-----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, BulZG6yzNGjGfsWRUU+fwe0Htv8W0RhcDL4D6EuLm6v/YpZieHk1KV5IHt9NPfwM v9d+QPFNaYlb54oGcNIchw== 0000897436-02-000152.txt : 20020430 0000897436-02-000152.hdr.sgml : 20020430 ACCESSION NUMBER: 0000897436-02-000152 CONFORMED SUBMISSION TYPE: NSAR-B PUBLIC DOCUMENT COUNT: 8 CONFORMED PERIOD OF REPORT: 20020228 FILED AS OF DATE: 20020429 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GMO TRUST CENTRAL INDEX KEY: 0000772129 STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NSAR-B SEC ACT: 1940 Act SEC FILE NUMBER: 811-04347 FILM NUMBER: 02623910 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 answer.fil PAGE 1 000 B000000 02/28/2002 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 38 007 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 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 C011100 11 007 C021100 GMO SMALL CAP VALUE FUND 007 C031100 N 007 C011200 12 007 C011300 13 PAGE 2 007 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 007 C012900 29 007 C022900 GMO GLOBAL (US+) EQUITY ALLOCATION FUND 007 C032900 N 007 C013000 30 PAGE 3 007 C013100 31 007 C023100 GMO INFLATION INDEXED BOND FUND 007 C033100 N 007 C013200 32 007 C023200 GMO CORE PLUS BOND FUND 007 C033200 N 007 C013300 33 007 C013400 34 007 C023400 GMO EMERGING 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 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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 PAGE 7 012 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 JP MORGAN CHASE 025 C000101 E 025 D000101 12966 025 A000102 LEHMAN BROTHERS 025 C000102 E 025 D000102 2311 025 A000103 MORGAN STANLEY 025 C000103 E 025 D000103 14555 025 A000104 DELETE 025 D000104 0 025 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 0 025 D000114 0 025 D000115 0 025 D000116 0 028 A010100 115532 028 A020100 0 028 A030100 0 028 A040100 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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 0.0 066 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 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 PAGE 10 070 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 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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 Y 070 P010300 N 070 P020300 N 070 Q010300 N 070 Q020300 N 070 R010300 N 070 R020300 N 071 A000300 797438 071 B000300 675988 071 C000300 1331611 071 D000300 51 072 A000300 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17.50 074 V020300 17.50 074 W000300 0.0000 074 X000300 208 074 Y000300 65475 075 A000300 0 075 B000300 1403445 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 N 025 A000401 DELETE PAGE 17 025 D000401 0 025 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 1000 028 A020400 0 028 A030400 0 028 A040400 0 028 B010400 6500 028 B020400 191 028 B030400 0 028 B040400 0 028 C010400 2525 028 C020400 0 028 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W000400 0.0000 074 X000400 39 074 Y000400 7227 075 A000400 0 075 B000400 114030 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 STATE STREET BANK & TRUST 025 C000501 E 025 D000501 8690 PAGE 22 025 A000502 DELETE 025 D000502 0 025 D000503 0 025 D000504 0 025 D000505 0 025 D000506 0 025 D000507 0 025 D000508 0 028 A010500 609 028 A020500 0 028 A030500 0 028 A040500 4307 028 B010500 1103 028 B020500 0 028 B030500 0 028 B040500 944 028 C010500 850 028 C020500 60 028 C030500 0 028 C040500 4336 028 D010500 709 028 D020500 292 028 D030500 0 028 D040500 1075 028 E010500 2303 028 E020500 0 028 E030500 0 028 E040500 617 028 F010500 2005 028 F020500 0 028 F030500 0 028 F040500 1047 028 G010500 7579 028 G020500 352 028 G030500 0 028 G040500 12326 028 H000500 0 037 000500 N 038 000500 0 039 000500 N 040 000500 N 041 000500 N 042 A000500 0 042 B000500 0 042 C000500 0 042 D000500 0 042 E000500 0 042 F000500 0 042 G000500 0 042 H000500 0 043 000500 0 PAGE 23 044 000500 0 045 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 0.000 048 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 PAGE 24 066 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 070 E020500 N 070 F010500 Y 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 N 070 N010500 N 070 N020500 N 070 O010500 Y 070 O020500 N 070 P010500 N 070 P020500 N 070 Q010500 N 070 Q020500 N 070 R010500 N 070 R020500 N 071 A000500 79230 071 B000500 87183 071 C000500 109480 071 D000500 72 072 A000500 12 PAGE 25 072 B000500 704 072 C000500 2468 072 D000500 0 072 E000500 0 072 F000500 873 072 G000500 0 072 H000500 0 072 I000500 89 072 J000500 60 072 K000500 0 072 L000500 0 072 M000500 1 072 N000500 16 072 O000500 0 072 P000500 0 072 Q000500 0 072 R000500 43 072 S000500 5 072 T000500 0 072 U000500 0 072 V000500 0 072 W000500 9 072 X000500 1096 072 Y000500 221 072 Z000500 2297 072AA000500 6724 072BB000500 0 072CC010500 0 072CC020500 6915 072DD010500 2074 072DD020500 0 072EE000500 6043 073 A010500 0.2020 073 A020500 0.0000 073 B000500 0.5880 073 C000500 0.0000 074 A000500 1 074 B000500 8690 074 C000500 0 074 D000500 0 074 E000500 0 074 F000500 105266 074 G000500 0 074 H000500 0 074 I000500 0 074 J000500 181 074 K000500 0 074 L000500 350 074 M000500 0 074 N000500 114488 074 O000500 37 PAGE 26 074 P000500 42 074 Q000500 0 074 R010500 0 074 R020500 0 074 R030500 0 074 R040500 110 074 S000500 0 074 T000500 114299 074 U010500 10554 074 U020500 0 074 V010500 10.83 074 V020500 0.00 074 W000500 0.0000 074 X000500 444 074 Y000500 0 075 A000500 0 075 B000500 116392 076 000500 0.00 008 A000601 GRANTHAM, MAYO, VAN OTTERLOO & CO. 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 N 025 A000601 DELETE 025 D000601 0 025 D000602 0 025 D000603 0 025 D000604 0 025 D000605 0 025 D000606 0 025 D000607 0 025 D000608 0 028 A010600 2883 028 A020600 0 028 A030600 0 028 A040600 32 028 B010600 73 028 B020600 410 PAGE 27 028 B030600 0 028 B040600 5452 028 C010600 191 028 C020600 1373 028 C030600 0 028 C040600 200 028 D010600 12152 028 D020600 0 028 D030600 0 028 D040600 16660 028 E010600 20034 028 E020600 0 028 E030600 0 028 E040600 495 028 F010600 276 028 F020600 0 028 F030600 0 028 F040600 3230 028 G010600 35609 028 G020600 1783 028 G030600 0 028 G040600 26069 028 H000600 0 037 000600 N 038 000600 0 039 000600 N 040 000600 N 041 000600 N 042 A000600 0 042 B000600 0 042 C000600 0 042 D000600 0 042 E000600 0 042 F000600 0 042 G000600 0 042 H000600 0 043 000600 0 044 000600 0 045 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 PAGE 28 048 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 0.0 062 E000600 0.0 062 F000600 0.0 062 G000600 0.0 062 H000600 0.0 062 I000600 0.0 062 J000600 0.0 062 K000600 0.0 062 L000600 0.0 062 M000600 5.8 062 N000600 9.2 062 O000600 0.0 062 P000600 0.0 062 Q000600 84.2 062 R000600 0.0 063 A000600 0 063 B000600 9.6 064 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 PAGE 29 070 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 Y 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 070 R010600 N 070 R020600 N 071 A000600 42286 071 B000600 34904 071 C000600 38489 071 D000600 91 072 A000600 12 072 B000600 438 072 C000600 824 072 D000600 0 072 E000600 0 072 F000600 19 072 G000600 0 072 H000600 0 072 I000600 0 072 J000600 7 072 K000600 0 072 L000600 0 072 M000600 0 072 N000600 2 072 O000600 0 072 P000600 0 072 Q000600 0 PAGE 30 072 R000600 31 072 S000600 2 072 T000600 0 072 U000600 0 072 V000600 0 072 W000600 63 072 X000600 124 072 Y000600 45 072 Z000600 1183 072AA000600 1498 072BB000600 0 072CC010600 0 072CC020600 1200 072DD010600 1411 072DD020600 0 072EE000600 1032 073 A010600 0.3850 073 A020600 0.0000 073 B000600 0.2790 073 C000600 0.0000 074 A000600 460 074 B000600 0 074 C000600 0 074 D000600 7253 074 E000600 0 074 F000600 0 074 G000600 0 074 H000600 0 074 I000600 40720 074 J000600 4 074 K000600 5 074 L000600 90 074 M000600 0 074 N000600 48532 074 O000600 0 074 P000600 6 074 Q000600 0 074 R010600 0 074 R020600 0 074 R030600 0 074 R040600 179 074 S000600 0 074 T000600 48347 074 U010600 5024 074 U020600 0 074 V010600 9.62 074 V020600 0.00 074 W000600 0.0000 074 X000600 62 074 Y000600 0 075 A000600 0 PAGE 31 075 B000600 38877 076 000600 0.00 008 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 MORGAN STANLEY 025 C000801 E 025 D000801 3264 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 250 028 A020800 0 028 A030800 0 028 A040800 1400 028 B010800 989 028 B020800 262 028 B030800 0 028 B040800 8125 028 C010800 50 028 C020800 0 028 C030800 0 028 C040800 100 028 D010800 0 028 D020800 348 028 D030800 0 028 D040800 600 028 E010800 46 028 E020800 0 028 E030800 0 028 E040800 11 PAGE 32 028 F010800 474 028 F020800 0 028 F030800 0 028 F040800 11 028 G010800 1809 028 G020800 610 028 G030800 0 028 G040800 10247 028 H000800 0 037 000800 N 038 000800 0 039 000800 N 040 000800 Y 041 000800 Y 042 A000800 0 042 B000800 0 042 C000800 0 042 D000800 100 042 E000800 0 042 F000800 0 042 G000800 0 042 H000800 0 043 000800 0 044 000800 0 045 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 PAGE 33 059 000800 Y 060 A000800 N 060 B000800 N 061 000800 0 062 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 0.0 062 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 N 070 G010800 Y 070 G020800 N 070 H010800 Y 070 H020800 N 070 I010800 N 070 I020800 N PAGE 34 070 J010800 Y 070 J020800 Y 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 N 070 P010800 N 070 P020800 N 070 Q010800 N 070 Q020800 N 070 R010800 N 070 R020800 N 071 A000800 222374 071 B000800 231305 071 C000800 235167 071 D000800 95 072 A000800 12 072 B000800 258 072 C000800 5869 072 D000800 0 072 E000800 0 072 F000800 1128 072 G000800 0 072 H000800 0 072 I000800 0 072 J000800 45 072 K000800 0 072 L000800 0 072 M000800 3 072 N000800 20 072 O000800 0 072 P000800 0 072 Q000800 0 072 R000800 39 072 S000800 12 072 T000800 0 072 U000800 0 072 V000800 0 072 W000800 387 072 X000800 1634 072 Y000800 136 072 Z000800 4629 072AA000800 0 072BB000800 5948 072CC010800 0 PAGE 35 072CC020800 7859 072DD010800 4387 072DD020800 0 072EE000800 6580 073 A010800 0.1670 073 A020800 0.0000 073 B000800 0.2460 073 C000800 0.0000 074 A000800 0 074 B000800 14881 074 C000800 0 074 D000800 0 074 E000800 0 074 F000800 217523 074 G000800 0 074 H000800 0 074 I000800 5202 074 J000800 176 074 K000800 0 074 L000800 395 074 M000800 0 074 N000800 238177 074 O000800 62 074 P000800 98 074 Q000800 0 074 R010800 0 074 R020800 0 074 R030800 0 074 R040800 5242 074 S000800 0 074 T000800 232775 074 U010800 26325 074 U020800 55 074 V010800 8.82 074 V020800 8.82 074 W000800 0.0000 074 X000800 67 074 Y000800 5202 075 A000800 0 075 B000800 245157 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 PAGE 36 012 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 JP MORGAN CHASE 025 C000901 E 025 D000901 1946 025 A000902 LEHMAN BROTHERS 025 C000902 E 025 D000902 350 025 A000903 MORGAN STANLEY 025 C000903 E 025 D000903 1655 025 A000904 DELETE 025 D000904 0 025 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 770 028 A020900 1 028 A030900 0 028 A040900 644 028 B010900 21750 028 B020900 1139 028 B030900 0 028 B040900 1077 028 C010900 0 028 C020900 0 028 C030900 0 028 C040900 352 028 D010900 13000 028 D020900 1114 028 D030900 0 028 D040900 8362 PAGE 37 028 E010900 2 028 E020900 0 028 E030900 0 028 E040900 11944 028 F010900 3582 028 F020900 0 028 F030900 0 028 F040900 864 028 G010900 39104 028 G020900 2254 028 G030900 0 028 G040900 23243 028 H000900 0 037 000900 N 038 000900 0 039 000900 N 040 000900 N 042 A000900 0 042 B000900 0 042 C000900 0 042 D000900 0 042 E000900 0 042 F000900 0 042 G000900 0 042 H000900 0 043 000900 0 044 000900 0 045 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 PAGE 38 048 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 0.0 062 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 PAGE 39 070 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 070 R020900 N 071 A000900 416440 071 B000900 265314 071 C000900 321427 071 D000900 83 072 A000900 12 072 B000900 363 072 C000900 5595 072 D000900 0 072 E000900 0 072 F000900 1117 072 G000900 0 072 H000900 0 072 I000900 0 072 J000900 83 072 K000900 0 072 L000900 0 072 M000900 4 072 N000900 2 072 O000900 0 072 P000900 0 072 Q000900 0 072 R000900 41 072 S000900 15 072 T000900 0 072 U000900 0 072 V000900 0 072 W000900 441 072 X000900 1703 072 Y000900 145 072 Z000900 4400 PAGE 40 072AA000900 0 072BB000900 25790 072CC010900 0 072CC020900 7702 072DD010900 2266 072DD020900 1908 072EE000900 0 073 A010900 0.1360 073 A020900 0.1050 073 B000900 0.0000 073 C000900 0.0000 074 A000900 0 074 B000900 14817 074 C000900 1413 074 D000900 0 074 E000900 0 074 F000900 365605 074 G000900 0 074 H000900 0 074 I000900 16028 074 J000900 8166 074 K000900 0 074 L000900 666 074 M000900 0 074 N000900 406695 074 O000900 9169 074 P000900 103 074 Q000900 0 074 R010900 0 074 R020900 0 074 R030900 0 074 R040900 16124 074 S000900 0 074 T000900 381299 074 U010900 11856 074 U020900 22093 074 V010900 11.23 074 V020900 11.23 074 W000900 0.0000 074 X000900 24 074 Y000900 17441 075 A000900 0 075 B000900 338411 076 000900 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 PAGE 41 012 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 467 028 A021100 0 028 A031100 0 028 A041100 4472 028 B011100 2210 028 B021100 857 028 B031100 0 028 B041100 7549 028 C011100 4040 028 C021100 0 028 C031100 0 028 C041100 381 028 D011100 621 028 D021100 10515 028 D031100 0 028 D041100 865 028 E011100 880 028 E021100 0 028 E031100 0 028 E041100 6685 028 F011100 125 028 F021100 0 028 F031100 0 028 F041100 552 028 G011100 8343 028 G021100 11372 028 G031100 0 028 G041100 20504 028 H001100 0 037 001100 Y PAGE 42 038 001100 201 039 001100 N 040 001100 N 041 001100 N 042 A001100 0 042 B001100 0 042 C001100 0 042 D001100 0 042 E001100 0 042 F001100 0 042 G001100 0 042 H001100 0 043 001100 0 044 001100 0 045 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 PAGE 43 062 G001100 0.0 062 H001100 0.0 062 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 PAGE 44 070 O011100 Y 070 O021100 N 070 P011100 N 070 P021100 N 070 Q011100 N 070 Q021100 N 070 R011100 N 070 R021100 N 071 A001100 173049 071 B001100 197164 071 C001100 294345 071 D001100 59 072 A001100 12 072 B001100 331 072 C001100 5955 072 D001100 0 072 E001100 0 072 F001100 998 072 G001100 0 072 H001100 0 072 I001100 0 072 J001100 71 072 K001100 0 072 L001100 0 072 M001100 4 072 N001100 3 072 O001100 0 072 P001100 0 072 Q001100 0 072 R001100 40 072 S001100 14 072 T001100 0 072 U001100 0 072 V001100 0 072 W001100 460 072 X001100 1590 072 Y001100 134 072 Z001100 4830 072AA001100 29733 072BB001100 0 072CC011100 3505 072CC021100 0 072DD011100 4492 072DD021100 0 072EE001100 11394 073 A011100 0.2110 073 A021100 0.0000 073 B001100 0.5460 073 C001100 0.0000 074 A001100 0 074 B001100 9564 PAGE 45 074 C001100 906 074 D001100 0 074 E001100 0 074 F001100 301608 074 G001100 0 074 H001100 0 074 I001100 24583 074 J001100 3940 074 K001100 0 074 L001100 445 074 M001100 0 074 N001100 341046 074 O001100 2562 074 P001100 106 074 Q001100 0 074 R011100 0 074 R021100 0 074 R031100 0 074 R041100 24782 074 S001100 0 074 T001100 313596 074 U011100 21036 074 U021100 0 074 V011100 14.91 074 V021100 0.00 074 W001100 0.0000 074 X001100 134 074 Y001100 25489 075 A001100 0 075 B001100 302453 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 Y 025 A001301 DEUTSCHE BANK ALEX BROWN 025 C001301 E PAGE 46 025 D001301 17400 025 D001302 0 025 D001303 0 025 D001304 0 025 D001305 0 025 D001306 0 025 D001307 0 025 D001308 0 028 A011300 12950 028 A021300 0 028 A031300 0 028 A041300 446 028 B011300 500 028 B021300 0 028 B031300 0 028 B041300 982 028 C011300 6768 028 C021300 0 028 C031300 0 028 C041300 794 028 D011300 6724 028 D021300 1389 028 D031300 0 028 D041300 0 028 E011300 7326 028 E021300 0 028 E031300 0 028 E041300 112 028 F011300 15772 028 F021300 0 028 F031300 0 028 F041300 100 028 G011300 50040 028 G021300 1389 028 G031300 0 028 G041300 2434 028 H001300 0 037 001300 Y 038 001300 25 039 001300 N 040 001300 N 041 001300 N 042 A001300 0 042 B001300 0 042 C001300 0 042 D001300 0 042 E001300 0 042 F001300 0 042 G001300 0 042 H001300 0 043 001300 0 PAGE 47 044 001300 0 045 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 0 048 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 PAGE 48 066 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 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 Y 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 148663 071 B001300 69714 071 C001300 203201 071 D001300 34 072 A001300 12 PAGE 49 072 B001300 673 072 C001300 5347 072 D001300 0 072 E001300 0 072 F001300 1304 072 G001300 0 072 H001300 0 072 I001300 28 072 J001300 367 072 K001300 0 072 L001300 0 072 M001300 3 072 N001300 1 072 O001300 0 072 P001300 0 072 Q001300 0 072 R001300 61 072 S001300 10 072 T001300 0 072 U001300 0 072 V001300 0 072 W001300 328 072 X001300 2102 072 Y001300 469 072 Z001300 4387 072AA001300 0 072BB001300 4507 072CC011300 0 072CC021300 14191 072DD011300 7228 072DD021300 0 072EE001300 10 073 A011300 0.3540 073 A021300 0.0000 073 B001300 0.0005 073 C001300 0.0000 074 A001300 0 074 B001300 0 074 C001300 1195 074 D001300 0 074 E001300 3088 074 F001300 229943 074 G001300 0 074 H001300 0 074 I001300 27044 074 J001300 2827 074 K001300 0 074 L001300 6672 074 M001300 334 074 N001300 271103 074 O001300 1499 PAGE 50 074 P001300 70 074 Q001300 0 074 R011300 0 074 R021300 0 074 R031300 0 074 R041300 15922 074 S001300 0 074 T001300 253612 074 U011300 24297 074 U021300 0 074 V011300 10.44 074 V021300 0.00 074 W001300 0.0000 074 X001300 101 074 Y001300 10807 075 A001300 0 075 B001300 217259 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 PAGE 51 028 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 0 028 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 N 038 001400 0 039 001400 N 040 001400 N 041 001400 N 042 A001400 0 042 B001400 0 042 C001400 0 042 D001400 0 042 E001400 0 042 F001400 0 042 G001400 0 042 H001400 0 043 001400 0 044 001400 0 045 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 PAGE 52 048 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 0.0 062 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 PAGE 53 070 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 Y 070 M011400 N 070 M021400 N 070 N011400 Y 070 N021400 N 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 16 071 B001400 4 071 C001400 266 071 D001400 2 072 A001400 12 072 B001400 0 072 C001400 5 072 D001400 0 072 E001400 0 072 F001400 1 072 G001400 0 072 H001400 0 072 I001400 0 072 J001400 1 072 K001400 0 072 L001400 0 072 M001400 0 072 N001400 1 072 O001400 0 PAGE 54 072 P001400 0 072 Q001400 0 072 R001400 19 072 S001400 0 072 T001400 0 072 U001400 0 072 V001400 0 072 W001400 2 072 X001400 24 072 Y001400 24 072 Z001400 5 072AA001400 18 072BB001400 0 072CC011400 1 072CC021400 0 072DD011400 8 072DD021400 0 072EE001400 0 073 A011400 0.1550 073 A021400 0.0000 073 B001400 0.0000 073 C001400 0.0000 074 A001400 0 074 B001400 9 074 C001400 0 074 D001400 0 074 E001400 0 074 F001400 5 074 G001400 0 074 H001400 0 074 I001400 269 074 J001400 0 074 K001400 1 074 L001400 0 074 M001400 0 074 N001400 284 074 O001400 0 074 P001400 0 074 Q001400 0 074 R011400 0 074 R021400 0 074 R031400 0 074 R041400 14 074 S001400 0 074 T001400 270 074 U011400 50 074 U021400 0 074 V011400 5.45 074 V021400 0.00 074 W001400 0.0000 074 X001400 1 PAGE 55 074 Y001400 0 075 A001400 0 075 B001400 262 076 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 DELETE 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 015 C021501 MA 015 C031501 02109 015 E011501 X 024 001500 Y 025 A001501 MORGAN STANLEY & CO 025 C001501 E 025 D001501 840 025 D001502 0 025 D001503 0 025 D001504 0 025 D001505 0 025 D001506 0 025 D001507 0 025 D001508 0 028 A011500 1914 028 A021500 0 028 A031500 0 028 A041500 1250 028 B011500 48840 028 B021500 0 028 B031500 0 028 B041500 2279 028 C011500 5328 028 C021500 0 028 C031500 0 028 C041500 2822 028 D011500 53744 028 D021500 5205 028 D031500 0 028 D041500 2002 028 E011500 148674 028 E021500 0 PAGE 56 028 E031500 0 028 E041500 473 028 F011500 59696 028 F021500 0 028 F031500 0 028 F041500 245 028 G011500 318196 028 G021500 5205 028 G031500 0 028 G041500 9071 028 H001500 0 037 001500 Y 038 001500 74 039 001500 N 040 001500 N 041 001500 N 042 A001500 0 042 B001500 0 042 C001500 0 042 D001500 0 042 E001500 0 042 F001500 0 042 G001500 0 042 H001500 0 043 001500 0 044 001500 0 045 001500 Y 046 001500 N 047 001500 Y 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 PAGE 57 048 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 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 PAGE 58 070 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 1187803 071 B001500 803691 071 C001500 1064413 071 D001500 76 072 A001500 12 072 B001500 1634 072 C001500 36210 072 D001500 0 072 E001500 0 072 F001500 8842 072 G001500 0 072 H001500 0 072 I001500 47 072 J001500 2127 072 K001500 0 072 L001500 0 072 M001500 13 072 N001500 21 072 O001500 0 072 P001500 0 072 Q001500 0 072 R001500 78 072 S001500 50 072 T001500 0 072 U001500 0 072 V001500 0 072 W001500 1768 072 X001500 12946 072 Y001500 186 072 Z001500 25084 072AA001500 0 PAGE 59 072BB001500 109659 072CC011500 237598 072CC021500 0 072DD011500 12628 072DD021500 10390 072EE001500 0 073 A011500 0.1820 073 A021500 0.1860 073 B001500 0.0000 073 C001500 0.0000 074 A001500 34 074 B001500 0 074 C001500 0 074 D001500 5722 074 E001500 145448 074 F001500 1213789 074 G001500 0 074 H001500 0 074 I001500 183988 074 J001500 34111 074 K001500 0 074 L001500 10575 074 M001500 3462 074 N001500 1597129 074 O001500 7191 074 P001500 1057 074 Q001500 0 074 R011500 0 074 R021500 0 074 R031500 0 074 R041500 26466 074 S001500 0 074 T001500 1562415 074 U011500 826960 074 U021500 735455 074 V011500 9.84 074 V021500 9.83 074 W001500 0.0000 074 X001500 936 074 Y001500 76256 075 A001500 0 075 B001500 1091686 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 PAGE 60 012 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 N 025 A001601 DELETE 025 D001601 0 025 D001602 0 025 D001603 0 025 D001604 0 025 D001605 0 025 D001606 0 025 D001607 0 025 D001608 0 028 A011600 840 028 A021600 0 028 A031600 0 028 A041600 459 028 B011600 1100 028 B021600 0 028 B031600 0 028 B041600 39524 028 C011600 632 028 C021600 0 028 C031600 0 028 C041600 0 028 D011600 400 028 D021600 451 028 D031600 0 028 D041600 250 028 E011600 368 028 E021600 0 028 E031600 0 028 E041600 3924 028 F011600 75 028 F021600 0 028 F031600 0 028 F041600 3500 028 G011600 3415 028 G021600 451 028 G031600 0 028 G041600 47657 028 H001600 0 037 001600 N 038 001600 0 039 001600 N PAGE 61 040 001600 N 041 001600 N 042 A001600 0 042 B001600 0 042 C001600 0 042 D001600 0 042 E001600 0 042 F001600 0 042 G001600 0 042 H001600 0 043 001600 0 044 001600 0 045 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 0.000 058 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 PAGE 62 062 I001600 0.4 062 J001600 0.0 062 K001600 0.3 062 L001600 0.0 062 M001600 3.3 062 N001600 1.2 062 O001600 0.0 062 P001600 0.0 062 Q001600 25.2 062 R001600 69.4 063 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 N 070 H011600 Y 070 H021600 N 070 I011600 N 070 I021600 N 070 J011600 Y 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 Y 070 P011600 N 070 P021600 N PAGE 63 070 Q011600 N 070 Q021600 N 070 R011600 N 070 R021600 N 071 A001600 60215 071 B001600 136979 071 C001600 167406 071 D001600 36 072 A001600 12 072 B001600 2615 072 C001600 6184 072 D001600 0 072 E001600 0 072 F001600 421 072 G001600 0 072 H001600 0 072 I001600 0 072 J001600 83 072 K001600 0 072 L001600 0 072 M001600 2 072 N001600 2 072 O001600 0 072 P001600 0 072 Q001600 0 072 R001600 52 072 S001600 9 072 T001600 0 072 U001600 0 072 V001600 0 072 W001600 257 072 X001600 826 072 Y001600 191 072 Z001600 8164 072AA001600 0 072BB001600 10551 072CC011600 0 072CC021600 4352 072DD011600 500 072DD021600 0 072EE001600 0 073 A011600 0.0320 073 A021600 0.0000 073 B001600 0.0000 073 C001600 0.0000 074 A001600 661 074 B001600 0 074 C001600 0 074 D001600 40125 074 E001600 0 074 F001600 0 PAGE 64 074 G001600 0 074 H001600 0 074 I001600 94603 074 J001600 1200 074 K001600 0 074 L001600 2713 074 M001600 0 074 N001600 139302 074 O001600 410 074 P001600 33 074 Q001600 0 074 R011600 0 074 R021600 0 074 R031600 0 074 R041600 3811 074 S001600 0 074 T001600 135048 074 U011600 14915 074 U021600 0 074 V011600 9.05 074 V021600 0.00 074 W001600 0.0000 074 X001600 46 074 Y001600 5116 075 A001600 0 075 B001600 168385 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 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 A001701 DELETE 025 D001701 0 025 D001702 0 025 D001703 0 025 D001704 0 025 D001705 0 PAGE 65 025 D001706 0 025 D001707 0 025 D001708 0 028 A011700 47 028 A021700 0 028 A031700 0 028 A041700 4901 028 B011700 37093 028 B021700 0 028 B031700 0 028 B041700 51850 028 C011700 6324 028 C021700 0 028 C031700 0 028 C041700 12535 028 D011700 615 028 D021700 90940 028 D031700 0 028 D041700 655 028 E011700 45058 028 E021700 0 028 E031700 0 028 E041700 44207 028 F011700 41441 028 F021700 0 028 F031700 0 028 F041700 34462 028 G011700 130578 028 G021700 90940 028 G031700 0 028 G041700 148610 028 H001700 0 037 001700 Y 038 001700 366 039 001700 N 040 001700 N 041 001700 N 042 A001700 0 042 B001700 0 042 C001700 0 042 D001700 0 042 E001700 0 042 F001700 0 042 G001700 0 042 H001700 0 043 001700 0 044 001700 0 045 001700 Y 046 001700 N 047 001700 Y 048 001700 0.350 PAGE 66 048 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 0.2 062 J001700 0.0 062 K001700 0.3 062 L001700 0.0 062 M001700 0.0 062 N001700 0.4 062 O001700 0.0 062 P001700 1.2 062 Q001700 88.5 062 R001700 14.7 063 A001700 0 063 B001700 15.3 064 A001700 N 064 B001700 Y 065 001700 N 066 A001700 N PAGE 67 067 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 Y 070 F011700 Y 070 F021700 N 070 G011700 Y 070 G021700 N 070 H011700 Y 070 H021700 N 070 I011700 N 070 I021700 N 070 J011700 Y 070 J021700 Y 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 1349687 071 B001700 1305695 071 C001700 1006119 071 D001700 130 072 A001700 12 072 B001700 112829 072 C001700 1590 072 D001700 0 072 E001700 0 072 F001700 3462 072 G001700 0 PAGE 68 072 H001700 0 072 I001700 35 072 J001700 531 072 K001700 0 072 L001700 0 072 M001700 13 072 N001700 3 072 O001700 0 072 P001700 1377 072 Q001700 0 072 R001700 86 072 S001700 142 072 T001700 0 072 U001700 0 072 V001700 0 072 W001700 1228 072 X001700 6877 072 Y001700 167 072 Z001700 107709 072AA001700 52475 072BB001700 0 072CC011700 7066 072CC021700 0 072DD011700 58048 072DD021700 65296 072EE001700 0 073 A011700 1.1870 073 A021700 1.1910 073 B001700 0.0000 073 C001700 0.0000 074 A001700 803 074 B001700 0 074 C001700 0 074 D001700 954794 074 E001700 0 074 F001700 0 074 G001700 0 074 H001700 0 074 I001700 161076 074 J001700 12237 074 K001700 0 074 L001700 30395 074 M001700 0 074 N001700 1159305 074 O001700 2000 074 P001700 365 074 Q001700 0 074 R011700 96224 074 R021700 0 074 R031700 142 074 R041700 501 PAGE 69 074 S001700 0 074 T001700 1060073 074 U011700 61362 074 U021700 52685 074 V011700 9.30 074 V021700 9.29 074 W001700 0.0000 074 X001700 342 074 Y001700 166433 075 A001700 0 075 B001700 989110 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 A001801 DELETE 025 D001801 0 025 D001802 0 025 D001803 0 025 D001804 0 025 D001805 0 025 D001806 0 025 D001807 0 025 D001808 0 025 D001809 0 025 D001810 0 025 D001811 0 025 D001812 0 025 D001813 0 025 D001814 0 025 D001815 0 025 D001816 0 028 A011800 0 028 A021800 0 028 A031800 0 028 A041800 747 PAGE 70 028 B011800 0 028 B021800 0 028 B031800 0 028 B041800 1985 028 C011800 0 028 C021800 0 028 C031800 0 028 C041800 0 028 D011800 747 028 D021800 798 028 D031800 0 028 D041800 0 028 E011800 0 028 E021800 0 028 E031800 0 028 E041800 12 028 F011800 0 028 F021800 0 028 F031800 0 028 F041800 0 028 G011800 747 028 G021800 798 028 G031800 0 028 G041800 2744 028 H001800 0 037 001800 N 038 001800 0 039 001800 N 040 001800 N 041 001800 N 042 A001800 0 042 B001800 0 042 C001800 0 042 D001800 0 042 E001800 0 042 F001800 0 042 G001800 0 042 H001800 0 043 001800 0 044 001800 0 045 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 PAGE 71 048 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 060 A001800 N 060 B001800 N 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 0.0 066 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 Y 069 001800 N 070 A011800 Y 070 A021800 N PAGE 72 070 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 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 Y 070 P011800 N 070 P021800 N 070 Q011800 N 070 Q021800 N 070 R011800 N 070 R021800 N 071 A001800 5471 071 B001800 41996 071 C001800 25134 071 D001800 22 072 A001800 12 072 B001800 155 072 C001800 424 072 D001800 0 072 E001800 0 072 F001800 128 072 G001800 0 072 H001800 0 072 I001800 27 072 J001800 67 072 K001800 0 072 L001800 0 072 M001800 0 PAGE 73 072 N001800 2 072 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 42 072 X001800 297 072 Y001800 201 072 Z001800 483 072AA001800 2287 072BB001800 0 072CC011800 0 072CC021800 38 072DD011800 1325 072DD021800 0 072EE001800 0 073 A011800 0.6280 073 A021800 0.0000 073 B001800 0.0000 073 C001800 0.0000 074 A001800 22 074 B001800 0 074 C001800 1145 074 D001800 0 074 E001800 0 074 F001800 0 074 G001800 0 074 H001800 0 074 I001800 15118 074 J001800 0 074 K001800 5 074 L001800 1016 074 M001800 0 074 N001800 17306 074 O001800 0 074 P001800 2 074 Q001800 0 074 R011800 0 074 R021800 0 074 R031800 0 074 R041800 676 074 S001800 0 074 T001800 16628 074 U011800 1801 074 U021800 0 074 V011800 9.23 074 V021800 0.00 PAGE 74 074 W001800 0.0000 074 X001800 28 074 Y001800 1145 075 A001800 0 075 B001800 25650 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 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 N 025 A001901 DELETE 025 D001901 0 025 D001902 0 025 D001903 0 025 D001904 0 025 D001905 0 025 D001906 0 025 D001907 0 025 D001908 0 028 A011900 421 028 A021900 0 028 A031900 0 028 A041900 1781 028 B011900 2440 028 B021900 1649 028 B031900 0 028 B041900 16558 028 C011900 4228 028 C021900 0 028 C031900 0 028 C041900 159 028 D011900 1328 028 D021900 7612 028 D031900 0 028 D041900 9643 028 E011900 871 028 E021900 0 PAGE 75 028 E031900 0 028 E041900 1204 028 F011900 2409 028 F021900 0 028 F031900 0 028 F041900 788 028 G011900 11697 028 G021900 9261 028 G031900 0 028 G041900 30133 028 H001900 0 037 001900 N 038 001900 0 039 001900 N 040 001900 N 041 001900 N 042 A001900 0 042 B001900 0 042 C001900 0 042 D001900 0 042 E001900 0 042 F001900 0 042 G001900 0 042 H001900 0 043 001900 0 044 001900 0 045 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 PAGE 76 048 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 0.0 062 E001900 0.0 062 F001900 0.0 062 G001900 0.0 062 H001900 0.0 062 I001900 0.6 062 J001900 0.0 062 K001900 0.0 062 L001900 0.0 062 M001900 0.8 062 N001900 51.4 062 O001900 0.0 062 P001900 3.5 062 Q001900 38.0 062 R001900 4.5 063 A001900 0 063 B001900 18.3 064 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 PAGE 77 070 J011900 Y 070 J021900 Y 070 K011900 Y 070 K021900 Y 070 L011900 Y 070 L021900 Y 070 M011900 Y 070 M021900 N 070 N011900 Y 070 N021900 N 070 O011900 Y 070 O021900 N 070 P011900 N 070 P021900 N 070 Q011900 N 070 Q021900 N 070 R011900 N 070 R021900 N 071 A001900 30256 071 B001900 43593 071 C001900 160101 071 D001900 19 072 A001900 12 072 B001900 3955 072 C001900 3592 072 D001900 0 072 E001900 0 072 F001900 164 072 G001900 0 072 H001900 0 072 I001900 0 072 J001900 27 072 K001900 0 072 L001900 0 072 M001900 2 072 N001900 2 072 O001900 0 072 P001900 0 072 Q001900 0 072 R001900 44 072 S001900 9 072 T001900 0 072 U001900 0 072 V001900 0 072 W001900 250 072 X001900 498 072 Y001900 85 072 Z001900 7134 072AA001900 5373 072BB001900 0 072CC011900 0 PAGE 78 072CC021900 1886 072DD011900 8152 072DD021900 0 072EE001900 6876 073 A011900 0.5050 073 A021900 0.0000 073 B001900 0.4260 073 C001900 0.0000 074 A001900 19 074 B001900 0 074 C001900 0 074 D001900 92097 074 E001900 7016 074 F001900 0 074 G001900 0 074 H001900 0 074 I001900 54037 074 J001900 0 074 K001900 0 074 L001900 2071 074 M001900 0 074 N001900 155240 074 O001900 0 074 P001900 19 074 Q001900 0 074 R011900 0 074 R021900 0 074 R031900 0 074 R041900 221 074 S001900 0 074 T001900 155000 074 U011900 16007 074 U021900 0 074 V011900 9.68 074 V021900 0.00 074 W001900 0.0000 074 X001900 51 074 Y001900 1238 075 A001900 0 075 B001900 163963 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 PAGE 79 012 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 N 025 A002001 DELETE 025 D002001 0 025 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 400 028 B012000 4000 028 B022000 0 028 B032000 0 028 B042000 1200 028 C012000 0 028 C022000 0 028 C032000 0 028 C042000 0 028 D012000 165 028 D022000 0 028 D032000 0 028 D042000 135 028 E012000 3 028 E022000 0 028 E032000 0 028 E042000 49 028 F012000 100 028 F022000 0 028 F032000 0 028 F042000 25 028 G012000 4268 028 G022000 0 028 G032000 0 028 G042000 1809 028 H002000 0 037 002000 N 038 002000 0 039 002000 N 040 002000 N 041 002000 N PAGE 80 042 A002000 0 042 B002000 0 042 C002000 0 042 D002000 0 042 E002000 0 042 F002000 0 042 G002000 0 042 H002000 0 043 002000 0 044 002000 0 045 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 0 048 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 0.0 062 E002000 0.0 062 F002000 0.0 062 G002000 0.0 062 H002000 0.0 062 I002000 2.8 062 J002000 0.0 PAGE 81 062 K002000 0.3 062 L002000 0.0 062 M002000 0.0 062 N002000 6.3 062 O002000 0.0 062 P002000 0.0 062 Q002000 1.0 062 R002000 89.8 063 A002000 0 063 B002000 6.7 064 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 N 070 D012000 Y 070 D022000 N 070 E012000 Y 070 E022000 Y 070 F012000 Y 070 F022000 N 070 G012000 Y 070 G022000 N 070 H012000 Y 070 H022000 N 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 N 070 O012000 Y 070 O022000 N 070 P012000 N 070 P022000 N 070 Q012000 N 070 Q022000 N PAGE 82 070 R012000 N 070 R022000 N 071 A002000 16359 071 B002000 6760 071 C002000 15515 071 D002000 44 072 A002000 12 072 B002000 100 072 C002000 878 072 D002000 0 072 E002000 0 072 F002000 42 072 G002000 0 072 H002000 0 072 I002000 0 072 J002000 14 072 K002000 0 072 L002000 0 072 M002000 0 072 N002000 2 072 O002000 0 072 P002000 0 072 Q002000 0 072 R002000 68 072 S002000 1 072 T002000 0 072 U002000 0 072 V002000 0 072 W002000 27 072 X002000 154 072 Y002000 90 072 Z002000 914 072AA002000 1489 072BB002000 0 072CC012000 0 072CC022000 1687 072DD012000 1723 072DD022000 0 072EE002000 0 073 A012000 1.0470 073 A022000 0.0000 073 B002000 0.0000 073 C002000 0.0000 074 A002000 29 074 B002000 0 074 C002000 0 074 D002000 1308 074 E002000 0 074 F002000 0 074 G002000 0 074 H002000 0 PAGE 83 074 I002000 16655 074 J002000 0 074 K002000 1 074 L002000 143 074 M002000 0 074 N002000 18136 074 O002000 54 074 P002000 2 074 Q002000 0 074 R012000 0 074 R022000 0 074 R032000 0 074 R042000 148 074 S002000 0 074 T002000 17932 074 U012000 1984 074 U022000 0 074 V012000 9.04 074 V022000 0.00 074 W002000 0.0000 074 X002000 20 074 Y002000 1125 075 A002000 0 075 B002000 16778 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 85-720 012 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 N 025 A002101 DELETE 025 D002101 0 025 A002102 DELETE 025 D002102 0 025 D002103 0 025 D002104 0 025 D002105 0 025 D002106 0 PAGE 84 025 D002107 0 025 D002108 0 028 A012100 0 028 A022100 0 028 A032100 0 028 A042100 200 028 B012100 1300 028 B022100 0 028 B032100 0 028 B042100 2859 028 C012100 0 028 C022100 0 028 C032100 0 028 C042100 100 028 D012100 1 028 D022100 6331 028 D032100 0 028 D042100 735 028 E012100 0 028 E022100 0 028 E032100 0 028 E042100 23 028 F012100 0 028 F022100 0 028 F032100 0 028 F042100 0 028 G012100 1301 028 G022100 6331 028 G032100 0 028 G042100 3917 028 H002100 0 037 002100 N 038 002100 0 039 002100 N 040 002100 N 041 002100 N 042 A002100 0 042 B002100 0 042 C002100 0 042 D002100 0 042 E002100 0 042 F002100 0 042 G002100 0 042 H002100 0 043 002100 0 044 002100 0 045 002100 Y 046 002100 N 047 002100 Y 048 002100 0.540 048 A012100 0 PAGE 85 048 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 0.0 062 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 PAGE 86 067 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 Y 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 70389 071 B002100 128379 071 C002100 58503 071 D002100 120 072 A002100 12 072 B002100 177 072 C002100 3244 072 D002100 0 072 E002100 0 072 F002100 318 072 G002100 0 PAGE 87 072 H002100 0 072 I002100 35 072 J002100 153 072 K002100 0 072 L002100 0 072 M002100 1 072 N002100 2 072 O002100 0 072 P002100 0 072 Q002100 0 072 R002100 40 072 S002100 2 072 T002100 0 072 U002100 0 072 V002100 0 072 W002100 84 072 X002100 635 072 Y002100 401 072 Z002100 3187 072AA002100 0 072BB002100 3899 072CC012100 0 072CC022100 154 072DD012100 6827 072DD022100 325 072EE002100 434 073 A012100 1.5280 073 A022100 0.0500 073 B002100 0.3800 073 C002100 0.0000 074 A002100 13 074 B002100 0 074 C002100 0 074 D002100 0 074 E002100 0 074 F002100 0 074 G002100 0 074 H002100 0 074 I002100 37825 074 J002100 0 074 K002100 23 074 L002100 12369 074 M002100 12 074 N002100 50242 074 O002100 0 074 P002100 5 074 Q002100 0 074 R012100 0 074 R022100 0 074 R032100 0 074 R042100 12656 PAGE 88 074 S002100 0 074 T002100 37581 074 U012100 5265 074 U022100 0 074 V012100 7.14 074 V022100 0.00 074 W002100 0.0000 074 X002100 20 074 Y002100 0 075 A002100 0 075 B002100 58852 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 N 025 A002201 DELETE 025 D002201 0 025 D002202 0 025 D002203 0 025 D002204 0 025 D002205 0 025 D002206 0 025 D002207 0 025 D002208 0 028 A012200 1563 028 A022200 0 028 A032200 0 028 A042200 0 028 B012200 5000 028 B022200 0 028 B032200 0 028 B042200 2211 028 C012200 0 028 C022200 0 028 C032200 0 028 C042200 0 PAGE 89 028 D012200 0 028 D022200 15157 028 D032200 0 028 D042200 1907 028 E012200 2 028 E022200 0 028 E032200 0 028 E042200 10 028 F012200 3 028 F022200 0 028 F032200 0 028 F042200 100 028 G012200 6568 028 G022200 15157 028 G032200 0 028 G042200 4228 028 H002200 0 037 002200 N 038 002200 0 039 002200 N 040 002200 N 041 002200 N 042 A002200 0 042 B002200 0 042 C002200 0 042 D002200 0 042 E002200 0 042 F002200 0 042 G002200 0 042 H002200 0 043 002200 0 044 002200 0 045 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 90 048 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 0.0 062 J002200 0.0 062 K002200 0.3 062 L002200 0.0 062 M002200 0.0 062 N002200 1.3 062 O002200 0.0 062 P002200 0.0 062 Q002200 2.5 062 R002200 96.8 063 A002200 0 063 B002200 8.8 064 A002200 N 064 B002200 N 066 A002200 N 067 002200 N 068 A002200 N 068 B002200 Y 069 002200 N 070 A012200 Y 070 A022200 Y 070 B012200 Y 070 B022200 N 070 C012200 Y 070 C022200 N 070 D012200 Y 070 D022200 N 070 E012200 Y 070 E022200 Y 070 F012200 Y 070 F022200 N PAGE 91 070 G012200 Y 070 G022200 N 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 N 070 O012200 Y 070 O022200 N 070 P012200 N 070 P022200 N 070 Q012200 N 070 Q022200 N 070 R012200 N 070 R022200 N 071 A002200 77855 071 B002200 90443 071 C002200 276778 071 D002200 28 072 A002200 12 072 B002200 791 072 C002200 14997 072 D002200 0 072 E002200 0 072 F002200 528 072 G002200 0 072 H002200 0 072 I002200 0 072 J002200 106 072 K002200 0 072 L002200 0 072 M002200 4 072 N002200 2 072 O002200 0 072 P002200 0 072 Q002200 0 072 R002200 45 072 S002200 14 072 T002200 0 072 U002200 0 072 V002200 0 072 W002200 423 PAGE 92 072 X002200 1122 072 Y002200 235 072 Z002200 14901 072AA002200 0 072BB002200 6034 072CC012200 0 072CC022200 13107 072DD012200 10755 072DD022200 0 072EE002200 5266 073 A012200 0.3860 073 A022200 0.0000 073 B002200 0.1890 073 C002200 0.0000 074 A002200 665 074 B002200 0 074 C002200 0 074 D002200 10450 074 E002200 0 074 F002200 0 074 G002200 0 074 H002200 0 074 I002200 265008 074 J002200 500 074 K002200 0 074 L002200 1948 074 M002200 0 074 N002200 278571 074 O002200 823 074 P002200 54 074 Q002200 0 074 R012200 0 074 R022200 0 074 R032200 0 074 R042200 4620 074 S002200 0 074 T002200 273074 074 U012200 29283 074 U022200 0 074 V012200 9.33 074 V022200 0.00 074 W002200 0.0000 074 X002200 29 074 Y002200 3980 075 A002200 0 075 B002200 277953 076 002200 0.00 008 A002301 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B002301 A 008 C002301 801-6003 008 D012301 BOSTON PAGE 93 008 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 Y 025 A002301 MORGAN STANLEY 025 C002301 E 025 D002301 112 025 D002302 0 025 D002303 0 025 D002304 0 025 D002305 0 025 D002306 0 025 D002307 0 025 D002308 0 028 A012300 615 028 A022300 0 028 A032300 0 028 A042300 0 028 B012300 6573 028 B022300 0 028 B032300 0 028 B042300 3583 028 C012300 7551 028 C022300 0 028 C032300 0 028 C042300 92 028 D012300 17067 028 D022300 609 028 D032300 0 028 D042300 1812 028 E012300 10894 028 E022300 0 028 E032300 0 028 E042300 1121 028 F012300 322 028 F022300 0 028 F032300 0 028 F042300 131 028 G012300 43022 028 G022300 609 028 G032300 0 PAGE 94 028 G042300 6739 028 H002300 0 037 002300 N 038 002300 0 039 002300 N 040 002300 N 041 002300 N 042 A002300 0 042 B002300 0 042 C002300 0 042 D002300 0 042 E002300 0 042 F002300 0 042 G002300 0 042 H002300 0 043 002300 0 044 002300 0 045 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 PAGE 95 062 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 0.0 062 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 PAGE 96 070 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 071 A002300 50731 071 B002300 8708 071 C002300 147085 071 D002300 6 072 A002300 12 072 B002300 209 072 C002300 8885 072 D002300 0 072 E002300 0 072 F002300 837 072 G002300 0 072 H002300 0 072 I002300 0 072 J002300 25 072 K002300 0 072 L002300 0 072 M002300 2 072 N002300 2 072 O002300 0 072 P002300 0 072 Q002300 0 072 R002300 38 072 S002300 7 072 T002300 0 072 U002300 0 072 V002300 0 072 W002300 235 072 X002300 1146 072 Y002300 75 072 Z002300 8023 072AA002300 0 072BB002300 1509 072CC012300 14307 072CC022300 0 072DD012300 7471 072DD022300 0 072EE002300 0 073 A012300 0.5370 073 A022300 0.0000 073 B002300 0.0000 PAGE 97 073 C002300 0.0000 074 A002300 0 074 B002300 9743 074 C002300 0 074 D002300 0 074 E002300 0 074 F002300 18418 074 G002300 0 074 H002300 0 074 I002300 184837 074 J002300 0 074 K002300 0 074 L002300 124 074 M002300 0 074 N002300 213122 074 O002300 482 074 P002300 93 074 Q002300 0 074 R012300 0 074 R022300 0 074 R032300 0 074 R042300 19941 074 S002300 0 074 T002300 192606 074 U012300 17237 074 U022300 0 074 V012300 11.17 074 V022300 0.00 074 W002300 0.0000 074 X002300 170 074 Y002300 19897 075 A002300 0 075 B002300 154946 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 PAGE 98 024 002400 Y 025 A002401 DEUTSCHE BANK ALEX BROWN 025 C002401 E 025 D002401 20532 025 D002402 0 025 D002403 0 025 D002404 0 025 D002405 0 025 D002406 0 025 D002407 0 025 D002408 0 028 A012400 41949 028 A022400 0 028 A032400 0 028 A042400 447 028 B012400 56335 028 B022400 0 028 B032400 0 028 B042400 1282 028 C012400 36126 028 C022400 0 028 C032400 0 028 C042400 12272 028 D012400 36647 028 D022400 5066 028 D032400 0 028 D042400 18181 028 E012400 5675 028 E022400 0 028 E032400 0 028 E042400 3786 028 F012400 8353 028 F022400 0 028 F032400 0 028 F042400 12510 028 G012400 185085 028 G022400 5066 028 G032400 0 028 G042400 48478 028 H002400 0 037 002400 N 038 002400 0 039 002400 N 040 002400 Y 041 002400 Y 042 A002400 0 042 B002400 0 042 C002400 0 042 D002400 100 042 E002400 0 042 F002400 0 PAGE 99 042 G002400 0 042 H002400 0 043 002400 0 044 002400 0 045 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 0 048 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 0 062 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 PAGE 100 062 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 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 455897 071 B002400 252056 PAGE 101 071 C002400 1131696 071 D002400 22 072 A002400 12 072 B002400 4596 072 C002400 27132 072 D002400 0 072 E002400 0 072 F002400 7274 072 G002400 0 072 H002400 0 072 I002400 51 072 J002400 842 072 K002400 0 072 L002400 0 072 M002400 16 072 N002400 37 072 O002400 0 072 P002400 0 072 Q002400 0 072 R002400 56 072 S002400 63 072 T002400 0 072 U002400 0 072 V002400 0 072 W002400 1846 072 X002400 10185 072 Y002400 1085 072 Z002400 22628 072AA002400 0 072BB002400 31941 072CC012400 0 072CC022400 99343 072DD012400 11258 072DD022400 2473 072EE002400 12833 073 A012400 0.1120 073 A022400 0.1180 073 B002400 0.1160 073 C002400 0.0000 074 A002400 34 074 B002400 0 074 C002400 0 074 D002400 3184 074 E002400 27943 074 F002400 1198335 074 G002400 0 074 H002400 0 074 I002400 100758 074 J002400 839 074 K002400 0 074 L002400 2055 PAGE 102 074 M002400 6218 074 N002400 1339366 074 O002400 9725 074 P002400 651 074 Q002400 0 074 R012400 0 074 R022400 0 074 R032400 0 074 R042400 45049 074 S002400 0 074 T002400 1283941 074 U012400 105431 074 U022400 13495 074 V012400 9.95 074 V022400 9.96 074 W002400 0.0000 074 X002400 126 074 Y002400 44310 075 A002400 0 075 B002400 1212350 076 002400 0.00 008 A002501 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B002501 A 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 PAGE 103 028 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 0 028 D022500 0 028 D032500 0 028 D042500 0 028 E012500 2 028 E022500 0 028 E032500 0 028 E042500 0 028 F012500 0 028 F022500 0 028 F032500 0 028 F042500 3 028 G012500 2 028 G022500 0 028 G032500 0 028 G042500 3 028 H002500 0 037 002500 N 038 002500 0 039 002500 N 040 002500 N 041 002500 N 042 A002500 0 042 B002500 0 042 C002500 0 042 D002500 0 042 E002500 0 042 F002500 0 042 G002500 0 042 H002500 0 043 002500 0 044 002500 0 045 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 PAGE 104 048 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 0.0 062 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 Y 069 002500 N 070 A012500 Y 070 A022500 Y PAGE 105 070 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 Y 070 L022500 Y 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 070 R022500 N 071 A002500 1855 071 B002500 5252 071 C002500 7568 071 D002500 25 072 A002500 12 072 B002500 0 072 C002500 199 072 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 PAGE 106 072 N002500 1 072 O002500 0 072 P002500 0 072 Q002500 0 072 R002500 18 072 S002500 0 072 T002500 0 072 U002500 0 072 V002500 0 072 W002500 1 072 X002500 23 072 Y002500 23 072 Z002500 199 072AA002500 0 072BB002500 514 072CC012500 250 072CC022500 0 072DD012500 463 072DD022500 0 072EE002500 0 073 A012500 0.3780 073 A022500 0.0000 073 B002500 0.0000 073 C002500 0.0000 074 A002500 0 074 B002500 5 074 C002500 0 074 D002500 0 074 E002500 0 074 F002500 0 074 G002500 0 074 H002500 0 074 I002500 7318 074 J002500 5 074 K002500 1 074 L002500 0 074 M002500 0 074 N002500 7329 074 O002500 0 074 P002500 0 074 Q002500 0 074 R012500 0 074 R022500 0 074 R032500 0 074 R042500 11 074 S002500 0 074 T002500 7318 074 U012500 847 074 U022500 0 074 V012500 8.64 074 V022500 0.00 PAGE 107 074 W002500 0.0000 074 X002500 4 074 Y002500 0 075 A002500 0 075 B002500 7484 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 0 028 A012600 1552 028 A022600 0 028 A032600 0 028 A042600 20 028 B012600 0 028 B022600 0 028 B032600 0 028 B042600 3185 028 C012600 8 028 C022600 0 028 C032600 0 028 C042600 500 028 D012600 7488 028 D022600 4972 028 D032600 0 028 D042600 1674 028 E012600 6940 028 E022600 0 PAGE 108 028 E032600 0 028 E042600 400 028 F012600 1059 028 F022600 0 028 F032600 0 028 F042600 19 028 G012600 17047 028 G022600 4972 028 G032600 0 028 G042600 5798 028 H002600 0 037 002600 N 038 002600 0 039 002600 N 040 002600 N 041 002600 N 042 A002600 0 042 B002600 0 042 C002600 0 042 D002600 0 042 E002600 0 042 F002600 0 042 G002600 0 042 H002600 0 043 002600 0 044 002600 0 045 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 0.000 048 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 PAGE 109 058 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 Y 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 070 E022600 N 070 F012600 N 070 F022600 N 070 G012600 N 070 G022600 N 070 H012600 N 070 H022600 N 070 I012600 N PAGE 110 070 I022600 N 070 J012600 N 070 J022600 N 070 K012600 Y 070 K022600 Y 070 L012600 Y 070 L022600 Y 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 37907 071 B002600 18982 071 C002600 117054 071 D002600 16 072 A002600 12 072 B002600 2 072 C002600 4662 072 D002600 0 072 E002600 0 072 F002600 0 072 G002600 0 072 H002600 0 072 I002600 0 072 J002600 16 072 K002600 0 072 L002600 0 072 M002600 2 072 N002600 1 072 O002600 0 072 P002600 0 072 Q002600 0 072 R002600 17 072 S002600 5 072 T002600 0 072 U002600 0 072 V002600 0 072 W002600 5 072 X002600 45 072 Y002600 43 072 Z002600 4662 072AA002600 0 072BB002600 555 PAGE 111 072CC012600 1302 072CC022600 0 072DD012600 5364 072DD022600 0 072EE002600 0 073 A012600 0.4970 073 A022600 0.0000 073 B002600 0.0000 073 C002600 0.0000 074 A002600 0 074 B002600 9 074 C002600 0 074 D002600 0 074 E002600 0 074 F002600 0 074 G002600 0 074 H002600 0 074 I002600 130920 074 J002600 0 074 K002600 4 074 L002600 7 074 M002600 0 074 N002600 130940 074 O002600 0 074 P002600 0 074 Q002600 0 074 R012600 0 074 R022600 0 074 R032600 0 074 R042600 14 074 S002600 0 074 T002600 130926 074 U012600 12154 074 U022600 0 074 V012600 10.77 074 V022600 0.00 074 W002600 0.0000 074 X002600 68 074 Y002600 0 075 A002600 0 075 B002600 116528 076 002600 0.00 008 A002701 GRANTHAM, MAYO, VAN OTTERLOO & CO. 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 PAGE 112 012 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 A002701 DELETE 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 0 028 A022700 0 028 A032700 0 028 A042700 0 028 B012700 11 028 B022700 5 028 B032700 0 028 B042700 2289 028 C012700 629 028 C022700 0 028 C032700 0 028 C042700 0 028 D012700 3 028 D022700 0 028 D032700 0 028 D042700 5 028 E012700 3 028 E022700 0 028 E032700 0 028 E042700 52 028 F012700 0 028 F022700 0 028 F032700 0 028 F042700 0 028 G012700 646 028 G022700 5 028 G032700 0 028 G042700 2346 028 H002700 0 037 002700 Y 038 002700 16 039 002700 N PAGE 113 040 002700 N 041 002700 N 042 A002700 0 042 B002700 0 042 C002700 0 042 D002700 0 042 E002700 0 042 F002700 0 042 G002700 0 042 H002700 0 043 002700 0 044 002700 0 045 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 PAGE 114 062 I002700 0.0 062 J002700 0.0 062 K002700 0.0 062 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 PAGE 115 070 P012700 N 070 P022700 N 070 Q012700 N 070 Q022700 N 070 R012700 N 070 R022700 N 071 A002700 21478 071 B002700 23369 071 C002700 18186 071 D002700 118 072 A002700 12 072 B002700 30 072 C002700 73 072 D002700 0 072 E002700 0 072 F002700 62 072 G002700 0 072 H002700 0 072 I002700 0 072 J002700 21 072 K002700 0 072 L002700 0 072 M002700 0 072 N002700 4 072 O002700 0 072 P002700 0 072 Q002700 0 072 R002700 36 072 S002700 1 072 T002700 0 072 U002700 0 072 V002700 0 072 W002700 29 072 X002700 153 072 Y002700 63 072 Z002700 13 072AA002700 0 072BB002700 4130 072CC012700 2747 072CC022700 0 072DD012700 12 072DD022700 0 072EE002700 1634 073 A012700 0.0110 073 A022700 0.0000 073 B002700 1.4870 073 C002700 0.0000 074 A002700 0 074 B002700 359 074 C002700 100 074 D002700 0 PAGE 116 074 E002700 0 074 F002700 16030 074 G002700 0 074 H002700 0 074 I002700 2161 074 J002700 788 074 K002700 0 074 L002700 6 074 M002700 0 074 N002700 19444 074 O002700 191 074 P002700 2 074 Q002700 0 074 R012700 0 074 R022700 0 074 R032700 0 074 R042700 2202 074 S002700 0 074 T002700 17049 074 U012700 1035 074 U022700 0 074 V012700 16.48 074 V022700 0.00 074 W002700 0.0000 074 X002700 28 074 Y002700 2249 075 A002700 0 075 B002700 18797 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 PAGE 117 025 D002804 0 025 D002805 0 025 D002806 0 025 D002807 0 025 D002808 0 028 A012800 0 028 A022800 0 028 A032800 0 028 A042800 148 028 B012800 0 028 B022800 0 028 B032800 0 028 B042800 13201 028 C012800 0 028 C022800 0 028 C032800 0 028 C042800 78 028 D012800 0 028 D022800 0 028 D032800 0 028 D042800 246 028 E012800 4003 028 E022800 0 028 E032800 0 028 E042800 41 028 F012800 0 028 F022800 0 028 F032800 0 028 F042800 17 028 G012800 4003 028 G022800 0 028 G032800 0 028 G042800 13731 028 H002800 0 037 002800 N 038 002800 0 039 002800 N 040 002800 N 041 002800 N 042 A002800 0 042 B002800 0 042 C002800 0 042 D002800 0 042 E002800 0 042 F002800 0 042 G002800 0 042 H002800 0 043 002800 0 044 002800 0 045 002800 Y 046 002800 N PAGE 118 048 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 0.000 048 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 PAGE 119 066 F002800 N 066 G002800 Y 067 002800 N 068 A002800 N 068 B002800 Y 069 002800 N 070 A012800 Y 070 A022800 Y 070 B012800 N 070 B022800 N 070 C012800 N 070 C022800 N 070 D012800 N 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 Y 070 L022800 Y 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 33222 071 B002800 34028 071 C002800 66465 071 D002800 50 072 A002800 12 072 B002800 1 072 C002800 1880 072 D002800 0 072 E002800 0 PAGE 120 072 F002800 0 072 G002800 0 072 H002800 0 072 I002800 0 072 J002800 10 072 K002800 0 072 L002800 0 072 M002800 1 072 N002800 2 072 O002800 0 072 P002800 0 072 Q002800 0 072 R002800 17 072 S002800 3 072 T002800 0 072 U002800 0 072 V002800 0 072 W002800 2 072 X002800 35 072 Y002800 34 072 Z002800 1880 072AA002800 0 072BB002800 4468 072CC012800 0 072CC022800 1997 072DD012800 1639 072DD022800 0 072EE002800 0 073 A012800 0.2380 073 A022800 0.0000 073 B002800 0.0000 073 C002800 0.0000 074 A002800 0 074 B002800 20 074 C002800 0 074 D002800 0 074 E002800 0 074 F002800 0 074 G002800 0 074 H002800 0 074 I002800 65702 074 J002800 0 074 K002800 2 074 L002800 0 074 M002800 0 074 N002800 65724 074 O002800 0 074 P002800 0 074 Q002800 0 074 R012800 0 074 R022800 0 PAGE 121 074 R032800 0 074 R042800 12 074 S002800 0 074 T002800 65712 074 U012800 7286 074 U022800 0 074 V012800 9.02 074 V022800 0.00 074 W002800 0.0000 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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 Y 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 PAGE 124 070 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 Y 070 L022900 Y 070 M012900 N 070 M022900 N 070 N012900 N 070 N022900 N 070 O012900 N 070 O022900 N 070 P012900 N 070 P022900 N 070 Q012900 N 070 Q022900 N 070 R012900 N 070 R022900 N 071 A002900 5552 071 B002900 7214 071 C002900 41579 071 D002900 13 072 A002900 12 072 B002900 0 072 C002900 1133 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 1 072 N002900 2 072 O002900 0 072 P002900 0 072 Q002900 0 072 R002900 17 072 S002900 2 072 T002900 0 PAGE 125 072 U002900 0 072 V002900 0 072 W002900 1 072 X002900 30 072 Y002900 29 072 Z002900 1132 072AA002900 0 072BB002900 1056 072CC012900 334 072CC022900 0 072DD012900 647 072DD022900 0 072EE002900 1067 073 A012900 0.1330 073 A022900 0.0000 073 B002900 0.2220 073 C002900 0.0000 074 A002900 0 074 B002900 9 074 C002900 0 074 D002900 0 074 E002900 0 074 F002900 0 074 G002900 0 074 H002900 0 074 I002900 40125 074 J002900 0 074 K002900 2 074 L002900 0 074 M002900 0 074 N002900 40136 074 O002900 0 074 P002900 0 074 Q002900 0 074 R012900 0 074 R022900 0 074 R032900 0 074 R042900 12 074 S002900 0 074 T002900 40124 074 U012900 4636 074 U022900 0 074 V012900 8.66 074 V022900 0.00 074 W002900 0.0000 074 X002900 8 074 Y002900 0 075 A002900 0 075 B002900 41545 076 002900 0.00 008 A003101 GRANTHAM, MAYO, VAN OTTERLOO & CO. 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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 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 Y 070 K013100 Y 070 K023100 Y 070 L013100 Y PAGE 129 070 L023100 Y 070 M013100 Y 070 M023100 N 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 128020 071 B003100 38064 071 C003100 95160 071 D003100 40 072 A003100 12 072 B003100 4124 072 C003100 11 072 D003100 0 072 E003100 0 072 F003100 90 072 G003100 0 072 H003100 0 072 I003100 0 072 J003100 31 072 K003100 0 072 L003100 0 072 M003100 1 072 N003100 2 072 O003100 0 072 P003100 156 072 Q003100 0 072 R003100 31 072 S003100 5 072 T003100 0 072 U003100 0 072 V003100 0 072 W003100 153 072 X003100 469 072 Y003100 85 072 Z003100 3751 072AA003100 1199 072BB003100 0 072CC013100 0 072CC023100 759 072DD013100 4356 072DD023100 0 072EE003100 664 073 A013100 0.3740 PAGE 130 073 A023100 0.0000 073 B003100 0.0510 073 C003100 0.0000 074 A003100 10 074 B003100 0 074 C003100 0 074 D003100 148307 074 E003100 0 074 F003100 0 074 G003100 0 074 H003100 0 074 I003100 9304 074 J003100 75 074 K003100 3 074 L003100 1190 074 M003100 0 074 N003100 158889 074 O003100 0 074 P003100 17 074 Q003100 0 074 R013100 9531 074 R023100 0 074 R033100 0 074 R043100 67 074 S003100 0 074 T003100 149274 074 U013100 13811 074 U023100 0 074 V013100 10.81 074 V023100 0.00 074 W003100 0.0000 074 X003100 161 074 Y003100 16181 075 A003100 0 075 B003100 90482 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 PAGE 131 015 C033201 02116 015 E013201 X 024 003200 N 025 A003201 DELETE 025 D003201 0 025 D003202 0 025 D003203 0 025 D003204 0 025 D003205 0 025 D003206 0 025 D003207 0 025 D003208 0 028 A013200 0 028 A023200 0 028 A033200 0 028 A043200 1072 028 B013200 14 028 B023200 0 028 B033200 0 028 B043200 7633 028 C013200 213302 028 C023200 0 028 C033200 0 028 C043200 0 028 D013200 964 028 D023200 15094 028 D033200 0 028 D043200 5350 028 E013200 571 028 E023200 0 028 E033200 0 028 E043200 513 028 F013200 1203 028 F023200 0 028 F033200 0 028 F043200 16020 028 G013200 216054 028 G023200 15094 028 G033200 0 028 G043200 30588 028 H003200 0 037 003200 N 038 003200 0 039 003200 N 040 003200 N 042 A003200 0 042 B003200 0 042 C003200 0 042 D003200 0 042 E003200 0 042 F003200 0 PAGE 132 042 G003200 0 042 H003200 0 043 003200 0 044 003200 0 045 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 0.0 062 E003200 0.0 062 F003200 0.0 062 G003200 0.0 062 H003200 0.0 062 I003200 0.3 062 J003200 0.0 062 K003200 0.3 062 L003200 0.0 062 M003200 10.1 062 N003200 11.9 062 O003200 0.0 062 P003200 0.5 PAGE 133 062 Q003200 8.0 062 R003200 80.3 063 A003200 0 063 B003200 16.9 064 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 N 070 D013200 Y 070 D023200 N 070 E013200 Y 070 E023200 Y 070 F013200 Y 070 F023200 N 070 G013200 Y 070 G023200 N 070 H013200 Y 070 H023200 N 070 I013200 N 070 I023200 N 070 J013200 Y 070 J023200 Y 070 K013200 Y 070 K023200 Y 070 L013200 Y 070 L023200 Y 070 M013200 Y 070 M023200 Y 070 N013200 Y 070 N023200 Y 070 O013200 Y 070 O023200 N 070 P013200 N 070 P023200 N 070 Q013200 N 070 Q023200 N 070 R013200 N 070 R023200 N 071 A003200 477996 071 B003200 249643 071 C003200 220806 071 D003200 113 PAGE 134 072 A003200 12 072 B003200 2866 072 C003200 13812 072 D003200 0 072 E003200 0 072 F003200 537 072 G003200 0 072 H003200 0 072 I003200 0 072 J003200 89 072 K003200 0 072 L003200 0 072 M003200 2 072 N003200 2 072 O003200 0 072 P003200 0 072 Q003200 0 072 R003200 54 072 S003200 10 072 T003200 0 072 U003200 0 072 V003200 0 072 W003200 325 072 X003200 1019 072 Y003200 204 072 Z003200 15863 072AA003200 5855 072BB003200 0 072CC013200 0 072CC023200 9231 072DD013200 17797 072DD023200 0 072EE003200 131 073 A013200 0.6200 073 A023200 0.0000 073 B003200 0.0040 073 C003200 0.0000 074 A003200 715 074 B003200 0 074 C003200 0 074 D003200 103637 074 E003200 7016 074 F003200 0 074 G003200 0 074 H003200 0 074 I003200 268218 074 J003200 3747 074 K003200 0 074 L003200 2300 074 M003200 0 074 N003200 385633 PAGE 135 074 O003200 1029 074 P003200 78 074 Q003200 0 074 R013200 0 074 R023200 0 074 R033200 0 074 R043200 44487 074 S003200 0 074 T003200 340039 074 U013200 32731 074 U023200 0 074 V013200 10.39 074 V023200 0.00 074 W003200 0.0000 074 X003200 38 074 Y003200 271724 075 A003200 0 075 B003200 214609 076 003200 0.00 008 A003401 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B003401 A 008 C003401 801-6003 008 D013401 BOSTON 008 D023401 MA 008 D033401 02110 008 A003402 DELETE 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 E 025 D003401 176 025 D003402 0 025 D003403 0 025 D003404 0 025 D003405 0 025 D003406 0 025 D003407 0 025 D003408 0 028 A013400 100 028 A023400 0 028 A033400 0 PAGE 136 028 A043400 0 028 B013400 800 028 B023400 0 028 B033400 0 028 B043400 1728 028 C013400 0 028 C023400 0 028 C033400 0 028 C043400 0 028 D013400 17 028 D023400 0 028 D033400 0 028 D043400 0 028 E013400 6 028 E023400 0 028 E033400 0 028 E043400 8 028 F013400 16210 028 F023400 0 028 F033400 0 028 F043400 5 028 G013400 17133 028 G023400 0 028 G033400 0 028 G043400 1741 028 H003400 0 037 003400 Y 038 003400 15 039 003400 N 040 003400 N 041 003400 N 042 A003400 0 042 B003400 0 042 C003400 0 042 D003400 0 042 E003400 0 042 F003400 0 042 G003400 0 042 H003400 0 043 003400 0 044 003400 0 045 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 PAGE 137 048 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 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 PAGE 138 070 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 070 L013400 Y 070 L023400 Y 070 M013400 Y 070 M023400 Y 070 N013400 Y 070 N023400 N 070 O013400 Y 070 O023400 Y 070 P013400 N 070 P023400 N 070 Q013400 N 070 Q023400 N 070 R013400 N 070 R023400 N 071 A003400 67854 071 B003400 52390 071 C003400 48096 071 D003400 109 072 A003400 12 072 B003400 58 072 C003400 1652 072 D003400 0 072 E003400 0 072 F003400 315 072 G003400 0 072 H003400 0 072 I003400 28 072 J003400 261 072 K003400 0 072 L003400 0 PAGE 139 072 M003400 0 072 N003400 1 072 O003400 2 072 P003400 0 072 Q003400 0 072 R003400 49 072 S003400 5 072 T003400 0 072 U003400 0 072 V003400 0 072 W003400 103 072 X003400 764 072 Y003400 83 072 Z003400 1029 072AA003400 0 072BB003400 6821 072CC013400 10978 072CC023400 0 072DD013400 415 072DD023400 0 072EE003400 0 073 A013400 0.0720 073 A023400 0.0000 073 B003400 0.0000 073 C003400 0.0000 074 A003400 70 074 B003400 0 074 C003400 0 074 D003400 0 074 E003400 5271 074 F003400 62107 074 G003400 0 074 H003400 0 074 I003400 4838 074 J003400 0 074 K003400 0 074 L003400 266 074 M003400 236 074 N003400 72788 074 O003400 196 074 P003400 31 074 Q003400 0 074 R013400 0 074 R023400 0 074 R033400 0 074 R043400 156 074 S003400 0 074 T003400 72405 074 U013400 7500 074 U023400 0 074 V013400 9.65 PAGE 140 074 V023400 0.00 074 W003400 0.0000 074 X003400 63 074 Y003400 1132 075 A003400 0 075 B003400 48484 076 003400 0.00 008 A003501 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B003501 A 008 C003501 801-6003 008 D013501 BOSTON 008 D023501 MA 008 D033501 02110 008 A003502 DELETE 012 A003501 INVESTORS BANK & TRUST COMPANY 012 B003501 85-720 012 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 Y 025 A003501 DEUTSCHE BANK ALEX BROWN 025 C003501 E 025 D003501 2200 025 A003502 DELETE 025 D003502 0 025 D003503 0 025 D003504 0 025 D003505 0 025 D003506 0 025 D003507 0 025 D003508 0 028 A013500 14 028 A023500 0 028 A033500 0 028 A043500 0 028 B013500 0 028 B023500 0 028 B033500 0 028 B043500 0 028 C013500 0 028 C023500 0 028 C033500 0 028 C043500 0 028 D013500 6 028 D023500 0 PAGE 141 028 D033500 0 028 D043500 0 028 E013500 1 028 E023500 0 028 E033500 0 028 E043500 0 028 F013500 10 028 F023500 0 028 F033500 0 028 F043500 0 028 G013500 31 028 G023500 0 028 G033500 0 028 G043500 0 028 H003500 0 037 003500 Y 038 003500 0 039 003500 N 040 003500 N 041 003500 N 042 A003500 0 042 B003500 0 042 C003500 0 042 D003500 0 042 E003500 0 042 F003500 0 042 G003500 0 042 H003500 0 043 003500 0 044 003500 0 045 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 PAGE 142 048 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 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 PAGE 143 070 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 Y 070 L013500 Y 070 L023500 Y 070 M013500 Y 070 M023500 Y 070 N013500 Y 070 N023500 N 070 O013500 Y 070 O023500 N 070 P013500 N 070 P023500 N 070 Q013500 N 070 Q023500 N 070 R013500 N 070 R023500 N 071 A003500 68035 071 B003500 68882 071 C003500 98648 071 D003500 69 072 A003500 12 072 B003500 80 072 C003500 2201 072 D003500 0 072 E003500 0 072 F003500 807 072 G003500 0 072 H003500 0 072 I003500 27 072 J003500 313 072 K003500 0 072 L003500 0 072 M003500 1 072 N003500 1 072 O003500 0 072 P003500 0 072 Q003500 0 072 R003500 51 072 S003500 7 072 T003500 0 072 U003500 0 072 V003500 0 072 W003500 152 PAGE 144 072 X003500 1359 072 Y003500 86 072 Z003500 1008 072AA003500 0 072BB003500 19001 072CC013500 22815 072CC023500 0 072DD013500 1563 072DD023500 0 072EE003500 0 073 A013500 0.1080 073 A023500 0.0000 073 B003500 0.0000 073 C003500 0.0000 074 A003500 91 074 B003500 0 074 C003500 0 074 D003500 0 074 E003500 1256 074 F003500 109517 074 G003500 0 074 H003500 0 074 I003500 6297 074 J003500 0 074 K003500 0 074 L003500 495 074 M003500 439 074 N003500 118095 074 O003500 0 074 P003500 73 074 Q003500 0 074 R013500 0 074 R023500 0 074 R033500 0 074 R043500 144 074 S003500 0 074 T003500 117878 074 U013500 14577 074 U023500 0 074 V013500 8.09 074 V023500 0.00 074 W003500 0.0000 074 X003500 39 074 Y003500 3460 075 A003500 0 075 B003500 99610 076 003500 0.00 008 A003601 GRANTHAM, MAYO, VAN OTTERLOO, & CO. 008 B003601 A 008 C003601 801-6003 008 D013601 BOSTON PAGE 145 008 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 CHASE & CO 025 C003601 E 025 D003601 155 025 A003602 MORGAN STANLEY 025 C003602 E 025 D003602 98 025 A003603 LEHMAN BROTHERS 025 C003603 E 025 D003603 23 025 A003604 DELETE 025 D003604 0 025 A003605 DELETE 025 D003605 0 025 D003606 0 025 D003607 0 025 D003608 0 028 A013600 215 028 A023600 0 028 A033600 0 028 A043600 0 028 B013600 0 028 B023600 1 028 B033600 0 028 B043600 0 028 C013600 7000 028 C023600 0 028 C033600 0 028 C043600 0 028 D013600 9283 028 D023600 1 028 D033600 0 028 D043600 0 028 E013600 0 028 E023600 0 028 E033600 0 028 E043600 0 028 F013600 0 PAGE 146 028 F023600 0 028 F033600 0 028 F043600 0 028 G013600 16498 028 G023600 2 028 G033600 0 028 G043600 0 028 H003600 0 037 003600 N 038 003600 0 039 003600 N 040 003600 N 041 003600 N 042 A003600 0 042 B003600 0 042 C003600 0 042 D003600 0 042 E003600 0 042 F003600 0 042 G003600 0 042 H003600 0 043 003600 0 044 003600 0 045 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 0.000 048 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 PAGE 147 060 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 070 D023600 N 070 E013600 N 070 E023600 N 070 F013600 Y 070 F023600 Y 070 G013600 Y 070 G023600 N 070 H013600 Y 070 H023600 N 070 I013600 N 070 I023600 N 070 J013600 Y PAGE 148 070 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 23646 071 B003600 6941 071 C003600 15396 071 D003600 45 072 A003600 12 072 B003600 7 072 C003600 275 072 D003600 0 072 E003600 0 072 F003600 51 072 G003600 0 072 H003600 0 072 I003600 0 072 J003600 18 072 K003600 0 072 L003600 0 072 M003600 0 072 N003600 2 072 O003600 0 072 P003600 0 072 Q003600 0 072 R003600 33 072 S003600 0 072 T003600 0 072 U003600 0 072 V003600 0 072 W003600 24 072 X003600 128 072 Y003600 54 072 Z003600 208 072AA003600 0 072BB003600 884 072CC013600 0 072CC023600 73 PAGE 149 072DD013600 180 072DD023600 0 072EE003600 0 073 A013600 0.1420 073 A023600 0.0000 073 B003600 0.0000 073 C003600 0.0000 074 A003600 0 074 B003600 342 074 C003600 0 074 D003600 0 074 E003600 0 074 F003600 27137 074 G003600 0 074 H003600 0 074 I003600 391 074 J003600 0 074 K003600 1 074 L003600 47 074 M003600 0 074 N003600 27918 074 O003600 0 074 P003600 3 074 Q003600 0 074 R013600 0 074 R023600 0 074 R033600 0 074 R043600 420 074 S003600 0 074 T003600 27495 074 U013600 2445 074 U023600 0 074 V013600 11.24 074 V023600 0.00 074 W003600 0.0000 074 X003600 12 074 Y003600 391 075 A003600 0 075 B003600 15305 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 PAGE 150 015 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 DEUTSCHE BANK 025 C003701 E 025 D003701 300 025 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 1575 028 B023700 0 028 B033700 0 028 B043700 0 028 C013700 3995 028 C023700 0 028 C033700 0 028 C043700 0 028 D013700 0 028 D023700 1257 028 D033700 0 028 D043700 0 028 E013700 0 028 E023700 0 028 E033700 0 028 E043700 0 028 F013700 100 028 F023700 0 028 F033700 0 028 F043700 0 028 G013700 5670 028 G023700 1257 028 G033700 0 028 G043700 0 028 H003700 0 037 003700 N 038 003700 0 039 003700 N 040 003700 N 041 003700 N PAGE 151 042 A003700 0 042 B003700 0 042 C003700 0 042 D003700 0 042 E003700 0 042 F003700 0 042 G003700 0 042 H003700 0 043 003700 0 044 003700 0 045 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 0.0 062 I003700 0.0 062 J003700 0.0 PAGE 152 062 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 Y 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 Y 070 L013700 Y 070 L023700 Y 070 M013700 Y 070 M023700 Y 070 N013700 Y 070 N023700 N 070 O013700 Y 070 O023700 N 070 P013700 N 070 P023700 N PAGE 153 070 Q013700 N 070 Q023700 N 070 R013700 N 070 R023700 N 071 A003700 42813 071 B003700 35069 071 C003700 70667 071 D003700 50 072 A003700 12 072 B003700 58 072 C003700 2251 072 D003700 0 072 E003700 0 072 F003700 391 072 G003700 0 072 H003700 0 072 I003700 27 072 J003700 213 072 K003700 0 072 L003700 0 072 M003700 1 072 N003700 3 072 O003700 0 072 P003700 0 072 Q003700 0 072 R003700 45 072 S003700 3 072 T003700 0 072 U003700 0 072 V003700 0 072 W003700 113 072 X003700 796 072 Y003700 295 072 Z003700 1808 072AA003700 0 072BB003700 5586 072CC013700 0 072CC023700 1474 072DD013700 2316 072DD023700 0 072EE003700 0 073 A013700 0.3100 073 A023700 0.0000 073 B003700 0.0000 073 C003700 0.0000 074 A003700 27 074 B003700 0 074 C003700 10 074 D003700 0 074 E003700 1999 074 F003700 71162 PAGE 154 074 G003700 0 074 H003700 0 074 I003700 538 074 J003700 13 074 K003700 0 074 L003700 551 074 M003700 1254 074 N003700 75554 074 O003700 0 074 P003700 22 074 Q003700 0 074 R013700 0 074 R023700 0 074 R033700 0 074 R043700 245 074 S003700 0 074 T003700 75287 074 U013700 7763 074 U023700 0 074 V013700 9.70 074 V023700 0.00 074 W003700 0.0000 074 X003700 15 074 Y003700 10 075 A003700 0 075 B003700 72494 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 0 025 D003804 0 025 D003805 0 PAGE 155 025 D003806 0 025 D003807 0 025 D003808 0 028 A013800 188 028 A023800 0 028 A033800 0 028 A043800 95 028 B013800 108 028 B023800 0 028 B033800 0 028 B043800 42 028 C013800 477 028 C023800 0 028 C033800 0 028 C043800 356 028 D013800 160 028 D023800 9960 028 D033800 0 028 D043800 100 028 E013800 1485 028 E023800 0 028 E033800 0 028 E043800 0 028 F013800 1058 028 F023800 0 028 F033800 0 028 F043800 955 028 G013800 3476 028 G023800 9960 028 G033800 0 028 G043800 1548 028 H003800 0 037 003800 N 038 003800 0 039 003800 N 040 003800 N 042 A003800 0 042 B003800 0 042 C003800 0 042 D003800 0 042 E003800 0 042 F003800 0 042 G003800 0 042 H003800 0 043 003800 0 044 003800 0 045 003800 Y 046 003800 N 048 003800 0.000 048 A013800 0 048 A023800 0.000 PAGE 156 048 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 0.000 048 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 N 060 B003800 N 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 0.0 066 A003800 Y 066 B003800 N 066 C003800 N 066 D003800 N 066 E003800 N 066 F003800 N 066 G003800 Y 067 003800 N PAGE 157 068 A003800 N 068 B003800 Y 069 003800 N 070 A013800 Y 070 A023800 Y 070 B013800 N 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 Y 070 L023800 Y 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 13014 071 B003800 31165 071 C003800 88433 071 D003800 15 072 A003800 12 072 B003800 2 072 C003800 9967 072 D003800 0 072 E003800 0 072 F003800 0 072 G003800 0 072 H003800 0 PAGE 158 072 I003800 0 072 J003800 13 072 K003800 0 072 L003800 0 072 M003800 1 072 N003800 19 072 O003800 0 072 P003800 0 072 Q003800 0 072 R003800 11 072 S003800 4 072 T003800 0 072 U003800 0 072 V003800 0 072 W003800 8 072 X003800 56 072 Y003800 55 072 Z003800 9968 072AA003800 0 072BB003800 2436 072CC013800 7536 072CC023800 0 072DD013800 9960 072DD023800 0 072EE003800 0 073 A013800 1.1900 073 A023800 0.0000 073 B003800 0.0000 073 C003800 0.0000 074 A003800 508 074 B003800 0 074 C003800 0 074 D003800 0 074 E003800 0 074 F003800 0 074 G003800 0 074 H003800 0 074 I003800 89434 074 J003800 0 074 K003800 2 074 L003800 14 074 M003800 0 074 N003800 89958 074 O003800 0 074 P003800 0 074 Q003800 0 074 R013800 0 074 R023800 0 074 R033800 0 074 R043800 6 074 S003800 0 PAGE 159 074 T003800 89952 074 U013800 9722 074 U023800 0 074 V013800 9.25 074 V023800 0.00 074 W003800 0.0000 074 X003800 2 074 Y003800 0 075 A003800 0 075 B003800 87212 076 003800 0.00 008 A003901 GRANTHAM,MAYO, VAN 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 MA 015 C033901 02116 015 E013901 X 024 003900 Y 025 A003901 DELETE 025 D003901 0 025 A003902 JP MORGAN CHASE 025 C003902 E 025 D003902 570 025 A003903 DELETE 025 D003903 0 025 A003904 MORGAN STANLEY 025 C003904 E 025 D003904 236 025 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 PAGE 160 025 D003912 0 025 D003913 0 025 D003914 0 025 D003915 0 025 D003916 0 028 A013900 0 028 A023900 0 028 A033900 0 028 A043900 400 028 B013900 0 028 B023900 24 028 B033900 0 028 B043900 0 028 C013900 103 028 C023900 0 028 C033900 0 028 C043900 0 028 D013900 139 028 D023900 1312 028 D033900 0 028 D043900 0 028 E013900 136 028 E023900 0 028 E033900 0 028 E043900 0 028 F013900 252 028 F023900 0 028 F033900 0 028 F043900 0 028 G013900 630 028 G023900 1336 028 G033900 0 028 G043900 400 028 H003900 0 037 003900 N 038 003900 0 039 003900 N 040 003900 N 042 A003900 0 042 B003900 0 042 C003900 0 042 D003900 0 042 E003900 0 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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 1 028 A024000 0 028 A034000 0 028 A044000 0 028 B014000 529 028 B024000 23 028 B034000 0 028 B044000 0 PAGE 165 028 C014000 0 028 C024000 0 028 C034000 0 028 C044000 0 028 D014000 682 028 D024000 25 028 D034000 0 028 D044000 0 028 E014000 250 028 E024000 0 028 E034000 0 028 E044000 0 028 F014000 100 028 F024000 0 028 F034000 0 028 F044000 0 028 G014000 1562 028 G024000 48 028 G034000 0 028 G044000 0 028 H004000 0 037 004000 N 038 004000 0 039 004000 N 040 004000 N 042 A004000 0 042 B004000 0 042 C004000 0 042 D004000 0 042 E004000 0 042 F004000 0 042 G004000 0 042 H004000 0 043 004000 0 044 004000 0 045 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 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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 070 P024000 N 070 Q014000 N 070 Q024000 N 070 R014000 N 070 R024000 N 071 A004000 22847 071 B004000 31113 071 C004000 35372 071 D004000 65 072 A004000 12 072 B004000 15 072 C004000 705 072 D004000 0 072 E004000 0 072 F004000 198 072 G004000 0 072 H004000 0 072 I004000 0 072 J004000 27 072 K004000 0 072 L004000 0 072 M004000 0 072 N004000 0 072 O004000 0 072 P004000 0 072 Q004000 0 072 R004000 37 PAGE 168 072 S004000 2 072 T004000 0 072 U004000 0 072 V004000 0 072 W004000 61 072 X004000 325 072 Y004000 73 072 Z004000 468 072AA004000 2873 072BB004000 0 072CC014000 1594 072CC024000 0 072DD014000 524 072DD024000 0 072EE004000 0 073 A014000 0.1590 073 A024000 0.0000 073 B004000 0.0000 073 C004000 0.0000 074 A004000 0 074 B004000 620 074 C004000 0 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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 PAGE 171 061 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 2.7 062 J004100 0.0 062 K004100 0.0 062 L004100 0.0 062 M004100 0.2 062 N004100 4.7 062 O004100 0.0 062 P004100 3.7 062 Q004100 93.1 062 R004100 0.0 063 A004100 0 063 B004100 8.1 064 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 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 N 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 PAGE 172 070 L024100 Y 070 M014100 Y 070 M024100 N 070 N014100 Y 070 N024100 Y 070 O014100 Y 070 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0.0 062 C004200 0.0 062 D004200 0.0 062 E004200 0.0 062 F004200 0.0 062 G004200 0.0 062 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 PAGE 176 062 O004200 0.0 062 P004200 0.0 062 Q004200 0.0 062 R004200 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 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 PAGE 177 071 A004200 103431 071 B004200 16442 071 C004200 87101 071 D004200 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074 W004200 0.0000 074 X004200 54 074 Y004200 0 075 A004200 0 075 B004200 95588 076 004200 0.00 008 A004301 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B004301 A 008 C004301 801-6003 008 D014301 BOSTON 008 D024301 MA 008 D034301 02110 012 A004301 INVESTORS BANK & TRUST COMPANY 012 B004301 85-720 012 C014301 BOSTON 012 C024301 MA 012 C034301 02116 015 A004301 BROWN BROTHERS HARRIMAN & CO. 015 B004301 C 015 C014301 BOSTON 015 C024301 MA 015 C034301 02109 015 E014301 X 024 004300 Y 025 A004301 DEUTSCHE BANK ALEX BROWN 025 C004301 E 025 D004301 1700 025 D004302 0 025 D004303 0 025 D004304 0 025 D004305 0 025 D004306 0 025 D004307 0 025 D004308 0 PAGE 179 028 A014300 0 028 A024300 0 028 A034300 0 028 A044300 0 028 B014300 0 028 B024300 0 028 B034300 0 028 B044300 0 028 C014300 0 028 C024300 0 028 C034300 0 028 C044300 0 028 D014300 0 028 D024300 0 028 D034300 0 028 D044300 0 028 E014300 34076 028 E024300 0 028 E034300 0 028 E044300 0 028 F014300 12024 028 F024300 0 028 F034300 0 028 F044300 0 028 G014300 46100 028 G024300 0 028 G034300 0 028 G044300 0 028 H004300 0 037 004300 N 038 004300 0 039 004300 N 040 004300 N 041 004300 N 042 A004300 0 042 B004300 0 042 C004300 0 042 D004300 0 042 E004300 0 042 F004300 0 042 G004300 0 042 H004300 0 043 004300 0 044 004300 0 045 004300 Y 046 004300 N 047 004300 Y 048 004300 0.400 048 A014300 0 048 A024300 0.000 048 B014300 0 PAGE 180 048 B024300 0.000 048 C014300 0 048 C024300 0.000 048 D014300 0 048 D024300 0.000 048 E014300 0 048 E024300 0.000 048 F014300 0 048 F024300 0.000 048 G014300 0 048 G024300 0.000 048 H014300 0 048 H024300 0.000 048 I014300 0 048 I024300 0.000 048 J014300 0 048 J024300 0.000 048 K014300 0 048 K024300 0.000 058 A004300 N 059 004300 Y 060 A004300 Y 060 B004300 Y 061 004300 1000000 062 A004300 N 062 B004300 0.0 062 C004300 0.0 062 D004300 0.0 062 E004300 0.0 062 F004300 0.0 062 G004300 0.0 062 H004300 0.0 062 I004300 0.0 062 J004300 0.0 062 K004300 0.0 062 L004300 0.0 062 M004300 0.0 062 N004300 0.0 062 O004300 0.0 062 P004300 0.0 062 Q004300 0.0 062 R004300 0.0 066 A004300 Y 066 B004300 N 066 C004300 N 066 D004300 N 066 E004300 N 066 F004300 N 066 G004300 Y 067 004300 N 068 A004300 N PAGE 181 068 B004300 Y 069 004300 N 070 A014300 Y 070 A024300 N 070 B014300 Y 070 B024300 N 070 C014300 N 070 C024300 N 070 D014300 Y 070 D024300 N 070 E014300 N 070 E024300 N 070 F014300 Y 070 F024300 Y 070 G014300 Y 070 G024300 N 070 H014300 Y 070 H024300 N 070 I014300 N 070 I024300 N 070 J014300 Y 070 J024300 N 070 K014300 Y 070 K024300 N 070 L014300 Y 070 L024300 Y 070 M014300 Y 070 M024300 Y 070 N014300 Y 070 N024300 N 070 O014300 Y 070 O024300 N 070 P014300 N 070 P024300 N 070 Q014300 N 070 Q024300 N 070 R014300 N 070 R024300 N 071 A004300 44033 071 B004300 9 071 C004300 39566 071 D004300 0 072 A004300 2 072 B004300 4 072 C004300 69 072 D004300 0 072 E004300 0 072 F004300 14 072 G004300 0 072 H004300 0 072 I004300 2 PAGE 182 072 J004300 18 072 K004300 0 072 L004300 0 072 M004300 0 072 N004300 0 072 O004300 0 072 P004300 0 072 Q004300 0 072 R004300 44 072 S004300 0 072 T004300 0 072 U004300 0 072 V004300 0 072 W004300 6 072 X004300 84 072 Y004300 65 072 Z004300 54 072AA004300 0 072BB004300 12 072CC014300 939 072CC024300 0 072DD014300 0 072DD024300 0 072EE004300 0 073 A014300 0.0000 073 A024300 0.0000 073 B004300 0.0000 073 C004300 0.0000 074 A004300 86 074 B004300 0 074 C004300 249 074 D004300 0 074 E004300 197 074 F004300 44722 074 G004300 0 074 H004300 0 074 I004300 1700 074 J004300 9 074 K004300 49 074 L004300 111 074 M004300 59 074 N004300 47182 074 O004300 0 074 P004300 5 074 Q004300 0 074 R014300 0 074 R024300 0 074 R034300 0 074 R044300 96 074 S004300 0 074 T004300 47081 PAGE 183 074 U014300 2308 074 U024300 0 074 V014300 20.40 074 V024300 0.00 074 W004300 0.0000 074 X004300 1 074 Y004300 249 075 A004300 0 075 B004300 43494 076 004300 0.00 008 A004401 GRANTHAM, MAYO, VAN OTTERLOO & CO. 008 B004401 A 008 C004401 801-6003 008 D014401 BOSTON 008 D024401 MA 008 D034401 02110 012 A004401 INVESTORS BANK & TRUST COMPANY 012 B004401 85-720 012 C014401 BOSTON 012 C024401 MA 012 C034401 02116 015 A004401 BROWN BROTHERS HARRIMAN & CO. 015 B004401 C 015 C014401 BOSTON 015 C024401 MA 015 C034401 02109 015 E014401 X 024 004400 Y 025 A004401 DEUTSCHE BANK ALEX BROWN 025 C004401 E 025 D004401 9300 025 D004402 0 025 D004403 0 025 D004404 0 025 D004405 0 025 D004406 0 025 D004407 0 025 D004408 0 028 A014400 0 028 A024400 0 028 A034400 0 028 A044400 0 028 B014400 0 028 B024400 0 028 B034400 0 028 B044400 0 028 C014400 44100 028 C024400 0 028 C034400 0 028 C044400 0 028 D014400 15800 PAGE 184 028 D024400 0 028 D034400 0 028 D044400 295 028 E014400 53 028 E024400 0 028 E034400 0 028 E044400 1000 028 F014400 29925 028 F024400 0 028 F034400 0 028 F044400 400 028 G014400 89878 028 G024400 0 028 G034400 0 028 G044400 1695 028 H004400 0 037 004400 N 038 004400 0 039 004400 N 040 004400 N 041 004400 N 042 A004400 0 042 B004400 0 042 C004400 0 042 D004400 0 042 E004400 0 042 F004400 0 042 G004400 0 042 H004400 0 043 004400 0 044 004400 0 045 004400 Y 046 004400 N 047 004400 Y 048 004400 0.540 048 A014400 0 048 A024400 0.000 048 B014400 0 048 B024400 0.000 048 C014400 0 048 C024400 0.000 048 D014400 0 048 D024400 0.000 048 E014400 0 048 E024400 0.000 048 F014400 0 048 F024400 0.000 048 G014400 0 048 G024400 0.000 048 H014400 0 048 H024400 0.000 PAGE 185 048 I014400 0 048 I024400 0.000 048 J014400 0 048 J024400 0.000 048 K014400 0 048 K024400 0.000 058 A004400 N 059 004400 Y 060 A004400 Y 060 B004400 Y 061 004400 1000000 062 A004400 N 062 B004400 0.0 062 C004400 0.0 062 D004400 0.0 062 E004400 0.0 062 F004400 0.0 062 G004400 0.0 062 H004400 0.0 062 I004400 0.0 062 J004400 0.0 062 K004400 0.0 062 L004400 0.0 062 M004400 0.0 062 N004400 0.0 062 O004400 0.0 062 P004400 0.0 062 Q004400 0.0 062 R004400 0.0 066 A004400 Y 066 B004400 N 066 C004400 N 066 D004400 Y 066 E004400 N 066 F004400 N 066 G004400 N 067 004400 N 068 A004400 N 068 B004400 Y 069 004400 N 070 A014400 Y 070 A024400 N 070 B014400 Y 070 B024400 N 070 C014400 N 070 C024400 N 070 D014400 Y 070 D024400 N 070 E014400 N 070 E024400 N 070 F014400 Y PAGE 186 070 F024400 N 070 G014400 Y 070 G024400 N 070 H014400 Y 070 H024400 N 070 I014400 N 070 I024400 N 070 J014400 Y 070 J024400 N 070 K014400 Y 070 K024400 N 070 L014400 Y 070 L024400 Y 070 M014400 Y 070 M024400 Y 070 N014400 Y 070 N024400 N 070 O014400 Y 070 O024400 N 070 P014400 N 070 P024400 N 070 Q014400 N 070 Q024400 N 070 R014400 N 070 R024400 N 071 A004400 43259 071 B004400 8277 071 C004400 56554 071 D004400 15 072 A004400 4 072 B004400 25 072 C004400 128 072 D004400 0 072 E004400 0 072 F004400 78 072 G004400 0 072 H004400 0 072 I004400 7 072 J004400 45 072 K004400 0 072 L004400 0 072 M004400 0 072 N004400 0 072 O004400 0 072 P004400 0 072 Q004400 0 072 R004400 45 072 S004400 1 072 T004400 0 072 U004400 0 072 V004400 0 PAGE 187 072 W004400 22 072 X004400 198 072 Y004400 98 072 Z004400 53 072AA004400 0 072BB004400 333 072CC014400 0 072CC024400 3019 072DD014400 0 072DD024400 0 072EE004400 0 073 A014400 0.0000 073 A024400 0.0000 073 B004400 0.0000 073 C004400 0.0000 074 A004400 65 074 B004400 0 074 C004400 398 074 D004400 0 074 E004400 338 074 F004400 74825 074 G004400 0 074 H004400 0 074 I004400 9300 074 J004400 147 074 K004400 3 074 L004400 392 074 M004400 73 074 N004400 85541 074 O004400 0 074 P004400 8 074 Q004400 0 074 R014400 0 074 R024400 0 074 R034400 0 074 R044400 649 074 S004400 0 074 T004400 84884 074 U014400 4320 074 U024400 0 074 V014400 19.65 074 V024400 0.00 074 W004400 0.0000 074 X004400 93 074 Y004400 398 075 A004400 0 075 B004400 60658 076 004400 0.00 SIGNATURE SUSAN RANDALL HARBERT TITLE TREASURER EX-99 3 att77b.txt April 17, 2002 To the Trustees of GMO Trust: In planning and performing our audit of the financial statements of thirty-eight of the series (GMO U.S. Core Fund, GMO Growth Fund, GMO Value Fund, GMO Short-Term Income Fund, GMO Tobacco-Free Core Fund, GMO Small Cap Value Fund, GMO U.S. Sector Fund, GMO International Bond Fund, GMO Small Cap Growth Fund, GMO Emerging Country Debt Fund, GMO Domestic Bond Fund, GMO Currency Hedged International Bond Fund, GMO Inflation Indexed Bond Fund, GMO Global Bond Fund, GMO REIT Fund, GMO World Equity Allocation Fund, GMO Global (U.S.+) Equity Allocation Fund, GMO Global Balanced Allocation Fund, GMO International Equity Allocation Fund, GMO Core Plus Bond Fund, GMO Emerging Country Debt Share Fund, GMO Tax-Managed U.S. Equities Fund, GMO International Small Companies Fund, GMO Emerging Markets Fund, GMO Global Hedged Equity Fund, GMO Currency Hedged International Equity Fund, GMO Foreign Fund, GMO Evolving Countries Fund, GMO Asia Fund, GMO Tax-Managed International Equities Fund, GMO Tax Managed Small Companies Fund, GMO International Intrinsic Value Fund, GMO Foreign Small Companies Fund, GMO International Disciplined Equity Fund, GMO Intrinsic Value Fund, GMO International Growth Fund, GMO Alpha LIBOR Fund and Pelican Fund) of GMO Trust (the "Trust") for the year ended February 28, 2002, 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 generally accepted accounting principles. 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, 2002. This report is intended solely for the information and use of the Board of Directors, management and the Securities and Exchange Commission and is not intended to be and should not be used by anyone other than these specified parties. 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, 2002: Fund Shareholder GMO U.S. Core Fund NRECA 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 Value Fund American Express Trust Co. FBO American Express Trust Retirement Services Plans GMO Short-Term Income Fund Bost & Co A/C NYXF1049822 (Verizon-STIF) GMO International Intrinsic Value Fund State Street Bank as Trustee for the Electronic Data Systems Corporation GMO International Intrinsic Value Fund Trustees of Columbia University in the City of New York - Global GMO International Intrinsic Value Fund Sisters of the Holy Cross Inc. c/o Sister Mary Eliza Martin CSC General Treasurer GMO International Intrinsic Value Fund MD CO FBO Memorial Drive Trust c/o MDT Advisors Inc, Attn Kelly Corwin GMO Tobacco-Free Core Fund Northern Trust Company Custodian FBO Mayo Foundation (General) A/C# 26-1024, Attn Mr. Harry Hoffman GMO Tobacco-Free Core Fund Northern Trust Company as Trustee FBO Mayo Foundation (Pension) AC# 22-06943, Attn Mr. Harry Hoffman 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 The Edna McConnell Clark Foundation GMO Currency Hedged International Bond Fund Metropolitan Opera Association Inc GMO Currency Hedged International Bond Fund The Edna McConnell Clark Foundation 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 Harris County Hospital District Pension Plan GMO Foreign Fund Fidelity Investments Institutional Operations Company Inc (FIIOC) as Agent for Certain Non-Qualified PLA GMO World Equity Allocation Fund Mars & Co (Bridgewater College) c/o Investors Bank & Trust Co GMO Global (U.S.+) Equity Allocation Fund Bost & Co, Yale Trusts GMO Core Plus Bond Fund Bost & Co A/C NYXF174740 (Verizon-Core Plus) GMO Emerging Countries Fund Duke University Long-Term (Endowment) Pool - Emerging c/o Duke Management Company GMO Asia Fund Princeton University TR GMO Tax-Managed U.S. Equities Fund Alexander Family Trust c/o Groves-Alexander 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 Tax-Managed Small Companies Fund Bank of America FBO William Barron Hilton Charitable Remainder Trust GMO Foreign Small Companies Fund The University of Chicago Attn Regina Manikowski GMO International Disciplined Equity Fund Mac & Co A/C KREF0756022 Kresge Foundation GMO International Growth Fund Bost & Co A/C NYXF1776502 (Verizon-Intl Growth) Mutual Funds Operations The following shareholders ceased to hold greater than 25% of the outstanding shares of a series of the Trust during the period March 1, 2001 through February 28, 2002: Fund Shareholder GMO U.S. Core Fund Wheeler & Co FBO The Hyams Foundation Inc GMO International Small Companies Fund Princeton University TR 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 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 Longwood College Foundation Inc GMO Core Plus Bond Fund Phillips Exeter Academy GMO Core Plus Bond Fund GMO Global Balanced Allocation Fund GMO Tax-Managed U.S. Equities Fund Fleet National Bank Metcalf FBO Various Accounts GMO Alpha LIBOR Fund The Chase Manhatten 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
EX-99 5 secalloc.txt GMO Trust FYE 2/28/02 Attachment Filed in Response to Form N-SAR Sub-Item 77P GMO Fund of Fund Allocation % March, 2001 International Equity Alloc Global (US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Market Value % of Total MV Market Value % of Total MV Market Valu% of Total Market Value % of Total MV U.S.Core Fund 13,144,376.84 32.07% 1,534,378.214.67% 14,839,865.05 13.55% Currency Hedged International Equity Fund 467,898.76 1.14% 76,050.82 0.73% 4,144,477.53 3.78% Domestic Bond Fund 24,201,271.92 22.10% Emerging Country Debt Fund 2,521,231.06 3.74% 1,497,039.57 3.65% 506,673.89 4.84% 2,558,740.26 2.34% Emerging Markets Fund 6,958,078.96 10.31% 2,141,604.09 5.23% 769,957.58 7.36% 4,351,985.54 3.97% Growth Fund 64,019.89 0.16% 26,665.89 0.25% International Bond Fund 3,599,643.02 5.34% 1,987,255.84 4.85% 697,569.60 6.67% 3,952,617.44 3.61% International Core Fund International Intrinsic Value 42,296,550.05 62.69% 5,528,044.82 13.49% 3,370,951.132.22% 7,953,200.83 7.26% International Small Companies 2,977,366.36 4.41% 410,982.13 1.00% 209,520.91 2.00% 1,018,544.76 0.93% REIT Fund 4,184,527.35 10.21% 705,524.13 6.74% 7,782,922.90 7.11% Small Cap Growth Fund Small Cap Value Fund 5,760,366.19 14.06% 1,022,182.79.77% 9,230,343.27 8.43% Value Fund 1,762,868.89 4.30% 293,463.45 2.80% 2,324,138.18 2.12% Inflation Indexed Bond Fund 1,938,354.41 2.87% 2,101,463.49 5.13% 405,732.26 3.88% 6,331,008.40 5.78% Core Plus Bond Fund 16,867,271.43 15.40% Emerging Countries Fund 7,174,889.82 10.63% 1,931,748.71 4.71% 844,031.93 8.07% 3,962,711.62 3.62% Total Market Value $67,466,114 100.00% $40,982,197 100.00% $10,462,703100.00% $109,519,099 100.00% GMO Fund of Fund Allocation % April, 2001 International Equity Alloc Global (US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Market Value % of Total MVMarket Value % of Total MVMarket Valu% of Total Market Value % of Total MV U.S.Core Fund 13,919,614.12 32.34% 859,266.20 12.75% 15,925,412.43 13.91% Currency Hedged International Equity Fund 494,650.82 1.15% 4,329,738.01 3.78% Domestic Bond Fund 23,647,077.58 20.66% Emerging Country Debt Fund 2,316,823.93 3.28% 1,394,301.11 3.24% 248,652.39 3.69% 2,702,611.89 2.36% Emerging Markets Fund 7,082,182.62 10.01% 2,200,122.51 5.11% 531,633.27 7.89% 4,429,607.16 3.87% Growth Fund 71,792.82 0.17% Inflation Indexed Bond Fund 1,753,164.40 2.48% 1,857,310.44 4.31% 238,212.83 3.53% 6,472,482.35 5.65% International Bond Fund 2,642,266.00 3.74% 1,586,781.18 3.69% 395,930.14 5.88% 2,856,330.95 2.50% International Core Fund International Intrinsic Value 44,899,107.32 63.48% 5,945,459.66 13.81% 1,916,383.428.44% 8,406,589.37 7.34% International Small Companies 4,614,858.72 6.52% 1,282,017.10 2.98% 445,627.26 6.61% 3,724,494.15 3.25% REIT Fund 4,330,872.69 10.06% 489,413.71 7.26% 8,887,366.52 7.76% Small Cap Growth Fund Small Cap Value Fund 6,114,487.15 14.20% 706,178.49 10.48% 10,228,214.74 8.94% Value Fund 1,852,925.90 4.30% 288,455.17 4.28% 2,413,979.97 2.11% Core Plus Bond Fund 16,078,329.16 14.05% Emerging Countries Fund 7,418,872.22 10.49% 1,997,437.90 4.64% 619,263.40 9.19% 4,362,003.62 3.81% Total Market Value $70,727,275 100.00% $43,047,773 100.00% $6,739,016 100.00% $114,464,238 100.00% GMO Fund of Fund Allocation % May, 2001 International Equity Alloc Global (US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Market Value % of Total MVMarket Value % of Total MVMarket Valu% of Total Market Value % of Total MV U.S.Core Fund 14,113,084.40 32.30% 873,443.48 12.81% 16,127,311.32 13.88% Currency Hedged International Equity Fund 494,126.27 1.13% 4,255,662.90 3.66% Domestic Bond Fund 23,734,840.26 20.43% Emerging Country Debt Fund 2,385,120.33 3.37% 1,435,502.96 3.29% 255,982.28 3.75% 2,933,111.29 2.52% Emerging Markets Fund 7,446,220.05 10.53% 2,313,212.92 5.29% 558,960.21 8.20% 4,657,297.25 4.01% Growth Fund 71,284.86 0.16% Inflation Indexed Bond Fund 1,753,450.75 2.48% 1,877,966.35 4.30% 240,862.09 3.53% 6,494,373.65 5.59% International Bond Fund 2,615,872.67 3.70% 1,570,930.98 3.60% 391,975.24 5.75% 2,970,320.01 2.56% International Core Fund International Intrinsic Value 44,074,383.68 62.33% 5,847,896.18 13.39% 1,884,936.027.65% 8,374,994.14 7.21% International Small Companies 4,614,858.72 6.53% 1,282,017.10 2.93% 445,627.26 6.54% 3,724,494.15 3.21% REIT Fund 4,453,444.56 10.19% 503,265.04 7.38% 9,239,171.75 7.95% Small Cap Growth Fund Small Cap Value Fund 6,230,016.30 14.26% 715,543.12 10.49% 10,522,022.51 9.06% Core Plus Bond Fund 16,060,095.06 13.82% Value Fund 1,894,692.67 4.34% 294,957.23 4.33% 2,448,108.90 2.11% Emerging Countries Fund 7,816,473.16 11.05% 2,104,486.95 4.82% 652,451.69 9.57% 4,644,920.45 4.00% Total Market Value $70,706,379 100.00% $43,688,663 100.00% $6,818,004 100.00% $116,186,724 100.00% GMO Fund of Fund Allocation % June, 2001 International Equity Alloc Global (US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Market Value % of Total MV Market Value % of Total MV Market Valu% of Total Market Value % of Total MV U.S.Core Fund 13,824,469.86 31.69% 859,882.60 12.61% 15,829,775.91 13.55% Currency Hedged International Equity Fund 496,515.28 1.14% 4,276,238.27 3.66% Domestic Bond Fund 23,830,835.57 20.41% Emerging Country Debt Fund 2,282,706.93 3.52% 1,474,923.96 3.38% 263,030.25 3.86% 3,013,868.76 2.58% Emerging Markets Fund 7,487,587.94 11.54% 2,326,064.10 5.33% 562,065.54 8.25% 4,683,171.12 4.01% Growth Fund 69,998.00 0.16% Inflation Indexed Bond Fund 1,504,136.30 2.32% 1,877,966.35 4.31% 240,862.09 3.53% 6,494,373.65 5.56% International Bond Fund 2,399,515.50 3.70% 1,553,319.65 3.56% 387,580.89 5.69% 2,937,020.46 2.51% International Core Fund International Intrinsic Value 38,979,761.66 60.10% 5,766,777.82 13.22% 1,868,735.827.41% 8,303,014.92 7.11% International Small Companies 4,431,596.64 6.83% 1,269,963.95 2.91% 441,437.60 6.48% 3,689,477.53 3.16% REIT Fund 4,698,588.29 10.77% 530,967.71 7.79% 9,747,750.01 8.35% Small Cap Value Fund 6,328,430.02 14.51% 726,846.34 10.66% 10,688,235.77 9.15% Core Plus Bond Fund 16,186,180.21 13.86% Value Fund 1,841,534.96 4.22% 286,681.88 4.21% 2,379,424.48 2.04% Emerging Countries Fund 7,771,291.24 11.98% 2,092,322.29 4.80% 648,680.29 9.52% 4,729,652.43 4.05% Total Market Value $64,856,596 100.00% $43,620,875 100.00% $6,816,771 100.00% $116,789,019 100.00% GMO Fund of Fund Allocation % July, 2001 International Equity Alloc Global (US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Market Value % of Total MV Market Value % of Total MV Market Valu% of Total Market Value % of Total MV U.S.Core Fund 13,756,839.95 31.95% 983,691.41 13.09% 15,890,336.90 13.59% Currency Hedged International Equity Fund 489,104.61 1.14% 4,212,413.81 3.60% Domestic Bond Fund 24,421,025.12 20.89% Emerging Country Debt Fund 1,456,384.08 2.28% 925,579.08 2.15% 179,258.36 2.39% 1,913,080.03 1.64% Emerging Markets Fund 7,158,959.51 11.22% 2,223,973.72 5.16% 635,796.63 8.46% 4,477,627.88 3.83% Growth Fund 68,711.56 0.16% Inflation Indexed Bond Fund 1,527,279.17 2.39% 1,782,276.86 4.14% 244,568.03 3.26% 7,097,496.35 6.07% International Bond Fund 3,215,841.62 5.04% 2,096,328.21 4.87% 560,082.49 7.46% 3,516,111.92 3.01% International Core Fund International Intrinsic Value 38,792,985.28 60.79% 5,748,454.57 13.35% 2,084,297.127.74% 8,276,633.09 7.08% International Small Companies 4,384,614.41 6.87% 1,256,500.23 2.92% 496,210.26 6.60% 3,650,362.99 3.12% REIT Fund 4,614,282.43 10.72% 591,375.97 7.87% 9,572,848.04 8.19% Small Cap Value Fund 6,286,014.79 14.60% 811,896.94 10.81% 10,752,861.95 9.20% Core Plus Bond Fund 16,511,358.41 14.12% Value Fund 1,853,585.68 4.30% 288,557.87 3.84% 2,202,356.16 1.88% Emerging Countries Fund 7,283,006.99 11.41% 1,960,857.91 4.55% 637,005.75 8.48% 4,432,479.84 3.79% Total Market Value $63,819,071 100.00% $43,062,510 100.00% $7,512,741 100.00% $116,926,992 100.00% GMO Fund of Fund Allocation % August, 2001 International Equity Alloc Global (US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Market Value % of Total MV Market Value % of Total MV Market Valu% of Total Market Value % of Total MV U.S.Core Fund 13,006,287.30 30.50% 900,885.51 12.41% 15,023,383.85 12.81% Currency Hedged International Equity Fund 481,693.93 1.13% 4,148,589.36 3.54% Domestic Bond Fund 24,763,948.25 21.12% Emerging Country Debt Fund 1,704,918.88 2.21% 954,829.89 2.24% 184,923.40 2.55% 1,973,538.54 1.68% Emerging Markets Fund 8,560,075.48 11.10% 2,262,990.80 5.31% 646,950.96 8.92% 4,556,182.75 3.89% Emerging Countries Fund 8,637,183.47 11.20% 2,009,940.71 4.71% 652,950.82 9.00% 4,543,430.53 3.87% Growth Fund 63,663.23 0.15% Inflation Indexed Bond Fund 1,630,235.17 2.11% 1,785,514.42 4.19% 204,903.20 2.82% 7,110,389.17 6.06% International Bond Fund 4,085,667.03 5.30% 2,198,249.14 5.15% 556,345.65 7.67% 3,687,061.01 3.14% International Core Fund International Intrinsic Value 47,182,694.66 61.17% 5,835,234.99 13.68% 2,010,409.627.70% 8,401,579.66 7.16% International Small Companies 5,326,892.80 6.91% 1,280,963.07 3.00% 505,870.99 6.97% 3,721,432.01 3.17% REIT Fund 4,742,338.37 11.12% 607,787.88 8.38% 9,833,550.24 8.39% Small Cap Value Fund 6,213,614.89 14.57% 762,700.86 10.51% 10,629,014.62 9.06% Core Plus Bond Fund 16,718,747.45 14.26% Value Fund 1,810,615.31 4.25% 222,886.47 3.07% 2,151,300.49 1.83% Total Market Value $77,127,667 100.00% $42,645,936 100.00% $7,256,615 100.00% $117,262,148 100.00% GMO Fund of Fund Allocation % September, 2001 International Equity Alloc Global (US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Market Value % of Total MV Market Value % of Total MV Market Valu% of Total Market Value % of Total MV U.S.Core Fund 12,017,618.37 30.80% 837,269.45 12.74% 14,378,833.61 12.70% Currency Hedged International Equity Fund 425,584.53 1.09% 3,665,347.09 3.24% Domestic Bond Fund 25,106,871.37 22.17% Emerging Country Debt Fund 1,647,093.40 2.37% 922,445.07 2.36% 178,651.39 2.72% 1,906,602.33 1.68% Emerging Markets Fund 7,300,662.08 10.53% 1,930,045.03 4.95% 551,767.37 8.39% 4,132,847.82 3.65% Emerging Countries Fund 7,329,478.03 10.57% 1,705,627.34 4.37% 554,091.36 8.43% 3,855,536.28 3.40% Growth Fund 57,801.74 0.15% Inflation Indexed Bond Fund 1,637,625.17 2.36% 2,142,663.22 5.49% 205,832.04 3.13% 7,142,621.22 6.31% International Bond Fund 4,196,667.03 6.05% 2,198,249.14 5.63% 595,969.86 9.07% 4,479,545.35 3.96% International Core Fund International Intrinsic Value 42,588,552.34 61.41% 5,176,900.79 13.27% 1,783,594.227.13% 7,662,268.51 6.77% International Small Companies 4,651,783.12 6.71% 1,118,618.79 2.87% 441,758.86 6.72% 3,505,949.60 3.10% REIT Fund 4,503,300.62 11.54% 577,152.31 8.78% 9,654,706.55 8.53% Small Cap Value Fund 5,105,648.66 13.09% 637,015.71 9.69% 8,771,490.65 7.75% Core Plus Bond Fund 16,958,042.50 14.97% Value Fund 1,709,048.97 4.38% 210,383.67 3.20% 2,030,623.44 1.79% Total Market Value $69,351,861 100.00% $39,013,552 100.00% $6,573,486 100.00% $113,251,286 100.00% GMO Fund of Fund Allocation % October, 2001 International Equity Alloc Global (US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Market Value % of Total MV Market Value % of Total MV Market Valu % of Total MV Market Value % of Total MV U.S.Core Fund 12,455,096.19 31.91% 907,217.59 13.71% 14,019,590.04 12.59% Currency Hedged International Equity Fund 435,112.54 1.11% 3,747,407.10 3.37% Domestic Bond Fund 21,716,403.36 19.50% Emerging Country Debt Fund 1,472,094.65 2.58% 944,383.17 2.42% 182,900.17 2.76% 1,951,946.22 1.75% Emerging Markets Fund 5,430,432.50 9.53% 2,243,241.17 5.75% 567,383.43 8.57% 5,284,104.10 4.75% Emerging Countries Fund 7,027,852.26 12.33% 1,752,256.00 4.49% 569,239.18 8.60% 3,960,939.43 3.56% Growth Fund 59,437.52 0.15% Inflation Indexed Bond Fund 947,216.99 1.66% 2,140,682.44 5.48% 210,847.80 3.19% 7,316,674.26 6.57% International Bond Fund 1,261,867.94 2.21% 1,461,351.73 3.74% 249,370.98 3.77% 4,507,867.03 4.05% International Core Fund Currency Hedged International Bond Fund 4,076,490.45 3.66% International Intrinsic Value 37,016,165.37 64.95% 6,326,514.19 16.21% 2,150,720.632.49% 8,042,378.11 7.22% International Small Companies 3,836,986.55 6.73% 1,137,521.89 2.91% 449,223.97 6.79% 3,565,195.27 3.20% REIT Fund 4,311,216.70 11.04% 552,534.44 8.35% 9,142,296.82 8.21% Small Cap Value Fund 4,680,311.92 11.99% 647,278.26 9.78% 8,712,567.34 7.82% Core Plus Bond Fund 13,748,454.83 12.35% Value Fund 1,086,756.52 2.78% 132,674.07 2.00% 1,552,337.85 1.39% Total Market Value $56,992,616 100.00% $39,033,882 100.00% $6,619,391 100.00% $111,344,652 100.00% GMO Fund of Fund Allocation % November, 2001 International Equity Alloc Global (US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Market Value % of Total MV Market Value % of Total MV Market Valu % of Total Market Value % of Total MV U.S.Core Fund 13,460,532.29 32.68% 980,452.61 14.13% 14,971,523.32 13.19% Currency Hedged International Equity Fund 444,640.55 1.08% 3,728,140.21 3.29% Domestic Bond Fund 21,213,805.79 18.69% Emerging Country Debt Fund 1,499,777.84 2.54% 962,142.59 2.34% 186,339.67 2.69% 1,988,653.17 1.75% Emerging Markets Fund 5,964,223.37 10.12% 2,463,743.25 5.98% 623,155.06 8.98% 5,803,511.45 5.11% Emerging Countries Fund 7,834,972.54 13.29% 1,953,495.49 4.74% 634,613.99 9.15% 4,415,837.24 3.89% Growth Fund 64,393.48 0.16% Inflation Indexed Bond Fund 924,684.07 1.57% 2,089,758.71 5.07% 205,832.04 2.97% 6,924,891.96 6.10% International Bond Fund 1,246,012.01 2.11% 1,442,998.63 3.50% 246,237.52 3.55% 4,451,223.67 3.92% International Core Fund Currency Hedged International Bond Fund 4,035,995.51 3.56% International Intrinsic Value 37,549,772.81 63.71% 6,424,290.88 15.60% 2,183,960.131.48% 8,172,707.60 7.20% International Small Companies 3,915,751.67 6.64% 1,160,872.78 2.82% 458,445.58 6.61% 3,638,381.09 3.21% REIT Fund 4,524,643.27 10.99% 579,887.63 8.36% 9,594,885.77 8.45% Small Cap Value Fund 5,045,011.55 12.25% 697,715.53 10.06% 9,391,468.69 8.28% Core Plus Bond Fund 13,507,920.17 11.90% Value Fund 1,151,961.91 2.80% 140,634.51 2.03% 1,645,478.12 1.45% Total Market Value $58,935,194 100.00% $41,188,485 100.00% $6,937,274 100.00% $113,484,424 100.00% GMO Fund of Fund Allocation % December, 2001 International Equity Alloc Global (US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Market Value % of Total MV Market Value % of Total MV Market Valu% of Total Market Value % of Total MV U.S.Core Fund 13,331,202.49 32.08% 988,598.14 13.88% 16,313,680.04 13.53% Currency Hedged International Equity Fund 452,698.10 1.09% 3,795,699.71 3.15% Domestic Bond Fund 21,578,589.31 17.90% Emerging Country Debt Fund 1,564,652.02 2.60% 1,003,760.89 2.42% 194,399.94 2.73% 2,124,791.03 1.76% Emerging Markets Fund 6,377,140.26 10.60% 2,582,897.94 6.22% 666,297.52 9.35% 6,764,811.71 5.61% Emerging Countries Fund 8,494,448.87 14.12% 2,117,922.87 5.10% 688,029.99 9.66% 4,787,522.03 3.97% Growth Fund 64,725.83 0.16% Inflation Indexed Bond Fund 916,922.10 1.52% 2,014,271.42 4.85% 204,104.25 2.87% 7,379,842.60 6.12% International Bond Fund 1,219,863.56 2.03% 1,412,716.27 3.40% 241,070.05 3.38% 4,289,008.47 3.56% International Core Fund Currency Hedged International Bond Fund 4,200,628.43 3.48% International Intrinsic Value 29,325,200.52 48.75% 6,369,758.06 15.33% 2,203,205.030.93% 8,778,109.59 7.28% International Small Companies 3,913,838.92 6.51% 1,160,305.73 2.79% 458,221.65 6.43% 3,840,362.24 3.19% International Growth Fund 8,340,806.29 13.87% REIT Fund 4,610,493.90 11.10% 598,615.61 8.40% 10,459,520.34 8.68% Small Cap Value Fund 5,263,205.59 12.67% 738,002.48 10.36% 10,260,116.24 8.51% Core Plus Bond Fund 14,325,992.67 11.88% Value Fund 1,165,715.37 2.81% 142,313.57 2.00% 1,665,123.76 1.38% Total Market Value $60,152,873 100.00% $41,549,674 100.00% $7,122,858 100.00% $120,563,798 100.00% GMO Fund of Fund Allocation % January, 2002 International Equity Alloc Global (US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Market Value % of Total MV Market Value % of Total MV Market Valu% of Total Market Value % of Total MV U.S.Core Fund 12,228,637.06 30.74% 966,292.15 13.45% 16,687,851.39 13.01% Currency Hedged International Equity Fund 453,984.18 1.14% 3,806,482.94 2.97% Domestic Bond Fund 22,514,139.52 17.55% Emerging Country Debt Fund 2,260,743.06 3.52% 1,333,583.21 3.35% 250,129.44 3.48% 3,704,685.99 2.89% Emerging Markets Fund 7,757,443.89 12.09% 2,533,377.73 6.37% 706,065.27 9.83% 7,834,252.04 6.11% Emerging Countries Fund 9,124,396.42 14.22% 2,274,987.84 5.72% 739,054.23 10.29% 5,142,564.22 4.01% Growth Fund 64,113.93 0.16% Inflation Indexed Bond Fund 920,372.42 1.43% 1,921,380.17 4.83% 204,872.28 2.85% 7,822,860.77 6.10% International Bond Fund 1,115,632.29 1.74% 1,324,907.20 3.33% 236,091.43 3.29% 4,489,338.73 3.50% International Core Fund Currency Hedged International Bond Fund 4,228,726.28 3.30% International Intrinsic Value 30,364,297.42 47.34% 5,883,653.77 14.79% 2,164,176.830.13% 9,281,093.83 7.23% International Small Companies 4,116,769.03 6.42% 1,146,708.39 2.88% 452,851.86 6.30% 3,892,157.99 3.03% International Growth Fund 8,484,146.09 13.23% REIT Fund 4,443,631.52 11.17% 603,013.16 8.39% 11,175,100.89 8.71% Small Cap Value Fund 5,031,473.58 12.65% 721,475.35 10.04% 11,046,894.85 8.61% Core Plus Bond Fund 15,034,352.72 11.72% Value Fund 1,146,415.45 2.88% 139,957.39 1.95% 1,637,555.48 1.28% Total Market Value $64,143,801 100.00% $39,786,854 100.00% $7,183,979 100.00% $128,298,058 100.00% GMO Fund of Fund Allocation % February, 2002 International Equity Alloc Global (US+) Equity Alloc World Equity Alloc Global Balanced Alloc Name of Fund Owned Market Value % of Total MV Market Value % of Total MV Market Valu% of Total Market Value % of Total MV U.S.Core Fund 11,967,823.01 29.82% 946,497.09 12.92% 16,503,046.87 12.60% Currency Hedged International Equity Fund 459,128.48 1.14% 3,849,615.89 2.94% Domestic Bond Fund 23,084,087.11 17.63% Emerging Country Debt Fund 2,386,482.46 3.63% 1,407,755.26 3.51% 264,041.29 3.61% 3,961,353.37 3.03% Emerging Markets Fund 8,111,928.57 12.35% 2,649,143.13 6.60% 738,329.68 10.08% 8,253,147.74 6.30% Emerging Countries Fund 9,498,427.77 14.46% 2,368,245.16 5.90% 769,349.87 10.50% 5,353,370.52 4.09% Growth Fund 62,006.26 0.15% Inflation Indexed Bond Fund 932,448.54 1.42% 1,946,590.41 4.85% 207,560.39 2.83% 7,925,503.74 6.05% International Bond Fund 1,095,474.16 1.67% 1,330,789.14 3.32% 237,139.56 3.24% 4,509,269.20 3.44% Currency Hedged International Bond Fund 4,333,188.51 3.31% International Intrinsic Value 30,911,879.29 47.05% 5,989,758.06 14.92% 2,208,292.230.15% 9,527,333.67 7.28% International Small Companies 4,246,943.55 6.46% 1,182,967.95 2.95% 467,171.29 6.38% 4,075,320.88 3.11% International Growth Fund 8,518,828.34 12.97% REIT Fund 4,524,645.77 11.27% 614,007.01 8.38% 11,469,001.63 8.76% Small Cap Value Fund 5,110,304.57 12.73% 732,779.12 10.01% 11,301,839.74 8.63% Core Plus Bond Fund 15,165,720.85 11.58% Value Fund 1,134,835.50 2.83% 138,543.68 1.89% 1,621,014.52 1.24% Total Market Value $65,702,413 100.00% $40,133,993 100.00% $7,323,711 100.00% $130,932,814 100.00%
EX-99 6 capstkf.txt
GMO Trust FYE 2/28/02 Attachment Filed in Response to Form N-SAR Sub-Item 77P Monthly Purchases, Redemptions, and Exchanges (000's omitted) March ............................... Purchases Exchanges In Redemptions Exchanges Out Fund Name U.S. Core Fund ...................... (2,171,755) 2,208,926 4,031 0 International Intrinsic Value Fund .. 40,000 0 (1,562,926) 1,562,926 Growth Fund ......................... 672 0 940 0 Pelican Fund ........................ 961 0 993 0 Short-Term Income Fund .............. 2,947 0 2,951 0 Value Fund .......................... 1,818 0 220 0 Tobacco-Free Core Fund .............. (88,608) 90,000 129 0 Small Cap Value Fund ................ (68,051) 70,000 919 0 International Small Companies Fund .. 15,324 0 100 50 US Sector Fund ...................... 0 0 0 0 Emerging Markets Fund ............... 13,938 0 13,387 0 International Bond Fund ............. 14 0 1,288 0 Emerging Country Debt Fund .......... 14,460 0 (346,310) 346,865 Global Hedged Equity Fund ........... 341 0 6,543 0 Domestic Bond Fund .................. 11 0 (507,702) 509,000 Currency Hedged International Bond Fu 0 0 250 0 Currency Hedged International Equity 0 0 1,640 0 Global Bond Fund .................... 750 0 5,002 0 REIT Fund ........................... (48,251) 49,000 220 0 Foreign Fund ........................ 5,359 0 17,749 0 World Equity Allocation Fund ........ 0 0 0 0 Global Balanced Allocation Fund ..... 26 0 650 0 Small Cap Growth Fund ............... 830 0 62 0 International Equity Allocation Fund 0 0 616 0 Global (US+) Equity Allocation Fund . 0 0 115 0 Inflation Indexed Bond Fund ......... 66 0 445 0 Core Plus Bond Fund ................. 0 0 471 0 Emerging Countries Fund ............. 260 0 100 0 Asia Fund ........................... 0 0 0 0 Tax-Managed U.S. Equities Fund ...... 0 0 0 0 Tax-Managed International Equities Fu 0 0 36 0 Emerging Country Debt Share Fund .... 0 0 0 0 Intrinsic Value Fund ................ 40,000 0 0 0 Tax-Managed Small Companies Fund .... 0 0 0 0 Alpha LIBOR ......................... 29,300 0 28,590 0 Foreign Small Companies Fund ........ 0 0 0 0 Internaional Disciplined Equity Fund 0 0 0 0 International Growth Fund ........... 0 0 0 0 April ............................... Purchases Exchanges In Redemptions Exchanges Out Fund Name U.S. Core Fund ...................... 3,154 0 (1,981,852) 2,008,454 International Intrinsic Value Fund .. 2,485 0 0 0 Growth Fund ......................... 500 0 (191,486) 191,706 Pelican Fund ........................ 758 0 1,378 0 Short-Term Income Fund .............. 138 0 (218,500) 220,000 Value Fund .......................... 3,066 1,014 (423,643) 424,140 Tobacco-Free Core Fund .............. 733 0 144 0 Small Cap Value Fund ................ (1,897,672) 1,900,000 (662,086) 664,884 International Small Companies Fund .. (16,922,061) 16,939,000 (13,671) 13,889 US Sector Fund ...................... 0 0 0 0 Emerging Markets Fund ............... 10,135 10,000 (260,933) 264,863 International Bond Fund ............. 0 0 (6,619,920) 6,629,000 Emerging Country Debt Fund .......... 19,304 0 (2,543,631) 2,548,563 Global Hedged Equity Fund ........... 0 0 (220,563) 224,708 Domestic Bond Fund .................. 783 0 (1,428,236) 1,430,000 Currency Hedged International Bond Fu 0 0 (1,820,131) 1,822,000 Currency Hedged International Equity 0 0 1,957 0 Global Bond Fund .................... 0 0 11 0 REIT Fund ........................... (4,515,034) 4,519,874 980 0 Foreign Fund ........................ 62,719 0 10,938 0 World Equity Allocation Fund ........ 0 0 2,776 1,014 Global Balanced Allocation Fund ..... 3,024 0 523 0 Small Cap Growth Fund ............... (199,800) 200,000 0 0 International Equity Allocation Fund 0 0 52 0 Global (US+) Equity Allocation Fund . 350 0 0 0 Inflation Indexed Bond Fund ......... 195 0 (4,558,484) 4,565,000 Core Plus Bond Fund ................. 420 0 (5,047,100) 5,055,000 Emerging Countries Fund ............. (402) 402 450 0 Asia Fund ........................... 0 0 2 0 Tax-Managed U.S. Equities Fund ...... 0 0 0 0 Tax-Managed International Equities Fu 50 0 (402) 402 Emerging Country Debt Share Fund .... 0 0 0 0 Intrinsic Value Fund ................ (2,482,818) 2,485,303 0 0 Tax-Managed Small Companies Fund .... 0 0 0 0 Alpha LIBOR ......................... 54,768 0 79,200 0 Foreign Small Companies Fund ........ 0 0 0 0 Internaional Disciplined Equity Fund 0 0 0 0 International Growth Fund ........... 0 0 0 0 May ................................. Purchases Exchanges In Redemptions Exchanges Out Fund Name U.S. Core Fund ...................... 2,556 0 61,003 0 International Intrinsic Value Fund .. 0 0 0 0 Growth Fund ......................... 998 0 0 0 Pelican Fund ........................ 1,183 0 693 0 Short-Term Income Fund .............. 300 0 221 0 Value Fund .......................... 0 0 1,503 0 Tobacco-Free Core Fund .............. 60 0 2,116 0 Small Cap Value Fund ................ (74,886) 75,000 2,933 0 International Small Companies Fund .. 0 0 600 0 US Sector Fund ...................... 0 0 0 0 Emerging Markets Fund ............... 995 0 1,768 0 International Bond Fund ............. 143 0 32,136 0 Emerging Country Debt Fund .......... 541 0 3,573 0 Global Hedged Equity Fund ........... 0 0 28,500 0 Domestic Bond Fund .................. 1 0 (73,644) 75,000 Currency Hedged International Bond Fu 0 0 0 0 Currency Hedged International Equity 0 0 88 0 Global Bond Fund .................... 38 0 0 0 REIT Fund ........................... 142 0 95 0 Foreign Fund ........................ 42,046 0 60,616 0 World Equity Allocation Fund ........ 0 0 0 0 Global Balanced Allocation Fund ..... 627 0 400 0 Small Cap Growth Fund ............... 0 0 31 0 International Equity Allocation Fund 0 0 52 0 Global (US+) Equity Allocation Fund . 0 0 30 0 Inflation Indexed Bond Fund ......... 530 0 3,138 0 Core Plus Bond Fund ................. 0 0 1,226 0 Emerging Countries Fund ............. 50 0 1,508 0 Asia Fund ........................... 0 0 2 0 Tax-Managed U.S. Equities Fund ...... 200 0 0 0 Tax-Managed International Equities Fu 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 8,057 0 Alpha LIBOR ......................... 54,310 0 108,850 0 Foreign Small Companies Fund ........ 2,000 0 0 0 Internaional Disciplined Equity Fund 0 0 0 0 International Growth Fund ........... 0 0 0 0 June ................................ Purchases Exchanges In Redemptions Exchanges Out Fund Name U.S. Core Fund ...................... 3,548 0 (5,676,689) 5,738,442 International Intrinsic Value Fund .. (2,283,278) 2,287,017 0 0 Growth Fund ......................... 0 0 526 0 Pelican Fund ........................ 1,238 0 905 0 Short-Term Income Fund .............. 100 0 378 0 Value Fund .......................... 5,000 0 968 0 Tobacco-Free Core Fund .............. 4,504 0 15 0 Small Cap Value Fund ................ (1,997,795) 2,000,000 6,538 0 International Small Companies Fund .. 5,010 0 0 0 US Sector Fund ...................... 0 0 0 0 Emerging Markets Fund ............... 40,992 0 201 0 International Bond Fund ............. 0 0 204 0 Emerging Country Debt Fund .......... 54 0 34,111 0 Global Hedged Equity Fund ........... 0 0 0 0 Domestic Bond Fund .................. 69 0 1,891 0 Currency Hedged International Bond Fu 23 0 23 0 Currency Hedged International Equity 0 0 (2,230,581) 2,287,017 Global Bond Fund .................... 5,483 0 10,100 0 REIT Fund ........................... 3,716 0 2,000 0 Foreign Fund ........................ 25,776 0 32,443 0 World Equity Allocation Fund ........ 0 0 0 0 Global Balanced Allocation Fund ..... 113 0 49 0 Small Cap Growth Fund ............... 0 0 3 0 International Equity Allocation Fund 0 0 5,485 0 Global (US+) Equity Allocation Fund . 0 0 100 0 Inflation Indexed Bond Fund ......... 438 0 250 0 Core Plus Bond Fund ................. 0 0 6 0 Emerging Countries Fund ............. 313 0 4 0 Asia Fund ........................... 0 0 0 0 Tax-Managed U.S. Equities Fund ...... 300 0 0 0 Tax-Managed International Equities Fu 0 0 0 0 Emerging Country Debt Share Fund .... 0 0 0 0 Intrinsic Value Fund ................ (3,734,703) 3,738,442 0 0 Tax-Managed Small Companies Fund .... 0 0 0 0 Alpha LIBOR ......................... 60,000 0 66,601 0 Foreign Small Companies Fund ........ 0 0 0 0 Internaional Disciplined Equity Fund 0 0 0 0 International Growth Fund ........... 0 0 0 0 July ................................ Purchases Exchanges In Redemptions Exchanges Out Fund Name U.S. Core Fund ...................... 450,047 0 (547,778) 1,000,000 International Intrinsic Value Fund .. (8,781,897) 8,781,897 0 0 Growth Fund ......................... 7,803 0 32 0 Pelican Fund ........................ 1,678 0 994 0 Short-Term Income Fund .............. 55 0 396 0 Value Fund .......................... 2 0 219 0 Tobacco-Free Core Fund .............. (347,857) 692,000 214,136 0 Small Cap Value Fund ................ 1,106 0 (501,414) 502,500 International Small Companies Fund .. (2,422,214) 2,425,000 110 0 US Sector Fund ...................... 0 0 0 0 Emerging Markets Fund ............... (3,005,502) 3,071,979 62,365 0 International Bond Fund ............. (17,484,398) 17,502,000 465 0 Emerging Country Debt Fund .......... 31,212 0 (27,974,070) 28,078,369 Global Hedged Equity Fund ........... 0 0 61 0 Domestic Bond Fund .................. (149,765) 150,000 (687,927) 688,000 Currency Hedged International Bond Fu (701,298) 702,000 (4,995) 5,000 Currency Hedged International Equity 2 0 (6,275,614) 6,281,897 Global Bond Fund .................... 0 0 (2,996,290) 3,000,000 REIT Fund ........................... (49,285) 51,000 267 0 Foreign Fund ........................ 294 0 217 0 World Equity Allocation Fund ........ 762 0 309 0 Global Balanced Allocation Fund ..... 0 0 207 0 Small Cap Growth Fund ............... 2 0 1 0 International Equity Allocation Fund 0 0 52 0 Global (US+) Equity Allocation Fund . 0 0 325 0 Inflation Indexed Bond Fund ......... (6,101,499) 6,108,760 135 0 Core Plus Bond Fund ................. 107 0 51 0 Emerging Countries Fund ............. 53 0 81 0 Asia Fund ........................... 14 0 14 0 Tax-Managed U.S. Equities Fund ...... 0 0 0 0 Tax-Managed International Equities Fu 0 0 0 0 Emerging Country Debt Share Fund .... 51 0 30,000 0 Intrinsic Value Fund ................ 0 0 0 0 Tax-Managed Small Companies Fund .... 0 0 0 0 Alpha LIBOR ......................... 87,066 0 32,609 0 Foreign Small Companies Fund ........ 0 0 0 0 Internaional Disciplined Equity Fund 0 0 0 0 International Growth Fund ........... 0 0 0 0 August .............................. Purchases Exchanges In Redemptions Exchanges Out Fund Name U.S. Core Fund ...................... 17,838 0 (4,056,077) 4,134,449 International Intrinsic Value Fund .. 0 0 (5,379,521) 5,379,521 Growth Fund ......................... 0 0 (111,094) 111,435 Pelican Fund ........................ 1,550 0 1,302 0 Short-Term Income Fund .............. 34 0 1,205 0 Value Fund .......................... 0 0 (419,902) 421,609 Tobacco-Free Core Fund .............. 688 0 303 0 Small Cap Value Fund ................ 29 0 (2,039,540) 2,048,757 International Small Companies Fund .. 950 0 (894,598) 896,272 US Sector Fund ...................... 0 0 0 0 Emerging Markets Fund ............... 27,862 0 (572,622) 577,208 International Bond Fund ............. 876 0 (496,121) 498,097 Emerging Country Debt Fund .......... 1,481 0 (558,946) 561,760 Global Hedged Equity Fund ........... (359,388) 359,750 (362,408) 364,296 Domestic Bond Fund .................. 0 0 930 0 Currency Hedged International Bond Fu 0 0 (303,902) 305,795 Currency Hedged International Equity 0 0 (326,761) 328,030 Global Bond Fund .................... 0 0 2,722 0 REIT Fund ........................... (764,439) 766,298 4,794 0 Foreign Fund ........................ 24,144 0 2,376 0 World Equity Allocation Fund ........ 0 0 0 0 Global Balanced Allocation Fund ..... 9 0 14 0 Small Cap Growth Fund ............... 0 0 (231,772) 232,543 International Equity Allocation Fund (12,268,597) 12,282,020 102 0 Global (US+) Equity Allocation Fund . 0 0 0 0 Inflation Indexed Bond Fund ......... (2,432,338) 2,435,372 3,926 0 Core Plus Bond Fund ................. 0 0 4,000 0 Emerging Countries Fund ............. 1,175 0 100 0 Asia Fund ........................... 0 0 4 0 Tax-Managed U.S. Equities Fund ...... 0 0 0 0 Tax-Managed International Equities Fu 0 0 0 0 Emerging Country Debt Share Fund .... 432 0 9 0 Intrinsic Value Fund ................ 0 0 0 0 Tax-Managed Small Companies Fund .... 0 0 1,500 0 Alpha LIBOR ......................... 90,115 0 40,150 0 Foreign Small Companies Fund ........ 20,000 0 0 0 Internaional Disciplined Equity Fund 0 0 0 0 International Growth Fund ........... 0 0 0 0 September ........................... Purchases Exchanges In Redemptions Exchanges Out Fund Name U.S. Core Fund ...................... (584,468) 700,000 24,230 0 International Intrinsic Value Fund .. 0 0 (99,600) 100,000 Growth Fund ......................... (999,000) 1,000,000 0 0 Pelican Fund ........................ 609 0 4,307 0 Short-Term Income Fund .............. 2,883 0 32 0 Value Fund .......................... 250 0 1,001,400 (1,000,000) Tobacco-Free Core Fund .............. (269,230) 270,000 644 0 Small Cap Value Fund ................ (109,533) 110,000 (4,333,123) 4,337,595 International Small Companies Fund .. (87,050) 100,000 446 0 US Sector Fund ...................... 0 0 0 0 Emerging Markets Fund ............... 1,914 0 1,250 0 International Bond Fund ............. (839,160) 840,000 459 0 Emerging Country Debt Fund .......... 47 0 4,901 0 Global Hedged Equity Fund ........... 0 0 747 0 Domestic Bond Fund .................. (349,579) 350,000 (488,219) 490,000 Currency Hedged International Bond Fu 0 0 400 0 Currency Hedged International Equity 0 0 200 0 Global Bond Fund .................... 1,563 0 0 0 REIT Fund ........................... (109,385) 110,000 0 0 Foreign Fund ........................ 41,949 0 447 0 World Equity Allocation Fund ........ 0 0 0 0 Global Balanced Allocation Fund ..... 1,552 0 20 0 Small Cap Growth Fund ............... 0 0 0 0 International Equity Allocation Fund 0 0 148 0 Global (US+) Equity Allocation Fund . 0 0 130 0 Inflation Indexed Bond Fund ......... (2,823,101) 2,827,000 (12,262) 12,276 Core Plus Bond Fund ................. 0 0 1,072 0 Emerging Countries Fund ............. 100 0 0 0 Asia Fund ........................... (12,262) 12,276 0 0 Tax-Managed U.S. Equities Fund ...... 215 0 0 0 Tax-Managed International Equities Fu 0 0 0 0 Emerging Country Debt Share Fund .... 188 0 95 0 Intrinsic Value Fund ................ 0 0 (399,600) 400,000 Tax-Managed Small Companies Fund .... 1 0 0 0 Alpha LIBOR ......................... 39,106 0 202,120 0 Foreign Small Companies Fund ........ 20,230 0 0 0 Internaional Disciplined Equity Fund 0 0 0 0 International Growth Fund ........... 0 0 0 0 October ............................. Purchases Exchanges In Redemptions Exchanges Out Fund Name U.S. Core Fund ...................... (7,424,200) 7,472,000 (1,472,865) 1,500,000 International Intrinsic Value Fund .. (40,717,335) 40,717,335 0 0 Growth Fund ......................... 6,500 0 0 0 Pelican Fund ........................ 1,103 0 944 0 Short-Term Income Fund .............. 73 0 (4,401,566) 4,407,018 Value Fund .......................... 989 0 (8,063,875) 8,072,000 Tobacco-Free Core Fund .............. (1,728,250) 1,750,000 1,077 0 Small Cap Value Fund ................ (997,790) 1,000,000 (2,108,409) 2,115,958 International Small Companies Fund .. (499,500) 500,000 982 0 US Sector Fund ...................... 0 0 0 0 Emerging Markets Fund ............... (7,146,160) 7,195,000 2,279 0 International Bond Fund ............. 1,100 0 (9,604,009) 9,643,533 Emerging Country Debt Fund .......... (462,907) 500,000 (211,819) 263,669 Global Hedged Equity Fund ........... 0 0 (1,983,015) 1,985,000 Domestic Bond Fund .................. 2,440 0 (12,477,428) 12,493,986 Currency Hedged International Bond Fu (3,996,000) 4,000,000 (1,198,800) 1,200,000 Currency Hedged International Equity (1,298,700) 1,300,000 (2,852,874) 2,855,733 Global Bond Fund .................... 5,000 0 2,211 0 REIT Fund ........................... (943,427) 950,000 (1,996,417) 2,000,000 Foreign Fund ........................ (2,243,665) 2,300,000 1,282 0 World Equity Allocation Fund ........ 0 0 0 0 Global Balanced Allocation Fund ..... 0 0 (746,815) 750,000 Small Cap Growth Fund ............... 11 0 2,289 0 International Equity Allocation Fund 0 0 (13,099,046) 13,112,247 Global (US+) Equity Allocation Fund . 0 0 55 0 Inflation Indexed Bond Fund ......... (715,036) 763,009 (3,346,093) 3,350,000 Core Plus Bond Fund ................. 14 0 (7,069,185) 7,076,818 Emerging Countries Fund ............. (799,200) 800,000 1,728 0 Asia Fund ........................... 0 0 0 0 Tax-Managed U.S. Equities Fund ...... 0 0 0 0 Tax-Managed International Equities Fu (1,573,425) 1,575,000 0 0 Emerging Country Debt Share Fund .... 108 0 42 0 Intrinsic Value Fund ................ 0 0 0 0 Tax-Managed Small Companies Fund .... 529 0 0 0 Alpha LIBOR ......................... 40,575 0 148,110 0 Foreign Small Companies Fund ........ 20,000 0 0 0 Internaional Disciplined Equity Fund 0 0 0 0 International Growth Fund ........... 0 0 0 0 November ............................ Purchases Exchanges In Redemptions Exchanges Out Fund Name U.S. Core Fund ...................... (287,044) 300,000 (9,366,861) 9,417,564 International Intrinsic Value Fund .. 103 0 (2,300,000) 2,300,000 Growth Fund ......................... 2,525 0 0 0 Pelican Fund ........................ 850 0 4,336 0 Short-Term Income Fund .............. 191 0 200 0 Value Fund .......................... 50 0 100 0 Tobacco-Free Core Fund .............. 0 0 352 0 Small Cap Value Fund ................ (995,960) 1,000,000 381 0 International Small Companies Fund .. 6,768 0 7,495 0 US Sector Fund ...................... 0 0 0 0 Emerging Markets Fund ............... 5,328 0 2,822 0 International Bond Fund ............. 632 0 0 0 Emerging Country Debt Fund .......... 6,324 0 12,535 0 Global Hedged Equity Fund ........... 0 0 0 0 Domestic Bond Fund .................. (130,772) 135,000 159 0 Currency Hedged International Bond Fu 0 0 0 0 Currency Hedged International Equity 0 0 100 0 Global Bond Fund .................... 0 0 0 0 REIT Fund ........................... (992,449) 1,000,000 92 0 Foreign Fund ........................ 36,126 0 12,272 0 World Equity Allocation Fund ........ 0 0 0 0 Global Balanced Allocation Fund ..... 8 0 500 0 Small Cap Growth Fund ............... 629 0 0 0 International Equity Allocation Fund 0 0 78 0 Global (US+) Equity Allocation Fund . 0 0 0 0 Inflation Indexed Bond Fund ......... 6,407 0 425 0 Core Plus Bond Fund ................. 213,302 0 0 0 Emerging Countries Fund ............. 0 0 0 0 Asia Fund ........................... 0 0 0 0 Tax-Managed U.S. Equities Fund ...... (9,275,564) 9,282,564 0 0 Tax-Managed International Equities Fu 3,995 0 0 0 Emerging Country Debt Share Fund .... 477 0 356 0 Intrinsic Value Fund ................ 103 0 0 0 Tax-Managed Small Companies Fund .... 0 0 0 0 Alpha LIBOR ......................... 78,455 0 146,400 0 Foreign Small Companies Fund ........ 17,000 0 0 0 Internaional Disciplined Equity Fund 0 0 0 0 International Growth Fund ........... 44,100 0 0 0 December ............................ Purchases Exchanges In Redemptions Exchanges Out Fund Name U.S. Core Fund ...................... 23,526 0 (39,874,466) 40,000,000 International Intrinsic Value Fund .. 139 0 (14,800,000) 14,800,000 Growth Fund ......................... 109 0 8 0 Pelican Fund ........................ 709 0 1,075 0 Short-Term Income Fund .............. (187,848) 200,000 16,660 0 Value Fund .......................... 0 0 600 0 Tobacco-Free Core Fund .............. 13,000 0 8,362 0 Small Cap Value Fund ................ 621 0 865 0 International Small Companies Fund .. 6,724 0 0 0 US Sector Fund ...................... 0 0 0 0 Emerging Markets Fund ............... 53,744 0 2,002 0 International Bond Fund ............. 400 0 250 0 Emerging Country Debt Fund .......... 615 0 (199,845) 200,500 Global Hedged Equity Fund ........... 747 0 0 0 Domestic Bond Fund .................. 1,328 0 9,643 0 Currency Hedged International Bond Fu 165 0 135 0 Currency Hedged International Equity 1 0 735 0 Global Bond Fund .................... 0 0 1,907 0 REIT Fund ........................... (15,982,933) 16,000,000 1,812 0 Foreign Fund ........................ 36,647 0 18,181 0 World Equity Allocation Fund ........ 0 0 0 0 Global Balanced Allocation Fund ..... 7,488 0 1,674 0 Small Cap Growth Fund ............... 3 0 5 0 International Equity Allocation Fund 0 0 246 0 Global (US+) Equity Allocation Fund . 0 0 30 0 Inflation Indexed Bond Fund ......... (23,975,419) 24,000,000 192 0 Core Plus Bond Fund ................. 964 0 5,350 0 Emerging Countries Fund ............. 17 0 0 0 Asia Fund ........................... 6 0 0 0 Tax-Managed U.S. Equities Fund ...... 9,282 0 0 0 Tax-Managed International Equities Fu 0 0 0 0 Emerging Country Debt Share Fund .... 160 0 100 0 Intrinsic Value Fund ................ 139 0 0 0 Tax-Managed Small Companies Fund .... 682 0 0 0 Alpha LIBOR ......................... 223,475 0 58,150 0 Foreign Small Companies Fund ........ 2,508 0 0 0 Internaional Disciplined Equity Fund 0 0 0 0 International Growth Fund ........... (14,784,200) 14,800,000 295 0 January ............................. Purchases Exchanges In Redemptions Exchanges Out Fund Name U.S. Core Fund ...................... 40,037 0 (3,217,820) 3,263,000 International Intrinsic Value Fund .. 136 0 (5,480,000) 5,480,000 Growth Fund ......................... 13 0 (277,678) 278,000 Pelican Fund ........................ 2,303 0 617 0 Short-Term Income Fund .............. 20,034 0 495 0 Value Fund .......................... 46 0 11 0 Tobacco-Free Core Fund .............. 2 0 (598,056) 610,000 Small Cap Value Fund ................ 880 0 (2,371,440) 2,378,125 International Small Companies Fund .. 7,326 0 112 0 US Sector Fund ...................... 0 0 0 0 Emerging Markets Fund ............... (5,041,326) 5,190,000 473 0 International Bond Fund ............. 368 0 (146,076) 150,000 Emerging Country Debt Fund .......... (8,367,942) 8,413,000 44,207 0 Global Hedged Equity Fund ........... 0 0 12 0 Domestic Bond Fund .................. 871 0 (853,796) 855,000 Currency Hedged International Bond Fu 3 0 49 0 Currency Hedged International Equity 0 0 23 0 Global Bond Fund .................... 2 0 10 0 REIT Fund ........................... 10,894 0 1,121 0 Foreign Fund ........................ 5,675 0 3,786 0 World Equity Allocation Fund ........ 2 0 0 0 Global Balanced Allocation Fund ..... 6,940 0 400 0 Small Cap Growth Fund ............... 3 0 52 0 International Equity Allocation Fund 4,003 0 41 0 Global (US+) Equity Allocation Fund . 0 0 2,055 0 Inflation Indexed Bond Fund ......... 1,454 0 (99,078) 100,000 Core Plus Bond Fund ................. 571 0 (499,487) 500,000 Emerging Countries Fund ............. 6 0 8 0 Asia Fund ........................... 1 0 0 0 Tax-Managed U.S. Equities Fund ...... 0 0 0 0 Tax-Managed International Equities Fu 0 0 0 0 Emerging Country Debt Share Fund .... 1,485 0 0 0 Intrinsic Value Fund ................ 136 0 0 0 Tax-Managed Small Companies Fund .... 250 0 0 0 Alpha LIBOR ......................... 42,786 0 39,000 0 Foreign Small Companies Fund ........ 1,283 0 0 0 Internaional Disciplined Equity Fund 34,076 0 0 0 International Growth Fund ........... 53 0 1,000 0 February Fund Name ........................... Purchases Exchanges In Redemptions Exchanges Out U.S. Core Fund ...................... 31,535 101,003 (4,418) 17,000 International Intrinsic Value Fund .. 252 0 (46,796,591) 46,796,591 Growth Fund ......................... 0 0 (5,000) 5,000 Pelican Fund ........................ 2,005 0 1,047 0 Short-Term Income Fund .............. 276 0 (36,770) 40,000 Value Fund .......................... 474 0 11 0 Tobacco-Free Core Fund .............. 3,582 0 864 0 Small Cap Value Fund ................ 125 0 (100,956) 101,508 International Small Companies Fund .. (3,484,228) 3,500,000 100 0 US Sector Fund ...................... 0 0 0 0 Emerging Markets Fund ............... (1,420,304) 1,480,000 245 0 International Bond Fund ............. 75 0 (66,500) 70,000 Emerging Country Debt Fund .......... 13,194 28,247 (59,773) 94,235 Global Hedged Equity Fund ........... 0 0 0 0 Domestic Bond Fund .................. 2,409 0 (1,212) 2,000 Currency Hedged International Bond Fu 100 0 (24,975) 25,000 Currency Hedged International Equity 0 0 0 0 Global Bond Fund .................... 3 0 100 0 REIT Fund ........................... 322 0 (4,879) 5,010 Foreign Fund ........................ 8,353 0 (51,233) 63,743 World Equity Allocation Fund ........ 0 0 3 0 Global Balanced Allocation Fund ..... 1,059 0 19 0 Small Cap Growth Fund ............... 0 0 (3,657) 3,657 International Equity Allocation Fund 0 0 17 0 Global (US+) Equity Allocation Fund . 0 0 (9,990) 10,000 Inflation Indexed Bond Fund ......... 2,003 2,000 (17,649) 18,047 Core Plus Bond Fund ................. 1,203 0 (41,479) 57,499 Emerging Countries Fund ............. 16,210 0 5 0 Asia Fund ........................... 10 0 0 0 Tax-Managed U.S. Equities Fund ...... 0 0 0 0 Tax-Managed International Equities Fu 100 0 0 0 Emerging Country Debt Share Fund .... 1,058 0 (19,913) 20,868 Intrinsic Value Fund ................ 252 0 0 0 Tax-Managed Small Companies Fund .... 100 0 0 0 Alpha LIBOR ......................... 66,550 0 48,650 0 Foreign Small Companies Fund ........ 29,925 0 400 0 Internaional Disciplined Equity Fund (12,011,631) 12,023,655 0 0 International Growth Fund ........... (29,891,616) 29,921,541 400 0
EX-99 7 avgnet.txt GMO Trust FYE 2/28/2002 Attachment Filed in Response to Form N-SAR Sub-Item 77P Monthly Average Assets Fund Name March April May Core Fund $ 2,851,112,327 $ 2,869,656,758 $ 2,960,440,234 Growth Fund 107,620,753 107,598,004 118,108,950 Value Fund 246,728,338 248,499,754 261,409,747 Short-Term Income Fund 40,832,433 39,462,046 39,569,718 International Intrinsic Value Fund 1,384,376,103 1,374,415,288 1,412,247,403 Tobacco-Free Core Fund 252,489,933 253,048,964 263,293,626 International Small Companies Fund 179,393,360 209,997,221 222,965,152 Small Cap Value Fund 300,099,734 302,857,441 318,886,359 Pelican Fund 115,367,213 115,140,850 120,803,633 US Sector Fund 250,361 257,198 271,900 International Bond Fund 209,600,873 195,868,548 189,402,864 Small Cap Growth Fund 19,086,566 19,661,902 22,256,134 Emerging Markets Fund 994,071,706 959,825,704 1,015,825,515 Emerging Country Debt Fund 1,017,893,844 1,021,659,294 1,039,784,742 Global Hedged Equity Fund 55,924,131 50,651,635 46,125,148 Domestic Bond Fund 170,671,475 167,661,738 166,485,851 Currency Hedged International Bond Fund 18,192,745 16,299,114 15,911,143 Inflation Indexed Bond Fund 66,166,774 60,598,730 57,831,673 Currency Hedged International Equity Fund 106,150,049 106,186,188 108,695,914 Global Bond Fund 289,165,817 278,548,862 275,593,851 REIT Fund 133,407,040 137,364,214 143,590,011 Foreign Fund 1,176,345,324 1,182,198,629 1,246,567,049 International Equity Allocation Fund 70,089,024 68,908,115 71,230,608 World Equity Allocation Fund 10,714,770 9,031,402 6,818,671 Global (US+) Equity Allocation Fund 41,723,870 41,653,571 43,605,203 Global Balanced Allocation Fund 111,096,736 112,710,332 115,342,827 Core Plus Bond Fund 156,546,835 149,807,278 147,828,666 Emerging Countries Fund 49,741,046 47,098,759 49,637,055 Asia Fund 104,223,620 94,076,944 97,076,686 Tax-Managed U.S. Equities Fund 11,014,507 10,993,805 11,553,170 Tax-Managed Small Companies Fund 40,407,740 40,356,914 41,135,430 Intrinsic Value Fund 71,929,940 91,944,977 97,604,222 Alpha LIBOR Fund 1,521,458,071 1,516,022,170 1,471,162,176 Tax-Managed International Equities Fund 72,642,072 72,254,588 74,922,028 Emerging Country Debt Share Fund 102,691,774 101,356,768 102,702,907 Foreign Small Companies Fund 59,354,026 59,665,501 64,154,155 International Disciplined Equity 0 0 0 International Growth Fund 0 0 0 12,158,580,930 12,133,339,205 12,440,840,421 Fund Name June July August Core Fund 2,904,949,141 $ 2,821,042,611 $ 2,788,143,691 Growth Fund 114,602,521 117,103,803 114,711,060 Value Fund 259,448,104 257,302,696 258,810,201 Short-Term Income Fund 39,573,458 39,321,376 38,589,223 International Intrinsic Value Fund 1,433,311,404 1,460,516,261 1,484,696,445 Tobacco-Free Core Fund 262,523,882 369,147,221 388,520,172 International Small Companies Fund 220,474,936 219,981,679 227,639,522 Small Cap Value Fund 318,567,367 318,284,001 316,985,899 Pelican Fund 121,251,097 120,321,151 122,855,712 US Sector Fund 273,257 269,988 270,790 International Bond Fund 159,119,264 163,155,494 182,919,490 Small Cap Growth Fund 21,865,499 21,496,526 20,057,042 Emerging Markets Fund 1,067,540,680 1,041,424,682 1,061,143,516 Emerging Country Debt Fund 1,058,226,568 993,273,405 946,258,343 Global Hedged Equity Fund 19,609,422 19,090,332 18,966,293 Domestic Bond Fund 167,982,228 167,081,849 169,248,142 Currency Hedged International Bond Fund 16,025,604 16,209,475 16,550,209 Inflation Indexed Bond Fund 58,273,225 60,869,951 64,190,414 Currency Hedged International Equity Fund 65,642,356 48,693,563 44,268,523 Global Bond Fund 274,243,621 268,527,237 276,669,009 REIT Fund 149,238,987 153,693,123 154,406,607 Foreign Fund 1,211,991,536 1,173,504,342 1,202,695,024 International Equity Allocation Fund 69,600,165 63,729,274 68,647,009 World Equity Allocation Fund 6,823,585 7,172,011 7,532,131 Global (US+) Equity Allocation Fund 43,686,584 43,003,731 43,225,540 Global Balanced Allocation Fund 116,716,730 116,280,413 117,592,003 Core Plus Bond Fund 149,079,321 149,717,389 147,977,281 Emerging Countries Fund 49,498,408 47,262,929 47,450,124 Asia Fund 100,871,984 100,343,237 104,797,872 Tax-Managed U.S. Equities Fund 11,871,202 11,754,717 11,644,461 Tax-Managed Small Companies Fund 35,313,992 35,656,733 34,507,341 Intrinsic Value Fund 98,259,021 101,464,181 101,055,009 Alpha LIBOR Fund 1,464,970,257 1,466,480,113 1,532,158,158 Tax-Managed International Equities Fund 73,878,669 72,694,225 74,597,449 Emerging Country Debt Share Fund 107,052,925 77,575,141 75,588,710 Foreign Small Companies Fund 64,189,696 62,368,401 74,993,136 International Disciplined Equity 0 0 0 International Growth Fund 0 0 0 12,336,546,697 12,205,813,265 12,340,361,551 Fund Name September October November Core Fund 2,508,964,232 $ 2,613,984,787 $ 2,690,679,514 Growth Fund 102,234,060 108,932,565 117,559,688 Value Fund 240,692,737 231,613,498 233,726,901 Short-Term Income Fund 39,046,058 36,481,605 36,162,036 International Intrinsic Value Fund 1,353,050,926 1,380,070,143 1,402,849,586 Tobacco-Free Core Fund 352,106,968 370,313,868 386,166,530 International Small Companies Fund 210,289,331 213,436,697 215,948,287 Small Cap Value Fund 284,044,164 271,814,656 284,357,550 Pelican Fund 115,135,696 112,291,207 112,230,180 US Sector Fund 248,272 245,921 254,386 International Bond Fund 185,316,995 162,439,598 147,832,336 Small Cap Growth Fund 17,006,995 16,202,244 16,051,795 Emerging Markets Fund 1,003,123,305 959,428,902 1,046,919,730 Emerging Country Debt Fund 951,129,086 920,057,554 943,104,491 Global Hedged Equity Fund 18,059,006 15,239,595 14,939,098 Domestic Bond Fund 171,285,327 160,348,850 162,036,725 Currency Hedged International Bond Fund 15,084,773 15,840,479 17,856,463 Inflation Indexed Bond Fund 66,902,805 107,965,912 118,895,125 Currency Hedged International Equity Fund 39,387,122 37,001,770 37,178,603 Global Bond Fund 278,486,880 282,343,419 284,199,515 REIT Fund 146,024,549 142,440,317 152,338,044 Foreign Fund 1,118,490,839 1,155,309,388 1,233,805,185 International Equity Allocation Fund 72,782,560 66,954,201 58,045,583 World Equity Allocation Fund 6,831,910 6,656,046 6,816,150 Global (US+) Equity Allocation Fund 40,250,944 39,436,971 40,470,150 Global Balanced Allocation Fund 113,652,038 114,079,692 112,714,033 Core Plus Bond Fund 149,931,971 145,633,147 347,188,712 Emerging Countries Fund 45,364,374 41,785,592 44,258,795 Asia Fund 100,396,304 88,592,097 89,028,368 Tax-Managed U.S. Equities Fund 10,816,689 10,928,593 11,470,475 Tax-Managed Small Companies Fund 31,898,850 31,515,832 32,771,345 Intrinsic Value Fund 92,524,928 90,962,679 93,402,302 Alpha LIBOR Fund 1,570,839,787 1,322,008,041 1,242,619,984 Tax-Managed International Equities Fund 68,664,107 68,278,246 70,214,873 Emerging Country Debt Share Fund 76,406,717 75,206,619 77,625,035 Foreign Small Companies Fund 90,355,042 113,020,686 129,522,606 International Disciplined Equity 0 0 0 International Growth Fund 0 0 0 11,686,826,347 11,528,861,413 12,011,240,179 Fund Name December January February Core Fund 2,678,834,712 $ 2,625,570,465 $ 2,564,602,502 Growth Fund 121,821,312 120,926,953 116,967,003 Value Fund 236,889,151 236,796,910 228,403,080 Short-Term Income Fund 23,074,625 45,375,287 50,080,080 International Intrinsic Value Fund 1,396,012,411 1,409,984,854 1,342,265,579 Tobacco-Free Core Fund 397,365,638 390,412,435 375,959,119 International Small Companies Fund 219,801,070 230,961,737 237,816,238 Small Cap Value Fund 301,975,993 305,500,495 305,735,487 Pelican Fund 113,721,673 115,467,298 111,597,637 US Sector Fund 268,277 271,369 267,051 International Bond Fund 145,330,590 140,607,038 136,402,194 Small Cap Growth Fund 17,301,720 17,396,706 16,980,773 Emerging Markets Fund 1,139,544,346 1,352,613,150 1,487,761,587 Emerging Country Debt Fund 961,383,448 995,010,843 1,025,641,693 Global Hedged Equity Fund 15,661,294 16,125,414 16,549,169 Domestic Bond Fund 158,043,170 152,145,660 154,031,442 Currency Hedged International Bond Fund 17,737,624 17,829,397 17,847,646 Inflation Indexed Bond Fund 137,130,780 143,494,516 147,100,512 Currency Hedged International Equity Fund 37,298,968 37,046,252 36,976,468 Global Bond Fund 278,721,862 274,880,110 273,765,601 REIT Fund 171,690,193 187,531,817 189,886,528 Foreign Fund 1,282,178,645 1,294,949,892 1,272,677,883 International Equity Allocation Fund 59,016,900 63,350,894 64,508,439 World Equity Allocation Fund 7,003,646 7,172,086 7,188,411 Global (US+) Equity Allocation Fund 41,511,095 40,268,982 39,504,884 Global Balanced Allocation Fund 113,734,476 126,806,305 128,432,773 Core Plus Bond Fund 348,820,116 351,420,637 341,638,472 Emerging Countries Fund 48,399,682 52,550,751 59,586,562 Asia Fund 96,768,564 105,228,617 114,944,440 Tax-Managed U.S. Equities Fund 27,063,367 27,955,386 27,228,086 Tax-Managed Small Companies Fund 35,094,571 36,192,085 36,579,036 Intrinsic Value Fund 96,154,097 97,183,169 95,576,301 Alpha LIBOR Fund 1,407,826,591 1,426,399,458 1,418,476,065 Tax-Managed International Equities Fund 73,547,801 74,221,249 73,997,571 Emerging Country Debt Share Fund 79,702,702 84,195,883 86,839,525 Foreign Small Companies Fund 140,342,739 145,708,361 147,123,842 International Disciplined Equity 0 33,859,097 43,837,620 International Growth Fund 54,935,270 57,380,346 70,010,125 12,481,709,119 12,840,791,902 12,864,787,424
EX-99 8 expense.txt GMO Trust FYE 2/28/02 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 0.38% Small Cap Growth Fund 0.48% Emerging Markets Fund 1.19% Emerging Country Debt Fund 0.71% Global Hedged Equity Fund 0.37% Domestic Bond Fund 0.25% Currency Hedged International Bond Fund 0.38% Inflation Indexed Bond Fund 0.42% Currency Hedged International Equity Fund 0.31% Global Bond Fund 0.32% 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% Core Plus Bond Fund 0.38% Emerging Countries Fund 1.40% Asia Fund 1.28% 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 0.05% Foreign Small Companies Fund 0.86% International Disciplined Equity Fund 0.55% International Growth Fund 0.69% EX-99 9 att77q1d.txt GMO TRUST Item 77Q(1)(d) Amended Rule 18f-1 plan and Rule 12b-1 plan on behalf of Registrant's Class M Shares filed with Post-Effective Amendment #63 to the registration statement on March 1, 2002 and incorporated by reference herein. -----END PRIVACY-ENHANCED MESSAGE-----