EX-99 5 ana.htm Unassociated Document
 
 
 

 
GMO Trust
            
 
FYE 2/28/2012
            
 
Attachment Filed in Response to Form N-SAR Sub-Item 77P
        
 
Monthly Average Assets
            
               
 
Fund Name
  
 March
  
 April
  
 May
               
4024
GMO Alpha Only Fund
  
    2,149,355,544.85
  
    2,202,565,728.94
  
    2,605,291,913.47
IZGE
GMO Alternative Asset Opportunity Fund
  
         25,527,572.58
  
         26,008,206.09
  
         25,233,741.09
IZEM
GMO Asset Allocation Bond Fund
  
       687,632,278.74
  
       734,768,281.95
  
       775,096,103.65
IZE1
GMO Benchmark Free Fund
  
                             -
  
                             -
  
                             -
IZE2
GMO Benchmark-Free Allocation Fund
  
    3,161,921,418.11
  
    3,405,601,701.93
  
    3,434,978,166.43
IZFA
GMO Core Plus Bond Fund
  
       231,365,680.16
  
       227,439,652.98
  
       231,477,413.16
IZFI
GMO Currency Hedged International Bond Fund
  
         70,731,897.58
  
         73,305,377.93
  
         75,777,450.23
4028
GMO Currency Hedged International Equity Fund
  
       441,692,007.55
  
       399,233,274.41
  
       366,694,391.36
IZFX
GMO DEBT OPPORTUNITIES FUND
  
                             -
  
                             -
  
                             -
4031
GMO Developed World Stock Fund
  
       391,080,625.57
  
       382,135,497.45
  
       378,904,249.83
IZFJ
GMO Domestic Bond Fund
  
       515,758,486.21
  
       503,675,321.76
  
       489,562,408.24
4036
GMO Emerging Countries Fund
  
       258,410,543.64
  
       276,274,093.51
  
       266,607,447.67
IZFB
GMO Emerging Country Debt Fund
  
    1,710,247,746.37
  
    1,730,958,109.79
  
    1,705,678,573.34
4032
GMO Emerging Domestic Opportunities Fund
  
           6,618,199.26
  
         11,572,879.04
  
         11,476,578.87
4018
GMO Emerging Markets Fund
  
  12,119,369,828.42
  
  12,812,313,206.44
  
  12,187,074,221.52
4014
GMO Flexible Equities Fund
  
       382,432,199.41
  
       823,402,930.63
  
       894,661,249.96
4030
GMO Foreign Fund
  
    2,535,149,198.03
  
    2,348,448,482.69
  
    2,143,369,881.25
4001
GMO Foreign Small Companies Fund
  
       538,070,984.81
  
       557,500,822.25
  
       557,219,476.97
IZE4
GMO Global Balanced Asset Allocation Fund
  
    3,481,454,628.54
  
    3,580,905,224.75
  
    3,612,161,390.30
IZFD
GMO Global Bond Fund
  
       210,992,302.09
  
       210,849,180.26
  
       210,343,670.30
IZE3
GMO Global Equity Allocation Fund
  
    1,459,058,362.92
  
    1,539,236,999.91
  
    1,563,986,283.10
4035
GMO GLOBAL FOCUSED EQUITY FUND
  
                             -
  
                             -
  
                             -
IZFL
GMO Inflation Indexed Plus Bond Fund
  
       152,335,125.91
  
       145,490,258.77
  
       147,538,716.93
IZIW
GMO Implementation Fund
  
                             -
  
                             -
  
                             -
IZFE
GMO International Bond Fund
  
       109,085,061.70
  
         98,517,745.22
  
         98,479,895.18
4060
GMO International Core Equity Fund
  
    5,368,694,967.62
  
    5,362,247,811.63
  
    5,268,882,370.74
IZE5
GMO International Equity Allocation Fund
  
    1,257,577,905.62
  
    1,314,051,414.70
  
    1,305,703,320.54
4058
GMO International Growth Equity Fund
  
    3,471,809,517.72
  
    3,557,054,915.50
  
    3,634,007,624.30
4006
GMO International Intrinsic Value Fund
  
    5,780,220,421.56
  
    5,950,264,852.77
  
    6,015,575,079.48
IZE6
GMO International Opportunities Equity Allocation Fund
       779,735,133.07
  
       813,537,122.44
  
       819,669,877.25
4010
GMO International Small Companies Fund
  
       452,247,360.26
  
       466,219,630.00
  
       465,774,179.89
IZEI
GMO Quality Fund
  
  16,005,513,461.09
  
  16,020,561,278.67
  
  16,247,601,995.19
IZEA
GMO Real Estate Fund
  
         15,117,804.36
  
         15,674,551.17
  
         16,218,264.43
4040
GMO Resources Fund
  
                             -
  
                             -
  
                             -
IZFG
GMO Short-Duration Collateral Fund
  
    2,051,269,208.82
  
    2,006,267,085.73
  
    1,919,358,086.80
IZFM
GMO Short-Duration Collateral Share Fund
  
         34,974,628.63
  
         34,726,004.66
  
         34,815,625.97
IZGH
GMO Short-Duration Investment Fund
  
           5,999,786.86
  
           6,000,220.47
  
           6,000,861.25
IZGI
GMO Special Purpose Holding Fund
  
              276,919.52
  
              267,693.16
  
              261,012.66
IZGL
GMO Special Situations Fund
  
       738,577,491.07
  
       758,434,648.93
  
       749,833,295.37
IZFH
GMO Strategic Fixed Income Fund
  
    2,574,499,498.14
  
    2,583,463,274.93
  
    2,640,734,993.03
IZE7
GMO Strategic Opportunities Allocation Fund
  
    1,727,464,045.18
  
    1,773,289,883.05
  
    1,797,823,578.82
4043
GMO Taiwan Fund
  
       134,032,899.44
  
       130,803,262.11
  
       130,305,930.99
4005
GMO Tax-Managed International Equities Fund
  
       583,236,826.94
  
       604,320,378.47
  
       607,446,326.96
IZEB
GMO Tax-Managed U.S. Equities Fund
  
         16,139,797.54
  
         16,580,868.04
  
         16,897,787.65
IZED
GMO Tobacco-Free Core Fund
  
         24,807,400.57
  
         25,439,167.91
  
         24,923,297.17
IZEF
GMO U.S. Core Equity Fund
  
    1,668,789,229.28
  
    1,606,347,940.54
  
    1,631,125,439.97
IZE8
GMO U.S. Equity Allocation Fund
  
         94,832,489.36
  
         97,428,596.10
  
         99,459,021.13
IZEG
GMO U.S. Growth Fund
  
           2,426,886.34
  
           2,491,096.69
  
           2,606,128.60
IZEH
GMO U.S. Intrinsic Value Fund
  
           8,483,360.95
  
           8,743,492.40
  
           8,860,255.79
IZEJ
GMO U.S. Small/Mid Cap Growth Fund
  
         12,985,257.33
  
           5,802,724.14
  
           5,767,260.01
IZEl
GMO U.S. Small/Mid Cap Value Fund
  
         12,768,093.01
  
           5,874,850.86
  
           5,883,574.09
IZEN
GMO U.S. Treasury Fund
  
    1,832,018,765.78
  
    1,809,733,926.25
  
    1,977,227,070.94
IZE9
GMO World Opportunities Equity Allocation Fund
  
    1,192,275,262.64
  
    1,247,693,536.50
  
    1,268,259,563.27
IZGM
GMO World Opportunity Overlay Fund
  
       850,515,056.12
  
       849,378,324.68
  
       853,400,545.37
               
               
 
Total
  
  77,335,579,167.30
  
  79,162,901,529.19
  
  79,336,035,590.52
               
 
Fund Name
  
 June
  
 July
  
 August
 
 
            
4024
GMO Alpha Only Fund
  
    2,677,144,095.02
  
    2,677,939,777.53
  
    2,422,597,648.53
IZGE
GMO Alternative Asset Opportunity Fund
  
         24,959,921.01
  
         24,949,697.40
  
         24,542,135.77
IZEM
GMO Asset Allocation Bond Fund
  
       758,222,754.66
  
       670,862,481.87
  
       466,883,993.46
IZE1
GMO Benchmark Free Fund
  
       860,024,419.37
  
    1,605,851,391.67
  
    2,551,944,999.85
IZE2
GMO Benchmark-Free Allocation Fund
  
    2,935,868,340.55
  
    1,770,859,133.46
  
       740,651,092.26
IZFA
GMO Core Plus Bond Fund
  
       232,496,783.46
  
       237,963,567.21
  
       240,765,806.64
IZFI
GMO Currency Hedged International Bond Fund
  
         76,016,454.67
  
         76,179,112.74
  
         78,187,386.24
4028
GMO Currency Hedged International Equity Fund
  
       354,443,432.16
  
       356,414,818.42
  
       387,794,791.47
IZFX
GMO DEBT OPPORTUNITIES FUND
  
                             -
  
                             -
  
                             -
4031
GMO Developed World Stock Fund
  
       368,313,943.20
  
       377,905,927.63
  
       335,788,902.17
IZFJ
GMO Domestic Bond Fund
  
       444,066,978.29
  
       414,757,015.13
  
       390,146,587.63
4036
GMO Emerging Countries Fund
  
       262,170,748.02
  
       265,382,986.92
  
       232,695,963.50
IZFB
GMO Emerging Country Debt Fund
  
    1,700,777,360.88
  
    1,700,652,738.87
  
    1,694,012,379.30
4032
GMO Emerging Domestic Opportunities Fund
  
         11,454,364.59
  
         14,123,281.57
  
         21,127,336.55
4018
GMO Emerging Markets Fund
  
  11,913,483,083.04
  
  12,181,854,912.79
  
  10,887,787,393.40
4014
GMO Flexible Equities Fund
  
       887,368,749.89
  
       940,914,517.96
  
    1,032,221,501.98
4030
GMO Foreign Fund
  
    1,969,456,194.59
  
    1,845,412,309.01
  
    1,545,734,246.46
4001
GMO Foreign Small Companies Fund
  
       545,143,044.11
  
       647,783,273.76
  
       572,217,117.60
IZE4
GMO Global Balanced Asset Allocation Fund
  
    3,563,230,756.69
  
    3,487,579,270.43
  
    3,323,365,697.99
IZFD
GMO Global Bond Fund
  
       209,777,029.87
  
       204,709,558.38
  
       199,848,807.79
IZE3
GMO Global Equity Allocation Fund
  
    1,531,741,884.77
  
    1,570,446,970.21
  
    1,428,831,727.78
4035
GMO GLOBAL FOCUSED EQUITY FUND
  
                             -
  
                             -
  
                             -
IZFL
GMO Inflation Indexed Plus Bond Fund
  
       146,210,384.11
  
       144,820,226.39
  
       127,264,578.38
IZIW
GMO Implementation Fund
  
                             -
  
                             -
  
                             -
IZFE
GMO International Bond Fund
  
         97,473,097.66
  
         96,345,408.88
  
         98,341,569.48
4060
GMO International Core Equity Fund
  
    5,043,260,434.75
  
    4,893,465,132.15
  
    4,170,479,068.43
IZE5
GMO International Equity Allocation Fund
  
    1,244,634,353.40
  
    1,219,454,655.81
  
       997,875,418.02
4058
GMO International Growth Equity Fund
  
    3,572,286,547.83
  
    3,575,883,313.67
  
    3,162,101,207.02
4006
GMO International Intrinsic Value Fund
  
    5,879,434,085.74
  
    5,923,485,123.65
  
    5,245,207,547.68
IZE6
GMO International Opportunities Equity Allocation Fund
       841,099,817.10
  
       874,313,465.61
  
       778,091,838.86
4010
GMO International Small Companies Fund
  
       449,444,333.07
  
       459,527,700.29
  
       400,736,118.59
IZEI
GMO Quality Fund
  
  15,870,035,117.84
  
  16,698,711,784.14
  
  16,079,416,623.69
IZEA
GMO Real Estate Fund
  
         15,724,863.10
  
         16,380,838.52
  
         14,687,375.65
4040
GMO Resources Fund
  
                             -
  
                             -
  
                             -
IZFG
GMO Short-Duration Collateral Fund
  
    1,752,271,530.44
  
    1,620,303,916.42
  
    1,514,935,586.80
IZFM
GMO Short-Duration Collateral Share Fund
  
         34,446,007.13
  
         34,330,467.19
  
         33,882,281.49
IZGH
GMO Short-Duration Investment Fund
  
           5,978,085.13
  
           5,892,886.58
  
           5,595,307.08
IZGI
GMO Special Purpose Holding Fund
  
              254,865.86
  
              247,952.23
  
              238,354.67
IZGL
GMO Special Situations Fund
  
       753,801,768.12
  
       734,264,081.01
  
       714,056,639.33
IZFH
GMO Strategic Fixed Income Fund
  
    2,705,791,718.06
  
    2,708,091,158.64
  
    2,817,051,645.01
IZE7
GMO Strategic Opportunities Allocation Fund
  
    1,791,527,831.10
  
    1,909,998,313.06
  
    1,797,418,037.50
4043
GMO Taiwan Fund
  
       133,207,148.89
  
       135,204,383.17
  
       120,770,784.92
4005
GMO Tax-Managed International Equities Fund
  
       587,068,349.77
  
       581,350,226.69
  
       512,288,176.09
IZEB
GMO Tax-Managed U.S. Equities Fund
  
         16,413,128.27
  
         17,062,253.80
  
         16,493,126.78
IZED
GMO Tobacco-Free Core Fund
  
         24,173,961.94
  
         25,016,631.01
  
         22,692,319.99
IZEF
GMO U.S. Core Equity Fund
  
    1,561,970,285.02
  
    1,542,572,888.31
  
    1,373,146,533.06
IZE8
GMO U.S. Equity Allocation Fund
  
         93,684,719.48
  
         68,330,756.16
  
         62,971,902.94
IZEG
GMO U.S. Growth Fund
  
           2,513,875.87
  
           2,622,528.34
  
           2,408,993.25
IZEH
GMO U.S. Intrinsic Value Fund
  
           8,591,231.06
  
           8,862,189.45
  
           7,988,252.65
IZEJ
GMO U.S. Small/Mid Cap Growth Fund
  
           5,481,274.41
  
           5,464,648.07
  
           4,463,940.50
IZEl
GMO U.S. Small/Mid Cap Value Fund
  
           5,634,938.47
  
           5,511,771.03
  
           4,609,924.41
IZEN
GMO U.S. Treasury Fund
  
    2,052,744,575.82
  
    2,163,925,500.74
  
    2,239,443,172.61
IZE9
GMO World Opportunities Equity Allocation Fund
  
    1,233,317,792.65
  
    1,257,054,464.23
  
    1,138,834,380.02
IZGM
GMO World Opportunity Overlay Fund
  
       849,356,359.92
  
       847,510,394.99
  
       849,537,884.97
               
 
Total
  
  78,103,992,820.81
  
  74,369,081,024.12
  
  68,653,284,803.75
               
 
Fund Name
  
 September
  
 October
  
 November
 
 
            
4024
GMO Alpha Only Fund
  
    2,254,819,556.21
  
    2,091,600,845.74
  
    2,105,975,580.66
IZGE
GMO Alternative Asset Opportunity Fund
  
         24,214,408.98
  
         27,588,945.80
  
         42,885,106.91
IZEM
GMO Asset Allocation Bond Fund
  
       314,884,463.80
  
       189,659,908.80
  
       190,239,902.96
IZE1
GMO Benchmark Free Fund
  
    2,982,653,137.70
  
    3,178,230,214.46
  
    3,184,814,141.49
IZE2
GMO Benchmark-Free Allocation Fund
  
       312,278,132.19
  
       166,736,346.78
  
       160,835,634.06
IZFA
GMO Core Plus Bond Fund
  
       238,547,092.11
  
       232,541,834.92
  
       232,688,783.78
IZFI
GMO Currency Hedged International Bond Fund
  
         76,335,271.00
  
         68,659,820.71
  
         68,693,617.94
4028
GMO Currency Hedged International Equity Fund
  
       445,227,537.29
  
       595,646,252.82
  
       599,525,588.18
IZFX
GMO DEBT OPPORTUNITIES FUND
  
                             -
  
       152,194,186.42
  
       170,875,332.34
4031
GMO Developed World Stock Fund
  
       326,296,509.69
  
       336,584,173.79
  
       338,311,941.86
IZFJ
GMO Domestic Bond Fund
  
       370,460,392.22
  
       364,162,524.22
  
       341,497,350.34
4036
GMO Emerging Countries Fund
  
       204,366,092.89
  
       161,133,687.58
  
       162,803,734.94
IZFB
GMO Emerging Country Debt Fund
  
    1,655,138,058.50
  
    1,611,092,105.49
  
    1,657,587,573.90
4032
GMO Emerging Domestic Opportunities Fund
  
         77,732,277.96
  
       340,824,915.50
  
       381,716,582.84
4018
GMO Emerging Markets Fund
  
  10,390,700,300.75
  
  10,110,800,184.30
  
  10,384,841,570.06
4014
GMO Flexible Equities Fund
  
    1,066,641,177.61
  
    1,119,899,046.41
  
    1,092,543,636.64
4030
GMO Foreign Fund
  
    1,422,901,157.57
  
    1,322,627,103.30
  
    1,243,371,888.04
4001
GMO Foreign Small Companies Fund
  
       539,914,568.18
  
       538,184,478.01
  
       531,980,111.96
IZE4
GMO Global Balanced Asset Allocation Fund
  
    3,239,844,320.19
  
    3,136,068,871.95
  
    3,145,616,853.55
IZFD
GMO Global Bond Fund
  
       181,371,979.59
  
       172,192,629.70
  
       171,323,022.55
IZE3
GMO Global Equity Allocation Fund
  
    1,432,253,264.74
  
    1,466,384,756.74
  
    1,465,480,866.45
4035
GMO GLOBAL FOCUSED EQUITY FUND
  
                             -
  
                             -
  
                             -
IZFL
GMO Inflation Indexed Plus Bond Fund
  
         80,518,627.41
  
         29,201,197.79
  
         29,937,340.75
IZIW
GMO Implementation Fund
  
                             -
  
                             -
  
                             -
IZFE
GMO International Bond Fund
  
         91,668,695.81
  
         77,198,565.53
  
         74,247,302.64
4060
GMO International Core Equity Fund
  
    4,029,436,405.23
  
    4,205,540,670.12
  
    4,080,794,188.66
IZE5
GMO International Equity Allocation Fund
  
       995,403,506.28
  
    1,032,518,714.04
  
    1,024,794,649.55
4058
GMO International Growth Equity Fund
  
    3,039,267,215.71
  
    2,648,977,314.00
  
    2,538,860,879.64
4006
GMO International Intrinsic Value Fund
  
    5,159,314,897.98
  
    6,180,823,476.53
  
    6,088,302,781.85
IZE6
GMO International Opportunities Equity Allocation Fund
       747,668,030.27
  
       773,437,077.34
  
       744,574,049.95
4010
GMO International Small Companies Fund
  
       377,860,439.31
  
       383,204,177.38
  
       365,420,931.14
IZEI
GMO Quality Fund
  
  16,524,888,735.28
  
  17,191,184,497.64
  
  17,420,724,912.04
IZEA
GMO Real Estate Fund
  
         14,686,431.05
  
         14,456,887.39
  
         15,007,799.02
4040
GMO Resources Fund
  
                             -
  
                             -
  
                             -
IZFG
GMO Short-Duration Collateral Fund
  
    1,412,350,951.78
  
    1,333,280,299.09
  
    1,287,227,445.44
IZFM
GMO Short-Duration Collateral Share Fund
  
         32,978,923.26
  
         32,626,572.26
  
         32,576,945.16
IZGH
GMO Short-Duration Investment Fund
  
           5,548,873.67
  
           5,535,489.20
  
           5,532,902.42
IZGI
GMO Special Purpose Holding Fund
  
              232,165.19
  
              226,256.75
  
              218,289.35
IZGL
GMO Special Situations Fund
  
       721,188,122.37
  
       715,931,238.98
  
       720,222,982.91
IZFH
GMO Strategic Fixed Income Fund
  
    2,782,586,810.39
  
    2,585,860,837.54
  
    2,589,351,996.47
IZE7
GMO Strategic Opportunities Allocation Fund
  
    1,823,403,914.61
  
    1,830,735,176.26
  
    1,850,605,652.19
4043
GMO Taiwan Fund
  
       111,593,026.19
  
         91,502,914.70
  
         75,070,541.57
4005
GMO Tax-Managed International Equities Fund
  
       479,760,405.22
  
       496,930,154.89
  
       480,649,467.56
IZEB
GMO Tax-Managed U.S. Equities Fund
  
         17,670,434.73
  
         16,408,835.03
  
                             -
IZED
GMO Tobacco-Free Core Fund
  
         22,750,076.70
  
         23,358,455.61
  
         23,434,532.73
IZEF
GMO U.S. Core Equity Fund
  
    1,368,558,513.60
  
    1,326,435,086.46
  
    1,308,660,637.29
IZE8
GMO U.S. Equity Allocation Fund
  
         63,416,219.13
  
         63,976,797.95
  
         59,580,841.69
IZEG
GMO U.S. Growth Fund
  
           2,432,609.12
  
           2,486,259.00
  
           2,503,194.23
IZEH
GMO U.S. Intrinsic Value Fund
  
           7,975,039.48
  
           8,217,865.67
  
           8,360,317.69
IZEJ
GMO U.S. Small/Mid Cap Growth Fund
  
           4,386,181.06
  
           4,440,562.44
  
           4,524,782.13
IZEl
GMO U.S. Small/Mid Cap Value Fund
  
           4,527,055.90
  
           4,631,099.50
  
           4,703,774.65
IZEN
GMO U.S. Treasury Fund
  
    2,203,494,557.02
  
    2,123,214,162.71
  
    2,139,390,845.68
IZE9
GMO World Opportunities Equity Allocation Fund
  
    1,100,695,924.66
  
    1,126,059,787.12
  
    1,122,128,186.46
IZGM
GMO World Opportunity Overlay Fund
  
       848,925,374.30
  
       836,593,023.18
  
       848,637,990.52
               
 
Total
  
  71,631,767,861.91
  
  68,452,867,650.58
  
  68,500,269,403.39
               
 
Fund Name
  
 December
  
 January
  
 February
 
 
            
4024
GMO Alpha Only Fund
  
    2,130,197,920.07
  
    2,119,517,107.79
  
    2,112,736,154.10
IZGE
GMO Alternative Asset Opportunity Fund
  
         43,347,306.03
  
         43,971,806.81
  
         44,472,465.45
IZEM
GMO Asset Allocation Bond Fund
  
       185,885,689.41
  
       173,139,000.15
  
       174,183,092.64
IZE1
GMO Benchmark Free Fund
  
    3,219,815,138.90
  
    3,274,020,821.52
  
    3,410,382,188.79
IZE2
GMO Benchmark-Free Allocation Fund
  
       156,574,780.60
  
       164,657,279.94
  
       169,013,812.95
IZFA
GMO Core Plus Bond Fund
  
       231,568,337.44
  
       231,523,982.15
  
       234,583,979.65
IZFI
GMO Currency Hedged International Bond Fund
  
         69,621,757.85
  
         70,348,322.16
  
         71,409,697.92
4028
GMO Currency Hedged International Equity Fund
  
    1,664,192,903.06
  
    2,302,227,383.72
  
    2,399,963,030.55
IZFX
GMO DEBT OPPORTUNITIES FUND
  
       170,906,448.51
  
       186,081,081.94
  
       202,206,306.74
4031
GMO Developed World Stock Fund
  
       319,145,818.48
  
       327,724,962.17
  
       342,992,842.69
IZFJ
GMO Domestic Bond Fund
  
       340,156,859.95
  
       327,964,536.50
  
       327,146,504.15
4036
GMO Emerging Countries Fund
  
       157,481,562.54
  
       167,575,286.89
  
       184,781,650.72
IZFB
GMO Emerging Country Debt Fund
  
    1,622,038,853.44
  
    1,664,776,819.49
  
    1,761,186,098.81
4032
GMO Emerging Domestic Opportunities Fund
  
       401,371,904.63
  
       450,356,238.09
  
       512,596,690.68
4018
GMO Emerging Markets Fund
  
    9,779,978,883.73
  
    9,992,414,730.42
  
  10,815,977,867.81
4014
GMO Flexible Equities Fund
  
    1,185,066,021.21
  
    1,244,433,726.17
  
    1,340,124,289.45
4030
GMO Foreign Fund
  
    1,094,861,872.43
  
       999,108,640.14
  
    1,042,854,162.37
4001
GMO Foreign Small Companies Fund
  
       498,142,425.98
  
       504,884,940.54
  
       545,098,180.82
IZE4
GMO Global Balanced Asset Allocation Fund
  
    3,320,324,170.15
  
    3,455,474,363.00
  
    3,580,416,988.91
IZFD
GMO Global Bond Fund
  
       165,488,302.52
  
       162,187,606.55
  
       163,532,592.03
IZE3
GMO Global Equity Allocation Fund
  
    1,488,938,435.70
  
    1,538,505,856.37
  
    1,626,855,263.19
4035
GMO GLOBAL FOCUSED EQUITY FUND
  
           3,778,256.65
  
           4,214,796.93
  
           4,570,654.19
IZFL
GMO Inflation Indexed Plus Bond Fund
  
         28,435,226.23
  
         26,246,210.19
  
         26,492,198.70
IZIW
GMO Implementation Fund
  
                             -
  
                             -
  
                             -
IZFE
GMO International Bond Fund
  
         70,935,608.55
  
         69,065,582.02
  
         70,221,630.16
4060
GMO International Core Equity Fund
  
    3,967,404,642.29
  
    3,996,803,193.98
  
    4,202,346,529.10
IZE5
GMO International Equity Allocation Fund
  
    1,038,782,439.06
  
    1,091,002,140.67
  
    1,157,810,956.81
4058
GMO International Growth Equity Fund
  
    2,649,043,622.77
  
    2,781,092,260.91
  
    2,912,776,482.36
4006
GMO International Intrinsic Value Fund
  
    6,408,268,446.53
  
    6,719,353,642.37
  
    7,118,169,610.23
IZE6
GMO International Opportunities Equity Allocation Fund
       732,956,358.97
  
       732,524,214.60
  
       778,743,547.35
4010
GMO International Small Companies Fund
  
       352,179,933.78
  
       361,467,513.18
  
       377,833,888.59
IZEI
GMO Quality Fund
  
  18,216,724,065.52
  
  18,759,147,357.67
  
  19,060,019,263.27
IZEA
GMO Real Estate Fund
  
         15,252,904.48
  
         16,020,050.97
  
         16,711,457.52
4040
GMO Resources Fund
  
           6,542,736.94
  
           7,004,223.97
  
           7,973,980.01
IZFG
GMO Short-Duration Collateral Fund
  
    1,285,617,510.09
  
    1,217,012,085.33
  
    1,184,140,974.10
IZFM
GMO Short-Duration Collateral Share Fund
  
         32,421,471.68
  
         32,563,612.22
  
         32,986,678.92
IZGH
GMO Short-Duration Investment Fund
  
           5,529,899.31
  
           5,538,041.20
  
           5,560,246.10
IZGI
GMO Special Purpose Holding Fund
  
              210,318.00
  
              242,855.21
  
              277,627.35
IZGL
GMO Special Situations Fund
  
       740,561,763.16
  
       748,550,589.87
  
       748,315,838.70
IZFH
GMO Strategic Fixed Income Fund
  
    2,526,600,699.15
  
    2,480,139,121.75
  
    2,483,259,577.04
IZE7
GMO Strategic Opportunities Allocation Fund
  
    1,890,701,925.67
  
    1,957,848,629.54
  
    2,038,109,259.33
4043
GMO Taiwan Fund
  
         65,972,483.11
  
         70,252,442.65
  
         74,841,602.26
4005
GMO Tax-Managed International Equities Fund
  
       473,079,658.80
  
       481,536,038.29
  
       502,472,800.62
IZEB
GMO Tax-Managed U.S. Equities Fund
  
                             -
  
                             -
  
                             -
IZED
GMO Tobacco-Free Core Fund
  
         22,288,064.94
  
                             -
  
                             -
IZEF
GMO U.S. Core Equity Fund
  
    1,308,096,788.01
  
    1,355,693,374.09
  
    1,397,269,013.13
IZE8
GMO U.S. Equity Allocation Fund
  
         61,028,953.94
  
         62,459,829.28
  
         64,445,184.03
IZEG
GMO U.S. Growth Fund
  
           2,597,487.43
  
           2,781,504.68
  
           2,629,810.38
IZEH
GMO U.S. Intrinsic Value Fund
  
           8,612,603.79
  
           8,880,208.14
  
           9,092,594.90
IZEJ
GMO U.S. Small/Mid Cap Growth Fund
  
           4,401,760.02
  
           4,330,548.34
  
                             -
IZEl
GMO U.S. Small/Mid Cap Value Fund
  
           4,820,883.86
  
           5,160,746.42
  
           9,629,597.48
IZEN
GMO U.S. Treasury Fund
  
    2,091,522,669.13
  
    2,072,937,568.62
  
    2,135,478,739.98
IZE9
GMO World Opportunities Equity Allocation Fund
  
    1,139,088,504.69
  
    1,178,590,214.69
  
    1,217,082,842.60
IZGM
GMO World Opportunity Overlay Fund
  
       842,676,061.62
  
       846,505,219.38
  
       853,554,467.84
               
 
Total
  
  74,241,239,140.85
  
  76,495,858,309.68
  
  79,555,330,913.41