 B000600 0.0 062 C000600 0.0 062 D000600 0.5 062 E000600 0.0 062 F000600 0.0 062 G000600 0.0 062 H000600 0.0 062 I000600 0.0 062 J000600 0.0 PAGE 28 062 K000600 0.0 062 L000600 0.0 062 M000600 12.3 062 N000600 14.2 062 O000600 0.0 062 P000600 0.0 062 Q000600 72.8 062 R000600 0.0 063 A000600 0 063 B000600 9.8 064 A000600 N 064 B000600 N 066 A000600 N 067 000600 N 068 A000600 N 068 B000600 N 069 000600 N 070 A010600 Y 070 A020600 Y 070 B010600 N 070 B020600 N 070 C010600 N 070 C020600 N 070 D010600 N 070 D020600 N 070 E010600 N 070 E020600 N 070 F010600 N 070 F020600 N 070 G010600 N 070 G020600 N 070 H010600 N 070 H020600 N 070 I010600 N 070 I020600 N 070 J010600 Y 070 J020600 N 070 K010600 Y 070 K020600 Y 070 L010600 Y 070 L020600 N 070 M010600 N 070 M020600 N 070 N010600 Y 070 N020600 N 070 O010600 Y 070 O020600 N 070 P010600 N 070 P020600 N 070 Q010600 N 070 Q020600 N PAGE 29 070 R010600 N 070 R020600 N 071 A000600 20173 071 B000600 23593 071 C000600 40415 071 D000600 50 072 A000600 12 072 B000600 736 072 C000600 1099 072 D000600 0 072 E000600 0 072 F000600 20 072 G000600 0 072 H000600 0 072 I000600 0 072 J000600 6 072 K000600 0 072 L000600 0 072 M000600 0 072 N000600 1 072 O000600 0 072 P000600 0 072 Q000600 0 072 R000600 28 072 S000600 2 072 T000600 0 072 U000600 0 072 V000600 0 072 W000600 63 072 X000600 120 072 Y000600 38 072 Z000600 1753 072AA000600 660 072BB000600 0 072CC010600 662 072CC020600 0 072DD010600 1789 072DD020600 0 072EE000600 24 073 A010600 0.4420 073 A020600 0.0000 073 B000600 0.0060 073 C000600 0.0000 074 A000600 0 074 B000600 190 074 C000600 0 074 D000600 10727 074 E000600 0 074 F000600 0 074 G000600 0 074 H000600 0 PAGE 30 074 I000600 29490 074 J000600 4 074 K000600 3 074 L000600 218 074 M000600 0 074 N000600 40632 074 O000600 100 074 P000600 6 074 Q000600 0 074 R010600 0 074 R020600 0 074 R030600 0 074 R040600 21 074 S000600 0 074 T000600 40505 074 U010600 4084 074 U020600 0 074 V010600 9.92 074 V020600 0.00 074 W000600 0.0000 074 X000600 57 074 Y000600 0 075 A000600 0 075 B000600 40741 076 000600 0.00 008 A000701 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B000701 A 008 C000701 801-6003 008 D010701 BOSTON 008 D020701 MA 008 D030701 02110 012 A000701 INVESTORS BANK & TRUST COMPANY 012 B000701 85-720 012 C010701 BOSTON 012 C020701 MA 012 C030701 02116 015 A000701 BROWN BROTHERS HARRIMAN & CO. 015 B000701 C 015 C010701 BOSTON 015 C020701 MA 015 C030701 02109 015 E010701 X 024 000700 N 025 D000701 0 025 D000702 0 025 D000703 0 025 D000704 0 025 D000705 0 025 D000706 0 025 D000707 0 025 D000708 0 PAGE 31 028 A010700 0 028 A020700 0 028 A030700 0 028 A040700 0 028 B010700 0 028 B020700 0 028 B030700 0 028 B040700 3 028 C010700 0 028 C020700 0 028 C030700 0 028 C040700 0 028 D010700 0 028 D020700 2216 028 D030700 0 028 D040700 2650 028 E010700 0 028 E020700 0 028 E030700 0 028 E040700 0 028 F010700 0 028 F020700 0 028 F030700 0 028 F040700 0 028 G010700 0 028 G020700 2216 028 G030700 0 028 G040700 2653 028 H000700 0 037 000700 Y 038 000700 24 039 000700 N 040 000700 N 041 000700 N 045 000700 Y 046 000700 N 047 000700 Y 048 000700 0.540 048 A010700 0 048 A020700 0.000 048 B010700 0 048 B020700 0.000 048 C010700 0 048 C020700 0.000 048 D010700 0 048 D020700 0.000 048 E010700 0 048 E020700 0.000 048 F010700 0 048 F020700 0.000 048 G010700 0 PAGE 32 048 G020700 0.000 048 H010700 0 048 H020700 0.000 048 I010700 0 048 I020700 0.000 048 J010700 0 048 J020700 0.000 048 K010700 0 048 K020700 0.000 058 A000700 N 059 000700 Y 060 A000700 N 060 B000700 N 061 000700 1000000 062 A000700 N 062 B000700 0.0 062 C000700 0.0 062 D000700 0.0 062 E000700 0.0 062 F000700 0.0 062 G000700 0.0 062 H000700 0.0 062 I000700 0.0 062 J000700 0.0 062 K000700 0.0 062 L000700 0.0 062 M000700 0.0 062 N000700 0.0 062 O000700 0.0 062 P000700 0.0 062 Q000700 0.0 062 R000700 0.0 066 A000700 Y 066 B000700 N 066 C000700 N 066 D000700 N 066 E000700 N 066 F000700 N 066 G000700 Y 067 000700 N 068 A000700 N 068 B000700 Y 069 000700 N 070 A010700 Y 070 A020700 N 070 B010700 Y 070 B020700 N 070 C010700 N 070 C020700 N 070 D010700 Y 070 D020700 N PAGE 33 070 E010700 N 070 E020700 N 070 F010700 Y 070 F020700 Y 070 G010700 Y 070 G020700 N 070 H010700 Y 070 H020700 N 070 I010700 N 070 I020700 N 070 J010700 Y 070 J020700 N 070 K010700 Y 070 K020700 N 070 L010700 Y 070 L020700 Y 070 M010700 Y 070 M020700 Y 070 N010700 Y 070 N020700 N 070 O010700 Y 070 O020700 N 070 P010700 N 070 P020700 N 070 Q010700 N 070 Q020700 N 070 R010700 N 070 R020700 N 071 A000700 1148 071 B000700 12888 071 C000700 8118 071 D000700 14 072 A000700 9 072 B000700 15 072 C000700 81 072 D000700 0 072 E000700 0 072 F000700 28 072 G000700 0 072 H000700 0 072 I000700 19 072 J000700 55 072 K000700 0 072 L000700 0 072 M000700 0 072 N000700 0 072 O000700 0 072 P000700 0 072 Q000700 0 072 R000700 28 072 S000700 0 PAGE 34 072 T000700 0 072 U000700 0 072 V000700 0 072 W000700 8 072 X000700 138 072 Y000700 104 072 Z000700 60 072AA000700 1005 072BB000700 0 072CC010700 0 072CC020700 2 072DD010700 0 072DD020700 0 072EE000700 0 073 A010700 0.0000 073 A020700 0.0000 073 B000700 2.3160 073 C000700 0.0000 074 A000700 13 074 B000700 0 074 C000700 0 074 D000700 0 074 E000700 0 074 F000700 0 074 G000700 0 074 H000700 0 074 I000700 1100 074 J000700 1117 074 K000700 4 074 L000700 0 074 M000700 1540 074 N000700 3774 074 O000700 1100 074 P000700 1 074 Q000700 0 074 R010700 0 074 R020700 0 074 R030700 0 074 R040700 24 074 S000700 0 074 T000700 2649 074 U010700 334 074 U020700 0 074 V010700 7.93 074 V020700 0.00 074 W000700 0.0000 074 X000700 0 074 Y000700 0 075 A000700 0 075 B000700 6945 076 000700 0.00 PAGE 35 008 A000801 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B000801 A 008 C000801 801-6003 008 D010801 BOSTON 008 D020801 MA 008 D030801 02110 012 A000801 INVESTORS BANK & TRUST COMPANY 012 B000801 85-720 012 C010801 BOSTON 012 C020801 MA 012 C030801 02116 015 A000801 INVESTORS BANK & TRUST COMPANY 015 B000801 C 015 C010801 BOSTON 015 C020801 MA 015 C030801 02116 015 E010801 X 024 000800 Y 025 A000801 J.P. MORGAN CHASE & CO 025 C000801 E 025 D000801 4549 025 A000802 DELETE 025 D000802 0 025 D000803 0 025 D000804 0 025 D000805 0 025 D000806 0 025 D000807 0 025 D000808 0 028 A010800 0 028 A020800 0 028 A030800 0 028 A040800 84 028 B010800 5860 028 B020800 180 028 B030800 0 028 B040800 157 028 C010800 804 028 C020800 0 028 C030800 0 028 C040800 825 028 D010800 21 028 D020800 9316 028 D030800 0 028 D040800 180 028 E010800 2371 028 E020800 0 028 E030800 0 028 E040800 616 028 F010800 22 028 F020800 0 PAGE 36 028 F030800 0 028 F040800 55 028 G010800 9078 028 G020800 9496 028 G030800 0 028 G040800 1917 028 H000800 0 037 000800 N 038 000800 0 039 000800 N 040 000800 N 041 000800 N 045 000800 Y 046 000800 N 047 000800 Y 048 000800 0.460 048 A010800 0 048 A020800 0.000 048 B010800 0 048 B020800 0.000 048 C010800 0 048 C020800 0.000 048 D010800 0 048 D020800 0.000 048 E010800 0 048 E020800 0.000 048 F010800 0 048 F020800 0.000 048 G010800 0 048 G020800 0.000 048 H010800 0 048 H020800 0.000 048 I010800 0 048 I020800 0.000 048 J010800 0 048 J020800 0.000 048 K010800 0 048 K020800 0.000 058 A000800 N 059 000800 Y 060 A000800 N 060 B000800 N 061 000800 1000000 062 A000800 N 062 B000800 0.0 062 C000800 0.0 062 D000800 0.0 062 E000800 0.0 062 F000800 0.0 062 G000800 0.0 062 H000800 0.0 PAGE 37 062 I000800 0.0 062 J000800 0.0 062 K000800 0.0 062 L000800 0.0 062 M000800 0.0 062 N000800 0.0 062 O000800 0.0 062 P000800 0.0 062 Q000800 0.0 062 R000800 0.0 066 A000800 Y 066 B000800 N 066 C000800 N 066 D000800 N 066 E000800 N 066 F000800 N 066 G000800 Y 067 000800 N 068 A000800 N 068 B000800 N 069 000800 N 070 A010800 Y 070 A020800 Y 070 B010800 Y 070 B020800 N 070 C010800 N 070 C020800 N 070 D010800 Y 070 D020800 N 070 E010800 N 070 E020800 N 070 F010800 Y 070 F020800 Y 070 G010800 Y 070 G020800 N 070 H010800 Y 070 H020800 N 070 I010800 N 070 I020800 N 070 J010800 Y 070 J020800 N 070 K010800 Y 070 K020800 Y 070 L010800 Y 070 L020800 Y 070 M010800 N 070 M020800 N 070 N010800 Y 070 N020800 Y 070 O010800 Y 070 O020800 Y PAGE 38 070 P010800 N 070 P020800 N 070 Q010800 N 070 Q020800 N 070 R010800 N 070 R020800 N 071 A000800 225452 071 B000800 218883 071 C000800 215445 071 D000800 102 072 A000800 12 072 B000800 282 072 C000800 5468 072 D000800 0 072 E000800 0 072 F000800 1015 072 G000800 0 072 H000800 0 072 I000800 0 072 J000800 46 072 K000800 0 072 L000800 0 072 M000800 2 072 N000800 0 072 O000800 0 072 P000800 0 072 Q000800 0 072 R000800 39 072 S000800 8 072 T000800 0 072 U000800 0 072 V000800 0 072 W000800 345 072 X000800 1455 072 Y000800 109 072 Z000800 4404 072AA000800 12652 072BB000800 0 072CC010800 42835 072CC020800 0 072DD010800 4297 072DD020800 0 072EE000800 17647 073 A010800 0.1840 073 A020800 0.0000 073 B000800 0.7320 073 C000800 0.0000 074 A000800 6 074 B000800 10834 074 C000800 0 074 D000800 0 PAGE 39 074 E000800 7466 074 F000800 228817 074 G000800 0 074 H000800 0 074 I000800 20020 074 J000800 1623 074 K000800 12 074 L000800 519 074 M000800 0 074 N000800 269297 074 O000800 5169 074 P000800 118 074 Q000800 0 074 R010800 0 074 R020800 0 074 R030800 0 074 R040800 16039 074 S000800 0 074 T000800 247971 074 U010800 25912 074 U020800 0 074 V010800 9.57 074 V020800 0.00 074 W000800 0.0000 074 X000800 56 074 Y000800 15992 075 A000800 0 075 B000800 220750 076 000800 0.00 008 A000901 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B000901 A 008 C000901 801-6003 008 D010901 BOSTON 008 D020901 MA 008 D030901 02110 012 A000901 INVESTORS BANK & TRUST COMPANY 012 B000901 85-720 012 C010901 BOSTON 012 C020901 MA 012 C030901 02116 015 A000901 INVESTORS BANK & TRUST COMPANY 015 B000901 C 015 C010901 BOSTON 015 C020901 MA 015 C030901 02116 015 E010901 X 024 000900 Y 025 A000901 BEAR STEARNS & CO INC 025 B000901 13-4946705 025 C000901 E 025 D000901 935 PAGE 40 025 A000902 JP MORGAN SECURITIES 025 C000902 E 025 D000902 3277 025 A000903 LEHMAN BROTHERS 025 C000903 E 025 D000903 275 025 A000904 MORGAN STANLEY & CO 025 C000904 E 025 D000904 345 025 A000905 DELETE 025 D000905 0 025 A000906 DELETE 025 D000906 0 025 A000907 DELETE 025 D000907 0 025 A000908 DELETE 025 D000908 0 025 D000909 0 025 D000910 0 025 D000911 0 025 D000912 0 025 D000913 0 025 D000914 0 025 D000915 0 025 D000916 0 028 A010900 0 028 A020900 0 028 A030900 0 028 A040900 0 028 B010900 0 028 B020900 664 028 B030900 0 028 B040900 259 028 C010900 1353 028 C020900 0 028 C030900 0 028 C040900 2000 028 D010900 303 028 D020900 22987 028 D030900 0 028 D040900 44 028 E010900 1605 028 E020900 0 028 E030900 0 028 E040900 1815 028 F010900 250 028 F020900 0 028 F030900 0 028 F040900 206 028 G010900 3511 028 G020900 23651 PAGE 41 028 G030900 0 028 G040900 4324 028 H000900 0 037 000900 N 038 000900 0 039 000900 N 040 000900 N 045 000900 Y 046 000900 N 047 000900 Y 048 000900 0.330 048 A010900 0 048 A020900 0.000 048 B010900 0 048 B020900 0.000 048 C010900 0 048 C020900 0.000 048 D010900 0 048 D020900 0.000 048 E010900 0 048 E020900 0.000 048 F010900 0 048 F020900 0.000 048 G010900 0 048 G020900 0.000 048 H010900 0 048 H020900 0.000 048 I010900 0 048 I020900 0.000 048 J010900 0 048 J020900 0.000 048 K010900 0 048 K020900 0.000 058 A000900 N 059 000900 Y 060 A000900 Y 060 B000900 Y 061 000900 1000000 062 A000900 N 062 B000900 0.0 062 C000900 0.0 062 D000900 0.0 062 E000900 0.0 062 F000900 0.0 062 G000900 0.0 062 H000900 0.0 062 I000900 0.0 062 J000900 0.0 062 K000900 0.0 062 L000900 0.0 062 M000900 0.0 PAGE 42 062 N000900 0.0 062 O000900 0.0 062 P000900 0.0 062 Q000900 0.0 062 R000900 0.0 066 A000900 Y 066 B000900 N 066 C000900 N 066 D000900 N 066 E000900 N 066 F000900 N 066 G000900 Y 067 000900 N 068 A000900 N 068 B000900 N 069 000900 N 070 A010900 Y 070 A020900 Y 070 B010900 Y 070 B020900 N 070 C010900 N 070 C020900 N 070 D010900 Y 070 D020900 N 070 E010900 N 070 E020900 N 070 F010900 Y 070 F020900 Y 070 G010900 Y 070 G020900 N 070 H010900 Y 070 H020900 N 070 I010900 N 070 I020900 N 070 J010900 Y 070 J020900 N 070 K010900 Y 070 K020900 Y 070 L010900 Y 070 L020900 Y 070 M010900 N 070 M020900 N 070 N010900 Y 070 N020900 Y 070 O010900 Y 070 O020900 N 070 P010900 N 070 P020900 N 070 Q010900 N 070 Q020900 N 070 R010900 N PAGE 43 070 R020900 N 071 A000900 229593 071 B000900 287834 071 C000900 280084 071 D000900 82 072 A000900 12 072 B000900 907 072 C000900 4097 072 D000900 0 072 E000900 0 072 F000900 984 072 G000900 0 072 H000900 0 072 I000900 0 072 J000900 82 072 K000900 0 072 L000900 0 072 M000900 3 072 N000900 0 072 O000900 0 072 P000900 0 072 Q000900 0 072 R000900 36 072 S000900 13 072 T000900 0 072 U000900 0 072 V000900 0 072 W000900 450 072 X000900 1568 072 Y000900 137 072 Z000900 3573 072AA000900 18738 072BB000900 0 072CC010900 0 072CC020900 21413 072DD010900 3677 072DD020900 0 072EE000900 35008 073 A010900 0.1850 073 A020900 0.0000 073 B000900 1.8390 073 C000900 0.0000 074 A000900 3 074 B000900 12298 074 C000900 2757 074 D000900 0 074 E000900 0 074 F000900 245235 074 G000900 0 074 H000900 0 074 I000900 13874 PAGE 44 074 J000900 0 074 K000900 8 074 L000900 501 074 M000900 0 074 N000900 274676 074 O000900 0 074 P000900 100 074 Q000900 0 074 R010900 0 074 R020900 0 074 R030900 0 074 R040900 14144 074 S000900 0 074 T000900 260432 074 U010900 21186 074 U020900 0 074 V010900 12.29 074 V020900 0.00 074 W000900 0.0000 074 X000900 22 074 Y000900 16631 075 A000900 0 075 B000900 298044 076 000900 0.00 008 A001001 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B001001 A 008 C001001 801-6003 008 D011001 BOSTON 008 D021001 MA 008 D031001 02110 012 A001001 INVESTORS BANK & TRUST COMPANY 012 B001001 85-720 012 C011001 BOSTON 012 C021001 MA 012 C031001 02116 015 A001001 INVESTORS BANK & TRUST COMPANY 015 B001001 C 015 C011001 BOSTON 015 C021001 MA 015 C031001 02116 015 E011001 X 024 001000 N 025 D001001 0 025 D001002 0 025 D001003 0 025 D001004 0 025 D001005 0 025 D001006 0 025 D001007 0 025 D001008 0 028 A011000 0 PAGE 45 028 A021000 0 028 A031000 0 028 A041000 0 028 B011000 0 028 B021000 1 028 B031000 0 028 B041000 0 028 C011000 0 028 C021000 0 028 C031000 0 028 C041000 0 028 D011000 0 028 D021000 248 028 D031000 0 028 D041000 0 028 E011000 0 028 E021000 0 028 E031000 0 028 E041000 0 028 F011000 0 028 F021000 0 028 F031000 0 028 F041000 0 028 G011000 0 028 G021000 249 028 G031000 0 028 G041000 0 028 H001000 0 037 001000 N 038 001000 0 039 001000 N 040 001000 N 041 001000 N 045 001000 Y 046 001000 N 047 001000 Y 048 001000 0.600 048 A011000 0 048 A021000 0.000 048 B011000 0 048 B021000 0.000 048 C011000 0 048 C021000 0.000 048 D011000 0 048 D021000 0.000 048 E011000 0 048 E021000 0.000 048 F011000 0 048 F021000 0.000 048 G011000 0 048 G021000 0.000 PAGE 46 048 H011000 0 048 H021000 0.000 048 I011000 0 048 I021000 0.000 048 J011000 0 048 J021000 0.000 048 K011000 0 048 K021000 0.000 058 A001000 N 059 001000 Y 060 A001000 N 060 B001000 N 061 001000 1000000 062 A001000 N 062 B001000 0.0 062 C001000 0.0 062 D001000 0.0 062 E001000 0.0 062 F001000 0.0 062 G001000 0.0 062 H001000 0.0 062 I001000 0.0 062 J001000 0.0 062 K001000 0.0 062 L001000 0.0 062 M001000 0.0 062 N001000 0.0 062 O001000 0.0 062 P001000 0.0 062 Q001000 0.0 062 R001000 0.0 063 A001000 0 063 B001000 0.0 066 A001000 Y 066 B001000 N 066 C001000 Y 066 D001000 N 066 E001000 N 066 F001000 N 066 G001000 N 067 001000 N 068 A001000 N 068 B001000 N 069 001000 N 070 A011000 Y 070 A021000 Y 070 B011000 Y 070 B021000 N 070 C011000 N 070 C021000 N 070 D011000 Y PAGE 47 070 D021000 N 070 E011000 N 070 E021000 N 070 F011000 Y 070 F021000 N 070 G011000 Y 070 G021000 N 070 H011000 Y 070 H021000 N 070 I011000 N 070 I021000 N 070 J011000 Y 070 J021000 N 070 K011000 Y 070 K021000 N 070 L011000 Y 070 L021000 Y 070 M011000 Y 070 M021000 N 070 N011000 Y 070 N021000 N 070 O011000 Y 070 O021000 N 070 P011000 N 070 P021000 N 070 Q011000 N 070 Q021000 N 070 R011000 N 070 R021000 N 071 A001000 964 071 B001000 1178 071 C001000 699 071 D001000 138 072 A001000 12 072 B001000 6 072 C001000 8 072 D001000 0 072 E001000 0 072 F001000 3 072 G001000 0 072 H001000 0 072 I001000 0 072 J001000 0 072 K001000 0 072 L001000 0 072 M001000 0 072 N001000 0 072 O001000 0 072 P001000 0 072 Q001000 0 072 R001000 0 PAGE 48 072 S001000 0 072 T001000 0 072 U001000 0 072 V001000 0 072 W001000 7 072 X001000 10 072 Y001000 6 072 Z001000 11 072AA001000 244 072BB001000 0 072CC011000 0 072CC021000 0 072DD011000 5 072DD021000 0 072EE001000 248 073 A011000 0.0600 073 A021000 0.0000 073 B001000 3.0240 073 C001000 0.0000 074 A001000 858 074 B001000 97 074 C001000 0 074 D001000 0 074 E001000 0 074 F001000 0 074 G001000 0 074 H001000 0 074 I001000 0 074 J001000 0 074 K001000 1 074 L001000 2 074 M001000 16 074 N001000 974 074 O001000 0 074 P001000 0 074 Q001000 0 074 R011000 0 074 R021000 0 074 R031000 0 074 R041000 0 074 S001000 0 074 T001000 974 074 U011000 117 074 U021000 0 074 V011000 8.34 074 V021000 0.00 074 W001000 0.0000 074 X001000 0 074 Y001000 0 075 A001000 0 075 B001000 788 PAGE 49 076 001000 0.00 008 A001101 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B001101 A 008 C001101 801-6003 008 D011101 BOSTON 008 D021101 MA 008 D031101 02110 012 A001101 INVESTORS BANK & TRUST COMPANY 012 B001101 85-720 012 C011101 BOSTON 012 C021101 MA 012 C031101 02116 015 A001101 INVESTORS BANK & TRUST COMPANY 015 B001101 C 015 C011101 BOSTON 015 C021101 MA 015 C031101 02116 015 E011101 X 024 001100 N 025 A001101 DELETE 025 D001101 0 025 A001102 DELETE 025 D001102 0 025 D001103 0 025 D001104 0 025 D001105 0 025 D001106 0 025 D001107 0 025 D001108 0 028 A011100 830 028 A021100 0 028 A031100 0 028 A041100 1174 028 B011100 1570 028 B021100 769 028 B031100 0 028 B041100 22462 028 C011100 0 028 C021100 0 028 C031100 0 028 C041100 341 028 D011100 516 028 D021100 7745 028 D031100 0 028 D041100 8229 028 E011100 1534 028 E021100 0 028 E031100 0 028 E041100 3613 028 F011100 267 028 F021100 0 PAGE 50 028 F031100 0 028 F041100 3482 028 G011100 4717 028 G021100 8514 028 G031100 0 028 G041100 39301 028 H001100 0 037 001100 Y 038 001100 359 039 001100 N 040 001100 N 041 001100 N 045 001100 Y 046 001100 N 047 001100 Y 048 001100 0.330 048 A011100 0 048 A021100 0.000 048 B011100 0 048 B021100 0.000 048 C011100 0 048 C021100 0.000 048 D011100 0 048 D021100 0.000 048 E011100 0 048 E021100 0.000 048 F011100 0 048 F021100 0.000 048 G011100 0 048 G021100 0.000 048 H011100 0 048 H021100 0.000 048 I011100 0 048 I021100 0.000 048 J011100 0 048 J021100 0.000 048 K011100 0 048 K021100 0.000 058 A001100 N 059 001100 Y 060 A001100 Y 060 B001100 Y 061 001100 1000000 062 A001100 N 062 B001100 0.0 062 C001100 0.0 062 D001100 0.0 062 E001100 0.0 062 F001100 0.0 062 G001100 0.0 062 H001100 0.0 PAGE 51 062 I001100 0.0 062 J001100 0.0 062 K001100 0.0 062 L001100 0.0 062 M001100 0.0 062 N001100 0.0 062 O001100 0.0 062 P001100 0.0 062 Q001100 0.0 062 R001100 0.0 066 A001100 Y 066 B001100 N 066 C001100 Y 066 D001100 N 066 E001100 N 066 F001100 N 066 G001100 N 067 001100 N 068 A001100 N 068 B001100 N 069 001100 N 070 A011100 Y 070 A021100 Y 070 B011100 Y 070 B021100 N 070 C011100 N 070 C021100 N 070 D011100 Y 070 D021100 N 070 E011100 N 070 E021100 N 070 F011100 Y 070 F021100 Y 070 G011100 Y 070 G021100 N 070 H011100 Y 070 H021100 N 070 I011100 N 070 I021100 N 070 J011100 Y 070 J021100 N 070 K011100 Y 070 K021100 Y 070 L011100 Y 070 L021100 Y 070 M011100 N 070 M021100 N 070 N011100 Y 070 N021100 Y 070 O011100 Y 070 O021100 N PAGE 52 070 P011100 N 070 P021100 N 070 Q011100 N 070 Q021100 N 070 R011100 N 070 R021100 N 071 A001100 323239 071 B001100 331105 071 C001100 291368 071 D001100 111 072 A001100 12 072 B001100 702 072 C001100 6049 072 D001100 0 072 E001100 0 072 F001100 1006 072 G001100 0 072 H001100 0 072 I001100 0 072 J001100 122 072 K001100 0 072 L001100 0 072 M001100 3 072 N001100 1 072 O001100 0 072 P001100 0 072 Q001100 0 072 R001100 40 072 S001100 10 072 T001100 0 072 U001100 0 072 V001100 0 072 W001100 461 072 X001100 1643 072 Y001100 180 072 Z001100 5288 072AA001100 0 072BB001100 1138 072CC011100 56144 072CC021100 0 072DD011100 5194 072DD021100 0 072EE001100 21896 073 A011100 0.2040 073 A021100 0.0000 073 B001100 0.9580 073 C001100 0.0000 074 A001100 4 074 B001100 11529 074 C001100 1479 074 D001100 0 PAGE 53 074 E001100 0 074 F001100 292614 074 G001100 0 074 H001100 0 074 I001100 14879 074 J001100 0 074 K001100 4 074 L001100 526 074 M001100 0 074 N001100 321035 074 O001100 0 074 P001100 114 074 Q001100 0 074 R011100 0 074 R021100 0 074 R031100 0 074 R041100 15743 074 S001100 0 074 T001100 305178 074 U011100 22024 074 U021100 0 074 V011100 13.86 074 V021100 0.00 074 W001100 0.0000 074 X001100 112 074 Y001100 16340 075 A001100 0 075 B001100 304812 076 001100 0.00 008 A001301 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B001301 A 008 C001301 801-6003 008 D011301 BOSTON 008 D021301 MA 008 D031301 02110 012 A001301 INVESTORS BANK & TRUST COMPANY 012 B001301 85-720 012 C011301 BOSTON 012 C021301 MA 012 C031301 02116 015 A001301 BROWN BROTHERS HARRIMAN & CO. 015 B001301 C 015 C011301 BOSTON 015 C021301 MA 015 C031301 02109 015 E011301 X 024 001300 N 025 D001301 0 025 D001302 0 025 D001303 0 025 D001304 0 PAGE 54 025 D001305 0 025 D001306 0 025 D001307 0 025 D001308 0 028 A011300 0 028 A021300 0 028 A031300 0 028 A041300 2270 028 B011300 20750 028 B021300 0 028 B031300 0 028 B041300 50 028 C011300 0 028 C021300 0 028 C031300 0 028 C041300 1117 028 D011300 4408 028 D021300 3076 028 D031300 0 028 D041300 10047 028 E011300 605 028 E021300 0 028 E031300 0 028 E041300 0 028 F011300 2016 028 F021300 0 028 F031300 0 028 F041300 0 028 G011300 27779 028 G021300 3076 028 G031300 0 028 G041300 13484 028 H001300 0 037 001300 Y 038 001300 213 039 001300 N 040 001300 N 041 001300 N 045 001300 Y 046 001300 N 047 001300 Y 048 001300 0.600 048 A011300 0 048 A021300 0.000 048 B011300 0 048 B021300 0.000 048 C011300 0 048 C021300 0.000 048 D011300 0 048 D021300 0.000 048 E011300 0 PAGE 55 048 E021300 0.000 048 F011300 0 048 F021300 0.000 048 G011300 0 048 G021300 0.000 048 H011300 0 048 H021300 0.000 048 I011300 0 048 I021300 0.000 048 J011300 0 048 J021300 0.000 048 K011300 0 048 K021300 0.000 058 A001300 N 059 001300 Y 060 A001300 Y 060 B001300 Y 061 001300 1000000 062 A001300 N 062 B001300 0.0 062 C001300 0.0 062 D001300 0.0 062 E001300 0.0 062 F001300 0.0 062 G001300 0.0 062 H001300 0.0 062 I001300 0.0 062 J001300 0.0 062 K001300 0.0 062 L001300 0.0 062 M001300 0.0 062 N001300 0.0 062 O001300 0.0 062 P001300 0.0 062 Q001300 0.0 062 R001300 0.0 066 A001300 Y 066 B001300 N 066 C001300 N 066 D001300 N 066 E001300 N 066 F001300 N 066 G001300 Y 067 001300 N 068 A001300 N 068 B001300 Y 069 001300 N 070 A011300 Y 070 A021300 N 070 B011300 Y 070 B021300 N PAGE 56 070 C011300 N 070 C021300 N 070 D011300 Y 070 D021300 N 070 E011300 N 070 E021300 N 070 F011300 Y 070 F021300 Y 070 G011300 Y 070 G021300 N 070 H011300 Y 070 H021300 N 070 I011300 N 070 I021300 N 070 J011300 Y 070 J021300 N 070 K011300 Y 070 K021300 N 070 L011300 Y 070 L021300 Y 070 M011300 Y 070 M021300 Y 070 N011300 Y 070 N021300 Y 070 O011300 Y 070 O021300 N 070 P011300 N 070 P021300 N 070 Q011300 N 070 Q021300 N 070 R011300 N 070 R021300 N 071 A001300 98854 071 B001300 98943 071 C001300 164773 071 D001300 60 072 A001300 12 072 B001300 460 072 C001300 4392 072 D001300 0 072 E001300 0 072 F001300 1038 072 G001300 0 072 H001300 0 072 I001300 29 072 J001300 278 072 K001300 0 072 L001300 0 072 M001300 2 072 N001300 0 072 O001300 0 PAGE 57 072 P001300 0 072 Q001300 0 072 R001300 55 072 S001300 7 072 T001300 0 072 U001300 0 072 V001300 0 072 W001300 261 072 X001300 1670 072 Y001300 372 072 Z001300 3554 072AA001300 0 072BB001300 2098 072CC011300 18088 072CC021300 0 072DD011300 3650 072DD021300 0 072EE001300 12729 073 A011300 0.2510 073 A021300 0.0000 073 B001300 0.8560 073 C001300 0.0000 074 A001300 84 074 B001300 0 074 C001300 2900 074 D001300 0 074 E001300 3574 074 F001300 172919 074 G001300 0 074 H001300 0 074 I001300 15875 074 J001300 0 074 K001300 56 074 L001300 2303 074 M001300 188 074 N001300 197899 074 O001300 0 074 P001300 106 074 Q001300 0 074 R011300 0 074 R021300 0 074 R031300 0 074 R041300 10700 074 S001300 0 074 T001300 187093 074 U011300 16019 074 U021300 0 074 V011300 11.68 074 V021300 0.00 074 W001300 0.0000 074 X001300 88 PAGE 58 074 Y001300 13473 075 A001300 0 075 B001300 173052 076 001300 0.00 008 A001401 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B001401 A 008 C001401 801-6003 008 D011401 BOSTON 008 D021401 MA 008 D031401 02110 012 A001401 INVESTORS BANK & TRUST COMPANY 012 B001401 85-720 012 C011401 BOSTON 012 C021401 MA 012 C031401 02116 015 A001401 INVESTORS BANK & TRUST COMPANY 015 B001401 C 015 C011401 BOSTON 015 C021401 MA 015 C031401 02116 015 E011401 X 024 001400 N 025 A001401 DELETE 025 D001401 0 025 D001402 0 025 D001403 0 025 D001404 0 025 D001405 0 025 D001406 0 025 D001407 0 025 D001408 0 028 A011400 0 028 A021400 0 028 A031400 0 028 A041400 0 028 B011400 0 028 B021400 0 028 B031400 0 028 B041400 0 028 C011400 0 028 C021400 0 028 C031400 0 028 C041400 0 028 D011400 0 028 D021400 0 028 D031400 0 028 D041400 0 028 E011400 0 028 E021400 0 028 E031400 0 028 E041400 0 PAGE 59 028 F011400 0 028 F021400 0 028 F031400 0 028 F041400 0 028 G011400 0 028 G021400 0 028 G031400 0 028 G041400 0 028 H001400 0 037 001400 Y 038 001400 3 039 001400 N 040 001400 N 041 001400 N 045 001400 Y 046 001400 N 047 001400 Y 048 001400 0.330 048 A011400 0 048 A021400 0.000 048 B011400 0 048 B021400 0.000 048 C011400 0 048 C021400 0.000 048 D011400 0 048 D021400 0.000 048 E011400 0 048 E021400 0.000 048 F011400 0 048 F021400 0.000 048 G011400 0 048 G021400 0.000 048 H011400 0 048 H021400 0.000 048 I011400 0 048 I021400 0.000 048 J011400 0 048 J021400 0.000 048 K011400 0 048 K021400 0.000 058 A001400 N 059 001400 Y 060 A001400 N 060 B001400 N 061 001400 1000000 062 A001400 N 062 B001400 0.0 062 C001400 0.0 062 D001400 0.0 062 E001400 0.0 062 F001400 0.0 PAGE 60 062 G001400 0.0 062 H001400 0.0 062 I001400 0.0 062 J001400 0.0 062 K001400 0.0 062 L001400 0.0 062 M001400 0.0 062 N001400 0.0 062 O001400 0.0 062 P001400 0.0 062 Q001400 0.0 062 R001400 0.0 066 A001400 Y 066 B001400 N 066 C001400 N 066 D001400 N 066 E001400 N 066 F001400 N 066 G001400 Y 067 001400 N 068 A001400 N 068 B001400 N 069 001400 N 070 A011400 Y 070 A021400 Y 070 B011400 Y 070 B021400 N 070 C011400 N 070 C021400 N 070 D011400 Y 070 D021400 N 070 E011400 N 070 E021400 N 070 F011400 Y 070 F021400 N 070 G011400 Y 070 G021400 N 070 H011400 Y 070 H021400 N 070 I011400 N 070 I021400 N 070 J011400 Y 070 J021400 N 070 K011400 Y 070 K021400 Y 070 L011400 Y 070 L021400 N 070 M011400 N 070 M021400 N 070 N011400 Y 070 N021400 N PAGE 61 070 O011400 Y 070 O021400 N 070 P011400 N 070 P021400 N 070 Q011400 N 070 Q021400 N 070 R011400 N 070 R021400 N 071 A001400 276 071 B001400 1615 071 C001400 799 071 D001400 35 072 A001400 12 072 B001400 0 072 C001400 20 072 D001400 0 072 E001400 0 072 F001400 3 072 G001400 0 072 H001400 0 072 I001400 0 072 J001400 1 072 K001400 0 072 L001400 0 072 M001400 0 072 N001400 0 072 O001400 0 072 P001400 0 072 Q001400 0 072 R001400 19 072 S001400 0 072 T001400 0 072 U001400 0 072 V001400 0 072 W001400 0 072 X001400 23 072 Y001400 23 072 Z001400 20 072AA001400 0 072BB001400 36 072CC011400 153 072CC021400 0 072DD011400 53 072DD021400 0 072EE001400 16 073 A011400 0.1670 073 A021400 0.0000 073 B001400 0.0500 073 C001400 0.0000 074 A001400 0 074 B001400 3 PAGE 62 074 C001400 0 074 D001400 0 074 E001400 0 074 F001400 0 074 G001400 0 074 H001400 0 074 I001400 263 074 J001400 0 074 K001400 3 074 L001400 0 074 M001400 0 074 N001400 269 074 O001400 0 074 P001400 0 074 Q001400 0 074 R011400 0 074 R021400 0 074 R031400 0 074 R041400 16 074 S001400 0 074 T001400 253 074 U011400 50 074 U021400 0 074 V011400 5.11 074 V021400 0.00 074 W001400 0.0000 074 X001400 1 074 Y001400 0 075 A001400 0 075 B001400 769 076 001400 0.00 008 A001501 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B001501 A 008 C001501 801-6003 008 D011501 BOSTON 008 D021501 MA 008 D031501 02110 008 A001502 DANCING ELEPHANT LTD 008 B001502 S 008 C001502 801-45369 008 D011502 BERKELEY 008 D021502 CA 008 D031502 94704 012 A001501 INVESTORS BANK & TRUST COMPANY 012 B001501 85-720 012 C011501 BOSTON 012 C021501 MA 012 C031501 02116 015 A001501 BROWN BROTHERS HARRIMAN & CO. 015 B001501 C 015 C011501 BOSTON PAGE 63 015 C021501 MA 015 C031501 02109 015 E011501 X 024 001500 Y 025 A001501 MORGAN STANLEY & CO 025 C001501 D 025 D001501 800 025 D001502 0 025 D001503 0 025 D001504 0 025 D001505 0 025 D001506 0 025 D001507 0 025 D001508 0 028 A011500 5492 028 A021500 0 028 A031500 0 028 A041500 8454 028 B011500 63273 028 B021500 0 028 B031500 0 028 B041500 18540 028 C011500 4850 028 C021500 0 028 C031500 0 028 C041500 5230 028 D011500 5253 028 D021500 1306 028 D031500 0 028 D041500 2439 028 E011500 33266 028 E021500 0 028 E031500 0 028 E041500 42431 028 F011500 16259 028 F021500 0 028 F031500 0 028 F041500 119 028 G011500 128393 028 G021500 1306 028 G031500 0 028 G041500 77213 028 H001500 0 037 001500 Y 038 001500 430 039 001500 N 040 001500 N 041 001500 N 045 001500 Y 046 001500 N 047 001500 Y PAGE 64 048 001500 0.810 048 A011500 0 048 A021500 0.000 048 B011500 0 048 B021500 0.000 048 C011500 0 048 C021500 0.000 048 D011500 0 048 D021500 0.000 048 E011500 0 048 E021500 0.000 048 F011500 0 048 F021500 0.000 048 G011500 0 048 G021500 0.000 048 H011500 0 048 H021500 0.000 048 I011500 0 048 I021500 0.000 048 J011500 0 048 J021500 0.000 048 K011500 0 048 K021500 0.000 058 A001500 N 059 001500 Y 060 A001500 N 060 B001500 N 061 001500 1000000 062 A001500 N 062 B001500 0.0 062 C001500 0.0 062 D001500 0.0 062 E001500 0.0 062 F001500 0.0 062 G001500 0.0 062 H001500 0.0 062 I001500 0.0 062 J001500 0.0 062 K001500 0.0 062 L001500 0.0 062 M001500 0.0 062 N001500 0.0 062 O001500 0.0 062 P001500 0.0 062 Q001500 0.0 062 R001500 0.0 066 A001500 Y 066 B001500 N 066 C001500 Y 066 D001500 N 066 E001500 N PAGE 65 066 F001500 N 066 G001500 N 067 001500 N 068 A001500 N 068 B001500 Y 069 001500 N 070 A011500 Y 070 A021500 N 070 B011500 Y 070 B021500 N 070 C011500 N 070 C021500 N 070 D011500 Y 070 D021500 N 070 E011500 N 070 E021500 N 070 F011500 Y 070 F021500 N 070 G011500 Y 070 G021500 N 070 H011500 Y 070 H021500 N 070 I011500 N 070 I021500 N 070 J011500 Y 070 J021500 Y 070 K011500 Y 070 K021500 Y 070 L011500 Y 070 L021500 Y 070 M011500 Y 070 M021500 Y 070 N011500 Y 070 N021500 Y 070 O011500 Y 070 O021500 Y 070 P011500 N 070 P021500 N 070 Q011500 N 070 Q021500 N 070 R011500 N 070 R021500 N 071 A001500 944140 071 B001500 906097 071 C001500 1002091 071 D001500 90 072 A001500 12 072 B001500 5552 072 C001500 24961 072 D001500 0 072 E001500 0 PAGE 66 072 F001500 8655 072 G001500 0 072 H001500 0 072 I001500 45 072 J001500 2577 072 K001500 0 072 L001500 0 072 M001500 11 072 N001500 4 072 O001500 0 072 P001500 0 072 Q001500 0 072 R001500 89 072 S001500 85 072 T001500 0 072 U001500 0 072 V001500 0 072 W001500 1672 072 X001500 13138 072 Y001500 237 072 Z001500 17612 072AA001500 0 072BB001500 52817 072CC011500 0 072CC021500 191938 072DD011500 1214 072DD021500 1486 072EE001500 0 073 A011500 0.0180 073 A021500 0.0240 073 B001500 0.0000 073 C001500 0.0000 074 A001500 262 074 B001500 0 074 C001500 0 074 D001500 21078 074 E001500 81569 074 F001500 832787 074 G001500 0 074 H001500 0 074 I001500 85167 074 J001500 2302 074 K001500 14 074 L001500 7908 074 M001500 11660 074 N001500 1042747 074 O001500 3772 074 P001500 745 074 Q001500 0 074 R011500 0 074 R021500 0 PAGE 67 074 R031500 0 074 R041500 10406 074 S001500 0 074 T001500 1027824 074 U011500 560205 074 U021500 467619 074 V011500 9.04 074 V021500 9.03 074 W001500 0.0000 074 X001500 353 074 Y001500 28953 075 A001500 0 075 B001500 1068475 076 001500 0.00 008 A001601 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B001601 A 008 C001601 801-6003 008 D011601 BOSTON 008 D021601 MA 008 D031601 02110 012 A001601 INVESTORS BANK & TRUST COMPANY 012 B001601 85-720 012 C011601 BOSTON 012 C021601 MA 012 C031601 02116 015 A001601 INVESTORS BANK & TRUST COMPANY 015 B001601 C 015 C011601 BOSTON 015 C021601 MA 015 C031601 02116 015 E011601 X 024 001600 Y 025 A001601 MORGAN STANLEY & CO 025 C001601 D 025 D001601 1 025 D001602 0 025 D001603 0 025 D001604 0 025 D001605 0 025 D001606 0 025 D001607 0 025 D001608 0 028 A011600 496 028 A021600 0 028 A031600 0 028 A041600 354 028 B011600 47 028 B021600 0 028 B031600 0 028 B041600 78 028 C011600 0 PAGE 68 028 C021600 0 028 C031600 0 028 C041600 12813 028 D011600 49214 028 D021600 0 028 D031600 0 028 D041600 1736 028 E011600 26135 028 E021600 0 028 E031600 0 028 E041600 2803 028 F011600 18805 028 F021600 0 028 F031600 0 028 F041600 1910 028 G011600 94697 028 G021600 0 028 G031600 0 028 G041600 19694 028 H001600 0 037 001600 N 038 001600 0 039 001600 N 040 001600 N 041 001600 N 045 001600 Y 046 001600 N 047 001600 Y 048 001600 0.250 048 A011600 0 048 A021600 0.000 048 B011600 0 048 B021600 0.000 048 C011600 0 048 C021600 0.000 048 D011600 0 048 D021600 0.000 048 E011600 0 048 E021600 0.000 048 F011600 0 048 F021600 0.000 048 G011600 0 048 G021600 0.000 048 H011600 0 048 H021600 0.000 048 I011600 0 048 I021600 0.000 048 J011600 0 048 J021600 0.000 048 K011600 0 048 K021600 0.000 PAGE 69 058 A001600 N 059 001600 Y 060 A001600 N 060 B001600 N 061 001600 1000000 062 A001600 Y 062 B001600 0.0 062 C001600 0.0 062 D001600 0.0 062 E001600 0.0 062 F001600 0.0 062 G001600 0.0 062 H001600 0.0 062 I001600 0.6 062 J001600 0.0 062 K001600 0.3 062 L001600 0.0 062 M001600 0.0 062 N001600 2.7 062 O001600 0.0 062 P001600 2.1 062 Q001600 94.9 062 R001600 0.0 063 A001600 0 063 B001600 7.2 064 A001600 N 064 B001600 N 066 A001600 N 067 001600 N 068 A001600 N 068 B001600 Y 069 001600 N 070 A011600 Y 070 A021600 Y 070 B011600 Y 070 B021600 N 070 C011600 Y 070 C021600 N 070 D011600 Y 070 D021600 N 070 E011600 Y 070 E021600 Y 070 F011600 Y 070 F021600 N 070 G011600 Y 070 G021600 Y 070 H011600 Y 070 H021600 N 070 I011600 N 070 I021600 N 070 J011600 Y PAGE 70 070 J021600 N 070 K011600 Y 070 K021600 Y 070 L011600 Y 070 L021600 Y 070 M011600 Y 070 M021600 Y 070 N011600 Y 070 N021600 Y 070 O011600 Y 070 O021600 N 070 P011600 N 070 P021600 N 070 Q011600 N 070 Q021600 N 070 R011600 N 070 R021600 N 071 A001600 232804 071 B001600 164908 071 C001600 145063 071 D001600 114 072 A001600 12 072 B001600 6561 072 C001600 4285 072 D001600 0 072 E001600 0 072 F001600 376 072 G001600 0 072 H001600 0 072 I001600 0 072 J001600 72 072 K001600 0 072 L001600 0 072 M001600 1 072 N001600 1 072 O001600 0 072 P001600 0 072 Q001600 0 072 R001600 53 072 S001600 4 072 T001600 0 072 U001600 0 072 V001600 0 072 W001600 223 072 X001600 730 072 Y001600 148 072 Z001600 10264 072AA001600 0 072BB001600 16784 072CC011600 11818 072CC021600 0 PAGE 71 072DD011600 0 072DD021600 0 072EE001600 686 073 A011600 0.0000 073 A021600 0.0000 073 B001600 0.0440 073 C001600 0.0000 074 A001600 0 074 B001600 1 074 C001600 0 074 D001600 39925 074 E001600 0 074 F001600 0 074 G001600 0 074 H001600 0 074 I001600 173975 074 J001600 0 074 K001600 10 074 L001600 3400 074 M001600 0 074 N001600 217311 074 O001600 300 074 P001600 63 074 Q001600 0 074 R011600 0 074 R021600 0 074 R031600 22 074 R041600 4335 074 S001600 0 074 T001600 212591 074 U011600 22517 074 U021600 0 074 V011600 9.44 074 V021600 0.00 074 W001600 0.0000 074 X001600 59 074 Y001600 4026 075 A001600 0 075 B001600 150497 076 001600 0.00 008 A001701 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B001701 A 008 C001701 801-6003 008 D011701 BOSTON 008 D021701 MA 008 D031701 02110 012 A001701 INVESTORS BANK & TRUST COMPANY 012 B001701 85-720 012 C011701 BOSTON 012 C021701 MA 012 C031701 02116 PAGE 72 015 A001701 INVESTORS BANK & TRUST COMPANY 015 B001701 C 015 C011701 BOSTON 015 C021701 MA 015 C031701 02116 015 E011701 X 024 001700 N 025 D001701 0 025 D001702 0 025 D001703 0 025 D001704 0 025 D001705 0 025 D001706 0 025 D001707 0 025 D001708 0 028 A011700 33917 028 A021700 0 028 A031700 0 028 A041700 1982 028 B011700 28938 028 B021700 0 028 B031700 0 028 B041700 2783 028 C011700 7600 028 C021700 0 028 C031700 0 028 C041700 12893 028 D011700 3236 028 D021700 82386 028 D031700 0 028 D041700 8243 028 E011700 9230 028 E021700 0 028 E031700 0 028 E041700 104838 028 F011700 9051 028 F021700 0 028 F031700 0 028 F041700 22234 028 G011700 91972 028 G021700 82386 028 G031700 0 028 G041700 152973 028 H001700 0 037 001700 Y 038 001700 0 039 001700 N 040 001700 N 041 001700 N 045 001700 Y 046 001700 N PAGE 73 047 001700 Y 048 001700 0.350 048 A011700 0 048 A021700 0.000 048 B011700 0 048 B021700 0.000 048 C011700 0 048 C021700 0.000 048 D011700 0 048 D021700 0.000 048 E011700 0 048 E021700 0.000 048 F011700 0 048 F021700 0.000 048 G011700 0 048 G021700 0.000 048 H011700 0 048 H021700 0.000 048 I011700 0 048 I021700 0.000 048 J011700 0 048 J021700 0.000 048 K011700 0 048 K021700 0.000 058 A001700 N 059 001700 Y 060 A001700 N 060 B001700 N 061 001700 1000000 062 A001700 Y 062 B001700 0.0 062 C001700 0.0 062 D001700 0.0 062 E001700 0.0 062 F001700 0.0 062 G001700 0.0 062 H001700 0.0 062 I001700 0.6 062 J001700 0.0 062 K001700 0.1 062 L001700 0.0 062 M001700 0.0 062 N001700 0.4 062 O001700 0.0 062 P001700 0.5 062 Q001700 83.1 062 R001700 11.9 063 A001700 0 063 B001700 17.4 064 A001700 N 064 B001700 Y PAGE 74 065 001700 N 066 A001700 N 067 001700 N 068 A001700 N 068 B001700 Y 069 001700 N 070 A011700 Y 070 A021700 Y 070 B011700 Y 070 B021700 N 070 C011700 Y 070 C021700 Y 070 D011700 Y 070 D021700 N 070 E011700 Y 070 E021700 N 070 F011700 Y 070 F021700 N 070 G011700 Y 070 G021700 Y 070 H011700 Y 070 H021700 N 070 I011700 N 070 I021700 N 070 J011700 Y 070 J021700 N 070 K011700 Y 070 K021700 Y 070 L011700 Y 070 L021700 Y 070 M011700 Y 070 M021700 Y 070 N011700 Y 070 N021700 Y 070 O011700 Y 070 O021700 Y 070 P011700 N 070 P021700 N 070 Q011700 N 070 Q021700 N 070 R011700 N 070 R021700 N 071 A001700 1385033 071 B001700 1371210 071 C001700 965695 071 D001700 139 072 A001700 12 072 B001700 129373 072 C001700 716 072 D001700 0 072 E001700 0 PAGE 75 072 F001700 3469 072 G001700 0 072 H001700 0 072 I001700 35 072 J001700 499 072 K001700 0 072 L001700 0 072 M001700 10 072 N001700 0 072 O001700 0 072 P001700 0 072 Q001700 0 072 R001700 151 072 S001700 152 072 T001700 0 072 U001700 0 072 V001700 0 072 W001700 1212 072 X001700 5528 072 Y001700 304 072 Z001700 124865 072AA001700 0 072BB001700 5463 072CC011700 45171 072CC021700 0 072DD011700 59982 072DD021700 86770 072EE001700 0 073 A011700 1.3220 073 A021700 1.3260 073 B001700 0.0000 073 C001700 0.0000 074 A001700 1336 074 B001700 0 074 C001700 0 074 D001700 848078 074 E001700 0 074 F001700 0 074 G001700 0 074 H001700 0 074 I001700 127087 074 J001700 9151 074 K001700 30 074 L001700 40574 074 M001700 0 074 N001700 1026256 074 O001700 12328 074 P001700 368 074 Q001700 0 074 R011700 0 074 R021700 0 PAGE 76 074 R031700 0 074 R041700 3645 074 S001700 0 074 T001700 1009915 074 U011700 47991 074 U021700 64771 074 V011700 8.96 074 V021700 8.95 074 W001700 0.0000 074 X001700 317 074 Y001700 4190 075 A001700 0 075 B001700 991154 076 001700 0.00 008 A001801 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B001801 A 008 C001801 801-6003 008 D011801 BOSTON 008 D021801 MA 008 D031801 02110 012 A001801 INVESTORS BANK & TRUST COMPANY 012 B001801 85-720 012 C011801 BOSTON 012 C021801 MA 012 C031801 02116 015 A001801 BROWN BROTHERS HARRIMAN & CO. 015 B001801 C 015 C011801 BOSTON 015 C021801 MA 015 C031801 02111 015 E011801 X 024 001800 N 025 D001801 0 025 D001802 0 025 D001803 0 025 D001804 0 025 D001805 0 025 D001806 0 025 D001807 0 025 D001808 0 028 A011800 0 028 A021800 0 028 A031800 0 028 A041800 544 028 B011800 0 028 B021800 0 028 B031800 0 028 B041800 136 028 C011800 0 028 C021800 0 028 C031800 0 PAGE 77 028 C041800 301 028 D011800 750 028 D021800 2750 028 D031800 0 028 D041800 73 028 E011800 0 028 E021800 0 028 E031800 0 028 E041800 3130 028 F011800 11 028 F021800 0 028 F031800 0 028 F041800 641 028 G011800 761 028 G021800 2750 028 G031800 0 028 G041800 4825 028 H001800 0 037 001800 Y 038 001800 3 039 001800 N 040 001800 N 041 001800 N 045 001800 Y 046 001800 N 047 001800 Y 048 001800 0.500 048 A011800 0 048 A021800 0.000 048 B011800 0 048 B021800 0.000 048 C011800 0 048 C021800 0.000 048 D011800 0 048 D021800 0.000 048 E011800 0 048 E021800 0.000 048 F011800 0 048 F021800 0.000 048 G011800 0 048 G021800 0.000 048 H011800 0 048 H021800 0.000 048 I011800 0 048 I021800 0.000 048 J011800 0 048 J021800 0.000 048 K011800 0 048 K021800 0.000 058 A001800 N 059 001800 Y PAGE 78 060 A001800 Y 060 B001800 Y 061 001800 1000000 062 A001800 N 062 B001800 0.0 062 C001800 0.0 062 D001800 0.0 062 E001800 0.0 062 F001800 0.0 062 G001800 0.0 062 H001800 0.0 062 I001800 0.0 062 J001800 0.0 062 K001800 0.0 062 L001800 0.0 062 M001800 0.0 062 N001800 0.0 062 O001800 0.0 062 P001800 0.0 062 Q001800 0.0 062 R001800 0.0 063 A001800 0 063 B001800 0.0 066 A001800 Y 066 B001800 N 066 C001800 N 066 D001800 N 066 E001800 N 066 F001800 N 066 G001800 Y 067 001800 N 068 A001800 N 068 B001800 N 069 001800 N 070 A011800 Y 070 A021800 N 070 B011800 Y 070 B021800 N 070 C011800 Y 070 C021800 N 070 D011800 Y 070 D021800 N 070 E011800 Y 070 E021800 N 070 F011800 Y 070 F021800 Y 070 G011800 Y 070 G021800 N 070 H011800 Y 070 H021800 N 070 I011800 N PAGE 79 070 I021800 N 070 J011800 Y 070 J021800 N 070 K011800 Y 070 K021800 Y 070 L011800 Y 070 L021800 Y 070 M011800 Y 070 M021800 Y 070 N011800 Y 070 N021800 N 070 O011800 Y 070 O021800 N 070 P011800 N 070 P021800 N 070 Q011800 N 070 Q021800 N 070 R011800 N 070 R021800 N 071 A001800 20025 071 B001800 6736 071 C001800 45835 071 D001800 15 072 A001800 12 072 B001800 471 072 C001800 588 072 D001800 0 072 E001800 0 072 F001800 259 072 G001800 0 072 H001800 0 072 I001800 27 072 J001800 64 072 K001800 0 072 L001800 0 072 M001800 0 072 N001800 0 072 O001800 0 072 P001800 0 072 Q001800 0 072 R001800 30 072 S001800 1 072 T001800 0 072 U001800 0 072 V001800 0 072 W001800 14 072 X001800 395 072 Y001800 267 072 Z001800 931 072AA001800 10532 072BB001800 0 PAGE 80 072CC011800 352 072CC021800 0 072DD011800 5211 072DD021800 0 072EE001800 0 073 A011800 0.8190 073 A021800 0.0000 073 B001800 0.0000 073 C001800 0.0000 074 A001800 91 074 B001800 0 074 C001800 1820 074 D001800 1910 074 E001800 0 074 F001800 0 074 G001800 0 074 H001800 0 074 I001800 51529 074 J001800 600 074 K001800 23 074 L001800 1191 074 M001800 44 074 N001800 57208 074 O001800 0 074 P001800 23 074 Q001800 0 074 R011800 0 074 R021800 0 074 R031800 0 074 R041800 686 074 S001800 0 074 T001800 56499 074 U011800 6468 074 U021800 0 074 V011800 8.73 074 V021800 0.00 074 W001800 0.0000 074 X001800 29 074 Y001800 1820 075 A001800 0 075 B001800 51780 076 001800 0.00 008 A001901 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B001901 A 008 C001901 801-6003 008 D011901 BOSTON 008 D021901 MA 008 D031901 02110 012 A001901 INVESTORS BANK & TRUST COMPANY 012 B001901 85-720 012 C011901 BOSTON PAGE 81 012 C021901 MA 012 C031901 02116 015 A001901 INVESTORS BANK & TRUST COMPANY 015 B001901 C 015 C011901 BOSTON 015 C021901 MA 015 C031901 02116 015 E011901 X 024 001900 Y 025 A001901 MORGAN STANLEY & CO 025 C001901 D 025 D001901 450 025 D001902 0 025 D001903 0 025 D001904 0 025 D001905 0 025 D001906 0 025 D001907 0 025 D001908 0 028 A011900 354 028 A021900 0 028 A031900 0 028 A041900 381 028 B011900 800 028 B021900 2053 028 B031900 0 028 B041900 296 028 C011900 13985 028 C021900 0 028 C031900 0 028 C041900 1269 028 D011900 16 028 D021900 2293 028 D031900 0 028 D041900 641 028 E011900 5600 028 E021900 0 028 E031900 0 028 E041900 2438 028 F011900 37 028 F021900 0 028 F031900 0 028 F041900 4932 028 G011900 20792 028 G021900 4346 028 G031900 0 028 G041900 9957 028 H001900 0 037 001900 N 038 001900 0 039 001900 N PAGE 82 040 001900 N 041 001900 N 045 001900 Y 046 001900 N 047 001900 Y 048 001900 0.100 048 A011900 0 048 A021900 0.000 048 B011900 0 048 B021900 0.000 048 C011900 0 048 C021900 0.000 048 D011900 0 048 D021900 0.000 048 E011900 0 048 E021900 0.000 048 F011900 0 048 F021900 0.000 048 G011900 0 048 G021900 0.000 048 H011900 0 048 H021900 0.000 048 I011900 0 048 I021900 0.000 048 J011900 0 048 J021900 0.000 048 K011900 0 048 K021900 0.000 058 A001900 N 059 001900 Y 060 A001900 N 060 B001900 N 061 001900 1000000 062 A001900 Y 062 B001900 0.0 062 C001900 0.0 062 D001900 0.3 062 E001900 0.0 062 F001900 0.0 062 G001900 0.0 062 H001900 0.0 062 I001900 0.0 062 J001900 0.0 062 K001900 0.0 062 L001900 0.0 062 M001900 0.3 062 N001900 48.4 062 O001900 0.0 062 P001900 3.0 062 Q001900 3.3 062 R001900 42.4 PAGE 83 063 A001900 0 063 B001900 19.2 064 A001900 N 064 B001900 N 066 A001900 N 067 001900 N 068 A001900 N 068 B001900 N 069 001900 N 070 A011900 Y 070 A021900 Y 070 B011900 Y 070 B021900 N 070 C011900 Y 070 C021900 Y 070 D011900 Y 070 D021900 N 070 E011900 Y 070 E021900 Y 070 F011900 Y 070 F021900 N 070 G011900 Y 070 G021900 Y 070 H011900 Y 070 H021900 N 070 I011900 N 070 I021900 N 070 J011900 Y 070 J021900 N 070 K011900 Y 070 K021900 Y 070 L011900 Y 070 L021900 Y 070 M011900 Y 070 M021900 N 070 N011900 Y 070 N021900 Y 070 O011900 Y 070 O021900 Y 070 P011900 N 070 P021900 N 070 Q011900 N 070 Q021900 N 070 R011900 N 070 R021900 N 071 A001900 102552 071 B001900 104097 071 C001900 158668 071 D001900 65 072 A001900 12 072 B001900 8357 PAGE 84 072 C001900 2469 072 D001900 0 072 E001900 0 072 F001900 161 072 G001900 0 072 H001900 0 072 I001900 0 072 J001900 26 072 K001900 0 072 L001900 0 072 M001900 1 072 N001900 0 072 O001900 0 072 P001900 111 072 Q001900 0 072 R001900 36 072 S001900 6 072 T001900 0 072 U001900 0 072 V001900 0 072 W001900 245 072 X001900 586 072 Y001900 72 072 Z001900 10312 072AA001900 6292 072BB001900 0 072CC011900 5617 072CC021900 0 072DD011900 9785 072DD021900 0 072EE001900 0 073 A011900 0.5800 073 A021900 0.0000 073 B001900 0.0000 073 C001900 0.0000 074 A001900 300 074 B001900 450 074 C001900 0 074 D001900 93800 074 E001900 7874 074 F001900 0 074 G001900 0 074 H001900 0 074 I001900 64503 074 J001900 0 074 K001900 3 074 L001900 3673 074 M001900 0 074 N001900 170603 074 O001900 0 074 P001900 33 PAGE 85 074 Q001900 0 074 R011900 0 074 R021900 0 074 R031900 0 074 R041900 36 074 S001900 0 074 T001900 170534 074 U011900 17090 074 U021900 0 074 V011900 9.98 074 V021900 0.00 074 W001900 0.0000 074 X001900 51 074 Y001900 852 075 A001900 0 075 B001900 160789 076 001900 0.00 008 A002001 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B002001 A 008 C002001 801-6003 008 D012001 BOSTON 008 D022001 MA 008 D032001 02110 012 A002001 INVESTORS BANK & TRUST COMPANY 012 B002001 85-720 012 C012001 BOSTON 012 C022001 MA 012 C032001 02116 015 A002001 INVESTORS BANK & TRUST COMPANY 015 B002001 C 015 C012001 BOSTON 015 C022001 MA 015 C032001 02116 015 E012001 X 024 002000 Y 025 A002001 MORGAN STANLEY & CO 025 C002001 D 025 D002001 697 025 D002002 0 025 D002003 0 025 D002004 0 025 D002005 0 025 D002006 0 025 D002007 0 025 D002008 0 028 A012000 0 028 A022000 0 028 A032000 0 028 A042000 0 028 B012000 0 028 B022000 0 PAGE 86 028 B032000 0 028 B042000 81 028 C012000 0 028 C022000 0 028 C032000 0 028 C042000 2260 028 D012000 11 028 D022000 16064 028 D032000 0 028 D042000 52574 028 E012000 0 028 E022000 0 028 E032000 0 028 E042000 152 028 F012000 1325 028 F022000 7217 028 F032000 0 028 F042000 256447 028 G012000 1336 028 G022000 23281 028 G032000 0 028 G042000 311514 028 H002000 0 037 002000 N 038 002000 0 039 002000 N 040 002000 N 041 002000 N 045 002000 Y 046 002000 N 047 002000 Y 048 002000 0.250 048 A012000 0 048 A022000 0.000 048 B012000 0 048 B022000 0.000 048 C012000 0 048 C022000 0.000 048 D012000 0 048 D022000 0.000 048 E012000 0 048 E022000 0.000 048 F012000 0 048 F022000 0.000 048 G012000 0 048 G022000 0.000 048 H012000 0 048 H022000 0.000 048 I012000 0 048 I022000 0.000 048 J012000 0 PAGE 87 048 J022000 0.000 048 K012000 0 048 K022000 0.000 058 A002000 N 059 002000 Y 060 A002000 N 060 B002000 N 061 002000 1000000 062 A002000 Y 062 B002000 0.0 062 C002000 0.0 062 D002000 3.9 062 E002000 0.0 062 F002000 0.0 062 G002000 0.0 062 H002000 0.0 062 I002000 0.0 062 J002000 0.0 062 K002000 0.6 062 L002000 0.0 062 M002000 6.1 062 N002000 0.0 062 O002000 0.0 062 P002000 0.0 062 Q002000 1.1 062 R002000 37.2 063 A002000 0 063 B002000 7.9 064 A002000 N 064 B002000 N 066 A002000 N 067 002000 N 068 A002000 N 068 B002000 Y 069 002000 N 070 A012000 Y 070 A022000 Y 070 B012000 Y 070 B022000 N 070 C012000 Y 070 C022000 Y 070 D012000 Y 070 D022000 N 070 E012000 Y 070 E022000 Y 070 F012000 Y 070 F022000 N 070 G012000 Y 070 G022000 Y 070 H012000 Y 070 H022000 N PAGE 88 070 I012000 N 070 I022000 N 070 J012000 Y 070 J022000 N 070 K012000 Y 070 K022000 Y 070 L012000 Y 070 L022000 Y 070 M012000 Y 070 M022000 Y 070 N012000 Y 070 N022000 Y 070 O012000 Y 070 O022000 Y 070 P012000 N 070 P022000 N 070 Q012000 N 070 Q022000 N 070 R012000 N 070 R022000 N 071 A002000 314406 071 B002000 583729 071 C002000 261967 071 D002000 120 072 A002000 12 072 B002000 13000 072 C002000 5465 072 D002000 0 072 E002000 0 072 F002000 725 072 G002000 0 072 H002000 0 072 I002000 0 072 J002000 132 072 K002000 0 072 L002000 0 072 M002000 3 072 N002000 0 072 O002000 0 072 P002000 0 072 Q002000 0 072 R002000 58 072 S002000 12 072 T002000 0 072 U002000 0 072 V002000 0 072 W002000 439 072 X002000 1369 072 Y002000 208 072 Z002000 17304 072AA002000 0 PAGE 89 072BB002000 1989 072CC012000 20344 072CC022000 0 072DD012000 32249 072DD022000 0 072EE002000 3133 073 A012000 0.9140 073 A022000 0.0000 073 B002000 0.1030 073 C002000 0.0000 074 A002000 2081 074 B002000 697 074 C002000 0 074 D002000 1307 074 E002000 0 074 F002000 0 074 G002000 0 074 H002000 0 074 I002000 6846 074 J002000 6142 074 K002000 6 074 L002000 1189 074 M002000 0 074 N002000 18268 074 O002000 0 074 P002000 80 074 Q002000 0 074 R012000 0 074 R022000 0 074 R032000 4 074 R042000 82 074 S002000 0 074 T002000 18102 074 U012000 1863 074 U022000 0 074 V012000 9.72 074 V022000 0.00 074 W002000 0.0000 074 X002000 22 074 Y002000 1103 075 A002000 0 075 B002000 290145 076 002000 0.00 008 A002101 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B002101 A 008 C002101 801-6003 008 D012101 BOSTON 008 D022101 MA 008 D032101 02110 012 A002101 INVESTORS BANK & TRUST COMPANY 012 B002101 85-720 PAGE 90 012 C012101 BOSTON 012 C022101 MA 012 C032101 02116 015 A002101 BROWN BROTHERS HARRIMAN & CO. 015 B002101 C 015 C012101 BOSTON 015 C022101 MA 015 C032101 02109 015 E012101 X 024 002100 Y 025 A002101 UBS AG 025 C002101 E 025 D002101 395 025 A002102 DELETE 025 D002102 0 025 D002103 0 025 D002104 0 025 D002105 0 025 D002106 0 025 D002107 0 025 D002108 0 028 A012100 0 028 A022100 0 028 A032100 0 028 A042100 613 028 B012100 0 028 B022100 0 028 B032100 0 028 B042100 410 028 C012100 0 028 C022100 0 028 C032100 0 028 C042100 6824 028 D012100 768 028 D022100 0 028 D032100 0 028 D042100 6424 028 E012100 6 028 E022100 14819 028 E032100 0 028 E042100 1 028 F012100 0 028 F022100 0 028 F032100 0 028 F042100 230 028 G012100 774 028 G022100 14819 028 G032100 0 028 G042100 14502 028 H002100 0 037 002100 N PAGE 91 038 002100 0 039 002100 N 040 002100 N 041 002100 N 045 002100 Y 046 002100 N 047 002100 Y 048 002100 0.540 048 A012100 0 048 A022100 0.000 048 B012100 0 048 B022100 0.000 048 C012100 0 048 C022100 0.000 048 D012100 0 048 D022100 0.000 048 E012100 0 048 E022100 0.000 048 F012100 0 048 F022100 0.000 048 G012100 0 048 G022100 0.000 048 H012100 0 048 H022100 0.000 048 I012100 0 048 I022100 0.000 048 J012100 0 048 J022100 0.000 048 K012100 0 048 K022100 0.000 058 A002100 N 059 002100 Y 060 A002100 N 060 B002100 N 061 002100 1000000 062 A002100 N 062 B002100 0.0 062 C002100 0.0 062 D002100 0.0 062 E002100 0.0 062 F002100 0.0 062 G002100 0.0 062 H002100 0.0 062 I002100 0.0 062 J002100 0.0 062 K002100 0.0 062 L002100 0.0 062 M002100 0.0 062 N002100 0.0 062 O002100 0.0 062 P002100 0.0 PAGE 92 062 Q002100 0.0 062 R002100 0.0 066 A002100 Y 066 B002100 N 066 C002100 N 066 D002100 N 066 E002100 N 066 F002100 N 066 G002100 Y 067 002100 N 068 A002100 N 068 B002100 Y 069 002100 N 070 A012100 Y 070 A022100 N 070 B012100 Y 070 B022100 N 070 C012100 N 070 C022100 N 070 D012100 Y 070 D022100 N 070 E012100 N 070 E022100 N 070 F012100 Y 070 F022100 Y 070 G012100 Y 070 G022100 N 070 H012100 Y 070 H022100 N 070 I012100 N 070 I022100 N 070 J012100 Y 070 J022100 N 070 K012100 Y 070 K022100 N 070 L012100 Y 070 L022100 Y 070 M012100 Y 070 M022100 Y 070 N012100 Y 070 N022100 Y 070 O012100 Y 070 O022100 N 070 P012100 N 070 P022100 N 070 Q012100 N 070 Q022100 N 070 R012100 N 070 R022100 N 071 A002100 43940 071 B002100 70179 PAGE 93 071 C002100 113607 071 D002100 39 072 A002100 12 072 B002100 422 072 C002100 2920 072 D002100 0 072 E002100 0 072 F002100 645 072 G002100 0 072 H002100 0 072 I002100 42 072 J002100 339 072 K002100 0 072 L002100 0 072 M002100 1 072 N002100 0 072 O002100 0 072 P002100 0 072 Q002100 0 072 R002100 61 072 S002100 4 072 T002100 0 072 U002100 0 072 V002100 0 072 W002100 149 072 X002100 1241 072 Y002100 450 072 Z002100 2551 072AA002100 15032 072BB002100 0 072CC012100 983 072CC022100 0 072DD012100 958 072DD022100 1256 072EE002100 22683 073 A012100 0.2120 073 A022100 0.2230 073 B002100 2.1540 073 C002100 0.0000 074 A002100 99 074 B002100 0 074 C002100 532 074 D002100 0 074 E002100 1384 074 F002100 102233 074 G002100 0 074 H002100 0 074 I002100 5095 074 J002100 1 074 K002100 35 074 L002100 1178 PAGE 94 074 M002100 229 074 N002100 110786 074 O002100 0 074 P002100 55 074 Q002100 0 074 R012100 0 074 R022100 0 074 R032100 0 074 R042100 1388 074 S002100 0 074 T002100 109343 074 U012100 5334 074 U022100 6501 074 V012100 9.25 074 V022100 9.23 074 W002100 0.0000 074 X002100 29 074 Y002100 1782 075 A002100 0 075 B002100 119532 076 002100 0.00 008 A002201 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B002201 A 008 C002201 801-6003 008 D012201 BOSTON 008 D022201 MA 008 D032201 02110 012 A002201 INVESTORS BANK & TRUST COMPANY 012 B002201 85-720 012 C012201 BOSTON 012 C022201 MA 012 C032201 02116 015 A002201 INVESTORS BANK & TRUST COMPANY 015 B002201 C 015 C012201 BOSTON 015 C022201 MA 015 C032201 02116 015 E012201 X 024 002200 Y 025 A002201 MORGAN STANLEY & CO 025 C002201 D 025 D002201 1 025 D002202 0 025 D002203 0 025 D002204 0 025 D002205 0 025 D002206 0 025 D002207 0 025 D002208 0 028 A012200 0 028 A022200 0 PAGE 95 028 A032200 0 028 A042200 556 028 B012200 12980 028 B022200 0 028 B032200 0 028 B042200 9 028 C012200 68701 028 C022200 0 028 C032200 0 028 C042200 0 028 D012200 0 028 D022200 0 028 D032200 0 028 D042200 840 028 E012200 14 028 E022200 0 028 E032200 0 028 E042200 163 028 F012200 1 028 F022200 0 028 F032200 0 028 F042200 5000 028 G012200 81696 028 G022200 0 028 G032200 0 028 G042200 6568 028 H002200 0 037 002200 N 038 002200 0 039 002200 N 040 002200 N 041 002200 N 045 002200 Y 046 002200 N 047 002200 Y 048 002200 0.190 048 A012200 0 048 A022200 0.000 048 B012200 0 048 B022200 0.000 048 C012200 0 048 C022200 0.000 048 D012200 0 048 D022200 0.000 048 E012200 0 048 E022200 0.000 048 F012200 0 048 F022200 0.000 048 G012200 0 048 G022200 0.000 048 H012200 0 PAGE 96 048 H022200 0.000 048 I012200 0 048 I022200 0.000 048 J012200 0 048 J022200 0.000 048 K012200 0 048 K022200 0.000 058 A002200 N 059 002200 Y 060 A002200 N 060 B002200 N 061 002200 1000000 062 A002200 Y 062 B002200 0.0 062 C002200 0.0 062 D002200 0.0 062 E002200 0.0 062 F002200 0.0 062 G002200 0.0 062 H002200 0.0 062 I002200 0.4 062 J002200 0.0 062 K002200 0.5 062 L002200 0.0 062 M002200 0.0 062 N002200 0.0 062 O002200 0.0 062 P002200 1.5 062 Q002200 2.0 062 R002200 96.3 063 A002200 0 063 B002200 3.4 064 A002200 N 064 B002200 N 066 A002200 N 067 002200 N 068 A002200 N 068 B002200 N 069 002200 N 070 A012200 Y 070 A022200 Y 070 B012200 Y 070 B022200 N 070 C012200 Y 070 C022200 Y 070 D012200 Y 070 D022200 N 070 E012200 Y 070 E022200 Y 070 F012200 Y 070 F022200 N PAGE 97 070 G012200 Y 070 G022200 Y 070 H012200 Y 070 H022200 N 070 I012200 N 070 I022200 N 070 J012200 Y 070 J022200 N 070 K012200 Y 070 K022200 Y 070 L012200 Y 070 L022200 Y 070 M012200 Y 070 M022200 Y 070 N012200 Y 070 N022200 Y 070 O012200 Y 070 O022200 Y 070 P012200 N 070 P022200 N 070 Q012200 N 070 Q022200 N 070 R012200 N 070 R022200 N 071 A002200 179051 071 B002200 77475 071 C002200 219468 071 D002200 35 072 A002200 12 072 B002200 1859 072 C002200 10722 072 D002200 0 072 E002200 0 072 F002200 422 072 G002200 0 072 H002200 0 072 I002200 0 072 J002200 86 072 K002200 0 072 L002200 0 072 M002200 2 072 N002200 0 072 O002200 0 072 P002200 0 072 Q002200 0 072 R002200 61 072 S002200 9 072 T002200 0 072 U002200 0 072 V002200 0 072 W002200 327 PAGE 98 072 X002200 907 072 Y002200 181 072 Z002200 11855 072AA002200 0 072BB002200 4946 072CC012200 11154 072CC022200 0 072DD012200 0 072DD022200 0 072EE002200 0 073 A012200 0.0000 073 A022200 0.0000 073 B002200 0.0000 073 C002200 0.0000 074 A002200 0 074 B002200 1 074 C002200 0 074 D002200 10285 074 E002200 0 074 F002200 0 074 G002200 0 074 H002200 0 074 I002200 282755 074 J002200 3800 074 K002200 18 074 L002200 4020 074 M002200 0 074 N002200 300879 074 O002200 0 074 P002200 75 074 Q002200 0 074 R012200 0 074 R022200 0 074 R032200 53 074 R042200 9639 074 S002200 0 074 T002200 291112 074 U012200 29004 074 U022200 0 074 V012200 10.04 074 V022200 0.00 074 W002200 0.0000 074 X002200 26 074 Y002200 4788 075 A002200 0 075 B002200 221857 076 002200 0.00 008 A002301 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B002301 A 008 C002301 801-6003 008 D012301 BOSTON PAGE 99 008 D022301 MA 008 D032301 02110 012 A002301 INVESTORS BANK & TRUST COMPANY 012 B002301 85-720 012 C012301 BOSTON 012 C022301 MA 012 C032301 02116 015 A002301 INVESTORS BANK & TRUST COMPANY 015 B002301 C 015 C012301 BOSTON 015 C022301 MA 015 C032301 02116 015 E012301 X 024 002300 N 025 A002301 DELETE 025 D002301 0 025 D002302 0 025 D002303 0 025 D002304 0 025 D002305 0 025 D002306 0 025 D002307 0 025 D002308 0 028 A012300 550 028 A022300 0 028 A032300 0 028 A042300 157 028 B012300 216 028 B022300 0 028 B032300 0 028 B042300 921 028 C012300 450 028 C022300 0 028 C032300 0 028 C042300 155 028 D012300 1936 028 D022300 0 028 D032300 0 028 D042300 1665 028 E012300 1801 028 E022300 0 028 E032300 0 028 E042300 1331 028 F012300 344 028 F022300 0 028 F032300 0 028 F042300 1445 028 G012300 5297 028 G022300 0 028 G032300 0 028 G042300 5674 PAGE 100 028 H002300 0 037 002300 Y 038 002300 143 039 002300 N 040 002300 N 041 002300 N 045 002300 Y 046 002300 N 047 002300 Y 048 002300 0.540 048 A012300 0 048 A022300 0.000 048 B012300 0 048 B022300 0.000 048 C012300 0 048 C022300 0.000 048 D012300 0 048 D022300 0.000 048 E012300 0 048 E022300 0.000 048 F012300 0 048 F022300 0.000 048 G012300 0 048 G022300 0.000 048 H012300 0 048 H022300 0.000 048 I012300 0 048 I022300 0.000 048 J012300 0 048 J022300 0.000 048 K012300 0 048 K022300 0.000 058 A002300 N 059 002300 Y 060 A002300 N 060 B002300 N 061 002300 1000000 062 A002300 N 062 B002300 0.0 062 C002300 0.0 062 D002300 0.0 062 E002300 0.0 062 F002300 0.0 062 G002300 0.0 062 H002300 0.0 062 I002300 0.0 062 J002300 0.0 062 K002300 0.0 062 L002300 0.0 062 M002300 0.0 062 N002300 0.0 PAGE 101 062 O002300 0.0 062 P002300 0.0 062 Q002300 0.0 062 R002300 0.0 066 A002300 Y 066 B002300 N 066 C002300 N 066 D002300 N 066 E002300 N 066 F002300 N 066 G002300 Y 067 002300 N 068 A002300 N 068 B002300 N 069 002300 N 070 A012300 Y 070 A022300 Y 070 B012300 Y 070 B022300 N 070 C012300 N 070 C022300 N 070 D012300 Y 070 D022300 N 070 E012300 Y 070 E022300 N 070 F012300 Y 070 F022300 N 070 G012300 Y 070 G022300 N 070 H012300 Y 070 H022300 N 070 I012300 N 070 I022300 N 070 J012300 Y 070 J022300 N 070 K012300 Y 070 K022300 Y 070 L012300 Y 070 L022300 Y 070 M012300 Y 070 M022300 N 070 N012300 Y 070 N022300 Y 070 O012300 Y 070 O022300 N 070 P012300 N 070 P022300 N 070 Q012300 N 070 Q022300 N 070 R012300 N 070 R022300 N PAGE 102 071 A002300 14570 071 B002300 31713 071 C002300 126934 071 D002300 11 072 A002300 12 072 B002300 215 072 C002300 8422 072 D002300 0 072 E002300 0 072 F002300 714 072 G002300 0 072 H002300 0 072 I002300 0 072 J002300 23 072 K002300 0 072 L002300 0 072 M002300 1 072 N002300 0 072 O002300 0 072 P002300 0 072 Q002300 0 072 R002300 38 072 S002300 4 072 T002300 0 072 U002300 0 072 V002300 0 072 W002300 202 072 X002300 982 072 Y002300 70 072 Z002300 7725 072AA002300 0 072BB002300 4970 072CC012300 33053 072CC022300 0 072DD012300 6732 072DD022300 0 072EE002300 0 073 A012300 0.4660 073 A022300 0.0000 073 B002300 0.0000 073 C002300 0.0000 074 A002300 0 074 B002300 5683 074 C002300 0 074 D002300 0 074 E002300 0 074 F002300 127667 074 G002300 0 074 H002300 0 074 I002300 5842 074 J002300 53 PAGE 103 074 K002300 7 074 L002300 119 074 M002300 0 074 N002300 139371 074 O002300 0 074 P002300 71 074 Q002300 0 074 R012300 0 074 R022300 0 074 R032300 0 074 R042300 5880 074 S002300 0 074 T002300 133420 074 U012300 12943 074 U022300 0 074 V012300 10.31 074 V022300 0.00 074 W002300 0.0000 074 X002300 130 074 Y002300 5842 075 A002300 0 075 B002300 132146 076 002300 0.00 008 A002401 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B002401 A 008 C002401 801-6003 008 D012401 BOSTON 008 D022401 MA 008 D032401 02110 012 A002401 INVESTORS BANK & TRUST COMPANY 012 B002401 85-720 012 C012401 BOSTON 012 C022401 MA 012 C032401 02116 015 A002401 BROWN BROTHERS HARRIMAN & CO 015 B002401 C 015 C012401 BOSTON 015 C022401 MA 015 C032401 02109 015 E012401 X 024 002400 N 025 D002401 0 025 D002402 0 025 D002403 0 025 D002404 0 025 D002405 0 025 D002406 0 025 D002407 0 025 D002408 0 028 A012400 40003 028 A022400 0 PAGE 104 028 A032400 0 028 A042400 35211 028 B012400 7 028 B022400 0 028 B032400 0 028 B042400 1673 028 C012400 31798 028 C022400 0 028 C032400 0 028 C042400 12653 028 D012400 39276 028 D022400 105865 028 D032400 0 028 D042400 2050 028 E012400 3498 028 E022400 0 028 E032400 0 028 E042400 2425 028 F012400 9875 028 F022400 0 028 F032400 0 028 F042400 6646 028 G012400 124457 028 G022400 105865 028 G032400 0 028 G042400 60658 028 H002400 0 037 002400 N 038 002400 0 039 002400 N 040 002400 N 041 002400 N 045 002400 Y 046 002400 N 047 002400 Y 048 002400 0.600 048 A012400 0 048 A022400 0.000 048 B012400 0 048 B022400 0.000 048 C012400 0 048 C022400 0.000 048 D012400 0 048 D022400 0.000 048 E012400 0 048 E022400 0.000 048 F012400 0 048 F022400 0.000 048 G012400 0 048 G022400 0.000 048 H012400 0 PAGE 105 048 H022400 0.000 048 I012400 0 048 I022400 0.000 048 J012400 0 048 J022400 0.000 048 K012400 0 048 K022400 0.000 058 A002400 N 059 002400 Y 060 A002400 N 060 B002400 N 061 002400 1000000 062 A002400 N 062 B002400 0.0 062 C002400 0.0 062 D002400 0.0 062 E002400 0.0 062 F002400 0.0 062 G002400 0.0 062 H002400 0.0 062 I002400 0.0 062 J002400 0.0 062 K002400 0.0 062 L002400 0.0 062 M002400 0.0 062 N002400 0.0 062 O002400 0.0 062 P002400 0.0 062 Q002400 0.0 062 R002400 0.0 066 A002400 Y 066 B002400 N 066 C002400 N 066 D002400 N 066 E002400 N 066 F002400 N 066 G002400 Y 067 002400 N 068 A002400 N 068 B002400 Y 069 002400 N 070 A012400 Y 070 A022400 N 070 B012400 Y 070 B022400 N 070 C012400 N 070 C022400 N 070 D012400 Y 070 D022400 N 070 E012400 N 070 E022400 N PAGE 106 070 F012400 Y 070 F022400 N 070 G012400 Y 070 G022400 N 070 H012400 Y 070 H022400 N 070 I012400 N 070 I022400 N 070 J012400 Y 070 J022400 Y 070 K012400 Y 070 K022400 Y 070 L012400 Y 070 L022400 Y 070 M012400 Y 070 M022400 Y 070 N012400 Y 070 N022400 Y 070 O012400 Y 070 O022400 N 070 P012400 N 070 P022400 N 070 Q012400 N 070 Q022400 N 070 R012400 N 070 R022400 N 071 A002400 447314 071 B002400 433968 071 C002400 1145635 071 D002400 38 072 A002400 12 072 B002400 3259 072 C002400 26490 072 D002400 0 072 E002400 0 072 F002400 7255 072 G002400 0 072 H002400 0 072 I002400 49 072 J002400 915 072 K002400 0 072 L002400 0 072 M002400 12 072 N002400 5 072 O002400 0 072 P002400 0 072 Q002400 0 072 R002400 57 072 S002400 56 072 T002400 0 072 U002400 0 PAGE 107 072 V002400 0 072 W002400 1824 072 X002400 10173 072 Y002400 1118 072 Z002400 20694 072AA002400 123306 072BB002400 0 072CC012400 0 072CC022400 164573 072DD012400 23220 072DD022400 4782 072EE002400 138349 073 A012400 0.2940 073 A022400 0.3020 073 B002400 1.4290 073 C002400 0.0000 074 A002400 84 074 B002400 0 074 C002400 0 074 D002400 2996 074 E002400 23695 074 F002400 1106026 074 G002400 0 074 H002400 0 074 I002400 88278 074 J002400 3979 074 K002400 47 074 L002400 3463 074 M002400 59077 074 N002400 1287645 074 O002400 5732 074 P002400 713 074 Q002400 0 074 R012400 0 074 R022400 0 074 R032400 0 074 R042400 55553 074 S002400 0 074 T002400 1225647 074 U012400 90859 074 U022400 12868 074 V012400 11.22 074 V022400 11.22 074 W002400 0.0000 074 X002400 120 074 Y002400 55269 075 A002400 0 075 B002400 1209241 076 002400 0.00 008 A002501 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B002501 A PAGE 108 008 C002501 801-6003 008 D012501 BOSTON 008 D022501 MA 008 D032501 02110 012 A002501 INVESTORS BANK & TRUST COMPANY 012 B002501 85-720 012 C012501 BOSTON 012 C022501 MA 012 C032501 02116 015 A002501 INVESTORS BANK & TRUST COMPANY 015 B002501 C 015 C012501 BOSTON 015 C022501 MA 015 C032501 02116 015 E012501 X 024 002500 N 025 A002501 DELETE 025 D002501 0 025 D002502 0 025 D002503 0 025 D002504 0 025 D002505 0 025 D002506 0 025 D002507 0 025 D002508 0 028 A012500 0 028 A022500 0 028 A032500 0 028 A042500 0 028 B012500 0 028 B022500 0 028 B032500 0 028 B042500 0 028 C012500 0 028 C022500 0 028 C032500 0 028 C042500 0 028 D012500 5 028 D022500 0 028 D032500 0 028 D042500 0 028 E012500 0 028 E022500 0 028 E032500 0 028 E042500 0 028 F012500 0 028 F022500 0 028 F032500 0 028 F042500 0 028 G012500 5 028 G022500 0 PAGE 109 028 G032500 0 028 G042500 0 028 H002500 0 037 002500 N 038 002500 0 039 002500 N 040 002500 N 041 002500 N 045 002500 Y 046 002500 N 048 002500 0.000 048 A012500 0 048 A022500 0.000 048 B012500 0 048 B022500 0.000 048 C012500 0 048 C022500 0.000 048 D012500 0 048 D022500 0.000 048 E012500 0 048 E022500 0.000 048 F012500 0 048 F022500 0.000 048 G012500 0 048 G022500 0.000 048 H012500 0 048 H022500 0.000 048 I012500 0 048 I022500 0.000 048 J012500 0 048 J022500 0.000 048 K012500 0 048 K022500 0.000 058 A002500 N 059 002500 Y 060 A002500 Y 060 B002500 Y 061 002500 1000000 062 A002500 N 062 B002500 0.0 062 C002500 0.0 062 D002500 0.0 062 E002500 0.0 062 F002500 0.0 062 G002500 0.0 062 H002500 0.0 062 I002500 0.0 062 J002500 0.0 062 K002500 0.0 062 L002500 0.0 062 M002500 0.0 PAGE 110 062 N002500 0.0 062 O002500 0.0 062 P002500 0.0 062 Q002500 0.0 062 R002500 0.0 066 A002500 Y 066 B002500 N 066 C002500 N 066 D002500 N 066 E002500 N 066 F002500 N 066 G002500 Y 067 002500 N 068 A002500 N 068 B002500 N 069 002500 N 070 A012500 Y 070 A022500 Y 070 B012500 N 070 B022500 N 070 C012500 N 070 C022500 N 070 D012500 N 070 D022500 N 070 E012500 N 070 E022500 N 070 F012500 N 070 F022500 N 070 G012500 N 070 G022500 N 070 H012500 N 070 H022500 N 070 I012500 N 070 I022500 N 070 J012500 N 070 J022500 N 070 K012500 Y 070 K022500 Y 070 L012500 N 070 L022500 N 070 M012500 N 070 M022500 N 070 N012500 N 070 N022500 N 070 O012500 N 070 O022500 N 070 P012500 N 070 P022500 N 070 Q012500 N 070 Q022500 N 070 R012500 N PAGE 111 070 R022500 N 071 A002500 2042 071 B002500 1327 071 C002500 10966 071 D002500 12 072 A002500 12 072 B002500 1 072 C002500 252 072 D002500 0 072 E002500 0 072 F002500 0 072 G002500 0 072 H002500 0 072 I002500 0 072 J002500 3 072 K002500 0 072 L002500 0 072 M002500 0 072 N002500 1 072 O002500 0 072 P002500 0 072 Q002500 0 072 R002500 17 072 S002500 0 072 T002500 0 072 U002500 0 072 V002500 0 072 W002500 1 072 X002500 22 072 Y002500 22 072 Z002500 253 072AA002500 896 072BB002500 0 072CC012500 0 072CC022500 684 072DD012500 433 072DD022500 0 072EE002500 0 073 A012500 0.3580 073 A022500 0.0000 073 B002500 0.0000 073 C002500 0.0000 074 A002500 0 074 B002500 11 074 C002500 0 074 D002500 0 074 E002500 0 074 F002500 0 074 G002500 0 074 H002500 0 074 I002500 11020 PAGE 112 074 J002500 0 074 K002500 2 074 L002500 0 074 M002500 0 074 N002500 11033 074 O002500 0 074 P002500 0 074 Q002500 0 074 R012500 0 074 R022500 0 074 R032500 0 074 R042500 12 074 S002500 0 074 T002500 11021 074 U012500 1226 074 U022500 0 074 V012500 8.99 074 V022500 0.00 074 W002500 0.0000 074 X002500 6 074 Y002500 0 075 A002500 0 075 B002500 10971 076 002500 0.00 008 A002601 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B002601 A 008 C002601 801-6003 008 D012601 BOSTON 008 D022601 MA 008 D032601 02110 012 A002601 INVESTORS BANK & TRUST COMPANY 012 B002601 85-720 012 C012601 BOSTON 012 C022601 MA 012 C032601 02116 015 A002601 INVESTORS BANK & TRUST COMPANY 015 B002601 C 015 C012601 BOSTON 015 C022601 MA 015 C032601 02116 015 E012601 X 024 002600 N 025 A002601 DELETE 025 D002601 0 025 D002602 0 025 D002603 0 025 D002604 0 025 D002605 0 025 D002606 0 025 D002607 0 025 D002608 0 PAGE 113 028 A012600 0 028 A022600 0 028 A032600 0 028 A042600 2200 028 B012600 39 028 B022600 0 028 B032600 0 028 B042600 212 028 C012600 0 028 C022600 0 028 C032600 0 028 C042600 200 028 D012600 15 028 D022600 8844 028 D032600 0 028 D042600 3800 028 E012600 13 028 E022600 0 028 E032600 0 028 E042600 10289 028 F012600 94 028 F022600 0 028 F032600 0 028 F042600 500 028 G012600 161 028 G022600 8844 028 G032600 0 028 G042600 17201 028 H002600 0 037 002600 Y 038 002600 12 039 002600 N 040 002600 N 041 002600 N 045 002600 Y 046 002600 N 048 002600 0.000 048 A012600 0 048 A022600 0.000 048 B012600 0 048 B022600 0.000 048 C012600 0 048 C022600 0.000 048 D012600 0 048 D022600 0.000 048 E012600 0 048 E022600 0.000 048 F012600 0 048 F022600 0.000 048 G012600 0 048 G022600 0.000 PAGE 114 048 H012600 0 048 H022600 0.000 048 I012600 0 048 I022600 0.000 048 J012600 0 048 J022600 0.000 048 K012600 0 048 K022600 0.000 058 A002600 N 059 002600 Y 060 A002600 Y 060 B002600 Y 061 002600 1000000 062 A002600 N 062 B002600 0.0 062 C002600 0.0 062 D002600 0.0 062 E002600 0.0 062 F002600 0.0 062 G002600 0.0 062 H002600 0.0 062 I002600 0.0 062 J002600 0.0 062 K002600 0.0 062 L002600 0.0 062 M002600 0.0 062 N002600 0.0 062 O002600 0.0 062 P002600 0.0 062 Q002600 0.0 062 R002600 0.0 066 A002600 Y 066 B002600 N 066 C002600 N 066 D002600 N 066 E002600 N 066 F002600 N 066 G002600 Y 067 002600 N 068 A002600 N 068 B002600 N 069 002600 N 070 A012600 Y 070 A022600 Y 070 B012600 N 070 B022600 N 070 C012600 N 070 C022600 N 070 D012600 N 070 D022600 N 070 E012600 N PAGE 115 070 E022600 N 070 F012600 N 070 F022600 N 070 G012600 N 070 G022600 N 070 H012600 N 070 H022600 N 070 I012600 N 070 I022600 N 070 J012600 N 070 J022600 N 070 K012600 Y 070 K022600 Y 070 L012600 N 070 L022600 N 070 M012600 N 070 M022600 N 070 N012600 N 070 N022600 N 070 O012600 N 070 O022600 N 070 P012600 N 070 P022600 N 070 Q012600 N 070 Q022600 N 070 R012600 N 070 R022600 N 071 A002600 31905 071 B002600 39611 071 C002600 121694 071 D002600 26 072 A002600 12 072 B002600 1 072 C002600 5031 072 D002600 0 072 E002600 0 072 F002600 0 072 G002600 0 072 H002600 0 072 I002600 0 072 J002600 17 072 K002600 0 072 L002600 0 072 M002600 1 072 N002600 1 072 O002600 0 072 P002600 0 072 Q002600 0 072 R002600 16 072 S002600 5 072 T002600 0 PAGE 116 072 U002600 0 072 V002600 0 072 W002600 3 072 X002600 43 072 Y002600 43 072 Z002600 5032 072AA002600 2887 072BB002600 0 072CC012600 4019 072CC022600 0 072DD012600 8823 072DD022600 0 072EE002600 2453 073 A012600 0.8220 073 A022600 0.0000 073 B002600 0.2290 073 C002600 0.0000 074 A002600 0 074 B002600 10 074 C002600 0 074 D002600 0 074 E002600 0 074 F002600 0 074 G002600 0 074 H002600 0 074 I002600 112686 074 J002600 0 074 K002600 3 074 L002600 23 074 M002600 0 074 N002600 112722 074 O002600 0 074 P002600 0 074 Q002600 0 074 R012600 0 074 R022600 0 074 R032600 0 074 R042600 18 074 S002600 0 074 T002600 112704 074 U012600 10439 074 U022600 0 074 V012600 10.80 074 V022600 0.00 074 W002600 0.0000 074 X002600 55 074 Y002600 0 075 A002600 0 075 B002600 121715 076 002600 0.00 008 A002701 GRANTHAM, MAYO, OTTERLOO & CO. PAGE 117 008 B002701 A 008 C002701 801-6003 008 D012701 BOSTON 008 D022701 MA 008 D032701 02110 012 A002701 INVESTORS BANK & TRUST COMPANY 012 B002701 85-720 012 C012701 BOSTON 012 C022701 MA 012 C032701 02116 015 A002701 INVESTORS BANK & TRUST COMPANY 015 B002701 C 015 C012701 BOSTON 015 C022701 MA 015 C032701 02116 015 E012701 X 024 002700 N 025 D002701 0 025 A002702 DELETE 025 D002702 0 025 D002703 0 025 D002704 0 025 D002705 0 025 D002706 0 025 D002707 0 025 D002708 0 028 A012700 2627 028 A022700 0 028 A032700 0 028 A042700 156 028 B012700 13 028 B022700 0 028 B032700 0 028 B042700 255 028 C012700 0 028 C022700 0 028 C032700 0 028 C042700 3 028 D012700 0 028 D022700 31779 028 D032700 0 028 D042700 625 028 E012700 9 028 E022700 0 028 E032700 0 028 E042700 7 028 F012700 4 028 F022700 0 028 F032700 0 028 F042700 9086 028 G012700 2653 PAGE 118 028 G022700 31779 028 G032700 0 028 G042700 10132 028 H002700 0 037 002700 Y 038 002700 507 039 002700 N 040 002700 N 041 002700 N 045 002700 Y 046 002700 N 047 002700 Y 048 002700 0.330 048 A012700 0 048 A022700 0.000 048 B012700 0 048 B022700 0.000 048 C012700 0 048 C022700 0.000 048 D012700 0 048 D022700 0.000 048 E012700 0 048 E022700 0.000 048 F012700 0 048 F022700 0.000 048 G012700 0 048 G022700 0.000 048 H012700 0 048 H022700 0.000 048 I012700 0 048 I022700 0.000 048 J012700 0 048 J022700 0.000 048 K012700 0 048 K022700 0.000 058 A002700 N 059 002700 Y 060 A002700 N 060 B002700 N 061 002700 1000000 062 A002700 N 062 B002700 0.0 062 C002700 0.0 062 D002700 0.0 062 E002700 0.0 062 F002700 0.0 062 G002700 0.0 062 H002700 0.0 062 I002700 0.0 062 J002700 0.0 062 K002700 0.0 PAGE 119 062 L002700 0.0 062 M002700 0.0 062 N002700 0.0 062 O002700 0.0 062 P002700 0.0 062 Q002700 0.0 062 R002700 0.0 066 A002700 Y 066 B002700 N 066 C002700 N 066 D002700 Y 066 E002700 N 066 F002700 N 066 G002700 N 067 002700 N 068 A002700 N 068 B002700 N 069 002700 N 070 A012700 Y 070 A022700 Y 070 B012700 Y 070 B022700 N 070 C012700 N 070 C022700 N 070 D012700 Y 070 D022700 N 070 E012700 N 070 E022700 N 070 F012700 Y 070 F022700 Y 070 G012700 Y 070 G022700 N 070 H012700 Y 070 H022700 N 070 I012700 N 070 I022700 N 070 J012700 Y 070 J022700 N 070 K012700 Y 070 K022700 Y 070 L012700 Y 070 L022700 N 070 M012700 N 070 M022700 N 070 N012700 Y 070 N022700 Y 070 O012700 Y 070 O022700 N 070 P012700 N 070 P022700 N 070 Q012700 N PAGE 120 070 Q022700 N 070 R012700 N 070 R022700 N 071 A002700 67530 071 B002700 164526 071 C002700 45575 071 D002700 147 072 A002700 12 072 B002700 120 072 C002700 61 072 D002700 0 072 E002700 0 072 F002700 153 072 G002700 0 072 H002700 0 072 I002700 0 072 J002700 47 072 K002700 0 072 L002700 0 072 M002700 1 072 N002700 0 072 O002700 0 072 P002700 0 072 Q002700 0 072 R002700 35 072 S002700 2 072 T002700 0 072 U002700 0 072 V002700 0 072 W002700 71 072 X002700 309 072 Y002700 86 072 Z002700 -42 072AA002700 34531 072BB002700 0 072CC012700 0 072CC022700 53341 072DD012700 0 072DD022700 0 072EE002700 40403 073 A012700 0.0000 073 A022700 0.0000 073 B002700 11.2320 073 C002700 0.0000 074 A002700 2 074 B002700 268 074 C002700 355 074 D002700 0 074 E002700 0 074 F002700 19384 074 G002700 0 PAGE 121 074 H002700 0 074 I002700 2190 074 J002700 0 074 K002700 0 074 L002700 4 074 M002700 0 074 N002700 22203 074 O002700 0 074 P002700 15 074 Q002700 0 074 R012700 0 074 R022700 0 074 R032700 0 074 R042700 2231 074 S002700 0 074 T002700 19957 074 U012700 1046 074 U022700 0 074 V012700 19.08 074 V022700 0.00 074 W002700 0.0000 074 X002700 38 074 Y002700 2544 075 A002700 0 075 B002700 46489 076 002700 0.00 008 A002801 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B002801 A 008 C002801 801-6003 008 D012801 BOSTON 008 D022801 MA 008 D032801 02110 012 A002801 INVESTORS BANK & TRUST COMPANY 012 B002801 85-720 012 C012801 BOSTON 012 C022801 MA 012 C032801 02116 015 A002801 INVESTORS BANK & TRUST COMPANY 015 B002801 C 015 C012801 BOSTON 015 C022801 MA 015 C032801 02116 015 E012801 X 024 002800 N 025 A002801 DELETE 025 D002801 0 025 D002802 0 025 D002803 0 025 D002804 0 025 D002805 0 025 D002806 0 PAGE 122 025 D002807 0 025 D002808 0 028 A012800 0 028 A022800 0 028 A032800 0 028 A042800 5 028 B012800 1000 028 B022800 0 028 B032800 0 028 B042800 1155 028 C012800 0 028 C022800 0 028 C032800 0 028 C042800 68 028 D012800 5 028 D022800 0 028 D032800 0 028 D042800 3001 028 E012800 0 028 E022800 0 028 E032800 0 028 E042800 1135 028 F012800 0 028 F022800 0 028 F032800 0 028 F042800 102 028 G012800 1005 028 G022800 0 028 G032800 0 028 G042800 5466 028 H002800 0 037 002800 Y 038 002800 3 039 002800 N 040 002800 N 041 002800 N 045 002800 Y 046 002800 N 048 002800 0.000 048 A012800 0 048 A022800 0.000 048 B012800 0 048 B022800 0.000 048 C012800 0 048 C022800 0.000 048 D012800 0 048 D022800 0.000 048 E012800 0 048 E022800 0.000 048 F012800 0 048 F022800 0.000 PAGE 123 048 G012800 0 048 G022800 0.000 048 H012800 0 048 H022800 0.000 048 I012800 0 048 I022800 0.000 048 J012800 0 048 J022800 0.000 048 K012800 0 048 K022800 0.000 058 A002800 N 059 002800 Y 060 A002800 Y 060 B002800 Y 061 002800 1000000 062 A002800 N 062 B002800 0.0 062 C002800 0.0 062 D002800 0.0 062 E002800 0.0 062 F002800 0.0 062 G002800 0.0 062 H002800 0.0 062 I002800 0.0 062 J002800 0.0 062 K002800 0.0 062 L002800 0.0 062 M002800 0.0 062 N002800 0.0 062 O002800 0.0 062 P002800 0.0 062 Q002800 0.0 062 R002800 0.0 066 A002800 Y 066 B002800 N 066 C002800 N 066 D002800 N 066 E002800 N 066 F002800 N 066 G002800 Y 067 002800 N 068 A002800 N 068 B002800 N 069 002800 N 070 A012800 Y 070 A022800 Y 070 B012800 N 070 B022800 N 070 C012800 N 070 C022800 N 070 D012800 N PAGE 124 070 D022800 N 070 E012800 N 070 E022800 N 070 F012800 N 070 F022800 N 070 G012800 N 070 G022800 N 070 H012800 N 070 H022800 N 070 I012800 N 070 I022800 N 070 J012800 N 070 J022800 N 070 K012800 Y 070 K022800 Y 070 L012800 N 070 L022800 N 070 M012800 N 070 M022800 N 070 N012800 N 070 N022800 N 070 O012800 N 070 O022800 N 070 P012800 N 070 P022800 N 070 Q012800 N 070 Q022800 N 070 R012800 N 070 R022800 N 071 A002800 12379 071 B002800 10297 071 C002800 76235 071 D002800 14 072 A002800 12 072 B002800 1 072 C002800 1237 072 D002800 0 072 E002800 0 072 F002800 0 072 G002800 0 072 H002800 0 072 I002800 0 072 J002800 11 072 K002800 0 072 L002800 0 072 M002800 1 072 N002800 2 072 O002800 0 072 P002800 0 072 Q002800 0 072 R002800 16 PAGE 125 072 S002800 3 072 T002800 0 072 U002800 0 072 V002800 0 072 W002800 2 072 X002800 35 072 Y002800 35 072 Z002800 1238 072AA002800 4187 072BB002800 0 072CC012800 0 072CC022800 4966 072DD012800 2346 072DD022800 0 072EE002800 0 073 A012800 0.2960 073 A022800 0.0000 073 B002800 0.0000 073 C002800 0.0000 074 A002800 0 074 B002800 10 074 C002800 0 074 D002800 0 074 E002800 0 074 F002800 0 074 G002800 0 074 H002800 0 074 I002800 72979 074 J002800 50 074 K002800 2 074 L002800 0 074 M002800 0 074 N002800 73041 074 O002800 0 074 P002800 0 074 Q002800 0 074 R012800 0 074 R022800 0 074 R032800 0 074 R042800 66 074 S002800 0 074 T002800 72975 074 U012800 7548 074 U022800 0 074 V012800 9.67 074 V022800 0.00 074 W002800 0.0000 074 X002800 22 074 Y002800 0 075 A002800 0 075 B002800 76390 PAGE 126 076 002800 0.00 008 A002901 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B002901 A 008 C002901 801-6003 008 D012901 BOSTON 008 D022901 MA 008 D032901 02110 012 A002901 INVESTORS BANK & TRUST COMPANY 012 B002901 85-720 012 C012901 BOSTON 012 C022901 MA 012 C032901 02116 015 A002901 INVESTORS BANK & TRUST COMPANY 015 B002901 C 015 C012901 BOSTON 015 C022901 MA 015 C032901 02116 015 E012901 X 024 002900 N 025 A002901 DELETE 025 D002901 0 025 D002902 0 025 D002903 0 025 D002904 0 025 D002905 0 025 D002906 0 025 D002907 0 025 D002908 0 028 A012900 1350 028 A022900 0 028 A032900 0 028 A042900 0 028 B012900 50 028 B022900 0 028 B032900 0 028 B042900 25 028 C012900 0 028 C022900 0 028 C032900 0 028 C042900 0 028 D012900 710 028 D022900 1759 028 D032900 0 028 D042900 0 028 E012900 0 028 E022900 0 028 E032900 0 028 E042900 78 028 F012900 13 028 F022900 0 028 F032900 0 PAGE 127 028 F042900 30 028 G012900 2123 028 G022900 1759 028 G032900 0 028 G042900 133 028 H002900 0 037 002900 Y 038 002900 2 039 002900 N 040 002900 N 041 002900 N 045 002900 Y 046 002900 N 048 002900 0.000 048 A012900 0 048 A022900 0.000 048 B012900 0 048 B022900 0.000 048 C012900 0 048 C022900 0.000 048 D012900 0 048 D022900 0.000 048 E012900 0 048 E022900 0.000 048 F012900 0 048 F022900 0.000 048 G012900 0 048 G022900 0.000 048 H012900 0 048 H022900 0.000 048 I012900 0 048 I022900 0.000 048 J012900 0 048 J022900 0.000 048 K012900 0 048 K022900 0.000 058 A002900 N 059 002900 Y 060 A002900 Y 060 B002900 Y 061 002900 1000000 062 A002900 N 062 B002900 0.0 062 C002900 0.0 062 D002900 0.0 062 E002900 0.0 062 F002900 0.0 062 G002900 0.0 062 H002900 0.0 062 I002900 0.0 062 J002900 0.0 PAGE 128 062 K002900 0.0 062 L002900 0.0 062 M002900 0.0 062 N002900 0.0 062 O002900 0.0 062 P002900 0.0 062 Q002900 0.0 062 R002900 0.0 063 A002900 0 063 B002900 0.0 066 A002900 Y 066 B002900 N 066 C002900 N 066 D002900 N 066 E002900 N 066 F002900 N 066 G002900 Y 067 002900 N 068 A002900 N 068 B002900 N 069 002900 N 070 A012900 Y 070 A022900 Y 070 B012900 N 070 B022900 N 070 C012900 N 070 C022900 N 070 D012900 N 070 D022900 N 070 E012900 N 070 E022900 N 070 F012900 N 070 F022900 N 070 G012900 N 070 G022900 N 070 H012900 N 070 H022900 N 070 I012900 N 070 I022900 N 070 J012900 N 070 J022900 N 070 K012900 Y 070 K022900 Y 070 L012900 N 070 L022900 N 070 M012900 N 070 M022900 N 070 N012900 N 070 N022900 N 070 O012900 N 070 O022900 N PAGE 129 070 P012900 N 070 P022900 N 070 Q012900 N 070 Q022900 N 070 R012900 N 070 R022900 N 071 A002900 16183 071 B002900 7765 071 C002900 41732 071 D002900 19 072 A002900 12 072 B002900 2 072 C002900 1074 072 D002900 0 072 E002900 0 072 F002900 0 072 G002900 0 072 H002900 0 072 I002900 0 072 J002900 7 072 K002900 0 072 L002900 0 072 M002900 0 072 N002900 1 072 O002900 0 072 P002900 0 072 Q002900 0 072 R002900 16 072 S002900 2 072 T002900 0 072 U002900 0 072 V002900 0 072 W002900 2 072 X002900 28 072 Y002900 28 072 Z002900 1076 072AA002900 3653 072BB002900 0 072CC012900 0 072CC022900 2331 072DD012900 2350 072DD022900 0 072EE002900 3040 073 A012900 0.5100 073 A022900 0.0000 073 B002900 0.6880 073 C002900 0.0000 074 A002900 0 074 B002900 10 074 C002900 0 074 D002900 0 PAGE 130 074 E002900 0 074 F002900 0 074 G002900 0 074 H002900 0 074 I002900 42778 074 J002900 0 074 K002900 2 074 L002900 0 074 M002900 0 074 N002900 42790 074 O002900 0 074 P002900 0 074 Q002900 0 074 R012900 0 074 R022900 0 074 R032900 0 074 R042900 14 074 S002900 0 074 T002900 42776 074 U012900 4793 074 U022900 0 074 V012900 8.92 074 V022900 0.00 074 W002900 0.0000 074 X002900 9 074 Y002900 0 075 A002900 0 075 B002900 42049 076 002900 0.00 008 A003101 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B003101 A 008 C003101 801-6003 008 D013101 BOSTON 008 D023101 MA 008 D033101 02110 012 A003101 INVESTORS BANK & TRUST COMPANY 012 B003101 85-720 012 C013101 BOSTON 012 C023101 MA 012 C033101 02116 015 A003101 INVESTORS BANK & TRUST COMPANY 015 B003101 C 015 C013101 BOSTON 015 C023101 MA 015 C033101 02116 015 E013101 X 024 003100 Y 025 A003101 JP MORGAN 025 C003101 D 025 D003101 1099 025 A003102 MORGAN STANLEY & CO PAGE 131 025 C003102 D 025 D003102 19 025 D003103 0 025 D003104 0 025 D003105 0 025 D003106 0 025 D003107 0 025 D003108 0 028 A013100 0 028 A023100 0 028 A033100 0 028 A043100 248 028 B013100 156 028 B023100 0 028 B033100 0 028 B043100 53 028 C013100 6576 028 C023100 0 028 C033100 0 028 C043100 36 028 D013100 112 028 D023100 2579 028 D033100 0 028 D043100 924 028 E013100 3717 028 E023100 0 028 E033100 0 028 E043100 1083 028 F013100 262 028 F023100 0 028 F033100 0 028 F043100 5715 028 G013100 10823 028 G023100 2579 028 G033100 0 028 G043100 8059 028 H003100 0 037 003100 N 038 003100 0 039 003100 N 040 003100 N 041 003100 N 045 003100 Y 046 003100 N 047 003100 Y 048 003100 0.100 048 A013100 0 048 A023100 0.000 048 B013100 0 048 B023100 0.000 048 C013100 0 PAGE 132 048 C023100 0.000 048 D013100 0 048 D023100 0.000 048 E013100 0 048 E023100 0.000 048 F013100 0 048 F023100 0.000 048 G013100 0 048 G023100 0.000 048 H013100 0 048 H023100 0.000 048 I013100 0 048 I023100 0.000 048 J013100 0 048 J023100 0.000 048 K013100 0 048 K023100 0.000 058 A003100 N 059 003100 Y 060 A003100 N 060 B003100 N 061 003100 1000000 062 A003100 Y 062 B003100 0.0 062 C003100 0.0 062 D003100 0.0 062 E003100 0.0 062 F003100 0.0 062 G003100 0.0 062 H003100 0.0 062 I003100 0.0 062 J003100 0.0 062 K003100 0.0 062 L003100 0.0 062 M003100 60.3 062 N003100 34.5 062 O003100 0.0 062 P003100 1.7 062 Q003100 4.4 062 R003100 0.3 063 A003100 0 063 B003100 13.2 064 A003100 N 064 B003100 N 066 A003100 N 067 003100 N 068 A003100 N 068 B003100 N 069 003100 N 070 A013100 Y 070 A023100 Y PAGE 133 070 B013100 Y 070 B023100 N 070 C013100 Y 070 C023100 N 070 D013100 Y 070 D023100 N 070 E013100 Y 070 E023100 N 070 F013100 Y 070 F023100 N 070 G013100 Y 070 G023100 N 070 H013100 Y 070 H023100 N 070 I013100 N 070 I023100 N 070 J013100 Y 070 J023100 N 070 K013100 Y 070 K023100 Y 070 L013100 Y 070 L023100 Y 070 M013100 Y 070 M023100 Y 070 N013100 Y 070 N023100 N 070 O013100 Y 070 O023100 Y 070 P013100 N 070 P023100 N 070 Q013100 N 070 Q023100 N 070 R013100 N 070 R023100 N 071 A003100 26835 071 B003100 20150 071 C003100 63006 071 D003100 32 072 A003100 12 072 B003100 4457 072 C003100 40 072 D003100 0 072 E003100 0 072 F003100 60 072 G003100 0 072 H003100 0 072 I003100 0 072 J003100 21 072 K003100 0 072 L003100 0 072 M003100 1 PAGE 134 072 N003100 0 072 O003100 0 072 P003100 220 072 Q003100 0 072 R003100 29 072 S003100 3 072 T003100 0 072 U003100 0 072 V003100 0 072 W003100 101 072 X003100 435 072 Y003100 65 072 Z003100 4126 072AA003100 258 072BB003100 0 072CC013100 5076 072CC023100 0 072DD013100 4236 072DD023100 0 072EE003100 0 073 A013100 0.6850 073 A023100 0.0000 073 B003100 0.0000 073 C003100 0.0000 074 A003100 0 074 B003100 19 074 C003100 0 074 D003100 66489 074 E003100 0 074 F003100 0 074 G003100 0 074 H003100 0 074 I003100 202 074 J003100 350 074 K003100 8 074 L003100 975 074 M003100 0 074 N003100 68043 074 O003100 0 074 P003100 13 074 Q003100 0 074 R013100 1769 074 R023100 0 074 R033100 0 074 R043100 374 074 S003100 0 074 T003100 65887 074 U013100 6192 074 U023100 0 074 V013100 10.64 074 V023100 0.00 PAGE 135 074 W003100 0.0000 074 X003100 111 074 Y003100 15086 075 A003100 0 075 B003100 60046 076 003100 0.00 008 A003201 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B003201 A 008 C003201 801-6003 008 D013201 BOSTON 008 D023201 MA 008 D033201 02110 012 A003201 INVESTORS BANK & TRUST COMPANY 012 B003201 85-720 012 C013201 BOSTON 012 C023201 MA 012 C033201 02116 015 A003201 INVESTORS BANK & TRUST COMPANY 015 B003201 C 015 C013201 BOSTON 015 C023201 MA 015 C033201 02116 015 E013201 X 024 003200 Y 025 A003201 MORGAN STANLEY & CO 025 C003201 D 025 D003201 76 025 D003202 0 025 D003203 0 025 D003204 0 025 D003205 0 025 D003206 0 025 D003207 0 025 D003208 0 028 A013200 160 028 A023200 0 028 A033200 0 028 A043200 545 028 B013200 0 028 B023200 0 028 B033200 0 028 B043200 716 028 C013200 0 028 C023200 0 028 C033200 0 028 C043200 19995 028 D013200 187 028 D023200 2813 028 D033200 0 028 D043200 4474 028 E013200 45 PAGE 136 028 E023200 0 028 E033200 0 028 E043200 6864 028 F013200 88219 028 F023200 0 028 F033200 0 028 F043200 13532 028 G013200 88611 028 G023200 2813 028 G033200 0 028 G043200 46126 028 H003200 0 037 003200 N 038 003200 0 039 003200 N 040 003200 N 045 003200 Y 046 003200 N 047 003200 Y 048 003200 0.250 048 A013200 0 048 A023200 0.000 048 B013200 0 048 B023200 0.000 048 C013200 0 048 C023200 0.000 048 D013200 0 048 D023200 0.000 048 E013200 0 048 E023200 0.000 048 F013200 0 048 F023200 0.000 048 G013200 0 048 G023200 0.000 048 H013200 0 048 H023200 0.000 048 I013200 0 048 I023200 0.000 048 J013200 0 048 J023200 0.000 048 K013200 0 048 K023200 0.000 058 A003200 N 059 003200 Y 060 A003200 N 060 B003200 N 061 003200 1000000 062 A003200 Y 062 B003200 0.0 062 C003200 0.0 062 D003200 0.0 PAGE 137 062 E003200 0.0 062 F003200 0.0 062 G003200 0.0 062 H003200 0.0 062 I003200 0.0 062 J003200 0.0 062 K003200 0.5 062 L003200 0.0 062 M003200 10.5 062 N003200 12.3 062 O003200 0.0 062 P003200 1.0 062 Q003200 5.5 062 R003200 75.2 063 A003200 0 063 B003200 13.2 064 A003200 N 064 B003200 N 066 A003200 N 067 003200 N 068 A003200 N 068 B003200 N 069 003200 N 070 A013200 Y 070 A023200 Y 070 B013200 Y 070 B023200 N 070 C013200 Y 070 C023200 Y 070 D013200 Y 070 D023200 N 070 E013200 Y 070 E023200 Y 070 F013200 Y 070 F023200 N 070 G013200 Y 070 G023200 Y 070 H013200 Y 070 H023200 N 070 I013200 N 070 I023200 N 070 J013200 Y 070 J023200 N 070 K013200 Y 070 K023200 Y 070 L013200 Y 070 L023200 Y 070 M013200 Y 070 M023200 Y 070 N013200 Y 070 N023200 N PAGE 138 070 O013200 Y 070 O023200 Y 070 P013200 N 070 P023200 N 070 Q013200 N 070 Q023200 N 070 R013200 N 070 R023200 N 071 A003200 236803 071 B003200 201403 071 C003200 111085 071 D003200 181 072 A003200 12 072 B003200 4849 072 C003200 2239 072 D003200 0 072 E003200 0 072 F003200 263 072 G003200 0 072 H003200 0 072 I003200 0 072 J003200 57 072 K003200 0 072 L003200 0 072 M003200 1 072 N003200 1 072 O003200 0 072 P003200 0 072 Q003200 0 072 R003200 54 072 S003200 5 072 T003200 0 072 U003200 0 072 V003200 0 072 W003200 156 072 X003200 537 072 Y003200 130 072 Z003200 6681 072AA003200 0 072BB003200 1722 072CC013200 9099 072CC023200 0 072DD013200 7835 072DD023200 0 072EE003200 0 073 A013200 0.8230 073 A023200 0.0000 073 B003200 0.0000 073 C003200 0.0000 074 A003200 69 074 B003200 76 PAGE 139 074 C003200 0 074 D003200 45847 074 E003200 0 074 F003200 0 074 G003200 0 074 H003200 0 074 I003200 118385 074 J003200 250 074 K003200 8 074 L003200 2326 074 M003200 0 074 N003200 166961 074 O003200 0 074 P003200 22 074 Q003200 0 074 R013200 0 074 R023200 0 074 R033200 29 074 R043200 10498 074 S003200 0 074 T003200 156412 074 U013200 15374 074 U023200 0 074 V013200 10.17 074 V023200 0.00 074 W003200 0.0000 074 X003200 38 074 Y003200 118169 075 A003200 0 075 B003200 105312 076 003200 0.00 008 A003301 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B003301 A 008 C003301 801-6003 008 D013301 BOSTON 008 D023301 MA 008 D033301 02110 012 A003301 INVESTORS BANK & TRUST COMPANY 012 B003301 85-720 012 C013301 BOSTON 012 C023301 MA 012 C033301 02116 015 A003301 INVESTORS BANK & TRUST COMPANY 015 B003301 C 015 C013301 BOSTON 015 C023301 MA 015 C033301 02116 015 E013301 X 024 003300 N 025 A003301 DELETE 025 D003301 0 PAGE 140 025 D003302 0 025 D003303 0 025 D003304 0 025 D003305 0 025 D003306 0 025 D003307 0 025 D003308 0 028 A013300 0 028 A023300 0 028 A033300 0 028 A043300 4 028 B013300 0 028 B023300 0 028 B033300 0 028 B043300 4 028 C013300 0 028 C023300 0 028 C033300 0 028 C043300 4 028 D013300 0 028 D023300 6549 028 D033300 0 028 D043300 5 028 E013300 0 028 E023300 0 028 E033300 0 028 E043300 4 028 F013300 0 028 F023300 0 028 F033300 0 028 F043300 0 028 G013300 0 028 G023300 6549 028 G033300 0 028 G043300 21 028 H003300 0 037 003300 N 038 003300 0 039 003300 N 040 003300 N 041 003300 N 045 003300 Y 046 003300 N 047 003300 Y 048 003300 0.200 048 A013300 0 048 A023300 0.000 048 B013300 0 048 B023300 0.000 048 C013300 0 048 C023300 0.000 PAGE 141 048 D013300 0 048 D023300 0.000 048 E013300 0 048 E023300 0.000 048 F013300 0 048 F023300 0.000 048 G013300 0 048 G023300 0.000 048 H013300 0 048 H023300 0.000 048 I013300 0 048 I023300 0.000 048 J013300 0 048 J023300 0.000 048 K013300 0 048 K023300 0.000 058 A003300 N 059 003300 Y 060 A003300 N 060 B003300 N 061 003300 1000000 062 A003300 N 062 B003300 0.0 062 C003300 0.0 062 D003300 0.0 062 E003300 0.0 062 F003300 0.0 062 G003300 0.0 062 H003300 0.0 062 I003300 0.0 062 J003300 0.0 062 K003300 0.0 062 L003300 0.0 062 M003300 0.0 062 N003300 0.0 062 O003300 0.0 062 P003300 0.0 062 Q003300 0.0 062 R003300 0.0 063 A003300 0 063 B003300 0.0 066 A003300 N 067 003300 N 068 A003300 N 068 B003300 N 069 003300 N 070 A013300 Y 070 A023300 Y 070 B013300 Y 070 B023300 N 070 C013300 Y PAGE 142 070 C023300 Y 070 D013300 Y 070 D023300 N 070 E013300 Y 070 E023300 Y 070 F013300 Y 070 F023300 N 070 G013300 Y 070 G023300 Y 070 H013300 Y 070 H023300 N 070 I013300 N 070 I023300 N 070 J013300 Y 070 J023300 N 070 K013300 Y 070 K023300 Y 070 L013300 Y 070 L023300 Y 070 M013300 Y 070 M023300 Y 070 N013300 Y 070 N023300 Y 070 O013300 Y 070 O023300 Y 070 P013300 N 070 P023300 N 070 Q013300 N 070 Q023300 N 070 R013300 N 070 R023300 N 071 A003300 61664 071 B003300 48442 071 C003300 171847 071 D003300 28 072 A003300 12 072 B003300 1443 072 C003300 6288 072 D003300 0 072 E003300 0 072 F003300 341 072 G003300 0 072 H003300 0 072 I003300 0 072 J003300 74 072 K003300 0 072 L003300 0 072 M003300 2 072 N003300 0 072 O003300 0 072 P003300 0 PAGE 143 072 Q003300 0 072 R003300 45 072 S003300 8 072 T003300 0 072 U003300 0 072 V003300 0 072 W003300 257 072 X003300 727 072 Y003300 131 072 Z003300 7135 072AA003300 14778 072BB003300 0 072CC013300 0 072CC023300 83 072DD013300 6925 072DD023300 0 072EE003300 0 073 A013300 0.2900 073 A023300 0.0000 073 B003300 0.0000 073 C003300 0.0000 074 A003300 187 074 B003300 0 074 C003300 0 074 D003300 0 074 E003300 0 074 F003300 0 074 G003300 0 074 H003300 0 074 I003300 0 074 J003300 0 074 K003300 10 074 L003300 216330 074 M003300 24481 074 N003300 241008 074 O003300 10119 074 P003300 47 074 Q003300 0 074 R013300 0 074 R023300 0 074 R033300 0 074 R043300 49395 074 S003300 0 074 T003300 181447 074 U013300 24208 074 U023300 0 074 V013300 7.50 074 V023300 0.00 074 W003300 0.0000 074 X003300 0 074 Y003300 0 PAGE 144 075 A003300 0 075 B003300 170386 076 003300 0.00 008 A003401 GRANTHAM, MAYO, OTTERLOO & CO. 008 B003401 A 008 C003401 801-6003 008 D013401 BOSTON 008 D023401 MA 008 D033401 02110 008 A003402 DANCING ELEPHANT LTD 008 B003402 S 008 C003402 801-45369 008 D013402 BERKELEY 008 D023402 CA 008 D033402 94704 012 A003401 INVESTORS BANK & TRUST COMPANY 012 B003401 85-720 012 C013401 BOSTON 012 C023401 MA 012 C033401 02116 015 A003401 BROWN BROTHERS HARRIMAN & CO. 015 B003401 C 015 C013401 BOSTON 015 C023401 MA 015 C033401 02109 015 E013401 X 024 003400 Y 025 A003401 MORGAN STANLEY & CO 025 C003401 D 025 D003401 168 025 D003402 0 025 D003403 0 025 D003404 0 025 D003405 0 025 D003406 0 025 D003407 0 025 D003408 0 028 A013400 600 028 A023400 0 028 A033400 0 028 A043400 0 028 B013400 0 028 B023400 0 028 B033400 0 028 B043400 231 028 C013400 0 028 C023400 0 028 C033400 0 028 C043400 0 028 D013400 158 028 D023400 21 PAGE 145 028 D033400 0 028 D043400 584 028 E013400 2106 028 E023400 0 028 E033400 0 028 E043400 169 028 F013400 113 028 F023400 0 028 F033400 0 028 F043400 0 028 G013400 2977 028 G023400 21 028 G033400 0 028 G043400 984 028 H003400 0 037 003400 Y 038 003400 15 039 003400 N 040 003400 N 041 003400 N 045 003400 Y 046 003400 N 047 003400 Y 048 003400 0.650 048 A013400 0 048 A023400 0.000 048 B013400 0 048 B023400 0.000 048 C013400 0 048 C023400 0.000 048 D013400 0 048 D023400 0.000 048 E013400 0 048 E023400 0.000 048 F013400 0 048 F023400 0.000 048 G013400 0 048 G023400 0.000 048 H013400 0 048 H023400 0.000 048 I013400 0 048 I023400 0.000 048 J013400 0 048 J023400 0.000 048 K013400 0 048 K023400 0.000 058 A003400 N 059 003400 Y 060 A003400 N 060 B003400 N 061 003400 1000000 PAGE 146 062 A003400 N 062 B003400 0.0 062 C003400 0.0 062 D003400 0.0 062 E003400 0.0 062 F003400 0.0 062 G003400 0.0 062 H003400 0.0 062 I003400 0.0 062 J003400 0.0 062 K003400 0.0 062 L003400 0.0 062 M003400 0.0 062 N003400 0.0 062 O003400 0.0 062 P003400 0.0 062 Q003400 0.0 062 R003400 0.0 066 A003400 Y 066 B003400 N 066 C003400 Y 066 D003400 N 066 E003400 N 066 F003400 N 066 G003400 N 067 003400 N 068 A003400 N 068 B003400 Y 069 003400 N 070 A013400 Y 070 A023400 N 070 B013400 Y 070 B023400 N 070 C013400 N 070 C023400 N 070 D013400 Y 070 D023400 N 070 E013400 N 070 E023400 N 070 F013400 Y 070 F023400 N 070 G013400 Y 070 G023400 N 070 H013400 Y 070 H023400 N 070 I013400 N 070 I023400 N 070 J013400 Y 070 J023400 Y 070 K013400 Y 070 K023400 Y PAGE 147 070 L013400 Y 070 L023400 Y 070 M013400 Y 070 M023400 Y 070 N013400 Y 070 N023400 N 070 O013400 Y 070 O023400 N 070 P013400 N 070 P023400 N 070 Q013400 N 070 Q023400 N 070 R013400 N 070 R023400 N 071 A003400 54067 071 B003400 52095 071 C003400 52998 071 D003400 98 072 A003400 12 072 B003400 115 072 C003400 1164 072 D003400 0 072 E003400 0 072 F003400 360 072 G003400 0 072 H003400 0 072 I003400 28 072 J003400 304 072 K003400 0 072 L003400 0 072 M003400 1 072 N003400 0 072 O003400 0 072 P003400 0 072 Q003400 0 072 R003400 49 072 S003400 2 072 T003400 0 072 U003400 0 072 V003400 0 072 W003400 114 072 X003400 858 072 Y003400 82 072 Z003400 503 072AA003400 0 072BB003400 4658 072CC013400 0 072CC023400 9541 072DD013400 0 072DD023400 0 072EE003400 1101 PAGE 148 073 A013400 0.0000 073 A023400 0.0000 073 B003400 0.2010 073 C003400 0.0000 074 A003400 68 074 B003400 0 074 C003400 0 074 D003400 144 074 E003400 2684 074 F003400 46436 074 G003400 0 074 H003400 0 074 I003400 2696 074 J003400 0 074 K003400 7 074 L003400 199 074 M003400 170 074 N003400 52404 074 O003400 0 074 P003400 33 074 Q003400 0 074 R013400 0 074 R023400 0 074 R033400 0 074 R043400 132 074 S003400 0 074 T003400 52239 074 U013400 5931 074 U023400 0 074 V013400 8.81 074 V023400 0.00 074 W003400 0.0000 074 X003400 62 074 Y003400 144 075 A003400 0 075 B003400 55376 076 003400 0.00 008 A003501 GRANTHAM, MAYO, OTTERLOO & CO. 008 B003501 A 008 C003501 801-6003 008 D013501 BOSTON 008 D023501 MA 008 D033501 02110 008 A003502 DANCING ELEPHANT LTD 008 B003502 S 008 C003502 801-45369 008 D013502 BERKELEY 008 D023502 CA 008 D033502 94704 012 A003501 INVESTORS BANK & TRUST COMPANY 012 B003501 85-720 PAGE 149 012 C013501 BOSTON 012 C023501 MA 012 C033501 02116 015 A003501 BROWN BROTHERS HARRIMAN & CO. 015 B003501 C 015 C013501 BOSTON 015 C023501 MA 015 C033501 02109 015 E013501 X 024 003500 N 025 D003501 0 025 D003502 0 025 D003503 0 025 D003504 0 025 D003505 0 025 D003506 0 025 D003507 0 025 D003508 0 028 A013500 30000 028 A023500 0 028 A033500 0 028 A043500 0 028 B013500 0 028 B023500 0 028 B033500 0 028 B043500 2 028 C013500 22 028 C023500 0 028 C033500 0 028 C043500 0 028 D013500 180 028 D023500 0 028 D033500 0 028 D043500 100 028 E013500 98 028 E023500 0 028 E033500 0 028 E043500 3 028 F013500 10 028 F023500 0 028 F033500 0 028 F043500 0 028 G013500 30310 028 G023500 0 028 G033500 0 028 G043500 105 028 H003500 0 037 003500 Y 038 003500 1 039 003500 N 040 003500 N PAGE 150 041 003500 N 045 003500 Y 046 003500 N 047 003500 Y 048 003500 0.810 048 A013500 0 048 A023500 0.000 048 B013500 0 048 B023500 0.000 048 C013500 0 048 C023500 0.000 048 D013500 0 048 D023500 0.000 048 E013500 0 048 E023500 0.000 048 F013500 0 048 F023500 0.000 048 G013500 0 048 G023500 0.000 048 H013500 0 048 H023500 0.000 048 I013500 0 048 I023500 0.000 048 J013500 0 048 J023500 0.000 048 K013500 0 048 K023500 0.000 058 A003500 N 059 003500 Y 060 A003500 Y 060 B003500 Y 061 003500 1000000 062 A003500 N 062 B003500 0.0 062 C003500 0.0 062 D003500 0.0 062 E003500 0.0 062 F003500 0.0 062 G003500 0.0 062 H003500 0.0 062 I003500 0.0 062 J003500 0.0 062 K003500 0.0 062 L003500 0.0 062 M003500 0.0 062 N003500 0.0 062 O003500 0.0 062 P003500 0.0 062 Q003500 0.0 062 R003500 0.0 066 A003500 Y PAGE 151 066 B003500 N 066 C003500 N 066 D003500 N 066 E003500 N 066 F003500 N 066 G003500 Y 067 003500 N 068 A003500 N 068 B003500 Y 069 003500 N 070 A013500 Y 070 A023500 N 070 B013500 Y 070 B023500 N 070 C013500 N 070 C023500 N 070 D013500 Y 070 D023500 N 070 E013500 N 070 E023500 N 070 F013500 Y 070 F023500 N 070 G013500 Y 070 G023500 N 070 H013500 Y 070 H023500 N 070 I013500 N 070 I023500 N 070 J013500 Y 070 J023500 N 070 K013500 Y 070 K023500 N 070 L013500 Y 070 L023500 Y 070 M013500 Y 070 M023500 Y 070 N013500 Y 070 N023500 N 070 O013500 Y 070 O023500 Y 070 P013500 N 070 P023500 N 070 Q013500 N 070 Q023500 N 070 R013500 N 070 R023500 N 071 A003500 116305 071 B003500 88584 071 C003500 104944 071 D003500 84 072 A003500 12 PAGE 152 072 B003500 417 072 C003500 2313 072 D003500 0 072 E003500 0 072 F003500 877 072 G003500 0 072 H003500 0 072 I003500 27 072 J003500 372 072 K003500 0 072 L003500 0 072 M003500 1 072 N003500 0 072 O003500 0 072 P003500 0 072 Q003500 0 072 R003500 45 072 S003500 5 072 T003500 0 072 U003500 0 072 V003500 0 072 W003500 164 072 X003500 1491 072 Y003500 79 072 Z003500 1318 072AA003500 0 072BB003500 12727 072CC013500 0 072CC023500 23556 072DD013500 77 072DD023500 0 072EE003500 11957 073 A013500 0.0080 073 A023500 0.0000 073 B003500 1.2400 073 C003500 0.0000 074 A003500 52 074 B003500 0 074 C003500 0 074 D003500 259 074 E003500 1515 074 F003500 110841 074 G003500 0 074 H003500 0 074 I003500 847 074 J003500 0 074 K003500 6 074 L003500 340 074 M003500 546 074 N003500 114406 074 O003500 251 PAGE 153 074 P003500 86 074 Q003500 0 074 R013500 0 074 R023500 0 074 R033500 0 074 R043500 142 074 S003500 0 074 T003500 113927 074 U013500 14477 074 U023500 0 074 V013500 7.87 074 V023500 0.00 074 W003500 0.0000 074 X003500 35 074 Y003500 259 075 A003500 0 075 B003500 108290 076 003500 0.00 008 A003601 GRANTHAM, MAYO, VAN OTTERLOO, & CO. 008 B003601 A 008 C003601 801-6003 008 D013601 BOSTON 008 D023601 MA 008 D033601 02110 012 A003601 INVESTORS BANK & TRUST COMPANY 012 B003601 85-720 012 C013601 BOSTON 012 C023601 MA 012 C033601 02116 015 A003601 INVESTORS BANK & TRUST COMPANY 015 B003601 C 015 C013601 BOSTON 015 C023601 MA 015 C033601 02116 015 E013601 X 024 003600 Y 025 A003601 JP MORGAN 025 C003601 E 025 D003601 145 025 A003602 LEHMAN BROTHERS 025 C003602 E 025 D003602 41 025 A003603 BEAR STEARNS & CO INC 025 C003603 E 025 D003603 47 025 A003604 DELETE 025 D003604 0 025 A003605 DELETE 025 D003605 0 025 D003606 0 025 D003607 0 PAGE 154 025 D003608 0 028 A013600 0 028 A023600 0 028 A033600 0 028 A043600 25 028 B013600 0 028 B023600 0 028 B033600 0 028 B043600 0 028 C013600 0 028 C023600 0 028 C033600 0 028 C043600 0 028 D013600 1800 028 D023600 0 028 D033600 0 028 D043600 0 028 E013600 500 028 E023600 0 028 E033600 0 028 E043600 0 028 F013600 1800 028 F023600 0 028 F033600 0 028 F043600 0 028 G013600 4100 028 G023600 0 028 G033600 0 028 G043600 25 028 H003600 0 037 003600 N 038 003600 0 039 003600 N 040 003600 N 041 003600 N 045 003600 Y 046 003600 N 047 003600 Y 048 003600 0.330 048 A013600 0 048 A023600 0.000 048 B013600 0 048 B023600 0.000 048 C013600 0 048 C023600 0.000 048 D013600 0 048 D023600 0.000 048 E013600 0 048 E023600 0.000 048 F013600 0 048 F023600 0.000 PAGE 155 048 G013600 0 048 G023600 0.000 048 H013600 0 048 H023600 0.000 048 I013600 0 048 I023600 0.000 048 J013600 0 048 J023600 0.000 048 K013600 0 048 K023600 0.000 058 A003600 N 059 003600 Y 060 A003600 N 060 B003600 N 061 003600 1000000 062 A003600 N 062 B003600 0.0 062 C003600 0.0 062 D003600 0.0 062 E003600 0.0 062 F003600 0.0 062 G003600 0.0 062 H003600 0.0 062 I003600 0.0 062 J003600 0.0 062 K003600 0.0 062 L003600 0.0 062 M003600 0.0 062 N003600 0.0 062 O003600 0.0 062 P003600 0.0 062 Q003600 0.0 062 R003600 0.0 066 A003600 Y 066 B003600 N 066 C003600 N 066 D003600 N 066 E003600 N 066 F003600 N 066 G003600 Y 067 003600 N 068 A003600 N 068 B003600 N 069 003600 N 070 A013600 Y 070 A023600 Y 070 B013600 Y 070 B023600 N 070 C013600 N 070 C023600 N 070 D013600 Y PAGE 156 070 D023600 N 070 E013600 N 070 E023600 N 070 F013600 Y 070 F023600 N 070 G013600 Y 070 G023600 N 070 H013600 Y 070 H023600 N 070 I013600 N 070 I023600 N 070 J013600 Y 070 J023600 N 070 K013600 Y 070 K023600 N 070 L013600 Y 070 L023600 Y 070 M013600 N 070 M023600 N 070 N013600 Y 070 N023600 N 070 O013600 Y 070 O023600 N 070 P013600 N 070 P023600 N 070 Q013600 N 070 Q023600 N 070 R013600 N 070 R023600 N 071 A003600 15966 071 B003600 16717 071 C003600 9890 071 D003600 161 072 A003600 12 072 B003600 10 072 C003600 155 072 D003600 0 072 E003600 0 072 F003600 33 072 G003600 0 072 H003600 0 072 I003600 0 072 J003600 18 072 K003600 0 072 L003600 0 072 M003600 0 072 N003600 0 072 O003600 0 072 P003600 0 072 Q003600 0 072 R003600 33 PAGE 157 072 S003600 0 072 T003600 0 072 U003600 0 072 V003600 0 072 W003600 17 072 X003600 101 072 Y003600 53 072 Z003600 117 072AA003600 1139 072BB003600 0 072CC013600 0 072CC023600 1713 072DD013600 100 072DD023600 0 072EE003600 0 073 A013600 0.1350 073 A023600 0.0000 073 B003600 0.0000 073 C003600 0.0000 074 A003600 0 074 B003600 110 074 C003600 0 074 D003600 0 074 E003600 0 074 F003600 11314 074 G003600 0 074 H003600 0 074 I003600 0 074 J003600 0 074 K003600 9 074 L003600 22 074 M003600 0 074 N003600 11455 074 O003600 0 074 P003600 4 074 Q003600 0 074 R013600 0 074 R023600 0 074 R033600 0 074 R043600 33 074 S003600 0 074 T003600 11418 074 U013600 946 074 U023600 0 074 V013600 12.08 074 V023600 0.00 074 W003600 0.0000 074 X003600 6 074 Y003600 0 075 A003600 0 075 B003600 9912 PAGE 158 076 003600 0.00 008 A003701 GRANTHAM, MAYO, VAN OTTERLOO, & CO. 008 B003701 A 008 C003701 801-6003 008 D013701 BOSTON 008 D023701 MA 008 D033701 02110 012 A003701 INVESTORS BANK & TRUST COMPANY 012 B003701 85-720 012 C013701 BOSTON 012 C023701 MA 012 C033701 02116 015 A003701 BROWN BROTHERS HARRIMAN & CO. 015 B003701 C 015 C013701 BOSTON 015 C023701 MA 015 C033701 02109 015 E013701 X 024 003700 Y 025 A003701 UBS AG 025 C003701 E 025 D003701 164 025 D003702 0 025 D003703 0 025 D003704 0 025 D003705 0 025 D003706 0 025 D003707 0 025 D003708 0 028 A013700 0 028 A023700 0 028 A033700 0 028 A043700 0 028 B013700 75 028 B023700 0 028 B033700 0 028 B043700 0 028 C013700 0 028 C023700 0 028 C033700 0 028 C043700 23431 028 D013700 0 028 D023700 780 028 D033700 0 028 D043700 445 028 E013700 0 028 E023700 0 028 E033700 0 028 E043700 0 028 F013700 210 028 F023700 0 PAGE 159 028 F033700 0 028 F043700 0 028 G013700 285 028 G023700 780 028 G033700 0 028 G043700 23876 028 H003700 0 037 003700 N 038 003700 0 039 003700 N 040 003700 N 041 003700 N 045 003700 Y 046 003700 N 047 003700 Y 048 003700 0.540 048 A013700 0 048 A023700 0.000 048 B013700 0 048 B023700 0.000 048 C013700 0 048 C023700 0.000 048 D013700 0 048 D023700 0.000 048 E013700 0 048 E023700 0.000 048 F013700 0 048 F023700 0.000 048 G013700 0 048 G023700 0.000 048 H013700 0 048 H023700 0.000 048 I013700 0 048 I023700 0.000 048 J013700 0 048 J023700 0.000 048 K013700 0 048 K023700 0.000 058 A003700 N 059 003700 Y 060 A003700 N 060 B003700 N 061 003700 1000000 062 A003700 N 062 B003700 0.0 062 C003700 0.0 062 D003700 0.0 062 E003700 0.0 062 F003700 0.0 062 G003700 0.0 062 H003700 0.0 PAGE 160 062 I003700 0.0 062 J003700 0.0 062 K003700 0.0 062 L003700 0.0 062 M003700 0.0 062 N003700 0.0 062 O003700 0.0 062 P003700 0.0 062 Q003700 0.0 062 R003700 0.0 066 A003700 Y 066 B003700 N 066 C003700 N 066 D003700 N 066 E003700 N 066 F003700 N 066 G003700 Y 067 003700 N 068 A003700 N 068 B003700 Y 069 003700 N 070 A013700 Y 070 A023700 N 070 B013700 Y 070 B023700 N 070 C013700 N 070 C023700 N 070 D013700 Y 070 D023700 N 070 E013700 N 070 E023700 N 070 F013700 Y 070 F023700 N 070 G013700 Y 070 G023700 N 070 H013700 Y 070 H023700 N 070 I013700 N 070 I023700 N 070 J013700 Y 070 J023700 N 070 K013700 Y 070 K023700 N 070 L013700 Y 070 L023700 Y 070 M013700 Y 070 M023700 Y 070 N013700 Y 070 N023700 N 070 O013700 Y 070 O023700 N PAGE 161 070 P013700 N 070 P023700 N 070 Q013700 N 070 Q023700 N 070 R013700 N 070 R023700 N 071 A003700 52088 071 B003700 91997 071 C003700 93014 071 D003700 56 072 A003700 12 072 B003700 98 072 C003700 2606 072 D003700 0 072 E003700 0 072 F003700 521 072 G003700 0 072 H003700 0 072 I003700 27 072 J003700 248 072 K003700 0 072 L003700 0 072 M003700 1 072 N003700 0 072 O003700 0 072 P003700 0 072 Q003700 0 072 R003700 40 072 S003700 4 072 T003700 0 072 U003700 0 072 V003700 0 072 W003700 153 072 X003700 994 072 Y003700 325 072 Z003700 2035 072AA003700 3485 072BB003700 0 072CC013700 0 072CC023700 798 072DD013700 1141 072DD023700 0 072EE003700 0 073 A013700 0.1630 073 A023700 0.0000 073 B003700 0.0000 073 C003700 0.0000 074 A003700 93 074 B003700 0 074 C003700 0 074 D003700 0 PAGE 162 074 E003700 2614 074 F003700 70557 074 G003700 0 074 H003700 0 074 I003700 401 074 J003700 0 074 K003700 37 074 L003700 452 074 M003700 1531 074 N003700 75685 074 O003700 0 074 P003700 40 074 Q003700 0 074 R013700 0 074 R023700 0 074 R033700 0 074 R043700 107 074 S003700 0 074 T003700 75538 074 U013700 6998 074 U023700 0 074 V013700 10.79 074 V023700 0.00 074 W003700 0.0000 074 X003700 13 074 Y003700 0 075 A003700 0 075 B003700 96461 076 003700 0.00 008 A003801 GRANTHAM, MAYO, VAN OTTERLOO, & CO. 008 B003801 A 008 C003801 801-6003 008 D013801 BOSTON 008 D023801 MA 008 D033801 02110 012 A003801 INVESTORS BANK & TRUST COMPANY 012 B003801 85-720 012 C013801 BOSTON 012 C023801 MA 012 C033801 02116 015 A003801 INVESTORS BANK & TRUST COMPANY 015 B003801 C 015 C013801 BOSTON 015 C023801 MA 015 C033801 02116 015 E013801 X 024 003800 N 025 A003801 DELETE 025 D003801 0 025 D003802 0 025 D003803 0 PAGE 163 025 D003804 0 025 D003805 0 025 D003806 0 025 D003807 0 025 D003808 0 028 A013800 0 028 A023800 0 028 A033800 0 028 A043800 0 028 B013800 0 028 B023800 0 028 B033800 0 028 B043800 0 028 C013800 0 028 C023800 0 028 C033800 0 028 C043800 0 028 D013800 0 028 D023800 13528 028 D033800 0 028 D043800 0 028 E013800 0 028 E023800 0 028 E033800 0 028 E043800 0 028 F013800 0 028 F023800 0 028 F033800 0 028 F043800 0 028 G013800 0 028 G023800 13528 028 G033800 0 028 G043800 0 028 H003800 0 037 003800 N 038 003800 0 039 003800 N 040 003800 N 045 003800 Y 046 003800 N 048 003800 0.000 048 A013800 0 048 A023800 0.000 048 B013800 0 048 B023800 0.000 048 C013800 0 048 C023800 0.000 048 D013800 0 048 D023800 0.000 048 E013800 0 048 E023800 0.000 PAGE 164 048 F013800 0 048 F023800 0.000 048 G013800 0 048 G023800 0.000 048 H013800 0 048 H023800 0.000 048 I013800 0 048 I023800 0.000 048 J013800 0 048 J023800 0.000 048 K013800 0 048 K023800 0.000 058 A003800 N 059 003800 Y 060 A003800 Y 060 B003800 Y 061 003800 1000000 062 A003800 N 062 B003800 0.0 062 C003800 0.0 062 D003800 0.0 062 E003800 0.0 062 F003800 0.0 062 G003800 0.0 062 H003800 0.0 062 I003800 0.0 062 J003800 0.0 062 K003800 0.0 062 L003800 0.0 062 M003800 0.0 062 N003800 0.0 062 O003800 0.0 062 P003800 0.0 062 Q003800 0.0 062 R003800 0.0 063 A003800 0 063 B003800 0.0 066 A003800 Y 066 B003800 N 066 C003800 N 066 D003800 N 066 E003800 N 066 F003800 N 066 G003800 Y 067 003800 N 068 A003800 N 068 B003800 N 069 003800 N 070 A013800 Y 070 A023800 Y 070 B013800 N PAGE 165 070 B023800 N 070 C013800 N 070 C023800 N 070 D013800 N 070 D023800 N 070 E013800 N 070 E023800 N 070 F013800 N 070 F023800 N 070 G013800 N 070 G023800 N 070 H013800 N 070 H023800 N 070 I013800 N 070 I023800 N 070 J013800 N 070 J023800 N 070 K013800 Y 070 K023800 Y 070 L013800 N 070 L023800 N 070 M013800 N 070 M023800 N 070 N013800 N 070 N023800 N 070 O013800 N 070 O023800 N 070 P013800 N 070 P023800 N 070 Q013800 N 070 Q023800 N 070 R013800 N 070 R023800 N 071 A003800 13533 071 B003800 0 071 C003800 94141 071 D003800 0 072 A003800 12 072 B003800 0 072 C003800 13523 072 D003800 0 072 E003800 0 072 F003800 0 072 G003800 0 072 H003800 0 072 I003800 0 072 J003800 12 072 K003800 0 072 L003800 0 072 M003800 1 072 N003800 0 PAGE 166 072 O003800 0 072 P003800 0 072 Q003800 0 072 R003800 12 072 S003800 4 072 T003800 0 072 U003800 0 072 V003800 0 072 W003800 0 072 X003800 29 072 Y003800 29 072 Z003800 13523 072AA003800 0 072BB003800 0 072CC013800 2678 072CC023800 0 072DD013800 13528 072DD023800 0 072EE003800 0 073 A013800 1.3640 073 A023800 0.0000 073 B003800 0.0000 073 C003800 0.0000 074 A003800 0 074 B003800 9 074 C003800 0 074 D003800 0 074 E003800 0 074 F003800 0 074 G003800 0 074 H003800 0 074 I003800 102484 074 J003800 0 074 K003800 2 074 L003800 0 074 M003800 0 074 N003800 102495 074 O003800 0 074 P003800 0 074 Q003800 0 074 R013800 0 074 R023800 0 074 R033800 0 074 R043800 14 074 S003800 0 074 T003800 102481 074 U013800 11510 074 U023800 0 074 V013800 8.90 074 V023800 0.00 074 W003800 0.0000 PAGE 167 074 X003800 1 074 Y003800 0 075 A003800 0 075 B003800 93961 076 003800 0.00 008 A003901 GRANTHAM,MAYO, VN OTTERLOO, & CO. 008 B003901 A 008 C003901 801-6003 008 D013901 BOSTON 008 D023901 MA 008 D033901 02110 012 A003901 INVESTORS BANK & TRUST COMPANY 012 B003901 85-720 012 C013901 BOSTON 012 C023901 MA 012 C033901 02116 015 A003901 INVESTORS BANK & TRUST COMPANY 015 B003901 C 015 C013901 BOSTON 015 C023901 M 015 C033901 02116 015 E013901 X 024 003900 Y 025 A003901 BEAR STEARNS 025 B003901 13-4946705 025 C003901 E 025 D003901 208 025 A003902 JP MORGAN SECURITIES 025 C003902 E 025 D003902 993 025 A003903 LEHMAN BROTHERS 025 C003903 E 025 D003903 117 025 A003904 DELETE 025 D003904 0 025 A003905 DELETE 025 D003905 0 025 A003906 DELETE 025 D003906 0 025 A003907 DELETE 025 D003907 0 025 A003908 DELETE 025 D003908 0 025 A003909 DELETE 025 D003909 0 025 D003910 0 025 D003911 0 025 D003912 0 025 D003913 0 025 D003914 0 025 D003915 0 PAGE 168 025 D003916 0 028 A013900 0 028 A023900 0 028 A033900 0 028 A043900 0 028 B013900 0 028 B023900 7 028 B033900 0 028 B043900 0 028 C013900 0 028 C023900 0 028 C033900 0 028 C043900 0 028 D013900 0 028 D023900 0 028 D033900 0 028 D043900 0 028 E013900 417 028 E023900 0 028 E033900 0 028 E043900 0 028 F013900 5 028 F023900 0 028 F033900 0 028 F043900 0 028 G013900 422 028 G023900 7 028 G033900 0 028 G043900 0 028 H003900 0 037 003900 N 038 003900 0 039 003900 N 040 003900 N 045 003900 Y 046 003900 N 047 003900 Y 048 003900 0.330 048 A013900 0 048 A023900 0.000 048 B013900 0 048 B023900 0.000 048 C013900 0 048 C023900 0.000 048 D013900 0 048 D023900 0.000 048 E013900 0 048 E023900 0.000 048 F013900 0 048 F023900 0.000 048 G013900 0 PAGE 169 048 G023900 0.000 048 H013900 0 048 H023900 0.000 048 I013900 0 048 I023900 0.000 048 J013900 0 048 J023900 0.000 048 K013900 0 048 K023900 0.000 058 A003900 N 059 003900 Y 060 A003900 N 060 B003900 N 061 003900 1000000 062 A003900 N 062 B003900 0.0 062 C003900 0.0 062 D003900 0.0 062 E003900 0.0 062 F003900 0.0 062 G003900 0.0 062 H003900 0.0 062 I003900 0.0 062 J003900 0.0 062 K003900 0.0 062 L003900 0.0 062 M003900 0.0 062 N003900 0.0 062 O003900 0.0 062 P003900 0.0 062 Q003900 0.0 062 R003900 0.0 066 A003900 Y 066 B003900 N 066 C003900 Y 066 D003900 N 066 E003900 N 066 F003900 N 066 G003900 N 067 003900 N 068 A003900 N 068 B003900 N 069 003900 N 070 A013900 Y 070 A023900 Y 070 B013900 Y 070 B023900 N 070 C013900 N 070 C023900 N 070 D013900 Y 070 D023900 N PAGE 170 070 E013900 N 070 E023900 N 070 F013900 Y 070 F023900 Y 070 G013900 Y 070 G023900 N 070 H013900 Y 070 H023900 N 070 I013900 N 070 I023900 N 070 J013900 Y 070 J023900 N 070 K013900 N 070 K023900 N 070 L013900 N 070 L023900 N 070 M013900 N 070 M023900 N 070 N013900 Y 070 N023900 Y 070 O013900 Y 070 O023900 N 070 P013900 N 070 P023900 N 070 Q013900 N 070 Q023900 N 070 R013900 N 070 R023900 N 071 A003900 42587 071 B003900 40287 071 C003900 45073 071 D003900 89 072 A003900 12 072 B003900 70 072 C003900 1094 072 D003900 0 072 E003900 0 072 F003900 153 072 G003900 0 072 H003900 0 072 I003900 0 072 J003900 37 072 K003900 0 072 L003900 0 072 M003900 0 072 N003900 2 072 O003900 0 072 P003900 0 072 Q003900 0 072 R003900 36 072 S003900 2 PAGE 171 072 T003900 0 072 U003900 0 072 V003900 0 072 W003900 71 072 X003900 301 072 Y003900 79 072 Z003900 942 072AA003900 0 072BB003900 694 072CC013900 9974 072CC023900 0 072DD013900 648 072DD023900 0 072EE003900 314 073 A013900 0.1420 073 A023900 0.0000 073 B003900 0.0680 073 C003900 0.0000 074 A003900 0 074 B003900 1749 074 C003900 225 074 D003900 0 074 E003900 0 074 F003900 48813 074 G003900 0 074 H003900 0 074 I003900 3889 074 J003900 0 074 K003900 10 074 L003900 152 074 M003900 0 074 N003900 54838 074 O003900 0 074 P003900 19 074 Q003900 0 074 R013900 0 074 R023900 0 074 R033900 0 074 R043900 3955 074 S003900 0 074 T003900 50864 074 U013900 4691 074 U023900 0 074 V013900 10.84 074 V023900 0.00 074 W003900 0.0000 074 X003900 11 074 Y003900 4113 075 A003900 0 075 B003900 46268 076 003900 0.00 PAGE 172 008 A004001 GRANTHAM, MAYO, VAN OTTERLOO, & CO. 008 B004001 A 008 C004001 801-6003 008 D014001 BOSTON 008 D024001 MA 008 D034001 02110 012 A004001 INVESTORS BANK & TRUST COMPANY 012 B004001 85-720 012 C014001 BOSTON 012 C024001 MA 012 C034001 02116 015 A004001 INVESTORS BANK & TRUST COMPANY 015 B004001 C 015 C014001 BOSTON 015 C024001 MA 015 C034001 02116 015 E014001 X 024 004000 N 025 A004001 DELETE 025 D004001 0 025 A004002 DELETE 025 D004002 0 025 A004003 DELETE 025 D004003 0 025 D004004 0 025 D004005 0 025 D004006 0 025 D004007 0 025 D004008 0 028 A014000 0 028 A024000 0 028 A034000 0 028 A044000 5000 028 B014000 0 028 B024000 16 028 B034000 0 028 B044000 31 028 C014000 0 028 C024000 0 028 C034000 0 028 C044000 0 028 D014000 0 028 D024000 26 028 D034000 0 028 D044000 0 028 E014000 0 028 E024000 0 028 E034000 0 028 E044000 0 028 F014000 69 028 F024000 0 PAGE 173 028 F034000 0 028 F044000 0 028 G014000 69 028 G024000 42 028 G034000 0 028 G044000 5031 028 H004000 0 037 004000 N 038 004000 0 039 004000 N 040 004000 N 045 004000 Y 046 004000 N 047 004000 Y 048 004000 0.550 048 A014000 0 048 A024000 0.000 048 B014000 0 048 B024000 0.000 048 C014000 0 048 C024000 0.000 048 D014000 0 048 D024000 0.000 048 E014000 0 048 E024000 0.000 048 F014000 0 048 F024000 0.000 048 G014000 0 048 G024000 0.000 048 H014000 0 048 H024000 0.000 048 I014000 0 048 I024000 0.000 048 J014000 0 048 J024000 0.000 048 K014000 0 048 K024000 0.000 058 A004000 N 059 004000 Y 060 A004000 N 060 B004000 N 061 004000 1000000 062 A004000 N 062 B004000 0.0 062 C004000 0.0 062 D004000 0.0 062 E004000 0.0 062 F004000 0.0 062 G004000 0.0 062 H004000 0.0 062 I004000 0.0 PAGE 174 062 J004000 0.0 062 K004000 0.0 062 L004000 0.0 062 M004000 0.0 062 N004000 0.0 062 O004000 0.0 062 P004000 0.0 062 Q004000 0.0 062 R004000 0.0 066 A004000 Y 066 B004000 N 066 C004000 N 066 D004000 N 066 E004000 N 066 F004000 N 066 G004000 Y 067 004000 N 068 A004000 N 068 B004000 N 069 004000 N 070 A014000 Y 070 A024000 Y 070 B014000 Y 070 B024000 N 070 C014000 N 070 C024000 N 070 D014000 Y 070 D024000 N 070 E014000 N 070 E024000 N 070 F014000 Y 070 F024000 Y 070 G014000 Y 070 G024000 N 070 H014000 Y 070 H024000 N 070 I014000 N 070 I024000 N 070 J014000 Y 070 J024000 N 070 K014000 N 070 K024000 N 070 L014000 Y 070 L024000 Y 070 M014000 N 070 M024000 N 070 N014000 Y 070 N024000 N 070 O014000 Y 070 O024000 N 070 P014000 N PAGE 175 070 P024000 N 070 Q014000 N 070 Q024000 N 070 R014000 N 070 R024000 N 071 A004000 51060 071 B004000 51433 071 C004000 38818 071 D004000 131 072 A004000 12 072 B004000 66 072 C004000 718 072 D004000 0 072 E004000 0 072 F004000 221 072 G004000 0 072 H004000 0 072 I004000 0 072 J004000 32 072 K004000 0 072 L004000 0 072 M004000 0 072 N004000 0 072 O004000 0 072 P004000 0 072 Q004000 0 072 R004000 32 072 S004000 2 072 T004000 0 072 U004000 0 072 V004000 0 072 W004000 63 072 X004000 350 072 Y004000 68 072 Z004000 502 072AA004000 0 072BB004000 4830 072CC014000 8767 072CC024000 0 072DD014000 503 072DD024000 0 072EE004000 0 073 A014000 0.1170 073 A024000 0.0000 073 B004000 0.0000 073 C004000 0.0000 074 A004000 0 074 B004000 508 074 C004000 0 074 D004000 0 074 E004000 0 PAGE 176 074 F004000 40521 074 G004000 0 074 H004000 0 074 I004000 1 074 J004000 0 074 K004000 14 074 L004000 57 074 M004000 0 074 N004000 41101 074 O004000 0 074 P004000 22 074 Q004000 0 074 R014000 0 074 R024000 0 074 R034000 0 074 R044000 37 074 S004000 0 074 T004000 41042 074 U014000 3895 074 U024000 0 074 V014000 10.54 074 V024000 0.00 074 W004000 0.0000 074 X004000 12 074 Y004000 0 075 A004000 0 075 B004000 40205 076 004000 0.00 008 A004101 GRANTHAM, MAYO, VAN OTTERLOO, & CO. 008 B004101 A 008 C004101 801-6003 008 D014101 BOSTON 008 D024101 MA 008 D034101 02110 012 A004101 INVESTORS BANK & TRUST COMPANY 012 B004101 85-720 012 C014101 BOSTON 012 C024101 MA 012 C034101 02116 015 A004101 INVESTORS BANK & TRUST COMPANY 015 B004101 C 015 C014101 BOSTON 015 C024101 MA 015 C034101 02116 015 E014101 X 024 004100 Y 025 A004101 CITIBANK 025 C004101 D 025 D004101 18923 025 A004102 MORGAN STANLEY 025 C004102 D PAGE 177 025 D004102 0 025 D004103 0 025 D004104 0 025 D004105 0 025 D004106 0 025 D004107 0 025 D004108 0 028 A014100 453881 028 A024100 0 028 A034100 0 028 A044100 60997 028 B014100 34040 028 B024100 0 028 B034100 0 028 B044100 17025 028 C014100 309975 028 C024100 0 028 C034100 0 028 C044100 56864 028 D014100 93650 028 D024100 45579 028 D034100 0 028 D044100 89540 028 E014100 104562 028 E024100 0 028 E034100 0 028 E044100 47055 028 F014100 77200 028 F024100 0 028 F034100 0 028 F044100 82740 028 G014100 1073308 028 G024100 45579 028 G034100 0 028 G044100 354221 028 H004100 0 037 004100 N 038 004100 0 039 004100 N 040 004100 N 041 004100 N 045 004100 Y 046 004100 N 048 004100 0.000 048 A014100 0 048 A024100 0.000 048 B014100 0 048 B024100 0.000 048 C014100 0 048 C024100 0.000 048 D014100 0 PAGE 178 048 D024100 0.000 048 E014100 0 048 E024100 0.000 048 F014100 0 048 F024100 0.000 048 G014100 0 048 G024100 0.000 048 H014100 0 048 H024100 0.000 048 I014100 0 048 I024100 0.000 048 J014100 0 048 J024100 0.000 048 K014100 0 048 K024100 0.000 058 A004100 N 059 004100 Y 060 A004100 Y 060 B004100 Y 061 004100 0 062 A004100 Y 062 B004100 0.0 062 C004100 0.0 062 D004100 0.0 062 E004100 0.0 062 F004100 0.0 062 G004100 0.0 062 H004100 0.0 062 I004100 0.1 062 J004100 0.0 062 K004100 0.0 062 L004100 0.0 062 M004100 0.0 062 N004100 5.2 062 O004100 0.0 062 P004100 5.9 062 Q004100 89.5 062 R004100 0.0 063 A004100 0 063 B004100 8.2 064 A004100 N 064 B004100 N 066 A004100 N 067 004100 N 068 A004100 N 068 B004100 N 069 004100 N 070 A014100 Y 070 A024100 Y 070 B014100 Y 070 B024100 N PAGE 179 070 C014100 Y 070 C024100 N 070 D014100 Y 070 D024100 N 070 E014100 Y 070 E024100 N 070 F014100 Y 070 F024100 N 070 G014100 Y 070 G024100 Y 070 H014100 N 070 H024100 N 070 I014100 Y 070 I024100 N 070 J014100 Y 070 J024100 Y 070 K014100 Y 070 K024100 N 070 L014100 Y 070 L024100 Y 070 M014100 Y 070 M024100 N 070 N014100 Y 070 N024100 Y 070 O014100 Y 070 O024100 N 070 P014100 N 070 P024100 N 070 Q014100 N 070 Q024100 N 070 R014100 N 070 R024100 N 071 A004100 1519970 071 B004100 352729 071 C004100 908564 071 D004100 39 072 A004100 12 072 B004100 63345 072 C004100 0 072 D004100 0 072 E004100 0 072 F004100 0 072 G004100 0 072 H004100 0 072 I004100 0 072 J004100 106 072 K004100 0 072 L004100 0 072 M004100 8 072 N004100 0 072 O004100 0 PAGE 180 072 P004100 1766 072 Q004100 0 072 R004100 23 072 S004100 36 072 T004100 0 072 U004100 0 072 V004100 0 072 W004100 6 072 X004100 1945 072 Y004100 178 072 Z004100 61578 072AA004100 0 072BB004100 6561 072CC014100 14058 072CC024100 0 072DD014100 49090 072DD024100 0 072EE004100 0 073 A014100 1.0500 073 A024100 0.0000 073 B004100 0.0000 073 C004100 0.0000 074 A004100 450 074 B004100 0 074 C004100 0 074 D004100 1528696 074 E004100 0 074 F004100 0 074 G004100 0 074 H004100 0 074 I004100 1746 074 J004100 0 074 K004100 32 074 L004100 13764 074 M004100 0 074 N004100 1544688 074 O004100 0 074 P004100 0 074 Q004100 0 074 R014100 19718 074 R024100 0 074 R034100 0 074 R044100 4797 074 S004100 0 074 T004100 1520173 074 U014100 58166 074 U024100 0 074 V014100 26.14 074 V024100 0.00 074 W004100 0.0000 074 X004100 12 PAGE 181 074 Y004100 0 075 A004100 0 075 B004100 873142 076 004100 0.00 008 A004201 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B004201 A 008 C004201 801-6003 008 D014201 BOSTON 008 D024201 MA 008 D034201 02110 012 A004201 INVESTORS BANK & TRUST COMPANY 012 B004201 85-720 012 C014201 BOSTON 012 C024201 MA 012 C034201 02116 015 A004201 BROWN BROTHERS HARRIMAN & CO. 015 B004201 C 015 C014201 BOSTON 015 C024201 MA 015 C034201 02109 015 E014201 X 024 004200 N 025 D004201 0 025 D004202 0 025 D004203 0 025 D004204 0 025 D004205 0 025 D004206 0 025 D004207 0 025 D004208 0 028 A014200 0 028 A024200 0 028 A034200 0 028 A044200 0 028 B014200 10000 028 B024200 0 028 B034200 0 028 B044200 0 028 C014200 5000 028 C024200 0 028 C034200 0 028 C044200 0 028 D014200 5009 028 D024200 89 028 D034200 0 028 D044200 0 028 E014200 5011 028 E024200 0 028 E034200 0 028 E044200 0 028 F014200 4 PAGE 182 028 F024200 0 028 F034200 0 028 F044200 0 028 G014200 25024 028 G024200 89 028 G034200 0 028 G044200 0 028 H004200 0 037 004200 N 038 004200 0 039 004200 N 040 004200 N 041 004200 N 045 004200 Y 046 004200 N 047 004200 Y 048 004200 0.700 048 A014200 0 048 A024200 0.000 048 B014200 0 048 B024200 0.000 048 C014200 0 048 C024200 0.000 048 D014200 0 048 D024200 0.000 048 E014200 0 048 E024200 0.000 048 F014200 0 048 F024200 0.000 048 G014200 0 048 G024200 0.000 048 H014200 0 048 H024200 0.000 048 I014200 0 048 I024200 0.000 048 J014200 0 048 J024200 0.000 048 K014200 0 048 K024200 0.000 058 A004200 N 059 004200 Y 060 A004200 Y 060 B004200 Y 061 004200 1000000 062 A004200 N 062 B004200 0.0 062 C004200 0.0 062 D004200 0.0 062 E004200 0.0 062 F004200 0.0 062 G004200 0.0 PAGE 183 062 H004200 0.0 062 I004200 0.0 062 J004200 0.0 062 K004200 0.0 062 L004200 0.0 062 M004200 0.0 062 N004200 0.0 062 O004200 0.0 062 P004200 0.0 062 Q004200 0.0 062 R004200 0.0 063 A004200 0 063 B004200 0.0 066 A004200 Y 066 B004200 N 066 C004200 N 066 D004200 N 066 E004200 N 066 F004200 N 066 G004200 Y 067 004200 N 068 A004200 N 068 B004200 Y 069 004200 N 070 A014200 Y 070 A024200 N 070 B014200 Y 070 B024200 N 070 C014200 N 070 C024200 N 070 D014200 Y 070 D024200 N 070 E014200 N 070 E024200 N 070 F014200 Y 070 F024200 N 070 G014200 Y 070 G024200 N 070 H014200 Y 070 H024200 N 070 I014200 N 070 I024200 N 070 J014200 Y 070 J024200 Y 070 K014200 Y 070 K024200 N 070 L014200 Y 070 L024200 Y 070 M014200 Y 070 M024200 Y 070 N014200 Y PAGE 184 070 N024200 N 070 O014200 Y 070 O024200 N 070 P014200 N 070 P024200 N 070 Q014200 N 070 Q024200 N 070 R014200 N 070 R024200 N 071 A004200 26886 071 B004200 6027 071 C004200 38830 071 D004200 16 072 A004200 9 072 B004200 162 072 C004200 384 072 D004200 0 072 E004200 0 072 F004200 198 072 G004200 0 072 H004200 0 072 I004200 18 072 J004200 59 072 K004200 0 072 L004200 0 072 M004200 0 072 N004200 2 072 O004200 0 072 P004200 0 072 Q004200 0 072 R004200 38 072 S004200 1 072 T004200 0 072 U004200 0 072 V004200 0 072 W004200 47 072 X004200 363 072 Y004200 122 072 Z004200 305 072AA004200 0 072BB004200 851 072CC014200 1243 072CC024200 0 072DD014200 278 072DD024200 0 072EE004200 0 073 A014200 0.0530 073 A024200 0.0000 073 B004200 0.0000 073 C004200 0.0000 074 A004200 73 PAGE 185 074 B004200 0 074 C004200 0 074 D004200 63 074 E004200 851 074 F004200 53044 074 G004200 0 074 H004200 0 074 I004200 822 074 J004200 255 074 K004200 16 074 L004200 114 074 M004200 6730 074 N004200 61968 074 O004200 623 074 P004200 40 074 Q004200 0 074 R014200 0 074 R024200 0 074 R034200 0 074 R044200 61 074 S004200 0 074 T004200 61244 074 U014200 6324 074 U024200 0 074 V014200 9.68 074 V024200 0.00 074 W004200 0.0000 074 X004200 9 074 Y004200 0 075 A004200 0 075 B004200 42468 076 004200 0.00 SIGNATURE SUSAN RANDALL HARBERT TITLE TREASURER EX-99 2 att77b.txt Report of Independent Accountants To the Board of Directors and Shareholders of the GMO Trust Re: GMO U.S Sector Fund, GMO Emerging Country Debt Share Fund, GMO Domestic Bond Fund, GMO U.S. Core Fund, GMO Small Cap Growth Fund, GMO Short-Term Income Fund, GMO Tax-Managed U.S. Equities Fund, GMO Tax-Managed Small Companies Fund, GMO Value Fund, GMO Tobacco-Free Core Fund, GMO REIT Fund, GMO Growth Fund, GMO Inflation Indexed Bond Fund, GMO International Equity Allocation Fund, GMO World Equity Allocation Fund, GMO Global Balanced Allocation Fund, GMO Global (U.S.+) Equity Allocation Fund, Pelican Fund, GMO U.S. Bond/Global Alpha A Fund, GMO Currency Hedged International Bond Fund, GMO Intrinsic Value Fund, GMO Small Cap Value Fund, GMO Asia Fund, GMO Tax Managed International Equities Fund, GMO International Intrinsic Value Fund (formerly GMO International Core Fund), GMO Currency Hedged International Equity Fund (formerly GMO Currency Hedged International Core Fund), GMO Foreign Small Companies Fund, GMO Alpha LIBOR Fund, GMO International Bond Fund, GMO Global Bond Fund, GMO Emerging Country Debt Fund, GMO Evolving Countries Fund, GMO Foreign Fund, GMO International Small Companies Fund, GMO Global Hedged Equity Fund, GMO Emerging Markets Fund (individually a "Fund", collectively the "Trust") In planning and performing our audits of the financial statements of the Trust for the period ended February 28, 2001, we considered its internal control, including control activities for safeguarding securities, in order to determine our auditing procedures for the purpose of expressing our opinion on the financial statements and to comply with the requirements of Form N-SAR, not to provide assurance on internal control. The management of the Trust is responsible for establishing and maintaining internal control. In fulfilling this responsibility, estimates and judgments by management are required to assess the expected benefits and related costs of controls. Generally, controls that are relevant to an audit pertain to the entity's objective of preparing financial statements for external purposes that are fairly presented in conformity with accounting principles generally accepted in the United States of America. Those controls include the safeguarding of assets against unauthorized acquisition, use or disposition. Because of inherent limitations in internal control, errors or fraud may occur and not be detected. Also, projection of any evaluation of internal control to future periods is subject to the risk that controls may become inadequate because of changes in conditions or that the effectiveness of their design and operation may deteriorate. Our consideration of internal control would not necessarily disclose all matters in internal control that might be material weaknesses under standards established by the American Institute of Certified Public Accountants. A material weakness is a condition in which the design or operation of one or more of the internal control components does not reduce to a relatively low level the risk that misstatements caused by error or fraud in amounts that would be material in relation to the financial statements being audited may occur and not be detected within a timely period by employees in the normal course of performing their assigned functions. However, we noted no matters involving internal control and its operation, including controls for safeguarding securities, that we consider to be material weaknesses as defined above as of February 28, 2001. This report is intended solely for the information and use of the management and Trustees of the Trust and the Securities and Exchange Commission and is not intended to be and should not be used by anyone other than these specified parties. April 23, 2001 2 2 EX-99 3 att77d.txt GMO TRUST Item 77D For U.S. EQUITY Funds (Except Value Fund and REIT Fund), International Equity Funds (Except Foreign Fund, Foreign Small Companies Fund, Emerging Markets Fund, Evolving Countries Fund and Asia Fund), Tax-Managed Funds, Global Hedged Equity Fund and U.S. Sector Fund Remove the following diversification restrictions: "Except for U.S. government securities, cash, and money market instruments, the Fund will not invest in any one security to an extent greater than 5 percentage points over that security's weighting in the Fund's benchmark." For all Tax-Managed Funds "The Fund will not purchase more than 10% of the outstanding securities of any issuer." EX-99 4 att77h.txt
GMO TRUST SUB-ITEM 77H The following shareholders held greater than 25% of the outstanding shares of a series of the Trust as of February 28, 2001: Fund Shareholder GMO U.S. Core Fund NRECA GMO U.S. Core Fund Wheeler & Co F/B/O The Hyams Foundation Inc. GMO Growth Fund Surdna Foundation Inc GMO Growth Fund "The Northern Trust Company, Trustee of The Aerospace Corporation Employees Retirement Plan Trust" GMO Value Fund Leland Stanford Junior University II GMO Short-Term Income Fund Bost & Co A/C NYXF1749622 (Verizon-STIF) GMO International Intrinsic Value Fund State Street Bank as Trustee for the Electronic Data Systems Corporation GMO International Intrinsic Value Fund Sisters of the Holy Cross Inc. c/o Sister Mary Eliza Martin CSC General Treasurer GMO International Small Companies Fund Princeton University TR GMO International Small Companies Fund Yale University GMO U.S. Sector Fund Cormorant Fund c/o GMO GMO International Bond Fund Saturn & Co A/C 4600712 c/o Investors Bank & Trust Company TR - FBO The John Hancock Mutual Life Insurance Company Pension Plan GMO International Bond Fund Bost & Co A/C NYXF1049812 (Verizon-IBF) GMO Small Cap Growth Fund Bost & Co A/C WFHF6202002 - FBO The Hewlett Foundation GMO Emerging Markets Fund Princeton University TR GMO Emerging Country Debt Fund San Francisco City & County Retirement System GMO Emerging Country Debt Fund "Chase Manhattan Bank, TTEE for General Motors Employees Global Group Pension Trust" GMO Global Hedged Equity Fund Partners Healthcare System Pooled Investment Accounts GMO Currency Hedged International Bond Fund Bost & Co A/C NYXF1783842 - FBO Bell Atlantic-Fixed Income GMO Currency Hedged International Equity Fund Trustees of Columbia University in the City of New York - Global GMO Currency Hedged International Equity Fund The Edna McConnell Clark Foundation GMO Global Bond Fund Fresno County Employees' Retirement Association GMO Foreign Fund Princeton University TR GMO Foreign Fund American Committee For The Weizmann Institute of Science Inc. GMO International Equity Allocation Fund MD Co FBO Memorial Drive Trust c/o MDT Advisors Inc GMO World Equity Allocation Fund Mars & Co (Bridgewater College) c/o Investors Bank & Trust Co GMO World Equity Allocation Fund Longwood College Foundation Inc GMO Global (U.S.+) Equity Allocation Fund "Bost & Co, Yale Trusts" GMO U.S. Bond/Global Alpha A Fund Phillips Exeter Academy GMO U.S. Bond/Global Alpha A Fund GMO Global Balanced Allocation Fund GMO Asia Fund Princeton University TR GMO Tax-Managed U.S. Equities Fund Fleet National Bank Metcalf FBO Various Accounts GMO Tax-Managed International Equities Fund Gordon Family Trust GMO Tax-Managed International Equities Fund The Northern Trust Mars Benefit Trust GMO Intrinsic Value Fund Princeton University TR GMO Emerging Country Debt Share Fund Sprint Corporate Master Trust GMO Alpha LIBOR Fund The Chase Manhattan Bank as Directed Trustee for the IBM Personal Pension Plan Trust GMO Foreign Small Companies Fund Princeton University TR GMO Foreign Small Companies Fund FMC Corporation Defined Benefit Retirement Trust The following shareholders ceased to hold greater than 25% of the outstanding shares of a series of the Trust during the period March 1, 2000 through February 28, 2001: Fund Shareholder GMO Short-Term Income Fund Marshall Jones - GTE IMC GMO U.S. Sector Fund The Herb Society of America Inc GMO Tax-Managed U.S. Equities Fund Dovecote Fund LLC GMO Tax-Managed Small Companies Fund Mac & Co A/C 10260102934 GMO Alpha LIBOR Fund GMO Global Bond Fund GMO Alpha LIBOR Fund GMO U.S. Bond/Global Alpha B Fund
EX-99 5 att77l.txt GMO TRUST Item 77L For Fixed Income Funds Effective March 1, 2000, the Funds adopted the provisions of the revised AICPA Audit and Accounting Guide for Investment Companies and began amortizing premiums and discounts on debt securities using the daily effective yield method. Prior to March 1, 2000, the Funds (except Short-Term Income Fund) did not amortize premiums, and certain discounts were amortized using the straight-line method. The cumulative effect of this accounting change had no impact on total net assets for each Fund, but resulted in a reclassification of the components of net assets as of March 1, 2000, based on securities held by the Funds as of that date. The statement of changes in net assets and financial highlights for prior periods have not been restated to reflect this change in policy. EX-99 6 secalloc.txt
GMO Trust FYE 2/28/01 Attachment Filed in Response to Form N-SAR Sub-Item 77P GMO Fund of Fund Allocation % March, 2000 Intl Equity Alloc Global(US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total U.S.Core Fund $0 0.00% $13,187,494 33.94% $1,754,109 15.41% $18,929,404 15.54% Currency Hedged IntL Equity Fund $0 0.00% $546,439 1.41% $163,280 1.43% $5,124,800 4.21% Domestic Bond Fund . $0 0.00% $0 0.00% $0 0.00% $16,676,651 13.69% Emerging Country Debt Fund $3,450,362 4.30% $1,780,429 4.58% $618,093 5.43% $3,793,069 3.11% Emerging Markets Fund $8,860,755 11.03% $2,474,570 6.37% $1,065,686 9.36% $5,849,844 4.80% Growth Fund $0 0.00% $301,919 0.78% $82,978 0.73% $303,239 0.25% International Bond Fund $1,723,351 2.15% $0 0.00% $204,188 1.79% $2,797,665 2.30% Internationl Core Fund $47,454,913 59.08% $5,084,764 13.09% $3,536,718 31.07% $9,079,816 7.46% International Small Companies Fund $2,949,285 3.67% $414,293 1.07% $211,209 1.86% $920,303 0.76% REIT Fund $0 0.00% $3,014,864 7.76% $565,545 4.97% $6,894,390 5.66% Small Cap Growth Fund $0 0.00% $882,029 2.27% $164,127 1.44% $1,760,873 1.45% Small Cap Value Fund $0 0.00% $4,183,049 10.77% $780,563 6.86% $8,433,296 6.93% Value Fund $0 0.00% $1,453,766 3.74% $254,660 2.24% $2,510,129 2.06% Inflation Indexed Bond Fund $2,061,477 2.57% $1,444,287 3.72% $445,004 3.91% $5,681,680 4.67% U.S. Bond/Global Alpha A Fund $1,307,467 1.63% $1,270,955 3.27% $250,332 2.20% $27,247,470 22.37% Evolving Countries Fund $12,522,134 15.59% $2,815,488 7.25% $1,286,727 11.30% $5,775,578 4.74% Total Market Value $80,329,744 100.00% $38,854,345 100.00% $11,383,219 100.00% $121,778,208 100.00% GMO Fund of Fund Allocation % April, 2000 Intl Equity Alloc Global(US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total U.S.Core Fund $0 0.00% $13,757,506 34.13% $1,731,224 15.68% $18,682,440 15.57% Currency Hedged Intl Equity Fund $0 0.00% $551,214 1.37% $164,707 1.49% $5,169,580 4.31% Domestic Bond Fund $0 0.00% $0 0.00% $0 0.00% $16,629,526 13.86% Emerging Country Debt Fund $3,335,371 4.36% $1,737,338 4.31% $603,114 5.46% $3,651,086 3.04% Emerging Markets Fund $8,040,737 10.50% $2,509,503 6.23% $967,062 8.76% $5,308,470 4.42% Growth Fund $0 0.00% $290,651 0.72% $79,881 0.72% $291,922 0.24% Inflation Indexed Bond Fund $2,090,395 2.73% $1,607,240 3.99% $451,247 4.09% $5,761,383 4.80% International Bond Fund $1,647,240 2.15% $0 0.00% $195,170 1.77% $2,674,109 2.23% Internationl Core Fund $45,958,392 60.03% $5,220,654 12.95% $3,425,185 31.02% $8,793,479 7.33% International Small Companies Fund $2,844,128 3.71% $399,522 0.99% $203,678 1.84% $887,490 0.74% REIT Fund $0 0.00% $3,379,961 8.39% $600,688 5.44% $7,322,810 6.10% Small Cap Growth Fund $0 0.00% $782,764 1.94% $151,267 1.37% $1,494,533 1.25% Small Cap Value Fund $0 0.00% $4,479,476 11.11% $789,896 7.15% $8,534,139 7.11% Value Fund $0 0.00% $1,573,080 3.90% $260,230 2.36% $2,565,027 2.14% U.S. Bond/Global Alpha A Fund $1,295,423 1.69% $1,455,501 3.61% $248,026 2.25% $26,996,470 22.49% Evolving CountriesFund $11,350,134 14.82% $2,560,185 6.35% $1,170,049 10.60% $5,251,861 4.38% Total Market Value $76,561,821 100.00% $40,304,594 100.00% $11,041,424 100.00% $120,014,323 100.00% GMO Fund of Fund Allocation % May, 2000 Intl Equity Alloc Global(US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total U.S.Core Fund $0 0.00% $12,980,320 33.70% $1,685,486 15.54% $19,422,583 15.37% Currency Hedged Intl Equity Fund $0 0.00% $555,458 1.44% $165,975 1.53% $5,209,384 4.12% Domestic Bond Fund $0 0.00% $0 0.00% $0 0.00% $18,681,106 14.78% Emerging Country Debt Fund $3,218,266 4.19% $1,641,344 4.26% $587,495 5.42% $4,064,648 3.22% Emerging Markets Fund $7,965,268 10.36% $2,236,498 5.81% $906,792 8.36% $5,639,631 4.46% Growth Fund $0 0.00% $274,630 0.71% $75,478 0.70% $275,832 0.22% Inflation Indexed Bond Fund $2,176,537 2.83% $1,539,786 4.00% $448,125 4.13% $6,172,879 4.88% International Bond Fund $1,816,798 2.36% $0 0.00% $194,740 1.80% $2,668,226 2.11% Internationl Core Fund $47,127,791 61.31% $5,082,203 13.19% $3,446,199 31.78% $9,806,422 7.76% International Small Companies Fund $2,836,792 3.69% $398,491 1.03% $203,153 1.87% $966,107 0.76% REIT Fund $0 0.00% $3,399,500 8.83% $613,053 5.65% $8,019,344 6.34% Small Cap Growth Fund $0 0.00% $611,403 1.59% $136,875 1.26% $1,352,341 1.07% Small Cap Value Fund $0 0.00% $4,351,815 11.30% $776,091 7.16% $9,057,999 7.17% US Bond/Global Alpha A $1,240,870 1.61% $1,435,954 3.73% $244,695 2.26% $27,327,146 21.62% Value Fund $0 0.00% $1,623,102 4.21% $268,504 2.48% $2,830,300 2.24% Evolving Countries $10,482,667 13.64% $2,388,393 6.20% $1,091,537 10.07% $4,899,452 3.88% Total Market Value $76,864,989 100.00% $38,518,897 100.00% $10,844,199 100.00% $126,393,399 100.00% GMO Fund of Fund Allocation % June, 2000 Intl Equity Alloc Global(US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total U.S.Core Fund $0 0.00% $14,087,266 33.44% $1,691,325 15.08% $19,111,810 15.19% Currency Hedged Intl Equity Fund $0 0.00% $537,399 1.28% $173,902 1.55% $5,002,764 3.98% Domestic Bond Fund $0 0.00% $0 0.00% $0 0.00% $18,805,382 14.94% Emerging Country Debt Fund $3,408,233 4.21% $1,738,229 4.13% $622,173 5.55% $3,954,083 3.14% Emerging Markets Fund $8,157,782 10.08% $2,583,163 6.13% $928,709 8.28% $5,525,182 4.39% Growth Fund $0 0.00% $297,516 0.71% $81,768 0.73% $198,237 0.16% Inflation Indexed Bond Fund $2,206,857 2.73% $1,762,619 4.18% $454,368 4.05% $6,108,426 4.85% International Bond Fund $1,868,115 2.31% $0 0.00% $202,470 1.80% $2,697,481 2.14% Internationl Core Fund $50,200,382 62.06% $5,917,875 14.05% $3,670,880 32.72% $10,242,641 8.14% International Small Companies Fund $3,049,551 3.77% $428,378 1.02% $218,389 1.95% $1,038,565 0.83% REIT Fund $0 0.00% $3,779,105 8.97% $633,879 5.65% $8,003,428 6.36% Small Cap Value Fund $0 0.00% $5,326,820 12.65% $910,896 8.12% $10,092,357 8.02% US Bond/Global Alpha A $1,276,041 1.58% $1,671,176 3.97% $253,150 2.26% $27,427,162 21.79% Value Fund $0 0.00% $1,536,858 3.65% $254,237 2.27% $2,604,922 2.07% Evolving Countries $10,725,316 13.26% $2,455,201 5.83% $1,122,070 10.00% $5,036,500 4.00% Total Market Value $80,892,277 100.00% $42,121,606 100.00% $11,218,216 100.00% $125,848,941 100.00% GMO Fund of Fund Allocation % July, 2000 Intl Equity Alloc Global(US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total U.S.Core Fund $0 0.00% $14,074,250 33.45% $1,656,941 15.25% $18,843,564 15.21% Currency Hedged Intl Equity Fund $0 0.00% $453,351 1.08% $73,686 0.68% $4,491,806 3.63% Domestic Bond Fund $0 0.00% $0 0.00% $0 0.00% $18,956,499 15.30% Emerging Country Debt Fund $2,735,345 3.47% $1,404,839 3.34% $475,468 4.38% $2,500,415 2.02% Emerging Markets Fund $8,021,418 10.18% $2,539,983 6.04% $913,184 8.41% $5,336,840 4.31% Growth Fund $0 0.00% $209,373 0.50% $40,866 0.38% $116,173 0.09% Inflation Indexed Bond Fund $2,984,766 3.79% $2,166,906 5.15% $594,497 5.47% $7,378,419 5.96% International Bond Fund $1,819,177 2.31% $0 0.00% $197,166 1.81% $2,428,336 1.96% Internationl Core Fund $48,680,431 61.77% $5,738,696 13.64% $3,559,735 32.77% $9,932,518 8.02% International Small Companies Fund $2,980,451 3.78% $418,671 1.00% $213,441 1.96% $1,015,032 0.82% REIT Fund $0 0.00% $4,080,138 9.70% $684,372 6.30% $8,506,379 6.87% Small Cap Value Fund $0 0.00% $5,387,152 12.80% $905,924 8.34% $10,006,416 8.08% US Bond/Global Alpha A $1,282,886 1.63% $1,680,141 3.99% $254,508 2.34% $27,072,219 21.85% Value Fund $0 0.00% $1,543,770 3.67% $256,990 2.37% $2,438,557 1.97% Evolving Countries $10,308,881 13.08% $2,374,543 5.64% $1,037,500 9.55% $4,871,041 3.93% Total Market Value $78,813,354 100.00% $42,071,812 100.00% $10,864,281 100.00% $123,894,214 100.00% GMO Fund of Fund Allocation % August, 2000 Intl Equity Alloc Global(US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total U.S.Core Fund $0 0.00% $15,324,703 34.90% $1,804,155 16.15% $20,517,756 16.08% Currency Hedged Intl Equity Fund $0 0.00% $464,930 1.06% $75,568 0.68% $4,606,528 3.61% Domestic Bond Fund $0 0.00% $0 0.00% $0 0.00% $19,280,888 15.11% Emerging Country Debt Fund $2,683,336 3.42% $1,462,147 3.33% $494,865 4.43% $2,602,417 2.04% Emerging Markets Fund $8,229,975 10.49% $2,606,023 5.94% $936,927 8.39% $5,475,597 4.29% Evolving Countries Fund$10,421,913 13.28% $2,462,128 5.61% $1,075,769 9.63% $5,050,711 3.96% Growth Fund $0 0.00% $168,688 0.38% $45,318 0.41% $128,828 0.10% Inflation Indexed Bond Fund $2,992,248 3.81% $2,179,640 4.96% $597,991 5.35% $7,421,779 5.81% International Bond Fund $1,799,273 2.29% $0 0.00% $195,009 1.75% $2,401,768 1.88% Internationl Core Fund $47,999,268 61.18% $5,751,961 13.10% $3,567,963 31.93% $9,955,478 7.80% International Small Companies Fund $3,014,739 3.84% $423,488 0.96% $215,896 1.93% $1,026,709 0.80% REIT Fund $0 0.00% $3,937,760 8.97% $660,491 5.91% $8,209,547 6.43% Small Cap Value Fund $0 0.00% $5,760,175 13.12% $968,653 8.67% $10,699,292 8.38% US Bond/Global Alpha A $1,310,688 1.67% $1,716,552 3.91% $260,024 2.33% $27,658,923 21.67% Value Fund $0 0.00% $1,646,090 3.75% $274,023 2.45% $2,600,182 2.04% Total Market Value $78,451,441 100.00% $43,904,286 100.00% $11,172,653 100.00% $127,636,403 100.00% GMO Fund of Fund Allocation % September, 2000 Intl Equity Alloc Global(US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total U.S.Core Fund $0 0.00% $15,401,408 34.88% $1,737,334 16.00% $19,416,790 15.68% Currency Hedged Intl Equity Fund $0 0.00% $458,250 1.04% $74,483 0.69% $4,374,050 3.53% Domestic Bond Fund $0 0.00% $0 0.00% $0 0.00% $19,201,272 15.50% Emerging Country Debt Fund $2,652,069 3.50% $1,445,110 3.27% $489,098 4.50% $2,469,982 1.99% Emerging Markets Fund $7,508,047 9.91% $2,377,424 5.38% $854,741 7.87% $4,831,200 3.90% Evolving Countries Fund $9,453,870 12.48% $2,233,432 5.06% $975,845 8.99% $4,581,573 3.70% Growth Fund $0 0.00% $157,088 0.36% $42,202 0.39% $0 0.00% Inflation Indexed Bond Fund $3,018,470 3.98% $2,198,741 4.98% $603,232 5.56% $7,285,654 5.88% International Bond Fund $1,797,283 2.37% $0 0.00% $194,793 1.79% $2,399,111 1.94% Internationl Core Fund $47,069,393 62.14% $5,991,571 13.57% $3,498,842 32.22% $9,659,510 7.80% International Small Companies Fund $2,935,612 3.88% $412,373 0.93% $210,230 1.94% $999,762 0.81% REIT Fund $0 0.00% $4,067,934 9.21% $682,325 6.28% $8,377,754 6.76% Small Cap Value Fund $0 0.00% $5,904,677 13.37% $963,547 8.87% $10,468,929 8.45% US Bond/Global Alpha A $1,315,984 1.74% $1,884,055 4.27% $261,075 2.40% $27,227,397 21.98% Value Fund $0 0.00% $1,624,549 3.68% $270,437 2.49% $2,566,155 2.07% Total Market Value $75,750,728 100.00% $44,156,613 100.00% $10,858,184 100.00% $123,859,138 100.00% GMO Fund of Fund Allocation % October, 2000 Intl Equity Alloc Global(US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total U.S.Core Fund $0 0.00% $15,532,282 35.49% $1,752,098 16.44% $19,581,785 15.92% Currency Hedged Intl Equity Fund $0 0.00% $464,485 1.06% $75,496 0.71% $4,381,927 3.56% Domestic Bond Fund $0 0.00% $0 0.00% $0 0.00% $19,370,584 15.75% Emerging Country Debt Fund $2,419,519 3.29% $1,409,485 3.22% $477,041 4.48% $2,409,093 1.96% Emerging Markets Fund $7,146,591 9.72% $2,199,626 5.03% $790,818 7.42% $4,469,892 3.63% Evolving Countries Fund $8,484,050 11.54% $2,055,828 4.70% $898,246 8.43% $4,217,243 3.43% Growth Fund $0 0.00% $128,762 0.29% $40,625 0.38% $0 0.00% Inflation Indexed Bond Fund $3,218,143 4.38% $2,234,821 5.11% $613,130 5.75% $7,405,206 6.02% International Bond Fund $1,749,515 2.38% $0 0.00% $189,616 1.78% $2,381,438 1.94% Internationl Core Fund $46,351,305 63.03% $5,967,926 13.63% $3,456,053 32.43% $9,490,383 7.72% International Small Companies Fund $2,893,496 3.93% $399,405 0.91% $203,619 1.91% $968,323 0.79% REIT Fund $0 0.00% $3,888,945 8.88% $652,303 6.12% $8,009,133 6.51% Small Cap Value Fund $0 0.00% $5,916,490 13.52% $965,475 9.06% $10,489,873 8.53% US Bond/Global Alpha A $1,272,263 1.73% $1,885,951 4.31% $261,337 2.45% $27,148,468 22.07% Value Fund $0 0.00% $1,687,073 3.85% $280,846 2.64% $2,664,920 2.17% Total Market Value $73,534,882 100.00% $43,771,079 100.00% $10,656,702 100.00% $122,988,268 100.00% GMO Fund of Fund Allocation % November, 2000 Intl Equity Alloc Global(US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total U.S.Core Fund $0 0.00% $14,399,623 33.96% $1,624,330 15.53% $18,153,825 14.92% Currency Hedged Intl Equity Fund $0 0.00% $466,266 1.10% $75,785 0.72% $4,398,732 3.61% Domestic Bond Fund $0 0.00% $0 0.00% $0 0.00% $24,753,553 20.34% Emerging Country Debt Fund $2,406,225 3.29% $1,401,741 3.31% $474,420 4.54% $2,395,856 1.97% Emerging Markets Fund $6,733,970 9.22% $2,072,626 4.89% $745,158 7.12% $4,211,815 3.46% Evolving Countries Fund $8,032,237 10.99% $1,946,346 4.59% $850,410 8.13% $3,992,657 3.28% Growth Fund $0 0.00% $110,408 0.26% $34,834 0.33% $0 0.00% Inflation Indexed Bond Fund $3,260,930 4.46% $2,264,534 5.34% $621,282 5.94% $7,503,661 6.17% International Bond Fund $1,783,351 2.44% $0 0.00% $193,283 1.85% $2,427,495 1.99% Internationl Core Fund $46,594,881 63.76% $6,007,712 14.17% $3,479,093 33.26% $9,553,652 7.85% International Small Companies Fund $2,974,020 4.07% $410,520 0.97% $209,285 2.00% $995,270 0.82% REIT Fund $0 0.00% $3,982,508 9.39% $667,996 6.39% $8,151,357 6.70% Small Cap Value Fund $0 0.00% $5,772,842 13.61% $942,034 9.01% $10,185,858 8.37% US Bond/Global Alpha A $1,287,607 1.76% $1,908,696 4.50% $264,489 2.53% $22,356,128 18.37% Value Fund $0 0.00% $1,660,037 3.91% $276,345 2.64% $2,622,213 2.15% Total Market Value $73,073,219 100.00% $42,403,859 100.00% $10,458,746 100.00% $121,702,072 100.00% GMO Fund of Fund Allocation % December, 2000 Intl Equity Alloc Global(US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total U.S.Core Fund $0 0.00% $14,411,660 33.56% $1,666,454 15.22% $17,850,233 14.66% Currency Hedged Intl Equity Fund $0 0.00% $477,865 1.11% $77,671 0.71% $4,232,757 3.48% Domestic Bond Fund $0 0.00% $0 0.00% $0 0.00% $25,135,065 20.64% Emerging Country Debt Fund $2,441,373 3.32% $1,449,622 3.38% $490,625 4.48% $2,477,694 2.03% Emerging Markets Fund $6,831,494 9.30% $2,102,643 4.90% $755,950 6.90% $4,272,812 3.51% Evolving Countries Fund $7,670,919 10.44% $1,997,438 4.65% $872,733 7.97% $4,097,464 3.36% Growth Fund $0 0.00% $107,612 0.25% $33,952 0.31% $0 0.00% Inflation Indexed Bond Fund $3,297,056 4.49% $1,999,336 4.66% $628,165 5.74% $7,023,333 5.77% International Bond Fund $1,886,849 2.57% $0 0.00% $204,500 1.87% $2,260,008 1.86% Internationl Core Fund $47,561,288 64.72% $6,070,987 14.14% $3,689,705 33.69% $9,613,711 7.89% International Small Companies Fund $3,100,285 4.22% $427,949 1.00% $218,171 1.99% $1,037,526 0.85% REIT Fund $0 0.00% $4,216,903 9.82% $710,983 6.49% $8,398,409 6.90% Small Cap Value Fund $0 0.00% $5,873,699 13.68% $1,039,495 9.49% $10,830,983 8.89% US Bond/Global Alpha A $702,847 0.96% $2,069,569 4.82% $274,238 2.50% $21,905,742 17.99% Value Fund $0 0.00% $1,740,195 4.05% $289,689 2.64% $2,645,130 2.17% Total Market Value $73,492,111 100.00% $42,945,479 100.00% $10,952,332 100.00% $121,780,865 100.00% GMO Fund of Fund Allocation % January, 2001 Intl Equity Alloc Global(US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total U.S.Core Fund $0 0.00% $14,646,296 33.28% $1,702,057 15.12% $16,801,685 14.69% Currency Hedged Intl Equity Fund $0 0.00% $485,209 1.10% $78,864 0.70% $4,297,805 3.76% Domestic Bond Fund $0 0.00% $0 0.00% $0 0.00% $23,950,847 20.94% Emerging Country Debt Fund $2,581,125 3.48% $1,532,603 3.48% $518,710 4.61% $2,619,525 2.29% Emerging Markets Fund $7,686,154 10.35% $2,365,696 5.37% $850,524 7.55% $4,807,366 4.20% Evolving Countries Fund $8,468,432 11.40% $2,250,463 5.11% $983,287 8.73% $4,616,509 4.04% Growth Fund $0 0.00% $113,509 0.26% $35,813 0.32% $0 0.00% Inflation Indexed Bond Fund $3,384,502 4.56% $2,052,364 4.66% $644,825 5.73% $6,183,088 5.41% International Bond Fund $1,894,810 2.55% $0 0.00% $205,363 1.82% $1,265,324 1.11% Internationl Core Fund $46,564,354 62.70% $6,044,616 13.73% $3,673,678 32.63% $8,874,993 7.76% International Small Companies Fund $3,149,453 4.24% $434,736 0.99% $221,631 1.97% $1,053,980 0.92% REIT Fund $0 0.00% $4,253,325 9.66% $717,124 6.37% $7,900,688 6.91% Small Cap Value Fund $0 0.00% $5,852,433 13.30% $1,035,732 9.20% $9,392,513 8.21% US Bond/Global Alpha A $530,757 0.71% $2,127,503 4.83% $282,582 2.51% $19,986,071 17.48% Value Fund $0 0.00% $1,855,453 4.22% $308,876 2.74% $2,607,076 2.28% Total Market Value $74,259,586 100.00% $44,014,206 100.00% $11,259,066 100.00% $114,357,469 100.00% GMO Fund of Fund Allocation % February, 2001 Intl Equity Alloc Global(US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total Mkt Value % of Total U.S.Core Fund $0 0.00% $13,757,022 32.16% $1,602,139 14.54% $15,548,180 13.80% Currency Hedged Intl Equity Fund $0 0.00% $485,209 1.13% $78,864 0.72% $4,297,805 3.81% Domestic Bond Fund $0 0.00% $0 0.00% $0 0.00% $24,252,470 21.52% Emerging Country Debt Fund $2,555,456 3.50% $1,517,361 3.55% $513,552 4.66% $2,593,474 2.30% Emerging Markets Fund $7,479,314 10.25% $2,302,033 5.38% $827,636 7.51% $4,677,996 4.15% Evolving Countries Fund $8,065,609 11.05% $2,143,414 5.01% $936,514 8.50% $4,396,913 3.90% Growth Fund $0 0.00% $94,836 0.22% $29,922 0.27% $0 0.00% Inflation Indexed Bond Fund $1,927,485 2.64% $2,089,680 4.88% $403,457 3.66% $6,295,507 5.59% International Bond Fund $3,812,429 5.22% $2,090,579 4.89% $728,436 6.61% $4,230,009 3.75% International Intrinsic Value Fund $45,947,881 62.96% $5,981,487 13.98% $3,627,379 32.92% $8,773,185 7.79% International Small Companies Fund $3,190,426 4.37% $440,392 1.03% $224,514 2.04% $1,067,692 0.95% REIT Fund $0 0.00% $4,172,387 9.75% $703,477 6.38% $7,760,342 6.89% Small Cap Value Fund $0 0.00% $5,894,965 13.78% $1,043,259 9.47% $9,420,660 8.36% US Bond/Global Alpha A $0 0.00% $0 0.00% $0 0.00% $16,884,456 14.98% Value Fund $0 0.00% $1,808,216 4.23% $301,012 2.73% $2,487,159 2.21% Total Market Value $72,978,600 100.00% $42,777,582 100.00% $11,020,160 100.00% $112,685,849 100.00%
EX-99 7 capstkf.txt
GMO Trust FYE 2/28/01 Attachment Filed in Response to Form N-SAR Sub-Item 77P Monthly Purchases, Redemptions, and Exchanges (000's omitted) Exchanges Exchanges March Purchases In Redemptions Out Fund Name U.S. Core Fund 18,585 2,499 12,549 0 International Intrinsic Value Fund 21,039 0 77,832 152 Growth Fund 2 100 11,342 0 Pelican Fund 441 0 5,108 0 Short-Term Income Fund 0 0 683 0 Value Fund 4,000 0 657 100 Tobacco-Free Core Fund 0 0 305 0 Small Cap Value Fund 0 42,851 26,067 0 International Small Companies Fund 800 0 4,476 12 US Sector Fund 0 0 0 0 Emerging Markets Fund 4,198 164 19,934 0 International Bond Fund 244 0 289 0 Emerging Country Debt Fund 374 4 9,614 0 Global Hedged Equity Fund 0 0 258 0 Domestic Bond Fund 4,282 0 1,350 0 Currency Hedged International Bond Fund 56 0 13,841 1,500 Currency Hedged International Equity Fund 0 0 1,689 0 Global Bond Fund 59 0 6,136 0 REIT Fund 2,571 0 1,941 2,512 Foreign Fund 6,541 0 2,341 0 World Equity Allocation Fund 0 0 0 0 Global Balanced Allocation Fund 238 0 2,230 0 Small Cap Growth Fund 0 0 936 42,790 International Equity Allocation Fund 1,000 0 70 0 Global (US+) Equity Allocation Fund 0 0 0 4 Inflation Indexed Bond Fund 235 0 0 581 US Bond/Global Alpha A Fund 145 0 3,340 0 Evolving Countries Fund 33 0 960 0 Asia Fund 1 0 0 0 Tax-Managed U.S. Equities Fund 0 0 5 0 Tax-Managed International Equities Fund 0 0 73 0 Emerging Country Debt Share Fund 0 0 0 0 Intrinsic Value Fund 0 0 0 0 Tax-Managed Small Companies Fund 0 257 0 0 Alpha LIBOR 19,000 0 18,680 0 Foreign Small Companies Fund 0 0 0 0 Exchanges Exchanges April Purchases In Redemptions Out Fund Name U.S. Core Fund 23,466 95 56,846 208 International Intrinsic Value Fund 5,948 400 105,832 50 Growth Fund 1 230 10,221 0 Pelican Fund 2,236 0 1,886 0 Short-Term Income Fund 2,332 9 71 22 Value Fund 88 0 109 0 Tobacco-Free Core Fund 0 0 368 0 Small Cap Value Fund 0 3,864 14,258 0 International Small Companies Fund 130 0 2,427 14 US Sector Fund 0 0 55 0 Emerging Markets Fund 1,053 12 6,441 5 International Bond Fund 963 0 6 95 Emerging Country Debt Fund 3,937 0 5,115 77 Global Hedged Equity Fund 0 0 0 0 Domestic Bond Fund 4,023 0 3,851 85 Currency Hedged International Bond Fund 10 0 688 10 Currency Hedged International Equity Fund 3 0 1,439 400 Global Bond Fund 7,500 0 0 0 REIT Fund 4,416 0 11 1 Foreign Fund 5,360 293 28,718 0 World Equity Allocation Fund 0 0 0 0 Global Balanced Allocation Fund 0 0 170 0 Small Cap Growth Fund 0 0 0 5,440 International Equity Allocation Fund 0 0 70 0 Global (US+) Equity Allocation Fund 2,205 0 25 0 Inflation Indexed Bond Fund 5,697 0 1,092 0 US Bond/Global Alpha A Fund 403 0 5 0 Evolving Countries Fund 12 0 30 0 Asia Fund 5 0 0 0 Tax-Managed U.S. Equities Fund 0 0 0 0 Tax-Managed International Equities Fund 0 0 0 0 Emerging Country Debt Share Fund 0 0 0 0 Intrinsic Value Fund 2 2,300 105 0 Tax-Managed Small Companies Fund 0 0 0 0 Alpha LIBOR 29,160 0 2,516 0 Foreign Small Companies Fund 0 0 0 0 Exchanges Exchanges May Purchases In Redemptions Out Fund Name U.S. Core Fund 15,492 0 44,000 11,033 International Intrinsic Value Fund 10,499 0 11,338 0 Growth Fund 0 1 11,111 0 Pelican Fund 685 0 4,215 0 Short-Term Income Fund 146 14 5,328 82 Value Fund 1 8,000 2,806 0 Tobacco-Free Core Fund 215 0 12,643 0 Small Cap Value Fund 0 8,002 1,090 0 International Small Companies Fund 460 0 4,414 0 US Sector Fund 0 0 0 0 Emerging Markets Fund 28,710 0 16,725 25 International Bond Fund 187 185 228 0 Emerging Country Debt Fund 2,239 0 10,789 94 Global Hedged Equity Fund 0 6 58 77 Domestic Bond Fund 368 50 4,051 1,160 Currency Hedged International Bond Fund 0 0 1,565 0 Currency Hedged International Equity Fund 0 0 524 0 Global Bond Fund 542 0 9 0 REIT Fund 103 0 1,390 0 Foreign Fund 1,530 0 425 0 World Equity Allocation Fund 0 0 0 0 Global Balanced Allocation Fund 6,866 1,160 0 5 Small Cap Growth Fund 6,995 5 10,757 13,719 International Equity Allocation Fund 2,000 0 520 29 Global (US+) Equity Allocation Fund 0 0 1,008 0 Inflation Indexed Bond Fund 558 0 352 0 US Bond/Global Alpha A Fund 695 0 730 0 Evolving Countries Fund 1 0 1,517 0 Asia Fund 1 0 100 0 Tax-Managed U.S. Equities Fund 0 0 5,384 0 Tax-Managed International Equities Fund 2,000 0 4,143 0 Emerging Country Debt Share Fund 0 0 0 0 Intrinsic Value Fund 0 0 0 0 Tax-Managed Small Companies Fund 2,000 0 896 0 Alpha LIBOR 24,262 0 26,822 0 Foreign Small Companies Fund 0 0 0 0 Exchanges Exchanges June Purchases In Redemptions Out Fund Name U.S. Core Fund 7,600 0 12 12,117 International Intrinsic Value Fund 32,355 5,136 82,253 2,200 Growth Fund 1 0 3,628 0 Pelican Fund 958 0 2,796 0 Short-Term Income Fund 0 1,003 2,042 0 Value Fund 16 0 0 0 Tobacco-Free Core Fund 0 0 16,607 2,000 Small Cap Value Fund 14,228 0 1,345 0 International Small Companies Fund 5,000 84 996 2 US Sector Fund 0 0 0 0 Emerging Markets Fund 4,709 3,297 7,514 2,138 International Bond Fund 47 0 98 2,979 Emerging Country Debt Fund 348 0 3,509 804 Global Hedged Equity Fund 71 0 16 434 Domestic Bond Fund 1,075 0 770 0 Currency Hedged International Bond Fund 17,370 0 645 0 Currency Hedged International Equity Fund 0 0 11,241 3 Global Bond Fund 6,200 2,000 4,307 0 REIT Fund 375 15 1,392 0 Foreign Fund 2,210 0 1,337 0 World Equity Allocation Fund 0 0 0 0 Global Balanced Allocation Fund 100 0 3,838 0 Small Cap Growth Fund 0 0 14,336 0 International Equity Allocation Fund 0 0 70 0 Global (US+) Equity Allocation Fund 2,959 0 80 0 Inflation Indexed Bond Fund 199 314 168 0 US Bond/Global Alpha A Fund 2 282 1,159 0 Evolving Countries Fund 1 0 65 15 Asia Fund 2 0 0 0 Tax-Managed U.S. Equities Fund 0 0 0 0 Tax-Managed International Equities Fund 229 0 15,804 0 Emerging Country Debt Share Fund 0 0 0 0 Intrinsic Value Fund 0 0 0 0 Tax-Managed Small Companies Fund 0 0 0 0 Alpha LIBOR 34,525 0 38,639 0 Foreign Small Companies Fund 35,967 0 0 0 Exchanges Exchanges July Purchases In Redemptions Out Fund Name U.S. Core Fund 40,629 0 67,511 0 International Intrinsic Value Fund 3,303 800 151,900 0 Growth Fund 0 13 5,479 0 Pelican Fund 80 0 5,555 0 Short-Term Income Fund 2,340 0 859 160 Value Fund 0 0 1,400 0 Tobacco-Free Core Fund 11,794 323 41,813 0 Small Cap Value Fund 542 10 9,633 161 International Small Companies Fund 0 0 6,539 0 US Sector Fund 0 250 1,681 0 Emerging Markets Fund 40,195 1,465 45,268 72 International Bond Fund 0 0 11,498 3 Emerging Country Debt Fund 10,523 0 23,710 13,750 Global Hedged Equity Fund 1 3,895 0 0 Domestic Bond Fund 193 1,911 25,577 4 Currency Hedged International Bond Fund 7,286 25 0 (3,647) Currency Hedged International Equity Fund 0 0 6,127 0 Global Bond Fund 9,352 0 0 0 REIT Fund 0 0 20,281 0 Foreign Fund 161 14 6,022 0 World Equity Allocation Fund 0 0 0 0 Global Balanced Allocation Fund 25 0 2,472 18 Small Cap Growth Fund 18 18 2,818 0 International Equity Allocation Fund 0 0 4 0 Global (US+) Equity Allocation Fund 0 0 221 0 Inflation Indexed Bond Fund 2 5,347 7,411 111 US Bond/Global Alpha A Fund 0 0 12,954 0 Evolving Countries Fund 2 1,640 65 0 Asia Fund 2 50 0 0 Tax-Managed U.S. Equities Fund 0 0 0 0 Tax-Managed International Equities Fund 0 0 0 0 Emerging Country Debt Share Fund 0 0 0 0 Intrinsic Value Fund 0 0 0 0 Tax-Managed Small Companies Fund 0 0 1,352 0 Alpha LIBOR 379,715 0 38,639 0 Foreign Small Companies Fund 36,000 0 36,255 0 Exchanges Exchanges August Purchases In Redemptions Out Fund Name U.S. Core Fund 5,383 0 2,992 0 International Intrinsic Value Fund 1,127 316 129,512 0 Growth Fund 0 0 540 0 Pelican Fund 528 0 3,048 0 Short-Term Income Fund 43 10 2,000 0 Value Fund 0 0 1,138 0 Tobacco-Free Core Fund 323 0 83 0 Small Cap Value Fund 0 0 1,242 0 International Small Companies Fund 0 0 5,338 0 US Sector Fund 0 0 0 0 Emerging Markets Fund 4,500 15 3,103 317 International Bond Fund 0 496 0 0 Emerging Country Debt Fund 54,313 0 4,520 3 Global Hedged Equity Fund 0 0 0 0 Domestic Bond Fund 38 0 200 0 Currency Hedged International Bond Fund 0 0 217 496 Currency Hedged International Equity Fund 0 0 257 0 Global Bond Fund 0 0 9 0 REIT Fund 75 0 434 0 Foreign Fund 1,000 0 7,653 0 World Equity Allocation Fund 0 0 0 0 Global Balanced Allocation Fund 0 0 0 0 Small Cap Growth Fund 0 0 249 0 International Equity Allocation Fund 0 0 1,236 0 Global (US+) Equity Allocation Fund 0 0 60 0 Inflation Indexed Bond Fund 5 550 130 15 US Bond/Global Alpha A Fund 0 0 13 550 Evolving Countries Fund 0 0 250 0 Asia Fund 0 0 0 0 Tax-Managed U.S. Equities Fund 0 0 0 0 Tax-Managed International Equities Fund 0 0 100 0 Emerging Country Debt Share Fund 0 0 0 0 Intrinsic Value Fund 0 0 0 0 Tax-Managed Small Companies Fund 3,001 0 2,248 0 Alpha LIBOR 38,965 0 22,919 0 Foreign Small Companies Fund 0 0 0 0 Exchanges Exchanges September Purchases In Redemptions Out Fund Name U.S. Core Fund 8,952 0 6,435 653 International Intrinsic Value Fund 1,693 385 41,720 504 Growth Fund 0 0 7,541 0 Pelican Fund 525 0 2,080 0 Short-Term Income Fund 0 77 1,035 0 Value Fund 0 0 84 0 Tobacco-Free Core Fund 0 0 0 0 Small Cap Value Fund 830 0 976 198 International Small Companies Fund 0 0 2,270 0 US Sector Fund 0 0 0 0 Emerging Markets Fund 5,397 95 8,453 1 International Bond Fund 496 0 0 354 Emerging Country Debt Fund 33,413 504 1,982 0 Global Hedged Equity Fund 0 0 544 0 Domestic Bond Fund 0 354 381 0 Currency Hedged International Bond Fund 0 0 0 0 Currency Hedged International Equity Fund 0 0 613 0 Global Bond Fund 0 0 556 0 REIT Fund 335 215 157 0 Foreign Fund 40,003 0 35,211 0 World Equity Allocation Fund 0 0 0 0 Global Balanced Allocation Fund 0 0 2,200 0 Small Cap Growth Fund 2,627 0 156 0 International Equity Allocation Fund 0 0 5 0 Global (US+) Equity Allocation Fund 1,350 0 0 0 Inflation Indexed Bond Fund 0 0 248 0 US Bond/Global Alpha A Fund 160 0 545 0 Evolving Countries Fund 600 0 0 0 Asia Fund 30,000 0 0 0 Tax-Managed U.S. Equities Fund 0 0 25 0 Tax-Managed International Equities Fund 0 0 0 0 Emerging Country Debt Share Fund 0 0 0 0 Intrinsic Value Fund 0 0 0 0 Tax-Managed Small Companies Fund 0 0 5,000 0 Alpha LIBOR 453,881 0 60,997 0 Foreign Small Companies Fund 0 0 0 0 Exchanges Exchanges October Purchases In Redemptions Out Fund Name U.S. Core Fund 1,847 2,883 12,524 1,001 International Intrinsic Value Fund 17,376 2,811 10,970 2,500 Growth Fund 0 209 399 2,075 Pelican Fund 295 0 2,187 0 Short-Term Income Fund 1,031 8 8 0 Value Fund 3,860 2,000 0 157 Tobacco-Free Core Fund 0 0 0 0 Small Cap Value Fund 570 1,000 22,234 228 International Small Companies Fund 20,750 0 23 27 US Sector Fund 0 0 0 0 Emerging Markets Fund 63,273 0 15,617 2,923 International Bond Fund 47 0 78 0 Emerging Country Debt Fund 28,822 116 2,707 76 Global Hedged Equity Fund 0 0 136 0 Domestic Bond Fund 154 646 31 265 Currency Hedged International Bond Fund 0 0 81 0 Currency Hedged International Equity Fund 0 0 148 262 Global Bond Fund 12,980 0 9 0 REIT Fund 215 1 917 4 Foreign Fund 7 0 1,673 0 World Equity Allocation Fund 0 0 0 0 Global Balanced Allocation Fund 39 0 212 0 Small Cap Growth Fund 13 0 253 2 International Equity Allocation Fund 1,000 0 1,155 0 Global (US+) Equity Allocation Fund 50 0 25 0 Inflation Indexed Bond Fund 0 156 53 0 US Bond/Global Alpha A Fund 0 0 156 560 Evolving Countries Fund 0 0 221 10 Asia Fund 0 0 0 2 Tax-Managed U.S. Equities Fund 0 0 0 0 Tax-Managed International Equities Fund 75 0 0 0 Emerging Country Debt Share Fund 0 0 0 0 Intrinsic Value Fund 0 0 0 0 Tax-Managed Small Companies Fund 0 0 31 0 Alpha LIBOR 34,040 0 17,025 0 Foreign Small Companies Fund 10,000 0 0 0 Exchanges Exchanges November Purchases In Redemptions Out Fund Name U.S. Core Fund 5,508 0 4,996 5,114 International Intrinsic Value Fund 6,488 0 24,987 23,879 Growth Fund 0 0 85 0 Pelican Fund 642 0 911 0 Short-Term Income Fund 0 412 2,479 0 Value Fund 804 0 825 0 Tobacco-Free Core Fund 1,353 0 2,000 0 Small Cap Value Fund 0 0 341 0 International Small Companies Fund 0 0 1,117 0 US Sector Fund 0 0 0 0 Emerging Markets Fund 4,850 0 5,230 0 International Bond Fund 0 4 12,527 286 Emerging Country Debt Fund 7,600 0 5,657 7,236 Global Hedged Equity Fund 0 0 0 301 Domestic Bond Fund 0 13,985 968 301 Currency Hedged International Bond Fund 0 0 0 2,260 Currency Hedged International Equity Fund 0 0 6,824 0 Global Bond Fund 68,478 223 0 0 REIT Fund 0 450 155 0 Foreign Fund 2,805 28,993 12,653 0 World Equity Allocation Fund 0 0 0 0 Global Balanced Allocation Fund 0 0 200 0 Small Cap Growth Fund 0 0 3 0 International Equity Allocation Fund 0 0 68 0 Global (US+) Equity Allocation Fund 0 0 0 0 Inflation Indexed Bond Fund 265 6,311 36 0 US Bond/Global Alpha A Fund 0 0 112 19,883 Evolving Countries Fund 0 0 0 0 Asia Fund 22 0 0 0 Tax-Managed U.S. Equities Fund 0 0 0 0 Tax-Managed International Equities Fund 0 0 23,431 0 Emerging Country Debt Share Fund 0 0 0 0 Intrinsic Value Fund 0 0 0 0 Tax-Managed Small Companies Fund 0 0 0 0 Alpha LIBOR 309,975 0 56,864 0 Foreign Small Companies Fund 5,000 0 0 0 Exchanges Exchanges December Purchases In Redemptions Out Fund Name U.S. Core Fund 17,202 4,720 58,528 8 International Intrinsic Value Fund 12,763 1,330 224,248 35,535 Growth Fund 3,680 0 298 3,398 Pelican Fund 652 0 2,189 0 Short-Term Income Fund 1,118 2,911 2,609 155 Value Fund 0 21 180 0 Tobacco-Free Core Fund 303 0 44 0 Small Cap Value Fund 0 516 4,475 3,754 International Small Companies Fund 611 3,797 10,047 0 US Sector Fund 0 0 0 0 Emerging Markets Fund 4,549 704 2,115 324 International Bond Fund 48,714 500 634 1,102 Emerging Country Debt Fund 0 3,236 3,434 4,809 Global Hedged Equity Fund 0 750 73 0 Domestic Bond Fund 0 16 470 171 Currency Hedged International Bond Fund 11 0 52,240 334 Currency Hedged International Equity Fund 18 750 6,420 4 Global Bond Fund 0 0 0 840 REIT Fund 417 1,519 1,015 650 Foreign Fund 3,797 35,479 597 1,453 World Equity Allocation Fund 5 0 0 0 Global Balanced Allocation Fund 15 0 0 3,800 Small Cap Growth Fund 0 0 503 122 International Equity Allocation Fund 5 0 3,001 0 Global (US+) Equity Allocation Fund 710 0 0 0 Inflation Indexed Bond Fund 0 112 924 0 US Bond/Global Alpha A Fund 187 0 1,971 2,503 Evolving Countries Fund 142 16 584 0 Asia Fund 27 153 100 0 Tax-Managed U.S. Equities Fund 0 1,800 0 0 Tax-Managed International Equities Fund 0 0 445 0 Emerging Country Debt Share Fund 0 0 0 0 Intrinsic Value Fund 0 0 0 0 Tax-Managed Small Companies Fund 0 0 0 0 Alpha LIBOR 93,650 0 89,540 0 Foreign Small Companies Fund 5,009 0 0 0 Exchanges Exchanges January Purchases In Redemptions Out Fund Name U.S. Core Fund 2,893 0 2,896 107 International Intrinsic Value Fund 146,271 4,827 144,877 5,550 Growth Fund 9 0 364 12 Pelican Fund 1,866 0 10,106 0 Short-Term Income Fund 2,282 41 619 21 Value Fund 2,371 0 200 416 Tobacco-Free Core Fund 1,385 220 1,813 2 Small Cap Value Fund 1,534 0 1,502 2,111 International Small Companies Fund 463 142 0 0 US Sector Fund 0 0 0 0 Emerging Markets Fund 10,892 22,374 37,604 4,827 International Bond Fund 26,135 0 2,100 703 Emerging Country Debt Fund 9,059 171 0 0 Global Hedged Equity Fund 0 0 3,130 0 Domestic Bond Fund 5,600 0 2,108 330 Currency Hedged International Bond Fund 0 0 0 152 Currency Hedged International Equity Fund 6 0 1 0 Global Bond Fund 14 0 163 0 REIT Fund 1,801 0 587 744 Foreign Fund 3,498 0 1,924 501 World Equity Allocation Fund 0 0 0 0 Global Balanced Allocation Fund 13 0 10,279 10 Small Cap Growth Fund 9 0 0 7 International Equity Allocation Fund 0 0 1,135 0 Global (US+) Equity Allocation Fund 0 0 78 0 Inflation Indexed Bond Fund 3,307 410 1,083 0 US Bond/Global Alpha A Fund 31 14 4,264 2,600 Evolving Countries Fund 2,106 0 162 7 Asia Fund 59 39 3 0 Tax-Managed U.S. Equities Fund 500 0 0 0 Tax-Managed International Equities Fund 0 0 0 0 Emerging Country Debt Share Fund 0 0 0 0 Intrinsic Value Fund 9 408 0 0 Tax-Managed Small Companies Fund 0 0 0 0 Alpha LIBOR 104,562 0 47,055 0 Foreign Small Companies Fund 5,011 0 0 0 February Exchanges Exchanges Fund Name Purchases In Redemptions Out U.S. Core Fund 13,867 100 26,582 0 International Intrinsic Value Fund 2,034 230 2,235 0 Growth Fund 2,002 3 20 0 Pelican Fund 2,439 0 1,888 0 Short-Term Income Fund 139 143 1,860 10 Value Fund 22 0 55 0 Tobacco-Free Core Fund 249 1 206 0 Small Cap Value Fund 266 1 3,482 0 International Small Companies Fund 2,016 0 0 0 US Sector Fund 0 0 0 0 Emerging Markets Fund 16,258 1 119 0 International Bond Fund 223 18,582 1,910 0 Emerging Country Debt Fund 9,036 15 22,090 144 Global Hedged Equity Fund 11 0 641 0 Domestic Bond Fund 37 0 4,083 849 Currency Hedged International Bond Fund 0 1,325 253,586 2,861 Currency Hedged International Equity Fund 0 0 0 230 Global Bond Fund 1 0 5,000 0 REIT Fund 343 1 1,445 0 Foreign Fund 9,872 3 6,632 14 World Equity Allocation Fund 0 0 0 0 Global Balanced Allocation Fund 94 0 400 100 Small Cap Growth Fund 3 1 9,086 0 International Equity Allocation Fund 0 0 102 0 Global (US+) Equity Allocation Fund 13 0 30 0 Inflation Indexed Bond Fund 262 0 1,665 4,050 US Bond/Global Alpha A Fund 88,216 3 2,610 10,922 Evolving Countries Fund 113 0 0 0 Asia Fund 10 0 0 0 Tax-Managed U.S. Equities Fund 1,800 0 0 0 Tax-Managed International Equities Fund 210 0 0 0 Emerging Country Debt Share Fund 0 0 0 0 Intrinsic Value Fund 5 0 0 0 Tax-Managed Small Companies Fund 69 0 0 0 Alpha LIBOR 77,200 0 82,740 0 Foreign Small Companies Fund 4 0 0 0
EX-99 8 avgnet.txt
GMO Trust FYE 2/28/2001 Attachment Filed in Response to Form N-SAR Sub-Item 77P Monthly Average Assets Fund Name March April May Core Fund $3,216,842,602 $3,249,025,290 $3,148,653,727 Growth Fund 208,858,354 194,875,566 169,860,040 Value Fund 188,007,970 207,180,427 215,350,386 Short-Term Income Fund 43,867,623 45,037,332 41,035,335 International Intrinsic Value Fund 2,156,990,581 2,130,182,486 1,999,849,995 Tobacco-Free Core Fund 337,408,492 342,162,720 332,407,109 International Small Companies Fund 177,381,006 174,966,279 165,829,886 Small Cap Value Fund 292,651,781 297,174,549 310,371,249 Pelican Fund 119,386,323 125,503,232 125,349,562 US Sector Fund 1,670,073 1,648,641 1,626,962 International Bond Fund 148,792,845 148,830,488 142,155,753 Small Cap Growth Fund 119,377,649 80,551,808 52,324,461 Emerging Markets Fund 1,273,581,480 1,179,630,684 1,087,532,141 Emerging Country Debt Fund 946,743,863 932,467,938 890,451,775 Global Hedged Equity Fund 46,615,116 47,194,886 48,049,380 Domestic Bond Fund 165,879,857 170,865,630 168,009,426 Currency Hedged International Bond Fund 128,325,708 128,961,877 283,100,232 Inflation Indexed Bond Fund 52,526,734 55,444,032 57,743,171 Currency Hedged International Equity Fund 285,515,605 128,961,877 130,115,054 Global Bond Fund 181,546,991 186,565,223 180,275,005 REIT Fund 120,741,307 131,934,515 139,636,624 Foreign Fund 1,246,668,146 1,244,425,598 1,182,664,667 International Equity Allocation Fund 78,654,593 78,515,214 76,165,772 World Equity Allocation Fund 11,168,138 11,159,057 10,872,088 Global (US+) Equity Allocation Fund 37,957,879 39,491,126 38,967,417 Global Balanced Allocation Fund 120,978,263 120,578,380 118,537,980 US Bond/Global Alpha A Fund 121,218,287 119,011,624 115,784,757 Evolving Countries Fund 67,893,747 62,515,535 56,805,578 Asia Fund 124,081,729 117,309,266 104,318,450 Tax-Managed U.S. Equities Fund 13,499,470 13,698,012 11,894,433 Tax-Managed Small Companies Fund 40,443,734 40,339,781 41,373,502 Intrinsic Value Fund 40,444,716 44,142,537 45,330,944 Alpha LIBOR Fund 342,026,899 363,880,438 374,063,841 Tax-Managed International Equities Fund 114,947,112 115,546,416 112,102,825 Emerging Country Debt Share Fund 88,735,129 87,954,624 84,400,799 Foreign Small Companies Fund 0 0 0 Fund Name June July August Core Fund $3,222,038,032 $3,201,536,231 $3,263,849,889 Growth Fund 179,259,465 175,972,750 173,819,809 Value Fund 216,399,348 210,669,360 216,132,409 Short-Term Income Fund 40,409,647 40,969,249 39,379,048 International Intrinsic Value Fund 2,092,942,735 2,044,493,381 1,812,300,485 Tobacco-Free Core Fund 326,935,789 284,426,989 288,648,548 International Small Companies Fund 171,718,655 176,489,716 167,357,991 Small Cap Value Fund 326,417,052 313,388,862 310,595,554 Pelican Fund 123,686,015 118,699,010 118,845,495 US Sector Fund 1,671,365 797,019 256,253 International Bond Fund 148,547,085 142,258,004 131,269,338 Small Cap Growth Fund 39,883,962 38,348,848 35,321,256 Emerging Markets Fund 1,109,620,440 1,111,817,541 1,112,667,753 Emerging Country Debt Fund 930,314,398 944,267,638 974,248,635 Global Hedged Equity Fund 48,019,342 49,573,215 52,830,779 Domestic Bond Fund 167,248,969 156,002,288 146,292,669 Currency Hedged International Bond Fund 290,602,174 304,455,116 305,436,545 Inflation Indexed Bond Fund 58,943,141 58,843,779 58,054,661 Currency Hedged International Equity Fund 122,472,961 122,773,396 120,076,179 Global Bond Fund 190,340,734 198,643,505 199,182,571 REIT Fund 143,249,159 142,298,692 129,293,252 Foreign Fund 1,228,449,502 1,235,887,585 1,222,993,734 International Equity Allocation Fund 79,640,960 80,609,162 79,704,488 World Equity Allocation Fund 11,188,682 11,125,416 11,124,462 Global (US+) Equity Allocation Fund 41,773,082 42,667,686 43,314,086 Global Balanced Allocation Fund 129,418,159 126,040,385 126,432,949 US Bond/Global Alpha A Fund 119,289,564 114,274,223 106,863,690 Evolving Countries Fund 56,572,960 57,220,895 57,456,981 Asia Fund 101,312,339 98,709,293 98,401,069 Tax-Managed U.S. Equities Fund 8,281,749 8,194,175 8,473,345 Tax-Managed Small Companies Fund 40,542,878 39,987,452 39,806,547 Intrinsic Value Fund 45,483,752 44,651,427 46,322,778 Alpha LIBOR Fund 374,030,278 426,046,119 748,356,902 Tax-Managed International Equities Fund 110,801,752 100,828,490 100,472,887 Emerging Country Debt Share Fund 88,882,691 92,362,315 96,868,960 Foreign Small Companies Fund 0 35,779,919 35,097,467 Fund Name September October November Core Fund $3,315,692,388 $3,176,084,099 $3,150,982,640 Growth Fund 175,224,033 154,998,168 145,160,515 Value Fund 219,633,308 217,214,766 230,486,639 Short-Term Income Fund 38,876,785 39,846,159 38,786,493 International Intrinsic Value Fund 1,708,456,907 1,648,293,712 1,669,631,691 Tobacco-Free Core Fund 293,039,403 280,280,299 277,678,111 International Small Companies Fund 160,596,333 161,963,679 176,858,251 Small Cap Value Fund 319,122,163 287,181,730 294,204,835 Pelican Fund 118,955,517 113,925,471 117,093,387 US Sector Fund 260,047 250,024 250,338 International Bond Fund 129,703,774 127,756,089 123,787,891 Small Cap Growth Fund 37,130,368 34,504,901 33,906,484 Emerging Markets Fund 1,059,815,562 955,215,315 977,908,503 Emerging Country Debt Fund 1,054,977,982 1,053,861,837 1,063,474,383 Global Hedged Equity Fund 53,082,424 53,458,390 54,336,051 Domestic Bond Fund 147,727,803 148,886,357 149,722,049 Currency Hedged International Bond Fund 306,814,262 308,946,419 309,272,197 Inflation Indexed Bond Fund 58,463,062 59,004,879 60,432,123 Currency Hedged International Equity Fund 118,362,299 116,685,184 119,379,337 Global Bond Fund 197,638,193 207,075,936 245,619,299 REIT Fund 128,458,665 124,980,898 124,282,793 Foreign Fund 1,190,631,861 1,133,658,815 1,143,653,670 International Equity Allocation Fund 76,336,502 73,294,195 74,105,696 World Equity Allocation Fund 10,957,763 10,560,569 10,637,307 Global (US+) Equity Allocation Fund 44,045,070 43,012,600 43,239,293 Global Balanced Allocation Fund 125,772,233 121,927,226 122,571,648 US Bond/Global Alpha A Fund 107,619,583 107,507,758 107,300,391 Evolving Countries Fund 55,207,457 50,070,501 48,915,964 Asia Fund 107,414,574 108,562,569 109,708,129 Tax-Managed U.S. Equities Fund 8,589,733 8,219,098 8,133,898 Tax-Managed Small Companies Fund 43,665,794 37,364,574 38,317,008 Intrinsic Value Fund 47,375,628 46,155,190 47,121,826 Alpha LIBOR Fund 1,022,382,050 1,164,019,358 1,222,713,923 Tax-Managed International Equities Fund 97,388,636 94,484,193 84,897,132 Emerging Country Debt Share Fund 97,737,281 95,785,778 94,937,216 Foreign Small Companies Fund 34,206,854 32,052,798 41,990,533 Fund Name December January February Core Fund $3,048,429,367 $3,060,937,700 $3,050,059,307 Growth Fund 135,508,503 132,716,500 126,623,095 Value Fund 232,168,389 245,933,766 252,605,616 Short-Term Income Fund 39,253,962 40,975,486 40,425,356 International Intrinsic Value Fund 1,623,785,390 1,469,984,962 1,454,272,342 Tobacco-Free Core Fund 270,280,954 271,521,253 270,627,069 International Small Companies Fund 180,346,231 180,074,096 183,823,517 Small Cap Value Fund 298,534,250 300,636,448 308,386,130 Pelican Fund 116,423,773 122,150,166 117,169,891 US Sector Fund 250,548 258,836 259,906 International Bond Fund 167,921,215 190,239,520 208,685,382 Small Cap Growth Fund 31,026,480 30,830,651 22,516,698 Emerging Markets Fund 935,811,490 982,008,663 1,034,518,238 Emerging Country Debt Fund 1,070,865,486 1,016,320,132 1,019,093,093 Global Hedged Equity Fund 55,736,797 57,063,960 55,624,186 Domestic Bond Fund 167,422,837 171,540,444 170,567,284 Currency Hedged International Bond Fund 266,750,217 271,560,642 262,066,786 Inflation Indexed Bond Fund 66,913,036 67,746,615 66,868,819 Currency Hedged International Equity Fund 109,750,731 107,833,952 108,984,194 Global Bond Fund 288,637,136 296,422,646 295,270,875 REIT Fund 131,680,163 135,224,269 134,142,342 Foreign Fund 1,194,804,308 1,244,957,372 1,244,553,534 International Equity Allocation Fund 72,746,206 73,257,063 73,467,473 World Equity Allocation Fund 10,707,047 11,026,772 11,142,912 Global (US+) Equity Allocation Fund 43,713,508 43,074,241 43,484,439 Global Balanced Allocation Fund 121,560,493 113,033,555 113,286,246 US Bond/Global Alpha A Fund 88,538,486 81,096,480 73,155,546 Evolving Countries Fund 46,586,216 51,433,659 53,722,514 Asia Fund 104,260,687 109,532,647 116,771,513 Tax-Managed U.S. Equities Fund 8,295,623 10,311,694 11,478,229 Tax-Managed Small Companies Fund 39,118,981 40,216,546 41,471,429 Intrinsic Value Fund 47,816,215 49,672,073 51,145,139 Alpha LIBOR Fund 1,465,210,759 1,493,660,113 1,528,276,523 Tax-Managed International Equities Fund 73,999,158 75,250,506 75,526,377 Emerging Country Debt Share Fund 96,759,661 100,688,216 103,045,156 Foreign Small Companies Fund 47,368,419 54,034,081 60,671,808
EX-99 9 expense.txt
GMO Trust FYE 2/28/01 Annual Expense Ratios Fund Name Class 3 U.S. Core Fund 0.48% Growth Fund 0.48% Value Fund 0.61% Short-Term Income Fund 0.20% International Intrinsic Value Fund 0.69% Tobacco-Free Core Fund 0.48% International Small Companies Fund 0.75% Small Cap Value Fund 0.48% Pelican Fund 0.75% U.S. Sector Fund 0.00% International Bond Fund 0.39% Small Cap Growth Fund 0.48% Emerging Markets Fund 1.23% Emerging Country Debt Fund 0.56% Global Hedged Equity Fund 0.25% Domestic Bond Fund 0.32% Currency Hedged International Bond Fund 0.40% Inflation Indexed Bond Fund 0.62% Currency Hedged International Equity Fund 0.69% Global Bond Fund 0.33% REIT Fund 0.69% Foreign Fund 0.75% International Equity Allocation Fund 0.00% World Equity Allocation Fund 0.00% Global (U.S.+) Equity Allocation Fund 0.00% Global Balanced Allocation Fund 0.00% US Bond/Global Alpha A Fund 0.39% Evolving Countries Fund 1.40% Asia Fund 1.30% Tax-Managed U.S. Equities Fund 0.48% Emerging Country Debt Share Fund 0.00% Tax-Managed International Equities Fund 0.69% Intrinsic Value Fund 0.48% Tax-Managed Small Companies Fund 0.70% Alpha LIBOR Fund 0.20% Foreign Small Companies Fund 0.85%
-----END PRIVACY-ENHANCED MESSAGE-----