SEC Info - GMO Series Trust - ‘NSAR-BT’ for 2/28/15

Report

Registrant: Gmo Series Trust — List all N-SARs

Annual Report for the 2nd-half period ended at fiscal year end: 2/28/15

Is this a Transition Report? Yes

Were there any Answer File errors in the Filing? None FoundNone Found by SEC InfoNot Checked by the FilerOne or more Found by SEC Info

Was the Answer File completed by the Registrant? Yes

Is this an Amendment to a previous Report? No

Is this a change to a previous Report? No

Registrant

1.

SEC CIK: 1521894

SEC File #: 811-22564

Telephone #: 617-346-7646

2.

Address: 40 Rowes Wharf

Boston, MA 02110

3.

Is this the first Form N-SAR filed by the Registrant? No

4.

Is this the final Form N-SAR filed by the Registrant? No

Funds/Series

↑Top of Form N-SAR

7.

Is the Registrant a Funds/Series (multiple portfolios) company? Yes

The number of separate Funds/Series (portfolios) at period end: 12

↓

Series 10: GMO Benchmark-Free Allocation Series Fund — S#35218 ⇒ GBMRX

↓

Series 3: GMO Core Plus Bond Series Fund — S#35211: See Note above.

↓

Series 18: GMO Emerging Countries Series Fund [ renamed
GMO Emerging Markets Series Fund ] — S#35227 ⇒ GECRX

↓

Series 5: GMO Emerging Country Debt Series Fund — S#35213: See Note above.

↓

Series 17: GMO Foreign Series Fund — S#35226: See Note above.

↓

Series 9: GMO Global Asset Allocation Series Fund — S#35217 ⇒ GATRX

↓

Series 8: GMO Global Equity Allocation Series Fund — S#35216 ⇒ GGASX

↓

Series 4: GMO International Bond Series Fund — S#35212: See Note above.

↓

Series 19: GMO Intl Dev Equity Allocation Series Fund [ renamed
GMO International Developed Equity Allocation Series Fund ] — S#41748 ⇒ GIDRX

↓

Series 7: GMO Intl Equity Allocation Series Fund [ renamed
GMO International Equity Allocation Series Fund ] — S#35215 ⇒ GEAUX & GEARX

↓

Series 2: GMO Quality Series Fund — S#35210: See Note above.

↓

Series 1: GMO U.S. Equity Alloc Series Fund [ renamed
GMO U.S. Equity Series Fund ] — S#33569: See Note above.

Family of Investment Companies

19.

Is the Registrant/Series part of a “family” of investment companies? Yes

Total number of registered management investment companies, Series
and portfolios (excluding any Unit Investment Trusts) in the family: 52

The Identification Code of the family for Form N-SAR Filings: GMOMUTUALF

Investment Company Type

27.

Is the Registrant an “open-end” investment company? Yes, Open-End

Additional Disclosures

77.

Did the Registrant file any additional Exhibits with the filing of this
Report (listed here and filed either herewith — as one of the ‘EX-99.*’
↑Exhibits in this Filing — or separately and incorporated by reference)? Yes

EX-99.77B: Accountant’s Report re: Internal Controls? Yes

EX-99.77H: Change in Control? Yes

EX-99.77Q1: Other Disclosure? Yes

Subsidiaries

78.

Does the Registrant have any wholly-owned investment company
subsidiaries whose operating and financial data are consolidated with
that of the Registrant in this Report? No

All Series

↑List of 12 Funds/Series Reported Here

All:

Investment Adviser

8.1

Name: Grantham, Mayo, Van Otterloo & Co. LLC

Role: Adviser

SEC File #: 801-06003

Location: Boston, MA

All:

Administrator

10.1

Name: State Street Bank & Trust Co.

SEC File #: 085-11329

Location: Boston, MA

All:

Shareholder Servicing/Transfer Agent

12.1

Name: State Street Bank & Trust Co.

SEC File #: 085-11329

Location: Boston, MA

All:

Independent Public Accountant

13.1

Name: Pricewaterhousecoopers LLP

Location: Boston, MA

All:

Custodian

18.

Does the Registrant’s/Series’ Custodian(s) maintain some or all of the
Registrant’s/Series’ securities in a central depository or book-entry
system pursuant to Rule 17f-4? Yes

All:

Portfolio Transactions with Entities Acting as Principals

22.

The entities acting as principals with whom the Registrant did the
largest amount of portfolio transactions, based on total value of
principal, during the period:

22.1

Entity: State Street Corp.

IRS #: 04-3464336

Registrant’s purchases ($000s): 307,939

Registrant’s sales ($000s): 107,449

23.

Total purchase/sale transactions by the Registrant during the period:
Aggregate purchases ($000s): 307,939

Aggregate sales ($000s): 107,449

All:

Considerations which Affected the Participation of Brokers or Dealers

26.

Considerations which affected the participation of brokers or dealers or
other entities in commissions or other compensation paid on portfolio
transactions of the Registrant:

Consideration?

Sales of the Registrant’s/Series’ shares ............................... No

Receipt of investment research and statistical info .................... No

Receipt of quotations for portfolio valuations ......................... No

Ability to execute portfolio transactions to obtain the best price
and execution ........................................................ No

Receipt of telephone line and wire services ............................ No

Broker or Dealer which is an affiliated person ......................... No

An arrangement to return or credit part or all of commissions or
profits thereon...
To an Investment Adviser or Principal Underwriter, or to an
affiliated person of either ...................................... No

To the Registrant .................................................. No

Other .................................................................. No

All:

Advisory Fee

54.

Indicated below are whether services were supplied or paid for wholly or
in substantial part by Investment Adviser(s) or Administrator(s) in
connection with the advisory or administrative contract(s) but for which
the Adviser(s) or Administrator(s) are not reimbursed by the Registrant:

Provided to the Registrant?
Occupancy and office rental ............................................ Yes

Clerical and bookkeeping services ...................................... Yes

Accounting services .................................................... No

Services of independent auditors ....................................... No

Services of outside counsel ............................................ No

Registration and filing fees ........................................... No

Stationery, supplies and printing ...................................... Yes

Salaries & compensation of Registrant’s interested Directors ........... Yes

Salaries & compensation of Registrant’s disinterested Directors ........ No

Salaries & compensation of Registrant’s Officers who aren’t Directors .. Yes

Reports to current shareholders ........................................ No

Determination of offering and redemption prices ........................ No

Trading department ..................................................... Yes

Prospectus preparation and printing for current shareholders ........... No

Other .................................................................. Yes

All:

Fidelity Bond in Effect at Fiscal Year End

80.

Insurer: Chubb Group of Insurance Companies

Aggregate face amount of coverage for the Registrant/Series on all bonds
on which it is named as an insured ($000s): 10,000

81.

Is the bond part of a joint fidelity bond(s) shared with other
investment companies or other entities? Yes

How many other investment companies or other entities are covered by the
bond (counting each Fund/Series as a separate investment company): 12

82.

Does the mandatory coverage of the fidelity bond have a deductible? Yes

The amount of the deductible ($000s): 100

83.

Were any claims with respect to this Registrant/Series filed under the
bond during the period? No

84.

Were any losses incurred with respect to this Registrant/Series that
could have been filed as a claim under the fidelity bond but were not? No

85.

Are the Registrant’s/Series’ Officers and Directors covered as Officers
and Directors of the Registrant/Series under any errors and omissions
insurance policy owned by the Registrant/Series or anyone else? Yes

Were any claims filed under such policy during the period with respect
to the Registrant/Series? No

Series 1

↑Information Common to All Funds/Series ↑List of 12 Funds/Series

7.

Name: GMO U.S. Equity Alloc Series Fund [ renamed
GMO U.S. Equity Series Fund ] — S#33569: See Note above.

Is this the final Form N-SAR filed for this Fund/Series? No

S 1:

Custodian

15.1

Name: State Street Bank & Trust Co.

Role: Custodian

Location: Boston, MA

Type of custody: Section 17(f)(1) — Bank

S 1:

Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers

24.

At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No

S 1:

Sales and Repurchases

28.

Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:

1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0

S 1:

Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)

29.

Was a front-end sales load deducted from any share sales during the
period? No

34.

Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No

37.

Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No

39.

Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? No

S 1:

Payment Plan for the Distribution of Fund Shares

40.

During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No

S 1:

Advisory Fee

45.

Did the Registrant/Series have an advisory contract during the period? Yes

46.

Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No

47.

Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No

49.

Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No

50.

Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No

51.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No

52.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No

53.

Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No

S 1:

Miscellaneous Info

55.

Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:

Overdrafts? No

Bank loans? No

56.

During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes

57.

Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No

S 1:

Classification and Asset Allocation

58.

Is the Registrant/Series a Separate Account of an insurance company? No

59.

Is the Registrant/Series a management investment company? Yes

60.

Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes

61.

The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $10,000,000

62.

Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No

66.

Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No

Capital appreciation? No

Growth? No

Growth and income? No

Income? No

Total return? Yes

67.

Is the Registrant/Series a “balanced” Fund? No

68.

Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No

Located primarily in countries other than the United States? No

69.

Is the Registrant/Series an index Fund? No

S 1:

Investment Practices

70.

Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In

Writing or investing in repurchase agreements? No –

Writing or investing in options on equities? No –

Writing or investing in options on debt securities? No –

Writing or investing in options on stock indices? No –

Writing or investing in interest rate futures? No –

Writing or investing in stock index futures? No –

Writing or investing in options on futures? No –

Writing or investing in options on stock index futures? No –

Writing or investing in other commodity futures? No –

Investments in restricted securities? No –

Investments in shares of other investment companies? Yes No

Investments in securities of foreign issuers? No –

Currency exchange transactions? No –

Loaning portfolio securities? No –

Borrowing of money? No –

Purchases/sales by certain exempted affiliated persons? No –

Margin purchases? No –

Short selling? No –

S 1:

Portfolio Turnover

71.

Portfolio turnover rate for the period:

Purchases ($000s): 0

Sales ($000s): 0

Monthly average Value of portfolio ($000s): 0

Percent turnover (lesser of Purchases or Sales, divided by Value): 0%

S 1:

Financial Info — Income and Expenses

72.

The number of months covered by the values in Items 72 and 73: 0

Income ($000s)
Net interest income ..............................................

–

Net dividend income ..............................................

–

Account maintenance fees .........................................

–

Net other income .................................................

–

Expenses ($000s)
Advisory fees ....................................................

–

Administrator fees ...............................................

–

Salaries and other compensation ..................................

–

Shareholder Servicing Agent fees .................................

–

Custodian fees ...................................................

–

Postage ..........................................................

–

Printing expenses ................................................

–

Directors’ fees ..................................................

–

Registration fees ................................................

–

Taxes ............................................................

–

Interest .........................................................

–

Bookkeeping fees paid to anyone performing this service ..........

–

Auditing fees ....................................................

–

Legal fees .......................................................

–

Marketing/distribution payments, incl. Rule 12b-1 plan payments ..

–

Amortization of organization expenses ............................

–

Shareholder meeting expenses .....................................

–

Other expenses ...................................................

–

Total expenses ...................................................

–

Expense reimbursements ($000s): 0

Net investment income ($000s): 0

Realized capital gains ($000s): 0

Realized capital losses ($000s): 0

Net unrealized appreciation during the period ($000s): 0

Net unrealized depreciation during the period ($000s): 0

Total income dividends for which the record date passed during the
period ($000s): 0

Total capital gains distributions for which the record date passed
during the period ($000s): 0

73.

Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000

Other distributions: $0.0000

S 1:

Financial Info — Condensed Balance Sheet Data

74.

Assets ($000s)

Cash .............................................................

–

Repurchase agreements ............................................

–

Short-term debt securities, other than repurchase agreements .....

–

Long-term debt securities, including convertible debt ............

–

Preferred, conv. preferred and adjustable-rate preferred stock ...

–

Common stock .....................................................

–

Options on equities ..............................................

–

Options on all futures ...........................................

–

Other investments ................................................

–

Receivables from portfolio instruments sold ......................

–

Receivables from affiliated persons ..............................

–

Other receivables ................................................

–

All other assets .................................................

–

Total assets .....................................................

–

Liabilities ($000s)
Payables for portfolio instruments purchased .....................

–

Amounts owed to affiliated persons ...............................

–

Senior long-term debt ............................................

–

Other liabilities:
Reverse repurchase agreements ..................................

–

Short sales ....................................................

–

Written options ................................................

–

All other liabilities ..........................................

–

Equity ($000s)
Senior equity ....................................................

–

Net assets of common shareholders ................................

–

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 0

Total value of assets in segregated accounts ($000s): 0

Series 2

↑Information Common to All Funds/Series ↑List of 12 Funds/Series

7.

Name: GMO Quality Series Fund — S#35210: See Note above.

Is this the final Form N-SAR filed for this Fund/Series? No

S 2:

Custodian

15.1

Name: State Street Bank & Trust Co.

Role: Custodian

Location: Boston, MA

Type of custody: Section 17(f)(1) — Bank

S 2:

Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers

24.

At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No

S 2:

Sales and Repurchases

28.

Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:

1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0

S 2:

Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)

29.

Was a front-end sales load deducted from any share sales during the
period? No

34.

Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No

37.

Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No

39.

Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? No

S 2:

Payment Plan for the Distribution of Fund Shares

40.

During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No

S 2:

Advisory Fee

45.

Did the Registrant/Series have an advisory contract during the period? Yes

46.

Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No

47.

Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No

49.

Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No

50.

Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No

51.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No

52.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No

53.

Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No

S 2:

Miscellaneous Info

55.

Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:

Overdrafts? No

Bank loans? No

56.

During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes

57.

Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No

S 2:

Classification and Asset Allocation

58.

Is the Registrant/Series a Separate Account of an insurance company? No

59.

Is the Registrant/Series a management investment company? Yes

60.

Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes

61.

The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $10,000,000

62.

Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No

66.

Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No

Capital appreciation? No

Growth? No

Growth and income? No

Income? No

Total return? Yes

67.

Is the Registrant/Series a “balanced” Fund? No

68.

Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No

Located primarily in countries other than the United States? No

69.

Is the Registrant/Series an index Fund? No

S 2:

Investment Practices

70.

Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In

Writing or investing in repurchase agreements? No –

Writing or investing in options on equities? No –

Writing or investing in options on debt securities? No –

Writing or investing in options on stock indices? No –

Writing or investing in interest rate futures? No –

Writing or investing in stock index futures? No –

Writing or investing in options on futures? No –

Writing or investing in options on stock index futures? No –

Writing or investing in other commodity futures? No –

Investments in restricted securities? No –

Investments in shares of other investment companies? Yes No

Investments in securities of foreign issuers? No –

Currency exchange transactions? No –

Loaning portfolio securities? No –

Borrowing of money? No –

Purchases/sales by certain exempted affiliated persons? No –

Margin purchases? No –

Short selling? No –

S 2:

Portfolio Turnover

71.

Portfolio turnover rate for the period:

Purchases ($000s): 0

Sales ($000s): 0

Monthly average Value of portfolio ($000s): 0

Percent turnover (lesser of Purchases or Sales, divided by Value): 0%

S 2:

Financial Info — Income and Expenses

72.

The number of months covered by the values in Items 72 and 73: 0

Income ($000s)
Net interest income ..............................................

–

Net dividend income ..............................................

–

Account maintenance fees .........................................

–

Net other income .................................................

–

Expenses ($000s)
Advisory fees ....................................................

–

Administrator fees ...............................................

–

Salaries and other compensation ..................................

–

Shareholder Servicing Agent fees .................................

–

Custodian fees ...................................................

–

Postage ..........................................................

–

Printing expenses ................................................

–

Directors’ fees ..................................................

–

Registration fees ................................................

–

Taxes ............................................................

–

Interest .........................................................

–

Bookkeeping fees paid to anyone performing this service ..........

–

Auditing fees ....................................................

–

Legal fees .......................................................

–

Marketing/distribution payments, incl. Rule 12b-1 plan payments ..

–

Amortization of organization expenses ............................

–

Shareholder meeting expenses .....................................

–

Other expenses ...................................................

–

Total expenses ...................................................

–

Expense reimbursements ($000s): 0

Net investment income ($000s): 0

Realized capital gains ($000s): 0

Realized capital losses ($000s): 0

Net unrealized appreciation during the period ($000s): 0

Net unrealized depreciation during the period ($000s): 0

Total income dividends for which the record date passed during the
period ($000s): 0

Total capital gains distributions for which the record date passed
during the period ($000s): 0

73.

Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000

Other distributions: $0.0000

S 2:

Financial Info — Condensed Balance Sheet Data

74.

Assets ($000s)

Cash .............................................................

–

Repurchase agreements ............................................

–

Short-term debt securities, other than repurchase agreements .....

–

Long-term debt securities, including convertible debt ............

–

Preferred, conv. preferred and adjustable-rate preferred stock ...

–

Common stock .....................................................

–

Options on equities ..............................................

–

Options on all futures ...........................................

–

Other investments ................................................

–

Receivables from portfolio instruments sold ......................

–

Receivables from affiliated persons ..............................

–

Other receivables ................................................

–

All other assets .................................................

–

Total assets .....................................................

–

Liabilities ($000s)
Payables for portfolio instruments purchased .....................

–

Amounts owed to affiliated persons ...............................

–

Senior long-term debt ............................................

–

Other liabilities:
Reverse repurchase agreements ..................................

–

Short sales ....................................................

–

Written options ................................................

–

All other liabilities ..........................................

–

Equity ($000s)
Senior equity ....................................................

–

Net assets of common shareholders ................................

–

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 0

Total value of assets in segregated accounts ($000s): 0

Series 3

↑Information Common to All Funds/Series ↑List of 12 Funds/Series

7.

Name: GMO Core Plus Bond Series Fund — S#35211: See Note above.

Is this the final Form N-SAR filed for this Fund/Series? No

S 3:

Custodian

15.1

Name: State Street Bank & Trust Co.

Role: Custodian

Location: Boston, MA

Type of custody: Section 17(f)(1) — Bank

S 3:

Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers

24.

At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No

S 3:

Sales and Repurchases

28.

Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:

1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0

S 3:

Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)

29.

Was a front-end sales load deducted from any share sales during the
period? No

34.

Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No

37.

Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No

39.

Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? No

S 3:

Payment Plan for the Distribution of Fund Shares

40.

During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No

S 3:

Advisory Fee

45.

Did the Registrant/Series have an advisory contract during the period? Yes

46.

Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No

47.

Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No

49.

Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No

50.

Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No

51.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No

52.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No

53.

Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No

S 3:

Miscellaneous Info

55.

Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:

Overdrafts? No

Bank loans? No

56.

During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes

57.

Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No

S 3:

Classification and Asset Allocation

58.

Is the Registrant/Series a Separate Account of an insurance company? No

59.

Is the Registrant/Series a management investment company? Yes

60.

Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes

61.

The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $10,000,000

62.

Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No

66.

Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No

Capital appreciation? No

Growth? No

Growth and income? No

Income? No

Total return? Yes

67.

Is the Registrant/Series a “balanced” Fund? No

68.

Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No

Located primarily in countries other than the United States? No

69.

Is the Registrant/Series an index Fund? No

S 3:

Investment Practices

70.

Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In

Writing or investing in repurchase agreements? No –

Writing or investing in options on equities? No –

Writing or investing in options on debt securities? No –

Writing or investing in options on stock indices? No –

Writing or investing in interest rate futures? No –

Writing or investing in stock index futures? No –

Writing or investing in options on futures? No –

Writing or investing in options on stock index futures? No –

Writing or investing in other commodity futures? No –

Investments in restricted securities? No –

Investments in shares of other investment companies? Yes No

Investments in securities of foreign issuers? No –

Currency exchange transactions? No –

Loaning portfolio securities? No –

Borrowing of money? No –

Purchases/sales by certain exempted affiliated persons? No –

Margin purchases? No –

Short selling? No –

S 3:

Portfolio Turnover

71.

Portfolio turnover rate for the period:

Purchases ($000s): 0

Sales ($000s): 0

Monthly average Value of portfolio ($000s): 0

Percent turnover (lesser of Purchases or Sales, divided by Value): 0%

S 3:

Financial Info — Income and Expenses

72.

The number of months covered by the values in Items 72 and 73: 0

Income ($000s)
Net interest income ..............................................

–

Net dividend income ..............................................

–

Account maintenance fees .........................................

–

Net other income .................................................

–

Expenses ($000s)
Advisory fees ....................................................

–

Administrator fees ...............................................

–

Salaries and other compensation ..................................

–

Shareholder Servicing Agent fees .................................

–

Custodian fees ...................................................

–

Postage ..........................................................

–

Printing expenses ................................................

–

Directors’ fees ..................................................

–

Registration fees ................................................

–

Taxes ............................................................

–

Interest .........................................................

–

Bookkeeping fees paid to anyone performing this service ..........

–

Auditing fees ....................................................

–

Legal fees .......................................................

–

Marketing/distribution payments, incl. Rule 12b-1 plan payments ..

–

Amortization of organization expenses ............................

–

Shareholder meeting expenses .....................................

–

Other expenses ...................................................

–

Total expenses ...................................................

–

Expense reimbursements ($000s): 0

Net investment income ($000s): 0

Realized capital gains ($000s): 0

Realized capital losses ($000s): 0

Net unrealized appreciation during the period ($000s): 0

Net unrealized depreciation during the period ($000s): 0

Total income dividends for which the record date passed during the
period ($000s): 0

Total capital gains distributions for which the record date passed
during the period ($000s): 0

73.

Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000

Other distributions: $0.0000

S 3:

Financial Info — Condensed Balance Sheet Data

74.

Assets ($000s)

Cash .............................................................

–

Repurchase agreements ............................................

–

Short-term debt securities, other than repurchase agreements .....

–

Long-term debt securities, including convertible debt ............

–

Preferred, conv. preferred and adjustable-rate preferred stock ...

–

Common stock .....................................................

–

Options on equities ..............................................

–

Options on all futures ...........................................

–

Other investments ................................................

–

Receivables from portfolio instruments sold ......................

–

Receivables from affiliated persons ..............................

–

Other receivables ................................................

–

All other assets .................................................

–

Total assets .....................................................

–

Liabilities ($000s)
Payables for portfolio instruments purchased .....................

–

Amounts owed to affiliated persons ...............................

–

Senior long-term debt ............................................

–

Other liabilities:
Reverse repurchase agreements ..................................

–

Short sales ....................................................

–

Written options ................................................

–

All other liabilities ..........................................

–

Equity ($000s)
Senior equity ....................................................

–

Net assets of common shareholders ................................

–

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 0

Total value of assets in segregated accounts ($000s): 0

Series 4

↑Information Common to All Funds/Series ↑List of 12 Funds/Series

7.

Name: GMO International Bond Series Fund — S#35212: See Note above.

Is this the final Form N-SAR filed for this Fund/Series? No

S 4:

Custodian

15.1

Name: State Street Bank & Trust Co.

Role: Custodian

Location: Boston, MA

Type of custody: Section 17(f)(1) — Bank

S 4:

Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers

24.

At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No

S 4:

Sales and Repurchases

28.

Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:

1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0

S 4:

Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)

29.

Was a front-end sales load deducted from any share sales during the
period? No

34.

Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No

37.

Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No

39.

Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? No

S 4:

Payment Plan for the Distribution of Fund Shares

40.

During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No

S 4:

Advisory Fee

45.

Did the Registrant/Series have an advisory contract during the period? Yes

46.

Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No

47.

Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No

49.

Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No

50.

Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No

51.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No

52.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No

53.

Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No

S 4:

Miscellaneous Info

55.

Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:

Overdrafts? No

Bank loans? No

56.

During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes

57.

Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No

S 4:

Classification and Asset Allocation

58.

Is the Registrant/Series a Separate Account of an insurance company? No

59.

Is the Registrant/Series a management investment company? Yes

60.

Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes

61.

The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $10,000,000

62.

Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No

66.

Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No

Capital appreciation? No

Growth? No

Growth and income? No

Income? No

Total return? Yes

67.

Is the Registrant/Series a “balanced” Fund? No

68.

Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No

Located primarily in countries other than the United States? No

69.

Is the Registrant/Series an index Fund? No

S 4:

Investment Practices

70.

Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In

Writing or investing in repurchase agreements? No –

Writing or investing in options on equities? No –

Writing or investing in options on debt securities? No –

Writing or investing in options on stock indices? No –

Writing or investing in interest rate futures? No –

Writing or investing in stock index futures? No –

Writing or investing in options on futures? No –

Writing or investing in options on stock index futures? No –

Writing or investing in other commodity futures? No –

Investments in restricted securities? No –

Investments in shares of other investment companies? Yes No

Investments in securities of foreign issuers? No –

Currency exchange transactions? No –

Loaning portfolio securities? No –

Borrowing of money? No –

Purchases/sales by certain exempted affiliated persons? No –

Margin purchases? No –

Short selling? No –

S 4:

Portfolio Turnover

71.

Portfolio turnover rate for the period:

Purchases ($000s): 0

Sales ($000s): 0

Monthly average Value of portfolio ($000s): 0

Percent turnover (lesser of Purchases or Sales, divided by Value): 0%

S 4:

Financial Info — Income and Expenses

72.

The number of months covered by the values in Items 72 and 73: 0

Income ($000s)
Net interest income ..............................................

–

Net dividend income ..............................................

–

Account maintenance fees .........................................

–

Net other income .................................................

–

Expenses ($000s)
Advisory fees ....................................................

–

Administrator fees ...............................................

–

Salaries and other compensation ..................................

–

Shareholder Servicing Agent fees .................................

–

Custodian fees ...................................................

–

Postage ..........................................................

–

Printing expenses ................................................

–

Directors’ fees ..................................................

–

Registration fees ................................................

–

Taxes ............................................................

–

Interest .........................................................

–

Bookkeeping fees paid to anyone performing this service ..........

–

Auditing fees ....................................................

–

Legal fees .......................................................

–

Marketing/distribution payments, incl. Rule 12b-1 plan payments ..

–

Amortization of organization expenses ............................

–

Shareholder meeting expenses .....................................

–

Other expenses ...................................................

–

Total expenses ...................................................

–

Expense reimbursements ($000s): 0

Net investment income ($000s): 0

Realized capital gains ($000s): 0

Realized capital losses ($000s): 0

Net unrealized appreciation during the period ($000s): 0

Net unrealized depreciation during the period ($000s): 0

Total income dividends for which the record date passed during the
period ($000s): 0

Total capital gains distributions for which the record date passed
during the period ($000s): 0

73.

Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000

Other distributions: $0.0000

S 4:

Financial Info — Condensed Balance Sheet Data

74.

Assets ($000s)

Cash .............................................................

–

Repurchase agreements ............................................

–

Short-term debt securities, other than repurchase agreements .....

–

Long-term debt securities, including convertible debt ............

–

Preferred, conv. preferred and adjustable-rate preferred stock ...

–

Common stock .....................................................

–

Options on equities ..............................................

–

Options on all futures ...........................................

–

Other investments ................................................

–

Receivables from portfolio instruments sold ......................

–

Receivables from affiliated persons ..............................

–

Other receivables ................................................

–

All other assets .................................................

–

Total assets .....................................................

–

Liabilities ($000s)
Payables for portfolio instruments purchased .....................

–

Amounts owed to affiliated persons ...............................

–

Senior long-term debt ............................................

–

Other liabilities:
Reverse repurchase agreements ..................................

–

Short sales ....................................................

–

Written options ................................................

–

All other liabilities ..........................................

–

Equity ($000s)
Senior equity ....................................................

–

Net assets of common shareholders ................................

–

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 0

Total value of assets in segregated accounts ($000s): 0

Series 5

↑Information Common to All Funds/Series ↑List of 12 Funds/Series

7.

Name: GMO Emerging Country Debt Series Fund — S#35213: See Note above.

Is this the final Form N-SAR filed for this Fund/Series? No

S 5:

Custodian

15.1

Name: State Street Bank & Trust Co.

Role: Custodian

Location: Boston, MA

Type of custody: Section 17(f)(1) — Bank

S 5:

Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers

24.

At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No

S 5:

Sales and Repurchases

28.

Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:

1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0

S 5:

Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)

29.

Was a front-end sales load deducted from any share sales during the
period? No

34.

Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No

37.

Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No

39.

Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? No

S 5:

Payment Plan for the Distribution of Fund Shares

40.

During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No

S 5:

Advisory Fee

45.

Did the Registrant/Series have an advisory contract during the period? Yes

46.

Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No

47.

Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No

49.

Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No

50.

Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No

51.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No

52.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No

53.

Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No

S 5:

Miscellaneous Info

55.

Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:

Overdrafts? No

Bank loans? No

56.

During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes

57.

Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No

S 5:

Classification and Asset Allocation

58.

Is the Registrant/Series a Separate Account of an insurance company? No

59.

Is the Registrant/Series a management investment company? Yes

60.

Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes

61.

The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $10,000,000

62.

Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No

66.

Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No

Capital appreciation? No

Growth? No

Growth and income? No

Income? No

Total return? Yes

67.

Is the Registrant/Series a “balanced” Fund? No

68.

Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No

Located primarily in countries other than the United States? No

69.

Is the Registrant/Series an index Fund? No

S 5:

Investment Practices

70.

Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In

Writing or investing in repurchase agreements? No –

Writing or investing in options on equities? No –

Writing or investing in options on debt securities? No –

Writing or investing in options on stock indices? No –

Writing or investing in interest rate futures? No –

Writing or investing in stock index futures? No –

Writing or investing in options on futures? No –

Writing or investing in options on stock index futures? No –

Writing or investing in other commodity futures? No –

Investments in restricted securities? No –

Investments in shares of other investment companies? Yes No

Investments in securities of foreign issuers? No –

Currency exchange transactions? No –

Loaning portfolio securities? No –

Borrowing of money? No –

Purchases/sales by certain exempted affiliated persons? No –

Margin purchases? No –

Short selling? No –

S 5:

Portfolio Turnover

71.

Portfolio turnover rate for the period:

Purchases ($000s): 0

Sales ($000s): 0

Monthly average Value of portfolio ($000s): 0

Percent turnover (lesser of Purchases or Sales, divided by Value): 0%

S 5:

Financial Info — Income and Expenses

72.

The number of months covered by the values in Items 72 and 73: 0

Income ($000s)
Net interest income ..............................................

–

Net dividend income ..............................................

–

Account maintenance fees .........................................

–

Net other income .................................................

–

Expenses ($000s)
Advisory fees ....................................................

–

Administrator fees ...............................................

–

Salaries and other compensation ..................................

–

Shareholder Servicing Agent fees .................................

–

Custodian fees ...................................................

–

Postage ..........................................................

–

Printing expenses ................................................

–

Directors’ fees ..................................................

–

Registration fees ................................................

–

Taxes ............................................................

–

Interest .........................................................

–

Bookkeeping fees paid to anyone performing this service ..........

–

Auditing fees ....................................................

–

Legal fees .......................................................

–

Marketing/distribution payments, incl. Rule 12b-1 plan payments ..

–

Amortization of organization expenses ............................

–

Shareholder meeting expenses .....................................

–

Other expenses ...................................................

–

Total expenses ...................................................

–

Expense reimbursements ($000s): 0

Net investment income ($000s): 0

Realized capital gains ($000s): 0

Realized capital losses ($000s): 0

Net unrealized appreciation during the period ($000s): 0

Net unrealized depreciation during the period ($000s): 0

Total income dividends for which the record date passed during the
period ($000s): 0

Total capital gains distributions for which the record date passed
during the period ($000s): 0

73.

Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000

Other distributions: $0.0000

S 5:

Financial Info — Condensed Balance Sheet Data

74.

Assets ($000s)

Cash .............................................................

–

Repurchase agreements ............................................

–

Short-term debt securities, other than repurchase agreements .....

–

Long-term debt securities, including convertible debt ............

–

Preferred, conv. preferred and adjustable-rate preferred stock ...

–

Common stock .....................................................

–

Options on equities ..............................................

–

Options on all futures ...........................................

–

Other investments ................................................

–

Receivables from portfolio instruments sold ......................

–

Receivables from affiliated persons ..............................

–

Other receivables ................................................

–

All other assets .................................................

–

Total assets .....................................................

–

Liabilities ($000s)
Payables for portfolio instruments purchased .....................

–

Amounts owed to affiliated persons ...............................

–

Senior long-term debt ............................................

–

Other liabilities:
Reverse repurchase agreements ..................................

–

Short sales ....................................................

–

Written options ................................................

–

All other liabilities ..........................................

–

Equity ($000s)
Senior equity ....................................................

–

Net assets of common shareholders ................................

–

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 0

Total value of assets in segregated accounts ($000s): 0

Series 7

↑Information Common to All Funds/Series ↑List of 12 Funds/Series

7.

Name: GMO Intl Equity Allocation Series Fund [ renamed
GMO International Equity Allocation Series Fund ] — S#35215 ⇒ GEAUX & GEARX

Is this the final Form N-SAR filed for this Fund/Series? No

S 7:

Custodian

15.1

Name: State Street Bank & Trust Co.

Role: Custodian

Location: Boston, MA

Type of custody: Section 17(f)(1) — Bank

S 7:

Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers

24.

At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No

S 7:

Sales and Repurchases

28.

Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:

1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

793

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

1,708

4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

940

Reinvestment of dividends and distributions ................

16,453

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

2,225

5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

998

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

11,832

6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

1,348

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

23,411

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

4,079

Reinvestment of dividends and distributions ................

16,453

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

39,176

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0

S 7:

Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)

29.

Was a front-end sales load deducted from any share sales during the
period? No

34.

Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No

37.

Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No

39.

Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? No

S 7:

Payment Plan for the Distribution of Fund Shares

40.

During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? Yes

41.

During the period, did the Registrant/Series use its assets directly to
make payments under the 12b-1 plan? Yes

42.

For the period, the percentage of total dollars paid directly by the
Registrant/Series under the 12b-1 plan for each of the following:

Percentage of Total Amount Paid (%)
Advertising ............................................................

–

Printing & mailing of prospectuses to other than current shareholders ..

–

Payments to underwriters ...............................................

–

Payments to brokers or dealers .........................................

100

Direct payments to sales personnel .....................................

–

Payments to banks and savings & loans ..................................

–

Other uses, including payments to its Investment Adviser separate
from the advisory fee ................................................

–

Unallocated payments made for a combination of such services ...........

–

43.

Total amount paid directly by the Registrant/Series pursuant to its
12b-1 plan ($000s): 19

44.

If an Investment Adviser or other affiliated person of the
Registrant/Series made unreimbursed payments pursuant to the 12b-1 plan,
the total amount of such payments ($000s): 0

S 7:

Advisory Fee

45.

Did the Registrant/Series have an advisory contract during the period? Yes

46.

Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No

47.

Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No

49.

Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No

50.

Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No

51.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No

52.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No

53.

Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? Yes

Was the limitation that applied during the period based on...
Assets? Yes

Income? No

S 7:

Miscellaneous Info

55.

Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:

Overdrafts? No

Bank loans? No

56.

During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes

57.

Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No

S 7:

Classification and Asset Allocation

58.

Is the Registrant/Series a Separate Account of an insurance company? No

59.

Is the Registrant/Series a management investment company? Yes

60.

Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes

61.

The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $10,000,000

62.

Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No

66.

Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No

Capital appreciation? No

Growth? No

Growth and income? No

Income? No

Total return? Yes

67.

Is the Registrant/Series a “balanced” Fund? No

68.

Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No

Located primarily in countries other than the United States? No

69.

Is the Registrant/Series an index Fund? No

S 7:

Investment Practices

70.

Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In

Writing or investing in repurchase agreements? No –

Writing or investing in options on equities? No –

Writing or investing in options on debt securities? No –

Writing or investing in options on stock indices? No –

Writing or investing in interest rate futures? No –

Writing or investing in stock index futures? No –

Writing or investing in options on futures? No –

Writing or investing in options on stock index futures? No –

Writing or investing in other commodity futures? No –

Investments in restricted securities? No –

Investments in shares of other investment companies? Yes to both

Investments in securities of foreign issuers? No –

Currency exchange transactions? No –

Loaning portfolio securities? No –

Borrowing of money? No –

Purchases/sales by certain exempted affiliated persons? No –

Margin purchases? No –

Short selling? No –

S 7:

Portfolio Turnover

71.

Portfolio turnover rate for the period:

Purchases ($000s): 24,040

Sales ($000s): 41,351

Monthly average Value of portfolio ($000s): 311,085

Percent turnover (lesser of Purchases or Sales, divided by Value): 8%

S 7:

Financial Info — Income and Expenses

72.

The number of months covered by the values in Items 72 and 73: 10

Income ($000s)
Net interest income ..............................................

–

Net dividend income ..............................................

12,739

Account maintenance fees .........................................

–

Net other income .................................................

–

Expenses ($000s)
Advisory fees ....................................................

–

Administrator fees ...............................................

130

Salaries and other compensation ..................................

–

Shareholder Servicing Agent fees .................................

–

Custodian fees ...................................................

–

Postage ..........................................................

–

Printing expenses ................................................

–

Directors’ fees ..................................................

–

Registration fees ................................................

5

Taxes ............................................................

–

Interest .........................................................

–

Bookkeeping fees paid to anyone performing this service ..........

–

Auditing fees ....................................................

–

Legal fees .......................................................

–

Marketing/distribution payments, incl. Rule 12b-1 plan payments ..

19

Amortization of organization expenses ............................

–

Shareholder meeting expenses .....................................

–

Other expenses ...................................................

–

Total expenses ...................................................

154

Expense reimbursements ($000s): 5

Net investment income ($000s): 12,590

Realized capital gains ($000s): 6,289

Realized capital losses ($000s): 0

Net unrealized appreciation during the period ($000s): 0

Net unrealized depreciation during the period ($000s): 35,585

Total income dividends for which the record date passed during the
period ($000s): 11,538

Dividends for a second class of shares ($000s): 835

Total capital gains distributions for which the record date passed
during the period ($000s): 16,584

73.

Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.4416

Dividends for a second class of shares: $0.4336

Distribution of capital gains: $0.6026

Other distributions: $0.0000

S 7:

Financial Info — Condensed Balance Sheet Data

74.

Assets ($000s)

Cash .............................................................

2,449

Repurchase agreements ............................................

–

Short-term debt securities, other than repurchase agreements .....

–

Long-term debt securities, including convertible debt ............

–

Preferred, conv. preferred and adjustable-rate preferred stock ...

–

Common stock .....................................................

–

Options on equities ..............................................

–

Options on all futures ...........................................

–

Other investments ................................................

275,552

Receivables from portfolio instruments sold ......................

–

Receivables from affiliated persons ..............................

–

Other receivables ................................................

194

All other assets .................................................

–

Total assets .....................................................

278,195

Liabilities ($000s)
Payables for portfolio instruments purchased .....................

–

Amounts owed to affiliated persons ...............................

11

Senior long-term debt ............................................

–

Other liabilities:
Reverse repurchase agreements ..................................

–

Short sales ....................................................

–

Written options ................................................

–

All other liabilities ..........................................

110

Equity ($000s)
Senior equity ....................................................

–

Net assets of common shareholders ................................

278,074

Number of shares outstanding (000s): 24,456

Number of shares outstanding of a second class of shares (000s): 2,009

Net Asset Value (NAV) per share (to nearest cent): $10.51

NAV per share of a second class of shares (to nearest cent): $10.50

Total number of shareholder accounts: 6

Total value of assets in segregated accounts ($000s): 0

75.

Monthly average net assets during the period ($000s): 314,108

Series 8

↑Information Common to All Funds/Series ↑List of 12 Funds/Series

7.

Name: GMO Global Equity Allocation Series Fund — S#35216 ⇒ GGASX

Is this the final Form N-SAR filed for this Fund/Series? No

S 8:

Custodian

15.1

Name: State Street Bank & Trust Co.

Role: Custodian

Location: Boston, MA

Type of custody: Section 17(f)(1) — Bank

S 8:

Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers

24.

At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No

S 8:

Sales and Repurchases

28.

Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:

1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

268

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

774

4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

218

Reinvestment of dividends and distributions ................

968

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

668

5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

314

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

1,015

6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

1,664

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

185

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

2,464

Reinvestment of dividends and distributions ................

968

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

2,642

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0

S 8:

Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)

29.

Was a front-end sales load deducted from any share sales during the
period? No

34.

Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No

37.

Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No

39.

Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? No

S 8:

Payment Plan for the Distribution of Fund Shares

40.

During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No

S 8:

Advisory Fee

45.

Did the Registrant/Series have an advisory contract during the period? Yes

46.

Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No

47.

Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No

49.

Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No

50.

Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No

51.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No

52.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No

53.

Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? Yes

Was the limitation that applied during the period based on...
Assets? Yes

Income? No

S 8:

Miscellaneous Info

55.

Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:

Overdrafts? No

Bank loans? No

56.

During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes

57.

Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No

S 8:

Classification and Asset Allocation

58.

Is the Registrant/Series a Separate Account of an insurance company? No

59.

Is the Registrant/Series a management investment company? Yes

60.

Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes

61.

The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $10,000,000

62.

Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No

66.

Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No

Capital appreciation? No

Growth? No

Growth and income? No

Income? No

Total return? Yes

67.

Is the Registrant/Series a “balanced” Fund? No

68.

Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No

Located primarily in countries other than the United States? No

69.

Is the Registrant/Series an index Fund? No

S 8:

Investment Practices

70.

Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In

Writing or investing in repurchase agreements? No –

Writing or investing in options on equities? No –

Writing or investing in options on debt securities? No –

Writing or investing in options on stock indices? No –

Writing or investing in interest rate futures? No –

Writing or investing in stock index futures? No –

Writing or investing in options on futures? No –

Writing or investing in options on stock index futures? No –

Writing or investing in other commodity futures? No –

Investments in restricted securities? No –

Investments in shares of other investment companies? Yes to both

Investments in securities of foreign issuers? No –

Currency exchange transactions? No –

Loaning portfolio securities? No –

Borrowing of money? No –

Purchases/sales by certain exempted affiliated persons? No –

Margin purchases? No –

Short selling? No –

S 8:

Portfolio Turnover

71.

Portfolio turnover rate for the period:

Purchases ($000s): 13,678

Sales ($000s): 2,564

Monthly average Value of portfolio ($000s): 11,195

Percent turnover (lesser of Purchases or Sales, divided by Value): 23%

S 8:

Financial Info — Income and Expenses

72.

The number of months covered by the values in Items 72 and 73: 10

Income ($000s)
Net interest income ..............................................

–

Net dividend income ..............................................

501

Account maintenance fees .........................................

–

Net other income .................................................

–

Expenses ($000s)
Advisory fees ....................................................

–

Administrator fees ...............................................

4

Salaries and other compensation ..................................

–

Shareholder Servicing Agent fees .................................

–

Custodian fees ...................................................

–

Postage ..........................................................

–

Printing expenses ................................................

–

Directors’ fees ..................................................

–

Registration fees ................................................

2

Taxes ............................................................

–

Interest .........................................................

–

Bookkeeping fees paid to anyone performing this service ..........

–

Auditing fees ....................................................

–

Legal fees .......................................................

–

Marketing/distribution payments, incl. Rule 12b-1 plan payments ..

–

Amortization of organization expenses ............................

–

Shareholder meeting expenses .....................................

–

Other expenses ...................................................

–

Total expenses ...................................................

6

Expense reimbursements ($000s): 2

Net investment income ($000s): 497

Realized capital gains ($000s): 625

Realized capital losses ($000s): 0

Net unrealized appreciation during the period ($000s): 0

Net unrealized depreciation during the period ($000s): 908

Total income dividends for which the record date passed during the
period ($000s): 493

Total capital gains distributions for which the record date passed
during the period ($000s): 646

73.

Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.3800

Distribution of capital gains: $0.5963

Other distributions: $0.0000

S 8:

Financial Info — Condensed Balance Sheet Data

74.

Assets ($000s)

Cash .............................................................

1,315

Repurchase agreements ............................................

–

Short-term debt securities, other than repurchase agreements .....

–

Long-term debt securities, including convertible debt ............

–

Preferred, conv. preferred and adjustable-rate preferred stock ...

–

Common stock .....................................................

–

Options on equities ..............................................

–

Options on all futures ...........................................

–

Other investments ................................................

16,424

Receivables from portfolio instruments sold ......................

–

Receivables from affiliated persons ..............................

–

Other receivables ................................................

204

All other assets .................................................

–

Total assets .....................................................

17,943

Liabilities ($000s)
Payables for portfolio instruments purchased .....................

1,149

Amounts owed to affiliated persons ...............................

1

Senior long-term debt ............................................

–

Other liabilities:
Reverse repurchase agreements ..................................

–

Short sales ....................................................

–

Written options ................................................

–

All other liabilities ..........................................

1

Equity ($000s)
Senior equity ....................................................

–

Net assets of common shareholders ................................

16,792

Number of shares outstanding (000s): 1,520

Net Asset Value (NAV) per share (to nearest cent): $11.05

Total number of shareholder accounts: 4

Total value of assets in segregated accounts ($000s): 0

75.

Monthly average net assets during the period ($000s): 11,294

Series 9

↑Information Common to All Funds/Series ↑List of 12 Funds/Series

7.

Name: GMO Global Asset Allocation Series Fund — S#35217 ⇒ GATRX

Is this the final Form N-SAR filed for this Fund/Series? No

S 9:

Custodian

15.1

Name: State Street Bank & Trust Co.

Role: Custodian

Location: Boston, MA

Type of custody: Section 17(f)(1) — Bank

S 9:

Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers

24.

At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No

S 9:

Sales and Repurchases

28.

Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:

1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

23,281

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

18,243

4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

4,603

Reinvestment of dividends and distributions ................

56,708

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

7,213

5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

5,590

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

8,271

6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

15,818

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

37,143

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

49,292

Reinvestment of dividends and distributions ................

56,708

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

70,870

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0

S 9:

Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)

29.

Was a front-end sales load deducted from any share sales during the
period? No

34.

Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No

37.

Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No

39.

Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? No

S 9:

Payment Plan for the Distribution of Fund Shares

40.

During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No

S 9:

Advisory Fee

45.

Did the Registrant/Series have an advisory contract during the period? Yes

46.

Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No

47.

Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No

49.

Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No

50.

Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No

51.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No

52.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No

53.

Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? Yes

Was the limitation that applied during the period based on...
Assets? Yes

Income? No

S 9:

Miscellaneous Info

55.

Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:

Overdrafts? No

Bank loans? No

56.

During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes

57.

Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No

S 9:

Classification and Asset Allocation

58.

Is the Registrant/Series a Separate Account of an insurance company? No

59.

Is the Registrant/Series a management investment company? Yes

60.

Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes

61.

The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $10,000,000

62.

Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No

66.

Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No

Capital appreciation? No

Growth? No

Growth and income? No

Income? No

Total return? Yes

67.

Is the Registrant/Series a “balanced” Fund? No

68.

Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No

Located primarily in countries other than the United States? No

69.

Is the Registrant/Series an index Fund? No

S 9:

Investment Practices

70.

Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In

Writing or investing in repurchase agreements? No –

Writing or investing in options on equities? No –

Writing or investing in options on debt securities? No –

Writing or investing in options on stock indices? No –

Writing or investing in interest rate futures? No –

Writing or investing in stock index futures? No –

Writing or investing in options on futures? No –

Writing or investing in options on stock index futures? No –

Writing or investing in other commodity futures? No –

Investments in restricted securities? No –

Investments in shares of other investment companies? Yes to both

Investments in securities of foreign issuers? No –

Currency exchange transactions? No –

Loaning portfolio securities? No –

Borrowing of money? No –

Purchases/sales by certain exempted affiliated persons? No –

Margin purchases? No –

Short selling? No –

S 9:

Portfolio Turnover

71.

Portfolio turnover rate for the period:

Purchases ($000s): 111,840

Sales ($000s): 48,083

Monthly average Value of portfolio ($000s): 809,979

Percent turnover (lesser of Purchases or Sales, divided by Value): 6%

S 9:

Financial Info — Income and Expenses

72.

The number of months covered by the values in Items 72 and 73: 10

Income ($000s)
Net interest income ..............................................

1

Net dividend income ..............................................

29,768

Account maintenance fees .........................................

–

Net other income .................................................

–

Expenses ($000s)
Advisory fees ....................................................

–

Administrator fees ...............................................

340

Salaries and other compensation ..................................

–

Shareholder Servicing Agent fees .................................

–

Custodian fees ...................................................

–

Postage ..........................................................

–

Printing expenses ................................................

–

Directors’ fees ..................................................

–

Registration fees ................................................

24

Taxes ............................................................

–

Interest .........................................................

–

Bookkeeping fees paid to anyone performing this service ..........

–

Auditing fees ....................................................

–

Legal fees .......................................................

–

Marketing/distribution payments, incl. Rule 12b-1 plan payments ..

–

Amortization of organization expenses ............................

–

Shareholder meeting expenses .....................................

–

Other expenses ...................................................

–

Total expenses ...................................................

364

Expense reimbursements ($000s): 24

Net investment income ($000s): 29,429

Realized capital gains ($000s): 45,602

Realized capital losses ($000s): 0

Net unrealized appreciation during the period ($000s): 0

Net unrealized depreciation during the period ($000s): 56,501

Total income dividends for which the record date passed during the
period ($000s): 29,764

Total capital gains distributions for which the record date passed
during the period ($000s): 31,435

73.

Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.4163

Distribution of capital gains: $0.4387

Other distributions: $0.0000

S 9:

Financial Info — Condensed Balance Sheet Data

74.

Assets ($000s)

Cash .............................................................

7,748

Repurchase agreements ............................................

–

Short-term debt securities, other than repurchase agreements .....

–

Long-term debt securities, including convertible debt ............

–

Preferred, conv. preferred and adjustable-rate preferred stock ...

–

Common stock .....................................................

–

Options on equities ..............................................

–

Options on all futures ...........................................

–

Other investments ................................................

807,611

Receivables from portfolio instruments sold ......................

20,380

Receivables from affiliated persons ..............................

2

Other receivables ................................................

446

All other assets .................................................

–

Total assets .....................................................

836,187

Liabilities ($000s)
Payables for portfolio instruments purchased .....................

–

Amounts owed to affiliated persons ...............................

33

Senior long-term debt ............................................

–

Other liabilities:
Reverse repurchase agreements ..................................

–

Short sales ....................................................

–

Written options ................................................

–

All other liabilities ..........................................

20,180

Equity ($000s)
Senior equity ....................................................

–

Net assets of common shareholders ................................

815,974

Number of shares outstanding (000s): 74,870

Net Asset Value (NAV) per share (to nearest cent): $10.90

Total number of shareholder accounts: 6

Total value of assets in segregated accounts ($000s): 0

75.

Monthly average net assets during the period ($000s): 816,567

Series 10

↑Information Common to All Funds/Series ↑List of 12 Funds/Series

7.

Name: GMO Benchmark-Free Allocation Series Fund — S#35218 ⇒ GBMRX

Is this the final Form N-SAR filed for this Fund/Series? No

S10:

Custodian

15.1

Name: State Street Bank & Trust Co.

Role: Custodian

Location: Boston, MA

Type of custody: Section 17(f)(1) — Bank

S10:

Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers

24.

At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No

S10:

Sales and Repurchases

28.

Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:

1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

1,678

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

1,719

4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

10,672

Reinvestment of dividends and distributions ................

7,752

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

3,466

5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

5,800

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

6,507

6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

18,025

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

2,054

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

36,175

Reinvestment of dividends and distributions ................

7,752

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

13,746

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0

S10:

Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)

29.

Was a front-end sales load deducted from any share sales during the
period? No

34.

Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No

37.

Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No

39.

Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? No

S10:

Payment Plan for the Distribution of Fund Shares

40.

During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No

S10:

Advisory Fee

45.

Did the Registrant/Series have an advisory contract during the period? Yes

46.

Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No

47.

Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No

49.

Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No

50.

Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No

51.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No

52.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No

53.

Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? Yes

Was the limitation that applied during the period based on...
Assets? Yes

Income? No

S10:

Miscellaneous Info

55.

Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:

Overdrafts? No

Bank loans? No

56.

During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes

57.

Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No

S10:

Classification and Asset Allocation

58.

Is the Registrant/Series a Separate Account of an insurance company? No

59.

Is the Registrant/Series a management investment company? Yes

60.

Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes

61.

The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $10,000,000

62.

Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No

66.

Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No

Capital appreciation? No

Growth? No

Growth and income? No

Income? No

Total return? Yes

67.

Is the Registrant/Series a “balanced” Fund? No

68.

Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No

Located primarily in countries other than the United States? No

69.

Is the Registrant/Series an index Fund? No

S10:

Investment Practices

70.

Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In

Writing or investing in repurchase agreements? No –

Writing or investing in options on equities? No –

Writing or investing in options on debt securities? No –

Writing or investing in options on stock indices? No –

Writing or investing in interest rate futures? No –

Writing or investing in stock index futures? No –

Writing or investing in options on futures? No –

Writing or investing in options on stock index futures? No –

Writing or investing in other commodity futures? No –

Investments in restricted securities? No –

Investments in shares of other investment companies? Yes to both

Investments in securities of foreign issuers? No –

Currency exchange transactions? No –

Loaning portfolio securities? No –

Borrowing of money? No –

Purchases/sales by certain exempted affiliated persons? No –

Margin purchases? No –

Short selling? No –

S10:

Portfolio Turnover

71.

Portfolio turnover rate for the period:

Purchases ($000s): 131,698

Sales ($000s): 12,624

Monthly average Value of portfolio ($000s): 218,991

Percent turnover (lesser of Purchases or Sales, divided by Value): 6%

S10:

Financial Info — Income and Expenses

72.

The number of months covered by the values in Items 72 and 73: 10

Income ($000s)
Net interest income ..............................................

–

Net dividend income ..............................................

4,651

Account maintenance fees .........................................

–

Net other income .................................................

–

Expenses ($000s)
Advisory fees ....................................................

–

Administrator fees ...............................................

90

Salaries and other compensation ..................................

–

Shareholder Servicing Agent fees .................................

–

Custodian fees ...................................................

–

Postage ..........................................................

–

Printing expenses ................................................

–

Directors’ fees ..................................................

–

Registration fees ................................................

31

Taxes ............................................................

–

Interest .........................................................

–

Bookkeeping fees paid to anyone performing this service ..........

–

Auditing fees ....................................................

–

Legal fees .......................................................

–

Marketing/distribution payments, incl. Rule 12b-1 plan payments ..

–

Amortization of organization expenses ............................

–

Shareholder meeting expenses .....................................

–

Other expenses ...................................................

–

Total expenses ...................................................

121

Expense reimbursements ($000s): 31

Net investment income ($000s): 4,561

Realized capital gains ($000s): 6,840

Realized capital losses ($000s): 0

Net unrealized appreciation during the period ($000s): 0

Net unrealized depreciation during the period ($000s): 5,258

Total income dividends for which the record date passed during the
period ($000s): 7,048

Total capital gains distributions for which the record date passed
during the period ($000s): 3,258

73.

Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.3189

Distribution of capital gains: $0.1654

Other distributions: $0.0000

S10:

Financial Info — Condensed Balance Sheet Data

74.

Assets ($000s)

Cash .............................................................

3,138

Repurchase agreements ............................................

–

Short-term debt securities, other than repurchase agreements .....

–

Long-term debt securities, including convertible debt ............

–

Preferred, conv. preferred and adjustable-rate preferred stock ...

–

Common stock .....................................................

–

Options on equities ..............................................

–

Options on all futures ...........................................

–

Other investments ................................................

277,973

Receivables from portfolio instruments sold ......................

–

Receivables from affiliated persons ..............................

2

Other receivables ................................................

122

All other assets .................................................

–

Total assets .....................................................

281,235

Liabilities ($000s)
Payables for portfolio instruments purchased .....................

–

Amounts owed to affiliated persons ...............................

11

Senior long-term debt ............................................

–

Other liabilities:
Reverse repurchase agreements ..................................

–

Short sales ....................................................

–

Written options ................................................

–

All other liabilities ..........................................

114

Equity ($000s)
Senior equity ....................................................

–

Net assets of common shareholders ................................

281,110

Number of shares outstanding (000s): 26,505

Net Asset Value (NAV) per share (to nearest cent): $10.61

Total number of shareholder accounts: 21

Total value of assets in segregated accounts ($000s): 0

75.

Monthly average net assets during the period ($000s): 221,615

Series 17

↑Information Common to All Funds/Series ↑List of 12 Funds/Series

7.

Name: GMO Foreign Series Fund — S#35226: See Note above.

Is this the final Form N-SAR filed for this Fund/Series? No

S17:

Custodian

15.1

Name: State Street Bank & Trust Co.

Role: Custodian

Location: Boston, MA

Type of custody: Section 17(f)(1) — Bank

S17:

Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers

24.

At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No

S17:

Sales and Repurchases

28.

Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:

1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0

S17:

Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)

29.

Was a front-end sales load deducted from any share sales during the
period? No

34.

Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No

37.

Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No

39.

Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? No

S17:

Payment Plan for the Distribution of Fund Shares

40.

During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No

S17:

Advisory Fee

45.

Did the Registrant/Series have an advisory contract during the period? Yes

46.

Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No

47.

Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No

49.

Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No

50.

Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No

51.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No

52.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No

53.

Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No

S17:

Miscellaneous Info

55.

Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:

Overdrafts? No

Bank loans? No

56.

During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes

57.

Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No

S17:

Classification and Asset Allocation

58.

Is the Registrant/Series a Separate Account of an insurance company? No

59.

Is the Registrant/Series a management investment company? Yes

60.

Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes

61.

The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $10,000,000

62.

Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No

66.

Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No

Capital appreciation? No

Growth? No

Growth and income? No

Income? No

Total return? Yes

67.

Is the Registrant/Series a “balanced” Fund? No

68.

Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No

Located primarily in countries other than the United States? No

69.

Is the Registrant/Series an index Fund? No

S17:

Investment Practices

70.

Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In

Writing or investing in repurchase agreements? No –

Writing or investing in options on equities? No –

Writing or investing in options on debt securities? No –

Writing or investing in options on stock indices? No –

Writing or investing in interest rate futures? No –

Writing or investing in stock index futures? No –

Writing or investing in options on futures? No –

Writing or investing in options on stock index futures? No –

Writing or investing in other commodity futures? No –

Investments in restricted securities? No –

Investments in shares of other investment companies? Yes No

Investments in securities of foreign issuers? No –

Currency exchange transactions? No –

Loaning portfolio securities? No –

Borrowing of money? No –

Purchases/sales by certain exempted affiliated persons? No –

Margin purchases? No –

Short selling? No –

S17:

Portfolio Turnover

71.

Portfolio turnover rate for the period:

Purchases ($000s): 0

Sales ($000s): 0

Monthly average Value of portfolio ($000s): 0

Percent turnover (lesser of Purchases or Sales, divided by Value): 0%

S17:

Financial Info — Income and Expenses

72.

The number of months covered by the values in Items 72 and 73: 0

Income ($000s)
Net interest income ..............................................

–

Net dividend income ..............................................

–

Account maintenance fees .........................................

–

Net other income .................................................

–

Expenses ($000s)
Advisory fees ....................................................

–

Administrator fees ...............................................

–

Salaries and other compensation ..................................

–

Shareholder Servicing Agent fees .................................

–

Custodian fees ...................................................

–

Postage ..........................................................

–

Printing expenses ................................................

–

Directors’ fees ..................................................

–

Registration fees ................................................

–

Taxes ............................................................

–

Interest .........................................................

–

Bookkeeping fees paid to anyone performing this service ..........

–

Auditing fees ....................................................

–

Legal fees .......................................................

–

Marketing/distribution payments, incl. Rule 12b-1 plan payments ..

–

Amortization of organization expenses ............................

–

Shareholder meeting expenses .....................................

–

Other expenses ...................................................

–

Total expenses ...................................................

–

Expense reimbursements ($000s): 0

Net investment income ($000s): 0

Realized capital gains ($000s): 0

Realized capital losses ($000s): 0

Net unrealized appreciation during the period ($000s): 0

Net unrealized depreciation during the period ($000s): 0

Total income dividends for which the record date passed during the
period ($000s): 0

Total capital gains distributions for which the record date passed
during the period ($000s): 0

73.

Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000

Other distributions: $0.0000

S17:

Financial Info — Condensed Balance Sheet Data

74.

Assets ($000s)

Cash .............................................................

–

Repurchase agreements ............................................

–

Short-term debt securities, other than repurchase agreements .....

–

Long-term debt securities, including convertible debt ............

–

Preferred, conv. preferred and adjustable-rate preferred stock ...

–

Common stock .....................................................

–

Options on equities ..............................................

–

Options on all futures ...........................................

–

Other investments ................................................

–

Receivables from portfolio instruments sold ......................

–

Receivables from affiliated persons ..............................

–

Other receivables ................................................

–

All other assets .................................................

–

Total assets .....................................................

–

Liabilities ($000s)
Payables for portfolio instruments purchased .....................

–

Amounts owed to affiliated persons ...............................

–

Senior long-term debt ............................................

–

Other liabilities:
Reverse repurchase agreements ..................................

–

Short sales ....................................................

–

Written options ................................................

–

All other liabilities ..........................................

–

Equity ($000s)
Senior equity ....................................................

–

Net assets of common shareholders ................................

–

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 0

Total value of assets in segregated accounts ($000s): 0

Series 18

↑Information Common to All Funds/Series ↑List of 12 Funds/Series

7.

Name: GMO Emerging Countries Series Fund [ renamed
GMO Emerging Markets Series Fund ] — S#35227 ⇒ GECRX

Is this the final Form N-SAR filed for this Fund/Series? No

S18:

Custodian

15.1

Name: Brown Brothers Harriman & Co.

Role: Custodian

Location: Boston, MA

Type of custody: Section 17(f)(1) — Bank

S18:

Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers

24.

At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No

S18:

Sales and Repurchases

28.

Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:

1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

16

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

474

4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

449

Reinvestment of dividends and distributions ................

526

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

198

5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

270

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

799

6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

183

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

597

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

918

Reinvestment of dividends and distributions ................

526

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

2,068

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0

S18:

Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)

29.

Was a front-end sales load deducted from any share sales during the
period? No

34.

Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No

37.

Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No

39.

Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? No

S18:

Payment Plan for the Distribution of Fund Shares

40.

During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No

S18:

Advisory Fee

45.

Did the Registrant/Series have an advisory contract during the period? Yes

46.

Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No

47.

Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No

49.

Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No

50.

Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No

51.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No

52.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No

53.

Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? Yes

Was the limitation that applied during the period based on...
Assets? Yes

Income? No

S18:

Miscellaneous Info

55.

Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:

Overdrafts? No

Bank loans? No

56.

During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes

57.

Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No

S18:

Classification and Asset Allocation

58.

Is the Registrant/Series a Separate Account of an insurance company? No

59.

Is the Registrant/Series a management investment company? Yes

60.

Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes

61.

The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $10,000,000

62.

Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No

66.

Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No

Capital appreciation? No

Growth? No

Growth and income? No

Income? No

Total return? Yes

67.

Is the Registrant/Series a “balanced” Fund? No

68.

Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No

Located primarily in countries other than the United States? No

69.

Is the Registrant/Series an index Fund? No

S18:

Investment Practices

70.

Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In

Writing or investing in repurchase agreements? No –

Writing or investing in options on equities? No –

Writing or investing in options on debt securities? No –

Writing or investing in options on stock indices? No –

Writing or investing in interest rate futures? No –

Writing or investing in stock index futures? No –

Writing or investing in options on futures? No –

Writing or investing in options on stock index futures? No –

Writing or investing in other commodity futures? No –

Investments in restricted securities? No –

Investments in shares of other investment companies? Yes to both

Investments in securities of foreign issuers? No –

Currency exchange transactions? No –

Loaning portfolio securities? No –

Borrowing of money? No –

Purchases/sales by certain exempted affiliated persons? No –

Margin purchases? No –

Short selling? No –

S18:

Portfolio Turnover

71.

Portfolio turnover rate for the period:

Purchases ($000s): 16,997

Sales ($000s): 2,635

Monthly average Value of portfolio ($000s): 15,179

Percent turnover (lesser of Purchases or Sales, divided by Value): 17%

S18:

Financial Info — Income and Expenses

72.

The number of months covered by the values in Items 72 and 73: 10

Income ($000s)
Net interest income ..............................................

–

Net dividend income ..............................................

537

Account maintenance fees .........................................

–

Net other income .................................................

–

Expenses ($000s)
Advisory fees ....................................................

6

Administrator fees ...............................................

–

Salaries and other compensation ..................................

–

Shareholder Servicing Agent fees .................................

–

Custodian fees ...................................................

–

Postage ..........................................................

–

Printing expenses ................................................

–

Directors’ fees ..................................................

–

Registration fees ................................................

2

Taxes ............................................................

–

Interest .........................................................

–

Bookkeeping fees paid to anyone performing this service ..........

–

Auditing fees ....................................................

–

Legal fees .......................................................

–

Marketing/distribution payments, incl. Rule 12b-1 plan payments ..

–

Amortization of organization expenses ............................

–

Shareholder meeting expenses .....................................

–

Other expenses ...................................................

–

Total expenses ...................................................

8

Expense reimbursements ($000s): 2

Net investment income ($000s): 531

Realized capital gains ($000s): 0

Realized capital losses ($000s): 60

Net unrealized appreciation during the period ($000s): 0

Net unrealized depreciation during the period ($000s): 629

Total income dividends for which the record date passed during the
period ($000s): 531

Total capital gains distributions for which the record date passed
during the period ($000s): 32

73.

Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.3535

Distribution of capital gains: $0.0214

Other distributions: $0.0000

S18:

Financial Info — Condensed Balance Sheet Data

74.

Assets ($000s)

Cash .............................................................

127

Repurchase agreements ............................................

–

Short-term debt securities, other than repurchase agreements .....

–

Long-term debt securities, including convertible debt ............

–

Preferred, conv. preferred and adjustable-rate preferred stock ...

–

Common stock .....................................................

–

Options on equities ..............................................

–

Options on all futures ...........................................

–

Other investments ................................................

13,674

Receivables from portfolio instruments sold ......................

–

Receivables from affiliated persons ..............................

–

Other receivables ................................................

–

All other assets .................................................

–

Total assets .....................................................

13,801

Liabilities ($000s)
Payables for portfolio instruments purchased .....................

–

Amounts owed to affiliated persons ...............................

1

Senior long-term debt ............................................

–

Other liabilities:
Reverse repurchase agreements ..................................

–

Short sales ....................................................

–

Written options ................................................

–

All other liabilities ..........................................

5

Equity ($000s)
Senior equity ....................................................

–

Net assets of common shareholders ................................

13,795

Number of shares outstanding (000s): 1,450

Net Asset Value (NAV) per share (to nearest cent): $9.51

Total number of shareholder accounts: 1

Total value of assets in segregated accounts ($000s): 0

75.

Monthly average net assets during the period ($000s): 15,334

Series 19

↑Information Common to All Funds/Series ↑List of 12 Funds/Series

7.

Name: GMO Intl Dev Equity Allocation Series Fund [ renamed
GMO International Developed Equity Allocation Series Fund ] — S#41748 ⇒ GIDRX

Is this the final Form N-SAR filed for this Fund/Series? No

S19:

Custodian

15.1

Name: State Street Bank & Trust Co.

Role: Custodian

Location: Boston, MA

Type of custody: Section 17(f)(1) — Bank

S19:

Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers

24.

At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No

S19:

Sales and Repurchases

28.

Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:

1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

–

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

–

5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

9,716

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

185

6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................

252

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

127

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................

9,968

Reinvestment of dividends and distributions ................

–

Other ......................................................

–

Total NAV of shares redeemed & repurchased (inc. exchanges) ..

312

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0

S19:

Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)

29.

Was a front-end sales load deducted from any share sales during the
period? No

34.

Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No

37.

Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No

39.

Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? No

S19:

Payment Plan for the Distribution of Fund Shares

40.

During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No

S19:

Advisory Fee

45.

Did the Registrant/Series have an advisory contract during the period? Yes

46.

Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No

47.

Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No

49.

Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No

50.

Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No

51.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No

52.

Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No

53.

Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? Yes

Was the limitation that applied during the period based on...
Assets? Yes

Income? No

S19:

Miscellaneous Info

55.

Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:

Overdrafts? No

Bank loans? No

56.

During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes

57.

Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No

S19:

Classification and Asset Allocation

58.

Is the Registrant/Series a Separate Account of an insurance company? No

59.

Is the Registrant/Series a management investment company? Yes

60.

Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes

61.

The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $10,000,000

62.

Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No

66.

Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No

Capital appreciation? No

Growth? No

Growth and income? No

Income? No

Total return? Yes

67.

Is the Registrant/Series a “balanced” Fund? No

68.

Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No

Located primarily in countries other than the United States? No

69.

Is the Registrant/Series an index Fund? No

S19:

Investment Practices

70.

Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In

Writing or investing in repurchase agreements? No –

Writing or investing in options on equities? No –

Writing or investing in options on debt securities? No –

Writing or investing in options on stock indices? No –

Writing or investing in interest rate futures? No –

Writing or investing in stock index futures? No –

Writing or investing in options on futures? No –

Writing or investing in options on stock index futures? No –

Writing or investing in other commodity futures? No –

Investments in restricted securities? No –

Investments in shares of other investment companies? Yes to both

Investments in securities of foreign issuers? No –

Currency exchange transactions? No –

Loaning portfolio securities? No –

Borrowing of money? No –

Purchases/sales by certain exempted affiliated persons? No –

Margin purchases? No –

Short selling? No –

S19:

Portfolio Turnover

71.

Portfolio turnover rate for the period:

Purchases ($000s): 9,687

Sales ($000s): 192

Monthly average Value of portfolio ($000s): 10,150

Percent turnover (lesser of Purchases or Sales, divided by Value): 2%

S19:

Financial Info — Income and Expenses

72.

The number of months covered by the values in Items 72 and 73: 2

Income ($000s)
Net interest income ..............................................

–

Net dividend income ..............................................

–

Account maintenance fees .........................................

–

Net other income .................................................

–

Expenses ($000s)
Advisory fees ....................................................

–

Administrator fees ...............................................

1

Salaries and other compensation ..................................

–

Shareholder Servicing Agent fees .................................

–

Custodian fees ...................................................

–

Postage ..........................................................

–

Printing expenses ................................................

–

Directors’ fees ..................................................

–

Registration fees ................................................

1

Taxes ............................................................

–

Interest .........................................................

–

Bookkeeping fees paid to anyone performing this service ..........

–

Auditing fees ....................................................

–

Legal fees .......................................................

–

Marketing/distribution payments, incl. Rule 12b-1 plan payments ..

–

Amortization of organization expenses ............................

–

Shareholder meeting expenses .....................................

–

Other expenses ...................................................

–

Total expenses ...................................................

1

Expense reimbursements ($000s): 1

Net investment income ($000s): -1

Realized capital gains ($000s): 9

Realized capital losses ($000s): 0

Net unrealized appreciation during the period ($000s): 947

Net unrealized depreciation during the period ($000s): 0

Total income dividends for which the record date passed during the
period ($000s): 0

Total capital gains distributions for which the record date passed
during the period ($000s): 0

73.

Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000

Other distributions: $0.0000

S19:

Financial Info — Condensed Balance Sheet Data

74.

Assets ($000s)

Cash .............................................................

118

Repurchase agreements ............................................

–

Short-term debt securities, other than repurchase agreements .....

–

Long-term debt securities, including convertible debt ............

–

Preferred, conv. preferred and adjustable-rate preferred stock ...

–

Common stock .....................................................

–

Options on equities ..............................................

–

Options on all futures ...........................................

–

Other investments ................................................

10,450

Receivables from portfolio instruments sold ......................

–

Receivables from affiliated persons ..............................

–

Other receivables ................................................

42

All other assets .................................................

–

Total assets .....................................................

10,610

Liabilities ($000s)
Payables for portfolio instruments purchased .....................

–

Amounts owed to affiliated persons ...............................

–

Senior long-term debt ............................................

–

Other liabilities:
Reverse repurchase agreements ..................................

–

Short sales ....................................................

–

Written options ................................................

–

All other liabilities ..........................................

–

Equity ($000s)
Senior equity ....................................................

–

Net assets of common shareholders ................................

10,610

Number of shares outstanding (000s): 965

Net Asset Value (NAV) per share (to nearest cent): $11.00

Total number of shareholder accounts: 1

Total value of assets in segregated accounts ($000s): 0

75.

Monthly average net assets during the period ($000s): 10,028

Signature

↑Top of Form N-SAR

GMO Series Trust – ‘NSAR-BT’ for 2/28/15

On: Wednesday, 4/29/15, at 4:01pm ET · Effective: 4/29/15 · For: 2/28/15 · Accession #: 1410368-15-546 · File #: 811-22564

Annual-Transition Report by an Investment Company — Form N-SAR — ICA’40
Filing Table of Contents

‘NSAR-BT’ — Annual-Transition Report by an Investment Company

GMO Series Trust – ‘NSAR-BT’ for 2/28/15

On: Wednesday, 4/29/15, at 4:01pm ET · Effective: 4/29/15 · For: 2/28/15 · Accession #: 1410368-15-546 · File #: 811-22564

Annual-Transition Report by an Investment Company — Form N-SAR — ICA’40Filing Table of Contents

‘NSAR-BT’ — Annual-Transition Report by an Investment Company

Annual-Transition Report by an Investment Company — Form N-SAR — ICA’40
Filing Table of Contents