EX-99 3 ana.htm Unassociated Document
 
 
 

 
GMO Trust
            
 
FYE 2/28/2010
            
 
Attachment Filed in Response to Form N-SAR Sub-Item 77P
        
 
Monthly Average Assets
            
               
 
Fund Name
  
 March
  
 April
  
 May
               
04024
GMO Alpha Only Fund
  
    1,254,013,117.97
  
       954,336,215.71
  
       940,443,839.22
IZGE
GMO Alternative Asset Opportunity Fund
  
         22,520,782.07
  
         22,590,526.24
  
         23,132,955.45
IZEM
GMO Asset Allocation Bond Fund
  
         58,444,577.72
  
       180,237,889.93
  
       245,947,621.47
IZE2
GMO Benchmark-Free Allocation Fund
  
    1,462,480,484.19
  
    1,517,819,003.57
  
    1,569,570,631.77
IZFA
GMO Core Plus Bond Fund
  
       307,586,117.24
  
       292,138,528.41
  
       294,754,405.59
IZFI
GMO Currency Hedged International Bond Fund
       127,906,182.12
  
       128,190,292.90
  
       126,921,982.48
04028
GMO Currency Hedged International Equity Fund
         25,090,702.26
  
         27,452,661.42
  
         29,054,590.01
04031
GMO Developed World Stock Fund
  
       272,517,649.89
  
       293,289,020.09
  
       318,599,787.70
IZFJ
GMO Domestic Bond Fund
  
    1,069,030,742.63
  
       928,541,645.45
  
       889,285,611.52
04043
GMO Emerging Countries Fund
  
       115,529,775.94
  
       136,260,159.31
  
       155,306,647.75
IZFB
GMO Emerging Country Debt Fund
  
    1,858,097,020.18
  
    1,958,734,323.74
  
    2,056,935,617.63
04018
GMO Emerging Markets Fund
  
    6,157,325,579.79
  
    7,356,096,401.98
  
    8,288,362,475.99
04046
GMO Flexible Equities Fund
  
       362,847,342.95
  
       399,716,650.25
  
       435,014,123.49
04032
GMO Foreign Fund
  
    3,066,244,737.41
  
    3,296,570,765.06
  
    3,546,623,036.90
04056
GMO Foreign Small Companies Fund
  
       255,325,401.76
  
       210,673,311.75
  
       242,556,497.33
IZE4
GMO Global Balanced Asset Allocation Fund
  
    2,472,323,793.88
  
    2,589,847,425.32
  
    2,686,200,890.27
IZFD
GMO Global Bond Fund
  
       264,349,049.09
  
       265,349,031.80
  
       271,888,722.09
IZE3
GMO Global Equity Allocation Fund
  
       348,794,063.17
  
       383,929,345.26
  
       429,133,301.71
IZFL
GMO Inflation Indexed Plus Bond Fund
  
       376,421,341.78
  
       385,923,720.90
  
       391,102,881.51
IZFE
GMO International Bond Fund
  
       214,185,412.03
  
       199,267,186.49
  
       202,029,145.39
44057
GMO International Core Equity Fund
  
    3,185,108,472.99
  
    3,619,694,604.83
  
    3,999,613,899.71
IZE5
GMO International Equity Allocation Fund
  
       540,950,402.53
  
       619,860,556.75
  
       691,314,866.50
44058
GMO International Growth Equity Fund
  
    1,993,026,072.14
  
    2,137,483,762.31
  
    2,342,378,202.44
04006
GMO International Intrinsic Value Fund
  
    3,859,188,137.68
  
    4,342,212,829.26
  
    4,796,481,141.83
IZE6
GMO International Opportunities Equity Allocation Fund
       420,935,804.94
  
       457,202,905.45
  
       511,474,967.51
04010
GMO International Small Companies Fund
  
       423,759,369.84
  
       500,279,372.02
  
       570,095,275.26
IZEA
GMO Quality Fund
  
    9,043,714,921.06
  
    9,892,790,076.28
  
  10,382,822,206.99
IZFG
GMO Real Estate Fund
  
           8,374,536.81
  
         10,435,524.44
  
         11,060,882.71
IZFM
GMO Short-Duration Collateral Fund
  
    3,650,677,539.12
  
    3,486,409,643.58
  
    3,495,093,036.40
IZGH
GMO Short-Duration Collateral Share Fund
  
         26,764,303.48
  
         27,018,933.95
  
         27,765,189.49
IZGI
GMO Short-Duration Investment Fund
  
           6,206,540.91
  
           6,230,247.17
  
           6,339,520.75
IZGL
GMO Special Purpose Holding Fund
  
              406,835.77
  
              406,845.98
  
              406,857.49
IZFH
GMO Special Situations Fund
  
       318,170,614.90
  
       307,706,826.70
  
       309,162,074.45
IZE7
GMO Strategic Fixed Income Fund
  
    2,495,274,312.58
  
    2,251,960,649.49
  
    2,223,538,052.92
04070
GMO Strategic Opportunities Allocation Fund
  
    1,126,800,014.16
  
    1,203,415,303.89
  
    1,261,575,162.79
04048
GMO Taiwan Fund
  
       110,489,343.48
  
       118,764,324.65
  
       128,276,311.29
IZEB
GMO Tax-Managed International Equities Fund
       409,975,141.76
  
       456,828,753.36
  
       501,461,684.24
IZED
GMO Tax-Managed U.S. Equities Fund
  
         10,049,199.44
  
           9,558,179.21
  
           9,199,309.39
IZEF
GMO Tobacco-Free Core Fund
  
         17,280,828.87
  
         18,830,714.43
  
         19,536,260.74
IZE8
GMO U.S. Core Equity Fund
  
    1,581,917,299.87
  
    1,679,792,881.48
  
    1,745,366,015.97
IZEG
GMO U.S. Equity Allocation Fund
  
         71,075,815.69
  
         98,902,264.35
  
       102,581,560.19
IZEH
GMO U.S. Growth Fund
  
         36,115,770.67
  
         39,273,269.04
  
         40,224,305.76
IZEI
GMO U.S. Intrinsic Value Fund
  
           4,941,403.77
  
           5,463,617.26
  
           5,725,983.26
IZEJ
GMO U.S. Small/Mid Cap Growth Fund
  
           3,931,611.21
  
           4,655,056.04
  
           4,804,052.20
IZEL
GMO U.S. Small/Mid Cap Value Fund
  
         13,140,524.45
  
         14,956,478.38
  
         15,237,421.26
IZEN
GMO U.S. Treasury Fund
  
       453,678,831.83
  
       333,100,411.03
  
       208,707,298.11
IZE9
GMO World Opportunities Equity Allocation Fund
       712,181,752.26
  
       770,408,957.96
  
       827,718,891.33
IZGM
GMO World Oppportunity Overlay Fund
  
       789,084,884.92
  
       753,710,279.27
  
       772,728,080.64
               
 
Total
  
  51,404,254,161.20
  
  54,694,317,374.12
  
  58,153,553,276.90
               
 
Fund Name
  
 June
  
 July
  
 August
 
 
            
04024
GMO Alpha Only Fund
  
       934,430,199.39
  
       969,098,177.30
  
    1,123,418,796.13
IZGE
GMO Alternative Asset Opportunity Fund
  
         23,868,235.34
  
         23,453,684.55
  
         24,641,614.26
IZEM
GMO Asset Allocation Bond Fund
  
       610,332,088.54
  
       700,579,685.39
  
       732,485,619.91
IZE2
GMO Benchmark-Free Allocation Fund
  
    1,573,605,317.66
  
    1,604,551,249.59
  
    1,660,094,660.19
IZFA
GMO Core Plus Bond Fund
  
       295,893,535.19
  
       299,474,350.51
  
       305,342,255.67
IZFI
GMO Currency Hedged International Bond Fund
       125,298,101.15
  
       125,167,275.28
  
       128,033,377.77
04028
GMO Currency Hedged International Equity Fund
         29,671,098.45
  
         29,851,290.10
  
         31,974,456.09
04031
GMO Developed World Stock Fund
  
       325,210,341.18
  
       335,107,157.48
  
       378,326,535.14
IZFJ
GMO Domestic Bond Fund
  
       879,514,675.27
  
       849,494,618.20
  
       850,316,966.44
04043
GMO Emerging Countries Fund
  
       164,330,428.13
  
       168,161,656.46
  
       183,955,507.53
IZFB
GMO Emerging Country Debt Fund
  
    2,073,999,683.25
  
    1,989,460,339.35
  
    1,989,646,042.32
04018
GMO Emerging Markets Fund
  
    8,678,212,911.56
  
    8,806,395,894.33
  
    9,372,925,809.10
04046
GMO Flexible Equities Fund
  
       460,072,941.70
  
       462,030,986.62
  
       482,143,665.71
04032
GMO Foreign Fund
  
    3,284,745,670.44
  
    3,284,594,182.39
  
    3,536,118,646.20
04056
GMO Foreign Small Companies Fund
  
       256,938,276.59
  
       260,562,415.17
  
       290,112,192.82
IZE4
GMO Global Balanced Asset Allocation Fund
  
    2,816,357,307.31
  
    2,921,175,433.19
  
    3,091,781,492.21
IZFD
GMO Global Bond Fund
  
       273,626,490.86
  
       269,175,284.46
  
       269,870,734.41
IZE3
GMO Global Equity Allocation Fund
  
       463,441,982.98
  
       528,427,225.62
  
       584,245,507.91
IZFL
GMO Inflation Indexed Plus Bond Fund
  
       398,548,711.29
  
       399,596,252.39
  
       409,092,386.29
IZFE
GMO International Bond Fund
  
       205,604,946.32
  
       207,662,626.79
  
       210,568,867.21
44057
GMO International Core Equity Fund
  
    4,180,312,275.75
  
    3,920,486,402.15
  
    4,188,207,710.31
IZE5
GMO International Equity Allocation Fund
  
       747,059,329.42
  
       761,923,214.03
  
       824,946,534.46
44058
GMO International Growth Equity Fund
  
    2,448,352,813.74
  
    2,458,643,172.15
  
    2,546,007,084.47
04006
GMO International Intrinsic Value Fund
  
    4,994,438,499.36
  
    4,860,036,340.00
  
    5,251,730,152.35
IZE6
GMO International Opportunities Equity Allocation Fund
       529,874,570.25
  
       533,063,299.94
  
       579,140,144.91
04010
GMO International Small Companies Fund
  
       633,846,953.17
  
       772,530,980.27
  
    1,042,508,409.95
IZEA
GMO Quality Fund
  
  10,900,196,578.88
  
  11,243,193,469.75
  
  11,956,069,202.25
IZFG
GMO Real Estate Fund
  
         10,830,778.32
  
         10,474,197.04
  
         12,704,389.97
IZFM
GMO Short-Duration Collateral Fund
  
    3,496,055,753.99
  
    3,463,078,438.33
  
    3,470,531,316.66
IZGH
GMO Short-Duration Collateral Share Fund
  
         28,737,994.43
  
         29,211,051.32
  
         30,115,287.59
IZGI
GMO Short-Duration Investment Fund
  
           6,505,809.86
  
           6,557,315.33
  
           6,678,352.24
IZGL
GMO Special Purpose Holding Fund
  
              403,903.22
  
              396,989.13
  
              394,123.57
IZFH
GMO Special Situations Fund
  
       313,194,874.18
  
       321,347,680.50
  
       332,239,270.31
IZE7
GMO Strategic Fixed Income Fund
  
    2,227,272,979.79
  
    2,217,588,039.93
  
    2,239,421,333.44
04070
GMO Strategic Opportunities Allocation Fund
  
    1,318,818,788.85
  
    1,365,122,764.57
  
    1,449,851,416.16
04048
GMO Taiwan Fund
  
       129,021,773.34
  
       147,846,734.49
  
       135,130,527.05
IZEB
GMO Tax-Managed International Equities Fund
       523,650,228.18
  
       527,007,515.11
  
       567,281,217.90
IZED
GMO Tax-Managed U.S. Equities Fund
  
           9,592,482.48
  
           9,715,325.24
  
         10,190,829.65
IZEF
GMO Tobacco-Free Core Fund
  
         18,742,383.15
  
         18,358,059.05
  
         19,459,853.71
IZE8
GMO U.S. Core Equity Fund
  
    1,810,611,791.34
  
    1,842,601,221.37
  
    1,955,121,695.95
IZEG
GMO U.S. Equity Allocation Fund
  
       106,589,505.76
  
       109,428,157.57
  
       114,803,228.14
IZEH
GMO U.S. Growth Fund
  
         41,668,161.91
  
         42,725,246.78
  
         44,854,716.46
IZEI
GMO U.S. Intrinsic Value Fund
  
           5,875,555.15
  
           5,929,477.09
  
           6,395,013.19
IZEJ
GMO U.S. Small/Mid Cap Growth Fund
  
           4,779,590.36
  
           4,234,624.22
  
           4,493,589.03
IZEL
GMO U.S. Small/Mid Cap Value Fund
  
         15,201,360.70
  
         14,795,447.93
  
         15,838,205.25
IZEN
GMO U.S. Treasury Fund
  
       280,560,373.08
  
       250,469,579.29
  
       249,092,808.89
IZE9
GMO World Opportunities Equity Allocation Fund
       863,977,477.78
  
       900,982,404.31
  
       944,824,631.58
IZGM
GMO World Oppportunity Overlay Fund
  
       795,562,688.67
  
       797,188,103.91
  
       825,302,211.65
               
 
Total
  
  60,315,438,217.67
  
  60,868,955,036.01
  
  64,478,428,390.40
               
 
Fund Name
  
 September
  
 October
  
 November
 
 
            
04024
GMO Alpha Only Fund
  
    1,332,067,771.23
  
    1,416,640,455.58
  
    1,611,159,403.17
IZGE
GMO Alternative Asset Opportunity Fund
  
         24,922,785.95
  
         25,588,650.27
  
         26,036,718.36
IZEM
GMO Asset Allocation Bond Fund
  
       798,098,383.06
  
       795,934,331.84
  
       812,185,470.62
IZE2
GMO Benchmark-Free Allocation Fund
  
    1,679,201,669.56
  
    1,683,303,883.66
  
    1,808,166,516.77
IZFA
GMO Core Plus Bond Fund
  
       310,485,559.45
  
       319,221,640.25
  
       325,399,589.55
IZFI
GMO Currency Hedged International Bond Fund
       128,933,452.99
  
       132,028,388.48
  
       133,575,431.35
04028
GMO Currency Hedged International Equity Fund
         32,715,247.93
  
         25,349,559.26
  
         25,228,204.18
04031
GMO Developed World Stock Fund
  
       388,530,396.04
  
       379,392,747.69
  
       382,231,071.53
IZFJ
GMO Domestic Bond Fund
  
       846,904,184.16
  
       841,456,683.27
  
       831,759,685.34
04043
GMO Emerging Countries Fund
  
       194,531,245.71
  
       199,143,136.55
  
       197,945,077.12
IZFB
GMO Emerging Country Debt Fund
  
    2,068,890,675.77
  
    2,102,163,118.76
  
    2,115,102,128.42
04018
GMO Emerging Markets Fund
  
    9,588,852,578.06
  
  10,052,099,146.70
  
    9,918,559,902.76
04046
GMO Flexible Equities Fund
  
       451,519,931.32
  
       428,418,290.50
  
       392,604,916.90
04032
GMO Foreign Fund
  
    3,681,975,137.54
  
    3,687,355,736.12
  
    3,622,995,648.97
04056
GMO Foreign Small Companies Fund
  
       311,244,094.17
  
       315,753,848.64
  
       314,835,360.35
IZE4
GMO Global Balanced Asset Allocation Fund
  
    3,213,551,625.88
  
    3,176,055,000.39
  
    3,193,365,607.94
IZFD
GMO Global Bond Fund
  
       277,024,858.33
  
       284,027,650.21
  
       278,571,136.10
IZE3
GMO Global Equity Allocation Fund
  
       605,607,995.18
  
       699,603,896.43
  
       717,310,476.13
IZFL
GMO Inflation Indexed Plus Bond Fund
  
       416,305,604.92
  
       418,039,772.08
  
       413,629,057.96
IZFE
GMO International Bond Fund
  
       216,435,960.27
  
       219,210,786.95
  
       221,654,213.74
44057
GMO International Core Equity Fund
  
    4,376,026,381.74
  
    4,456,327,477.53
  
    4,433,016,191.05
IZE5
GMO International Equity Allocation Fund
  
       892,446,433.17
  
    1,041,591,059.66
  
    1,076,572,198.42
44058
GMO International Growth Equity Fund
  
    2,652,850,387.94
  
    2,751,200,428.82
  
    2,828,947,087.62
04006
GMO International Intrinsic Value Fund
  
    5,392,951,645.49
  
    5,493,175,910.53
  
    5,513,549,696.39
IZE6
GMO International Opportunities Equity Allocation Fund
       568,537,170.39
  
       568,763,436.79
  
       567,970,595.63
04010
GMO International Small Companies Fund
  
    1,236,089,032.79
  
    1,248,479,730.07
  
    1,230,881,076.08
IZEA
GMO Quality Fund
  
  12,526,856,769.52
  
  13,086,722,825.17
  
  13,944,309,454.01
IZFG
GMO Real Estate Fund
  
         13,492,710.02
  
         13,512,883.50
  
         13,683,906.37
IZFM
GMO Short-Duration Collateral Fund
  
    3,456,179,345.81
  
    3,417,846,593.44
  
    3,395,314,817.98
IZGH
GMO Short-Duration Collateral Share Fund
  
         30,600,840.99
  
         31,153,394.25
  
         31,247,872.15
IZGI
GMO Short-Duration Investment Fund
  
           6,722,756.36
  
           6,768,177.20
  
           6,821,644.75
IZGL
GMO Special Purpose Holding Fund
  
              339,977.02
  
              334,166.33
  
              327,792.45
IZFH
GMO Special Situations Fund
  
       343,909,668.60
  
       346,566,260.68
  
       346,831,598.27
IZE7
GMO Strategic Fixed Income Fund
  
    2,226,619,369.83
  
    2,243,506,390.72
  
    2,248,422,620.21
04070
GMO Strategic Opportunities Allocation Fund
  
    1,491,689,776.24
  
    1,626,632,570.58
  
    1,603,430,433.42
04048
GMO Taiwan Fund
  
       123,264,422.94
  
       120,406,026.33
  
       115,076,238.85
IZEB
GMO Tax-Managed International Equities Fund
       584,834,067.54
  
       587,465,703.24
  
       583,516,348.36
IZED
GMO Tax-Managed U.S. Equities Fund
  
         10,343,410.23
  
         10,569,328.50
  
         10,982,153.97
IZEF
GMO Tobacco-Free Core Fund
  
         20,008,798.77
  
         20,575,507.11
  
         21,347,334.51
IZE8
GMO U.S. Core Equity Fund
  
    2,011,362,592.93
  
    2,054,112,346.69
  
    2,075,104,124.97
IZEG
GMO U.S. Equity Allocation Fund
  
       117,126,689.13
  
       119,862,796.86
  
       124,706,856.07
IZEH
GMO U.S. Growth Fund
  
         46,154,798.97
  
         47,092,198.63
  
         41,147,954.38
IZEI
GMO U.S. Intrinsic Value Fund
  
           6,597,883.22
  
           6,750,895.01
  
           6,930,375.30
IZEJ
GMO U.S. Small/Mid Cap Growth Fund
  
           4,707,638.71
  
           4,817,925.96
  
           4,714,077.66
IZEL
GMO U.S. Small/Mid Cap Value Fund
  
         16,417,080.21
  
         16,843,787.37
  
         16,659,310.11
IZEN
GMO U.S. Treasury Fund
  
       303,067,057.74
  
       573,791,576.76
  
       581,098,622.28
IZE9
GMO World Opportunities Equity Allocation Fund
       969,962,336.26
  
       980,848,986.49
  
    1,001,432,151.83
IZGM
GMO World Oppportunity Overlay Fund
  
       832,967,121.54
  
       875,806,631.89
  
       921,768,037.70
               
 
Total
  
  66,829,925,321.62
  
  68,952,311,739.77
  
  70,088,126,188.04
               
 
Fund Name
  
 December
  
 January
  
 February
 
 
            
04024
GMO Alpha Only Fund
  
    1,620,286,869.73
  
    1,664,302,142.15
  
    1,709,022,063.76
IZGE
GMO Alternative Asset Opportunity Fund
  
         23,444,796.91
  
         23,448,095.64
  
         22,927,325.09
IZEM
GMO Asset Allocation Bond Fund
  
       795,174,498.16
  
       818,218,155.78
  
       868,275,802.01
IZE2
GMO Benchmark-Free Allocation Fund
  
    1,830,826,436.44
  
    1,773,965,617.40
  
    1,721,961,320.58
IZFA
GMO Core Plus Bond Fund
  
       324,257,010.53
  
       326,306,261.36
  
       330,451,812.32
IZFI
GMO Currency Hedged International Bond Fund
       133,539,772.32
  
       133,812,495.27
  
       136,058,155.48
04028
GMO Currency Hedged International Equity Fund
         25,757,557.92
  
         26,176,538.79
  
         25,292,881.30
04031
GMO Developed World Stock Fund
  
       385,203,533.80
  
       364,685,174.03
  
       335,319,854.13
IZFJ
GMO Domestic Bond Fund
  
       836,562,220.52
  
       816,025,921.92
  
       787,794,429.99
04043
GMO Emerging Countries Fund
  
       201,620,466.85
  
       213,925,641.31
  
       206,409,386.61
IZFB
GMO Emerging Country Debt Fund
  
    2,061,468,432.18
  
    2,041,685,995.19
  
    1,953,461,863.94
04018
GMO Emerging Markets Fund
  
    9,633,101,076.02
  
    9,749,625,142.53
  
    9,128,076,883.47
04046
GMO Flexible Equities Fund
  
       386,647,771.33
  
       396,525,770.15
  
       390,635,828.53
04032
GMO Foreign Fund
  
    3,523,133,091.85
  
    3,440,000,956.63
  
    3,011,234,942.00
04056
GMO Foreign Small Companies Fund
  
       389,785,676.05
  
       399,694,248.83
  
       378,005,497.31
IZE4
GMO Global Balanced Asset Allocation Fund
  
    3,223,973,371.20
  
    3,222,847,558.71
  
    3,111,042,870.29
IZFD
GMO Global Bond Fund
  
       270,775,778.47
  
       246,884,537.18
  
       211,948,250.08
IZE3
GMO Global Equity Allocation Fund
  
       730,860,523.28
  
       747,189,455.78
  
       713,477,271.57
IZFL
GMO Inflation Indexed Plus Bond Fund
  
       390,997,870.88
  
       396,389,880.59
  
       398,970,861.13
IZFE
GMO International Bond Fund
  
       213,450,898.75
  
       206,491,091.77
  
       207,741,236.29
44057
GMO International Core Equity Fund
  
    4,393,299,982.23
  
    4,416,627,221.16
  
    4,108,410,706.97
IZE5
GMO International Equity Allocation Fund
  
    1,076,983,461.63
  
    1,080,616,841.45
  
    1,018,517,997.64
44058
GMO International Growth Equity Fund
  
    2,836,351,547.20
  
    2,838,447,897.10
  
    2,753,839,637.45
04006
GMO International Intrinsic Value Fund
  
    5,499,972,853.59
  
    5,540,280,747.38
  
    5,253,874,038.26
IZE6
GMO International Opportunities Equity Allocation Fund
       602,139,753.52
  
       651,244,756.53
  
       654,822,409.68
04010
GMO International Small Companies Fund
  
    1,208,465,417.30
  
    1,237,714,942.63
  
    1,164,124,508.48
IZEA
GMO Quality Fund
  
  14,465,746,986.19
  
  14,700,139,152.04
  
  14,631,970,535.05
IZFG
GMO Real Estate Fund
  
         13,878,097.85
  
         13,886,536.06
  
         13,625,534.05
IZFM
GMO Short-Duration Collateral Fund
  
    3,415,652,032.30
  
    3,262,771,779.36
  
    3,178,077,001.12
IZGH
GMO Short-Duration Collateral Share Fund
  
         31,480,907.26
  
         32,044,614.85
  
         32,573,256.90
IZGI
GMO Short-Duration Investment Fund
  
           6,837,585.74
  
           6,595,394.98
  
           6,616,314.81
IZGL
GMO Special Purpose Holding Fund
  
              318,545.94
  
              313,766.04
  
              307,621.51
IZFH
GMO Special Situations Fund
  
       346,329,816.22
  
       352,256,413.80
  
       355,407,792.54
IZE7
GMO Strategic Fixed Income Fund
  
    2,248,348,680.39
  
    2,202,192,800.21
  
    2,144,409,374.29
04070
GMO Strategic Opportunities Allocation Fund
  
    1,638,160,627.99
  
    1,635,031,258.71
  
    1,617,810,548.82
04048
GMO Taiwan Fund
  
       113,001,711.35
  
       111,974,113.87
  
         94,913,136.05
IZEB
GMO Tax-Managed International Equities Fund
       567,806,241.88
  
       573,313,754.26
  
       544,869,848.08
IZED
GMO Tax-Managed U.S. Equities Fund
  
         15,196,053.94
  
         16,186,541.64
  
         15,765,197.36
IZEF
GMO Tobacco-Free Core Fund
  
         21,950,692.34
  
         22,100,664.15
  
         21,401,810.91
IZE8
GMO U.S. Core Equity Fund
  
    2,082,177,338.62
  
    2,080,230,392.77
  
    2,004,702,105.45
IZEG
GMO U.S. Equity Allocation Fund
  
       128,941,572.66
  
       131,490,538.52
  
       127,588,690.58
IZEH
GMO U.S. Growth Fund
  
         41,469,953.07
  
         41,665,537.74
  
         40,670,811.80
IZEI
GMO U.S. Intrinsic Value Fund
  
           7,076,455.03
  
           7,146,065.30
  
           6,933,746.63
IZEJ
GMO U.S. Small/Mid Cap Growth Fund
  
           4,905,566.78
  
           8,919,296.49
  
           9,709,017.94
IZEL
GMO U.S. Small/Mid Cap Value Fund
  
         17,201,983.38
  
         12,533,118.49
  
         11,183,442.92
IZEN
GMO U.S. Treasury Fund
  
       556,459,046.02
  
       602,217,250.04
  
       570,855,843.11
IZE9
GMO World Opportunities Equity Allocation Fund
       970,789,287.04
  
       966,823,764.06
  
       973,805,469.60
IZGM
GMO World Oppportunity Overlay Fund
  
       916,580,368.35
  
       917,108,325.87
  
       921,326,032.10
               
 
Total
  
  70,228,390,218.99
  
  70,470,074,166.50
  
  67,926,220,965.98