NSAR Item 77E:  Legal Proceedings


GMO Alpha LIBOR Fund

On May 23,  2003,  a group of 184  plaintiffs  - including  GMO Alpha LIBOR Fund
(ALF) - filed a lawsuit in the Arizona  Superior  Court  against Bank One,  J.P.
Morgan Chase,  Credit Suisse First Boston,  Delloite and Touche  Purcell & Scott
Co.  and  others  seeking  compensation  for more  than $1.3  billion  in losses
stemming from the collapse of U.S.- based healthcare  financier National Century
Financial  Enterprises  Inc.  National  Century,  the sponsor of a $3.3  billion
healthcare  asset-backed  receivables  program  in  which  ALF  had  significant
investments,   allegedly  violated  the  terms  of  the  bonds'  indentures  and
fraudulently misrepresented its financial condition. The lawsuit was approved by
the fund's Board of Trustees.