-----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, IuoHwz668tbas9IoTK7G/9tdSR6jgRx4JwgedjD6BesyFtusNrVc8rOI3lNuHJyv ukVHUxpy1rFeQm40Ulhq8g== 0000897436-04-000170.txt : 20040430 0000897436-04-000170.hdr.sgml : 20040430 20040429175743 ACCESSION NUMBER: 0000897436-04-000170 CONFORMED SUBMISSION TYPE: NSAR-B PUBLIC DOCUMENT COUNT: 16 CONFORMED PERIOD OF REPORT: 20040229 FILED AS OF DATE: 20040430 EFFECTIVENESS DATE: 20040430 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: 04766655 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 02/29/2004 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 41 007 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 C010600 6 007 C020600 GMO SHORT-DURATION INVESTMENT 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 13 007 C021300 GMO INTERNATIONAL SMALL COMPANIES FUND 007 C031300 N PAGE 2 007 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 REAL ESTATE FUND 007 C032300 N 007 C012400 24 007 C022400 GMO FOREIGN FUND 007 C032400 N 007 C012500 25 007 C022500 GMO GLOBAL BALANCED ASSET ALLOCATION FUND 007 C032500 N 007 C012600 26 007 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 (U.S.+) EQUITY ALLOCATION FUND 007 C032900 N 007 C013000 30 007 C013100 31 007 C023100 GMO INFLATION INDEXED BOND FUND 007 C033100 N 007 C013200 32 PAGE 3 007 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 C014200 42 007 C024200 GMO FOREIGN SMALL COMPANIES FUND 007 C034200 N 007 C014300 43 007 C024300 GMO INTERNATIONAL DISCIPLINED EQUITY FUND 007 C034300 N 007 C014400 44 007 C024400 GMO INTERNATIONAL GROWTH FUND 007 C034400 N 007 C014500 45 007 C024500 GMO INTERNATIONAL CORE PLUS ALLOCATION FUND 007 C034500 N 007 C014600 46 007 C024600 GMO TAIWAN FUND 007 C034600 N 007 C014700 47 007 C024700 GMO SHORT-DURATION COLLATERAL FUND 007 C034700 N 007 C014800 48 007 C024800 GMO BENCHMARK-FREE ALLOCATION FUND 007 C034800 N 007 C014900 49 007 C024900 GMO U.S. QUALITY EQUITY FUND 007 C034900 N 007 C015000 50 007 C015100 51 PAGE 4 007 C015200 52 007 C015300 53 007 C015400 54 007 C015500 55 007 C015600 56 007 C015700 57 007 C015800 58 007 C015900 59 007 C016000 60 008 A00AA01 GRANTHAM, MAYO, VAN OTTERLOO & CO. 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MORGAN CHASE & CO. 025 B000403 13-3224016 025 C000403 E 025 D000403 8229 025 A000404 LEHMAN BROTHERS, INC. 025 B000404 13-2518466 025 C000404 E 025 D000404 1084 025 A000405 MERRILL LYNCH & CO., INC. 025 B000405 13-5674085 PAGE 18 025 C000405 E 025 D000405 3440 025 A000406 CITIGROUP, INC. 025 B000406 52-1568099 025 C000406 D 025 D000406 32354 025 A000407 MORGAN STANLEY & CO., INC. 025 B000407 13-5655998 025 C000407 D 025 D000407 396 025 D000408 0 028 A010400 8148 028 A020400 0 028 A030400 0 028 A040400 3551 028 B010400 4185 028 B020400 391 028 B030400 0 028 B040400 4838 028 C010400 1501 028 C020400 0 028 C030400 0 028 C040400 2422 028 D010400 54342 028 D020400 11025 028 D030400 0 028 D040400 1234 028 E010400 12375 028 E020400 0 028 E030400 0 028 E040400 4276 028 F010400 119482 028 F020400 0 028 F030400 0 028 F040400 11880 028 G010400 200033 028 G020400 11416 028 G030400 0 028 G040400 28201 028 H000400 0 037 000400 N 038 000400 0 039 000400 N 040 000400 Y 041 000400 Y 042 A000400 0 042 B000400 0 042 C000400 0 042 D000400 100 042 E000400 0 042 F000400 0 PAGE 19 042 G000400 0 042 H000400 0 043 000400 158 044 000400 0 045 000400 Y 046 000400 N 047 000400 Y 048 000400 0.330 048 A010400 0 048 A020400 0.000 048 B010400 0 048 B020400 0.000 048 C010400 0 048 C020400 0.000 048 D010400 0 048 D020400 0.000 048 E010400 0 048 E020400 0.000 048 F010400 0 048 F020400 0.000 048 G010400 0 048 G020400 0.000 048 H010400 0 048 H020400 0.000 048 I010400 0 048 I020400 0.000 048 J010400 0 048 J020400 0.000 048 K010400 0 048 K020400 0.000 049 000400 N 050 000400 N 051 000400 N 052 000400 N 053 A000400 Y 053 B000400 Y 053 C000400 N 055 A000400 Y 055 B000400 N 056 000400 Y 057 000400 N 058 A000400 N 059 000400 Y 060 A000400 N 060 B000400 N 061 000400 5000000 062 A000400 N 062 B000400 0.0 062 C000400 0.0 062 D000400 0.0 062 E000400 0.0 PAGE 20 062 F000400 0.0 062 G000400 0.0 062 H000400 0.0 062 I000400 0.0 062 J000400 0.0 062 K000400 0.0 062 L000400 0.0 062 M000400 0.0 062 N000400 0.0 062 O000400 0.0 062 P000400 0.0 062 Q000400 0.0 062 R000400 0.0 066 A000400 Y 066 B000400 N 066 C000400 N 066 D000400 Y 066 E000400 N 066 F000400 N 066 G000400 N 067 000400 N 068 A000400 N 068 B000400 N 069 000400 N 070 A010400 Y 070 A020400 Y 070 B010400 Y 070 B020400 N 070 C010400 N 070 C020400 N 070 D010400 Y 070 D020400 N 070 E010400 N 070 E020400 N 070 F010400 Y 070 F020400 Y 070 G010400 Y 070 G020400 N 070 H010400 Y 070 H020400 N 070 I010400 Y 070 I020400 N 070 J010400 Y 070 J020400 N 070 K010400 Y 070 K020400 N 070 L010400 N 070 L020400 N 070 M010400 N 070 M020400 N 070 N010400 Y PAGE 21 070 N020400 Y 070 O010400 Y 070 O020400 N 070 P010400 Y 070 P020400 N 070 Q010400 N 070 Q020400 N 070 R010400 N 070 R020400 N 071 A000400 588258 071 B000400 407618 071 C000400 418405 071 D000400 97 072 A000400 12 072 B000400 84 072 C000400 4628 072 D000400 0 072 E000400 0 072 F000400 1424 072 G000400 0 072 H000400 0 072 I000400 0 072 J000400 104 072 K000400 0 072 L000400 0 072 M000400 9 072 N000400 52 072 O000400 0 072 P000400 0 072 Q000400 0 072 R000400 45 072 S000400 21 072 T000400 207 072 U000400 0 072 V000400 0 072 W000400 700 072 X000400 2562 072 Y000400 234 072 Z000400 2384 072AA000400 35790 072BB000400 0 072CC010400 95212 072CC020400 0 072DD010400 2828 072DD020400 434 072EE000400 9717 073 A010400 0.1360 073 A020400 0.0960 073 B000400 0.3640 073 C000400 0.0000 074 A000400 4 PAGE 22 074 B000400 32750 074 C000400 16348 074 D000400 0 074 E000400 0 074 F000400 625152 074 G000400 0 074 H000400 0 074 I000400 9077 074 J000400 19171 074 K000400 22 074 L000400 832 074 M000400 0 074 N000400 703356 074 O000400 31946 074 P000400 304 074 Q000400 0 074 R010400 0 074 R020400 0 074 R030400 0 074 R040400 34041 074 S000400 0 074 T000400 637065 074 U010400 22976 074 U020400 10536 074 V010400 19.03 074 V020400 18.97 074 W000400 0.0000 074 X000400 50 074 Y000400 998 075 A000400 0 075 B000400 431411 076 000400 0.00 015 A000601 INVESTORS BANK & TRUST COMPANY 015 B000601 C 015 C010601 BOSTON 015 C020601 MA 015 C030601 02116 015 E010601 X 024 000600 N 028 A010600 0 028 A020600 0 028 A030600 0 028 A040600 52 028 B010600 0 028 B020600 69 028 B030600 0 028 B040600 758 028 C010600 0 028 C020600 0 028 C030600 0 028 C040600 0 PAGE 23 028 D010600 0 028 D020600 491 028 D030600 0 028 D040600 1879 028 E010600 0 028 E020600 0 028 E030600 0 028 E040600 466 028 F010600 0 028 F020600 0 028 F030600 0 028 F040600 156 028 G010600 0 028 G020600 560 028 G030600 0 028 G040600 3311 028 H000600 0 037 000600 N 038 000600 0 039 000600 N 040 000600 Y 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 0 048 E020600 0.000 048 F010600 0 048 F020600 0.000 048 G010600 0 048 G020600 0.000 048 H010600 0 PAGE 24 048 H020600 0.000 048 I010600 0 048 I020600 0.000 048 J010600 0 048 J020600 0.000 048 K010600 0 048 K020600 0.000 049 000600 N 050 000600 N 051 000600 N 052 000600 N 053 A000600 Y 053 B000600 Y 053 C000600 N 055 A000600 N 055 B000600 N 056 000600 Y 057 000600 N 058 A000600 N 059 000600 Y 060 A000600 N 060 B000600 N 061 000600 5000000 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 7.4 062 N000600 8.0 062 O000600 0.0 062 P000600 0.0 062 Q000600 0.0 062 R000600 84.5 063 A000600 0 063 B000600 2.6 064 A000600 Y 064 B000600 N 066 A000600 N 067 000600 N 068 A000600 N 068 B000600 N 069 000600 N 070 A010600 Y PAGE 25 070 A020600 Y 070 B010600 N 070 B020600 N 070 C010600 Y 070 C020600 N 070 D010600 N 070 D020600 N 070 E010600 Y 070 E020600 N 070 F010600 N 070 F020600 N 070 G010600 Y 070 G020600 N 070 H010600 N 070 H020600 N 070 I010600 Y 070 I020600 N 070 J010600 Y 070 J020600 N 070 K010600 Y 070 K020600 Y 070 L010600 Y 070 L020600 N 070 M010600 N 070 M020600 N 070 N010600 Y 070 N020600 N 070 O010600 Y 070 O020600 N 070 P010600 Y 070 P020600 N 070 Q010600 N 070 Q020600 N 070 R010600 N 070 R020600 N 071 A000600 1824 071 B000600 12941 071 C000600 46966 071 D000600 4 072 A000600 12 072 B000600 208 072 C000600 524 072 D000600 0 072 E000600 0 072 F000600 23 072 G000600 0 072 H000600 0 072 I000600 0 072 J000600 7 072 K000600 0 072 L000600 0 PAGE 26 072 M000600 3 072 N000600 8 072 O000600 0 072 P000600 0 072 Q000600 0 072 R000600 29 072 S000600 3 072 T000600 0 072 U000600 0 072 V000600 0 072 W000600 72 072 X000600 145 072 Y000600 48 072 Z000600 635 072AA000600 0 072BB000600 132 072CC010600 554 072CC020600 0 072DD010600 637 072DD020600 0 072EE000600 0 073 A010600 0.1230 073 A020600 0.0000 073 B000600 0.0000 073 C000600 0.0000 074 A000600 52 074 B000600 0 074 C000600 0 074 D000600 6803 074 E000600 0 074 F000600 0 074 G000600 0 074 H000600 0 074 I000600 37289 074 J000600 3 074 K000600 5 074 L000600 37 074 M000600 0 074 N000600 44189 074 O000600 0 074 P000600 7 074 Q000600 0 074 R010600 0 074 R020600 0 074 R030600 0 074 R040600 26 074 S000600 0 074 T000600 44156 074 U010600 5044 074 U020600 0 074 V010600 8.75 PAGE 27 074 V020600 0.00 074 W000600 0.0000 074 X000600 48 074 Y000600 0 075 A000600 0 075 B000600 47281 076 000600 0.00 015 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 BEAR SREARNS & CO., INC. 025 B000801 13-3299429 025 C000801 E 025 D000801 334 025 A000802 CITIGROUP, INC. 025 B000802 52-1568099 025 C000802 E 025 D000802 2136 025 A000803 J.P. MORGAN CHASE & CO. 025 B000803 13-3224016 025 C000803 E 025 D000803 1345 025 A000804 MERRILL LYNCH & CO., INC. 025 B000804 13-5674085 025 C000804 E 025 D000804 857 025 A000805 MORGAN STANLEY & CO., INC. 025 B000805 13-2655998 025 C000805 E 025 D000805 1309 025 A000806 CITIGROUP, INC. 025 B000806 52-1568099 025 C000806 D 025 D000806 2076 025 D000807 0 025 D000808 0 028 A010800 241 028 A020800 0 028 A030800 0 028 A040800 337 028 B010800 352 028 B020800 188 028 B030800 0 028 B040800 937 028 C010800 306 028 C020800 0 028 C030800 0 PAGE 28 028 C040800 651 028 D010800 504 028 D020800 500 028 D030800 0 028 D040800 141 028 E010800 866 028 E020800 0 028 E030800 0 028 E040800 5044 028 F010800 409 028 F020800 0 028 F030800 0 028 F040800 5746 028 G010800 2678 028 G020800 688 028 G030800 0 028 G040800 12856 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 20 044 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 PAGE 29 048 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 0.000 049 000800 N 050 000800 N 051 000800 N 052 000800 N 053 A000800 Y 053 B000800 Y 053 C000800 N 055 A000800 N 055 B000800 N 056 000800 Y 057 000800 N 058 A000800 N 059 000800 Y 060 A000800 N 060 B000800 N 061 000800 5000000 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 Y 066 E000800 N 066 F000800 N 066 G000800 N 067 000800 N 068 A000800 N PAGE 30 068 B000800 N 069 000800 N 070 A010800 Y 070 A020800 Y 070 B010800 Y 070 B020800 N 070 C010800 N 070 C020800 N 070 D010800 Y 070 D020800 N 070 E010800 N 070 E020800 N 070 F010800 Y 070 F020800 Y 070 G010800 Y 070 G020800 N 070 H010800 Y 070 H020800 N 070 I010800 Y 070 I020800 N 070 J010800 Y 070 J020800 N 070 K010800 Y 070 K020800 N 070 L010800 Y 070 L020800 N 070 M010800 N 070 M020800 N 070 N010800 Y 070 N020800 Y 070 O010800 Y 070 O020800 N 070 P010800 Y 070 P020800 N 070 Q010800 N 070 Q020800 N 070 R010800 N 070 R020800 N 071 A000800 81440 071 B000800 202377 071 C000800 63911 071 D000800 127 072 A000800 12 072 B000800 8 072 C000800 1454 072 D000800 0 072 E000800 0 072 F000800 286 072 G000800 0 072 H000800 0 072 I000800 0 PAGE 31 072 J000800 42 072 K000800 0 072 L000800 0 072 M000800 1 072 N000800 21 072 O000800 0 072 P000800 0 072 Q000800 0 072 R000800 44 072 S000800 5 072 T000800 22 072 U000800 0 072 V000800 0 072 W000800 109 072 X000800 530 072 Y000800 123 072 Z000800 1055 072AA000800 0 072BB000800 6813 072CC010800 19246 072CC020800 0 072DD010800 1146 072DD020800 163 072EE000800 0 073 A010800 0.1650 073 A020800 0.1440 073 B000800 0.0000 073 C000800 0.0000 074 A000800 0 074 B000800 2076 074 C000800 245 074 D000800 0 074 E000800 0 074 F000800 56686 074 G000800 0 074 H000800 0 074 I000800 145 074 J000800 2153 074 K000800 11 074 L000800 102 074 M000800 0 074 N000800 61418 074 O000800 626 074 P000800 34 074 Q000800 0 074 R010800 0 074 R020800 0 074 R030800 0 074 R040800 2938 074 S000800 0 074 T000800 57820 PAGE 32 074 U010800 5052 074 U020800 1178 074 V010800 9.28 074 V020800 9.26 074 W000800 0.0000 074 X000800 54 074 Y000800 0 075 A000800 0 075 B000800 67358 076 000800 0.00 015 A000901 INVESTORS BANK & TRUST COMPANY 015 B000901 C 015 C010901 BOSTON 015 C020901 MA 015 C030901 02116 015 E010901 X 024 000900 Y 025 A000901 BEAR STEARNS & CO., INC. 025 B000901 13-3299429 025 C000901 E 025 D000901 2092 025 A000902 CITIGROUP, INC. 025 B000902 52-1568099 025 C000902 E 025 D000902 10499 025 A000903 LEHMAN BROTHERS, INC. 025 B000903 13-2518466 025 C000903 E 025 D000903 971 025 A000904 J.P. MORGAN CHASE & CO. 025 B000904 13-3224016 025 C000904 E 025 D000904 13694 025 A000905 MERRILL LYNCH & CO., INC. 025 B000905 13-5674085 025 C000905 E 025 D000905 4260 025 A000906 MORGAN STANLEY & CO,. INC. 025 B000906 13-2655998 025 C000906 E 025 D000906 3376 025 A000907 CITIGROUP, INC. 025 B000907 52-1568099 025 C000907 D 025 D000907 18848 025 A000908 DELETE 025 D000908 0 028 A010900 9412 028 A020900 0 028 A030900 0 028 A040900 15023 PAGE 33 028 B010900 1500 028 B020900 1654 028 B030900 0 028 B040900 28000 028 C010900 3975 028 C020900 0 028 C030900 0 028 C040900 81 028 D010900 0 028 D020900 1897 028 D030900 0 028 D040900 900 028 E010900 0 028 E020900 0 028 E030900 0 028 E040900 66322 028 F010900 250 028 F020900 0 028 F030900 0 028 F040900 350 028 G010900 15137 028 G020900 3551 028 G030900 0 028 G040900 110676 028 H000900 0 037 000900 N 038 000900 0 039 000900 N 040 000900 Y 041 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 PAGE 34 048 D020900 0.000 048 E010900 0 048 E020900 0.000 048 F010900 0 048 F020900 0.000 048 G010900 0 048 G020900 0.000 048 H010900 0 048 H020900 0.000 048 I010900 0 048 I020900 0.000 048 J010900 0 048 J020900 0.000 048 K010900 0 048 K020900 0.000 049 000900 N 050 000900 N 051 000900 N 052 000900 N 053 A000900 Y 053 B000900 Y 053 C000900 N 055 A000900 N 055 B000900 N 056 000900 Y 057 000900 N 058 A000900 N 059 000900 Y 060 A000900 Y 060 B000900 Y 061 000900 5000000 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 PAGE 35 066 C000900 N 066 D000900 Y 066 E000900 N 066 F000900 N 066 G000900 N 067 000900 N 068 A000900 N 068 B000900 N 069 000900 N 070 A010900 Y 070 A020900 Y 070 B010900 Y 070 B020900 N 070 C010900 N 070 C020900 N 070 D010900 Y 070 D020900 N 070 E010900 N 070 E020900 N 070 F010900 Y 070 F020900 Y 070 G010900 Y 070 G020900 N 070 H010900 Y 070 H020900 N 070 I010900 Y 070 I020900 N 070 J010900 Y 070 J020900 N 070 K010900 Y 070 K020900 N 070 L010900 N 070 L020900 N 070 M010900 N 070 M020900 N 070 N010900 Y 070 N020900 Y 070 O010900 Y 070 O020900 N 070 P010900 Y 070 P020900 N 070 Q010900 N 070 Q020900 N 070 R010900 N 070 R020900 N 071 A000900 346422 071 B000900 410783 071 C000900 546569 071 D000900 63 072 A000900 12 072 B000900 67 PAGE 36 072 C000900 9855 072 D000900 0 072 E000900 0 072 F000900 1880 072 G000900 0 072 H000900 0 072 I000900 0 072 J000900 108 072 K000900 0 072 L000900 0 072 M000900 12 072 N000900 9 072 O000900 0 072 P000900 0 072 Q000900 0 072 R000900 48 072 S000900 31 072 T000900 0 072 U000900 0 072 V000900 0 072 W000900 706 072 X000900 2794 072 Y000900 215 072 Z000900 7343 072AA000900 14917 072BB000900 0 072CC010900 155718 072CC020900 0 072DD010900 2594 072DD020900 4884 072EE000900 0 073 A010900 0.1300 073 A020900 0.1340 073 B000900 0.0000 073 C000900 0.0000 074 A000900 1 074 B000900 18848 074 C000900 12193 074 D000900 0 074 E000900 0 074 F000900 568380 074 G000900 0 074 H000900 0 074 I000900 6384 074 J000900 5904 074 K000900 20 074 L000900 738 074 M000900 0 074 N000900 612468 074 O000900 12198 074 P000900 209 PAGE 37 074 Q000900 0 074 R010900 0 074 R020900 0 074 R030900 0 074 R040900 17237 074 S000900 0 074 T000900 582824 074 U010900 16013 074 U020900 33537 074 V010900 11.76 074 V020900 11.76 074 W000900 0.0000 074 X000900 29 074 Y000900 1398 075 A000900 0 075 B000900 565770 076 000900 0.00 015 A001101 INVESTORS BANK & TRUST COMPANY 015 B001101 C 015 C011101 BOSTON 015 C021101 MA 015 C031101 02116 015 E011101 X 024 001100 Y 025 A001101 CITIGROUP, INC. 025 B001101 52-1568099 025 C001101 D 025 D001101 7713 025 D001102 0 025 D001103 0 025 D001104 0 025 D001105 0 025 D001106 0 025 D001107 0 025 D001108 0 028 A011100 4571 028 A021100 0 028 A031100 0 028 A041100 689 028 B011100 8313 028 B021100 529 028 B031100 0 028 B041100 1182 028 C011100 6647 028 C021100 0 028 C031100 0 028 C041100 1531 028 D011100 3939 028 D021100 1711 028 D031100 0 028 D041100 2720 PAGE 38 028 E011100 6139 028 E021100 0 028 E031100 0 028 E041100 17364 028 F011100 5853 028 F021100 0 028 F031100 0 028 F041100 66169 028 G011100 35462 028 G021100 2240 028 G031100 0 028 G041100 89655 028 H001100 0 037 001100 Y 038 001100 354 039 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 PAGE 39 048 J021100 0.000 048 K011100 0 048 K021100 0.000 049 001100 N 050 001100 N 051 001100 N 052 001100 N 053 A001100 Y 053 B001100 Y 053 C001100 N 055 A001100 Y 055 B001100 N 056 001100 Y 057 001100 N 058 A001100 N 059 001100 Y 060 A001100 Y 060 B001100 Y 061 001100 5000000 062 A001100 N 062 B001100 0.0 062 C001100 0.0 062 D001100 0.0 062 E001100 0.0 062 F001100 0.0 062 G001100 0.0 062 H001100 0.0 062 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 N 066 D001100 Y 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 PAGE 40 070 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 Y 070 I021100 N 070 J011100 Y 070 J021100 N 070 K011100 Y 070 K021100 N 070 L011100 N 070 L021100 N 070 M011100 N 070 M021100 N 070 N011100 Y 070 N021100 Y 070 O011100 Y 070 O021100 N 070 P011100 Y 070 P021100 N 070 Q011100 N 070 Q021100 N 070 R011100 N 070 R021100 N 071 A001100 156482 071 B001100 206418 071 C001100 181471 071 D001100 86 072 A001100 12 072 B001100 72 072 C001100 3230 072 D001100 0 072 E001100 0 072 F001100 642 072 G001100 0 072 H001100 0 072 I001100 0 072 J001100 60 072 K001100 0 072 L001100 0 072 M001100 4 072 N001100 37 PAGE 41 072 O001100 0 072 P001100 0 072 Q001100 0 072 R001100 44 072 S001100 9 072 T001100 0 072 U001100 0 072 V001100 0 072 W001100 296 072 X001100 1092 072 Y001100 154 072 Z001100 2364 072AA001100 35965 072BB001100 0 072CC011100 49201 072CC021100 0 072DD011100 2339 072DD021100 0 072EE001100 1588 073 A011100 0.1520 073 A021100 0.0000 073 B001100 0.0990 073 C001100 0.0000 074 A001100 2 074 B001100 7713 074 C001100 7458 074 D001100 0 074 E001100 0 074 F001100 175870 074 G001100 0 074 H001100 0 074 I001100 4056 074 J001100 5610 074 K001100 13 074 L001100 350 074 M001100 0 074 N001100 201072 074 O001100 2284 074 P001100 88 074 Q001100 0 074 R011100 0 074 R021100 0 074 R031100 0 074 R041100 19432 074 S001100 0 074 T001100 179268 074 U011100 11556 074 U021100 0 074 V011100 15.51 074 V021100 0.00 074 W001100 0.0000 PAGE 42 074 X001100 122 074 Y001100 599 075 A001100 0 075 B001100 190649 076 001100 0.00 015 A001301 BROWN BROTHERS HARRIMAN & CO. 015 B001301 C 015 C011301 BOSTON 015 C021301 MA 015 C031301 02109 015 E011301 X 024 001300 N 028 A011300 17591 028 A021300 0 028 A031300 0 028 A041300 22433 028 B011300 38806 028 B021300 0 028 B031300 0 028 B041300 12418 028 C011300 31675 028 C021300 0 028 C031300 0 028 C041300 13797 028 D011300 68131 028 D021300 36052 028 D031300 0 028 D041300 28786 028 E011300 129114 028 E021300 0 028 E031300 0 028 E041300 57932 028 F011300 31348 028 F021300 0 028 F031300 0 028 F041300 20522 028 G011300 316665 028 G021300 36052 028 G031300 0 028 G041300 155888 028 H001300 0 037 001300 Y 038 001300 252 039 001300 N 040 001300 N 041 001300 N 042 A001300 0 042 B001300 0 042 C001300 0 042 D001300 0 042 E001300 0 PAGE 43 042 F001300 0 042 G001300 0 042 H001300 0 043 001300 0 044 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 0.000 049 001300 N 050 001300 N 051 001300 N 052 001300 N 053 A001300 Y 053 B001300 Y 053 C001300 N 055 A001300 N 055 B001300 N 056 001300 Y 057 001300 N 058 A001300 N 059 001300 Y 060 A001300 Y 060 B001300 Y 061 001300 5000000 062 A001300 N 062 B001300 0.0 062 C001300 0.0 062 D001300 0.0 PAGE 44 062 E001300 0.0 062 F001300 0.0 062 G001300 0.0 062 H001300 0.0 062 I001300 0.0 062 J001300 0.0 062 K001300 0.0 062 L001300 0.0 062 M001300 0.0 062 N001300 0.0 062 O001300 0.0 062 P001300 0.0 062 Q001300 0.0 062 R001300 0.0 066 A001300 Y 066 B001300 N 066 C001300 N 066 D001300 Y 066 E001300 N 066 F001300 N 066 G001300 N 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 Y 070 I021300 N 070 J011300 Y 070 J021300 Y 070 K011300 Y 070 K021300 Y 070 L011300 Y 070 L021300 Y 070 M011300 Y 070 M021300 Y PAGE 45 070 N011300 Y 070 N021300 Y 070 O011300 Y 070 O021300 N 070 P011300 Y 070 P021300 Y 070 Q011300 N 070 Q021300 N 070 R011300 N 070 R021300 N 071 A001300 905880 071 B001300 450289 071 C001300 976521 071 D001300 46 072 A001300 12 072 B001300 2630 072 C001300 21914 072 D001300 0 072 E001300 0 072 F001300 6249 072 G001300 0 072 H001300 0 072 I001300 34 072 J001300 1148 072 K001300 0 072 L001300 0 072 M001300 21 072 N001300 59 072 O001300 0 072 P001300 0 072 Q001300 0 072 R001300 60 072 S001300 42 072 T001300 0 072 U001300 0 072 V001300 0 072 W001300 1607 072 X001300 9220 072 Y001300 1386 072 Z001300 16710 072AA001300 118398 072BB001300 0 072CC011300 482847 072CC021300 0 072DD011300 16459 072DD021300 0 072EE001300 30035 073 A011300 0.2020 073 A021300 0.0000 073 B001300 0.3500 073 C001300 0.0000 PAGE 46 074 A001300 76 074 B001300 0 074 C001300 246840 074 D001300 0 074 E001300 37917 074 F001300 1495354 074 G001300 0 074 H001300 0 074 I001300 868 074 J001300 0 074 K001300 151 074 L001300 25686 074 M001300 729 074 N001300 1807621 074 O001300 0 074 P001300 939 074 Q001300 0 074 R011300 0 074 R021300 0 074 R031300 0 074 R041300 214218 074 S001300 0 074 T001300 1592464 074 U011300 93168 074 U021300 0 074 V011300 17.09 074 V021300 0.00 074 W001300 0.0000 074 X001300 255 074 Y001300 5996 075 A001300 0 075 B001300 1037627 076 001300 0.00 015 A001401 INVESTORS BANK & TRUST COMPANY 015 B001401 C 015 C011401 BOSTON 015 C021401 MA 015 C031401 02116 015 E011401 X 024 001400 Y 025 A001401 CITIGROUP, INC. 025 B001401 52-1568099 025 C001401 D 025 D001401 8 025 D001402 0 025 D001403 0 025 D001404 0 025 D001405 0 025 D001406 0 025 D001407 0 025 D001408 0 PAGE 47 028 A011400 300 028 A021400 0 028 A031400 0 028 A041400 353 028 B011400 15300 028 B021400 0 028 B031400 0 028 B041400 700 028 C011400 0 028 C021400 0 028 C031400 0 028 C041400 0 028 D011400 1 028 D021400 0 028 D031400 0 028 D041400 51 028 E011400 0 028 E021400 0 028 E031400 0 028 E041400 234 028 F011400 89 028 F021400 0 028 F031400 0 028 F041400 0 028 G011400 15690 028 G021400 0 028 G031400 0 028 G041400 1338 028 H001400 0 037 001400 Y 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 PAGE 48 048 B021400 0.000 048 C011400 0 048 C021400 0.000 048 D011400 0 048 D021400 0.000 048 E011400 0 048 E021400 0.000 048 F011400 0 048 F021400 0.000 048 G011400 0 048 G021400 0.000 048 H011400 0 048 H021400 0.000 048 I011400 0 048 I021400 0.000 048 J011400 0 048 J021400 0.000 048 K011400 0 048 K021400 0.000 049 001400 N 050 001400 N 051 001400 N 052 001400 N 053 A001400 Y 053 B001400 Y 053 C001400 N 055 A001400 N 055 B001400 N 056 001400 Y 057 001400 N 058 A001400 N 059 001400 Y 060 A001400 N 060 B001400 N 061 001400 5000000 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 PAGE 49 062 Q001400 0.0 062 R001400 0.0 066 A001400 Y 066 B001400 N 066 C001400 N 066 D001400 Y 066 E001400 N 066 F001400 N 066 G001400 N 067 001400 N 068 A001400 N 068 B001400 N 069 001400 N 070 A011400 Y 070 A021400 Y 070 B011400 Y 070 B021400 N 070 C011400 N 070 C021400 N 070 D011400 Y 070 D021400 N 070 E011400 N 070 E021400 N 070 F011400 Y 070 F021400 N 070 G011400 Y 070 G021400 N 070 H011400 Y 070 H021400 N 070 I011400 Y 070 I021400 N 070 J011400 Y 070 J021400 N 070 K011400 Y 070 K021400 Y 070 L011400 Y 070 L021400 N 070 M011400 N 070 M021400 N 070 N011400 Y 070 N021400 N 070 O011400 Y 070 O021400 N 070 P011400 Y 070 P021400 N 070 Q011400 N 070 Q021400 N 070 R011400 N 070 R021400 N 071 A001400 54433 071 B001400 7475 PAGE 50 071 C001400 44835 071 D001400 17 072 A001400 12 072 B001400 3 072 C001400 635 072 D001400 0 072 E001400 0 072 F001400 147 072 G001400 0 072 H001400 0 072 I001400 0 072 J001400 7 072 K001400 0 072 L001400 0 072 M001400 1 072 N001400 13 072 O001400 0 072 P001400 0 072 Q001400 0 072 R001400 22 072 S001400 1 072 T001400 0 072 U001400 0 072 V001400 0 072 W001400 68 072 X001400 259 072 Y001400 259 072 Z001400 638 072AA001400 154 072BB001400 0 072CC011400 13162 072CC021400 0 072DD011400 135 072DD021400 0 072EE001400 561 073 A011400 0.0180 073 A021400 0.0000 073 B001400 0.0750 073 C001400 0.0000 074 A001400 0 074 B001400 8 074 C001400 0 074 D001400 0 074 E001400 0 074 F001400 0 074 G001400 0 074 H001400 0 074 I001400 73355 074 J001400 0 074 K001400 35 074 L001400 0 PAGE 51 074 M001400 0 074 N001400 73398 074 O001400 0 074 P001400 28 074 Q001400 0 074 R011400 0 074 R021400 0 074 R031400 0 074 R041400 28 074 S001400 0 074 T001400 73342 074 U011400 11467 074 U021400 0 074 V011400 6.40 074 V021400 0.00 074 W001400 0.0000 074 X001400 13 074 Y001400 0 075 A001400 0 075 B001400 44833 076 001400 0.00 015 A001501 BROWN BROTHERS HARRIMAN & CO. 015 B001501 C 015 C011501 BOSTON 015 C021501 MA 015 C031501 02109 015 E011501 X 024 001500 N 028 A011500 325766 028 A021500 0 028 A031500 0 028 A041500 33369 028 B011500 430241 028 B021500 0 028 B031500 0 028 B041500 236679 028 C011500 504335 028 C021500 0 028 C031500 0 028 C041500 57495 028 D011500 286802 028 D021500 60466 028 D031500 0 028 D041500 60202 028 E011500 502361 028 E021500 0 028 E031500 0 028 E041500 365162 028 F011500 354772 028 F021500 0 028 F031500 0 PAGE 52 028 F041500 302596 028 G011500 2404277 028 G021500 60466 028 G031500 0 028 G041500 1055503 028 H001500 0 037 001500 Y 038 001500 384 039 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 0 048 K021500 0.000 049 001500 N 050 001500 N 051 001500 N 052 001500 N PAGE 53 053 A001500 Y 053 B001500 Y 053 C001500 N 055 A001500 N 055 B001500 N 056 001500 Y 057 001500 N 058 A001500 N 059 001500 Y 060 A001500 N 060 B001500 N 061 001500 5000000 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 N 066 D001500 Y 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 PAGE 54 070 F011500 Y 070 F021500 N 070 G011500 Y 070 G021500 N 070 H011500 Y 070 H021500 N 070 I011500 Y 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 N 070 P011500 Y 070 P021500 N 070 Q011500 N 070 Q021500 N 070 R011500 N 070 R021500 N 071 A001500 4276247 071 B001500 1912834 071 C001500 4185914 071 D001500 46 072 A001500 12 072 B001500 4263 072 C001500 125321 072 D001500 0 072 E001500 0 072 F001500 35125 072 G001500 0 072 H001500 0 072 I001500 65 072 J001500 6959 072 K001500 0 072 L001500 0 072 M001500 87 072 N001500 287 072 O001500 0 072 P001500 0 072 Q001500 0 072 R001500 208 072 S001500 231 072 T001500 0 072 U001500 0 PAGE 55 072 V001500 0 072 W001500 5585 072 X001500 48547 072 Y001500 708 072 Z001500 81745 072AA001500 380067 072BB001500 0 072CC011500 2185931 072CC021500 0 072DD011500 59919 072DD021500 37390 072EE001500 0 073 A011500 0.0000 073 A021500 0.0000 073 B001500 0.0000 073 C001500 0.0000 074 A001500 17 074 B001500 0 074 C001500 99453 074 D001500 30278 074 E001500 1099893 074 F001500 5652391 074 G001500 0 074 H001500 0 074 I001500 169766 074 J001500 30 074 K001500 188 074 L001500 88434 074 M001500 71130 074 N001500 7211580 074 O001500 2979 074 P001500 5160 074 Q001500 0 074 R011500 0 074 R021500 0 074 R031500 0 074 R041500 62504 074 S001500 0 074 T001500 7140937 074 U011500 258558 074 U021500 194323 074 V011500 0.00 074 V021500 0.00 074 W001500 0.0000 074 X001500 632 074 Y001500 19640 075 A001500 0 075 B001500 4312567 076 001500 0.00 015 A001601 INVESTORS BANK & TRUST COMPANY 015 B001601 C PAGE 56 015 C011601 BOSTON 015 C021601 MA 015 C031601 02116 015 E011601 X 024 001600 N 028 A011600 7473 028 A021600 0 028 A031600 0 028 A041600 1855 028 B011600 7800 028 B021600 0 028 B031600 0 028 B041600 4854 028 C011600 7010 028 C021600 0 028 C031600 0 028 C041600 2907 028 D011600 18137 028 D021600 11654 028 D031600 0 028 D041600 2884 028 E011600 27124 028 E021600 0 028 E031600 0 028 E041600 7640 028 F011600 40537 028 F021600 0 028 F031600 0 028 F041600 2 028 G011600 108081 028 G021600 11654 028 G031600 0 028 G041600 20142 028 H001600 0 037 001600 N 038 001600 0 039 001600 N 040 001600 Y 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 PAGE 57 047 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 0.000 049 001600 N 050 001600 N 051 001600 N 052 001600 N 053 A001600 Y 053 B001600 Y 053 C001600 N 055 A001600 N 055 B001600 N 056 001600 Y 057 001600 N 058 A001600 N 059 001600 Y 060 A001600 N 060 B001600 N 061 001600 5000000 062 A001600 Y 062 B001600 0.0 062 C001600 0.0 062 D001600 0.0 062 E001600 0.0 062 F001600 0.0 062 G001600 0.0 062 H001600 0.0 062 I001600 0.0 062 J001600 0.0 062 K001600 2.4 PAGE 58 062 L001600 0.0 062 M001600 1.9 062 N001600 0.0 062 O001600 0.0 062 P001600 0.0 062 Q001600 9.9 062 R001600 86.2 063 A001600 0 063 B001600 3.8 064 A001600 Y 064 B001600 N 066 A001600 N 067 001600 N 068 A001600 N 068 B001600 N 069 001600 N 070 A011600 Y 070 A021600 Y 070 B011600 Y 070 B021600 N 070 C011600 Y 070 C021600 Y 070 D011600 Y 070 D021600 N 070 E011600 Y 070 E021600 Y 070 F011600 Y 070 F021600 N 070 G011600 Y 070 G021600 Y 070 H011600 Y 070 H021600 N 070 I011600 Y 070 I021600 N 070 J011600 Y 070 J021600 Y 070 K011600 Y 070 K021600 Y 070 L011600 Y 070 L021600 Y 070 M011600 Y 070 M021600 Y 070 N011600 Y 070 N021600 N 070 O011600 Y 070 O021600 N 070 P011600 Y 070 P021600 N 070 Q011600 N 070 Q021600 N 070 R011600 N PAGE 59 070 R021600 N 071 A001600 185669 071 B001600 42095 071 C001600 161473 071 D001600 26 072 A001600 12 072 B001600 1421 072 C001600 2600 072 D001600 0 072 E001600 0 072 F001600 424 072 G001600 0 072 H001600 0 072 I001600 0 072 J001600 85 072 K001600 0 072 L001600 0 072 M001600 4 072 N001600 20 072 O001600 0 072 P001600 0 072 Q001600 0 072 R001600 52 072 S001600 11 072 T001600 0 072 U001600 0 072 V001600 0 072 W001600 261 072 X001600 857 072 Y001600 202 072 Z001600 3366 072AA001600 24590 072BB001600 0 072CC011600 6805 072CC021600 0 072DD011600 12911 072DD021600 0 072EE001600 13545 073 A011600 0.7050 073 A021600 0.0000 073 B001600 0.9880 073 C001600 0.0000 074 A001600 0 074 B001600 0 074 C001600 0 074 D001600 32095 074 E001600 0 074 F001600 0 074 G001600 0 074 H001600 0 074 I001600 240132 PAGE 60 074 J001600 0 074 K001600 22 074 L001600 5899 074 M001600 344 074 N001600 278492 074 O001600 1000 074 P001600 85 074 Q001600 0 074 R011600 0 074 R021600 0 074 R031600 0 074 R041600 6392 074 S001600 0 074 T001600 271015 074 U011600 26115 074 U021600 0 074 V011600 10.38 074 V021600 0.00 074 W001600 0.0000 074 X001600 53 074 Y001600 2342 075 A001600 0 075 B001600 171434 076 001600 0.00 015 A001701 INVESTORS BANK & TRUST COMPANY 015 B001701 C 015 C011701 BOSTON 015 C021701 MA 015 C031701 02116 015 E011701 X 024 001700 N 028 A011700 32151 028 A021700 0 028 A031700 0 028 A041700 917 028 B011700 75024 028 B021700 0 028 B031700 0 028 B041700 85936 028 C011700 39150 028 C021700 0 028 C031700 0 028 C041700 3512 028 D011700 269618 028 D021700 172898 028 D031700 0 028 D041700 66938 028 E011700 261209 028 E021700 0 028 E031700 0 028 E041700 68346 PAGE 61 028 F011700 116755 028 F021700 0 028 F031700 0 028 F041700 24716 028 G011700 793907 028 G021700 172898 028 G031700 0 028 G041700 250365 028 H001700 0 037 001700 Y 038 001700 1133 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 0.350 048 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 0.000 049 001700 N PAGE 62 050 001700 N 051 001700 N 052 001700 N 053 A001700 N 055 A001700 N 055 B001700 N 056 001700 Y 057 001700 N 058 A001700 N 059 001700 Y 060 A001700 N 060 B001700 N 061 001700 5000000 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 3.2 062 J001700 0.1 062 K001700 0.4 062 L001700 0.0 062 M001700 4.8 062 N001700 0.0 062 O001700 0.0 062 P001700 0.4 062 Q001700 86.7 062 R001700 4.9 063 A001700 0 063 B001700 17.0 064 A001700 Y 064 B001700 Y 065 001700 N 066 A001700 N 067 001700 N 068 A001700 N 068 B001700 Y 069 001700 N 070 A011700 Y 070 A021700 Y 070 B011700 Y 070 B021700 N 070 C011700 Y 070 C021700 Y 070 D011700 Y 070 D021700 N 070 E011700 Y 070 E021700 Y PAGE 63 070 F011700 Y 070 F021700 N 070 G011700 Y 070 G021700 Y 070 H011700 Y 070 H021700 N 070 I011700 Y 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 N 070 P011700 Y 070 P021700 N 070 Q011700 N 070 Q021700 N 070 R011700 N 070 R021700 N 071 A001700 2329666 071 B001700 1976837 071 C001700 1656951 071 D001700 119 072 A001700 12 072 B001700 166333 072 C001700 637 072 D001700 0 072 E001700 0 072 F001700 5675 072 G001700 0 072 H001700 0 072 I001700 0 072 J001700 884 072 K001700 0 072 L001700 0 072 M001700 38 072 N001700 47 072 O001700 0 072 P001700 1227 072 Q001700 0 072 R001700 129 072 S001700 92 072 T001700 0 072 U001700 0 PAGE 64 072 V001700 0 072 W001700 2097 072 X001700 10189 072 Y001700 0 072 Z001700 156781 072AA001700 99541 072BB001700 0 072CC011700 151981 072CC021700 0 072DD011700 86270 072DD021700 63685 072EE001700 105216 073 A011700 1.0580 073 A021700 1.0630 073 B001700 0.7590 073 C001700 0.0000 074 A001700 0 074 B001700 0 074 C001700 71875 074 D001700 1988103 074 E001700 0 074 F001700 0 074 G001700 0 074 H001700 0 074 I001700 115553 074 J001700 28685 074 K001700 0 074 L001700 86132 074 M001700 2876 074 N001700 2293224 074 O001700 7694 074 P001700 809 074 Q001700 0 074 R011700 107864 074 R021700 0 074 R031700 0 074 R041700 12619 074 S001700 0 074 T001700 2164238 074 U011700 88054 074 U021700 117818 074 V011700 10.51 074 V021700 10.51 074 W001700 0.0000 074 X001700 306 074 Y001700 69210 075 A001700 0 075 B001700 1625689 076 001700 0.00 015 A001801 BROWN BROTHERS HARRIMAN & CO. 015 B001801 C PAGE 65 015 C011801 BOSTON 015 C021801 MA 015 C031801 02111 015 E011801 X 024 001800 N 028 A011800 3002 028 A021800 0 028 A031800 0 028 A041800 0 028 B011800 4900 028 B021800 0 028 B031800 0 028 B041800 4410 028 C011800 4316 028 C021800 0 028 C031800 0 028 C041800 0 028 D011800 6436 028 D021800 0 028 D031800 0 028 D041800 1 028 E011800 5245 028 E021800 0 028 E031800 0 028 E041800 1243 028 F011800 6331 028 F021800 0 028 F031800 0 028 F041800 0 028 G011800 30230 028 G021800 0 028 G031800 0 028 G041800 5654 028 H001800 0 037 001800 Y 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 PAGE 66 047 001800 Y 048 001800 0.500 048 A011800 0 048 A021800 0.000 048 B011800 0 048 B021800 0.000 048 C011800 0 048 C021800 0.000 048 D011800 0 048 D021800 0.000 048 E011800 0 048 E021800 0.000 048 F011800 0 048 F021800 0.000 048 G011800 0 048 G021800 0.000 048 H011800 0 048 H021800 0.000 048 I011800 0 048 I021800 0.000 048 J011800 0 048 J021800 0.000 048 K011800 0 048 K021800 0.000 049 001800 N 050 001800 N 051 001800 N 052 001800 N 053 A001800 Y 053 B001800 Y 053 C001800 N 055 A001800 N 055 B001800 N 056 001800 Y 057 001800 N 058 A001800 N 059 001800 Y 060 A001800 N 060 B001800 N 061 001800 5000000 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 PAGE 67 062 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 Y 066 E001800 N 066 F001800 N 066 G001800 N 067 001800 N 068 A001800 N 068 B001800 N 069 001800 N 070 A011800 Y 070 A021800 N 070 B011800 Y 070 B021800 N 070 C011800 N 070 C021800 N 070 D011800 Y 070 D021800 N 070 E011800 N 070 E021800 N 070 F011800 Y 070 F021800 Y 070 G011800 Y 070 G021800 N 070 H011800 Y 070 H021800 N 070 I011800 Y 070 I021800 N 070 J011800 Y 070 J021800 N 070 K011800 Y 070 K021800 Y 070 L011800 Y 070 L021800 Y 070 M011800 Y 070 M021800 Y 070 N011800 Y 070 N021800 N 070 O011800 Y 070 O021800 N 070 P011800 Y 070 P021800 N 070 Q011800 N PAGE 68 070 Q021800 N 070 R011800 N 070 R021800 N 071 A001800 32324 071 B001800 4600 071 C001800 42075 071 D001800 11 072 A001800 12 072 B001800 61 072 C001800 874 072 D001800 0 072 E001800 0 072 F001800 235 072 G001800 0 072 H001800 0 072 I001800 32 072 J001800 77 072 K001800 0 072 L001800 0 072 M001800 1 072 N001800 12 072 O001800 0 072 P001800 0 072 Q001800 0 072 R001800 33 072 S001800 2 072 T001800 0 072 U001800 0 072 V001800 0 072 W001800 71 072 X001800 463 072 Y001800 339 072 Z001800 811 072AA001800 0 072BB001800 8453 072CC011800 9567 072CC021800 0 072DD011800 0 072DD021800 0 072EE001800 0 073 A011800 0.0000 073 A021800 0.0000 073 B001800 0.0000 073 C001800 0.0000 074 A001800 98 074 B001800 0 074 C001800 9298 074 D001800 0 074 E001800 0 074 F001800 0 074 G001800 0 PAGE 69 074 H001800 0 074 I001800 66943 074 J001800 0 074 K001800 40 074 L001800 377 074 M001800 1 074 N001800 76757 074 O001800 0 074 P001800 37 074 Q001800 0 074 R011800 0 074 R021800 0 074 R031800 0 074 R041800 1879 074 S001800 0 074 T001800 74841 074 U011800 7494 074 U021800 0 074 V011800 9.99 074 V021800 0.00 074 W001800 0.0000 074 X001800 26 074 Y001800 3798 075 A001800 0 075 B001800 47255 076 001800 0.00 015 A001901 INVESTORS BANK & TRUST COMPANY 015 B001901 C 015 C011901 BOSTON 015 C021901 MA 015 C031901 02116 015 E011901 X 024 001900 N 028 A011900 14012 028 A021900 0 028 A031900 0 028 A041900 118 028 B011900 31359 028 B021900 954 028 B031900 0 028 B041900 8964 028 C011900 26531 028 C021900 0 028 C031900 0 028 C041900 38 028 D011900 42075 028 D021900 4742 028 D031900 0 028 D041900 3691 028 E011900 40460 028 E021900 0 PAGE 70 028 E031900 0 028 E041900 9393 028 F011900 39773 028 F021900 0 028 F031900 0 028 F041900 465 028 G011900 194210 028 G021900 5696 028 G031900 0 028 G041900 22669 028 H001900 0 037 001900 N 038 001900 0 039 001900 N 040 001900 Y 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 71 048 K021900 0.000 049 001900 N 050 001900 N 051 001900 N 052 001900 N 053 A001900 Y 053 B001900 Y 053 C001900 N 055 A001900 N 055 B001900 N 056 001900 Y 057 001900 N 058 A001900 N 059 001900 Y 060 A001900 N 060 B001900 N 061 001900 5000000 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 0.0 062 J001900 0.0 062 K001900 0.0 062 L001900 0.0 062 M001900 1.1 062 N001900 8.5 062 O001900 0.0 062 P001900 0.8 062 Q001900 2.0 062 R001900 87.6 063 A001900 0 063 B001900 4.3 064 A001900 Y 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 PAGE 72 070 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 Y 070 I021900 N 070 J011900 Y 070 J021900 Y 070 K011900 Y 070 K021900 Y 070 L011900 Y 070 L021900 Y 070 M011900 N 070 M021900 N 070 N011900 Y 070 N021900 N 070 O011900 Y 070 O021900 N 070 P011900 Y 070 P021900 N 070 Q011900 N 070 Q021900 N 070 R011900 N 070 R021900 N 071 A001900 290038 071 B001900 30243 071 C001900 206662 071 D001900 15 072 A001900 12 072 B001900 1336 072 C001900 3901 072 D001900 0 072 E001900 0 072 F001900 205 072 G001900 0 072 H001900 0 072 I001900 0 072 J001900 34 072 K001900 0 072 L001900 0 072 M001900 4 072 N001900 30 072 O001900 0 072 P001900 0 072 Q001900 0 072 R001900 40 PAGE 73 072 S001900 12 072 T001900 0 072 U001900 0 072 V001900 0 072 W001900 315 072 X001900 640 072 Y001900 121 072 Z001900 4718 072AA001900 6717 072BB001900 0 072CC011900 1048 072CC021900 0 072DD011900 4606 072DD021900 0 072EE001900 5411 073 A011900 0.2010 073 A021900 0.0000 073 B001900 0.2780 073 C001900 0.0000 074 A001900 0 074 B001900 0 074 C001900 0 074 D001900 46455 074 E001900 5098 074 F001900 0 074 G001900 0 074 H001900 0 074 I001900 321576 074 J001900 0 074 K001900 28 074 L001900 3257 074 M001900 0 074 N001900 376414 074 O001900 3000 074 P001900 70 074 Q001900 0 074 R011900 0 074 R021900 0 074 R031900 0 074 R041900 67 074 S001900 0 074 T001900 373277 074 U011900 37075 074 U021900 0 074 V011900 10.07 074 V021900 0.00 074 W001900 0.0000 074 X001900 51 074 Y001900 2779 075 A001900 0 075 B001900 207980 PAGE 74 076 001900 0.00 015 A002001 INVESTORS BANK & TRUST COMPANY 015 B002001 C 015 C012001 BOSTON 015 C022001 MA 015 C032001 02116 015 E012001 X 024 002000 N 028 A012000 0 028 A022000 0 028 A032000 0 028 A042000 6 028 B012000 250 028 B022000 0 028 B032000 0 028 B042000 5 028 C012000 200 028 C022000 0 028 C032000 0 028 C042000 0 028 D012000 1005 028 D022000 0 028 D032000 0 028 D042000 27 028 E012000 136897 028 E022000 0 028 E032000 0 028 E042000 0 028 F012000 56427 028 F022000 0 028 F032000 0 028 F042000 0 028 G012000 194779 028 G022000 0 028 G032000 0 028 G042000 38 028 H002000 0 037 002000 N 038 002000 0 039 002000 N 040 002000 Y 041 002000 N 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 PAGE 75 044 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 0.000 049 002000 N 050 002000 N 051 002000 N 052 002000 N 053 A002000 Y 053 B002000 Y 053 C002000 N 055 A002000 N 055 B002000 N 056 002000 Y 057 002000 N 058 A002000 N 059 002000 Y 060 A002000 N 060 B002000 N 061 002000 5000000 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 PAGE 76 062 I002000 0.0 062 J002000 0.0 062 K002000 2.2 062 L002000 0.0 062 M002000 3.5 062 N002000 0.0 062 O002000 0.0 062 P002000 0.0 062 Q002000 0.0 062 R002000 94.0 063 A002000 0 063 B002000 3.5 064 A002000 N 064 B002000 N 066 A002000 N 067 002000 N 068 A002000 N 068 B002000 N 069 002000 N 070 A012000 Y 070 A022000 Y 070 B012000 Y 070 B022000 N 070 C012000 Y 070 C022000 Y 070 D012000 Y 070 D022000 N 070 E012000 Y 070 E022000 Y 070 F012000 Y 070 F022000 N 070 G012000 Y 070 G022000 Y 070 H012000 Y 070 H022000 N 070 I012000 Y 070 I022000 N 070 J012000 Y 070 J022000 Y 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 Y 070 P022000 N PAGE 77 070 Q012000 N 070 Q022000 N 070 R012000 N 070 R022000 N 071 A002000 213596 071 B002000 16888 071 C002000 46956 071 D002000 36 072 A002000 12 072 B002000 85 072 C002000 399 072 D002000 0 072 E002000 0 072 F002000 114 072 G002000 0 072 H002000 0 072 I002000 0 072 J002000 29 072 K002000 0 072 L002000 0 072 M002000 0 072 N002000 8 072 O002000 0 072 P002000 0 072 Q002000 0 072 R002000 61 072 S002000 2 072 T002000 0 072 U002000 0 072 V002000 0 072 W002000 72 072 X002000 286 072 Y002000 111 072 Z002000 309 072AA002000 1051 072BB002000 0 072CC012000 5009 072CC022000 0 072DD012000 1183 072DD022000 0 072EE002000 0 073 A012000 0.5050 073 A022000 0.0000 073 B002000 0.0000 073 C002000 0.0000 074 A002000 752 074 B002000 0 074 C002000 0 074 D002000 7807 074 E002000 0 074 F002000 0 PAGE 78 074 G002000 0 074 H002000 0 074 I002000 214304 074 J002000 0 074 K002000 14 074 L002000 3253 074 M002000 0 074 N002000 226130 074 O002000 0 074 P002000 68 074 Q002000 0 074 R012000 0 074 R022000 0 074 R032000 0 074 R042000 3190 074 S002000 0 074 T002000 222872 074 U012000 24342 074 U022000 0 074 V012000 9.16 074 V022000 0.00 074 W002000 0.0000 074 X002000 37 074 Y002000 4295 075 A002000 0 075 B002000 48077 076 002000 0.00 015 A002101 BROWN BROTHERS HARRIMAN & CO. 015 B002101 C 015 C012101 BOSTON 015 C022101 MA 015 C032101 02109 015 E012101 X 024 002100 N 028 A012100 10443 028 A022100 0 028 A032100 0 028 A042100 150 028 B012100 15924 028 B022100 0 028 B032100 0 028 B042100 401 028 C012100 12581 028 C022100 0 028 C032100 0 028 C042100 0 028 D012100 17251 028 D022100 0 028 D032100 0 028 D042100 404 028 E012100 13607 PAGE 79 028 E022100 0 028 E032100 0 028 E042100 106 028 F012100 12718 028 F022100 0 028 F032100 0 028 F042100 750 028 G012100 82524 028 G022100 0 028 G032100 0 028 G042100 1811 028 H002100 0 037 002100 N 038 002100 0 039 002100 N 040 002100 Y 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 0 048 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 PAGE 80 048 K012100 0 048 K022100 0.000 049 002100 N 050 002100 N 051 002100 N 052 002100 N 053 A002100 Y 053 B002100 Y 053 C002100 N 055 A002100 N 055 B002100 N 056 002100 Y 057 002100 N 058 A002100 N 059 002100 Y 060 A002100 N 060 B002100 N 061 002100 5000000 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 Y 066 E002100 N 066 F002100 N 066 G002100 N 067 002100 N 068 A002100 N 068 B002100 Y 069 002100 N 070 A012100 Y 070 A022100 N 070 B012100 Y 070 B022100 N PAGE 81 070 C012100 N 070 C022100 N 070 D012100 Y 070 D022100 N 070 E012100 N 070 E022100 N 070 F012100 Y 070 F022100 N 070 G012100 Y 070 G022100 N 070 H012100 Y 070 H022100 N 070 I012100 Y 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 N 070 O012100 Y 070 O022100 N 070 P012100 Y 070 P022100 N 070 Q012100 N 070 Q022100 N 070 R012100 N 070 R022100 N 071 A002100 106414 071 B002100 4050 071 C002100 79017 071 D002100 5 072 A002100 12 072 B002100 24 072 C002100 2309 072 D002100 0 072 E002100 0 072 F002100 418 072 G002100 0 072 H002100 0 072 I002100 30 072 J002100 69 072 K002100 0 072 L002100 0 072 M002100 1 072 N002100 18 072 O002100 0 PAGE 82 072 P002100 0 072 Q002100 0 072 R002100 46 072 S002100 3 072 T002100 0 072 U002100 0 072 V002100 0 072 W002100 117 072 X002100 702 072 Y002100 673 072 Z002100 2304 072AA002100 0 072BB002100 4775 072CC012100 23396 072CC022100 0 072DD012100 0 072DD022100 0 072EE002100 0 073 A012100 0.0000 073 A022100 0.0000 073 B002100 0.0000 073 C002100 0.0000 074 A002100 17 074 B002100 0 074 C002100 6300 074 D002100 0 074 E002100 0 074 F002100 0 074 G002100 0 074 H002100 0 074 I002100 159614 074 J002100 0 074 K002100 98 074 L002100 1246 074 M002100 44 074 N002100 167319 074 O002100 700 074 P002100 83 074 Q002100 0 074 R012100 0 074 R022100 0 074 R032100 0 074 R042100 5950 074 S002100 0 074 T002100 160586 074 U012100 21895 074 U022100 0 074 V012100 7.33 074 V022100 0.00 074 W002100 0.0000 074 X002100 22 PAGE 83 074 Y002100 0 075 A002100 0 075 B002100 78816 076 002100 0.00 015 A002201 INVESTORS BANK & TRUST COMPANY 015 B002201 C 015 C012201 BOSTON 015 C022201 MA 015 C032201 02116 015 E012201 X 024 002200 N 028 A012200 0 028 A022200 0 028 A032200 0 028 A042200 8 028 B012200 0 028 B022200 0 028 B032200 0 028 B042200 6000 028 C012200 0 028 C022200 0 028 C032200 0 028 C042200 175 028 D012200 508 028 D022200 0 028 D032200 0 028 D042200 751 028 E012200 4000 028 E022200 0 028 E032200 0 028 E042200 410 028 F012200 800 028 F022200 0 028 F032200 0 028 F042200 0 028 G012200 5308 028 G022200 0 028 G032200 0 028 G042200 7344 028 H002200 0 037 002200 N 038 002200 0 039 002200 N 040 002200 Y 041 002200 N 042 A002200 0 042 B002200 0 042 C002200 0 042 D002200 0 042 E002200 0 042 F002200 0 PAGE 84 042 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 0 048 H022200 0.000 048 I012200 0 048 I022200 0.000 048 J012200 0 048 J022200 0.000 048 K012200 0 048 K022200 0.000 049 002200 N 050 002200 N 051 002200 N 052 002200 N 053 A002200 Y 053 B002200 Y 053 C002200 N 055 A002200 N 055 B002200 N 056 002200 Y 057 002200 N 058 A002200 N 059 002200 Y 060 A002200 N 060 B002200 N 061 002200 5000000 062 A002200 Y 062 B002200 0.0 062 C002200 0.0 062 D002200 0.0 062 E002200 0.0 PAGE 85 062 F002200 0.0 062 G002200 0.0 062 H002200 0.0 062 I002200 0.0 062 J002200 0.0 062 K002200 3.2 062 L002200 0.0 062 M002200 3.7 062 N002200 0.0 062 O002200 0.0 062 P002200 0.0 062 Q002200 16.7 062 R002200 76.4 063 A002200 0 063 B002200 3.9 064 A002200 Y 064 B002200 N 066 A002200 N 067 002200 N 068 A002200 N 068 B002200 N 069 002200 N 070 A012200 Y 070 A022200 Y 070 B012200 Y 070 B022200 N 070 C012200 Y 070 C022200 Y 070 D012200 Y 070 D022200 N 070 E012200 Y 070 E022200 Y 070 F012200 Y 070 F022200 N 070 G012200 Y 070 G022200 Y 070 H012200 Y 070 H022200 N 070 I012200 Y 070 I022200 N 070 J012200 Y 070 J022200 Y 070 K012200 Y 070 K022200 Y 070 L012200 Y 070 L022200 Y 070 M012200 Y 070 M022200 Y 070 N012200 Y 070 N022200 Y 070 O012200 Y PAGE 86 070 O022200 N 070 P012200 Y 070 P022200 N 070 Q012200 N 070 Q022200 N 070 R012200 N 070 R022200 N 071 A002200 64660 071 B002200 168150 071 C002200 143156 071 D002200 45 072 A002200 12 072 B002200 1008 072 C002200 1625 072 D002200 0 072 E002200 0 072 F002200 283 072 G002200 0 072 H002200 0 072 I002200 0 072 J002200 73 072 K002200 0 072 L002200 0 072 M002200 3 072 N002200 10 072 O002200 0 072 P002200 0 072 Q002200 0 072 R002200 54 072 S002200 12 072 T002200 0 072 U002200 0 072 V002200 0 072 W002200 232 072 X002200 667 072 Y002200 185 072 Z002200 2151 072AA002200 18178 072BB002200 0 072CC012200 5659 072CC022200 0 072DD012200 0 072DD022200 0 072EE002200 38015 073 A012200 0.0000 073 A022200 0.0000 073 B002200 2.0100 073 C002200 0.0000 074 A002200 0 074 B002200 0 074 C002200 0 PAGE 87 074 D002200 28325 074 E002200 0 074 F002200 0 074 G002200 0 074 H002200 0 074 I002200 110327 074 J002200 0 074 K002200 11 074 L002200 5111 074 M002200 0 074 N002200 143774 074 O002200 0 074 P002200 38 074 Q002200 0 074 R012200 0 074 R022200 0 074 R032200 0 074 R042200 5052 074 S002200 0 074 T002200 138684 074 U012200 15895 074 U022200 0 074 V012200 8.73 074 V022200 0.00 074 W002200 0.0000 074 X002200 18 074 Y002200 2426 075 A002200 0 075 B002200 150345 076 002200 0.00 015 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 CITIGROUP, INC. 025 B002301 52-1568099 025 C002301 D 025 D002301 4887 025 D002302 0 025 D002303 0 025 D002304 0 025 D002305 0 025 D002306 0 025 D002307 0 025 D002308 0 028 A012300 4751 028 A022300 0 028 A032300 0 PAGE 88 028 A042300 10978 028 B012300 9550 028 B022300 0 028 B032300 0 028 B042300 19943 028 C012300 7480 028 C022300 0 028 C032300 0 028 C042300 19991 028 D012300 10492 028 D022300 1351 028 D032300 0 028 D042300 1509 028 E012300 12993 028 E022300 0 028 E032300 0 028 E042300 38281 028 F012300 9435 028 F022300 0 028 F032300 0 028 F042300 2850 028 G012300 54701 028 G022300 1351 028 G032300 0 028 G042300 93552 028 H002300 0 037 002300 N 038 002300 0 039 002300 N 040 002300 Y 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 PAGE 89 048 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 0.000 049 002300 N 050 002300 N 051 002300 N 052 002300 N 053 A002300 Y 053 B002300 Y 053 C002300 N 055 A002300 N 055 B002300 N 056 002300 Y 057 002300 N 058 A002300 N 059 002300 Y 060 A002300 N 060 B002300 N 061 002300 35000000 062 A002300 N 062 B002300 0.0 062 C002300 0.0 062 D002300 0.0 062 E002300 0.0 062 F002300 0.0 062 G002300 0.0 062 H002300 0.0 062 I002300 0.0 062 J002300 0.0 062 K002300 0.0 062 L002300 0.0 062 M002300 0.0 062 N002300 0.0 062 O002300 0.0 062 P002300 0.0 062 Q002300 0.0 062 R002300 0.0 066 A002300 Y PAGE 90 066 B002300 N 066 C002300 N 066 D002300 Y 066 E002300 N 066 F002300 N 066 G002300 N 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 N 070 E022300 N 070 F012300 Y 070 F022300 N 070 G012300 Y 070 G022300 N 070 H012300 Y 070 H022300 N 070 I012300 Y 070 I022300 N 070 J012300 Y 070 J022300 N 070 K012300 Y 070 K022300 N 070 L012300 Y 070 L022300 N 070 M012300 N 070 M022300 N 070 N012300 Y 070 N022300 Y 070 O012300 Y 070 O022300 N 070 P012300 Y 070 P022300 N 070 Q012300 N 070 Q022300 N 070 R012300 N 070 R022300 N 071 A002300 96074 071 B002300 101404 071 C002300 171427 071 D002300 56 072 A002300 12 PAGE 91 072 B002300 19 072 C002300 9200 072 D002300 0 072 E002300 0 072 F002300 971 072 G002300 0 072 H002300 0 072 I002300 0 072 J002300 53 072 K002300 0 072 L002300 0 072 M002300 3 072 N002300 9 072 O002300 0 072 P002300 0 072 Q002300 0 072 R002300 44 072 S002300 11 072 T002300 0 072 U002300 0 072 V002300 0 072 W002300 278 072 X002300 1369 072 Y002300 434 072 Z002300 8284 072AA002300 18616 072BB002300 0 072CC012300 38285 072CC022300 0 072DD012300 6613 072DD022300 0 072EE002300 0 073 A012300 0.4310 073 A022300 0.0000 073 B002300 0.0000 073 C002300 0.0000 074 A002300 1 074 B002300 4887 074 C002300 3467 074 D002300 0 074 E002300 47 074 F002300 3708 074 G002300 0 074 H002300 0 074 I002300 183843 074 J002300 5886 074 K002300 46 074 L002300 588 074 M002300 0 074 N002300 202473 074 O002300 4349 PAGE 92 074 P002300 103 074 Q002300 0 074 R012300 0 074 R022300 0 074 R032300 0 074 R042300 6563 074 S002300 0 074 T002300 191458 074 U012300 13073 074 U022300 0 074 V012300 14.65 074 V022300 0.00 074 W002300 0.0000 074 X002300 244 074 Y002300 0 075 A002300 0 075 B002300 178789 076 002300 0.00 015 A002401 BROWN BROTHERS HARRIMAN & CO 015 B002401 C 015 C012401 BOSTON 015 C022401 MA 015 C032401 02109 015 E012401 X 024 002400 Y 025 A002401 ABN AMRO 025 B002401 36-3558925 025 C002401 E 025 D002401 3989 025 A002402 UBS WARBURG 025 B002402 13-3873456 025 C002402 E 025 D002402 11364 025 A002403 BARCLAY INVESTMENTS, INC. 025 B002403 05-0346412 025 C002403 E 025 D002403 39098 025 D002404 0 025 D002405 0 025 D002406 0 025 D002407 0 025 D002408 0 028 A012400 62368 028 A022400 0 028 A032400 0 028 A042400 18766 028 B012400 94591 028 B022400 0 028 B032400 0 028 B042400 15872 028 C012400 53096 PAGE 93 028 C022400 0 028 C032400 0 028 C042400 2077 028 D012400 17516 028 D022400 29453 028 D032400 0 028 D042400 39461 028 E012400 122395 028 E022400 0 028 E032400 0 028 E042400 40194 028 F012400 774505 028 F022400 0 028 F032400 0 028 F042400 655453 028 G012400 1124471 028 G022400 29453 028 G032400 0 028 G042400 771823 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 0 042 G002400 0 042 H002400 0 043 002400 18 044 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 PAGE 94 048 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 0.000 049 002400 N 050 002400 N 051 002400 N 052 002400 N 053 A002400 Y 053 B002400 Y 053 C002400 N 055 A002400 Y 055 B002400 N 056 002400 Y 057 002400 N 058 A002400 N 059 002400 Y 060 A002400 N 060 B002400 N 061 002400 5000000 062 A002400 N 062 B002400 0.0 062 C002400 0.0 062 D002400 0.0 062 E002400 0.0 062 F002400 0.0 062 G002400 0.0 062 H002400 0.0 062 I002400 0.0 062 J002400 0.0 062 K002400 0.0 062 L002400 0.0 062 M002400 0.0 062 N002400 0.0 062 O002400 0.0 062 P002400 0.0 062 Q002400 0.0 062 R002400 0.0 066 A002400 Y 066 B002400 N 066 C002400 N 066 D002400 Y 066 E002400 N 066 F002400 N 066 G002400 N PAGE 95 067 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 Y 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 Y 070 P022400 Y 070 Q012400 N 070 Q022400 N 070 R012400 N 070 R022400 N 071 A002400 1728704 071 B002400 697511 071 C002400 2736194 071 D002400 25 072 A002400 12 072 B002400 4393 072 C002400 65231 072 D002400 0 072 E002400 0 072 F002400 17489 072 G002400 0 PAGE 96 072 H002400 0 072 I002400 81 072 J002400 1874 072 K002400 0 072 L002400 0 072 M002400 60 072 N002400 162 072 O002400 0 072 P002400 0 072 Q002400 0 072 R002400 87 072 S002400 140 072 T002400 20 072 U002400 0 072 V002400 0 072 W002400 4659 072 X002400 24572 072 Y002400 2413 072 Z002400 47465 072AA002400 77910 072BB002400 0 072CC012400 1083885 072CC022400 0 072DD012400 42896 072DD022400 18344 072EE002400 0 073 A012400 0.0000 073 A022400 0.0000 073 B002400 0.0000 073 C002400 0.0000 074 A002400 20 074 B002400 0 074 C002400 326238 074 D002400 639 074 E002400 47374 074 F002400 3707795 074 G002400 0 074 H002400 0 074 I002400 43492 074 J002400 6207 074 K002400 412 074 L002400 62433 074 M002400 81349 074 N002400 4275959 074 O002400 58118 074 P002400 2342 074 Q002400 0 074 R012400 0 074 R022400 0 074 R032400 0 074 R042400 237906 PAGE 97 074 S002400 0 074 T002400 3977593 074 U012400 169480 074 U022400 128962 074 V012400 0.00 074 V022400 0.00 074 W002400 0.0000 074 X002400 258 074 Y002400 0 075 A002400 0 075 B002400 2887683 076 002400 0.00 015 A002501 INVESTORS BANK & TRUST COMPANY 015 B002501 C 015 C012501 BOSTON 015 C022501 MA 015 C032501 02116 015 E012501 X 024 002500 Y 025 A002501 CITIGROUP, INC. 025 B002501 52-1568099 025 C002501 D 025 D002501 10 025 D002502 0 025 D002503 0 025 D002504 0 025 D002505 0 025 D002506 0 025 D002507 0 025 D002508 0 028 A012500 615 028 A022500 0 028 A032500 0 028 A042500 255 028 B012500 18425 028 B022500 0 028 B032500 0 028 B042500 160 028 C012500 3303 028 C022500 0 028 C032500 0 028 C042500 0 028 D012500 30147 028 D022500 6406 028 D032500 0 028 D042500 700 028 E012500 9354 028 E022500 0 028 E032500 0 028 E042500 3181 028 F012500 17650 PAGE 98 028 F022500 0 028 F032500 0 028 F042500 2549 028 G012500 79494 028 G022500 6406 028 G032500 0 028 G042500 6845 028 H002500 0 037 002500 Y 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 0 048 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 0.000 049 002500 N 050 002500 N 051 002500 N PAGE 99 052 002500 N 053 A002500 Y 053 B002500 Y 053 C002500 N 055 A002500 N 055 B002500 N 056 002500 Y 057 002500 N 058 A002500 N 059 002500 Y 060 A002500 Y 060 B002500 Y 061 002500 5000000 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 Y 068 A002500 N 068 B002500 N 069 002500 N 070 A012500 Y 070 A022500 Y 070 B012500 N 070 B022500 N 070 C012500 N 070 C022500 N 070 D012500 N 070 D022500 N 070 E012500 N PAGE 100 070 E022500 N 070 F012500 N 070 F022500 N 070 G012500 N 070 G022500 N 070 H012500 N 070 H022500 N 070 I012500 Y 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 Y 070 N022500 N 070 O012500 Y 070 O022500 N 070 P012500 N 070 P022500 N 070 Q012500 N 070 Q022500 N 070 R012500 N 070 R022500 N 071 A002500 254929 071 B002500 199352 071 C002500 339721 071 D002500 59 072 A002500 12 072 B002500 6 072 C002500 7320 072 D002500 0 072 E002500 0 072 F002500 0 072 G002500 0 072 H002500 0 072 I002500 0 072 J002500 45 072 K002500 0 072 L002500 0 072 M002500 7 072 N002500 20 072 O002500 0 072 P002500 0 072 Q002500 0 072 R002500 27 072 S002500 17 072 T002500 0 PAGE 101 072 U002500 0 072 V002500 0 072 W002500 6 072 X002500 122 072 Y002500 114 072 Z002500 7318 072AA002500 10028 072BB002500 0 072CC012500 87757 072CC022500 0 072DD012500 9123 072DD022500 0 072EE002500 832 073 A012500 0.2340 073 A022500 0.0000 073 B002500 0.0210 073 C002500 0.0000 074 A002500 0 074 B002500 10 074 C002500 0 074 D002500 0 074 E002500 0 074 F002500 0 074 G002500 0 074 H002500 0 074 I002500 453820 074 J002500 145 074 K002500 23 074 L002500 1820 074 M002500 0 074 N002500 455818 074 O002500 5 074 P002500 1 074 Q002500 0 074 R012500 0 074 R022500 0 074 R032500 0 074 R042500 2005 074 S002500 0 074 T002500 453807 074 U012500 42249 074 U022500 0 074 V012500 10.74 074 V022500 0.00 074 W002500 0.0000 074 X002500 130 074 Y002500 0 075 A002500 0 075 B002500 339760 076 002500 0.00 015 A002701 INVESTORS BANK & TRUST COMPANY PAGE 102 015 B002701 C 015 C012701 BOSTON 015 C022701 MA 015 C032701 02116 015 E012701 X 024 002700 Y 025 A002701 CITIGROUP, INC. 025 B002701 52-1568099 025 C002701 D 025 D002701 1458 025 D002702 0 025 D002703 0 025 D002704 0 025 D002705 0 025 D002706 0 025 D002707 0 025 D002708 0 028 A012700 80 028 A022700 0 028 A032700 0 028 A042700 0 028 B012700 1205 028 B022700 20 028 B032700 0 028 B042700 50 028 C012700 0 028 C022700 0 028 C032700 0 028 C042700 0 028 D012700 14 028 D022700 0 028 D032700 0 028 D042700 820 028 E012700 0 028 E022700 0 028 E032700 0 028 E042700 350 028 F012700 36 028 F022700 0 028 F032700 0 028 F042700 13 028 G012700 1335 028 G022700 20 028 G032700 0 028 G042700 1233 028 H002700 0 037 002700 Y 038 002700 27 039 002700 N 040 002700 N 041 002700 N PAGE 103 042 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 0.000 049 002700 N 050 002700 N 051 002700 N 052 002700 N 053 A002700 Y 053 B002700 Y 053 C002700 N 055 A002700 N 055 B002700 N 056 002700 Y 057 002700 N 058 A002700 N 059 002700 Y 060 A002700 N 060 B002700 N PAGE 104 061 002700 5000000 062 A002700 N 062 B002700 0.0 062 C002700 0.0 062 D002700 0.0 062 E002700 0.0 062 F002700 0.0 062 G002700 0.0 062 H002700 0.0 062 I002700 0.0 062 J002700 0.0 062 K002700 0.0 062 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 Y 070 I022700 N 070 J012700 Y 070 J022700 N 070 K012700 Y PAGE 105 070 K022700 N 070 L012700 N 070 L022700 N 070 M012700 N 070 M022700 N 070 N012700 Y 070 N022700 Y 070 O012700 Y 070 O022700 N 070 P012700 Y 070 P022700 N 070 Q012700 N 070 Q022700 N 070 R012700 N 070 R022700 N 071 A002700 40475 071 B002700 30567 071 C002700 31591 071 D002700 97 072 A002700 12 072 B002700 29 072 C002700 138 072 D002700 0 072 E002700 0 072 F002700 110 072 G002700 0 072 H002700 0 072 I002700 0 072 J002700 37 072 K002700 0 072 L002700 0 072 M002700 1 072 N002700 5 072 O002700 0 072 P002700 0 072 Q002700 0 072 R002700 38 072 S002700 1 072 T002700 0 072 U002700 0 072 V002700 0 072 W002700 50 072 X002700 242 072 Y002700 81 072 Z002700 6 072AA002700 6578 072BB002700 0 072CC012700 7453 072CC022700 0 072DD012700 29 072DD022700 0 PAGE 106 072EE002700 0 073 A012700 0.0150 073 A022700 0.0000 073 B002700 0.0000 073 C002700 0.0000 074 A002700 2 074 B002700 1458 074 C002700 1807 074 D002700 0 074 E002700 0 074 F002700 40886 074 G002700 0 074 H002700 0 074 I002700 1041 074 J002700 918 074 K002700 7 074 L002700 14 074 M002700 0 074 N002700 46133 074 O002700 1701 074 P002700 16 074 Q002700 0 074 R012700 0 074 R022700 0 074 R032700 0 074 R042700 2754 074 S002700 0 074 T002700 41662 074 U012700 1913 074 U022700 0 074 V012700 21.78 074 V022700 0.00 074 W002700 0.0000 074 X002700 45 074 Y002700 100 075 A002700 0 075 B002700 32636 076 002700 0.00 015 A002801 INVESTORS BANK & TRUST COMPANY 015 B002801 C 015 C012801 BOSTON 015 C022801 MA 015 C032801 02116 015 E012801 X 024 002800 Y 025 A002801 CITIGROUP, INC. 025 B002801 52-1568099 025 C002801 D 025 D002801 24 025 D002802 0 025 D002803 0 PAGE 107 025 D002804 0 025 D002805 0 025 D002806 0 025 D002807 0 025 D002808 0 028 A012800 9100 028 A022800 0 028 A032800 0 028 A042800 10 028 B012800 1093 028 B022800 0 028 B032800 0 028 B042800 0 028 C012800 12364 028 C022800 0 028 C032800 0 028 C042800 9132 028 D012800 39375 028 D022800 552 028 D032800 0 028 D042800 1014 028 E012800 41941 028 E022800 0 028 E032800 0 028 E042800 656 028 F012800 20893 028 F022800 0 028 F032800 0 028 F042800 2 028 G012800 124766 028 G022800 552 028 G032800 0 028 G042800 10814 028 H002800 0 037 002800 Y 038 002800 11 039 002800 N 040 002800 Y 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 108 048 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 0.000 049 002800 N 050 002800 N 051 002800 N 052 002800 N 053 A002800 Y 053 B002800 Y 053 C002800 N 055 A002800 N 055 B002800 N 056 002800 Y 057 002800 N 058 A002800 N 059 002800 Y 060 A002800 Y 060 B002800 Y 061 002800 5000000 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 PAGE 109 062 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 Y 066 E002800 N 066 F002800 N 066 G002800 N 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 Y 070 M022800 N 070 N012800 Y 070 N022800 N 070 O012800 Y 070 O022800 N 070 P012800 N 070 P022800 N 070 Q012800 N 070 Q022800 N PAGE 110 070 R012800 N 070 R022800 N 071 A002800 158000 071 B002800 57000 071 C002800 131991 071 D002800 43 072 A002800 12 072 B002800 4 072 C002800 3013 072 D002800 0 072 E002800 0 072 F002800 0 072 G002800 0 072 H002800 0 072 I002800 0 072 J002800 18 072 K002800 0 072 L002800 0 072 M002800 3 072 N002800 17 072 O002800 0 072 P002800 0 072 Q002800 0 072 R002800 21 072 S002800 6 072 T002800 0 072 U002800 0 072 V002800 0 072 W002800 3 072 X002800 68 072 Y002800 65 072 Z002800 3014 072AA002800 4354 072BB002800 0 072CC012800 47888 072CC022800 0 072DD012800 3178 072DD022800 0 072EE002800 0 073 A012800 0.2460 073 A022800 0.0000 073 B002800 0.0000 073 C002800 0.0000 074 A002800 0 074 B002800 24 074 C002800 0 074 D002800 0 074 E002800 0 074 F002800 0 074 G002800 0 074 H002800 0 PAGE 111 074 I002800 256272 074 J002800 0 074 K002800 15 074 L002800 0 074 M002800 0 074 N002800 256311 074 O002800 0 074 P002800 0 074 Q002800 0 074 R012800 0 074 R022800 0 074 R032800 0 074 R042800 34 074 S002800 0 074 T002800 256277 074 U012800 19973 074 U022800 0 074 V012800 12.83 074 V022800 0.00 074 W002800 0.0000 074 X002800 64 074 Y002800 0 075 A002800 0 075 B002800 131999 076 002800 0.00 015 A002901 INVESTORS BANK & TRUST COMPANY 015 B002901 C 015 C012901 BOSTON 015 C022901 MA 015 C032901 02116 015 E012901 X 024 002900 Y 025 A002901 CITIGROUP, INC. 025 B002901 52-1568099 025 C002901 D 025 D002901 8 025 D002902 0 025 D002903 0 025 D002904 0 025 D002905 0 025 D002906 0 025 D002907 0 025 D002908 0 028 A012900 0 028 A022900 0 028 A032900 0 028 A042900 502 028 B012900 48018 028 B022900 0 028 B032900 0 028 B042900 80 PAGE 112 028 C012900 6035 028 C022900 0 028 C032900 0 028 C042900 1500 028 D012900 15 028 D022900 4398 028 D032900 0 028 D042900 1777 028 E012900 0 028 E022900 0 028 E032900 0 028 E042900 531 028 F012900 6418 028 F022900 0 028 F032900 0 028 F042900 0 028 G012900 60486 028 G022900 4398 028 G032900 0 028 G042900 4390 028 H002900 0 037 002900 Y 038 002900 1 039 002900 N 040 002900 Y 041 002900 N 042 A002900 0 042 B002900 0 042 C002900 0 042 D002900 0 042 E002900 0 042 F002900 0 042 G002900 0 042 H002900 0 043 002900 0 044 002900 0 045 002900 Y 046 002900 N 048 002900 0.000 048 A012900 0 048 A022900 0.000 048 B012900 0 048 B022900 0.000 048 C012900 0 048 C022900 0.000 048 D012900 0 048 D022900 0.000 048 E012900 0 048 E022900 0.000 048 F012900 0 048 F022900 0.000 PAGE 113 048 G012900 0 048 G022900 0.000 048 H012900 0 048 H022900 0.000 048 I012900 0 048 I022900 0.000 048 J012900 0 048 J022900 0.000 048 K012900 0 048 K022900 0.000 049 002900 N 050 002900 N 051 002900 N 052 002900 N 053 A002900 Y 053 B002900 Y 053 C002900 N 055 A002900 N 055 B002900 N 056 002900 Y 057 002900 N 058 A002900 N 059 002900 Y 060 A002900 Y 060 B002900 Y 061 002900 5000000 062 A002900 N 062 B002900 0.0 062 C002900 0.0 062 D002900 0.0 062 E002900 0.0 062 F002900 0.0 062 G002900 0.0 062 H002900 0.0 062 I002900 0.0 062 J002900 0.0 062 K002900 0.0 062 L002900 0.0 062 M002900 0.0 062 N002900 0.0 062 O002900 0.0 062 P002900 0.0 062 Q002900 0.0 062 R002900 0.0 066 A002900 Y 066 B002900 N 066 C002900 N 066 D002900 Y 066 E002900 N 066 F002900 N 066 G002900 N PAGE 114 067 002900 N 068 A002900 N 068 B002900 N 069 002900 N 070 A012900 Y 070 A022900 Y 070 B012900 N 070 B022900 N 070 C012900 N 070 C022900 N 070 D012900 N 070 D022900 N 070 E012900 N 070 E022900 N 070 F012900 N 070 F022900 N 070 G012900 N 070 G022900 N 070 H012900 N 070 H022900 N 070 I012900 N 070 I022900 N 070 J012900 N 070 J022900 N 070 K012900 Y 070 K022900 Y 070 L012900 Y 070 L022900 Y 070 M012900 Y 070 M022900 N 070 N012900 Y 070 N022900 N 070 O012900 Y 070 O022900 N 070 P012900 N 070 P022900 N 070 Q012900 N 070 Q022900 N 070 R012900 N 070 R022900 N 071 A002900 110000 071 B002900 21000 071 C002900 147889 071 D002900 14 072 A002900 12 072 B002900 2 072 C002900 2994 072 D002900 0 072 E002900 0 072 F002900 0 072 G002900 0 PAGE 115 072 H002900 0 072 I002900 0 072 J002900 22 072 K002900 0 072 L002900 0 072 M002900 3 072 N002900 18 072 O002900 0 072 P002900 0 072 Q002900 0 072 R002900 20 072 S002900 6 072 T002900 0 072 U002900 0 072 V002900 0 072 W002900 4 072 X002900 73 072 Y002900 69 072 Z002900 2992 072AA002900 7546 072BB002900 0 072CC012900 48547 072CC022900 0 072DD012900 3981 072DD022900 0 072EE002900 2513 073 A012900 0.2140 073 A022900 0.0000 073 B002900 0.1340 073 C002900 0.0000 074 A002900 0 074 B002900 8 074 C002900 0 074 D002900 0 074 E002900 0 074 F002900 0 074 G002900 0 074 H002900 0 074 I002900 222868 074 J002900 0 074 K002900 12 074 L002900 0 074 M002900 0 074 N002900 222890 074 O002900 0 074 P002900 0 074 Q002900 0 074 R012900 0 074 R022900 0 074 R032900 0 074 R042900 34 PAGE 116 074 S002900 0 074 T002900 222856 074 U012900 20529 074 U022900 0 074 V012900 10.86 074 V022900 0.00 074 W002900 0.0000 074 X002900 33 074 Y002900 0 075 A002900 0 075 B002900 147889 076 002900 0.00 015 A003101 INVESTORS BANK & TRUST COMPANY 015 B003101 C 015 C013101 BOSTON 015 C023101 MA 015 C033101 02116 015 E013101 X 024 003100 Y 025 A003101 J.P. MORGAN CHASE & CO. 025 B003101 13-3224016 025 C003101 D 025 D003101 7754 025 A003102 MERRILL LYNCH & CO., INC. 025 B003102 13-5674085 025 C003102 D 025 D003102 8065 025 D003103 0 025 D003104 0 025 D003105 0 025 D003106 0 025 D003107 0 025 D003108 0 028 A013100 15606 028 A023100 0 028 A033100 0 028 A043100 31 028 B013100 25997 028 B023100 0 028 B033100 0 028 B043100 12 028 C013100 61665 028 C023100 0 028 C033100 0 028 C043100 125 028 D013100 23892 028 D023100 13544 028 D033100 0 028 D043100 3907 028 E013100 24897 028 E023100 0 PAGE 117 028 E033100 0 028 E043100 117894 028 F013100 13811 028 F023100 0 028 F033100 0 028 F043100 10368 028 G013100 165868 028 G023100 13544 028 G033100 0 028 G043100 132337 028 H003100 0 037 003100 N 038 003100 0 039 003100 N 040 003100 Y 041 003100 N 042 A003100 0 042 B003100 0 042 C003100 0 042 D003100 0 042 E003100 0 042 F003100 0 042 G003100 0 042 H003100 0 043 003100 0 044 003100 0 045 003100 Y 046 003100 N 047 003100 Y 048 003100 0.100 048 A013100 0 048 A023100 0.000 048 B013100 0 048 B023100 0.000 048 C013100 0 048 C023100 0.000 048 D013100 0 048 D023100 0.000 048 E013100 0 048 E023100 0.000 048 F013100 0 048 F023100 0.000 048 G013100 0 048 G023100 0.000 048 H013100 0 048 H023100 0.000 048 I013100 0 048 I023100 0.000 048 J013100 0 048 J023100 0.000 048 K013100 0 PAGE 118 048 K023100 0.000 049 003100 N 050 003100 N 051 003100 N 052 003100 N 053 A003100 Y 053 B003100 Y 053 C003100 N 055 A003100 N 055 B003100 N 056 003100 Y 057 003100 N 058 A003100 N 059 003100 Y 060 A003100 N 060 B003100 N 061 003100 5000000 062 A003100 Y 062 B003100 0.0 062 C003100 0.0 062 D003100 0.0 062 E003100 0.0 062 F003100 0.0 062 G003100 0.0 062 H003100 0.0 062 I003100 0.0 062 J003100 0.0 062 K003100 0.0 062 L003100 0.0 062 M003100 76.8 062 N003100 4.5 062 O003100 0.0 062 P003100 3.8 062 Q003100 0.0 062 R003100 17.3 063 A003100 0 063 B003100 10.8 064 A003100 N 064 B003100 N 066 A003100 N 067 003100 N 068 A003100 N 068 B003100 N 069 003100 N 070 A013100 Y 070 A023100 Y 070 B013100 Y 070 B023100 N 070 C013100 Y 070 C023100 N 070 D013100 Y PAGE 119 070 D023100 N 070 E013100 Y 070 E023100 Y 070 F013100 Y 070 F023100 N 070 G013100 Y 070 G023100 N 070 H013100 Y 070 H023100 N 070 I013100 Y 070 I023100 N 070 J013100 Y 070 J023100 N 070 K013100 Y 070 K023100 Y 070 L013100 Y 070 L023100 N 070 M013100 Y 070 M023100 N 070 N013100 Y 070 N023100 N 070 O013100 Y 070 O023100 N 070 P013100 Y 070 P023100 N 070 Q013100 N 070 Q023100 N 070 R013100 N 070 R023100 N 071 A003100 283933 071 B003100 221734 071 C003100 389177 071 D003100 57 072 A003100 12 072 B003100 13021 072 C003100 689 072 D003100 0 072 E003100 0 072 F003100 354 072 G003100 0 072 H003100 0 072 I003100 0 072 J003100 131 072 K003100 0 072 L003100 0 072 M003100 7 072 N003100 35 072 O003100 0 072 P003100 459 072 Q003100 0 072 R003100 40 PAGE 120 072 S003100 21 072 T003100 0 072 U003100 0 072 V003100 0 072 W003100 533 072 X003100 1580 072 Y003100 225 072 Z003100 12355 072AA003100 15713 072BB003100 0 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A003200 N 055 B003200 N 056 003200 Y 057 003200 N 058 A003200 N 059 003200 Y 060 A003200 N 060 B003200 N 061 003200 5000000 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 PAGE 123 062 I003200 0.0 062 J003200 0.0 062 K003200 2.6 062 L003200 7.3 062 M003200 6.8 062 N003200 8.5 062 O003200 0.0 062 P003200 7.3 062 Q003200 83.4 062 R003200 0.8 063 A003200 0 063 B003200 4.2 064 A003200 Y 064 B003200 N 066 A003200 N 067 003200 N 068 A003200 N 068 B003200 N 069 003200 N 070 A013200 Y 070 A023200 Y 070 B013200 Y 070 B023200 N 070 C013200 Y 070 C023200 Y 070 D013200 Y 070 D023200 N 070 E013200 Y 070 E023200 Y 070 F013200 Y 070 F023200 N 070 G013200 Y 070 G023200 Y 070 H013200 Y 070 H023200 N 070 I013200 Y 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 N 070 O013200 Y 070 O023200 N 070 P013200 Y 070 P023200 N PAGE 124 070 Q013200 N 070 Q023200 N 070 R013200 N 070 R023200 N 071 A003200 784263 071 B003200 466687 071 C003200 408732 071 D003200 114 072 A003200 12 072 B003200 4146 072 C003200 6515 072 D003200 0 072 E003200 0 072 F003200 947 072 G003200 0 072 H003200 0 072 I003200 0 072 J003200 158 072 K003200 0 072 L003200 0 072 M003200 8 072 N003200 33 072 O003200 0 072 P003200 0 072 Q003200 0 072 R003200 51 072 S003200 24 072 T003200 0 072 U003200 0 072 V003200 0 072 W003200 580 072 X003200 1801 072 Y003200 341 072 Z003200 9201 072AA003200 19739 072BB003200 0 072CC013200 16387 072CC023200 0 072DD013200 12402 072DD023200 0 072EE003200 15951 073 A013200 0.2830 073 A023200 0.0000 073 B003200 0.4270 073 C003200 0.0000 074 A003200 0 074 B003200 0 074 C003200 0 074 D003200 147501 074 E003200 5098 074 F003200 0 PAGE 125 074 G003200 0 074 H003200 0 074 I003200 502098 074 J003200 40896 074 K003200 60 074 L003200 14701 074 M003200 67 074 N003200 710421 074 O003200 94593 074 P003200 180 074 Q003200 0 074 R013200 0 074 R023200 0 074 R033200 0 074 R043200 12824 074 S003200 0 074 T003200 602824 074 U013200 57982 074 U023200 0 074 V013200 10.40 074 V023200 0.00 074 W003200 0.0000 074 X003200 42 074 Y003200 44649 075 A003200 0 075 B003200 384113 076 003200 0.00 015 A003401 BROWN BROTHERS HARRIMAN & CO. 015 B003401 C 015 C013401 BOSTON 015 C023401 MA 015 C033401 02109 015 E013401 X 024 003400 N 028 A013400 11548 028 A023400 0 028 A033400 0 028 A043400 23148 028 B013400 19012 028 B023400 0 028 B033400 0 028 B043400 3023 028 C013400 8774 028 C023400 0 028 C033400 0 028 C043400 3324 028 D013400 7035 028 D023400 5782 028 D033400 0 028 D043400 4112 028 E013400 8832 PAGE 126 028 E023400 0 028 E033400 0 028 E043400 6405 028 F013400 7354 028 F023400 0 028 F033400 0 028 F043400 3878 028 G013400 62555 028 G023400 5782 028 G033400 0 028 G043400 43890 028 H003400 0 037 003400 N 038 003400 0 039 003400 N 040 003400 Y 041 003400 Y 042 A003400 0 042 B003400 0 042 C003400 0 042 D003400 100 042 E003400 0 042 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A003400 Y 066 B003400 N 066 C003400 N 066 D003400 Y 066 E003400 N 066 F003400 N 066 G003400 N 067 003400 N 068 A003400 N 068 B003400 Y 069 003400 N 070 A013400 Y 070 A023400 N 070 B013400 Y 070 B023400 N PAGE 128 070 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 Y 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 Y 070 P023400 N 070 Q013400 N 070 Q023400 N 070 R013400 N 070 R023400 N 071 A003400 203015 071 B003400 112070 071 C003400 195534 071 D003400 57 072 A003400 12 072 B003400 84 072 C003400 5980 072 D003400 0 072 E003400 0 072 F003400 1339 072 G003400 0 072 H003400 0 072 I003400 48 072 J003400 695 072 K003400 0 072 L003400 0 072 M003400 4 072 N003400 44 072 O003400 0 PAGE 129 072 P003400 0 072 Q003400 0 072 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028 A013500 859 028 A023500 0 028 A033500 0 028 A043500 3 028 B013500 1716 028 B023500 0 028 B033500 0 028 B043500 897 028 C013500 0 028 C023500 0 028 C033500 0 028 C043500 40573 028 D013500 2119 028 D023500 0 028 D033500 0 028 D043500 2101 028 E013500 2700 028 E023500 0 028 E033500 0 028 E043500 3561 028 F013500 1200 028 F023500 0 028 F033500 0 028 F043500 14526 028 G013500 8594 028 G023500 0 028 G033500 0 028 G043500 61661 028 H003500 0 037 003500 Y 038 003500 247 039 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 PAGE 131 042 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 0 048 I023500 0.000 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070 J023500 N 070 K013500 Y 070 K023500 N 070 L013500 Y 070 L023500 Y 070 M013500 Y 070 M023500 Y 070 N013500 Y PAGE 133 070 N023500 N 070 O013500 Y 070 O023500 Y 070 P013500 Y 070 P023500 N 070 Q013500 N 070 Q023500 N 070 R013500 N 070 R023500 N 071 A003500 51148 071 B003500 101912 071 C003500 132777 071 D003500 39 072 A003500 12 072 B003500 17 072 C003500 4095 072 D003500 0 072 E003500 0 072 F003500 1108 072 G003500 0 072 H003500 0 072 I003500 28 072 J003500 388 072 K003500 0 072 L003500 0 072 M003500 3 072 N003500 3 072 O003500 0 072 P003500 0 072 Q003500 0 072 R003500 54 072 S003500 7 072 T003500 0 072 U003500 0 072 V003500 0 072 W003500 207 072 X003500 1798 072 Y003500 90 072 Z003500 2404 072AA003500 30656 072BB003500 0 072CC013500 55010 072CC023500 0 072DD013500 810 072DD023500 0 072EE003500 0 073 A013500 0.0560 073 A023500 0.0000 073 B003500 0.0000 073 C003500 0.0000 074 A003500 37 PAGE 134 074 B003500 0 074 C003500 1800 074 D003500 0 074 E003500 594 074 F003500 138872 074 G003500 0 074 H003500 0 074 I003500 455 074 J003500 0 074 K003500 8 074 L003500 64 074 M003500 22 074 N003500 141852 074 O003500 0 074 P003500 111 074 Q003500 0 074 R013500 0 074 R023500 0 074 R033500 0 074 R043500 127 074 S003500 0 074 T003500 141614 074 U013500 10286 074 U023500 0 074 V013500 13.77 074 V023500 0.00 074 W003500 0.0000 074 X003500 45 074 Y003500 0 075 A003500 0 075 B003500 135168 076 003500 0.00 015 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 MELLON FINANCIAL CORP. 025 B003601 23-2384977 025 C003601 E 025 D003601 49 025 A003602 BEAR STERNS & CO., INC. 025 B003602 13-3299429 025 C003602 E 025 D003602 176 025 A003603 CITIGROUP, INC. 025 B003603 52-1568099 025 C003603 E 025 D003603 1171 PAGE 135 025 A003604 J.P. MORGAN CHASE & CO. 025 B003604 13-3224016 025 C003604 E 025 D003604 1256 025 A003605 LEHMAN BROTHERS, INC. 025 B003605 13-2518466 025 C003605 E 025 D003605 95 025 A003606 MERRILL LYNCH & CO., INC. 025 B003606 13-5674085 025 C003606 E 025 D003606 300 025 A003607 MORGAN STANLEY & CO., INC. 025 B003607 13-2655998 025 C003607 E 025 D003607 544 025 A003608 CITIGROUP, INC. 025 B003608 52-1568099 025 C003608 D 025 D003608 707 028 A013600 0 028 A023600 0 028 A033600 0 028 A043600 286 028 B013600 0 028 B023600 32 028 B033600 0 028 B043600 0 028 C013600 0 028 C023600 0 028 C033600 0 028 C043600 0 028 D013600 0 028 D023600 41 028 D033600 0 028 D043600 568 028 E013600 3700 028 E023600 0 028 E033600 0 028 E043600 0 028 F013600 0 028 F023600 0 028 F033600 0 028 F043600 0 028 G013600 3700 028 G023600 73 028 G033600 0 028 G043600 854 028 H003600 0 037 003600 N 038 003600 0 PAGE 136 039 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 0.000 049 003600 N 050 003600 N 051 003600 N 052 003600 N 053 A003600 Y 053 B003600 Y 053 C003600 N 055 A003600 N 055 B003600 N 056 003600 Y 057 003600 N 058 A003600 N PAGE 137 059 003600 Y 060 A003600 N 060 B003600 N 061 003600 5000000 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 Y 066 E003600 N 066 F003600 N 066 G003600 N 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 Y 070 I023600 N PAGE 138 070 J013600 Y 070 J023600 N 070 K013600 Y 070 K023600 N 070 L013600 Y 070 L023600 N 070 M013600 N 070 M023600 N 070 N013600 Y 070 N023600 Y 070 O013600 Y 070 O023600 N 070 P013600 Y 070 P023600 N 070 Q013600 N 070 Q023600 N 070 R013600 N 070 R023600 N 071 A003600 41209 071 B003600 34606 071 C003600 49688 071 D003600 70 072 A003600 12 072 B003600 3 072 C003600 924 072 D003600 0 072 E003600 0 072 F003600 168 072 G003600 0 072 H003600 0 072 I003600 0 072 J003600 23 072 K003600 0 072 L003600 0 072 M003600 1 072 N003600 4 072 O003600 0 072 P003600 0 072 Q003600 0 072 R003600 37 072 S003600 2 072 T003600 0 072 U003600 0 072 V003600 0 072 W003600 78 072 X003600 313 072 Y003600 67 072 Z003600 681 072AA003600 0 072BB003600 534 072CC013600 15259 PAGE 139 072CC023600 0 072DD013600 685 072DD023600 0 072EE003600 0 073 A013600 0.1390 073 A023600 0.0000 073 B003600 0.0000 073 C003600 0.0000 074 A003600 0 074 B003600 707 074 C003600 0 074 D003600 0 074 E003600 0 074 F003600 61302 074 G003600 0 074 H003600 0 074 I003600 0 074 J003600 0 074 K003600 5 074 L003600 70 074 M003600 0 074 N003600 62084 074 O003600 0 074 P003600 24 074 Q003600 0 074 R013600 0 074 R023600 0 074 R033600 0 074 R043600 33 074 S003600 0 074 T003600 62027 074 U013600 5354 074 U023600 0 074 V013600 11.58 074 V023600 0.00 074 W003600 0.0000 074 X003600 22 074 Y003600 0 075 A003600 0 075 B003600 50629 076 003600 0.00 015 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 BARCLAY INVESTMENTS, INC. 025 B003701 05-0346412 025 C003701 E PAGE 140 025 D003701 4866 025 A003702 DEUTSCHE BANK 025 B003702 13-2730828 025 C003702 E 025 D003702 1878 025 A003703 ABN AMRO 025 B003703 36-3558925 025 C003703 E 025 D003703 3103 025 A003704 UBS WARBURG 025 B003704 13-3873456 025 C003704 E 025 D003704 529 025 D003705 0 025 D003706 0 025 D003707 0 025 D003708 0 028 A013700 2900 028 A023700 0 028 A033700 0 028 A043700 0 028 B013700 2759 028 B023700 0 028 B033700 0 028 B043700 0 028 C013700 2900 028 C023700 0 028 C033700 0 028 C043700 0 028 D013700 5350 028 D023700 1891 028 D033700 0 028 D043700 32 028 E013700 112927 028 E023700 0 028 E033700 0 028 E043700 0 028 F013700 520 028 F023700 0 028 F033700 0 028 F043700 0 028 G013700 127356 028 G023700 1891 028 G033700 0 028 G043700 32 028 H003700 0 037 003700 N 038 003700 0 039 003700 N 040 003700 N 041 003700 N PAGE 141 042 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 0.000 049 003700 N 050 003700 N 051 003700 N 052 003700 N 053 A003700 Y 053 B003700 Y 053 C003700 N 055 A003700 N 055 B003700 N 056 003700 Y 057 003700 N 058 A003700 N 059 003700 Y 060 A003700 N 060 B003700 N PAGE 142 061 003700 5000000 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 0.0 062 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 Y 066 E003700 N 066 F003700 N 066 G003700 N 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 Y 070 I023700 N 070 J013700 Y 070 J023700 Y 070 K013700 Y PAGE 143 070 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 Y 070 P023700 Y 070 Q013700 N 070 Q023700 N 070 R013700 N 070 R023700 N 071 A003700 186607 071 B003700 50672 071 C003700 140924 071 D003700 36 072 A003700 12 072 B003700 51 072 C003700 3654 072 D003700 0 072 E003700 0 072 F003700 781 072 G003700 0 072 H003700 0 072 I003700 28 072 J003700 284 072 K003700 0 072 L003700 0 072 M003700 3 072 N003700 8 072 O003700 0 072 P003700 0 072 Q003700 0 072 R003700 46 072 S003700 6 072 T003700 0 072 U003700 0 072 V003700 0 072 W003700 220 072 X003700 1376 072 Y003700 373 072 Z003700 2702 072AA003700 3032 072BB003700 0 072CC013700 55866 072CC023700 0 072DD013700 3864 072DD023700 0 PAGE 144 072EE003700 0 073 A013700 0.3030 073 A023700 0.0000 073 B003700 0.0000 073 C003700 0.0000 074 A003700 4510 074 B003700 0 074 C003700 700 074 D003700 0 074 E003700 4094 074 F003700 281867 074 G003700 0 074 H003700 0 074 I003700 0 074 J003700 0 074 K003700 30 074 L003700 418 074 M003700 0 074 N003700 291619 074 O003700 0 074 P003700 157 074 Q003700 0 074 R013700 0 074 R023700 0 074 R033700 0 074 R043700 102 074 S003700 0 074 T003700 291360 074 U013700 22097 074 U023700 0 074 V013700 13.19 074 V023700 0.00 074 W003700 0.0000 074 X003700 41 074 Y003700 0 075 A003700 0 075 B003700 143824 076 003700 0.00 015 A003801 INVESTORS BANK & TRUST COMPANY 015 B003801 C 015 C013801 BOSTON 015 C023801 MA 015 C033801 02116 015 E013801 X 024 003800 N 028 A013800 2354 028 A023800 0 028 A033800 0 028 A043800 127 028 B013800 2120 028 B023800 0 PAGE 145 028 B033800 0 028 B043800 357 028 C013800 1351 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053 C003800 N 055 A003800 N 055 B003800 N 056 003800 Y 057 003800 N 058 A003800 N 059 003800 Y 060 A003800 N 060 B003800 N 061 003800 5000000 062 A003800 Y 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 3.2 062 J003800 0.0 062 K003800 0.6 062 L003800 0.0 062 M003800 4.8 062 N003800 0.0 062 O003800 0.0 062 P003800 0.0 062 Q003800 85.2 062 R003800 5.5 063 A003800 0 063 B003800 17.0 066 A003800 N 067 003800 N 068 A003800 N PAGE 147 068 B003800 Y 069 003800 N 070 A013800 Y 070 A023800 Y 070 B013800 Y 070 B023800 N 070 C013800 Y 070 C023800 N 070 D013800 Y 070 D023800 N 070 E013800 Y 070 E023800 N 070 F013800 Y 070 F023800 N 070 G013800 Y 070 G023800 N 070 H013800 Y 070 H023800 N 070 I013800 Y 070 I023800 N 070 J013800 Y 070 J023800 N 070 K013800 Y 070 K023800 Y 070 L013800 Y 070 L023800 N 070 M013800 Y 070 M023800 N 070 N013800 Y 070 N023800 N 070 O013800 Y 070 O023800 N 070 P013800 Y 070 P023800 N 070 Q013800 N 070 Q023800 N 070 R013800 N 070 R023800 N 071 A003800 45296 071 B003800 16950 071 C003800 85877 071 D003800 20 072 A003800 12 072 B003800 2 072 C003800 8758 072 D003800 0 072 E003800 0 072 F003800 0 072 G003800 0 072 H003800 0 072 I003800 0 PAGE 148 072 J003800 14 072 K003800 0 072 L003800 0 072 M003800 2 072 N003800 29 072 O003800 0 072 P003800 0 072 Q003800 0 072 R003800 13 072 S003800 4 072 T003800 0 072 U003800 0 072 V003800 0 072 W003800 9 072 X003800 71 072 Y003800 70 072 Z003800 8759 072AA003800 10715 072BB003800 0 072CC013800 1901 072CC023800 0 072DD013800 14886 072DD023800 0 072EE003800 3920 073 A013800 1.8480 073 A023800 0.0000 073 B003800 0.4870 073 C003800 0.0000 074 A003800 533 074 B003800 0 074 C003800 0 074 D003800 0 074 E003800 0 074 F003800 0 074 G003800 0 074 H003800 0 074 I003800 100210 074 J003800 0 074 K003800 12 074 L003800 212 074 M003800 0 074 N003800 100967 074 O003800 0 074 P003800 0 074 Q003800 0 074 R013800 0 074 R023800 0 074 R033800 0 074 R043800 24 074 S003800 0 074 T003800 100943 PAGE 149 074 U013800 10047 074 U023800 0 074 V013800 10.05 074 V023800 0.00 074 W003800 0.0000 074 X003800 2 074 Y003800 0 075 A003800 0 075 B003800 86412 076 003800 0.00 015 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 BEAR STEARNS & CO., INC. 025 B003901 13-3299429 025 C003901 E 025 D003901 332 025 A003902 CITIGROUP, INC. 025 B003902 52-1568099 025 C003902 E 025 D003902 1633 025 A003903 J.P. MORGAN CHASE & CO. 025 B003903 13-3224016 025 C003903 E 025 D003903 1964 025 A003904 LEHMAN BROTHERS, INC. 025 B003904 13-2518466 025 C003904 E 025 D003904 87 025 A003905 MERRILL LYNCH & CO., INC. 025 B003905 13-5674085 025 C003905 E 025 D003905 306 025 A003906 MORGAN STANLEY., INC. 025 B003906 13-2655998 025 C003906 E 025 D003906 627 025 D003907 0 025 D003908 0 028 A013900 0 028 A023900 0 028 A033900 0 028 A043900 1100 028 B013900 0 028 B023900 180 028 B033900 0 028 B043900 0 PAGE 150 028 C013900 0 028 C023900 0 028 C033900 0 028 C043900 0 028 D013900 1065 028 D023900 213 028 D033900 0 028 D043900 0 028 E013900 0 028 E023900 0 028 E033900 0 028 E043900 14 028 F013900 0 028 F023900 0 028 F033900 0 028 F043900 5000 028 G013900 1065 028 G023900 393 028 G033900 0 028 G043900 6114 028 H003900 0 037 003900 N 038 003900 0 039 003900 N 040 003900 Y 041 003900 N 042 A003900 0 042 B003900 0 042 C003900 0 042 D003900 0 042 E003900 0 042 F003900 0 042 G003900 0 042 H003900 0 043 003900 0 044 003900 0 045 003900 Y 046 003900 N 047 003900 Y 048 003900 0.330 048 A013900 0 048 A023900 0.000 048 B013900 0 048 B023900 0.000 048 C013900 0 048 C023900 0.000 048 D013900 0 048 D023900 0.000 048 E013900 0 048 E023900 0.000 048 F013900 0 PAGE 151 048 F023900 0.000 048 G013900 0 048 G023900 0.000 048 H013900 0 048 H023900 0.000 048 I013900 0 048 I023900 0.000 048 J013900 0 048 J023900 0.000 048 K013900 0 048 K023900 0.000 049 003900 N 050 003900 N 051 003900 N 052 003900 N 053 A003900 Y 053 B003900 Y 053 C003900 N 055 A003900 Y 055 B003900 N 056 003900 Y 057 003900 N 058 A003900 N 059 003900 Y 060 A003900 N 060 B003900 N 061 003900 5000000 062 A003900 N 062 B003900 0.0 062 C003900 0.0 062 D003900 0.0 062 E003900 0.0 062 F003900 0.0 062 G003900 0.0 062 H003900 0.0 062 I003900 0.0 062 J003900 0.0 062 K003900 0.0 062 L003900 0.0 062 M003900 0.0 062 N003900 0.0 062 O003900 0.0 062 P003900 0.0 062 Q003900 0.0 062 R003900 0.0 066 A003900 Y 066 B003900 N 066 C003900 N 066 D003900 Y 066 E003900 N 066 F003900 N PAGE 152 066 G003900 N 067 003900 N 068 A003900 N 068 B003900 N 069 003900 N 070 A013900 Y 070 A023900 Y 070 B013900 Y 070 B023900 N 070 C013900 N 070 C023900 N 070 D013900 Y 070 D023900 N 070 E013900 N 070 E023900 N 070 F013900 Y 070 F023900 Y 070 G013900 Y 070 G023900 N 070 H013900 Y 070 H023900 N 070 I013900 Y 070 I023900 N 070 J013900 Y 070 J023900 N 070 K013900 Y 070 K023900 N 070 L013900 N 070 L023900 N 070 M013900 N 070 M023900 N 070 N013900 Y 070 N023900 Y 070 O013900 Y 070 O023900 N 070 P013900 Y 070 P023900 N 070 Q013900 N 070 Q023900 N 070 R013900 N 070 R023900 N 071 A003900 41559 071 B003900 54883 071 C003900 64211 071 D003900 65 072 A003900 12 072 B003900 10 072 C003900 1487 072 D003900 0 072 E003900 0 072 F003900 220 PAGE 153 072 G003900 0 072 H003900 0 072 I003900 0 072 J003900 36 072 K003900 0 072 L003900 0 072 M003900 1 072 N003900 7 072 O003900 0 072 P003900 0 072 Q003900 0 072 R003900 43 072 S003900 3 072 T003900 0 072 U003900 0 072 V003900 0 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D004002 0 025 D004003 0 025 D004004 0 025 D004005 0 025 D004006 0 025 D004007 0 025 D004008 0 028 A014000 0 028 A024000 0 028 A034000 0 028 A044000 0 028 B014000 0 028 B024000 17 028 B034000 0 028 B044000 0 028 C014000 0 028 C024000 0 028 C034000 0 028 C044000 0 028 D014000 0 028 D024000 20 028 D034000 0 028 D044000 0 028 E014000 0 028 E024000 0 028 E034000 0 028 E044000 0 PAGE 155 028 F014000 0 028 F024000 0 028 F034000 0 028 F044000 0 028 G014000 0 028 G024000 37 028 G034000 0 028 G044000 0 028 H004000 0 037 004000 N 038 004000 0 039 004000 N 040 004000 N 041 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 C014000 0 048 C024000 0.000 048 D014000 0 048 D024000 0.000 048 E014000 0 048 E024000 0.000 048 F014000 0 048 F024000 0.000 048 G014000 0 048 G024000 0.000 048 H014000 0 048 H024000 0.000 048 I014000 0 048 I024000 0.000 048 J014000 0 048 J024000 0.000 048 K014000 0 048 K024000 0.000 049 004000 N PAGE 156 050 004000 N 051 004000 N 052 004000 N 053 A004000 Y 053 B004000 Y 053 C004000 N 055 A004000 N 055 B004000 N 056 004000 Y 057 004000 N 058 A004000 N 059 004000 Y 060 A004000 N 060 B004000 N 061 004000 5000000 062 A004000 N 062 B004000 0.0 062 C004000 0.0 062 D004000 0.0 062 E004000 0.0 062 F004000 0.0 062 G004000 0.0 062 H004000 0.0 062 I004000 0.0 062 J004000 0.0 062 K004000 0.0 062 L004000 0.0 062 M004000 0.0 062 N004000 0.0 062 O004000 0.0 062 P004000 0.0 062 Q004000 0.0 062 R004000 0.0 066 A004000 Y 066 B004000 N 066 C004000 N 066 D004000 Y 066 E004000 N 066 F004000 N 066 G004000 N 067 004000 N 068 A004000 N 068 B004000 N 069 004000 N 070 A014000 Y 070 A024000 Y 070 B014000 Y 070 B024000 N 070 C014000 N 070 C024000 N 070 D014000 Y PAGE 157 070 D024000 N 070 E014000 N 070 E024000 N 070 F014000 Y 070 F024000 N 070 G014000 Y 070 G024000 N 070 H014000 Y 070 H024000 N 070 I014000 Y 070 I024000 N 070 J014000 Y 070 J024000 N 070 K014000 Y 070 K024000 N 070 L014000 Y 070 L024000 N 070 M014000 N 070 M024000 N 070 N014000 Y 070 N024000 Y 070 O014000 Y 070 O024000 N 070 P014000 Y 070 P024000 N 070 Q014000 N 070 Q024000 N 070 R014000 N 070 R024000 N 071 A004000 14802 071 B004000 20814 071 C004000 22319 071 D004000 66 072 A004000 12 072 B004000 6 072 C004000 290 072 D004000 0 072 E004000 0 072 F004000 123 072 G004000 0 072 H004000 0 072 I004000 0 072 J004000 27 072 K004000 0 072 L004000 0 072 M004000 0 072 N004000 5 072 O004000 0 072 P004000 0 072 Q004000 0 072 R004000 37 PAGE 158 072 S004000 1 072 T004000 0 072 U004000 0 072 V004000 0 072 W004000 35 072 X004000 228 072 Y004000 70 072 Z004000 138 072AA004000 2526 072BB004000 0 072CC014000 7123 072CC024000 0 072DD014000 143 072DD024000 0 072EE004000 0 073 A014000 0.0820 073 A024000 0.0000 073 B004000 0.0000 073 C004000 0.0000 074 A004000 0 074 B004000 337 074 C004000 0 074 D004000 0 074 E004000 0 074 F004000 24224 074 G004000 0 074 H004000 0 074 I004000 0 074 J004000 0 074 K004000 5 074 L004000 15 074 M004000 0 074 N004000 24581 074 O004000 0 074 P004000 13 074 Q004000 0 074 R014000 0 074 R024000 0 074 R034000 0 074 R044000 39 074 S004000 0 074 T004000 24529 074 U014000 1657 074 U024000 0 074 V014000 14.80 074 V024000 0.00 074 W004000 0.0000 074 X004000 14 074 Y004000 0 075 A004000 0 075 B004000 22523 PAGE 159 076 004000 0.00 015 A004201 BROWN BROTHERS HARRIMAN & CO. 015 B004201 C 015 C014201 BOSTON 015 C024201 MA 015 C034201 02109 015 E014201 X 024 004200 N 028 A014200 0 028 A024200 0 028 A034200 0 028 A044200 21 028 B014200 0 028 B024200 0 028 B034200 0 028 B044200 0 028 C014200 0 028 C024200 0 028 C034200 0 028 C044200 0 028 D014200 0 028 D024200 11378 028 D034200 0 028 D044200 0 028 E014200 0 028 E024200 0 028 E034200 0 028 E044200 6 028 F014200 5000 028 F024200 0 028 F034200 0 028 F044200 5000 028 G014200 5000 028 G024200 11378 028 G034200 0 028 G044200 5027 028 H004200 0 037 004200 N 038 004200 0 039 004200 N 040 004200 N 041 004200 N 042 A004200 0 042 B004200 0 042 C004200 0 042 D004200 0 042 E004200 0 042 F004200 0 042 G004200 0 042 H004200 0 043 004200 0 PAGE 160 044 004200 0 045 004200 Y 046 004200 N 047 004200 Y 048 004200 0.700 048 A014200 0 048 A024200 0.000 048 B014200 0 048 B024200 0.000 048 C014200 0 048 C024200 0.000 048 D014200 0 048 D024200 0.000 048 E014200 0 048 E024200 0.000 048 F014200 0 048 F024200 0.000 048 G014200 0 048 G024200 0.000 048 H014200 0 048 H024200 0.000 048 I014200 0 048 I024200 0.000 048 J014200 0 048 J024200 0.000 048 K014200 0 048 K024200 0.000 049 004200 N 050 004200 N 051 004200 N 052 004200 N 053 A004200 Y 053 B004200 Y 053 C004200 N 055 A004200 N 055 B004200 N 056 004200 Y 057 004200 N 058 A004200 N 059 004200 Y 060 A004200 Y 060 B004200 Y 061 004200 5000000 062 A004200 N 062 B004200 0.0 062 C004200 0.0 062 D004200 0.0 062 E004200 0.0 062 F004200 0.0 062 G004200 0.0 062 H004200 0.0 PAGE 161 062 I004200 0.0 062 J004200 0.0 062 K004200 0.0 062 L004200 0.0 062 M004200 0.0 062 N004200 0.0 062 O004200 0.0 062 P004200 0.0 062 Q004200 0.0 062 R004200 0.0 066 A004200 Y 066 B004200 N 066 C004200 N 066 D004200 Y 066 E004200 N 066 F004200 N 066 G004200 N 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 Y 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 PAGE 162 070 P014200 Y 070 P024200 N 070 Q014200 N 070 Q024200 N 070 R014200 N 070 R024200 N 071 A004200 242024 071 B004200 190729 071 C004200 612862 071 D004200 31 072 A004200 12 072 B004200 418 072 C004200 16150 072 D004200 0 072 E004200 0 072 F004200 4519 072 G004200 0 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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 Y 066 E004300 N 066 F004300 N 066 G004300 N 067 004300 N 068 A004300 N 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 Y 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 Y 070 P024300 Y 070 Q014300 N 070 Q024300 N 070 R014300 Y 070 R024300 N PAGE 167 071 A004300 160328 071 B004300 47111 071 C004300 108700 071 D004300 43 072 A004300 12 072 B004300 54 072 C004300 2480 072 D004300 0 072 E004300 0 072 F004300 449 072 G004300 0 072 H004300 0 072 I004300 37 072 J004300 201 072 K004300 0 072 L004300 0 072 M004300 2 072 N004300 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MORGAN CHASE & CO. 025 B004701 13-3224016 025 C004701 D 025 D004701 52533 025 A004702 MORGAN STANLEY & CO INC. 025 B004702 13-2655998 025 C004702 D 025 D004702 40337 025 A004703 CITIGROUP, INC. 025 B004703 52-1568099 025 C004703 D 025 D004703 15759 025 D004704 0 PAGE 180 025 D004705 0 025 D004706 0 025 D004707 0 025 D004708 0 028 A014700 72350 028 A024700 0 028 A034700 0 028 A044700 77900 028 B014700 116100 028 B024700 0 028 B034700 0 028 B044700 152375 028 C014700 106100 028 C024700 0 028 C034700 0 028 C044700 18946 028 D014700 168675 028 D024700 17201 028 D034700 0 028 D044700 112450 028 E014700 274550 028 E024700 0 028 E034700 0 028 E044700 38050 028 F014700 257975 028 F024700 0 028 F034700 0 028 F044700 87320 028 G014700 995750 028 G024700 17201 028 G034700 0 028 G044700 487041 028 H004700 0 037 004700 N 038 004700 0 039 004700 N 040 004700 N 041 004700 N 042 A004700 0 042 B004700 0 042 C004700 0 042 D004700 0 042 E004700 0 042 F004700 0 042 G004700 0 042 H004700 0 043 004700 0 044 004700 0 045 004700 Y 046 004700 N 048 004700 0.000 PAGE 181 048 A014700 0 048 A024700 0.000 048 B014700 0 048 B024700 0.000 048 C014700 0 048 C024700 0.000 048 D014700 0 048 D024700 0.000 048 E014700 0 048 E024700 0.000 048 F014700 0 048 F024700 0.000 048 G014700 0 048 G024700 0.000 048 H014700 0 048 H024700 0.000 048 I014700 0 048 I024700 0.000 048 J014700 0 048 J024700 0.000 048 K014700 0 048 K024700 0.000 049 004700 N 050 004700 N 051 004700 N 052 004700 N 053 A004700 Y 053 B004700 Y 053 C004700 N 055 A004700 N 055 B004700 N 056 004700 Y 057 004700 N 058 A004700 N 059 004700 Y 060 A004700 N 060 B004700 N 061 004700 5000000 062 A004700 Y 062 B004700 0.0 062 C004700 0.0 062 D004700 0.0 062 E004700 0.0 062 F004700 0.0 062 G004700 0.0 062 H004700 0.0 062 I004700 5.7 062 J004700 1.4 062 K004700 0.0 062 L004700 0.0 062 M004700 12.8 PAGE 182 062 N004700 5.8 062 O004700 0.0 062 P004700 5.0 062 Q004700 65.5 062 R004700 5.8 063 A004700 0 063 B004700 2.6 064 A004700 Y 064 B004700 N 066 A004700 N 067 004700 N 068 A004700 N 068 B004700 N 069 004700 N 070 A014700 Y 070 A024700 Y 070 B014700 N 070 B024700 N 070 C014700 Y 070 C024700 N 070 D014700 N 070 D024700 N 070 E014700 Y 070 E024700 N 070 F014700 N 070 F024700 N 070 G014700 Y 070 G024700 N 070 H014700 N 070 H024700 N 070 I014700 Y 070 I024700 N 070 J014700 Y 070 J024700 Y 070 K014700 Y 070 K024700 Y 070 L014700 Y 070 L024700 Y 070 M014700 Y 070 M024700 Y 070 N014700 Y 070 N024700 Y 070 O014700 Y 070 O024700 N 070 P014700 Y 070 P024700 N 070 Q014700 N 070 Q024700 N 070 R014700 N 070 R024700 N 071 A004700 892175 PAGE 183 071 B004700 396782 071 C004700 1204017 071 D004700 33 072 A004700 12 072 B004700 31581 072 C004700 0 072 D004700 0 072 E004700 0 072 F004700 0 072 G004700 0 072 H004700 0 072 I004700 0 072 J004700 145 072 K004700 0 072 L004700 0 072 M004700 28 072 N004700 0 072 O004700 0 072 P004700 22 072 Q004700 0 072 R004700 55 072 S004700 60 072 T004700 0 072 U004700 0 072 V004700 0 072 W004700 13 072 X004700 323 072 Y004700 264 072 Z004700 31522 072AA004700 0 072BB004700 13894 072CC014700 13375 072CC024700 0 072DD014700 21843 072DD024700 0 072EE004700 0 073 A014700 0.4480 073 A024700 0.0000 073 B004700 0.0000 073 C004700 0.0000 074 A004700 54338 074 B004700 0 074 C004700 124450 074 D004700 1561427 074 E004700 0 074 F004700 0 074 G004700 0 074 H004700 0 074 I004700 101220 074 J004700 611 074 K004700 20 PAGE 184 074 L004700 21700 074 M004700 190 074 N004700 1863956 074 O004700 57271 074 P004700 3 074 Q004700 0 074 R014700 0 074 R024700 0 074 R034700 0 074 R044700 55147 074 S004700 0 074 T004700 1751535 074 U014700 69553 074 U024700 0 074 V014700 25.18 074 V024700 0.00 074 W004700 0.0000 074 X004700 11 074 Y004700 13438 075 A004700 0 075 B004700 1265349 076 004700 0.00 015 A004801 INVESTORS BANK & TRUST COMPANY 015 B004801 C 015 C014801 BOSTON 015 C024801 MA 015 C034801 02116 015 E014801 X 024 004800 Y 025 A004801 CITIGROUP, INC. 025 B004801 52-1568099 025 C004801 D 025 D004801 32 025 D004802 0 025 D004803 0 025 D004804 0 025 D004805 0 025 D004806 0 025 D004807 0 025 D004808 0 028 A014800 2794 028 A024800 0 028 A034800 0 028 A044800 0 028 B014800 8957 028 B024800 0 028 B034800 0 028 B044800 0 028 C014800 63681 028 C024800 0 028 C034800 0 PAGE 185 028 C044800 0 028 D014800 21235 028 D024800 6881 028 D034800 0 028 D044800 0 028 E014800 48612 028 E024800 0 028 E034800 0 028 E044800 0 028 F014800 18447 028 F024800 0 028 F034800 0 028 F044800 0 028 G014800 163726 028 G024800 6881 028 G034800 0 028 G044800 0 028 H004800 0 037 004800 Y 038 004800 0 039 004800 N 040 004800 N 041 004800 N 042 A004800 0 042 B004800 0 042 C004800 0 042 D004800 0 042 E004800 0 042 F004800 0 042 G004800 0 042 H004800 0 043 004800 0 044 004800 0 045 004800 Y 046 004800 N 048 004800 0.000 048 A014800 0 048 A024800 0.000 048 B014800 0 048 B024800 0.000 048 C014800 0 048 C024800 0.000 048 D014800 0 048 D024800 0.000 048 E014800 0 048 E024800 0.000 048 F014800 0 048 F024800 0.000 048 G014800 0 048 G024800 0.000 048 H014800 0 PAGE 186 048 H024800 0.000 048 I014800 0 048 I024800 0.000 048 J014800 0 048 J024800 0.000 048 K014800 0 048 K024800 0.000 049 004800 N 050 004800 N 051 004800 N 052 004800 N 053 A004800 Y 053 B004800 Y 053 C004800 N 055 A004800 N 055 B004800 N 056 004800 Y 057 004800 N 058 A004800 N 059 004800 Y 060 A004800 Y 060 B004800 Y 061 004800 5000000 062 A004800 N 062 B004800 0.0 062 C004800 0.0 062 D004800 0.0 062 E004800 0.0 062 F004800 0.0 062 G004800 0.0 062 H004800 0.0 062 I004800 0.0 062 J004800 0.0 062 K004800 0.0 062 L004800 0.0 062 M004800 0.0 062 N004800 0.0 062 O004800 0.0 062 P004800 0.0 062 Q004800 0.0 062 R004800 0.0 066 A004800 Y 066 B004800 N 066 C004800 N 066 D004800 Y 066 E004800 N 066 F004800 N 066 G004800 N 067 004800 N 068 A004800 N 068 B004800 N PAGE 187 069 004800 N 070 A014800 Y 070 A024800 Y 070 B014800 N 070 B024800 N 070 C014800 N 070 C024800 N 070 D014800 N 070 D024800 N 070 E014800 N 070 E024800 N 070 F014800 N 070 F024800 N 070 G014800 N 070 G024800 N 070 H014800 N 070 H024800 N 070 I014800 N 070 I024800 N 070 J014800 N 070 J024800 N 070 K014800 Y 070 K024800 Y 070 L014800 Y 070 L024800 Y 070 M014800 Y 070 M024800 N 070 N014800 Y 070 N024800 N 070 O014800 Y 070 O024800 N 070 P014800 N 070 P024800 N 070 Q014800 N 070 Q024800 N 070 R014800 Y 070 R024800 N 071 A004800 317143 071 B004800 56827 071 C004800 138102 071 D004800 41 072 A004800 8 072 B004800 9 072 C004800 4867 072 D004800 0 072 E004800 0 072 F004800 0 072 G004800 0 072 H004800 0 072 I004800 0 072 J004800 12 PAGE 188 072 K004800 0 072 L004800 0 072 M004800 2 072 N004800 33 072 O004800 0 072 P004800 0 072 Q004800 0 072 R004800 19 072 S004800 2 072 T004800 0 072 U004800 0 072 V004800 0 072 W004800 1 072 X004800 69 072 Y004800 67 072 Z004800 4874 072AA004800 5042 072BB004800 0 072CC014800 24865 072CC024800 0 072DD014800 6471 072DD024800 0 072EE004800 982 073 A014800 0.7450 073 A024800 0.0000 073 B004800 0.1130 073 C004800 0.0000 074 A004800 0 074 B004800 32 074 C004800 0 074 D004800 0 074 E004800 0 074 F004800 0 074 G004800 0 074 H004800 0 074 I004800 287487 074 J004800 0 074 K004800 25 074 L004800 0 074 M004800 0 074 N004800 287544 074 O004800 0 074 P004800 1 074 Q004800 0 074 R014800 0 074 R024800 0 074 R034800 0 074 R044800 53 074 S004800 0 074 T004800 287490 074 U014800 11842 PAGE 189 074 U024800 0 074 V014800 24.28 074 V024800 0.00 074 W004800 0.0000 074 X004800 64 074 Y004800 0 075 A004800 0 075 B004800 138106 076 004800 0.00 015 A004901 INVESTORS BANK & TRUST COMPANY 015 B004901 C 015 C014901 BOSTON 015 C024901 MA 015 C034901 02116 015 E014901 X 024 004900 Y 025 A004901 CITIGROUP, INC. 025 B004901 52-1568099 025 C004901 D 025 D004901 2525 025 A004902 MORGAN STANLEY & CO., INC. 025 B004902 13-2655998 025 C004902 D 025 D004902 2525 025 D004903 0 025 D004904 0 025 D004905 0 025 D004906 0 025 D004907 0 025 D004908 0 028 A014900 0 028 A024900 0 028 A034900 0 028 A044900 0 028 B014900 0 028 B024900 0 028 B034900 0 028 B044900 0 028 C014900 0 028 C024900 0 028 C034900 0 028 C044900 0 028 D014900 0 028 D024900 0 028 D034900 0 028 D044900 0 028 E014900 0 028 E024900 0 028 E034900 0 028 E044900 0 028 F014900 157300 PAGE 190 028 F024900 0 028 F034900 0 028 F044900 0 028 G014900 157300 028 G024900 0 028 G034900 0 028 G044900 0 028 H004900 0 037 004900 N 038 004900 0 039 004900 N 040 004900 N 041 004900 N 042 A004900 0 042 B004900 0 042 C004900 0 042 D004900 0 042 E004900 0 042 F004900 0 042 G004900 0 042 H004900 0 043 004900 0 044 004900 0 045 004900 Y 046 004900 N 047 004900 Y 048 004900 0.330 048 A014900 0 048 A024900 0.000 048 B014900 0 048 B024900 0.000 048 C014900 0 048 C024900 0.000 048 D014900 0 048 D024900 0.000 048 E014900 0 048 E024900 0.000 048 F014900 0 048 F024900 0.000 048 G014900 0 048 G024900 0.000 048 H014900 0 048 H024900 0.000 048 I014900 0 048 I024900 0.000 048 J014900 0 048 J024900 0.000 048 K014900 0 048 K024900 0.000 049 004900 N 050 004900 N PAGE 191 051 004900 N 052 004900 N 053 A004900 Y 053 B004900 Y 053 C004900 N 055 A004900 N 055 B004900 N 056 004900 Y 057 004900 N 058 A004900 N 059 004900 Y 060 A004900 N 060 B004900 N 061 004900 5000000 062 A004900 N 062 B004900 0.0 062 C004900 0.0 062 D004900 0.0 062 E004900 0.0 062 F004900 0.0 062 G004900 0.0 062 H004900 0.0 062 I004900 0.0 062 J004900 0.0 062 K004900 0.0 062 L004900 0.0 062 M004900 0.0 062 N004900 0.0 062 O004900 0.0 062 P004900 0.0 062 Q004900 0.0 062 R004900 0.0 066 A004900 Y 066 B004900 N 066 C004900 N 066 D004900 Y 066 E004900 N 066 F004900 N 066 G004900 N 067 004900 N 068 A004900 N 068 B004900 N 069 004900 N 070 A014900 Y 070 A024900 Y 070 B014900 Y 070 B024900 N 070 C014900 N 070 C024900 N 070 D014900 Y 070 D024900 N PAGE 192 070 E014900 N 070 E024900 N 070 F014900 Y 070 F024900 Y 070 G014900 Y 070 G024900 N 070 H014900 Y 070 H024900 N 070 I014900 Y 070 I024900 N 070 J014900 Y 070 J024900 N 070 K014900 Y 070 K024900 N 070 L014900 N 070 L024900 N 070 M014900 N 070 M024900 N 070 N014900 Y 070 N024900 N 070 O014900 Y 070 O024900 N 070 P014900 Y 070 P024900 N 070 Q014900 N 070 Q024900 N 070 R014900 N 070 R024900 N 071 A004900 146676 071 B004900 3551 071 C004900 142590 071 D004900 2 072 A004900 1 072 B004900 0 072 C004900 50 072 D004900 0 072 E004900 0 072 F004900 11 072 G004900 0 072 H004900 0 072 I004900 0 072 J004900 1 072 K004900 0 072 L004900 0 072 M004900 0 072 N004900 7 072 O004900 0 072 P004900 0 072 Q004900 0 072 R004900 45 072 S004900 0 PAGE 193 072 T004900 0 072 U004900 0 072 V004900 0 072 W004900 6 072 X004900 70 072 Y004900 55 072 Z004900 35 072AA004900 0 072BB004900 39 072CC014900 0 072CC024900 496 072DD014900 0 072DD024900 0 072EE004900 0 073 A014900 0.0000 073 A024900 0.0000 073 B004900 0.0000 073 C004900 0.0000 074 A004900 93995 074 B004900 5050 074 C004900 0 074 D004900 0 074 E004900 0 074 F004900 142590 074 G004900 0 074 H004900 0 074 I004900 0 074 J004900 3551 074 K004900 55 074 L004900 9096 074 M004900 48 074 N004900 254385 074 O004900 97522 074 P004900 15 074 Q004900 0 074 R014900 0 074 R024900 0 074 R034900 0 074 R044900 47 074 S004900 0 074 T004900 156801 074 U014900 952 074 U024900 6915 074 V014900 19.93 074 V024900 19.93 074 W004900 0.0000 074 X004900 6 074 Y004900 0 075 A004900 0 075 B004900 99152 076 004900 0.00 PAGE 194 SIGNATURE SUSAN RANDALL HARBERT TITLE TREASURER EX-99 2 att77b.txt Report of Independent Accountants To the Trustees and Shareholders of GMO Trust: In planning and performing our audit of the financial statements of GMO Tax Managed Small Companies Fund, GMO U.S. Sector Fund, GMO Emerging Country Debt Share Fund, GMO Short Duration Investment Fund, GMO Domestic Bond Fund, GMO Small Cap Growth Fund, GMO Tax Managed U.S. Equities Fund, GMO Growth Fund, GMO U.S. Core Fund, GMO U.S. Quality Equity Fund, GMO Value Fund, GMO Tobacco Free Core Fund, GMO International Equity Allocation Fund, GMO Real Estate Fund, GMO Inflation Indexed Bond Fund, GMO Global Balanced Asset Allocation Fund, GMO Global (U.S.+) Equity Allocation Fund, GMO Small Cap Value Fund, GMO Benchmark Free Allocation Fund, GMO Taiwan Fund, GMO Asia Fund, GMO Intrinsic Value Fund, GMO Short Duration Collateral Fund, GMO Currency Hedged International Bond Fund, GMO Currency Hedged International Equity Fund, GMO International Intrinsic Value Fund, GMO Foreign Small Companies Fund, GMO Tax Managed International Equities Fund, GMO International Growth Fund, GMO International Bond Fund, GMO Core Plus Bond Fund, GMO Emerging Country Debt Fund, GMO Global Bond Fund, GMO Foreign Fund, GMO Global Hedged Equity Fund, GMO International Small Companies Fund, GMO Emerging Markets Fund, GMO Emerging Countries Fund and GMO International Disciplined Equity Fund (each a series of GMO Trust, hereafter referred to as the "Trust") for the year ended February 29, 2004 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 29, 2004. 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. April 22, 2004 PricewaterhouseCoopers LLP 125 High Street Boston, MA 02110-1707 Telephone (617) 530 5000 Facsimile (617) 530 5001 EX-99 3 att77d.txt Item 77D Effective as of January 8, 2004, for GMO Currency Hedged International Bond Fund, the clause "and currencies" is added after the term "countries" in the first sentence of the first paragraph under the caption "Principal investment strategies" on page 52 of the Prospectus. Effective as of January1, 2004, GMO Currency Hedged International Bond Fund's benchmark changed from the J.P. Morgan Non-U.S. Government Bond Index (Hedged) to the J.P. Morgan Non-U.S. Government Bond Index (Hedged) (ex-Japan). Effective June 30, 2003,GMO temporarily agreed to waive 0.21% of GMO Real Estate Fund's management fee. As a result, the Fund will incur management fees at the annual rate of 0.33% of the Fund's average daily net assets Effective June 30, 2003, purchase premiums and redemption fees have been reinstated for all GMO asset allocation funds Effective June 27, 2003, GMO Short-Duration Collateral Fund's investment objective was changed to the reference to LIBOR and emphasis on high total return. The fund adopted the following non-fundamental investment objective: Total return in excess of the Fund's benchmark (JP Morgan US 3-Month Cash Index) Effective June 30, 2003, GMO Trust eliminated the following non-fundamental restriction to applicable GMO Foreign Fund: With respect to Foreign Fund only, to (i) invest in interests of any general partnership, (ii) utilize margin or other borrowings to increase market exposure (such prohibition shall extend to the use of cash collateral obtained in exchange for loaned securities but does not prohibit the use of margin accounts for permissible futures trading; further, the Fund may borrow an amount equal to cash receivable from sales of stocks or securities the settlement of which is deferred under standard practice in the country of sale), (iii) pledge or otherwise encumber its assets, and (iv) invest more than 5% of its assets in any one issuer (except Government securities and bank certificates of deposit). On March 1, 2003, GMO U.S. Sector Fund's benchmark changed from the S&P 500 Index to the Russell 3000 Index. Accordingly, the paragraph on page 70 of the Prospectus under the caption "Benchmark EX-99 4 att77e.txt NSAR Item 77E: Legal Proceedings Series 15 - GMO Emerging Markets Fund Indian regulators have alleged that the Fund violated certain conditions under which it was granted permission to operate in India and have restricted a portion of the Fund's locally held assets pending resolution of the dispute. The amount of restricted assets is small relative to the size of the Fund, representing approximately 0.02% of the Fund's total assets as of February 29, 2004. The valuation of this possible claim and all matters relating to the Fund's response to these allegations are subject to the supervision and control the Trust's Board of Trustees, and all costs in respect of this matter are being borne by the Fund. EX-99 5 att77h.txt SUB-ITEM 77H The following shareholders held greater than 25% of the outstanding shares of a series of the Trust as of February 29, 2004: Fund Shareholder GMO Asia Fund Princeton University TR GMO Benchmark-Free Allocation The Ministers and Missionaries Benefit Board of American Baptist Churches GMO Core Plus Bond Fund Bost & Co A/C NYXF174740 (Verizon-Core Plus) GMO Core Plus Bond Fund Evergreen Asset Allocation Fund GMO Currency Hedged International Equity Fund Evergreen Asset Allocation Fund GMO Domestic Bond Fund Evergreen Asset Allocation Fund GMO Emerging Country Debt Share Fund Sprint Corporate Master Trust GMO Emerging Country Debt Share Fund Fidelity Investments Institutional GMO Foreign Small Companies Virginia Retiremant System GMO Global Bond Fund Fresno County Employees' Retirement Association GMO Global Bond Fund General Retirement System of The City Detroit GMO Global Hedged Equity Fund Evergreen Asset Allocation Fund GMO International Disciplined Equity Fund Mac & Co A/C KREF0756022 Kresge Foundation GMO International Disciplined Equity Fund State Street Bank & Trust Company TR GMO Intrinsic Value Fund Princeton University TR GMO Intrinsic Value Fund Corning Retirement Master Trust GMO Real Estate Fund Evergreen Asset Allocation Fund GMO Short-Duration Investment Fund Bost & Co A/C NYXF1049822 (Verizon-STIF) GMO Taiwan Fund Pension Reserves Investment Trust GMO Taiwan Fund Teachers Retirement System of The State of Illinois GMO U.S. Quality Equity Fund Evergreen Asset Allocation Fund GMO U.S. Sector Fund The Board of Trustees of the University of Illinois GMO Value Fund Nabank & Co
The following shareholders ceased to hold greater than 25% of the outstanding shares of a series of the Trust during the period March 1, 2003 through February 29, 2004: Fund Shareholder GMO Currency Hedged International Bond Fund Municipal Fire & Police Retirement System of Iowa GMO Currency Hedged International Bond Fund GMO World Equity Allocation Fund GMO Currency Hedged International Equity Fund GMO World Equity Allocation Fund GMO Domestic Bond Fund GMO World Equity Allocation Fund GMO Global (U.S.+) Equity Allocation Fund Bost & Co, Yale Trusts GMO Global Ballanced Asset Allocation Fund The Ministers and Missionaries Benefit Board of American Baptist Churches GMO World Equity Allocation Fund 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 International Disciplined Equity Fund Northern Trust Company as Custodian FB The Nathan Cummings Foundation GMO International Disciplined Equity Fund Northern Trust Company as Custodian FB Nathan Cummings Foundation GMO Lntl GMO International Intrinsic Value Fund State Street Bank as Trustee for the Electronic Data Systems Corporation GMO International Small Companies Fund Yale University GMO Small Cap Growth Fund Bost & Co A/C WFHF6202002 - FBO The Hewlett Foundation GMO Small Cap Value Fund Bost & Co A/C WFHF6202002 - FBO The Hewlett Foundation GMO U.S. Sector Fund Catholic Diocese of Kansas City-St GMO U.S. Sector Fund Wadsworth Atheneum Museum of Art GMO Value Fund Leland Stanford Junior University II
EX-99 6 att77i.txt Item 77I (a) Rule 18f-3 Plan for GMO Trust Classes I-VIII and M. The changes to the GMO Trust Rule 18f-3 plan were primarily intended to clarify the dates on which GMO shareholder services will determine the class for which each investor is eligible at that time and the process for providing notice to any investor whose investment will be converted to a class with a higher shareholder service fee. The other substantive change relates to GMO's determination as to aggregation of client accounts for purposes of determining eligibility for a particular class. (b) Effective June 27, 2003, International Disciplined Equity Fund added a new class of fund shares, Class IV. This class of shares is distinguished from the other classes by its Shareholder Service fee of .09% (Class III fee is .15%) EX-99 7 att77q1.txt Item 77Q1 (a) Attached are copies of the following Amendments to the GMO Trust Declaration of Trust Amendment No. 11: GMO U.S. Quality Equity Fund was added as a new series of the Trust Amendment No.10: GMO Benchmark-Free Allocation Fund was added as a new series of the GMO Trust Amendment No. 10: GMO Short-Term Income Fund changed its name to: GMO Short-Duration Investment Fund Amendment No. 9: GMO World Balanced Allocation Fund changed its name to: GMO Global Balanced Asset Allocation Fund (e) Attached are copies of the following investment advisory contracts with Grantham Mayo Van Otterloo & Co LLC: GMO Trust on behalf of GMO U.S. Quality Equity Fund GMO Trust on behalf of GMO Benchmark-Free Allocation Fund EX-99 8 att77q1a.txt GMO TRUST AMENDMENT NO. 11 TO AMENDED AND RESTATED AGREEMENT AND DECLARATION OF TRUST The undersigned, constituting at least a majority of the trustees of the GMO Trust, a Massachusetts business trust created and existing under an Amended and Restated Agreement and Declaration of Trust dated June 23, 2000 (the "Declaration of Trust"), a copy of which is on file in the Office of the Secretary of The Commonwealth of Massachusetts, having determined that it is desirable and appropriate to establish and designate one new series of the GMO Trust, do hereby direct that this Amendment No. 11 be filed with the Secretary of The Commonwealth of Massachusetts and do hereby amend the Declaration of Trust so that Schedule 3.6 of the Declaration of Trust is amended and restated in its entirety as attached hereto. The foregoing amendment shall become effective on January 23, 2004. IN WITNESS WHEREOF, we have hereunto set our hands for ourselves and for our successors and assigns this 5th day of December, 2003. /S/ Donald W. Glazer________________ Donald W. Glazer 225 Kenrick Street Newton, MA 02458 _________________________________ R. Jeremy Grantham 40 Rowes Wharf Boston, Massachusetts 02110 __________________________________ Jay O. Light 30 Wellesley Road Belmont, Massachusetts 02478 GMO TRUST AMENDMENT NO. 11 TO AMENDED AND RESTATED AGREEMENT AND DECLARATION OF TRUST The undersigned, constituting at least a majority of the trustees of the GMO Trust, a Massachusetts business trust created and existing under an Amended and Restated Agreement and Declaration of Trust dated June 23, 2000 (the "Declaration of Trust"), a copy of which is on file in the Office of the Secretary of The Commonwealth of Massachusetts, having determined that it is desirable and appropriate to establish and designate one new series of the GMO Trust, do hereby direct that this Amendment No. 11 be filed with the Secretary of The Commonwealth of Massachusetts and do hereby amend the Declaration of Trust so that Schedule 3.6 of the Declaration of Trust is amended and restated in its entirety as attached hereto. The foregoing amendment shall become effective on January 23, 2004. IN WITNESS WHEREOF, we have hereunto set our hands for ourselves and for our successors and assigns this 5th day of December, 2003. _________________________________ Donald W. Glazer 225 Kenrick Street Newton, MA 02458 _________________________________ R. Jeremy Grantham 40 Rowes Wharf Boston, Massachusetts 02110 /S/ Jay O. Light _______________ Jay O. Light 30 Wellesley Road Belmont, Massachusetts 02478 Schedule 3.6 to Decl. of Trust Series GMO U.S. Core Fund GMO Tobacco-Free Core Fund GMO Value Fund GMO Intrinsic Value Fund GMO Growth Fund GMO Small Cap Value Fund GMO Small Cap Growth Fund GMO Real Estate Fund GMO Tax-Managed U.S. Equities Fund GMO Tax-Managed Small Companies Fund GMO International Disciplined Equity Fund GMO International Intrinsic Value Fund GMO International Growth Fund GMO Currency Hedged International Equity Fund GMO Foreign Fund GMO Foreign Small Companies Fund GMO International Small Companies Fund GMO Emerging Markets Fund GMO Emerging Countries Fund GMO Asia Fund GMO Tax-Managed International Equities Fund GMO Domestic Bond Fund GMO Core Plus Bond Fund GMO International Bond Fund GMO Currency Hedged International Bond Fund GMO Global Bond Fund GMO Emerging Country Debt Fund GMO Short-Duration Investment Fund GMO Global Hedged Equity Fund GMO Inflation Indexed Bond Fund GMO Emerging Country Debt Share Fund GMO International Equity Allocation Fund GMO Global Balanced Asset Allocation Fund GMO Global (U.S.+) Equity Allocation Fund GMO U.S. Sector Fund GMO International Core Plus Allocation Fund GMO Alpha LIBOR Fund GMO Taiwan Fund GMO Short-Duration Collateral Fund GMO Benchmark-Free Allocation Fund GMO U.S. Quality Equity Fund EX-99 9 att77q1b.txt GMO TRUST AMENDMENT NO. 10 TO AMENDED AND RESTATED AGREEMENT AND DECLARATION OF TRUST The undersigned, constituting at least a majority of the trustees of the GMO Trust, a Massachusetts business trust created and existing under an Amended and Restated Agreement and Declaration of Trust dated June 23, 2000 (the "Declaration of Trust"), a copy of which is on file in the Office of the Secretary of The Commonwealth of Massachusetts, having determined that it is desirable and appropriate to establish and designate one new series of the GMO Trust, and to change the name of the "GMO Short-Term Income Fund," a series of the GMO Trust, to the "GMO Short-Duration Investment Fund," do hereby direct that this Amendment No. 10 be filed with the Secretary of The Commonwealth of Massachusetts and do hereby amend the Declaration of Trust so that Schedule 3.6 of the Declaration of Trust is amended and restated in its entirety as attached hereto. The foregoing amendment shall become effective on June 30, 2003. IN WITNESS WHEREOF, we have hereunto set our hands for ourselves and for our successors and assigns this 19th day of June, 2003. /S/ Donald W. Glazer_______________ Donald W. Glazer 225 Kenrick Street Newton, MA 02458 _________________________________ R. Jeremy Grantham 40 Rowes Wharf Boston, Massachusetts 02110 /S/ Jay O. Light____________________ Jay O. Light 30 Wellesley Road Belmont, Massachusetts 02478 Schedule 3.6 to Decl. of Trust Series GMO U.S. Core Fund GMO Tobacco-Free Core Fund GMO Value Fund GMO Intrinsic Value Fund GMO Growth Fund GMO Small Cap Value Fund GMO Small Cap Growth Fund GMO Real Estate Fund GMO Tax-Managed U.S. Equities Fund GMO Tax-Managed Small Companies Fund GMO International Disciplined Equity Fund GMO International Intrinsic Value Fund GMO International Growth Fund GMO Currency Hedged International Equity Fund GMO Foreign Fund GMO Foreign Small Companies Fund GMO International Small Companies Fund GMO Emerging Markets Fund GMO Emerging Countries Fund GMO Asia Fund GMO Tax-Managed International Equities Fund GMO Domestic Bond Fund GMO Core Plus Bond Fund GMO International Bond Fund GMO Currency Hedged International Bond Fund GMO Global Bond Fund GMO Emerging Country Debt Fund GMO Short-Duration Investment Fund GMO Global Hedged Equity Fund GMO Inflation Indexed Bond Fund GMO Emerging Country Debt Share Fund GMO International Equity Allocation Fund GMO Global Balanced Asset Allocation Fund GMO Global (U.S.+) Equity Allocation Fund GMO U.S. Sector Fund GMO International Core Plus Allocation Fund GMO Alpha LIBOR Fund GMO Taiwan Fund GMO Short-Duration Collateral Fund GMO Benchmark-Free Allocation Fund EX-99 10 att77q1c.txt GMO TRUST AMENDMENT NO. 9 TO AMENDED AND RESTATED AGREEMENT AND DECLARATION OF TRUST The undersigned, constituting at least a majority of the trustees of the GMO Trust, a Massachusetts business trust created and existing under an Amended and Restated Agreement and Declaration of Trust dated June 23, 2000 (the "Declaration of Trust"), a copy of which is on file in the Office of the Secretary of The Commonwealth of Massachusetts, having determined that it is desirable and appropriate to change the name of the "GMO World Balanced Allocation Fund," a series of the GMO Trust, to the "GMO Global Balanced Asset Allocation Fund", and to rescind the establishment and designation of the GMO Pelican Fund series, do hereby direct that this Amendment No. 9 be filed with the Secretary of The Commonwealth of Massachusetts and do hereby amend the Declaration of Trust so that Schedule 3.6 of the Declaration of Trust is amended and restated in its entirety as attached hereto. The foregoing amendment shall become effective on June 30, 2003. IN WITNESS WHEREOF, we have hereunto set our hands for ourselves and for our successors and assigns this 19th day of June, 2003. /S/ Donald W. Glazer_______________ Donald W. Glazer 225 Kenrick Street Newton, MA 02458 /S/ R. Jeremy Grantham______________ R. Jeremy Grantham 40 Rowes Wharf Boston, Massachusetts 02110 /S/ Jay O. Light____________________ Jay O. Light 30 Wellesley Road Belmont, Massachusetts 02478 Schedule 3.6 to Decl. of Trust Series GMO U.S. Core Fund GMO Tobacco-Free Core Fund GMO Value Fund GMO Intrinsic Value Fund GMO Growth Fund GMO Small Cap Value Fund GMO Small Cap Growth Fund GMO Real Estate Fund GMO Tax-Managed U.S. Equities Fund GMO Tax-Managed Small Companies Fund GMO International Disciplined Equity Fund GMO International Intrinsic Value Fund GMO International Growth Fund GMO Currency Hedged International Equity Fund GMO Foreign Fund GMO Foreign Small Companies Fund GMO International Small Companies Fund GMO Emerging Markets Fund GMO Emerging Countries Fund GMO Asia Fund GMO Tax-Managed International Equities Fund GMO Domestic Bond Fund GMO Core Plus Bond Fund GMO International Bond Fund GMO Currency Hedged International Bond Fund GMO Global Bond Fund GMO Emerging Country Debt Fund GMO Short-Term Income Fund GMO Global Hedged Equity Fund GMO Inflation Indexed Bond Fund GMO Emerging Country Debt Share Fund GMO International Equity Allocation Fund GMO Global Balanced Asset Allocation Fund GMO Global (U.S.+) Equity Allocation Fund GMO U.S. Sector Fund GMO International Core Plus Allocation Fund GMO Alpha LIBOR Fund GMO Taiwan Fund GMO Short-Duration Collateral Fund EX-99 11 att77q1d.txt MANAGEMENT CONTRACT Management Contract executed as of January 23, 2004 between GMO TRUST, a Massachusetts business trust (the "Trust") on behalf of its GMO U.S. Quality Equity Fund (the "Fund"), and GRANTHAM, MAYO, VAN OTTERLOO & CO. LLC, a Massachusetts limited liability company (the "Manager"). W I T N E S S E T H: That in consideration of the mutual covenants herein contained, it is agreed as follows: 1. SERVICES TO BE RENDERED BY MANAGER TO THE TRUST. (a) Subject always to the control of the Trustees of the Trust and to such policies as the Trustees may determine, the Manager will, at its expense, (i) furnish continuously an investment program for the Fund and will make investment decisions on behalf of the Fund and place all orders for the purchase and sale of its portfolio securities and (ii) furnish office space and equipment, provide bookkeeping and clerical services (excluding determination of net asset value, shareholder accounting services and the fund accounting services for the Fund being supplied by Investors Bank & Trust Company or such other administrator as the Fund may engage from time to time) and pay all salaries, fees and expenses of officers and Trustees of the Trust who are affiliated with the Manager. In the performance of its duties, the Manager will comply with the provisions of the Agreement and Declaration of Trust and By-laws of the Trust and the Fund's stated investment objective, policies and restrictions. (b) In placing orders for the portfolio transactions of the Fund, the Manager will seek the best price and execution available, except to the extent it may be permitted to pay higher brokerage commissions for brokerage and research services as described below. In using its best efforts to obtain for the Fund the most favorable price and execution available, the Manager shall consider all factors it deems relevant, including, without limitation, the overall net economic result to the Fund (involving price paid or received and any commissions and other costs paid), the efficiency with which the transaction is effected, the ability to effect the transaction at all where a large block is involved, availability of the broker to stand ready to execute possibly difficult transactions in the future and financial strength and stability of the broker. Subject to such policies as the Trustees may determine, the Manager shall not be deemed to have acted unlawfully or to have breached any duty created by this Contract or otherwise solely by reason of its having caused a Fund to pay a broker or dealer that provides brokerage and research services to the Manager an amount of commission for effecting a portfolio investment transaction in excess of the amount of commission another broker or dealer would have charged for effecting that transaction, if the Manager determines in good faith that such amount of commission was reasonable in relation to the value of the brokerage and research services provided by such broker or dealer, viewed in terms of either that particular transaction or the Manager's overall responsibilities with respect to the Trust and to other clients of the Manager as to which the Manager exercises investment discretion. (c) The Manager shall not be obligated under this agreement to pay any expenses of or for the Trust or of or for the Fund not expressly assumed by the Manager pursuant to this Section 1 other than as provided in Section 3. 2. OTHER AGREEMENTS, ETC. It is understood that any of the shareholders, Trustees, officers and employees of the Trust may be a partner, shareholder, director, officer or employee of, or be otherwise interested in, the Manager, and in any person controlled by or under common control with the Manager, and that the Manager and any person controlled by or under common control with the Manager may have an interest in the Trust. It is also understood that the Manager and persons controlled by or under common control with the Manager have and may have advisory, management service, distribution or other contracts with other organizations and persons, and may have other interests and businesses. 3. COMPENSATION TO BE PAID BY THE TRUST TO THE MANAGER. The Fund will pay to the Manager as compensation for the Manager's services rendered, for the facilities furnished and for the expenses borne by the Manager pursuant to Section 1, a fee, computed and paid monthly at the annual rate of 0.33% of the Fund's average daily net asset value. Such average daily net asset value of the Fund shall be determined by taking an average of all of the determinations of such net asset value during such month at the close of business on each business day during such month while this Contract is in effect. Such fee shall be payable for each month within five (5) business days after the end of such month. In the event that expenses of the Fund for any fiscal year should exceed the expense limitation on investment company expenses imposed by any statute or regulatory authority of any jurisdiction in which shares of the Trust are qualified for offer and sale, the compensation due the Manager for such fiscal year shall be reduced by the amount of such excess by a reduction or refund thereof. In the event that the expenses of the Fund exceed any expense limitation which the Manager may, by written notice to the Trust, voluntarily declare to be effective with respect to the Fund, subject to such terms and conditions as the Manager may prescribe in such notice, the compensation due the Manager shall be reduced, and, if necessary, the Manager shall bear the Fund's expenses to the extent required by such expense limitation. If the Manager shall serve for less than the whole of a month, the foregoing compensation shall be prorated. 4. ASSIGNMENT TERMINATES THIS CONTRACT; AMENDMENTS OF THIS CONTRACT. This Contract shall automatically terminate, without the payment of any penalty, in the event of its assignment; and this Contract shall not be amended unless such amendment is approved at a meeting by the affirmative vote of a majority of the outstanding shares of the Fund, and by the vote, cast in person at a meeting called for the purpose of voting on such approval, of a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager. 5. EFFECTIVE PERIOD AND TERMINATION OF THIS CONTRACT. This Contract shall become effective upon its execution, and shall remain in full force and effect continuously thereafter (unless terminated automatically as set forth in Section 4) until terminated as follows: (a) Either party hereto may at any time terminate this Contract by not more than sixty days' written notice delivered or mailed by registered mail, postage prepaid, to the other party, or (b) If (i) the Trustees of the Trust or the shareholders by the affirmative vote of a majority of the outstanding shares of the Fund, and (ii) a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager, by vote cast in person at a meeting called for the purpose of voting on such approval, do not specifically approve at least annually the continuance of this Contract, then this Contract shall automatically terminate at the close of business on the second anniversary of its execution, or upon the expiration of one year from the effective date of the last such continuance, whichever is later; provided, however, that if the continuance of this Contract is submitted to the shareholders of the Fund for their approval and such shareholders fail to approve such continuance of this Contract as provided herein, the Manager may continue to serve hereunder in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder. Action by the Trust under (a) above may be taken either (i) by vote of a majority of its Trustees, or (ii) by the affirmative vote of a majority of the outstanding shares of the Fund. Termination of this Contract pursuant to this Section 5 shall be without the payment of any penalty. 6. CERTAIN DEFINITIONS. For the purposes of this Contract, the "affirmative vote of a majority of the outstanding shares" of the Fund means the affirmative vote, at a duly called and held meeting of shareholders, (a) of the holders of 67% or more of the shares of the Fund present (in person or by proxy) and entitled to vote at such meeting, if the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting are present in person or by proxy, or (b) of the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting, whichever is less. For the purposes of this Contract, the terms "affiliated person", "control", "interested person" and "assignment" shall have their respective meanings defined in the Investment Company Act of 1940 and the rules and regulations thereunder, subject, however, to such exemptions as may be granted by the Securities and Exchange Commission under said Act; and the phrase "specifically approve at least annually" shall be construed in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder. 7. NONLIABILITY OF MANAGER. In the absence of willful misfeasance, bad faith or gross negligence on the part of the Manager, or reckless disregard of its obligations and duties hereunder, the Manager shall not be subject to any liability to the Trust, or to any shareholder of the Trust, for any act or omission in the course of, or connected with, rendering services hereunder. 8. INITIALS "GMO". The Manager owns the initials "GMO" which may be used by the Trust only with the consent of the Manager. The Manager consents to the use by the Trust of the name "GMO Trust" or any other name embodying the initials "GMO", in such forms as the Manager shall in writing approve, but only on condition and so long as (i) this Contract shall remain in full force and (ii) the Trust shall fully perform, fulfill and comply with all provisions of this Contract expressed herein to be performed, fulfilled or complied with by it. No such name shall be used by the Trust at any time or in any place or for any purposes or under any conditions except as in this section provided. The foregoing authorization by the Manager to the Trust to use said initials as part of a business or name is not exclusive of the right of the Manager itself to use, or to authorize others to use, the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to authorize others to use the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to use, or authorize others to use, said initials and the Trust agrees to take such action as may reasonably be requested by the Manager to give full effect to the provisions of this section (including, without limitation, consenting to such use of said initials). Without limiting the generality of the foregoing, the Trust agrees that, upon any termination of this Contract by either party or upon the violation of any of its provisions by the Trust, the Trust will, at the request of the Manager made within six months after the Manager has knowledge of such termination or violation, use its best efforts to change the name of the Trust so as to eliminate all reference, if any, to the initials "GMO" and will not thereafter transact any business in a name containing the initials "GMO" in any form or combination whatsoever, or designate itself as the same entity as or successor to an entity of such name, or otherwise use the initials "GMO" or any other reference to the Manager. Such covenants on the part of the Trust shall be binding upon it, its trustees, officers, stockholders, creditors and all other persons claiming under or through it. 9. LIMITATION OF LIABILITY OF THE TRUSTEES AND SHAREHOLDERS. A copy of the Agreement and Declaration of Trust of the Trust is on file with the Secretary of The Commonwealth of Massachusetts, and notice is hereby given that this instrument is executed on behalf of the Trustees of the Trust as Trustees and not individually and that the obligations of this instrument are not binding upon any of the Trustees or shareholders individually but are binding only upon the assets and property of the Fund. IN WITNESS WHEREOF, GMO TRUST and GRANTHAM, MAYO, VAN OTTERLOO & CO. LLC have each caused this instrument to be signed in duplicate on its behalf by its duly authorized representative, all as of the day and year first above written. GMO TRUST By_______________________________________ Title: GRANTHAM, MAYO, VAN OTTERLOO & CO. LLC By_______________________________________ Title: EX-99 12 att77q1e.txt MANAGEMENT CONTRACT Management Contract executed as of June 19, 2003 between GMO TRUST, a Massachusetts business trust (the "Trust") on behalf of its GMO Benchmark-Free Allocation Fund (the "Fund"), and GRANTHAM, MAYO, VAN OTTERLOO & CO. LLC, a Massachusetts limited liability company (the "Manager"). W I T N E S S E T H: That in consideration of the mutual covenants herein contained, it is agreed as follows: 1. SERVICES TO BE RENDERED BY MANAGER TO THE TRUST. (a) Subject always to the control of the Trustees of the Trust and to such policies as the Trustees may determine, the Manager will, at its expense, (i) furnish continuously an asset allocation program for the Fund and will make investment decisions on behalf of the Fund and place all orders for the purchase and sale of its portfolio securities and (ii) furnish office space and equipment, provide certain bookkeeping and clerical services (excluding without limitation determination of net asset value, shareholder accounting services and the fund accounting services for the Fund) and pay all salaries, fees and expenses of officers and Trustees of the Trust who are affiliated with the Manager. In the performance of its duties, the Manager will comply with the provisions of the Agreement and Declaration of Trust and By-laws of the Trust and the Fund's stated investment objective, policies and restrictions. (b) In placing orders for the portfolio transactions of the Fund, the Manager will seek the best price and execution available, except to the extent it may be permitted to pay higher brokerage commissions for brokerage and research services as described below. In using its best efforts to obtain for the Fund the most favorable price and execution available, the Manager shall consider all factors it deems relevant, including, without limitation, the overall net economic result to the Fund (involving price paid or received and any commissions and other costs paid), the efficiency with which the transaction is effected, the ability to effect the transaction at all where a large block is involved, availability of the broker to stand ready to execute possibly difficult transactions in the future and financial strength and stability of the broker. Subject to such policies as the Trustees may determine, the Manager shall not be deemed to have acted unlawfully or to have breached any duty created by this Contract or otherwise solely by reason of its having caused a Fund to pay a broker or dealer that provides brokerage and research services to the Manager an amount of commission for effecting a portfolio investment transaction in excess of the amount of commission another broker or dealer would have charged for effecting that transaction, if the Manager determines in good faith that such amount of commission was reasonable in relation to the value of the brokerage and research services provided by such broker or dealer, viewed in terms of either that particular transaction or the Manager's overall responsibilities with respect to the Trust and to other clients of the Manager as to which the Manager exercises investment discretion. (c) The Manager shall not be obligated under this agreement to pay any expenses of or for the Trust or of or for the Fund not expressly assumed by the Manager pursuant to this Section 1 other than as provided in Section 3. 2. OTHER AGREEMENTS, ETC. It is understood that any of the shareholders, Trustees, officers and employees of the Trust may be a partner, shareholder, director, officer or employee of, or be otherwise interested in, the Manager, and in any person controlled by or under common control with the Manager, and that the Manager and any person controlled by or under common control with the Manager may have an interest in the Trust. It is also understood that the Manager and persons controlled by or under common control with the Manager have and may have advisory, management service, distribution or other contracts with other organizations and persons, and may have other interests and businesses. 3. COMPENSATION TO BE PAID BY THE TRUST TO THE MANAGER. The Fund will pay no direct fee to the Manager as compensation for the Manager's services rendered hereunder. Since the Manager intends to invest most or all of the Fund's assets in other Funds of the Trust, the Manager will be indirectly compensated for its services rendered hereunder pursuant to the terms of other Management Contracts between the Trust, on behalf of other Funds of the Trust, and the Manager. In the event that expenses of the Fund for any fiscal year should exceed the expense limitation on investment company expenses imposed by any statute or regulatory authority of any jurisdiction in which shares of the Trust are qualified for offer and sale, the compensation due the Manager for such fiscal year shall be reduced by the amount of such excess by a reduction or refund thereof. In the event that the expenses of the Fund exceed any expense limitation which the Manager may, by written notice to the Trust, voluntarily declare to be effective with respect to the Fund, subject to such terms and conditions as the Manager may prescribe in such notice, the compensation due the Manager shall be reduced, and, if necessary, the Manager shall bear the Fund's expenses to the extent required by such expense limitation. If the Manager shall serve for less than the whole of a month, the foregoing compensation shall be prorated. 4. ASSIGNMENT TERMINATES THIS CONTRACT; AMENDMENTS OF THIS CONTRACT. This Contract shall automatically terminate, without the payment of any penalty, in the event of its assignment; and this Contract shall not be amended unless such amendment is approved at a meeting by the affirmative vote of a majority of the outstanding shares of the Fund, and by the vote, cast in person at a meeting called for the purpose of voting on such approval, of a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager. 5. EFFECTIVE PERIOD AND TERMINATION OF THIS CONTRACT. This Contract shall become effective upon its execution, and shall remain in full force and effect continuously thereafter (unless terminated automatically as set forth in Section 4) until terminated as follows: (a) Either party hereto may at any time terminate this Contract by not more than sixty days' written notice delivered or mailed by registered mail, postage prepaid, to the other party, or (b) If (i) the Trustees of the Trust or the shareholders by the affirmative vote of a majority of the outstanding shares of the Fund, and (ii) a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager, by vote cast in person at a meeting called for the purpose of voting on such approval, do not specifically approve at least annually the continuance of this Contract, then this Contract shall automatically terminate at the close of business on the second anniversary of its execution, or upon the expiration of one year from the effective date of the last such continuance, whichever is later; provided, however, that if the continuance of this Contract is submitted to the shareholders of the Fund for their approval and such shareholders fail to approve such continuance of this Contract as provided herein, the Manager may continue to serve hereunder in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder. Action by the Trust under (a) above may be taken either (i) by vote of a majority of its Trustees, or (ii) by the affirmative vote of a majority of the outstanding shares of the Fund. Termination of this Contract pursuant to this Section 5 shall be without the payment of any penalty. 6. CERTAIN DEFINITIONS. For the purposes of this Contract, the "affirmative vote of a majority of the outstanding shares" of the Fund means the affirmative vote, at a duly called and held meeting of shareholders, (a) of the holders of 67% or more of the shares of the Fund present (in person or by proxy) and entitled to vote at such meeting, if the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting are present in person or by proxy, or (b) of the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting, whichever is less. For the purposes of this Contract, the terms "affiliated person", "control", "interested person" and "assignment" shall have their respective meanings defined in the Investment Company Act of 1940 and the rules and regulations thereunder, subject, however, to such exemptions as may be granted by the Securities and Exchange Commission under said Act; and the phrase "specifically approve at least annually" shall be construed in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder. 7. NONLIABILITY OF MANAGER. In the absence of willful misfeasance, bad faith or gross negligence on the part of the Manager, or reckless disregard of its obligations and duties hereunder, the Manager shall not be subject to any liability to the Trust, or to any shareholder of the Trust, for any act or omission in the course of, or connected with, rendering services hereunder. 8. INITIALS "GMO". The Manager owns the initials "GMO" which may be used by the Trust only with the consent of the Manager. The Manager consents to the use by the Trust of the name "GMO Trust" or any other name embodying the initials "GMO", in such forms as the Manager shall in writing approve, but only on condition and so long as (i) this Contract shall remain in full force and (ii) the Trust shall fully perform, fulfill and comply with all provisions of this Contract expressed herein to be performed, fulfilled or complied with by it. No such name shall be used by the Trust at any time or in any place or for any purposes or under any conditions except as in this section provided. The foregoing authorization by the Manager to the Trust to use said initials as part of a business or name is not exclusive of the right of the Manager itself to use, or to authorize others to use, the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to authorize others to use the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to use, or authorize others to use, said initials and the Trust agrees to take such action as may reasonably be requested by the Manager to give full effect to the provisions of this section (including, without limitation, consenting to such use of said initials). Without limiting the generality of the foregoing, the Trust agrees that, upon any termination of this Contract by either party or upon the violation of any of its provisions by the Trust, the Trust will, at the request of the Manager made within six months after the Manager has knowledge of such termination or violation, use its best efforts to change the name of the Trust so as to eliminate all reference, if any, to the initials "GMO" and will not thereafter transact any business in a name containing the initials "GMO" in any form or combination whatsoever, or designate itself as the same entity as or successor to an entity of such name, or otherwise use the initials "GMO" or any other reference to the Manager. Such covenants on the part of the Trust shall be binding upon it, its trustees, officers, stockholders, creditors and all other persons claiming under or through it. 9. LIMITATION OF LIABILITY OF THE TRUSTEES AND SHAREHOLDERS. A copy of the Agreement and Declaration of Trust of the Trust is on file with the Secretary of The Commonwealth of Massachusetts, and notice is hereby given that this instrument is executed on behalf of the Trustees of the Trust as Trustees and not individually and that the obligations of this instrument are not binding upon any of the Trustees or shareholders individually but are binding only upon the assets and property of the Fund. IN WITNESS WHEREOF, GMO TRUST and GRANTHAM, MAYO, VAN OTTERLOO & CO. LLC have each caused this instrument to be signed in duplicate on its behalf by its duly authorized representative, all as of the day and year first above written. GMO TRUST By /S/ Elaine M. Hartnett _____________ Title: Elaine M. Hartnett, Vice President GRANTHAM, MAYO, VAN OTTERLOO & CO. LLC By /S/ William R. Royer________________ Title: William R. Royer, Partner, General Counsel EX-99 13 avgnet77p.txt GMO Trust FYE 2/29/2004 Attachment Filed in Response to Form N-SAR Sub-Item 77P Monthly Average Assets Fund Name March April May Core Fund $ 2,398,967,243 $ 2,578,008,775 $ 2,735,544,290 Growth Fund 345,963,935 377,641,370 397,968,777 Value Fund 94,671,743 52,585,776 56,494,115 Short-Duration Investment Fund 50,405,604 49,160,043 47,275,745 International Intrinsic Value Fund 1,238,794,462 1,303,111,193 1,429,923,367 Tobacco-Free Core Fund 476,397,601 507,961,623 538,751,042 International Small Companies Fund 537,535,247 579,021,490 710,291,451 Small Cap Value Fund 146,998,688 159,445,038 155,883,388 U.S. Sector Fund 13,141,379 13,722,415 14,793,831 International Bond Fund 124,615,393 127,949,097 140,938,760 Small Cap Growth Fund 18,289,642 20,354,553 20,721,148 Emerging Markets Fund 2,232,197,473 2,470,752,495 2,703,068,157 Emerging Country Debt Fund 1,442,902,198 1,464,400,269 1,544,707,200 Global Hedged Equity Fund 26,702,030 29,021,622 31,682,673 Domestic Bond Fund 115,300,312 124,357,890 135,262,784 Currency Hedged International Bond Fund 20,193,743 20,511,518 21,152,494 Inflation Indexed Bond Fund 274,098,128.18 263,931,658 281,049,258 Currency Hedged International Equity Fund 30,347,914 35,890,498 41,705,563 Global Bond Fund 230,774,008 203,145,213 159,273,696 Real Estate Fund 144,005,098 151,300,547 162,375,117 Foreign Fund 1,753,028,026 2,020,686,561 2,290,693,475 International Equity Allocation Fund 102,535,375 74,783,084 79,435,447 Global (U.S.+) Equity Allocation Fund 83,193,497 98,871,966 107,917,968 Global Balanced Asset Allocation Fund 304,626,273 324,651,695 345,587,990 Core PlU.S. Bond Fund 274,457,956 284,198,358 299,300,505 Emerging Countries Fund 92,363,172 120,859,661 142,749,891 Asia Fund 104,069,230 109,845,034 114,524,655 Tax-Managed U.S. Equities Fund 40,256,743 41,555,206 45,500,165 Tax-Managed Small Companies Fund 20,571,553 21,573,381 23,261,515 Intrinsic Value Fund 61,468,041 63,936,530 68,449,791 Alpha LIBOR Fund 260,335,562 255,252,515 248,405,316 U.S. Quality Equity Fund 0 0 0 Tax-Managed International Equities Fund 95,299,214 100,368,157 110,525,951 Emerging Country Debt Share Fund 67,940,185 72,302,954 78,831,589 Foreign Small Companies Fund 471,594,182 502,143,286 561,969,599 International Disciplined Equity 67,089,238 69,287,901 75,156,507 International Growth Fund 182,987,472 191,850,281 209,297,905 Short-Duration Collateral Fund 1,126,896,190 1,115,586,973 1,119,842,610 Taiwan Fund 50,203,592 73,398,220 71,597,321 Total 15,121,217,339 16,073,424,845 17,321,911,058 Fund Name June July AugU.S.t Core Fund $ 2,955,802,092 $ 2,967,606,840 $ 2,968,890,726 Growth Fund 406,721,592 398,349,508 390,636,959 Value Fund 59,823,972 60,443,187 58,720,453 Short-Duration Investment Fund 47,368,580 47,117,729 46,897,578 International Intrinsic Value Fund 1,549,690,061 1,583,400,168 1,629,261,316 Tobacco-Free Core Fund 577,095,046 583,325,818 579,001,138 International Small Companies Fund 800,994,977 918,099,507 1,010,224,590 Small Cap Value Fund 176,551,103 187,823,665 183,413,264 U.S. Sector Fund 15,788,091 39,973,665 44,305,808 International Bond Fund 146,171,698 149,489,130 153,466,125 Small Cap Growth Fund 30,863,474 35,313,876 34,235,275 Emerging Markets Fund 3,108,029,301 3,525,806,134 3,787,801,265 Emerging Country Debt Fund 1,524,392,609 1,472,053,508 1,415,192,267 Global Hedged Equity Fund 35,197,679 40,127,300 46,893,508 Domestic Bond Fund 155,230,914 164,826,609 176,072,746 Currency Hedged International Bond Fund 21,592,128 21,306,029 21,793,819 Inflation Indexed Bond Fund 280,647,943 292,473,456 335,965,056 Currency Hedged International Equity Fund 47,723,809 51,491,581 61,246,934 Global Bond Fund 144,556,003 135,410,775 128,519,723 Real Estate Fund 175,705,369 191,875,420 190,352,985 Foreign Fund 2,553,858,153 2,772,148,515 2,845,296,669 International Equity Allocation Fund 90,792,060 102,661,295 105,819,550 Global (U.S.+) Equity Allocation Fund 116,213,964 125,025,861 128,260,809 Global Balanced Asset Allocation Fund 218,526,744 213,075,399 296,847,869 Core PlU.S. Bond Fund 315,072,429 327,140,926 344,790,779 Emerging Countries Fund 176,095,869 190,050,720 199,052,241 Asia Fund 128,960,943 138,205,820 142,349,312 Tax-Managed U.S. Equities Fund 49,969,760 50,589,185 47,601,220 Tax-Managed Small Companies Fund 25,068,077 21,432,754 20,032,477 Intrinsic Value Fund 63,277,719 57,748,493 62,145,156 Alpha LIBOR Fund 247,530,767 247,065,832 246,719,204 U.S. Quality Equity Fund 0 0 0 Tax-Managed International Equities Fund 118,359,767 124,389,685 124,520,791 Emerging Country Debt Share Fund 88,060,680 86,642,334 81,504,196 Foreign Small Companies Fund 591,107,861 603,426,939 616,341,824 International Disciplined Equity 91,940,046 101,927,982 102,848,029 International Growth Fund 199,306,851 203,755,766 222,713,527 Short-Duration Collateral Fund 1,179,661,121 1,214,898,360 1,222,160,579 Taiwan Fund 80,099,057 86,288,807 91,683,344 Benchmark-Free Allocation 2,976,670 70,054,354 Total 18,593,848,308 19,535,765,249 20,233,633,464 Fund Name September October November Core Fund $ 3,083,505,245 $ 3,223,421,488 $ 3,369,747,031 Growth Fund 412,351,864 422,791,672 428,942,029 Value Fund 58,631,019 59,140,177 60,252,059 Short-Duration Investment Fund 46,891,533 46,885,292 46,253,045 International Intrinsic Value Fund 1,704,241,685 1,811,416,115 1,880,621,872 Tobacco-Free Core Fund 596,452,310 599,706,878 594,358,244 International Small Companies Fund 1,136,278,880 1,208,141,365 1,244,892,009 Small Cap Value Fund 195,758,601 210,258,432 224,081,633 U.S. Sector Fund 49,714,818 62,535,756 67,179,288 International Bond Fund 161,117,425 177,172,539 178,088,870 Small Cap Growth Fund 36,922,409 39,105,110 40,567,635 Emerging Markets Fund 4,276,553,917 4,877,092,594 5,330,552,365 Emerging Country Debt Fund 1,516,010,286 1,552,733,188 1,593,020,900 Global Hedged Equity Fund 50,206,973 54,295,004 54,874,363 Domestic Bond Fund 197,035,815 218,487,131 241,079,636 Currency Hedged International Bond Fund 22,405,369 22,651,946 22,929,811 Inflation Indexed Bond Fund 363,677,899 389,782,246 450,137,377 Currency Hedged International Equity Fund 70,956,770 85,512,883 99,748,062 Global Bond Fund 125,329,897 129,568,012 125,023,414 Real Estate Fund 194,477,382 200,062,580 187,455,758 Foreign Fund 3,018,629,015 3,228,336,141 3,339,429,660 International Equity Allocation Fund 116,237,663 124,851,505 128,783,625 Global (U.S.+) Equity Allocation Fund 134,073,552 182,645,647 193,740,345 Global Balanced Asset Allocation Fund 329,336,830 347,618,679 364,475,956 Core PlU.S. Bond Fund 369,199,597 392,596,564 416,493,548 Emerging Countries Fund 215,291,684 230,770,713 246,663,419 Asia Fund 153,388,793 167,190,781 144,177,243 Tax-Managed U.S. Equities Fund 52,323,926 52,953,872 53,918,068 Tax-Managed Small Companies Fund 21,188,760 21,848,632 22,634,785 Intrinsic Value Fund 65,401,505 66,090,997 67,859,641 U.S. Quality Equity Fund 0 0 0 Alpha LIBOR Fund 245,293,270 224,268,495 223,805,487 Tax-Managed International Equities Fund 132,322,461 142,451,657 145,949,655 Emerging Country Debt Share Fund 86,761,939 90,239,846 93,294,433 Foreign Small Companies Fund 648,809,845 693,822,713 712,141,980 International Disciplined Equity 107,881,952 114,339,496 129,596,443 International Growth Fund 254,881,024 311,900,566 349,031,784 Short-Duration Collateral Fund 1,214,120,465 1,219,466,225 1,234,236,569 Taiwan Fund 117,751,643 142,788,051 149,439,354 Benchmark-Free Allocation Fund 94,683,926 104,901,218 169,258,427 Total 21,676,097,945 23,249,842,205 24,424,735,820 Fund Name December January February Core Fund $ 3,572,043,443 $ 3,876,255,519 $ 4,027,019,996 Growth Fund 455,027,771 522,589,456 627,306,990 Value Fund 62,656,164 61,684,860 60,121,743 Short-Duration Investment Fund 45,437,122 44,279,735 44,096,630 International Intrinsic Value Fund 2,056,784,612 2,239,472,439 2,280,555,956 Tobacco-Free Core Fund 610,605,700 589,903,823 583,237,065 International Small Companies Fund 1,330,523,728 1,467,036,281 1,575,977,000 Small Cap Value Fund 234,426,231 233,668,239 229,197,434 U.S. Sector Fund 68,772,019 72,427,627 73,068,972 International Bond Fund 193,961,282 220,752,764 266,886,087 Small Cap Growth Fund 39,752,644 41,571,168 41,507,892 Emerging Markets Fund 6,032,313,183 6,834,912,809 6,957,342,340 Emerging Country Debt Fund 1,719,717,084 2,079,887,405 2,155,175,347 Global Hedged Equity Fund 60,446,860 65,295,251 71,162,949 Domestic Bond Fund 275,853,944 313,832,226 350,191,320 Currency Hedged International Bond Fund 24,237,905 123,250,971 212,607,302 Inflation Indexed Bond Fund 484,611,858 421,276,257 414,098,814 Currency Hedged International Equity Fund 118,404,216 137,403,894 151,473,896 Global Bond Fund 129,313,277 136,693,674 139,160,706 Real Estate Fund 193,044,887 179,469,987 186,997,354 Foreign Fund 3,523,527,960 3,758,092,407 3,916,333,014 International Equity Allocation Fund 158,322,869 214,245,496 241,500,865 Global (U.S.+) Equity Allocation Fund 202,590,605 213,477,102 219,207,130 Global Balanced Asset Allocation Fund 394,908,919 430,559,134 444,619,255 Core PlU.S. Bond Fund 456,168,214 506,264,905 565,927,376 Emerging Countries Fund 266,083,680 294,675,455 300,432,956 Asia Fund 138,116,442 155,590,684 144,490,018 Tax-Managed U.S. Equities Fund 55,169,421 59,666,281 61,987,262 Tax-Managed Small Companies Fund 23,099,264 24,271,385 24,336,534 Intrinsic Value Fund 70,693,727 75,614,694 76,424,250 Alpha LIBOR Fund 223,824,708 223,581,804 224,667,277 U.S. Quality Equity Fund 0 0 59,838,866 Tax-Managed International Equities Fund 158,700,496 203,269,625 285,456,804 Emerging Country Debt Share Fund 97,360,323 102,558,270 100,168,072 Foreign Small Companies Fund 743,623,565 795,124,750 813,263,738 International Disciplined Equity 137,766,508 154,223,431 198,679,154 International Growth Fund 412,341,993 470,447,901 516,291,386 Short- Duration Collateral Fund 1,298,252,816 1,481,468,128 1,669,403,713 Taiwan Fund 153,450,664 161,613,539 172,556,573 Benchmark-Free Allocation Fund 198,499,074 243,406,169 283,673,296 Total 26,420,435,178 29,229,815,545 30,766,443,330
EX-99 14 capstk77p.txt GMO Trust FYE 2/29/04 Attachment Filed in Response to Form N-SAR Sub-Item 77P Monthly Purchases, Redemptions, and Exchanges (000's omitted) Exchanges Exchanges March Purchases In Redemptions Out Fund Name GMO U.S. Core Fund 177056 1202 32395 539 GMO International Intrinsic Value Fund 27668 7457 20617 8800 GMO Growth Fund 41028 3386 GMO Short-Duration Investment Fund 0 0 5763 GMO Value Fund 368 116832 GMO Tobacco-Free Core Fund 14800 730 0 GMO Small Cap Value Fund 3029 20 2969 452 GMO International Small Companies Fund 7021 15919 52 8620 GMO U.S. Sector Fund 0 0 GMO Emerging Markets Fund 177890 11551 392 320 GMO International Bond Fund 3759 89 0 100 GMO Emerging Country Debt Fund 32151 21749 19096 GMO Global Hedged Equity Fund 2459 45 5 542 GMO Domestic Bond Fund 9431 2302 1112 GMO Currency Hedged International Bond Fund 253 0 GMO Currency Hedged International Equity Fund 4010 215 0 GMO Global Bond Fund 4200 7824 107 GMO Real Estate Fund 5863 170 196 GMO Foreign Fund 41704 5762 GMO Global Balanced Asset Allocation Fund 11984 164 GMO Small Cap Growth Fund 1 935 0 GMO International Equity Allocation Fund 1510 2773 GMO Global (U.S.+) Equity Allocation Fund 8460 0 GMO Inflation Indexed Bond Fund 3552 500 1976 5702 GMO Core Plus Bond Fund 8614 17208 GMO Emerging Countries Fund 10278 2018 GMO Asia Fund 154 190 GMO Tax-Managed U.S. Equities Fund 0 0 GMO Tax-Managed International Equities Fund 2248 0 GMO Emerging Country Debt Share Fund 2177 60 GMO Intrinsic Value Fund 1 0 GMO Tax-Managed Small Companies Fund 0 94 GMO Foreign Small Companies Fund 8620 0 GMO Internaional Disciplined Equity Fund 0 718 GMO International Growth Fund 12355 1635 GMO International Core Plus Allocation Fund GMO Taiwan Fund 28526 0 GMO Short-Duration Collateral Fund 12125 53210 GMO Benchmark-Free Allocation Fund 0 0 GMO U.S. Quality Equity Fund 0 0 Exchanges Exchanges April Purchases In Redemptions Out Fund Name GMO U.S. Core Fund 43813 84972 900 GMO International Intrinsic Value Fund 35515 4328 24251 3500 GMO Growth Fund 2360 916 GMO Short-Duration Investment Fund 0 546 40 GMO Value Fund 2395 163 GMO Tobacco-Free Core Fund 2000 71 174 GMO Small Cap Value Fund 4995 22105 350 GMO International Small Companies Fund 65836 4002 2943 6450 GMO U.S. Sector Fund 140 0 GMO Emerging Markets Fund 52856 6915 11580 GMO International Bond Fund 2683 4 GMO Emerging Country Debt Fund 17666 3 49802 9242 GMO Global Hedged Equity Fund 2452 0 45 GMO Domestic Bond Fund 8141 529 318 GMO Currency Hedged International Bond Fund 17 0 GMO Currency Hedged International Equity Fund 3866 1 GMO Global Bond Fund 1500 78324 1458 GMO Real Estate Fund 4031 4060 10187 GMO Foreign Fund 250117 6756 GMO Global Balanced Asset Allocation Fund 2073 274 GMO Small Cap Growth Fund 710 1500 GMO International Equity Allocation Fund 41 31655 GMO Global (U.S.+) Equity Allocation Fund 9625 163 GMO Inflation Indexed Bond Fund 8613 174 6732 5892 GMO Core Plus Bond Fund 9389 51 GMO Emerging Countries Fund 32349 4936 GMO Asia Fund 0 0 GMO Tax-Managed U.S. Equities Fund 1025 0 GMO Tax-Managed International Equities Fund 2000 0 GMO Emerging Country Debt Share Fund 1407 129 GMO Intrinsic Value Fund 0 50 GMO Tax-Managed Small Companies Fund 0 0 GMO Foreign Small Companies Fund 7450 GMO Internaional Disciplined Equity Fund 0 0 GMO International Growth Fund 8366 11304 GMO International Core Plus Allocation Fund 0 0 GMO Taiwan Fund 3992 GMO Short-Duration Collateral Fund 64650 92100 GMO Benchmark-Free Allocation Fund 0 0 GMO U.S. Quality Equity Fund 0 0 Exchanges Exchanges May Purchases In Redemptions Out Fund Name GMO U.S. Core Fund 40296 33868 3289 2397 GMO International Intrinsic Value Fund 56495 12437 46127 4200 GMO Growth Fund 1626 5250 446 GMO Short-Duration Investment Fund 0 2028 41 GMO Value Fund -333 668 456 141 GMO Tobacco-Free Core Fund 1000 0 GMO Small Cap Value Fund -430 5605 234 100 GMO International Small Companies Fund 6294 14124 12942 GMO U.S. Sector Fund 0 0 GMO Emerging Markets Fund 197549 21301 25403 2000 GMO International Bond Fund 2303 3166 7 GMO Emerging Country Debt Fund 16398 5181 70274 4858 GMO Global Hedged Equity Fund 2733 5299 6305 GMO Domestic Bond Fund -6970 14891 89 GMO Currency Hedged International Bond Fund -7425 7525 9 GMO Currency Hedged International Equity Fund 3550 6825 6832 GMO Global Bond Fund 0 21420 186 GMO Real Estate Fund 583 5123 -281 300 GMO Foreign Fund 50817 3868 GMO Global Balanced Asset Allocation Fund 4807 64 GMO Small Cap Growth Fund 1 0 GMO International Equity Allocation Fund 7102 3222 GMO Global (U.S.+) Equity Allocation Fund 0 5 GMO Inflation Indexed Bond Fund 2872 12408 9377 150 GMO Core Plus Bond Fund 8515 2009 GMO Emerging Countries Fund 19374 3548 GMO Asia Fund 0 1000 GMO Tax-Managed U.S. Equities Fund 1947 0 GMO Tax-Managed International Equities Fund 1600 250 GMO Emerging Country Debt Share Fund 6541 1375 GMO Intrinsic Value Fund 0 0 GMO Tax-Managed Small Companies Fund 0 0 GMO Foreign Small Companies Fund 0 0 GMO Internaional Disciplined Equity Fund 0 0 GMO International Growth Fund 16386 41407 GMO International Core Plus Allocation Fund 0 0 GMO Taiwan Fund 2862 0 GMO Short-Duration Collateral Fund 63280 29150 GMO Benchmark-Free Allocation Fund 0 0 GMO U.S. Quality Equity Fund 0 0 Exchanges Exchanges June Purchases In Redemptions Out Fund Name GMO U.S. Core Fund 146308 1340 66426 17910 GMO International Intrinsic Value Fund 25028 1310 8842 400 GMO Growth Fund 2475 30773 GMO Short-Duration Investment Fund 0 195 6 GMO Value Fund 1513 767 GMO Tobacco-Free Core Fund 9600 3000 110 GMO Small Cap Value Fund 12472 3691 6131 448 GMO International Small Companies Fund 81624 16306 888 4160 GMO U.S. Sector Fund 20000 0 GMO Emerging Markets Fund 153576 29724 58871 13342 GMO International Bond Fund 7319 150 5169 GMO Emerging Country Debt Fund 14648 5400 90190 391 GMO Global Hedged Equity Fund 4794 623 1 GMO Domestic Bond Fund 34722 1367 15044 GMO Currency Hedged International Bond Fund 7524 54 7527 GMO Currency Hedged International Equity Fund 4036 2 GMO Global Bond Fund 600 6103 GMO Real Estate Fund 18398 5431 55 GMO Foreign Fund 267952 15951 GMO Global Balanced Asset Allocation Fund 1010 155694 GMO Small Cap Growth Fund 6729 4286 25 GMO International Equity Allocation Fund 3600 1342 GMO Global (U.S.+) Equity Allocation Fund 1809 2 GMO Inflation Indexed Bond Fund 14168 4070 10298 10551 GMO Core Plus Bond Fund 23508 11648 GMO Emerging Countries Fund 40680 31311 GMO Asia Fund 2000 2000 GMO Tax-Managed U.S. Equities Fund 0 1000 GMO Tax-Managed International Equities Fund 10 0 GMO Emerging Country Debt Share Fund 2421 1934 GMO Intrinsic Value Fund 0 15100 GMO Tax-Managed Small Companies Fund 0 0 GMO Foreign Small Companies Fund 0 0 GMO Internaional Disciplined Equity Fund 22757 0 GMO International Growth Fund 9949 1218 GMO International Core Plus Allocation Fund GMO Taiwan Fund 73 4383 GMO Short-Duration Collateral Fund 82700 43000 GMO Benchmark-Free Allocation Fund 527 0 GMO U.S. Quality Equity Fund 0 0 Exchanges Exchanges July Purchases In Redemptions Out Fund Name GMO U.S. Core Fund 109361 333 152305 3294 GMO International Intrinsic Value Fund 43379 331 8104 50 GMO Growth Fund 4881 2818 GMO Short-Duration Investment Fund 0 256 3 GMO Value Fund 423 2 138 400 GMO Tobacco-Free Core Fund 1000 45 551 GMO Small Cap Value Fund 6902 5038 147 GMO International Small Companies Fund 51391 819 3487 999 GMO U.S. Sector Fund 5844 0 GMO Emerging Markets Fund 266869 1309 34619 20 GMO International Bond Fund 8764 1000 1389 170 GMO Emerging Country Debt Fund 25089 4500 38426 884 GMO Global Hedged Equity Fund 7015 222 0 GMO Domestic Bond Fund 13572 570 4717 2687 GMO Currency Hedged International Bond Fund 100 0 1010 GMO Currency Hedged International Equity Fund 7807 386 0 662 GMO Global Bond Fund 500 2185 GMO Real Estate Fund 9617 -13777 16251 GMO Foreign Fund 80247 11533 GMO Global Balanced Asset Allocation Fund 5722 643 GMO Small Cap Growth Fund 1250 1400 GMO International Equity Allocation Fund 13304 10 GMO Global (U.S.+) Equity Allocation Fund 9201 445 GMO Inflation Indexed Bond Fund 22885 10624 3017 52 GMO Core Plus Bond Fund 15623 146 GMO Emerging Countries Fund 13347 6718 GMO Asia Fund 400 612 GMO Tax-Managed U.S. Equities Fund 2994 6219 GMO Tax-Managed International Equities Fund 13450 9828 GMO Emerging Country Debt Share Fund 7127 11010 GMO Intrinsic Value Fund 331 3010 GMO Tax-Managed Small Companies Fund 0 5814 GMO Foreign Small Companies Fund 0 0 GMO Internaional Disciplined Equity Fund 0 400 GMO International Growth Fund 17631 530 GMO International Core Plus Allocation Fund 0 0 GMO Taiwan Fund 765 0 GMO Short-Duration Collateral Fund 99700 51000 GMO Benchmark-Free Allocation Fund 2443 0 GMO U.S. Quality Equity Fund 0 0 Exchanges Exchanges August Purchases In Redemptions Out Fund Name GMO U.S. Core Fund 174680 1103 107839 300 GMO International Intrinsic Value Fund 93552 1550 79590 350 GMO Growth Fund 2147 885 GMO Short-Duration Investment Fund 0 20 GMO Value Fund 269 1446 GMO Tobacco-Free Core Fund 3339 1297 0 GMO Small Cap Value Fund 4244 3296 GMO International Small Companies Fund 68358 7382 11867 2057 GMO U.S. Sector Fund 6358 450 GMO Emerging Markets Fund 1059845 8655 890689 1179 GMO International Bond Fund 4657 0 GMO Emerging Country Debt Fund 59998 100 58590 15037 GMO Global Hedged Equity Fund 3266 0 GMO Domestic Bond Fund 25129 1402 123 2 GMO Currency Hedged International Bond Fund 2000 100 0 GMO Currency Hedged International Equity Fund 6832 0 GMO Global Bond Fund 0 10194 109 GMO Real Estate Fund 12632 17732 GMO Foreign Fund 76781 655453 GMO Global Balanced Asset Allocation Fund 104059 15 GMO Small Cap Growth Fund 275 1400 GMO International Equity Allocation Fund 906 3883 GMO Global (U.S.+) Equity Allocation Fund 1341 330 GMO Inflation Indexed Bond Fund 51716 396 3270 1 GMO Core Plus Bond Fund 26984 0 GMO Emerging Countries Fund 10370 3161 GMO Asia Fund 4430 1500 GMO Tax-Managed U.S. Equities Fund 5256 0 GMO Tax-Managed International Equities Fund 0 0 GMO Emerging Country Debt Share Fund 2160 1218 GMO Intrinsic Value Fund 9295 798 GMO Tax-Managed Small Companies Fund 0 0 GMO Foreign Small Companies Fund 0 0 GMO Internaional Disciplined Equity Fund 0 0 GMO International Growth Fund 23823 1073 GMO International Core Plus Allocation Fund GMO Taiwan Fund 3461 0 GMO Short-Duration Collateral Fund 87050 76175 GMO Benchmark-Free Allocation Fund 86586 0 GMO U.S. Quality Equity Fund 0 0 Exchanges Exchanges September Purchases In Redemptions Out Fund Name GMO U.S. Core Fund 43897 51919 900 GMO International Intrinsic Value Fund 41241 16107 5250 GMO Growth Fund 8148 3551 GMO Short-Duration Investment Fund 0 24 28 GMO Value Fund 241 337 GMO Tobacco-Free Core Fund 9412 15023 GMO Small Cap Value Fund 4567 4 684 5 GMO International Small Companies Fund 17581 10 5827 16606 GMO U.S. Sector Fund 300 353 GMO Emerging Markets Fund 309082 16684 31332 2037 GMO International Bond Fund 7473 1853 2 GMO Emerging Country Debt Fund 21552 10599 878 39 GMO Global Hedged Equity Fund 2752 250 0 GMO Domestic Bond Fund 14012 118 GMO Currency Hedged International Bond Fund 0 6 GMO Currency Hedged International Equity Fund 10443 150 GMO Global Bond Fund 0 8 GMO Real Estate Fund 4751 828 10150 GMO Foreign Fund 62368 18766 GMO Global Balanced Asset Allocation Fund 615 255 GMO Small Cap Growth Fund 76 4 0 GMO International Equity Allocation Fund 9100 10 GMO Global (U.S.+) Equity Allocation Fund 0 502 GMO Inflation Indexed Bond Fund 1717 13889 -24970 25001 GMO Core Plus Bond Fund 13738 0 GMO Emerging Countries Fund 11548 23148 GMO Asia Fund 859 3 GMO Tax-Managed U.S. Equities Fund 0 286 GMO Tax-Managed International Equities Fund 2900 0 GMO Emerging Country Debt Share Fund 2354 127 GMO Intrinsic Value Fund 0 1100 GMO Tax-Managed Small Companies Fund 0 0 GMO Foreign Small Companies Fund 0 21 GMO Internaional Disciplined Equity Fund 2000 1 GMO International Growth Fund 15509 22 GMO International Core Plus Allocation Fund 0 0 GMO Taiwan Fund 36736 0 GMO Short-Duration Collateral Fund 72350 77900 GMO Benchmark-Free Allocation Fund 2794 0 GMO U.S. Quality Equity Fund 0 0 Exchanges Exchanges October Purchases In Redemptions Out Fund Name GMO U.S. Core Fund 156538 4191 52367 GMO International Intrinsic Value Fund 104162 1230 60509 13291 GMO Growth Fund 4185 4838 GMO Short-Duration Investment Fund 0 47 711 GMO Value Fund 352 937 GMO Tobacco-Free Core Fund 0 1500 28000 GMO Small Cap Value Fund 8313 542 640 GMO International Small Companies Fund 38306 500 12071 347 GMO U.S. Sector Fund 15300 700 GMO Emerging Markets Fund 421306 8935 236679 GMO International Bond Fund 7800 3009 1845 GMO Emerging Country Debt Fund 61308 13716 85730 206 GMO Global Hedged Equity Fund 4900 35 4375 GMO Domestic Bond Fund 31259 100 7713 1251 GMO Currency Hedged International Bond Fund 250 5 GMO Currency Hedged International Equity Fund 15924 401 GMO Global Bond Fund 0 6000 GMO Real Estate Fund 9550 5078 14865 GMO Foreign Fund 94591 15872 GMO Global Balanced Asset Allocation Fund 18425 160 GMO Small Cap Growth Fund 1205 50 GMO International Equity Allocation Fund 1093 0 GMO Global (U.S.+) Equity Allocation Fund 48018 80 GMO Inflation Indexed Bond Fund 23968 2029 12 GMO Core Plus Bond Fund 29024 7140 GMO Emerging Countries Fund 19012 3023 GMO Asia Fund 1716 897 GMO Tax-Managed U.S. Equities Fund 0 0 GMO Tax-Managed International Equities Fund 2759 0 GMO Emerging Country Debt Share Fund 2120 357 GMO Intrinsic Value Fund 0 0 GMO Tax-Managed Small Companies Fund 0 0 GMO Foreign Small Companies Fund 0 0 GMO Internaional Disciplined Equity Fund 14714 0 GMO International Growth Fund 58540 793 GMO International Core Plus Allocation Fund GMO Taiwan Fund 9591 0 GMO Short-Duration Collateral Fund 116100 152375 GMO Benchmark-Free Allocation Fund 8957 0 GMO U.S. Quality Equity Fund 0 0 Exchanges Exchanges November Purchases In Redemptions Out Fund Name GMO U.S. Core Fund 129340 1313 8089 920 GMO International Intrinsic Value Fund 77900 1035 8701 4538 GMO Growth Fund 1501 2422 GMO Short-Duration Investment Fund 0 0 GMO Value Fund 306 651 GMO Tobacco-Free Core Fund 3975 0 81 GMO Small Cap Value Fund 6647 708 823 GMO International Small Companies Fund 30101 1574 6821 6976 GMO U.S. Sector Fund 0 0 GMO Emerging Markets Fund 501380 2955 51699 5796 GMO International Bond Fund 5760 1250 333 2574 GMO Emerging Country Debt Fund 27375 11775 905 2607 GMO Global Hedged Equity Fund 4316 0 GMO Domestic Bond Fund 25212 1319 38 GMO Currency Hedged International Bond Fund 200 0 GMO Currency Hedged International Equity Fund 12551 30 0 GMO Global Bond Fund 0 175 GMO Real Estate Fund 7480 3325 16666 GMO Foreign Fund 53096 2077 GMO Global Balanced Asset Allocation Fund 3303 0 GMO Small Cap Growth Fund 0 0 GMO International Equity Allocation Fund 12364 9132 GMO Global (U.S.+) Equity Allocation Fund 6035 1500 GMO Inflation Indexed Bond Fund 41182 20483 124 1 GMO Core Plus Bond Fund 25951 0 GMO Emerging Countries Fund 8774 3324 GMO Asia Fund 0 40573 GMO Tax-Managed U.S. Equities Fund 0 0 GMO Tax-Managed International Equities Fund 2900 0 GMO Emerging Country Debt Share Fund 1351 78 GMO Intrinsic Value Fund 0 0 GMO Tax-Managed Small Companies Fund 0 0 GMO Foreign Small Companies Fund 0 0 GMO Internaional Disciplined Equity Fund 1000 0 GMO International Growth Fund 45511 3045 GMO International Core Plus Allocation Fund 0 0 GMO Taiwan Fund 12751 0 GMO Short-Duration Collateral Fund 106100 18946 GMO Benchmark-Free Allocation Fund 63681 0 GMO U.S. Quality Equity Fund 0 0 Exchanges Exchanges December Purchases In Redemptions Out Fund Name GMO U.S. Core Fund 97489 110 28379 119 GMO International Intrinsic Value Fund 100215 1006 50833 3240 GMO Growth Fund 54342 1233 1 GMO Short-Duration Investment Fund 0 1825 54 GMO Value Fund 504 140 1 GMO Tobacco-Free Core Fund 0 900 GMO Small Cap Value Fund 3939 2601 119 GMO International Small Companies Fund 65289 2842 28477 309 GMO U.S. Sector Fund 1 50 1 GMO Emerging Markets Fund 242273 44529 57460 2742 GMO International Bond Fund 17700 437 2883 1 GMO Emerging Country Debt Fund 269430 188 25260 41678 GMO Global Hedged Equity Fund 6435 1 0 1 GMO Domestic Bond Fund 41751 324 3685 6 GMO Currency Hedged International Bond Fund 1002 3 21 6 GMO Currency Hedged International Equity Fund 17251 400 4 GMO Global Bond Fund 508 750 1 GMO Real Estate Fund 10492 1369 140 GMO Foreign Fund 17516 39461 GMO Global Balanced Asset Allocation Fund 30147 700 GMO Small Cap Growth Fund 12 2 817 3 GMO International Equity Allocation Fund 39375 1014 GMO Global (U.S.+) Equity Allocation Fund 15 1777 GMO Inflation Indexed Bond Fund 22115 1777 3424 483 GMO Core Plus Bond Fund 41875 77 GMO Emerging Countries Fund 7035 4112 GMO Asia Fund 2119 2101 GMO Tax-Managed U.S. Equities Fund 0 568 GMO Tax-Managed International Equities Fund 5350 32 GMO Emerging Country Debt Share Fund 2029 1217 GMO Intrinsic Value Fund 1065 0 GMO Tax-Managed Small Companies Fund 0 0 GMO Foreign Small Companies Fund 0 0 GMO Internaional Disciplined Equity Fund 14 0 GMO International Growth Fund 30674 3559 GMO International Core Plus Allocation Fund 0 0 GMO Taiwan Fund 0 0 GMO Short-Duration Collateral Fund 168675 112450 GMO Benchmark-Free Allocation Fund 21235 0 GMO U.S. Quality Equity Fund 0 0 Exchanges Exchanges January Purchases In Redemptions Out Fund Name GMO U.S. Core Fund 550536 356766 13853 GMO International Intrinsic Value Fund 205405 166765 1254 GMO Growth Fund 12375 4276 GMO Short-Duration Investment Fund 0 16 450 GMO Value Fund 866 2915 2129 GMO Tobacco-Free Core Fund 0 66322 GMO Small Cap Value Fund 6136 3 17264 100 GMO International Small Companies Fund 129113 1 57887 45 GMO U.S. Sector Fund 0 234 GMO Emerging Markets Fund 489846 12515 365055 107 GMO International Bond Fund 24563 2561 15 7625 GMO Emerging Country Debt Fund 249203 12006 59485 8861 GMO Global Hedged Equity Fund 5245 0 1243 GMO Domestic Bond Fund 40400 60 9393 GMO Currency Hedged International Bond Fund 7639 129258 0 GMO Currency Hedged International Equity Fund 13607 0 106 GMO Global Bond Fund 4000 410 GMO Real Estate Fund 12993 20884 17397 GMO Foreign Fund 122395 40194 GMO Global Balanced Asset Allocation Fund 9354 3181 GMO Small Cap Growth Fund 0 350 GMO International Equity Allocation Fund 41941 656 GMO Global (U.S.+) Equity Allocation Fund 0 531 GMO Inflation Indexed Bond Fund 24897 1225 116669 GMO Core Plus Bond Fund 39349 12 GMO Emerging Countries Fund 8832 6405 GMO Asia Fund 2700 3561 GMO Tax-Managed U.S. Equities Fund 3700 0 GMO Tax-Managed International Equities Fund 112927 0 GMO Emerging Country Debt Share Fund 2882 1730 GMO Intrinsic Value Fund 0 14 GMO Tax-Managed Small Companies Fund 0 0 GMO Foreign Small Companies Fund 0 6 GMO Internaional Disciplined Equity Fund 10450 474 GMO International Growth Fund 42278 1061 GMO International Core Plus Allocation Fund 0 0 GMO Taiwan Fund 0 4375 GMO Short-Duration Collateral Fund 274550 38050 GMO Benchmark-Free Allocation Fund 48612 0 GMO U.S. Quality Equity Fund 0 0 Exchanges Exchanges February Purchases In Redemptions Out Fund Name GMO U.S. Core Fund 262194 3398 335391 51700 GMO International Intrinsic Value Fund 144053 13677 118545 19000 GMO Growth Fund 119482 11880 GMO Short-Duration Investment Fund 0 156 GMO Value Fund 359 50 3245 2501 GMO Tobacco-Free Core Fund 250 350 GMO Small Cap Value Fund 5853 53124 13045 GMO International Small Companies Fund 27347 4001 10564 9958 GMO U.S. Sector Fund 89 0 GMO Emerging Markets Fund 354772 286891 15705 GMO International Bond Fund 39280 1257 2 GMO Emerging Country Debt Fund 114476 2279 24716 GMO Global Hedged Equity Fund 6331 0 GMO Domestic Bond Fund 36599 3174 465 GMO Currency Hedged International Bond Fund 55993 434 0 GMO Currency Hedged International Equity Fund 12223 495 0 750 GMO Global Bond Fund 800 0 GMO Real Estate Fund 9435 500 2350 GMO Foreign Fund 774505 655453 GMO Global Balanced Asset Allocation Fund 17650 2549 GMO Small Cap Growth Fund 36 13 GMO International Equity Allocation Fund 20893 2 GMO Global (U.S.+) Equity Allocation Fund 6418 0 GMO Inflation Indexed Bond Fund 13581 230 10368 GMO Core Plus Bond Fund 67485 0 GMO Emerging Countries Fund 7354 3878 GMO Asia Fund 1200 14526 GMO Tax-Managed U.S. Equities Fund 0 0 GMO Tax-Managed International Equities Fund 520 0 GMO Emerging Country Debt Share Fund 953 1072 GMO Intrinsic Value Fund 0 5000 GMO Tax-Managed Small Companies Fund 0 0 GMO Foreign Small Companies Fund 5000 5000 GMO Internaional Disciplined Equity Fund 76372 10912 GMO International Growth Fund 69472 3013 GMO International Core Plus Allocation Fund GMO Taiwan Fund 4457 269 GMO Short-Duration Collateral Fund 257975 87320 GMO Benchmark-Free Allocation Fund 18447 0 GMO U.S. Quality Equity Fund 157300 0
EX-99 15 expense77p.txt GMO Trust FYE 2/29/04 Annual Expense Ratios Fund Name Class 3 Class 4 Class 5 Class 6 U.S. Core Fund 0.48% 0.42% 0.39% Growth Fund 0.48% Value Fund 0.61% Short-Duration Investment 0.24% International Intrinsic Value Fund 0.69% 0.63% International Small Companies Fund 0.75% Small Cap Value Fund 0.48% International Bond Fund 0.43% Small Cap Growth Fund 0.48% Emerging Markets Fund 1.12% 1.08% 1.04% Emerging Country Debt Fund 0.65% 0.60% Global Hedged Equity Fund 0.83% Domestic Bond Fund 0.25% Currency Hedged International Bond Fund 0.38% Inflation Indexed Bond Fund 0.38% Currency Hedged International Equity Fund 0.70% Real Estate Fund 0.52% Core Plus Bond Fund 0.39% Emerging Countries Fund 1.16% International Growth Fund 0.69% U.S. Quality Equity Fund 0.44%
EX-99 16 secallocatt77p.txt GMO Trust FYE 2/29/04 Attachment Filed in Response to Form N-SAR Sub-Item 77P GMO Fund of Fund Allocation % March, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 14,207,809.16 14.11% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 7,641,857.69 7.59% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) 43,621,815.31 43.33% International Intrinsic Value Fund (Class IV) International Small Companies Fund 8,788,599.98 8.73% International Growth Fund 26,412,346.93 26.24% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 100,672,429.07 100% GMO Fund of Fund Allocation % April, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 10,538,388.99 13.95% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 5,701,494.18 7.55% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) 32,881,279.72 43.52% International Intrinsic Value Fund (Class IV) International Small Companies Fund 6,731,779.05 8.91% International Growth Fund 19,694,581.53 26.07% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 75,547,523.47 100.00% GMO Fund of Fund Allocation % May, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 12,379,311.47 14.46% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 6,129,745.73 7.16% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) 35,241,855.05 41.15% International Intrinsic Value Fund (Class IV) International Small Companies Fund 7,987,872.07 9.33% International Growth Fund 23,895,084.62 27.90% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 85,633,868.94 100.00% GMO Fund of Fund Allocation % June, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 13,720,260.43 15.16% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 6,545,213.06 7.23% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) 36,994,937.35 40.88% International Intrinsic Value Fund (Class IV) International Small Companies Fund 8,614,228.15 9.52% International Growth Fund 24,614,605.15 27.20% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 90,489,244.14 100.00% GMO Fund of Fund Allocation % July, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 17,509,244.92 16.58% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 6,839,526.82 6.48% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) 42,510,208.37 40.26% International Intrinsic Value Fund (Class IV) International Small Companies Fund 10,158,214.65 9.62% International Growth Fund 28,570,772.52 27.06% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 105,587,967.28 100.00% GMO Fund of Fund Allocation % August, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 18,319,451.88 17.37% Emerging Countries Fund 7,050,286.18 6.68% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 41,333,384.00 39.19% International Small Companies Fund 10,479,693.16 9.94% International Growth Fund 28,297,666.51 26.83% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 105,480,481.73 100.00% GMO Fund of Fund Allocation % September, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 20,928,316.60 17.66% Emerging Countries Fund 7,280,211.10 6.14% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 44,740,949.91 37.76% International Small Companies Fund 11,757,171.23 9.92% International Growth Fund 33,781,271.94 28.51% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 118,487,920.78 100.00% GMO Fund of Fund Allocation % October, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 22,791,319.82 17.93% Emerging Countries Fund 7,918,716.28 6.23% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 46,458,765.34 36.55% International Small Companies Fund 12,711,813.33 10.00% International Growth Fund 37,239,698.67 29.29% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 127,120,313.44 100.00% GMO Fund of Fund Allocation % November, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 24,041,901.93 18.06% Emerging Countries Fund 8,068,952.78 6.06% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 48,752,434.84 36.63% International Small Companies Fund 12,705,752.21 9.55% International Growth Fund 39,542,622.55 29.71% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 133,111,664.31 100.00% GMO Fund of Fund Allocation % December, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 35,548,511.06 19.27% Emerging Countries Fund 9,084,679.46 4.93% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 68,252,190.14 37.00% International Small Companies Fund 16,153,209.54 8.76% International Growth Fund 55,414,895.68 30.04% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 184,453,485.88 100.00% GMO Fund of Fund Allocation % January, 2004 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 41,246,872.09 17.99% Emerging Countries Fund 9,319,796.97 4.06% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 87,895,039.53 38.34% International Small Companies Fund 19,419,090.92 8.47% International Growth Fund 71,392,254.61 31.14% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 229,273,054.12 100.00% GMO Fund of Fund Allocation % February, 2004 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 44,703,717.23 17.44% Emerging Countries Fund 9,291,362.64 3.63% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 99,933,197.55 39.00% International Small Companies Fund 20,719,281.46 8.08% International Growth Fund 81,624,250.47 31.85% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 256,271,809.35 100.00% Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) 69,210,170.46 22.06% U.S. Core Fund (Class VI) Currency Hedged International Bond Fund 16,683,001.70 5.32% Currency Hedged International Equity Fund 14,012,329.76 4.47% Domestic Bond Fund 31,469,590.03 10.03% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 7,757,505.48 2.47% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) 23,834,542.07 7.60% Emerging Markets Fund (Class VI) Emerging Countries Fund 4,919,502.91 1.57% Growth Fund Global Hedged Equity Fund 12,177,764.46 3.88% Inflation Indexed Bond Fund 16,111,499.66 5.13% International Bond Fund 6,152,201.67 1.96% International Intrinsic Value Fund (Class III) 24,243,027.08 7.73% International Intrinsic Value Fund (Class IV) International Small Companies Fund 24,193,889.47 7.71% International Growth Fund 16,921,220.71 5.39% Real Estate Fund 11,037,137.97 3.52% Small Cap Value Fund 11,020,444.16 3.51% Short-Duration Investment Fund 3,047,475.91 0.97% SPV Core Plus Bond Fund 19,651,151.12 6.26% Value Fund 1,359,827.87 0.43% U.S. Quality Equity Fund (Class IV) Total Market Value 313,802,282.49 100.00% GMO Fund of Fund Allocation % April, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) 72,474,703.59 21.72% U.S. Core Fund (Class VI) Currency Hedged International Bond Fund 17,002,334.58 5.10% Currency Hedged International Equity Fund 15,115,404.16 4.53% Domestic Bond Fund 32,953,827.47 9.88% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 8,323,363.66 2.49% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) 25,741,272.66 7.71% Emerging Markets Fund (Class VI) Emerging Countries Fund 5,343,817.43 1.60% Growth Fund Global Hedged Equity Fund 12,139,098.30 3.64% Inflation Indexed Bond Fund 16,071,768.89 4.82% International Bond Fund 6,330,988.68 1.90% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 26,579,804.18 7.97% International Small Companies Fund 26,980,727.74 8.09% International Growth Fund 18,323,502.12 5.49% Real Estate Fund 11,491,404.68 3.44% Small Cap Value Fund 12,096,177.65 3.63% Short-Duration Investment Fund 3,048,878.66 0.91% SPV Core Plus Bond Fund 22,168,355.28 6.64% Value Fund 1,474,702.28 0.44% U.S. Quality Equity Fund (Class IV) Total Market Value 333,660,132.01 100.00% GMO Fund of Fund Allocation % May, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) 78,187,582.55 21.81% U.S. Core Fund (Class VI) Currency Hedged International Bond Fund 17,465,750.91 4.87% Currency Hedged International Equity Fund 15,858,871.94 4.42% Domestic Bond Fund 34,489,546.11 9.62% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 8,765,127.35 2.45% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) 27,731,794.75 7.74% Emerging Markets Fund (Class VI) Emerging Countries Fund 5,742,149.11 1.60% Growth Fund Global Hedged Equity Fund 12,272,474.75 3.42% Inflation Indexed Bond Fund 17,596,359.62 4.91% International Bond Fund 7,300,043.08 2.04% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 28,728,811.30 8.01% International Small Companies Fund 29,959,711.88 8.36% International Growth Fund 19,657,456.73 5.48% Real Estate Fund 12,103,149.35 3.38% Small Cap Value Fund 13,239,538.57 3.69% Short-Duration Investment Fund 3,066,400.97 0.86% SPV Core Plus Bond Fund 24,725,130.02 6.90% Value Fund 1,569,072.03 0.44% U.S. Quality Equity Fund (Class IV) Total Market Value 358,458,971.02 100.00% GMO Fund of Fund Allocation % June, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) 44,175,314.12 21.26% U.S. Core Fund (Class VI) Currency Hedged International Bond Fund 9,928,382.69 4.78% Currency Hedged International Equity Fund 9,268,429.71 4.46% Domestic Bond Fund 20,437,610.21 9.84% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 3,720,544.02 1.79% Emerging Markets Fund (Class III) 0.00% Emerging Markets Fund (Class IV) 13,159,875.05 6.33% Emerging Markets Fund (Class VI) Emerging Countries Fund 5,880,200.46 2.83% Growth Fund Global Hedged Equity Fund 7,030,167.63 3.38% Inflation Indexed Bond Fund 10,688,157.08 5.14% International Bond Fund 4,075,780.28 1.96% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 16,213,860.64 7.80% International Small Companies Fund 17,897,728.01 8.61% International Growth Fund 10,688,755.27 5.14% Real Estate Fund 7,138,555.99 3.44% Small Cap Value Fund 7,832,119.15 3.77% Short-Duration Investment Fund 3,073,409.89 1.48% SPV Core Plus Bond Fund 15,630,836.63 7.52% Value Fund 919,654.16 0.44% U.S. Quality Equity Fund (Class IV) Total Market Value 207,759,380.99 100.00% GMO Fund of Fund Allocation % July, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 45,606,180.55 21.36% Currency Hedged International Bond Fund 9,899,638.24 4.64% Currency Hedged International Equity Fund 9,489,809.40 4.44% Domestic Bond Fund 21,232,393.70 9.94% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 3,586,045.00 1.68% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 13,730,717.34 6.43% Emerging Countries Fund 6,144,611.11 2.88% Growth Fund Global Hedged Equity Fund 7,514,090.62 3.52% Inflation Indexed Bond Fund 10,634,076.50 4.98% International Bond Fund 4,168,217.76 1.95% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 16,356,839.24 7.66% International Small Companies Fund 18,638,502.48 8.73% International Growth Fund 10,535,118.41 4.93% Real Estate Fund 7,697,337.65 3.60% Small Cap Value Fund 8,031,973.55 3.76% Short-Duration Investment Fund 3,066,050.52 1.44% SPV Core Plus Bond Fund 16,304,790.11 7.64% Value Fund 912,302.12 0.43% U.S. Quality Equity Fund (Class IV) Total Market Value 213,548,694.30 100% GMO Fund of Fund Allocation % August, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 70,932,312.78 22.72% Currency Hedged International Bond Fund 11,659,569.00 3.73% Currency Hedged International Equity Fund 13,199,952.61 4.23% Domestic Bond Fund 32,395,713.73 10.38% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 5,465,066.55 1.75% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 22,364,012.16 7.16% Emerging Countries Fund 6,566,186.88 2.10% Growth Fund Global Hedged Equity Fund 10,482,096.55 3.36% Inflation Indexed Bond Fund 17,159,245.97 5.50% International Bond Fund 5,151,845.38 1.65% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 23,862,656.16 7.64% International Small Companies Fund 22,378,661.74 7.17% International Growth Fund 17,361,342.63 5.56% Real Estate Fund 11,111,325.35 3.56% Small Cap Value Fund 8,472,301.68 2.71% Short-Duration Investment Fund 3,073,066.65 0.98% SPV Core Plus Bond Fund 29,676,849.20 9.50% Value Fund 928,613.98 0.30% U.S. Quality Equity Fund (Class IV) Total Market Value 312,240,819.00 100.00% GMO Fund of Fund Allocation % September, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 73,343,152.99 22.19% Currency Hedged International Bond Fund 12,094,548.84 3.66% Currency Hedged International Equity Fund 13,552,187.32 4.10% Domestic Bond Fund 35,003,225.51 10.59% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 5,833,143.17 1.76% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 24,098,926.02 7.29% Emerging Countries Fund 6,716,337.14 2.03% Growth Fund Global Hedged Equity Fund 10,859,302.99 3.29% Inflation Indexed Bond Fund 18,349,150.97 5.55% International Bond Fund 6,035,021.36 1.83% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 24,722,244.51 7.48% International Small Companies Fund 24,214,500.22 7.33% International Growth Fund 19,262,314.20 5.83% Real Estate Fund 11,822,969.13 3.58% Small Cap Value Fund 8,567,849.74 2.59% Short-Duration Investment Fund 3,076,574.73 0.93% SPV Core Plus Bond Fund 32,098,433.93 9.71% Value Fund 921,623.19 0.28% U.S. Quality Equity Fund (Class IV) Total Market Value 330,571,505.96 100.00% GMO Fund of Fund Allocation % October, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 83,408,200.72 23.06% Currency Hedged International Bond Fund 12,257,330.74 3.39% Currency Hedged International Equity Fund 15,127,964.23 4.18% Domestic Bond Fund 38,660,726.86 10.69% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 6,202,786.92 1.71% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 26,339,742.07 7.28% Emerging Countries Fund 7,302,321.17 2.02% Growth Fund Global Hedged Equity Fund 11,354,524.67 3.14% Inflation Indexed Bond Fund 19,658,020.04 5.44% International Bond Fund 6,568,191.65 1.82% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 26,381,854.85 7.29% International Small Companies Fund 26,169,707.89 7.24% International Growth Fund 20,326,477.26 5.62% Real Estate Fund 12,270,758.95 3.39% Small Cap Value Fund 9,315,260.70 2.58% Short-Duration Investment Fund 3,081,145.65 0.85% SPV Core Plus Bond Fund 36,289,476.89 10.03% Value Fund 971,744.06 0.27% U.S. Quality Equity Fund (Class IV) Total Market Value 361,686,235.32 100.00% GMO Fund of Fund Allocation % November, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 84,641,442.43 22.91% Currency Hedged International Bond Fund 12,413,865.80 3.36% Currency Hedged International Equity Fund 15,495,768.84 4.19% Domestic Bond Fund 39,162,776.14 10.60% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 6,402,504.49 1.73% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 27,165,789.27 7.35% Emerging Countries Fund 7,440,863.25 2.01% Growth Fund Global Hedged Equity Fund 11,512,234.64 3.12% Inflation Indexed Bond Fund 19,773,498.71 5.35% International Bond Fund 6,818,049.81 1.85% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 27,330,209.93 7.40% International Small Companies Fund 26,324,864.26 7.12% International Growth Fund 21,322,965.16 5.77% Real Estate Fund 12,951,572.61 3.51% Small Cap Value Fund 9,719,101.47 2.63% Short-Duration Investment Fund 3,084,658.91 0.83% SPV Core Plus Bond Fund 36,963,997.33 10.00% Value Fund 986,945.83 0.27% U.S. Quality Equity Fund (Class IV) Total Market Value 369,511,108.88 100.00% GMO Fund of Fund Allocation % December, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 95,639,147.58 23.01% Currency Hedged International Bond Fund 13,627,816.84 3.28% Currency Hedged International Equity Fund 18,213,991.12 4.38% Domestic Bond Fund 44,565,163.21 10.72% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 7,194,601.30 1.73% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 30,144,731.65 7.25% Emerging Countries Fund 8,253,709.04 1.99% Growth Fund Global Hedged Equity Fund 12,459,424.66 3.00% Inflation Indexed Bond Fund 21,648,365.19 5.21% International Bond Fund 8,011,830.51 1.93% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 32,018,353.03 7.70% International Small Companies Fund 28,135,072.09 6.77% International Growth Fund 24,711,418.99 5.94% Real Estate Fund 14,313,634.31 3.44% Small Cap Value Fund 9,953,677.39 2.39% Short-Duration Investment Fund 3,087,118.21 0.74% SPV Core Plus Bond Fund 42,639,569.20 10.26% Value Fund 1,054,580.33 0.25% U.S. Quality Equity Fund (Class IV) Total Market Value 415,672,204.65 100.00% GMO Fund of Fund Allocation % January, 2004 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 98,838,647.99 22.95% Currency Hedged International Bond Fund 21,658,092.44 5.03% Currency Hedged International Equity Fund 19,032,979.62 4.42% Domestic Bond Fund 46,947,058.16 10.90% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) 7,263,713.70 1.69% Emerging Markets Fund (Class VI) 30,676,096.40 7.12% Emerging Countries Fund 8,467,320.46 1.97% Growth Fund Global Hedged Equity Fund 12,611,214.62 2.93% Inflation Indexed Bond Fund 14,326,180.94 3.33% International Bond Fund 8,074,484.13 1.87% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 33,229,822.80 7.72% International Small Companies Fund 29,448,633.79 6.84% International Growth Fund 25,308,880.88 5.88% Real Estate Fund 15,102,166.90 3.51% Small Cap Value Fund 10,265,577.35 2.38% Short-Duration Investment Fund 3,097,775.71 0.72% SPV Core Plus Bond Fund 45,246,043.62 10.51% Value Fund 1,079,380.12 0.25% U.S. Quality Equity Fund (Class IV) Total Market Value 430,674,069.63 100.00% GMO Fund of Fund Allocation % February, 2004 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 84,858,205.42 18.69% Currency Hedged International Bond Fund 22,411,638.51 4.94% Currency Hedged International Equity Fund 19,742,605.33 4.35% Domestic Bond Fund 48,435,264.85 10.67% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 7,360,503.65 1.62% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 32,637,969.64 7.19% Emerging Countries Fund 9,013,092.54 1.99% Growth Fund Global Hedged Equity Fund 12,805,632.74 2.82% Inflation Indexed Bond Fund 14,851,360.07 3.27% International Bond Fund 8,237,711.34 1.81% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 34,361,076.46 7.57% International Small Companies Fund 30,732,746.90 6.77% International Growth Fund 26,174,637.65 5.77% Real Estate Fund 15,601,758.95 3.44% Small Cap Value Fund 10,453,278.70 2.30% Short-Duration Investment Fund 3,108,433.19 0.68% SPV Core Plus Bond Fund 46,612,607.27 10.27% Value Fund 1,110,443.07 0.24% U.S. Quality Equity Fund (Class IV) 25,410,750.00 5.60% Total Market Value 453,919,716.28 100.00% Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) 36,042,801.89 41.21% U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund 2,210,062.77 2.53% Domestic Bond Fund Emerging Country Debt Fund (Class III) 1,918,456.90 2.19% Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 9,129,950.17 10.44% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 2,149,682.23 2.46% Growth Fund 90,154.26 0.10% Global Hedged Equity Fund 1,035,575.64 1.18% Inflation Indexed Bond Fund 460,755.84 0.53% International Bond Fund International Intrinsic Value Fund (Class III) 11,527,919.80 13.18% International Intrinsic Value Fund (Class IV) International Small Companies Fund 6,644,834.48 7.60% International Growth Fund 7,329,593.83 8.38% Real Estate Fund 3,658,679.66 4.18% Small Cap Value Fund 4,215,188.76 4.82% Short-Duration Investment Fund 140,610.74 0.16% SPV Core Plus Bond Fund Value Fund 899,999.92 1.03% U.S. Quality Equity Fund (Class IV) Total Market Value 87,454,266.89 100.00% GMO Fund of Fund Allocation % April, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) 42,436,640.50 40.69% U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund 3,624,724.79 3.48% Domestic Bond Fund Emerging Country Debt Fund (Class III) 2,270,109.75 2.18% Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 11,393,321.62 10.92% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 2,332,276.05 2.24% Growth Fund 95,917.48 0.09% Global Hedged Equity Fund 1,280,735.12 1.23% Inflation Indexed Bond Fund 509,362.33 0.49% International Bond Fund International Intrinsic Value Fund (Class III) 13,561,521.55 13.00% International Intrinsic Value Fund (Class IV) International Small Companies Fund 7,941,320.58 7.61% International Growth Fund 8,617,880.77 8.26% Real Estate Fund 4,114,273.76 3.95% Small Cap Value Fund 4,995,623.86 4.79% Short-Duration Investment Fund 140,675.47 0.13% SPV Core Plus Bond Fund Value Fund 974,837.74 0.93% U.S. Quality Equity Fund (Class IV) Total Market Value 104,289,221.37 100.00% GMO Fund of Fund Allocation % May, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) 45,189,065.41 40.41% U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund 3,804,850.03 3.40% Domestic Bond Fund Emerging Country Debt Fund (Class III) 2,389,591.37 2.14% Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 12,274,890.01 10.98% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 2,507,340.62 2.24% Growth Fund 101,552.33 0.09% Global Hedged Equity Fund 1,295,441.88 1.16% Inflation Indexed Bond Fund 534,162.65 0.48% International Bond Fund International Intrinsic Value Fund (Class III) 14,659,153.83 13.11% International Intrinsic Value Fund (Class IV) International Small Companies Fund 8,822,433.02 7.89% International Growth Fund 9,249,776.65 8.27% Real Estate Fund 4,339,155.71 3.88% Small Cap Value Fund 5,470,480.50 4.89% Short-Duration Investment Fund 141,483.94 0.13% SPV Core Plus Bond Fund Value Fund 1,037,725.32 0.93% U.S. Quality Equity Fund (Class IV) Total Market Value 111,817,103.27 100.00% GMO Fund of Fund Allocation % June, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) 46,995,888.33 40.25% U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund 3,904,323.22 3.34% Domestic Bond Fund Emerging Country Debt Fund (Class III) 2,493,103.73 2.14% Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 12,995,480.73 11.13% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 2,677,285.49 2.29% Growth Fund 103,681.07 0.09% Global Hedged Equity Fund 1,676,878.47 1.44% Inflation Indexed Bond Fund 729,123.79 0.62% International Bond Fund International Intrinsic Value Fund (Class III) 15,033,032.40 12.88% International Intrinsic Value Fund (Class IV) International Small Companies Fund 9,270,773.73 7.94% International Growth Fund 9,283,307.70 7.95% Real Estate Fund 4,769,341.76 4.09% Small Cap Value Fund 5,613,469.46 4.81% Short-Duration Investment Fund 141,807.34 0.12% SPV Core Plus Bond Fund Value Fund 1,059,149.32 0.91% U.S. Quality Equity Fund (Class IV) Total Market Value 116,746,646.54 100.00% GMO Fund of Fund Allocation % July, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) 51,620,870.07 40.62% U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund 4,271,431.14 3.36% Domestic Bond Fund Emerging Country Debt Fund (Class III) 2,597,974.30 2.04% Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 14,659,969.75 11.54% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 2,797,673.03 2.20% Growth Fund 104,617.09 0.08% Global Hedged Equity Fund 2,023,320.60 1.59% Inflation Indexed Bond Fund 772,027.64 0.61% International Bond Fund International Intrinsic Value Fund (Class III) 15,575,427.17 12.26% International Intrinsic Value Fund (Class IV) International Small Companies Fund 10,408,063.95 8.19% International Growth Fund 9,568,004.05 7.53% Real Estate Fund 5,472,738.52 4.31% Small Cap Value Fund 6,003,346.94 4.72% Short-Duration Investment Fund 141,467.78 0.11% SPV Core Plus Bond Fund Value Fund 1,050,682.08 0.83% U.S. Quality Equity Fund (Class IV) Total Market Value 127,067,614.11 100% GMO Fund of Fund Allocation % August, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 52,973,915.93 40.31% Currency Hedged International Bond Fund Currency Hedged International Equity Fund 4,311,288.99 3.28% Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 2,693,451.17 2.05% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 15,829,959.68 12.05% Emerging Countries Fund 2,989,618.63 2.27% Growth Fund 106,561.41 0.08% Global Hedged Equity Fund 2,077,530.92 1.58% Inflation Indexed Bond Fund 1,105,788.86 0.84% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 15,702,898.66 11.95% International Small Companies Fund 10,774,855.62 8.20% International Growth Fund 9,772,531.25 7.44% Real Estate Fund 5,656,544.39 4.30% Small Cap Value Fund 6,216,368.88 4.73% Short-Duration Investment Fund 141,791.49 0.11% SPV Core Plus Bond Fund Value Fund 1,069,468.20 0.81% U.S. Quality Equity Fund (Class IV) Total Market Value 131,422,574.08 100.00% GMO Fund of Fund Allocation % September, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 52,908,326.64 39.83% Currency Hedged International Bond Fund Currency Hedged International Equity Fund 4,264,788.18 3.21% Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 2,773,852.69 2.09% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 16,182,338.45 12.18% Emerging Countries Fund 3,057,982.82 2.30% Growth Fund 106,247.81 0.08% Global Hedged Equity Fund 2,092,477.21 1.58% Inflation Indexed Bond Fund 1,142,519.61 0.86% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 15,918,968.69 11.98% International Small Companies Fund 11,039,489.85 8.31% International Growth Fund 10,141,592.18 7.63% Real Estate Fund 5,835,027.60 4.39% Small Cap Value Fund 6,177,637.68 4.65% Short-Duration Investment Fund 141,953.37 0.11% SPV Core Plus Bond Fund Value Fund 1,061,417.02 0.80% U.S. Quality Equity Fund (Class IV) Total Market Value 132,844,619.80 100.00% GMO Fund of Fund Allocation % October, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 77,476,499.53 40.93% Currency Hedged International Bond Fund Currency Hedged International Equity Fund 7,000,258.68 3.70% Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 2,809,028.36 1.48% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 25,352,630.25 13.39% Emerging Countries Fund 3,326,180.80 1.76% Growth Fund 112,157.06 0.06% Global Hedged Equity Fund 2,744,357.95 1.45% Inflation Indexed Bond Fund 1,603,511.87 0.85% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 19,226,186.95 10.16% International Small Companies Fund 15,301,508.75 8.08% International Growth Fund 16,480,763.88 8.71% Real Estate Fund 7,973,876.98 4.21% Small Cap Value Fund 8,608,252.63 4.55% Short-Duration Investment Fund 142,164.27 0.08% SPV Core Plus Bond Fund Value Fund 1,119,612.35 0.59% U.S. Quality Equity Fund (Class IV) Total Market Value 189,276,990.31 100.00% GMO Fund of Fund Allocation % November, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 81,152,859.27 41.18% Currency Hedged International Bond Fund Currency Hedged International Equity Fund 6,750,260.62 3.43% Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 3,055,557.87 1.55% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 26,190,128.78 13.29% Emerging Countries Fund 3,338,337.60 1.69% Growth Fund 114,103.78 0.06% Global Hedged Equity Fund 2,908,484.60 1.48% Inflation Indexed Bond Fund 1,856,131.80 0.94% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 20,314,863.30 10.31% International Small Companies Fund 15,289,143.24 7.76% International Growth Fund 17,213,703.76 8.73% Real Estate Fund 8,621,871.43 4.38% Small Cap Value Fund 8,981,442.75 4.56% Short-Duration Investment Fund 142,326.37 0.07% SPV Core Plus Bond Fund Value Fund 1,137,127.32 0.58% U.S. Quality Equity Fund (Class IV) Total Market Value 197,066,342.49 100.00% GMO Fund of Fund Allocation % December, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 84,457,491.37 40.72% Currency Hedged International Bond Fund Currency Hedged International Equity Fund 6,639,132.22 3.20% Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 4,390,333.34 2.12% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 28,563,226.76 13.77% Emerging Countries Fund 3,703,020.23 1.79% Growth Fund 117,749.73 0.06% Global Hedged Equity Fund 2,908,484.60 1.40% Inflation Indexed Bond Fund 1,874,721.00 0.90% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 21,357,380.26 10.30% International Small Companies Fund 15,910,331.38 7.67% International Growth Fund 18,072,455.25 8.71% Real Estate Fund 8,872,674.00 4.28% Small Cap Value Fund 9,198,214.89 4.43% Short-Duration Investment Fund 142,439.83 0.07% SPV Core Plus Bond Fund Value Fund 1,215,053.62 0.59% U.S. Quality Equity Fund (Class IV) Total Market Value 207,422,708.48 100.00% GMO Fund of Fund Allocation % January, 2004 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 86,672,296.72 40.85% Currency Hedged International Bond Fund Currency Hedged International Equity Fund 6,752,299.23 3.18% Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 4,432,507.51 2.09% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 29,066,714.13 13.70% Emerging Countries Fund 3,798,856.84 1.79% Growth Fund 121,606.16 0.06% Global Hedged Equity Fund 2,943,917.91 1.39% Inflation Indexed Bond Fund 1,895,694.65 0.89% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 21,814,440.09 10.28% International Small Companies Fund 16,653,148.11 7.85% International Growth Fund 17,917,142.19 8.44% Real Estate Fund 9,232,463.81 4.35% Small Cap Value Fund 9,486,442.35 4.47% Short-Duration Investment Fund 142,931.57 0.07% SPV Core Plus Bond Fund Value Fund 1,243,627.12 0.59% U.S. Quality Equity Fund (Class IV) Total Market Value 212,174,088.39 100.00% GMO Fund of Fund Allocation % February, 2004 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 79,309,935.41 35.59% Currency Hedged International Bond Fund Currency Hedged International Equity Fund 6,912,619.17 3.10% Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 5,198,822.29 2.33% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 30,519,081.60 13.69% Emerging Countries Fund 3,990,530.10 1.79% Growth Fund 122,313.14 0.05% Global Hedged Equity Fund 2,949,823.47 1.32% Inflation Indexed Bond Fund 1,939,255.29 0.87% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 22,594,880.73 10.14% International Small Companies Fund 17,155,051.32 7.70% International Growth Fund 18,288,001.56 8.21% Real Estate Fund 10,007,887.21 4.49% Small Cap Value Fund 9,718,277.48 4.36% Short-Duration Investment Fund 143,423.32 0.06% SPV Core Plus Bond Fund Value Fund 1,262,676.10 0.57% U.S. Quality Equity Fund (Class IV) 12,755,200.00 5.72% Total Market Value 222,867,778.19 100.00% Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) International Small Companies Fund International Growth Fund Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 0.00 0.00% GMO Fund of Fund Allocation % April, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) International Small Companies Fund International Growth Fund Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 0.00 0% GMO Fund of Fund Allocation % May, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) International Small Companies Fund International Growth Fund Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 0.00 0.00% GMO Fund of Fund Allocation % June, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) International Small Companies Fund International Growth Fund Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 0.00 0.00% GMO Fund of Fund Allocation % July, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) 286,413.93 9.68% Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 418,734.26 14.15% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 874,102.09 29.54% International Bond Fund International Intrinsic Value Fund (Class III) 239,345.98 8.09% International Intrinsic Value Fund (Class IV) International Small Companies Fund 926,300.25 31.31% International Growth Fund Real Estate Fund 213,665.14 7.22% Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 2,958,561.65 100% GMO Fund of Fund Allocation % August, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 7,858,114.71 10.33% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 11,180,454.84 14.69% Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 22,530,544.00 29.61% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 5,019,758.31 6.60% International Small Companies Fund 24,053,698.00 31.61% International Growth Fund Real Estate Fund 5,446,650.00 7.16% Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 76,089,219.86 100.00% GMO Fund of Fund Allocation % September, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 10,437,696.32 10.62% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 15,069,156.73 15.33% Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 30,445,334.37 30.97% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 6,951,557.95 7.07% International Small Companies Fund 28,661,146.46 29.16% International Growth Fund Real Estate Fund 6,738,691.43 6.85% Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 98,303,583.26 100.00% GMO Fund of Fund Allocation % October, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 13,966,452.41 12.49% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 17,620,114.59 15.76% Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 34,630,796.58 30.98% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 7,516,535.41 6.72% International Small Companies Fund 32,800,199.00 29.34% International Growth Fund Real Estate Fund 5,257,049.53 4.70% Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 111,791,147.52 100.00% GMO Fund of Fund Allocation % November, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 23,434,899.15 13.23% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 29,256,586.47 16.51% Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 54,688,770.56 30.87% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 9,199,866.07 5.19% International Small Companies Fund 55,083,076.05 31.09% International Growth Fund Real Estate Fund 5,515,996.65 3.11% Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 177,179,194.95 100.00% GMO Fund of Fund Allocation % December, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 28,168,294.91 13.53% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 35,682,505.51 17.14% Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 63,327,267.30 30.41% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 9,936,555.78 4.77% International Small Companies Fund 65,431,322.31 31.42% International Growth Fund Real Estate Fund 5,676,452.08 2.73% Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 208,222,397.89 100.00% GMO Fund of Fund Allocation % January, 2004 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund 27,606,483.39 10.54% Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) 40,096,474.12 15.31% Emerging Markets Fund (Class VI) 42,799,476.96 16.34% Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 54,744,522.67 20.90% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 13,860,230.72 5.29% International Small Companies Fund 81,296,765.08 31.04% International Growth Fund Real Estate Fund 1,546,157.70 0.59% Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 261,950,110.64 100.00% GMO Fund of Fund Allocation % February, 2004 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund 30,211,566.55 10.51% Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 42,883,099.95 14.92% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 48,102,097.20 16.73% Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 59,927,259.46 20.85% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 16,784,562.42 5.84% International Small Companies Fund 89,579,021.97 31.16% International Growth Fund Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 287,487,607.55 100.00%
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