HELIOS STRATEGIC INCOME FD I

CUSIP: 42328A203 Class: COM NEW

Grantham, Mayo, Van Otterloo & Co. LLC's Holding History (CIK: 0001352662)

Note: Option positions (PUT/CALL) are excluded.

Q2 2014
Shares 68,700 Value ($000) $473 Avg Close — Range —
Q1 2014
Shares 68,700 Value ($000) $466 Avg Close — Range —
Q4 2013
Shares 56,421 Value ($000) $376 Avg Close — Range —