X0505 N-CEN LIVE 0000772129 XXXXXXXX 811-04347 false false N-1A S000004081 C000011426 C000213355 C000213354 C000011423 C000011424 C000011425 S000004084 C000011440 C000011439 C000213356 C000213357 C000011437 C000011438 S000004224 C000011880 C000213359 C000011881 C000011882 C000213358 S000004911 C000013272 C000213362 C000013270 C000013268 C000013271 C000013269 C000213363 S000004913 C000013283 C000013282 C000213365 C000213364 S000004917 C000213367 C000013294 C000013295 C000213366 S000004922 C000013328 C000013330 C000013327 S000005485 C000213372 C000109350 C000014927 C000213373 S000005486 C000213374 C000213375 C000014930 S000005487 C000213376 C000213377 C000014933 S000005488 C000213379 C000213378 C000014936 S000005489 C000014937 S000005490 C000213381 C000213380 C000014938 S000007516 C000213384 C000137450 C000213385 C000020548 S000012211 C000213387 C000033342 C000213386 S000025186 C000251143 C000075084 C000251142 S000025199 C000075103 C000075099 S000033464 C000102896 S000034948 C000213392 C000107485 C000107487 C000107486 C000213393 C000107488 S000036091 C000110451 S000056707 C000179795 C000213399 C000213398 C000179797 C000179798 C000179796 S000061716 C000199927 C000199930 C000199928 C000213401 C000213400 C000199929 S000065268 C000211301 C000211299 C000211300 C000213406 C000213404 C000211302 C000213405 S000065871 C000212815 C000212814 C000212810 C000212811 C000212812 C000212813 S000068925 C000220243 C000220259 C000220244 C000220258 C000220241 C000220242 S000068930 C000220257 C000220256 S000069850 C000222627 C000222625 C000222630 C000222626 C000222631 C000222624 S000072426 C000228643 C000228649 C000228648 C000228644 C000228645 C000228647 C000228646 S000077554 C000238037 C000238039 C000238042 C000238041 C000238040 C000238038 S000079719 C000241001 C000241004 C000241005 C000241002 C000241006 C000241003 S000079720 C000241011 C000241009 C000241007 C000241008 C000241010 C000241012 S000089451 C000256006 C000256004 C000256008 C000256007 C000256005 S000089452 C000256009 GMO TRUST 811-04347 0000772129 549300Y2Q6TQD4HU5C66 53 State Street, 33rd Floor BOSTON 02109 US-MA US 617-346-7646 State Street Bank and Trust Company 1 Congress Street Suite 1 Boston 02114 617-786-3000 Records related to its functions as custodian, transfer agent and administrator N N N-1A 31 Y Dina Santoro N/A Y Enrique Chang N/A N Paul Braverman N/A N Peter Tufano N/A N Gregory L. Pottle N/A 53 State Street, 33rd floor Boston 02109 XXXXXX N N N N N N N PricewaterhouseCoopers LLP 238 5493002GVO7EO8RNNS37 N N N N N N GMO Alternative Allocation Fund S000065268 549300NEZ72NVUM4S865 N 7 0 0 N/A Y Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4 (17 CFR 270.18f-4) Y Y Y N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N BANCO CITI MEXICO S.A. INSTITUCION DE BANCA MULTIPLE, GRUPO FINANCIERO CITI MEXICO 529900H31AYI6WA1J534 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas (Athens, Attica, GR, Branch) R0MUWSFPU8MPRO8K5P83 GR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Handlowy w Warszawie Spolka Akcyjna XLEZHWWOI4HFQDGL4793 PL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Hapoalim B.M. B6ARUI4946ST4S7WOU88 IL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company N1FBEDJ5J41VKZLO2475 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, Anonim Sirketi CWZ8NZDH5SKY12Q4US31 TR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Karachi, Sindh, PK, Branch) E57ODZWZ7FF32TWEFA76 PK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Mumbai, Maharashtra, IN, Branch) E57ODZWZ7FF32TWEFA76 IN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch) E57ODZWZ7FF32TWEFA76 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank (Malaysia) Berhad 529900DLWFR8HK7DR278 MY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Jakarta, Jakarta, ID, Branch) 7LTWFZYICNSX8D621K86 ID N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Taipei City, TW, Branch) 25490016G0WR60ANOK04 TW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) First Abu Dhabi Bank MISR S.A.E. 549300FRMQH3ELEXQI94 EG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. 2138002Y3WMK6RZS8H90 AE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Intesa Sanpaolo S.p.A. 2W8N8UU78PMDQKZENC08 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Copenhagen, Hovedstaden, DK, Branch) F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch) F3JS33DEI6XQ4ZBPTN86 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch) F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Stanbic IBTC Bank Ltd 549300NIVXF92ZIOVW61 NG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Thai) Public Company Limited 549300O1LQYCQ7G1IM57 TH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Ghana PLC 549300WFGKTC3MGDCX95 GH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Uganda Limited 549300W7CNYGJ68XGD27 UG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Zambia PLC 549300247QDZHDI30A83 ZM N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch) 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Jung-gu, Seoul, KR, Branch) 2HI3YI5320L3RW6NJ957 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch) 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 203082.44000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 90495.29000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 104521.90000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 257568.28000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 94554.74000000 UBS Securities LLC 8-22651 000007654 T6FIZBDPKLYJKFCRVK44 151767.55000000 Fidelity Brokerage Services LLC 8-23292 000007784 549300OQFQ4NFIOD5695 67348.45000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 299917.42000000 TD Securities (USA) LLC 8-36747 000018476 SUVUFHICNZMP2WKHG940 119584.48000000 State Street Global Markets, LLC 8-69862 000285852 549300FDEDF5ORXCMQ56 198344.48000000 1870168.34000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 152893661.70000000 Daiwa Capital Markets America Inc. 8-12242 000001576 M67H5PRC0NQKM73ZAS82 16144622297.19000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 344863575.12000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 121153038.63000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 2741566017.65000000 BMO Capital Markets Corp. 8-34344 000016686 RUC0QBLBRPRCU4W1NE59 81402505.66000000 Mizuho Securities USA LLC 8-37710 000019647 7TK5RJIZDFROZCA6XF66 40766852.50000000 Barclays Capital Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 1226898751.42000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 25337481.95000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 1163493509.42000000 22096685879.62000000 N 721511538.11692307 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N ABS-mortgage backed security Debt Derivative-commodity Derivative-credit Derivative-equity Derivative-foreign exchange Derivative-interest rate Equity-common Equity-preferred Repurchase agreement Short-term investment vehicle N GMO Asset Allocation Bond Fund S000025199 XMFQA7127YTH95F0NH19 N 2 0 0 N/A N N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4 (17 CFR 270.18f-4) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N BANCO CITI MEXICO S.A. INSTITUCION DE BANCA MULTIPLE, GRUPO FINANCIERO CITI MEXICO 529900H31AYI6WA1J534 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company N1FBEDJ5J41VKZLO2475 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Copenhagen, Hovedstaden, DK, Branch) F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch) F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch) 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch) 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 12908.47000000 12908.47000000 Daiwa Capital Markets America Inc. 8-12242 000001576 M67H5PRC0NQKM73ZAS82 2370000.00000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 8461537067.92000000 Barclays Capital Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 13482758.39000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 150400477.14000000 8627790303.45000000 N 46611802.21769230 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Debt Derivative-interest rate Repurchase agreement Short-term investment vehicle N GMO Benchmark-Free Allocation Fund S000005485 JROIJZODPR8PSX12FZ19 N 4 0 0 Fund of Funds Y N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Section 12(d)(1)(G) of the Act (15 USC 80a-12(d)(1)(G)) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N 0.00000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 1139583094.37000000 1139583094.37000000 N 2359479025.51923076 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Short-term investment vehicle N GMO Benchmark-Free Fund S000033464 KDEBNS7APXQDZVF7RF26 N 1 0 0 N/A Y N Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Revenue sharing split 13011860.38000000 97345.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4 (17 CFR 270.18f-4) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N AB SEB bankas 549300SBPFE9JX7N8J82 LT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) AO RenCap Bank CHSQDSVI1UI96Y2SW097 RU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) AS SEB Pank 549300ND1MQ8SNNYMJ22 EE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) AS SEB banka 549300YW95G1VBBGGV07 LV N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BANCO CITI MEXICO S.A. INSTITUCION DE BANCA MULTIPLE, GRUPO FINANCIERO CITI MEXICO 529900H31AYI6WA1J534 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas (Athens, Attica, GR, Branch) R0MUWSFPU8MPRO8K5P83 GR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Banco de Chile 8B4EZFY8IHJC44TT2K84 CL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Handlowy w Warszawie Spolka Akcyjna XLEZHWWOI4HFQDGL4793 PL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Hapoalim B.M. B6ARUI4946ST4S7WOU88 IL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company N1FBEDJ5J41VKZLO2475 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company (Bucharest, Bucharest, RO, Branch) N1FBEDJ5J41VKZLO2475 RO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Maghreb S.A. 5493003FVWLMBFTISI11 MA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank del Peru S.A. MYTK5NHHP1G8TVFGT193 PE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, Anonim Sirketi CWZ8NZDH5SKY12Q4US31 TR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch) 579100KKDGKCFFKKF005 AR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Karachi, Sindh, PK, Branch) E57ODZWZ7FF32TWEFA76 PK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch) E57ODZWZ7FF32TWEFA76 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Cititrust Colombia S A Sociedad Fiduciaria 549300242J3IJCOSGI49 CO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank (Malaysia) Berhad 529900DLWFR8HK7DR278 MY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Jakarta, Jakarta, ID, Branch) 7LTWFZYICNSX8D621K86 ID N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch) 7LTWFZYICNSX8D621K86 PH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Mumbai, Maharashtra, IN, Branch) 7LTWFZYICNSX8D621K86 IN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Taipei City, TW, Branch) 25490016G0WR60ANOK04 TW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) First Abu Dhabi Bank MISR S.A.E. 549300FRMQH3ELEXQI94 EG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. 2138002Y3WMK6RZS8H90 AE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. (Kuwait City, Al Asimah, KW, Branch) 2138002Y3WMK6RZS8H90 KW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. (Manama, Capital, BH, Branch) 2138002Y3WMK6RZS8H90 BH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. (Muttrah, Muscat, OM, Branch) 2138002Y3WMK6RZS8H90 OM N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank (China) Company Limited 2CZOJRADNJXBLT55G526 CN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch) 549300F99IL9YJDWH369 QA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Intesa Sanpaolo S.p.A. 2W8N8UU78PMDQKZENC08 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Ngan Hang Trach Nhiem Huu Han Mot Thanh Vien HSBC (Viet Nam) 213800H95OG9OHRT4Y78 VN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Copenhagen, Hovedstaden, DK, Branch) F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch) F3JS33DEI6XQ4ZBPTN86 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch) F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Stanbic IBTC Bank Ltd 549300NIVXF92ZIOVW61 NG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Bank Namibia Limited 254900K6TJFDYKSQWV49 NA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Dhaka, Dhaka, BD, Branch) RILFO74KP1CM8P6PCT96 BD N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Thai) Public Company Limited 549300O1LQYCQ7G1IM57 TH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Botswana Limited 5493007VY27WWF8FF542 BW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Ghana PLC 549300WFGKTC3MGDCX95 GH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Kenya Limited 549300RBHWW5EJIRG629 KE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Uganda Limited 549300W7CNYGJ68XGD27 UG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Zambia PLC 549300247QDZHDI30A83 ZM N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch) 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Colombo, Western, LK, Branch) 2HI3YI5320L3RW6NJ957 LK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Ebene, Plaines Wilhems, MU, Branch) 2HI3YI5320L3RW6NJ957 MU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Jung-gu, Seoul, KR, Branch) 2HI3YI5320L3RW6NJ957 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch) 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. KR6LSKV3BTSJRD41IF75 CZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. (Bratislava, Bratislavsky, SK, Branch) KR6LSKV3BTSJRD41IF75 SK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bulbank AD 549300Z7V2WOFIMUEK50 BG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Zagrebacka Banka Dionicko Drustvo PRNXTNXHBI0TSY1V8P17 HR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 59501.27000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 26709.61000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 39663.09000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 32300.09000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 24153.55000000 UBS Securities LLC 8-22651 000007654 T6FIZBDPKLYJKFCRVK44 27109.41000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 30509.40000000 BNP Paribas Securities Corp. 8-32682 000015794 RCNB6OTYUAMMP879YW96 22650.05000000 SG Americas Securities, LLC 8-66125 000128351 549300F35UE0BOM1WJ55 28534.55000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 30751.34000000 407652.44000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 80923465.19000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 34154930818.81000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 72296501.67000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 9364283.61000000 BMO Capital Markets Corp. 8-34344 000016686 RUC0QBLBRPRCU4W1NE59 101187682.51000000 Barclays Capital Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 531926922.54000000 Industrial and Commercial Bank of China Financial Services LLC 8-66471 000131487 5493003O0P1GJ0O8CI80 2240787.45000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 117722803.05000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 574128077.91000000 Securities Finance Co N/A N/A 223183361.37000000 35875918474.03000000 N 1180492525.77615384 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Debt Derivative-credit Derivative-equity Derivative-foreign exchange Derivative-interest rate Equity-common Equity-preferred Repurchase agreement Short-term investment vehicle N GMO Climate Change Fund S000056707 549300YHGBL4FWUNIF94 N 6 0 0 N/A N N Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Revenue sharing split 22342431.22000000 269864.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Y Y Y N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N AO RenCap Bank CHSQDSVI1UI96Y2SW097 RU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BANCO CITI MEXICO S.A. INSTITUCION DE BANCA MULTIPLE, GRUPO FINANCIERO CITI MEXICO 529900H31AYI6WA1J534 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas (Athens, Attica, GR, Branch) R0MUWSFPU8MPRO8K5P83 GR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Banco de Chile 8B4EZFY8IHJC44TT2K84 CL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Handlowy w Warszawie Spolka Akcyjna XLEZHWWOI4HFQDGL4793 PL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Hapoalim B.M. B6ARUI4946ST4S7WOU88 IL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company N1FBEDJ5J41VKZLO2475 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company (Bucharest, Bucharest, RO, Branch) N1FBEDJ5J41VKZLO2475 RO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, Anonim Sirketi CWZ8NZDH5SKY12Q4US31 TR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Karachi, Sindh, PK, Branch) E57ODZWZ7FF32TWEFA76 PK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch) E57ODZWZ7FF32TWEFA76 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank (Malaysia) Berhad 529900DLWFR8HK7DR278 MY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch) 7LTWFZYICNSX8D621K86 PH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Taipei City, TW, Branch) 25490016G0WR60ANOK04 TW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) First Abu Dhabi Bank MISR S.A.E. 549300FRMQH3ELEXQI94 EG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. 2138002Y3WMK6RZS8H90 AE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. (Muttrah, Muscat, OM, Branch) 2138002Y3WMK6RZS8H90 OM N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Intesa Sanpaolo S.p.A. 2W8N8UU78PMDQKZENC08 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Ngan Hang Trach Nhiem Huu Han Mot Thanh Vien HSBC (Viet Nam) 213800H95OG9OHRT4Y78 VN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Copenhagen, Hovedstaden, DK, Branch) F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch) F3JS33DEI6XQ4ZBPTN86 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch) F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Thai) Public Company Limited 549300O1LQYCQ7G1IM57 TH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Kenya Limited 549300RBHWW5EJIRG629 KE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch) 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Jung-gu, Seoul, KR, Branch) 2HI3YI5320L3RW6NJ957 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch) 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 8125.59000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 36606.07000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 10473.51000000 Fidelity Brokerage Services LLC 8-23292 000007784 549300OQFQ4NFIOD5695 10941.60000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 23040.95000000 BMO Capital Markets Corp. 8-34344 000016686 RUC0QBLBRPRCU4W1NE59 8719.03000000 SG Americas Securities, LLC 8-66125 000128351 549300F35UE0BOM1WJ55 17662.19000000 BTG Pactual US Capital, LLC 8-68148 000149486 549300EUEDL5GKQW8U35 5350.73000000 CLSA Americas, LLC 8-69166 000165533 213800M2DXATWY7JMS07 9041.72000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 10552.40000000 185316.60000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 424084153.86000000 426981280.40000000 Y 491115130.93076923 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Derivative-equity Equity-common Short-term investment vehicle N GMO Emerging Country Debt Fund S000004922 YNMTZW424II1WNE1YT44 N 3 0 0 N/A N N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4 (17 CFR 270.18f-4) Rule 18f-4(d)(i) (17 CFR 270.18f-4(d)(i)) Y N N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N BANCO CITI MEXICO S.A. INSTITUCION DE BANCA MULTIPLE, GRUPO FINANCIERO CITI MEXICO 529900H31AYI6WA1J534 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company N1FBEDJ5J41VKZLO2475 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, Anonim Sirketi CWZ8NZDH5SKY12Q4US31 TR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch) 579100KKDGKCFFKKF005 AR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Karachi, Sindh, PK, Branch) E57ODZWZ7FF32TWEFA76 PK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Cititrust Colombia S A Sociedad Fiduciaria 549300242J3IJCOSGI49 CO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Clearstream Banking S.A. 549300OL514RA0SXJJ44 LU N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Deutsche Bank (Malaysia) Berhad 529900DLWFR8HK7DR278 MY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) FirstRand Bank Limited ZAYQDKTCATIXF9OQY690 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Copenhagen, Hovedstaden, DK, Branch) F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch) F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Stanbic IBTC Bank Ltd 549300NIVXF92ZIOVW61 NG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Thai) Public Company Limited 549300O1LQYCQ7G1IM57 TH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch) 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch) 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N 0.00000000 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 240263064.02000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 298179687.84000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 130556565.77000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 8975540780.87000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 274799436.28000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 230296946.29000000 BNY Capital Markets, LLC 8-35255 000017454 VJW2DOOHGDT6PR0ZRO63 87353967.36000000 HSBC Securities (USA) Inc. 8-41562 000019585 CYYGQCGNHMHPSMRL3R97 141618068.62000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 129044978.44000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 693652850.97000000 11740184510.64000000 N 2361288485.15769230 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N ABS-mortgage backed security ABS-other Debt Derivative-credit Derivative-equity Derivative-foreign exchange Derivative-interest rate Other Repurchase agreement Short-term investment vehicle Structured note private placement N GMO Emerging Country Debt Shares Fund S000068930 549300IYLT3L2080FH05 Y 2 2 0 N/A N N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N 0.00000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 28078104.63000000 28078104.63000000 N 25540460.63000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Short-term investment vehicle N GMO Emerging Markets Fund S000004911 DOSKAMXF8YE41HIDZR39 N 7 0 0 N/A N N Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Revenue sharing split 5961170.89000000 46204.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4 (17 CFR 270.18f-4) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N AB SEB bankas 549300SBPFE9JX7N8J82 LT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) AO RenCap Bank CHSQDSVI1UI96Y2SW097 RU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) AS SEB Pank 549300ND1MQ8SNNYMJ22 EE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) AS SEB banka 549300YW95G1VBBGGV07 LV N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BANCO CITI MEXICO S.A. INSTITUCION DE BANCA MULTIPLE, GRUPO FINANCIERO CITI MEXICO 529900H31AYI6WA1J534 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas (Athens, Attica, GR, Branch) R0MUWSFPU8MPRO8K5P83 GR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Banco de Chile 8B4EZFY8IHJC44TT2K84 CL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Handlowy w Warszawie Spolka Akcyjna XLEZHWWOI4HFQDGL4793 PL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Hapoalim B.M. B6ARUI4946ST4S7WOU88 IL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company N1FBEDJ5J41VKZLO2475 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company (Bucharest, Bucharest, RO, Branch) N1FBEDJ5J41VKZLO2475 RO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Maghreb S.A. 5493003FVWLMBFTISI11 MA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank del Peru S.A. MYTK5NHHP1G8TVFGT193 PE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, Anonim Sirketi CWZ8NZDH5SKY12Q4US31 TR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch) 579100KKDGKCFFKKF005 AR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Karachi, Sindh, PK, Branch) E57ODZWZ7FF32TWEFA76 PK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Mumbai, Maharashtra, IN, Branch) E57ODZWZ7FF32TWEFA76 IN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch) E57ODZWZ7FF32TWEFA76 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Cititrust Colombia S A Sociedad Fiduciaria 549300242J3IJCOSGI49 CO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank (Malaysia) Berhad 529900DLWFR8HK7DR278 MY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Jakarta, Jakarta, ID, Branch) 7LTWFZYICNSX8D621K86 ID N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch) 7LTWFZYICNSX8D621K86 PH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Taipei City, TW, Branch) 25490016G0WR60ANOK04 TW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) First Abu Dhabi Bank MISR S.A.E. 549300FRMQH3ELEXQI94 EG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. 2138002Y3WMK6RZS8H90 AE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. (Kuwait City, Al Asimah, KW, Branch) 2138002Y3WMK6RZS8H90 KW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. (Manama, Capital, BH, Branch) 2138002Y3WMK6RZS8H90 BH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. (Muttrah, Muscat, OM, Branch) 2138002Y3WMK6RZS8H90 OM N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank (China) Company Limited 2CZOJRADNJXBLT55G526 CN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch) 549300F99IL9YJDWH369 QA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Ngan Hang Trach Nhiem Huu Han Mot Thanh Vien HSBC (Viet Nam) 213800H95OG9OHRT4Y78 VN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Privredna Banka Zagreb - Dionicko Drustvo 549300ZHFZ4CSK7VS460 HR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch) F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Stanbic IBTC Bank Ltd 549300NIVXF92ZIOVW61 NG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Bank Namibia Limited 254900K6TJFDYKSQWV49 NA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Dhaka, Dhaka, BD, Branch) RILFO74KP1CM8P6PCT96 BD N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Thai) Public Company Limited 549300O1LQYCQ7G1IM57 TH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Ghana PLC 549300WFGKTC3MGDCX95 GH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Kenya Limited 549300RBHWW5EJIRG629 KE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Colombo, Western, LK, Branch) 2HI3YI5320L3RW6NJ957 LK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Ebene, Plaines Wilhems, MU, Branch) 2HI3YI5320L3RW6NJ957 MU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Jung-gu, Seoul, KR, Branch) 2HI3YI5320L3RW6NJ957 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. KR6LSKV3BTSJRD41IF75 CZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bulbank AD 549300Z7V2WOFIMUEK50 BG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Zagrebacka Banka Dionicko Drustvo PRNXTNXHBI0TSY1V8P17 HR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 28696.13000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 34214.05000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 40166.92000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 22711.93000000 UBS Securities LLC 8-22651 000007654 T6FIZBDPKLYJKFCRVK44 50851.43000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 49083.14000000 Macquarie Capital (USA) Inc. 8-47198 000036368 549300670K07JRB5UQ40 30231.30000000 CLSA Americas, LLC 8-69166 000165533 213800M2DXATWY7JMS07 42734.15000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 48239.39000000 Cty Co Phan Chung Khoan Ban Viet N/A N/A 254900HKR2EAQLPDRS52 VN 23112.31000000 476066.18000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 301741216.13000000 301741216.13000000 N 444911273.45846153 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Derivative-equity Equity-common Equity-preferred N GMO Emerging Markets ex-China Fund S000072426 549300175HXW4M6BSD82 N 7 0 0 N/A N N Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Revenue sharing split 97284.99000000 4064.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4 (17 CFR 270.18f-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Y Y Y N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N AO RenCap Bank CHSQDSVI1UI96Y2SW097 RU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BANCO CITI MEXICO S.A. INSTITUCION DE BANCA MULTIPLE, GRUPO FINANCIERO CITI MEXICO 529900H31AYI6WA1J534 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas (Athens, Attica, GR, Branch) R0MUWSFPU8MPRO8K5P83 GR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Banco de Chile 8B4EZFY8IHJC44TT2K84 CL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Handlowy w Warszawie Spolka Akcyjna XLEZHWWOI4HFQDGL4793 PL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Maghreb S.A. 5493003FVWLMBFTISI11 MA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank del Peru S.A. MYTK5NHHP1G8TVFGT193 PE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, Anonim Sirketi CWZ8NZDH5SKY12Q4US31 TR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch) 579100KKDGKCFFKKF005 AR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Karachi, Sindh, PK, Branch) E57ODZWZ7FF32TWEFA76 PK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Mumbai, Maharashtra, IN, Branch) E57ODZWZ7FF32TWEFA76 IN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch) E57ODZWZ7FF32TWEFA76 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Cititrust Colombia S A Sociedad Fiduciaria 549300242J3IJCOSGI49 CO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank (Malaysia) Berhad 529900DLWFR8HK7DR278 MY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Jakarta, Jakarta, ID, Branch) 7LTWFZYICNSX8D621K86 ID N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch) 7LTWFZYICNSX8D621K86 PH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Taipei City, TW, Branch) 25490016G0WR60ANOK04 TW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) First Abu Dhabi Bank MISR S.A.E. 549300FRMQH3ELEXQI94 EG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. 2138002Y3WMK6RZS8H90 AE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. (Kuwait City, Al Asimah, KW, Branch) 2138002Y3WMK6RZS8H90 KW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch) 549300F99IL9YJDWH369 QA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Ngan Hang Trach Nhiem Huu Han Mot Thanh Vien HSBC (Viet Nam) 213800H95OG9OHRT4Y78 VN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Stanbic IBTC Bank Ltd 549300NIVXF92ZIOVW61 NG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Thai) Public Company Limited 549300O1LQYCQ7G1IM57 TH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Jung-gu, Seoul, KR, Branch) 2HI3YI5320L3RW6NJ957 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. KR6LSKV3BTSJRD41IF75 CZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 6574.60000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 6474.27000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 7156.52000000 UBS Securities LLC 8-22651 000007654 T6FIZBDPKLYJKFCRVK44 9666.93000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 8749.58000000 BNP Paribas Securities Corp. 8-32682 000015794 RCNB6OTYUAMMP879YW96 4459.25000000 Macquarie Capital (USA) Inc. 8-47198 000036368 549300670K07JRB5UQ40 4952.57000000 CLSA Americas, LLC 8-69166 000165533 213800M2DXATWY7JMS07 5844.19000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 9925.11000000 Cty Co Phan Chung Khoan Ban Viet N/A N/A 254900HKR2EAQLPDRS52 VN 4296.25000000 89713.10000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 549319.98000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 50201157.72000000 50750477.70000000 N 79833793.31615384 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Equity-preferred Short-term investment vehicle N GMO Global Asset Allocation Fund S000005487 SOY8WGQFE5GBWE78U387 N 3 0 0 Fund of Funds Y N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 18f-4 (17 CFR 270.18f-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Section 12(d)(1)(G) of the Act (15 USC 80a-12(d)(1)(G)) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N 0.00000000 Virtu Americas LLC 8-68193 000149823 549300RA02N3BNSWBV74 1108511.54000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 8838726.48000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 436840543.57000000 446787781.59000000 N 443547348.39076923 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Short-term investment vehicle N GMO Global Developed Equity Allocation Fund S000005490 CYFP4WXDYCN2ASDSM441 N 3 0 0 Fund of Funds N N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 18f-4 (17 CFR 270.18f-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Section 12(d)(1)(G) of the Act (15 USC 80a-12(d)(1)(G)) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N 0.00000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 1861071.48000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 35967740.71000000 37828812.19000000 N 87539157.87769230 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Short-term investment vehicle N GMO Global Equity Allocation Fund S000005488 JRNL37IR41Z4BPODHW20 N 3 0 0 Fund of Funds N N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 18f-4 (17 CFR 270.18f-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Section 12(d)(1)(G) of the Act (15 USC 80a-12(d)(1)(G)) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N 0.00000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 12201140.89000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 246901154.32000000 259102295.21000000 N 597039045.18384615 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Short-term investment vehicle N GMO High Yield Fund S000061716 5493003UZ8Q1SLUPQX65 N 3 0 0 N/A Y N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4 (17 CFR 270.18f-4) Y Y Y N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 1492.71000000 1492.71000000 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 38692186.54000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 17474934.00000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 3252712100.01000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 43316189.83000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 18968057.65000000 Mizuho Securities USA LLC 8-37710 000019647 7TK5RJIZDFROZCA6XF66 47519269.42000000 MUFG Securities Americas Inc. 8-43026 000019685 K5HU16E3LMSVCCJJJ255 24248698.45000000 Barclays Capital Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 121709622.85000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 31253050.58000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 112561804.95000000 3749377479.08000000 N 137330775.88538461 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Debt Derivative-credit Derivative-foreign exchange Derivative-interest rate Short-term investment vehicle N GMO Implementation Fund S000036091 EJTCG40ZNRD9J2UWZ659 N 1 0 0 N/A N N Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Revenue sharing split 21379317.65000000 206481.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 18f-4 (17 CFR 270.18f-4) Section 12(d)(1)(G) of the Act (15 USC 80a-12(d)(1)(G)) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N AB SEB bankas 549300SBPFE9JX7N8J82 LT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) AO RenCap Bank CHSQDSVI1UI96Y2SW097 RU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) AS SEB Pank 549300ND1MQ8SNNYMJ22 EE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) AS SEB banka 549300YW95G1VBBGGV07 LV N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BANCO CITI MEXICO S.A. INSTITUCION DE BANCA MULTIPLE, GRUPO FINANCIERO CITI MEXICO 529900H31AYI6WA1J534 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas (Athens, Attica, GR, Branch) R0MUWSFPU8MPRO8K5P83 GR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Banco de Chile 8B4EZFY8IHJC44TT2K84 CL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Handlowy w Warszawie Spolka Akcyjna XLEZHWWOI4HFQDGL4793 PL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Hapoalim B.M. B6ARUI4946ST4S7WOU88 IL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company N1FBEDJ5J41VKZLO2475 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company (Bucharest, Bucharest, RO, Branch) N1FBEDJ5J41VKZLO2475 RO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Maghreb S.A. 5493003FVWLMBFTISI11 MA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank del Peru S.A. MYTK5NHHP1G8TVFGT193 PE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, Anonim Sirketi CWZ8NZDH5SKY12Q4US31 TR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch) 579100KKDGKCFFKKF005 AR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Karachi, Sindh, PK, Branch) E57ODZWZ7FF32TWEFA76 PK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch) E57ODZWZ7FF32TWEFA76 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Cititrust Colombia S A Sociedad Fiduciaria 549300242J3IJCOSGI49 CO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank (Malaysia) Berhad 529900DLWFR8HK7DR278 MY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Jakarta, Jakarta, ID, Branch) 7LTWFZYICNSX8D621K86 ID N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch) 7LTWFZYICNSX8D621K86 PH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Mumbai, Maharashtra, IN, Branch) 7LTWFZYICNSX8D621K86 IN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Taipei City, TW, Branch) 25490016G0WR60ANOK04 TW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) First Abu Dhabi Bank MISR S.A.E. 549300FRMQH3ELEXQI94 EG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. 2138002Y3WMK6RZS8H90 AE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. (Kuwait City, Al Asimah, KW, Branch) 2138002Y3WMK6RZS8H90 KW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. (Manama, Capital, BH, Branch) 2138002Y3WMK6RZS8H90 BH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. (Muttrah, Muscat, OM, Branch) 2138002Y3WMK6RZS8H90 OM N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank (China) Company Limited 2CZOJRADNJXBLT55G526 CN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch) 549300F99IL9YJDWH369 QA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Intesa Sanpaolo S.p.A. 2W8N8UU78PMDQKZENC08 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Ngan Hang Trach Nhiem Huu Han Mot Thanh Vien HSBC (Viet Nam) 213800H95OG9OHRT4Y78 VN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Copenhagen, Hovedstaden, DK, Branch) F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch) F3JS33DEI6XQ4ZBPTN86 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch) F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Stanbic IBTC Bank Ltd 549300NIVXF92ZIOVW61 NG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Bank Namibia Limited 254900K6TJFDYKSQWV49 NA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Dhaka, Dhaka, BD, Branch) RILFO74KP1CM8P6PCT96 BD N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Thai) Public Company Limited 549300O1LQYCQ7G1IM57 TH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Botswana Limited 5493007VY27WWF8FF542 BW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Ghana PLC 549300WFGKTC3MGDCX95 GH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Kenya Limited 549300RBHWW5EJIRG629 KE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Uganda Limited 549300W7CNYGJ68XGD27 UG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Zambia PLC 549300247QDZHDI30A83 ZM N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch) 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Colombo, Western, LK, Branch) 2HI3YI5320L3RW6NJ957 LK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Ebene, Plaines Wilhems, MU, Branch) 2HI3YI5320L3RW6NJ957 MU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Jung-gu, Seoul, KR, Branch) 2HI3YI5320L3RW6NJ957 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch) 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. KR6LSKV3BTSJRD41IF75 CZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. (Bratislava, Bratislavsky, SK, Branch) KR6LSKV3BTSJRD41IF75 SK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bulbank AD 549300Z7V2WOFIMUEK50 BG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Zagrebacka Banka Dionicko Drustvo PRNXTNXHBI0TSY1V8P17 HR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 134667.13000000 Cantor Fitzgerald & Co. 8-201 000000134 5493004J7H4GCPG6OB62 88376.56000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 62999.82000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 103750.30000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 50248.97000000 UBS Securities LLC 8-22651 000007654 T6FIZBDPKLYJKFCRVK44 66709.92000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 80822.98000000 BNP Paribas Securities Corp. 8-32682 000015794 RCNB6OTYUAMMP879YW96 49529.07000000 SG Americas Securities, LLC 8-66125 000128351 549300F35UE0BOM1WJ55 68777.38000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 73055.28000000 1034760.22000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 255327179.04000000 Daiwa Capital Markets America Inc. 8-12242 000001576 M67H5PRC0NQKM73ZAS82 58803847715.60000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 3282088253.54000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 246712790.10000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 23662437.09000000 BMO Capital Markets Corp. 8-34344 000016686 RUC0QBLBRPRCU4W1NE59 218784721.36000000 Barclays Capital Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 1344266953.32000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 148888114.15000000 Securities Finance Co N/A N/A 355147853.90000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 669397205.50000000 65370626181.01000000 N 2058470026.51076923 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Debt Derivative-credit Derivative-equity Derivative-foreign exchange Derivative-interest rate Equity-common Equity-preferred Repurchase agreement Short-term investment vehicle N GMO International Developed Equity Allocation Fund S000012211 549300ZESUBDOT99FS22 N 3 0 0 Fund of Funds N N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Section 12(d)(1)(G) of the Act (15 USC 80a-12(d)(1)(G)) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N 0.00000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 76578287.45000000 76578287.45000000 N 245322959.45307692 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Short-term investment vehicle N GMO International Equity Allocation Fund S000005486 YMJ8TYNDMVGK40X3ZO13 N 3 0 0 Fund of Funds N N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 18f-4 (17 CFR 270.18f-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Section 12(d)(1)(G) of the Act (15 USC 80a-12(d)(1)(G)) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N 0.00000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 265043363.41000000 265043363.41000000 N 352841548.78615384 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Short-term investment vehicle N GMO International Equity Fund S000004224 549300GUNRPC30EDRZ54 N 5 0 0 N/A N N Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Revenue sharing split 33016231.92000000 170382.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4 (17 CFR 270.18f-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N BNP Paribas (Athens, Attica, GR, Branch) R0MUWSFPU8MPRO8K5P83 GR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Hapoalim B.M. B6ARUI4946ST4S7WOU88 IL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company N1FBEDJ5J41VKZLO2475 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Intesa Sanpaolo S.p.A. 2W8N8UU78PMDQKZENC08 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Copenhagen, Hovedstaden, DK, Branch) F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch) F3JS33DEI6XQ4ZBPTN86 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch) F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch) 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Jung-gu, Seoul, KR, Branch) 2HI3YI5320L3RW6NJ957 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch) 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 42305.68000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 48941.02000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 64745.76000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 27187.45000000 UBS Securities LLC 8-22651 000007654 T6FIZBDPKLYJKFCRVK44 38453.54000000 BNP Paribas Securities Corp. 8-32682 000015794 RCNB6OTYUAMMP879YW96 46446.63000000 Barclays Capital Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 47167.72000000 RBC Capital Markets, LLC 8-45411 000031194 549300LCO2FLSSVFFR64 27806.38000000 SG Americas Securities, LLC 8-66125 000128351 549300F35UE0BOM1WJ55 56449.82000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 30373.22000000 539859.44000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 1298969.07000000 Barclays Capital Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 2601383.53000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 1268152313.50000000 1272570215.07000000 N 1033225281.73384615 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Equity-preferred Short-term investment vehicle N GMO International Opportunistic Value Fund S000004913 549300KLH1QUHZ9NXR88 N 4 0 0 N/A N N Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Revenue sharing split 21786803.52000000 200108.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N AO RenCap Bank CHSQDSVI1UI96Y2SW097 RU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BANCO CITI MEXICO S.A. INSTITUCION DE BANCA MULTIPLE, GRUPO FINANCIERO CITI MEXICO 529900H31AYI6WA1J534 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas (Athens, Attica, GR, Branch) R0MUWSFPU8MPRO8K5P83 GR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Banco de Chile 8B4EZFY8IHJC44TT2K84 CL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Handlowy w Warszawie Spolka Akcyjna XLEZHWWOI4HFQDGL4793 PL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Hapoalim B.M. B6ARUI4946ST4S7WOU88 IL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company N1FBEDJ5J41VKZLO2475 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Maghreb S.A. 5493003FVWLMBFTISI11 MA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank del Peru S.A. MYTK5NHHP1G8TVFGT193 PE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, Anonim Sirketi CWZ8NZDH5SKY12Q4US31 TR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch) 579100KKDGKCFFKKF005 AR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Karachi, Sindh, PK, Branch) E57ODZWZ7FF32TWEFA76 PK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch) E57ODZWZ7FF32TWEFA76 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Cititrust Colombia S A Sociedad Fiduciaria 549300242J3IJCOSGI49 CO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank (Malaysia) Berhad 529900DLWFR8HK7DR278 MY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch) 7LTWFZYICNSX8D621K86 PH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Taipei City, TW, Branch) 25490016G0WR60ANOK04 TW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) First Abu Dhabi Bank MISR S.A.E. 549300FRMQH3ELEXQI94 EG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. 2138002Y3WMK6RZS8H90 AE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank (China) Company Limited 2CZOJRADNJXBLT55G526 CN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch) 549300F99IL9YJDWH369 QA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Intesa Sanpaolo S.p.A. 2W8N8UU78PMDQKZENC08 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Copenhagen, Hovedstaden, DK, Branch) F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch) F3JS33DEI6XQ4ZBPTN86 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch) F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Thai) Public Company Limited 549300O1LQYCQ7G1IM57 TH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch) 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Colombo, Western, LK, Branch) 2HI3YI5320L3RW6NJ957 LK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Jung-gu, Seoul, KR, Branch) 2HI3YI5320L3RW6NJ957 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch) 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. KR6LSKV3BTSJRD41IF75 CZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 7190.70000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 18902.33000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 23919.21000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 7087.97000000 UBS Securities LLC 8-22651 000007654 T6FIZBDPKLYJKFCRVK44 10571.56000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 7672.51000000 Barclays Capital Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 5343.47000000 SG Americas Securities, LLC 8-66125 000128351 549300F35UE0BOM1WJ55 18910.18000000 CLSA Americas, LLC 8-69166 000165533 213800M2DXATWY7JMS07 6987.69000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 7735.09000000 135727.88000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 244259088.21000000 244259088.21000000 N 343392796.77153846 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Equity-preferred Short-term investment vehicle N GMO MAC Implementation Fund S000089452 254900KE2CPRURIE5P51 Y 1 1 0 N/A Y N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 18f-4 (17 CFR 270.18f-4) Section 12(d)(1)(G) of the Act (15 USC 80a-12(d)(1)(G)) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank (Malaysia) Berhad 529900DLWFR8HK7DR278 MY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) First Abu Dhabi Bank MISR S.A.E. 549300FRMQH3ELEXQI94 EG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Stanbic IBTC Bank Ltd 549300NIVXF92ZIOVW61 NG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Uganda Limited 549300W7CNYGJ68XGD27 UG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Zambia PLC 549300247QDZHDI30A83 ZM N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 4606.64000000 4606.64000000 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 4017683.27000000 Daiwa Capital Markets America Inc. 8-12242 000001576 M67H5PRC0NQKM73ZAS82 2876454.38000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 13047442.39000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 2644906.93000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 148612224.11000000 BMO Capital Markets Corp. 8-34344 000016686 RUC0QBLBRPRCU4W1NE59 110164.96000000 Barclays Capital Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 111631248.28000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 4730269.03000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 8550061.32000000 296220454.67000000 N 14304181.04600000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N ABS-mortgage backed security Debt Derivative-credit Derivative-foreign exchange Derivative-interest rate Short-term investment vehicle N GMO Multi-Asset Credit Fund S000089451 254900NDOCRVMLSIFM30 Y 5 5 0 Fund of Funds N N Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Revenue sharing split 1802.07000000 154.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Section 12(d)(1)(G) of the Act (15 USC 80a-12(d)(1)(G)) Y Y Y N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 0.70000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 111.00000000 111.70000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 14276889.85000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 19999295.42000000 Virtu Americas LLC 8-68193 000149823 549300RA02N3BNSWBV74 7100808.73000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 9360675.68000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 353789564.81000000 Securities Finance Co N/A N/A 762450.00000000 405289684.49000000 N 98228568.91000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Short-term investment vehicle N GMO Opportunistic Income Fund S000007516 5493000NQRD0885G4P95 N 4 0 0 N/A N N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 18f-4 (17 CFR 270.18f-4) Rule 18f-4(f)(17 CFR 270.18f-4(f)) Section 12(d)(1)(G) of the Act (15 USC 80a-12(d)(1)(G)) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N BANCO CITI MEXICO S.A. INSTITUCION DE BANCA MULTIPLE, GRUPO FINANCIERO CITI MEXICO 529900H31AYI6WA1J534 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company N1FBEDJ5J41VKZLO2475 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Copenhagen, Hovedstaden, DK, Branch) F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch) F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch) 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch) 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 79982.01000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 20591.36000000 100573.37000000 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 60618345.54000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 34369961.06000000 Daiwa Capital Markets America Inc. 8-12242 000001576 M67H5PRC0NQKM73ZAS82 29925018833.37000000 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 55891913.99000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 47160845.15000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 3053142529.46000000 Mizuho Securities USA LLC 8-37710 000019647 7TK5RJIZDFROZCA6XF66 55570100.59000000 Barclays Capital Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 2080773487.18000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 89081475.66000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 977237114.78000000 36536503241.25000000 N 1308463911.35846153 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N ABS-collateralized bond/debt obligation ABS-mortgage backed security ABS-other Debt Derivative-credit Derivative-foreign exchange Derivative-interest rate Equity-common Repurchase agreement Short-term investment vehicle N GMO Quality Fund S000004084 549300AFPJUDV7V43T32 N 6 0 0 N/A N N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N BANCO CITI MEXICO S.A. INSTITUCION DE BANCA MULTIPLE, GRUPO FINANCIERO CITI MEXICO 529900H31AYI6WA1J534 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas (Athens, Attica, GR, Branch) R0MUWSFPU8MPRO8K5P83 GR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Hapoalim B.M. B6ARUI4946ST4S7WOU88 IL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company N1FBEDJ5J41VKZLO2475 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch) E57ODZWZ7FF32TWEFA76 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Taipei City, TW, Branch) 25490016G0WR60ANOK04 TW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Intesa Sanpaolo S.p.A. 2W8N8UU78PMDQKZENC08 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Copenhagen, Hovedstaden, DK, Branch) F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch) F3JS33DEI6XQ4ZBPTN86 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch) F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch) 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Jung-gu, Seoul, KR, Branch) 2HI3YI5320L3RW6NJ957 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch) 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 133548.09000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 150821.03000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 24980.53000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 38062.39000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 74427.62000000 Barclays Capital Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 63703.08000000 RBC Capital Markets, LLC 8-45411 000031194 549300LCO2FLSSVFFR64 56527.49000000 Macquarie Capital (USA) Inc. 8-47198 000036368 549300670K07JRB5UQ40 89453.80000000 SG Americas Securities, LLC 8-66125 000128351 549300F35UE0BOM1WJ55 51667.63000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 81233.45000000 903737.10000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 3769885068.09000000 3769885068.09000000 Y 11245051434.09461538 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Short-term investment vehicle N GMO Resource Transition Fund S000079719 549300SYW9BAVHVUNH19 N 6 0 0 N/A Y N Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Revenue sharing split 7470004.89000000 26972.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N BANCO CITI MEXICO S.A. INSTITUCION DE BANCA MULTIPLE, GRUPO FINANCIERO CITI MEXICO 529900H31AYI6WA1J534 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas (Athens, Attica, GR, Branch) R0MUWSFPU8MPRO8K5P83 GR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Banco de Chile 8B4EZFY8IHJC44TT2K84 CL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Handlowy w Warszawie Spolka Akcyjna XLEZHWWOI4HFQDGL4793 PL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Hapoalim B.M. B6ARUI4946ST4S7WOU88 IL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company N1FBEDJ5J41VKZLO2475 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Maghreb S.A. 5493003FVWLMBFTISI11 MA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank del Peru S.A. MYTK5NHHP1G8TVFGT193 PE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, Anonim Sirketi CWZ8NZDH5SKY12Q4US31 TR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch) 579100KKDGKCFFKKF005 AR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Karachi, Sindh, PK, Branch) E57ODZWZ7FF32TWEFA76 PK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch) E57ODZWZ7FF32TWEFA76 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Cititrust Colombia S A Sociedad Fiduciaria 549300242J3IJCOSGI49 CO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank (Malaysia) Berhad 529900DLWFR8HK7DR278 MY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch) 7LTWFZYICNSX8D621K86 PH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Taipei City, TW, Branch) 25490016G0WR60ANOK04 TW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) First Abu Dhabi Bank MISR S.A.E. 549300FRMQH3ELEXQI94 EG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. 2138002Y3WMK6RZS8H90 AE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch) 549300F99IL9YJDWH369 QA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Intesa Sanpaolo S.p.A. 2W8N8UU78PMDQKZENC08 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Copenhagen, Hovedstaden, DK, Branch) F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch) F3JS33DEI6XQ4ZBPTN86 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch) F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Stanbic IBTC Bank Ltd 549300NIVXF92ZIOVW61 NG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Thai) Public Company Limited 549300O1LQYCQ7G1IM57 TH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch) 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Jung-gu, Seoul, KR, Branch) 2HI3YI5320L3RW6NJ957 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch) 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. KR6LSKV3BTSJRD41IF75 CZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 4336.60000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 8172.68000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 6184.13000000 Scotia Capital (USA) Inc. 8-3716 000002739 549300BLWPABP1VNME36 4360.78000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 12832.63000000 BMO Capital Markets Corp. 8-34344 000016686 RUC0QBLBRPRCU4W1NE59 4115.45000000 SG Americas Securities, LLC 8-66125 000128351 549300F35UE0BOM1WJ55 2511.49000000 BTG Pactual US Capital, LLC 8-68148 000149486 549300EUEDL5GKQW8U35 2082.22000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 4548.02000000 State Street Global Markets, LLC 8-69862 000285852 549300FDEDF5ORXCMQ56 5204.25000000 68484.13000000 Securities Finance Co N/A N/A 28198942.74000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 69339479.21000000 98325910.91000000 Y 125962758.38923076 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Equity-preferred Short-term investment vehicle N GMO Resources Fund S000034948 549300RZ6MOU726M7F60 N 6 0 0 N/A N N Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Revenue sharing split 98238564.58000000 385993.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Y Y Y N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N AO RenCap Bank CHSQDSVI1UI96Y2SW097 RU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BANCO CITI MEXICO S.A. INSTITUCION DE BANCA MULTIPLE, GRUPO FINANCIERO CITI MEXICO 529900H31AYI6WA1J534 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas (Athens, Attica, GR, Branch) R0MUWSFPU8MPRO8K5P83 GR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Banco de Chile 8B4EZFY8IHJC44TT2K84 CL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Handlowy w Warszawie Spolka Akcyjna XLEZHWWOI4HFQDGL4793 PL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Hapoalim B.M. B6ARUI4946ST4S7WOU88 IL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company N1FBEDJ5J41VKZLO2475 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Maghreb S.A. 5493003FVWLMBFTISI11 MA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank del Peru S.A. MYTK5NHHP1G8TVFGT193 PE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, Anonim Sirketi CWZ8NZDH5SKY12Q4US31 TR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch) 579100KKDGKCFFKKF005 AR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Karachi, Sindh, PK, Branch) E57ODZWZ7FF32TWEFA76 PK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch) E57ODZWZ7FF32TWEFA76 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Cititrust Colombia S A Sociedad Fiduciaria 549300242J3IJCOSGI49 CO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank (Malaysia) Berhad 529900DLWFR8HK7DR278 MY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch) 7LTWFZYICNSX8D621K86 PH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Mumbai, Maharashtra, IN, Branch) 7LTWFZYICNSX8D621K86 IN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Taipei City, TW, Branch) 25490016G0WR60ANOK04 TW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) First Abu Dhabi Bank MISR S.A.E. 549300FRMQH3ELEXQI94 EG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. 2138002Y3WMK6RZS8H90 AE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank (China) Company Limited 2CZOJRADNJXBLT55G526 CN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch) 549300F99IL9YJDWH369 QA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Intesa Sanpaolo S.p.A. 2W8N8UU78PMDQKZENC08 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Copenhagen, Hovedstaden, DK, Branch) F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch) F3JS33DEI6XQ4ZBPTN86 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch) F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Stanbic IBTC Bank Ltd 549300NIVXF92ZIOVW61 NG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Thai) Public Company Limited 549300O1LQYCQ7G1IM57 TH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch) 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Jung-gu, Seoul, KR, Branch) 2HI3YI5320L3RW6NJ957 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch) 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. KR6LSKV3BTSJRD41IF75 CZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 72460.83000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 89818.59000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 108283.83000000 Scotia Capital (USA) Inc. 8-3716 000002739 549300BLWPABP1VNME36 53138.42000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 31040.35000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 139048.67000000 BMO Capital Markets Corp. 8-34344 000016686 RUC0QBLBRPRCU4W1NE59 42563.71000000 SG Americas Securities, LLC 8-66125 000128351 549300F35UE0BOM1WJ55 62746.25000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 58259.43000000 State Street Global Markets, LLC 8-69862 000285852 549300FDEDF5ORXCMQ56 55578.16000000 962713.91000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 1210360980.72000000 1216724816.31000000 Y 1275106574.60615384 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Equity-preferred Short-term investment vehicle N GMO Small Cap Quality Fund S000077554 549300BRUDL08K13VQ63 N 6 2 0 N/A N N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N Cantor Fitzgerald & Co. 8-201 000000134 5493004J7H4GCPG6OB62 2713.92000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 6077.16000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 34577.69000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 1343.64000000 Fidelity Brokerage Services LLC 8-23292 000007784 549300OQFQ4NFIOD5695 31456.50000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 1646.11000000 BNY Capital Markets, LLC 8-35255 000017454 VJW2DOOHGDT6PR0ZRO63 5518.92000000 SG Americas Securities, LLC 8-66125 000128351 549300F35UE0BOM1WJ55 17918.06000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 2169.89000000 State Street Global Markets, LLC 8-69862 000285852 549300FDEDF5ORXCMQ56 3454.31000000 109283.47000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 269824133.55000000 269824133.55000000 Y 571947997.50692307 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Short-term investment vehicle N GMO Strategic Opportunities Allocation Fund S000005489 549300GFBONLYCZNPD85 N 1 0 0 N/A Y N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4 (17 CFR 270.18f-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N AB SEB bankas 549300SBPFE9JX7N8J82 LT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) AO RenCap Bank CHSQDSVI1UI96Y2SW097 RU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) AS SEB Pank 549300ND1MQ8SNNYMJ22 EE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) AS SEB banka 549300YW95G1VBBGGV07 LV N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BANCO CITI MEXICO S.A. INSTITUCION DE BANCA MULTIPLE, GRUPO FINANCIERO CITI MEXICO 529900H31AYI6WA1J534 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas (Athens, Attica, GR, Branch) R0MUWSFPU8MPRO8K5P83 GR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Banco de Chile 8B4EZFY8IHJC44TT2K84 CL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Handlowy w Warszawie Spolka Akcyjna XLEZHWWOI4HFQDGL4793 PL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Bank Hapoalim B.M. B6ARUI4946ST4S7WOU88 IL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company N1FBEDJ5J41VKZLO2475 IE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe Public Limited Company (Bucharest, Bucharest, RO, Branch) N1FBEDJ5J41VKZLO2475 RO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Maghreb S.A. 5493003FVWLMBFTISI11 MA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank del Peru S.A. MYTK5NHHP1G8TVFGT193 PE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, Anonim Sirketi CWZ8NZDH5SKY12Q4US31 TR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Ciudad Autonoma de Buenos Aires, Ciudad Autonoma de Buenos Aires, AR, Branch) 579100KKDGKCFFKKF005 AR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Karachi, Sindh, PK, Branch) E57ODZWZ7FF32TWEFA76 PK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Sao Paulo, Sao Paulo, BR, Branch) E57ODZWZ7FF32TWEFA76 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, National Association (Singapore, SG, Branch) E57ODZWZ7FF32TWEFA76 SG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Cititrust Colombia S A Sociedad Fiduciaria 549300242J3IJCOSGI49 CO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank (Malaysia) Berhad 529900DLWFR8HK7DR278 MY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch) 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Makati City, Metro Manila, PH, Branch) 7LTWFZYICNSX8D621K86 PH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Mumbai, Maharashtra, IN, Branch) 7LTWFZYICNSX8D621K86 IN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Aktiengesellschaft (Taipei City, TW, Branch) 25490016G0WR60ANOK04 TW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) First Abu Dhabi Bank MISR S.A.E. 549300FRMQH3ELEXQI94 EG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. 2138002Y3WMK6RZS8H90 AE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) First Abu Dhabi Bank P.J.S.C. (Manama, Capital, BH, Branch) 2138002Y3WMK6RZS8H90 BH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) HSBC Bank Middle East Limited (Doha, Ad Dawhah, QA, Branch) 549300F99IL9YJDWH369 QA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Intesa Sanpaolo S.p.A. 2W8N8UU78PMDQKZENC08 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Ngan Hang Trach Nhiem Huu Han Mot Thanh Vien HSBC (Viet Nam) 213800H95OG9OHRT4Y78 VN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Copenhagen, Hovedstaden, DK, Branch) F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch) F3JS33DEI6XQ4ZBPTN86 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch) F3JS33DEI6XQ4ZBPTN86 NO N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Stanbic IBTC Bank Ltd 549300NIVXF92ZIOVW61 NG N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Bank Namibia Limited 254900K6TJFDYKSQWV49 NA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Hong Kong) Limited X5AV1MBDXGRPX5UGMX13 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Thai) Public Company Limited 549300O1LQYCQ7G1IM57 TH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Botswana Limited 5493007VY27WWF8FF542 BW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Ghana PLC 549300WFGKTC3MGDCX95 GH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank Kenya Limited 549300RBHWW5EJIRG629 KE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company (Edinburgh, GB, Branch) 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch) 2HI3YI5320L3RW6NJ957 NZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Colombo, Western, LK, Branch) 2HI3YI5320L3RW6NJ957 LK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Ebene, Plaines Wilhems, MU, Branch) 2HI3YI5320L3RW6NJ957 MU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Jung-gu, Seoul, KR, Branch) 2HI3YI5320L3RW6NJ957 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch) 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Austria AG D1HEB8VEU6D9M8ZUXG17 AT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. KR6LSKV3BTSJRD41IF75 CZ N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. (Bratislava, Bratislavsky, SK, Branch) KR6LSKV3BTSJRD41IF75 SK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Zagrebacka Banka Dionicko Drustvo PRNXTNXHBI0TSY1V8P17 HR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Y State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N UBS Securities LLC 8-22651 000007654 T6FIZBDPKLYJKFCRVK44 91.31000000 Macquarie Capital (USA) Inc. 8-47198 000036368 549300670K07JRB5UQ40 103.14000000 194.45000000 Daiwa Capital Markets America Inc. 8-12242 000001576 M67H5PRC0NQKM73ZAS82 100000.00000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 1464333.47000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 243113943.78000000 244678277.25000000 N 101674075.33384615 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Debt Equity-common Short-term investment vehicle N GMO U.S. Equity Fund S000004081 549300L8PB3KTHT20L36 N 6 0 0 N/A N N Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Revenue sharing split 41530.99000000 621.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4 (17 CFR 270.18f-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 2788.90000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 1593.67000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 2462.50000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 1496.29000000 Fidelity Brokerage Services LLC 8-23292 000007784 549300OQFQ4NFIOD5695 1489.50000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 1735.27000000 BNY Capital Markets, LLC 8-35255 000017454 VJW2DOOHGDT6PR0ZRO63 1216.45000000 TD Securities (USA) LLC 8-36747 000018476 SUVUFHICNZMP2WKHG940 991.30000000 Virtu Americas LLC 8-68193 000149823 549300RA02N3BNSWBV74 2073.85000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 3718.51000000 22082.15000000 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 304709.58000000 Daiwa Capital Markets America Inc. 8-12242 000001576 M67H5PRC0NQKM73ZAS82 149000.00000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 156023.83000000 Barclays Capital Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 907466.10000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 53383568.02000000 Securities Finance Co N/A N/A 1025165.02000000 55925932.55000000 N 194261257.58076923 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Debt Derivative-equity Equity-common Short-term investment vehicle N GMO U.S. Opportunistic Value Fund S000079720 549300D1IT1TGIT5NX36 N 6 0 1 N/A N N Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Revenue sharing split 79230.22000000 45.00000000 Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 5110.80000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 3031.87000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 5578.55000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 1880.09000000 Fidelity Brokerage Services LLC 8-23292 000007784 549300OQFQ4NFIOD5695 3226.53000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 2160.37000000 TD Securities (USA) LLC 8-36747 000018476 SUVUFHICNZMP2WKHG940 2336.39000000 SG Americas Securities, LLC 8-66125 000128351 549300F35UE0BOM1WJ55 3117.65000000 Virtu Americas LLC 8-68193 000149823 549300RA02N3BNSWBV74 2579.19000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 6614.67000000 42195.17000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 76620819.29000000 76620819.29000000 N 355434931.53846153 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Short-term investment vehicle N GMO U.S. Small Cap Value Fund S000065871 549300326MS588AE2709 N 6 0 0 N/A N N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4 (17 CFR 270.18f-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Y Y Y N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 1021.40000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 980.49000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 969.53000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 931.10000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 954.11000000 TD Securities (USA) LLC 8-36747 000018476 SUVUFHICNZMP2WKHG940 800.09000000 SG Americas Securities, LLC 8-66125 000128351 549300F35UE0BOM1WJ55 686.18000000 Virtu Americas LLC 8-68193 000149823 549300RA02N3BNSWBV74 1046.00000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 1544.55000000 State Street Global Markets, LLC 8-69862 000285852 549300FDEDF5ORXCMQ56 649.59000000 11664.54000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 10418936.40000000 10418936.40000000 N 37885756.94538461 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Short-term investment vehicle N GMO U.S. Treasury Fund S000025186 0NIBQB0NDRTFX04R2J69 N 3 0 0 N/A N N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N 0.00000000 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 51729306.74000000 Daiwa Capital Markets America Inc. 8-12242 000001576 M67H5PRC0NQKM73ZAS82 36529301338.98000000 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 42914081.65000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 211819772.13000000 Citigroup Global Markets Inc. 8-8177 000007059 MBNUM2BPBDO7JBLYG310 204479403.32000000 BNP Paribas Securities Corp. 8-32682 000015794 RCNB6OTYUAMMP879YW96 41256153.95000000 BMO Capital Markets Corp. 8-34344 000016686 RUC0QBLBRPRCU4W1NE59 57539293.21000000 Barclays Capital Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 224466604.48000000 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 20870492.76000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 45615514.08000000 37499286926.94000000 N 392905371.75076923 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Debt Equity-common Repurchase agreement N GMO-Usonian Japan Value Creation Fund S000069850 549300000UZYKHHPND29 N 6 0 0 N/A N N Y N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 12d1-4 (17 CFR 270.12d1-4) Y Y N N Grantham, Mayo, Van Otterloo & Co. LLC 801-15028 000106220 KG0ECHUB6SFORDPJZK65 N State Street Bank and Trust Company 85-05003 571474TGEMMWANRLN572 N N N Bloomberg L.P. 549300B56MD0ZC402L06 N CME Group Inc. LCZ7XYGSLJUHFXXNXD88 N ICE Data Services, Inc. 13-3668779 Tax ID N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 N LCH Group Holdings Limited 549300TXTCI7WVVJS380 GB N London Stock Exchange Group PLC 213800QAUUUP6I445N30 GB N S&P Global Inc. Y6X4K52KMJMZE7I7MY94 N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Euroclear Bank 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch) RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Standard Chartered Bank (Johannesburg, Gauteng, ZA, Branch) RILFO74KP1CM8P6PCT96 ZA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Hungary Zrt. Y28RT6GGYJ696PMW8T44 HU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 8405.77000000 Goldman Sachs & Co. LLC 8-129 000000361 FOR8UP27PHTHYVLBNG30 10434.90000000 Daiwa Capital Markets America Inc. 8-12242 000001576 M67H5PRC0NQKM73ZAS82 4194.12000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 26396.97000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 5753.70000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 248.07000000 BNP Paribas Securities Corp. 8-32682 000015794 RCNB6OTYUAMMP879YW96 8012.58000000 Mizuho Securities USA LLC 8-37710 000019647 7TK5RJIZDFROZCA6XF66 5966.47000000 SG Americas Securities, LLC 8-66125 000128351 549300F35UE0BOM1WJ55 28952.80000000 CLSA Americas, LLC 8-69166 000165533 213800M2DXATWY7JMS07 4838.81000000 103439.32000000 State Street Bank and Trust Company N/A N/A 571474TGEMMWANRLN572 197518254.94000000 197519956.37000000 Y 207981422.42153846 Committed 75000000.00000000 N N N N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Equity-common Short-term investment vehicle N true