UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04347

GMO Trust

(Exact name of the registrant as specified in charter)

40 Rowes Wharf, Boston, MA	02110
(Address of principal executive offices)	(Zip Code)

Sheppard N. Burnett, Chief Executive Officer,

40 Rowes Wharf, Boston, MA 02110

(Name and address of agent for services)

Registrant’s telephone number, including area code: 617-346-7646

Date of fiscal year end: 02/29/16

Date of reporting period: 08/31/15

Item 1. Reports to Stockholders.

The semi-annual reports for each series of the registrant for the period ended August 31, 2015 are filed herewith.

GMO Trust

Semiannual Report

August 31, 2015

Asset Allocation Bond Fund

Benchmark-Free Bond Fund

Core Plus Bond Fund

Currency Hedged International Bond Fund

Debt Opportunities Fund

Emerging Country Debt Fund

Global Bond Fund

International Bond Fund

U.S. Treasury Fund

World Opportunity Overlay Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q maybe reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus or private placement memorandum, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com and the private placement memorandum can be obtained by calling 1-617-346-7646 (collect).

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus or private placement memorandum regarding specific principal risks for each Fund. General risks may include: market risk-fixed income investments, management and operational risk, market risk-asset backed securities, credit risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Asset Allocation Bond Fund
Investment Concentration Summary	1
Schedule of Investments	2
Benchmark-Free Bond Fund
Investment Concentration Summary	19
Schedule of Investments	20
Core Plus Bond Fund
Investment Concentration Summary	35
Schedule of Investments	36
Currency Hedged International Bond Fund
Investment Concentration Summary	50
Schedule of Investments	51
Debt Opportunities Fund
Investment Concentration Summary	65
Schedule of Investments	66
Emerging Country Debt Fund
Investment Concentration Summary	74
Schedule of Investments	75
Global Bond Fund
Investment Concentration Summary	86
Schedule of Investments	87
International Bond Fund
Investment Concentration Summary	100
Schedule of Investments	101
U.S. Treasury Fund
Investment Concentration Summary	104
Schedule of Investments	105
World Opportunity Overlay Fund
Investment Concentration Summary	106
Schedule of Investments	107
Portfolio, Counterparty and Currency Abbreviations	109
Fund Financial Statements:
Statements of Assets and Liabilities	110
Statements of Operations	114
Statements of Changes in Net Assets	116
Statements of Cash Flows	121
Financial Highlights	122
Notes to Financial Statements	132
Board Review of Management Agreements	185
Fund Expenses	196

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		58.7	%
Short-Term Investments		25.8
Options Purchased		13.3
Mutual Funds		3.1
Forward Currency Contracts		2.5
Futures Contracts		0.4
Swap Contracts		0.0	^
Written Options		(6.2	)
Other		2.4
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

^ Rounds to 0.0%.

1

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 58.7%
		Corporate Debt — 3.3%
	27,900,000	Apple, Inc., 3.45%, due 02/09/45		23,522,434
EUR	45,177,000	Berkshire Hathaway, Inc., 1.63%, due 03/16/35		42,338,261
	6,774,000	Exxon Mobil Corp., 3.57%, due 03/06/45		6,305,689
	11,517,000	Microsoft Corp., 4.00%, due 02/12/55		10,356,662
		Total Corporate Debt		82,523,046
		Foreign Government Obligations — 0.5%
EUR	13,200,000	United Mexican States, 4.00%, due 03/15/2115		12,666,443
		U.S. Government — 54.9%
	436,519,800	U.S. Treasury Bond, 3.13%, due 11/15/41		452,593,769
	103,860,463	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/24 (a)		99,637,081
	25,854,088	U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/23 (a)		25,001,032
	191,822,842	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (a)		184,789,274
	133,724,663	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 (a)		131,024,094
	137,749,284	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/24 (a)		137,874,773
	32,140,594	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		35,755,158
	18,321,680	U.S. Treasury Inflation Indexed Bond, 2.00%, due 01/15/26 (a)		20,702,308
	31,118,423	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/27 (a)		36,650,843
	46,433,011	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/25 (a)		53,787,303
	110,973,629	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		133,994,886
	12,047,118	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (a)		16,714,906
	121,870,800	U.S. Treasury Strip Principal, due 11/15/41		54,871,962
		Total U.S. Government		1,383,397,389
		TOTAL DEBT OBLIGATIONS (COST $1,586,094,772)		1,478,586,878
		MUTUAL FUNDS — 3.1%
		United States — 3.1%
		Affiliated Issuers — 3.1%
	3,133,576	GMO U.S. Treasury Fund		78,339,401
		TOTAL MUTUAL FUNDS (COST $78,339,401)		78,339,401

Principal Amount		Description	Value ($)
		OPTIONS PURCHASED — 13.3%
		Currency Options — 1.6%
EUR	42,500,000	EUR Call/USD Put, Expires 09/17/15, Strike 1.08, (OTC) (CP-DB)		1,980,052
EUR	42,500,000	EUR Put/USD Call, Expires 09/17/15, Strike 1.08, (OTC) (CP-DB)		37,581
EUR	206,624,000	EUR Put/USD Call, Expires 02/04/16, Strike 1.03, (OTC) (CP-GS)		1,308,636
EUR	4,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/24/16, Strike 1.10, (OTC) (CP-JPM)		1,380
EUR	11,965,200	EUR Put/USD Call, One-Touch Binary Option, Expires 02/24/16, Strike 1.10, (OTC) (CP-DB)		4,128,728
EUR	8,337,600	EUR Put/USD Call, One-Touch Binary Option, Expires 02/29/16, Strike 1.10, (OTC) (CP-JPM)		2,876,983
EUR	3,573,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/29/16, Strike 1.10, (OTC) (CP-JPM)		1,232,904
USD	108,732,000	USD Put/CHF Call, Expires 03/01/16, Strike 0.93, (OTC) (CP-GS)		1,761,567
EUR	241,831,000	EUR Put/USD Call, Expires 03/10/16, Strike 0.98, (OTC) (CP-JPM)		835,822
EUR	562,564,000	EUR Put/USD Call, Expires 03/10/16, Strike 1.05, (OTC) (CP-GS)		5,954,879
EUR	201,363,000	EUR Put/USD Call, Expires 03/14/16, Strike 1.08, (OTC) (CP-JPM)		3,490,624
EUR	402,727,000	EUR Put/USD Call, Expires 03/14/16, Strike 0.99, (OTC) (CP-JPM)		1,775,595
USD	53,706,000	USD Call/CHF Put, Expires 03/23/16, Strike 0.93, (OTC) (CP-JPM)		2,457,694
USD	53,578,000	USD Call/CHF Put, Expires 03/23/16, Strike 0.94, (OTC) (CP-JPM)		2,307,872
USD	53,706,000	USD Put/CHF Call, Expires 03/23/16, Strike 0.93, (OTC) (CP-JPM)		1,096,945
USD	53,578,000	USD Put/CHF Call, Expires 03/23/16, Strike 0.94, (OTC) (CP-JPM)		1,184,395
EUR	11,940,000	EUR Put/USD Call, One-Touch Binary Option, Expires 03/31/16, Strike 1.10, (OTC) (CP-JPM)		4,120,032
EUR	11,949,600	EUR Put/USD Call, One-Touch Binary Option, Expires 06/03/16, Strike 1.10, (OTC) (CP-JPM)		4,156,868
		Total Currency Options		40,708,557

2 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Principal Amount		Expiration Date		Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Counterparty	Value ($)
				Options on Interest Rate Swaps — 8.6%
USD	90,073,000		09/21/2015	Call-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Receive		2.40%	JPM		146,549
USD	90,073,000		09/21/2015	Put-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Pay		2.40%	JPM		6,271,152
USD	44,728,000		09/23/2015	Call-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Receive		2.39%	JPM		73,264
USD	44,728,000		09/23/2015	Put-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Pay		2.39%	JPM		3,288,447
EUR	159,772,000		11/20/2015	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		1.28%	MSCI		18,469,916
EUR	68,363,000		11/24/2015	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.31%	MSCI		950,788
EUR	68,363,000		11/24/2015	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		1.31%	MSCI		7,613,900
EUR	396,634,000		02/22/2016	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		1.56%	GS		35,280,845
GBP	37,382,000		03/11/2016	Call-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Receive		2.34%	MSCI		3,764,885
GBP	37,382,000		03/11/2016	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.34%	MSCI		2,517,648
USD	218,726,500		03/11/2016	Call-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Receive		2.75%	GS		2,898,345
USD	218,726,500		03/11/2016	Put-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Pay		2.75%	GS		7,733,075
GBP	92,879,000		02/09/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.61%	MSCI		3,247,240
GBP	178,503,000		02/17/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.81%	GS		4,581,193
GBP	69,527,000		02/17/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.95%	MSCI		2,306,834
GBP	37,382,000		03/13/2017	Call-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Receive		2.39%	MSCI		5,702,482
GBP	37,382,000		03/13/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.39%	MSCI		4,504,979
GBP	158,282,000		03/20/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.89%	GS		3,599,051
GBP	85,448,000		04/10/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.58%	GS		3,250,726
GBP	74,034,000		05/12/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.81%	MSCI		3,322,043
EUR	186,688,000		05/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		12,215,272
GBP	176,159,000		05/19/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.91%	GS		4,076,366
GBP	111,514,000		08/10/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.68%	MSCI		3,902,865
GBP	74,343,000		08/10/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		3.00%	MSCI		2,568,725

See accompanying notes to the financial statements. 3

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Principal Amount		Expiration Date		Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Counterparty	Value ($)
				Options on Interest Rate Swaps — continued
EUR	186,688,000		08/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		12,747,801
EUR	186,688,000		11/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		13,214,968
EUR	757,576,000		03/06/2018	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	GS		35,602,789
EUR	203,649,000		03/12/2018	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		1.83%	MSCI		11,961,447
					Total Options on Interest Rate Swaps						215,813,595

Number of Contracts		Description	Value ($)
		Quanto Options — 3.1%
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 10/04/19, Strike 3,000 (b)		1,768,622
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 12/27/19, Strike 3,000 (b)		1,804,534
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 05/15/20, Strike 3,000 (b)		1,785,463
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 02/07/20, Strike 3,000 (b)		1,821,689
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 04/24/20, Strike 3,000 (b)		1,855,842
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 08/16/19, Strike 3,000 (b)		1,741,936
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 12/13/19, Strike 3,000 (b)		1,796,986
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 03/27/20, Strike 3,000 (b)		1,849,616
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 11/15/19, Strike 3,000 (b)		1,785,668
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 05/08/20, Strike 3,000 (b)		1,804,225
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 10/25/19, Strike 3,000 (b)		1,778,740
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 09/20/19, Strike 3,000 (b)		1,764,265
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 11/08/19, Strike 3,000 (b)		1,782,505
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 02/14/20, Strike 3,000 (b)		1,825,362
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 01/03/20, Strike 3,000 (b)		1,808,484
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 04/03/20, Strike 3,000 (b)		1,853,884
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 10/11/19, Strike 3,000 (b)		1,769,818
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 04/17/20, Strike 3,000 (b)		1,853,408
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 08/02/19, Strike 3,000 (b)		1,740,334

Number of Contracts		Description	Value ($)
		Quanto Options — continued
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 10/18/19, Strike 3,000 (b)		1,774,248
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 11/29/19, Strike 3,000 (b)		1,790,385
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 11/22/19, Strike 3,000 (b)		1,790,472
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 01/24/20, Strike 3,000 (b)		1,814,430
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 09/27/19, Strike 3,000 (b)		1,763,961
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 11/01/19, Strike 3,000 (b)		1,782,779
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 02/21/20, Strike 3,000 (b)		1,830,471
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 02/28/20, Strike 3,000 (b)		1,835,320
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 12/20/19, Strike 3,000 (b)		1,802,304
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 01/17/20, Strike 3,000 (b)		1,816,479
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 08/30/19, Strike 3,000 (b)		1,750,870
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 12/06/19, Strike 3,000 (b)		1,792,790
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 08/23/19, Strike 3,000 (b)		1,746,573
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 07/26/19, Strike 3,000 (b)		1,736,364
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 01/31/20, Strike 3,000 (b)		1,818,690
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 09/13/19, Strike 3,000 (b)		1,759,924
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 09/06/19, Strike 3,000 (b)		1,755,466
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 03/06/20, Strike 3,000 (b)		1,839,269
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 03/20/20, Strike 3,000 (b)		1,848,193

4 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Number of Contracts / Shares / Par Value ($)		Description	Value ($)
		Quanto Options — continued
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 08/09/19, Strike 3,000 (b)		1,739,336
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 04/09/20, Strike 3,000 (b)		1,850,032
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 01/10/20, Strike 3,000 (b)		1,811,645
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 04/30/20, Strike 3,000 (b)		1,838,456
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 03/13/20, Strike 3,000 (b)		1,843,411
	4,050	Euro STOXX 50, (OTC) (CP-GS), Expires 07/19/19, Strike 3,000 (b)		1,732,286
		Total Quanto Options		79,055,535
		TOTAL OPTIONS PURCHASED (COST $356,761,364)		335,577,687
		SHORT-TERM INVESTMENTS — 25.8%
		Money Market Funds — 0.9%
	22,577,524	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (c)		22,577,524
		U.S. Government — 24.9%
	121,000,000	U.S. Treasury Bill, 0.13%, due 01/07/16 (d) (e)		120,943,251
	85,000,000	U.S. Treasury Bill, 0.16%, due 01/14/16 (d)		84,950,530
	98,000,000	U.S. Treasury Note, 0.25%, due 11/30/15		98,012,740
	90,000,000	U.S. Treasury Note, 0.25%, due 12/15/15		90,014,040
	121,000,000	U.S. Treasury Note, 0.25%, due 12/31/15		121,000,000
	70,000,000	U.S. Treasury Note, 0.38%, due 01/31/16		70,035,560
	43,000,000	U.S. Treasury Note, 2.13%, due 12/31/15		43,262,601
		Total U.S. Government		628,218,722
		TOTAL SHORT-TERM INVESTMENTS (COST $650,969,587)		650,796,246
		TOTAL INVESTMENTS — 100.9% (Cost $2,672,165,124)		2,543,300,212
		Other Assets and Liabilities (net) — (0.9%)		(22,773,232	)
		TOTAL NET ASSETS — 100.0%		$2,520,526,980

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/24/2016	BCLY		BRL	211,106,971		USD	61,897,312	$	7,411,002
02/17/2016	GS		CHF	549,180,591		USD	597,374,465		25,578,006
03/03/2016	GS		CHF	50,354,800		USD	51,466,476		(995,440	)
10/23/2015	JPM		EUR	1,213,884,000		USD	1,309,031,218		(54,192,857	)
10/26/2015	JPM		EUR	318,144,000		USD	351,905,163		(5,396,579	)
10/30/2015	JPM		EUR	166,301,000		USD	190,710,661		3,928,796
11/02/2015	JPM		EUR	153,113,000		USD	174,346,711		2,368,570
11/16/2015	JPM		EUR	923,529,000		USD	1,065,475,407		27,899,350
02/08/2016	GS		EUR	133,616,000		USD	144,537,419		(5,826,244	)
02/09/2016	DB		EUR	57,966,000		USD	62,748,195		(2,484,671	)
02/17/2016	GS		EUR	56,582,000		USD	61,227,382		(2,458,188	)
03/14/2016	GS		EUR	213,373,000		USD	227,893,033		(12,403,829	)
03/14/2016	JPM		EUR	184,038,000		USD	199,749,324		(7,510,985	)
03/16/2016	JPM		EUR	181,226,000		USD	193,911,648		(10,191,552	)
03/27/2017	DB		EUR	7,635,000		USD	8,375,595		(334,757	)
11/07/2017	GS		EUR	238,995,000		USD	262,404,560		(12,961,269	)
12/22/2017	JPM		EUR	62,184,000		USD	68,688,446		(3,125,994	)
09/28/2015	GS		GBP	75,073,015		USD	115,763,802		581,286
09/28/2015	JPM		GBP	2,741,323		USD	4,250,638		44,699
11/18/2015	GS		GBP	247,935,000		USD	362,604,938		(17,691,689	)
12/18/2015	GS		GBP	162,778,000		USD	241,258,080		(8,385,994	)
09/28/2015	DB		USD	19,670,532		GBP	12,658,000		(249,702	)
09/28/2015	GS		USD	63,537,151		GBP	40,538,000		(1,340,784	)
09/28/2015	JPM		USD	36,381,618		GBP	23,400,000		(479,625	)
10/23/2015	JPM		USD	1,355,262,567		EUR	1,238,139,000		35,200,520
10/26/2015	BOA		USD	112,158,488		EUR	100,049,051		204,782
10/26/2015	DB		USD	111,864,114		EUR	100,064,060		516,012
10/26/2015	GS		USD	111,792,551		EUR	100,059,056		581,955
10/26/2015	JPM		USD	406,729,858		EUR	359,089,000		(3,443,531	)
10/26/2015	MSCI		USD	112,118,777		EUR	100,064,060		261,349
10/30/2015	JPM		USD	184,931,601		EUR	166,301,000		1,850,264
11/02/2015	JPM		USD	174,030,379		EUR	153,113,000		(2,052,238	)
11/16/2015	DB		USD	92,288,313		EUR	84,005,000		2,090,506
11/16/2015	JPM		USD	992,920,657		EUR	925,246,000		46,584,434
11/18/2015	GS		USD	367,116,381		GBP	247,935,000		13,180,245
12/18/2015	GS		USD	240,705,002		GBP	162,778,000		8,939,072
02/08/2016	GS		USD	142,234,232		EUR	133,616,000		8,129,430
02/09/2016	DB		USD	4,751,636		EUR	4,396,000		195,465
02/17/2016	GS		USD	523,143,865		CHF	489,911,060		(13,057,721	)
03/14/2016	GS		USD	227,615,648		EUR	213,373,000		12,681,214
03/14/2016	JPM		USD	195,301,126		EUR	184,038,000		11,959,183
03/16/2016	JPM		USD	194,392,069		EUR	181,226,000		9,711,131
03/24/2016	JPM		USD	61,831,182		BRL	211,106,971		(7,344,872	)
03/24/2016	JPM		USD	10,747,444		EUR	9,788,200		278,477
03/29/2016	GS		USD	6,648,728		EUR	6,067,000		186,259
03/29/2016	JPM		USD	6,475,624		EUR	5,870,600		138,102
11/07/2017	GS		USD	263,778,782		EUR	238,995,000		11,587,048
12/22/2017	JPM		USD	69,205,942		EUR	62,184,000		2,608,499
								$	62,767,135

See accompanying notes to the financial statements. 5

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Sales
3,475	Euro STOXX 50	September 2015	$	127,026,793	$	10,980,372

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Currency Options

Principal Amount		Expiration Date		Description	Premiums		Market Value
Put     EUR	42,500,000		09/17/2015	EUR Put/USD Call, Strike 1.08, (OTC) (CP-GS)	$	905,508	$	(65,147	)
Call    EUR	42,500,000		09/17/2015	EUR Call/USD Put, Strike 1.08, (OTC) (CP-GS)		905,508		(2,007,617	)
Call    EUR	11,965,200		02/24/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.21, (OTC) (CP-DB)		4,071,818		(2,383,249	)
Call    EUR	4,000		02/24/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.21, (OTC) (CP-JPM)		1,369		(797	)
Call    EUR	8,337,600		02/29/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		1,207,118		(2,385,791	)
Call    EUR	3,573,000		02/29/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		499,991		(992,337	)
Call    EUR	241,831,000		03/10/2016	EUR Call/USD Put, Strike 1.14, (OTC) (CP-JPM)		3,672,399		(6,503,401	)
Call    EUR	402,727,000		03/14/2016	EUR Call/USD Put, Strike 1.15, (OTC) (CP-JPM)		5,808,694		(9,322,213	)
Call    EUR	11,940,000		03/31/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		1,920,631		(3,785,070	)
Call    EUR	11,949,600		06/03/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.18, (OTC) (CP-JPM)		2,438,768		(4,559,145	)
					$	21,431,804	$	(32,004,767	)

Written Options on Interest Rate Swaps

Principal Amount		Expiration Date		Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate	Counterparty	Premiums		Market Value
EUR	159,772,000		11/20/2015	Put-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Pay	0.81%	MSCI	$	2,280,838	$	(6,492,565	)
EUR	152,083,125		12/14/2015	Call-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Receive	0.69%	MSCI		3,149,341		(250,529	)
EUR	152,083,125		12/14/2015	Put-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Pay	0.69%	MSCI		3,149,341		(8,318,488	)
GBP	37,382,000		03/11/2016	Put-OTC 11-Year Interest Rate Swap	6 Month GBP LIBOR	Pay	2.12%	MSCI		1,697,289		(1,309,877	)
GBP	37,382,000		03/11/2016	Call-OTC 11-Year Interest Rate Swap	6 Month GBP LIBOR	Receive	2.12%	MSCI		1,697,289		(1,285,670	)
EUR	247,417,000		06/01/2016	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive	0.93%	GS		7,308,893		(2,373,259	)
EUR	248,033,000		07/07/2016	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive	0.99%	GS		6,618,848		(2,952,529	)
EUR	250,613,000		09/01/2016	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive	0.95%	GS		4,440,092		(3,292,870	)
EUR	246,230,000		12/16/2016	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive	0.93%	GS		6,418,083		(3,857,524	)

6 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Written Options on Interest Rate Swaps — continued

Principal Amount			Expiration Date		Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate	Counterparty	Premiums		Market Value
	GBP	174,688,000		01/27/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive	1.53%	GS	$	7,730,388	$	(4,608,734	)
	GBP	92,879,000		02/09/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive	1.61%	MSCI		3,886,559		(2,775,347	)
	GBP	69,527,000		02/17/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive	1.95%	MSCI		3,800,982		(3,847,639	)
	GBP	178,503,000		02/17/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive	1.81%	GS		9,608,265		(6,810,570	)
	GBP	37,382,000		03/13/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive	2.25%	MSCI		2,395,187		(2,127,410	)
	GBP	37,382,000		03/13/2017	Put-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Pay	2.25%	MSCI		2,395,187		(2,312,232	)
	GBP	158,282,000		03/20/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive	1.89%	GS		8,395,545		(6,827,948	)
	GBP	85,448,000		04/10/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive	1.58%	GS		4,398,419		(2,626,071	)
	GBP	74,034,000		05/12/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive	1.81%	MSCI		4,527,613		(3,723,296	)
	EUR	93,344,000		05/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive	1.05%	MSCI		3,023,363		(2,355,110	)
	GBP	176,159,000		05/19/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive	1.91%	GS		9,806,792		(8,140,026	)
	GBP	74,343,000		08/10/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive	1.50%	MSCI		3,470,807		(2,807,721	)
	GBP	111,514,000		08/10/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive	1.68%	MSCI		5,495,420		(4,257,080	)
	EUR	186,688,000		08/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive	1.05%	MSCI		6,958,443		(5,069,289	)
	EUR	186,688,000		11/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive	1.05%	MSCI		7,320,197		(5,500,842	)
	EUR	757,576,000		03/06/2018	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive	1.05%	GS		25,234,477		(20,946,818	)
	EUR	407,298,000		03/12/2018	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive	0.83%	MSCI		15,212,569		(8,802,777	)
										$	160,420,227	$	(123,672,221	)

See accompanying notes to the financial statements. 7

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Swap Contracts

Basis Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	180,603,000	USD	2/13/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR	$	1,587,066
	89,878,000	USD	2/23/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		622,309
	91,728,000	USD	3/5/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		509,579
	92,725,000	USD	3/12/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		402,393
	172,838,000	USD	3/23/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		928,163
							$	4,049,510
						Premiums to (Pay) Receive	$	—

Correlation Swaps

Notional Amount		Expiration Date	Description	Net Unrealized Appreciation/ (Depreciation)
585,463	USD	7/19/2019	If the realized correlation of the Euro STOXX 50 and the EUR/USD FX rate minus the strike price of -30% is positive, Fund receives the difference; if negative, Fund pays the difference. (CP-GS) (b)	$	(5,657,686	)
231,990	USD	1/6/2020	If the realized correlation of the Euro STOXX 50 and the EUR/USD FX rate minus the strike price of -40% is positive, Fund receives the difference; if negative, Fund pays the difference. (CP-GS) (b)		(59,284	)
				$	(5,716,970	)
			Premiums to (Pay) Receive	$	—

Forward Starting Cross-Currency Basis Swaps
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	7,363,134,000	JPY	1/19/2016	1/19/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	21,792
	7,363,054,000	JPY	1/22/2016	1/22/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		21,137
	7,363,054,000	JPY	1/25/2016	1/25/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		20,923
	7,363,054,000	JPY	1/26/2016	1/26/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		20,736
	7,363,054,000	JPY	1/28/2016	1/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		16,307
	7,363,054,000	JPY	2/1/2016	2/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		18,973
	7,363,054,000	JPY	2/2/2016	2/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		19,167
	7,363,054,000	JPY	2/5/2016	2/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		18,619
	7,363,054,000	JPY	2/8/2016	2/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		18,703
	7,363,054,000	JPY	2/9/2016	2/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		18,654
	72,119,587,000	JPY	3/9/2016	3/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(259,018	)
	75,075,878,000	JPY	3/10/2016	3/10/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(524,454	)
	101,070,277,000	JPY	3/11/2016	3/11/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(743,976	)
	107,196,730,000	JPY	3/14/2016	3/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(827,474	)
	12,487,890,000	JPY	11/1/2016	11/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		10,562

8 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	12,487,890,000	JPY	11/2/2016	11/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	10,692
	12,487,890,000	JPY	11/3/2016	11/3/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(4,570	)
	12,487,890,000	JPY	11/7/2016	11/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		10,722
	12,487,890,000	JPY	11/8/2016	11/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		10,035
	7,568,420,000	JPY	11/9/2016	11/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		14,195
	7,568,420,000	JPY	11/10/2016	11/10/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		543
	7,568,420,000	JPY	11/14/2016	11/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		14,713
	7,568,420,000	JPY	11/15/2016	11/15/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		14,453
	7,568,420,000	JPY	11/16/2016	11/16/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		14,449
	11,430,840,000	JPY	11/17/2016	11/17/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(32,240	)
	11,430,840,000	JPY	11/18/2016	11/18/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(25,962	)
	11,430,840,000	JPY	11/21/2016	11/21/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(17,736	)
	11,430,840,000	JPY	11/22/2016	11/22/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(23,239	)
	11,430,840,000	JPY	11/25/2016	11/25/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(25,126	)
	9,525,700,000	JPY	11/28/2016	11/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		23,206
	9,525,700,000	JPY	11/29/2016	11/29/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		23,570
	9,525,700,000	JPY	11/30/2016	11/30/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		23,941
	9,525,700,000	JPY	12/1/2016	12/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		12,990
	9,525,700,000	JPY	12/2/2016	12/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		18,454
	9,525,700,000	JPY	12/5/2016	12/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		10,107
	9,525,700,000	JPY	12/6/2016	12/6/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		10,343
	9,525,700,000	JPY	12/7/2016	12/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		10,581
	9,525,700,000	JPY	12/8/2016	12/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(707	)
	9,525,700,000	JPY	12/9/2016	12/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		4,796
	11,430,840,000	JPY	12/12/2016	12/12/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(13,300	)
	11,430,840,000	JPY	12/13/2016	12/13/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(12,794	)
	11,430,840,000	JPY	12/14/2016	12/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(12,476	)
	11,430,840,000	JPY	12/15/2016	12/15/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(25,824	)
	11,430,840,000	JPY	12/16/2016	12/16/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(19,178	)
	7,568,420,000	JPY	1/10/2017	1/10/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		14,238
	7,568,420,000	JPY	1/11/2017	1/11/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		14,065
	7,568,420,000	JPY	1/12/2017	1/12/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		4,902
	7,568,420,000	JPY	1/13/2017	1/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		9,085
	7,568,420,000	JPY	1/17/2017	1/17/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		13,148
	7,547,000,000	JPY	1/18/2017	1/18/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(15,845	)
	12,487,890,000	JPY	1/18/2017	1/18/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		10,330
	12,487,890,000	JPY	1/19/2017	1/19/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(12,866	)
	12,487,890,000	JPY	1/20/2017	1/20/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,908	)
	12,487,890,000	JPY	1/23/2017	1/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		9,276
	7,547,000,000	JPY	1/24/2017	1/24/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(16,773	)
	12,487,890,000	JPY	1/24/2017	1/24/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		9,011
	7,547,000,000	JPY	1/25/2017	1/25/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(16,780	)
	7,547,000,000	JPY	1/26/2017	1/26/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(26,175	)

See accompanying notes to the financial statements. 9

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	7,547,000,000	JPY	1/30/2017	1/30/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(17,732	)
	6,770,429,000	JPY	1/31/2017	1/31/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(61,229	)
	6,770,429,000	JPY	2/1/2017	2/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(61,218	)
	6,770,429,000	JPY	2/2/2017	2/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(69,301	)
	6,770,429,000	JPY	2/6/2017	2/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(61,304	)
	6,770,429,000	JPY	2/7/2017	2/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(61,167	)
	6,770,429,000	JPY	2/8/2017	2/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(61,030	)
	6,770,429,000	JPY	2/9/2017	2/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(69,116	)
	6,770,429,000	JPY	2/13/2017	2/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(61,263	)
	6,770,429,000	JPY	2/14/2017	2/14/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(61,111	)
	6,770,429,000	JPY	2/15/2017	2/15/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(61,071	)
	4,016,383,300	JPY	2/21/2017	2/21/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(41,603	)
	4,016,383,300	JPY	2/21/2017	2/21/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(41,603	)
	4,016,383,300	JPY	2/22/2017	2/22/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(41,501	)
	4,016,383,300	JPY	2/22/2017	2/22/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(41,501	)
	4,016,383,300	JPY	2/23/2017	2/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(46,298	)
	4,016,383,300	JPY	2/23/2017	2/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(46,298	)
	4,016,383,300	JPY	2/27/2017	2/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(41,557	)
	4,016,383,300	JPY	2/27/2017	2/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(41,557	)
	4,016,383,300	JPY	3/1/2017	3/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(41,334	)
	4,016,383,300	JPY	3/1/2017	3/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(41,334	)
	4,016,383,300	JPY	3/2/2017	3/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(46,276	)
	4,016,383,300	JPY	3/2/2017	3/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(46,276	)
	36,243,756,000	JPY	3/3/2017	3/3/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(460,001	)
	4,016,383,300	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(40,566	)
	10,265,425,000	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(124,643	)
	4,016,383,300	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(40,566	)
	4,016,383,300	JPY	3/7/2017	3/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(40,378	)
	4,016,383,300	JPY	3/7/2017	3/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(40,378	)
	4,016,383,300	JPY	3/8/2017	3/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(40,195	)
	4,016,383,300	JPY	3/8/2017	3/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(40,195	)
	4,016,383,300	JPY	3/9/2017	3/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(44,999	)
	4,016,383,300	JPY	3/9/2017	3/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(44,999	)
	7,336,598,700	JPY	3/10/2017	3/10/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(118,019	)
	7,336,598,700	JPY	3/13/2017	3/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(112,405	)
	7,336,598,700	JPY	3/14/2017	3/14/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(112,049	)
	7,336,598,700	JPY	3/15/2017	3/15/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(111,698	)
	7,336,598,700	JPY	3/16/2017	3/16/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(120,478	)
	7,336,598,700	JPY	3/27/2017	3/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(109,618	)
	7,336,598,700	JPY	3/28/2017	3/28/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(109,632	)
	7,336,598,700	JPY	3/29/2017	3/29/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(109,652	)
	7,336,598,700	JPY	4/3/2017	4/3/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(109,132	)
	7,336,598,700	JPY	4/4/2017	4/4/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(109,130	)

10 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	7,523,473,400	JPY	1/9/2018	1/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(100,667	)
	7,523,473,400	JPY	1/10/2018	1/10/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(100,656	)
	7,523,473,400	JPY	1/16/2018	1/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(99,398	)
	7,523,473,400	JPY	1/17/2018	1/17/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(99,393	)
	7,523,473,400	JPY	1/23/2018	1/23/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(98,433	)
	9,412,432,000	JPY	1/24/2018	1/24/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(167,944	)
	9,412,432,000	JPY	1/25/2018	1/25/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(180,064	)
	9,412,432,000	JPY	1/29/2018	1/29/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(167,261	)
	9,412,432,000	JPY	1/30/2018	1/30/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(167,100	)
	9,412,432,000	JPY	1/31/2018	1/31/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(166,940	)
	9,412,432,000	JPY	2/1/2018	2/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(179,105	)
	9,192,457,000	JPY	2/5/2018	2/5/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(216,642	)
	9,192,457,000	JPY	2/6/2018	2/6/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(216,493	)
	9,192,457,000	JPY	2/7/2018	2/7/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(216,345	)
	9,192,457,000	JPY	2/8/2018	2/8/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(228,412	)
	9,192,457,000	JPY	2/14/2018	2/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(215,940	)
	9,192,457,000	JPY	2/20/2018	2/20/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(215,888	)
	7,523,473,400	JPY	2/21/2018	2/21/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(203,506	)
	7,523,473,400	JPY	2/22/2018	2/22/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(213,571	)
	7,523,473,400	JPY	2/26/2018	2/26/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(203,746	)
	7,523,473,400	JPY	2/27/2018	2/27/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(203,770	)
	7,523,473,400	JPY	2/28/2018	2/28/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(204,058	)
	7,523,473,400	JPY	3/1/2018	3/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(209,147	)
	761,150,500	EUR	3/2/2018	3/2/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(295,372	)
	7,523,473,400	JPY	3/5/2018	3/5/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(204,089	)
	889,786,000	EUR	3/6/2017	3/6/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(946,548	)
	7,523,473,400	JPY	3/6/2018	3/6/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(204,128	)
	7,523,473,400	JPY	3/7/2018	3/7/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(214,259	)
	7,523,473,400	JPY	3/9/2018	3/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(204,313	)
	273,603,000	EUR	3/10/2017	3/10/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(572,476	)
	8,265,162,000	JPY	3/12/2018	3/12/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(192,382	)
	8,265,162,000	JPY	3/13/2018	3/13/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(192,428	)
	8,265,162,000	JPY	3/14/2018	3/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(203,442	)
	8,265,162,000	JPY	3/19/2018	3/19/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(192,632	)
	8,265,162,000	JPY	3/26/2018	3/26/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(192,924	)
	8,265,162,000	JPY	3/27/2018	3/27/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(192,978	)
	8,265,162,000	JPY	3/28/2018	3/28/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(204,470	)
	8,265,162,000	JPY	4/3/2018	4/3/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(192,988	)
	8,265,162,000	JPY	4/9/2018	4/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(141,970	)
	8,265,162,000	JPY	4/16/2018	4/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(142,319	)
	8,265,162,000	JPY	4/17/2018	4/17/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(142,520	)
	8,265,162,000	JPY	4/20/2018	4/20/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(142,765	)
	8,265,162,000	JPY	4/23/2018	4/23/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(142,978	)

See accompanying notes to the financial statements. 11

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	8,265,162,000	JPY	4/24/2018	4/24/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(143,044	)
	8,265,162,000	JPY	4/25/2018	4/25/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(154,341	)
	7,855,929,000	JPY	5/11/2018	5/11/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(62,291	)
	7,855,929,000	JPY	5/14/2018	5/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(62,621	)
	7,855,929,000	JPY	5/15/2018	5/15/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(62,828	)
	7,855,929,000	JPY	5/16/2018	5/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(73,921	)
	7,855,929,000	JPY	5/21/2018	5/21/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(63,566	)
	7,855,929,000	JPY	5/22/2018	5/22/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(63,639	)
	7,855,929,000	JPY	5/29/2018	5/29/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(64,875	)
	7,855,929,000	JPY	6/1/2018	6/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(65,280	)
	1,070,356,000	EUR	1/27/2021	1/27/2024	GS	3 Month USD LIBOR	3 Month EURIBOR		2,683,999
	649,528,000	EUR	1/23/2020	1/23/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		3,549,400
	531,239,000	EUR	1/24/2022	1/24/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		2,645,268
	643,151,000	EUR	1/29/2020	1/29/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		2,614,800
	321,445,000	EUR	1/30/2020	1/30/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		1,549,520
	433,630,500	EUR	2/3/2020	2/3/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		2,344,118
	26,174,000	EUR	2/11/2020	2/11/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		120,474
	98,226,000	EUR	3/10/2022	3/10/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		(105,404	)
	45,177,000	EUR	3/16/2015	3/16/2035	GS	3 Month EURIBOR	3 Month USD LIBOR		180,914
	13,200,000	EUR	4/15/2015	4/15/2045	GS	3 Month EURIBOR	3 Month USD LIBOR		(404,637	)
								$	23,170
						Premiums to (Pay) Receive		$	(17,789,280	)

¹  For JPY LIBOR, Fund pays 3 month JPY LIBOR adjusted by a spread. Spreads range from (0.58)% to (0.81)%.

For EURIBOR, Fund pays 3 month EURIBOR adjusted by as spread. Spreads range from (0.18)% to (0.25)%.

² For EURIBOR, Fund receives 3 month EURIBOR adjusted by a spread. Spreads range from (0.16)% to (0.37)%.

Inflation Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	151,894,000	GBP	1/14/2020	GS	Receive	2.76%	U.K. Retail Price Index	$	(3,836,195	)
	151,894,000	GBP	1/14/2025	GS	(Pay)	2.94%	U.K. Retail Price Index		1,225,975
								$	(2,610,220	)
							Premiums to (Pay) Receive	$	—

# Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

12 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	85,364,000	GBP	3/20/2019	BCI (f)	Receive	1.18%	6 Month GBP LIBOR	$	(758,646	)
	77,282,000	USD	1/22/2020	CSS (f)	(Pay)	1.46%	3 Month USD LIBOR		229,938
	1,182,921,000	DKK	2/25/2020	CSS (f)	Receive	0.39%	6 Month DKK LIBOR		(2,150,349	)
	608,652,000	DKK	2/27/2020	CSS (f)	Receive	0.32%	6 Month DKK LIBOR		(1,363,448	)
	1,179,943,000	DKK	3/2/2020	CSS (f)	Receive	0.34%	6 Month DKK LIBOR		(2,494,642	)
	1,170,523,000	DKK	3/2/2020	CSS (f)	Receive	0.33%	6 Month DKK LIBOR		(2,611,768	)
	485,337,000	DKK	3/6/2020	CSS (f)	Receive	0.36%	6 Month DKK LIBOR		(982,233	)
	742,150,000	DKK	3/9/2020	CSS (f)	Receive	0.38%	6 Month DKK LIBOR		(1,423,487	)
	718,964,000	DKK	3/10/2020	CSS (f)	Receive	0.41%	6 Month DKK LIBOR		(1,223,612	)
	771,718,000	DKK	3/20/2020	CSS (f)	Receive	0.37%	6 Month DKK LIBOR		(1,561,840	)
	706,861,000	DKK	6/10/2020	CSS (f)	(Pay)	0.77%	6 Month DKK LIBOR		(377,482	)
	304,183,000	DKK	6/11/2020	CSS (f)	(Pay)	0.80%	6 Month DKK LIBOR		(229,915	)
	1,014,275,000	DKK	6/12/2020	CSS (f)	(Pay)	0.87%	6 Month DKK LIBOR		(1,232,758	)
	27,334,000	GBP	6/12/2020	BCI (f)	Receive	1.59%	6 Month GBP LIBOR		93,984
	674,000,000	DKK	8/4/2020	JPMF (f)	(Pay)	0.71%	6 Month DKK LIBOR		48,197
	343,000,000	DKK	8/7/2020	JPMF (f)	(Pay)	0.73%	6 Month DKK LIBOR		(17,589	)
	439,629,000	DKK	8/13/2020	JPMF (f)	(Pay)	0.70%	6 Month DKK LIBOR		82,182
	807,000,000	DKK	8/17/2020	JPMF (f)	(Pay)	0.72%	6 Month DKK LIBOR		45,499
	37,000,000	EUR	12/16/2020	JPMF (f)	Receive	0.55%	6 Month EURIBOR		107,201
	105,483,000	EUR	12/16/2020	JPMF (f)	(Pay)	0.53%	6 Month EURIBOR		(187,489	)
	34,500,000	EUR	12/16/2020	JPMF (f)	(Pay)	0.42%	6 Month EURIBOR		151,178
	36,500,000	EUR	12/16/2020	JPMF (f)	(Pay)	0.46%	6 Month EURIBOR		84,321
	58,000,000	EUR	12/16/2020	JPMF (f)	(Pay)	0.49%	6 Month EURIBOR		20,321
	98,016,000	EUR	12/16/2020	JPMF (f)	(Pay)	0.48%	6 Month EURIBOR		105,690
	77,945,000	EUR	12/16/2020	JPMF (f)	(Pay)	0.45%	6 Month EURIBOR		201,889
	122,303,000	USD	12/16/2020	JPMF (f)	(Pay)	1.92%	3 Month USD LIBOR		(803,711	)
	1,398,528,000	MXN	10/11/2024	BCI (f)	Receive	6.18%	TIIE		(526,394	)
	231,138,000	MXN	10/16/2024	BCI (f)	Receive	6.03%	TIIE		(247,275	)
	839,317,000	MXN	10/25/2024	BCI (f)	Receive	6.19%	TIIE		(303,770	)
	54,943,000	GBP	1/21/2025	BCI (f)	(Pay)	1.45%	SONIA Index		2,321,831
	179,970,000	USD	5/13/2025	CSS (f)	Receive	2.29%	3 Month USD LIBOR		785,425
	12,695,000	USD	6/5/2025	CSS (f)	Receive	2.46%	3 Month USD LIBOR		236,677
	26,179,000	USD	6/8/2025	CSS (f)	Receive	2.43%	3 Month USD LIBOR		418,558
	25,390,000	USD	6/8/2025	CSS (f)	Receive	2.44%	3 Month USD LIBOR		435,648
	25,390,000	USD	6/8/2025	CSS (f)	Receive	2.45%	3 Month USD LIBOR		465,352
	26,178,000	USD	6/8/2025	CSS (f)	Receive	2.41%	3 Month USD LIBOR		386,738
	18,698,000	USD	6/11/2025	CSS (f)	Receive	2.53%	3 Month USD LIBOR		469,051
	37,382,000	GBP	6/24/2025	BCI (f)	Receive	1.99%	6 Month GBP LIBOR		118,716
	290,017,000	MXN	7/30/2025	JPMF (f)	(Pay)	6.29%	TIIE		93,422
	300,000,000	MXN	8/1/2025	JPMF (f)	(Pay)	6.28%	TIIE		101,367
	41,434,000	USD	9/23/2025	CSS (f)	(Pay)	2.48%	3 Month USD LIBOR		(726,025	)
	78,282,000	USD	9/23/2025	CSS (f)	(Pay)	2.66%	3 Month USD LIBOR		(2,674,910	)
	38,076,000	USD	9/23/2025	CSS (f)	(Pay)	2.54%	3 Month USD LIBOR		(885,463	)
	59,448,000	USD	9/23/2025	CSS (f)	(Pay)	2.62%	3 Month USD LIBOR		(1,826,871	)

See accompanying notes to the financial statements. 13

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	28,697,000	USD	9/23/2025	CSS (f)	(Pay)	2.39%	3 Month USD LIBOR	$	(279,107	)
	580,000,000	EUR	12/17/2025	JPMF (f)	(Pay)	1.87%	6 Month EURIBOR		(2,452,051	)
	64,963,000	EUR	12/17/2025	JPMF (f)	(Pay)	1.65%	6 Month EURIBOR		505,972
	194,358,000	USD	12/17/2025	JPMF (f)	(Pay)	2.43%	3 Month USD LIBOR		(1,443,410	)
	174,797,000	EUR	3/30/2030	CSS (f)	(Pay)	0.74%	6 Month EURIBOR		17,527,407
	56,357,000	EUR	4/14/2030	JPMF (f)	(Pay)	0.72%	6 Month EURIBOR		5,920,908
	125,236,000	GBP	5/20/2030	BCI (f)	Receive	2.69%	6 Month GBP LIBOR		1,482,090
	76,639,000	EUR	6/19/2030	CSS (f)	Receive	1.47%	6 Month EURIBOR		747,809
	22,169,000	EUR	7/8/2030	CSS (f)	Receive	1.52%	6 Month EURIBOR		371,950
	14,594,000	EUR	7/13/2030	CSS (f)	Receive	1.46%	6 Month EURIBOR		120,713
	90,412,000	EUR	9/15/2030	CSS (f)	(Pay)	0.78%	6 Month EURIBOR		9,106,140
	9,249,000	EUR	12/18/2030	CSS (f)	Receive	1.54%	6 Month EURIBOR		122,600
	8,845,088	EUR	12/18/2030	CSS (f)	Receive	1.49%	6 Month EURIBOR		53,178
	18,256,000	EUR	12/18/2030	JPMF (f)	Receive	1.52%	6 Month EURIBOR		170,126
	13,643,290	EUR	12/18/2030	JPMF (f)	Receive	1.51%	6 Month EURIBOR		114,250
	11,354,000	GBP	12/18/2030	JPMF (f)	Receive	2.37%	6 Month GBP LIBOR		458,273
	114,889,000	USD	3/17/2031	CSS (f)	(Pay)	2.58%	3 Month USD LIBOR		667,347
	16,850,000	USD	3/19/2031	JPMF (f)	Receive	2.69%	3 Month USD LIBOR		140,078
	13,607,655	EUR	6/18/2031	JPMF (f)	Receive	1.49%	6 Month EURIBOR		(75,656	)
	13,784,000	EUR	9/17/2031	JPMF (f)	Receive	1.54%	6 Month EURIBOR		(47,776	)
	6,110,000	EUR	12/21/2033	JPMF (f)	Receive	1.84%	6 Month EURIBOR		(4,545	)
	6,110,000	EUR	12/21/2033	JPMF (f)	Receive	1.83%	6 Month EURIBOR		(9,141	)
	37,556,000	AUD	12/23/2034	BCI (f)	Receive	4.41%	6 Month AUD BBSW		733,628
	18,713,000	AUD	12/30/2034	CSS (f)	Receive	4.37%	6 Month AUD BBSW		325,797
	18,713,000	AUD	1/7/2035	BCI (f)	Receive	4.11%	6 Month AUD BBSW		100,288
	18,880,000	AUD	1/8/2035	CSS (f)	Receive	4.00%	6 Month AUD BBSW		11,528
	37,665,000	AUD	1/9/2035	CSS (f)	Receive	3.96%	6 Month AUD BBSW		(46,761	)
	56,024,000	AUD	1/13/2035	CSS (f)	Receive	3.96%	6 Month AUD BBSW		(89,069	)
	37,360,000	AUD	1/13/2035	CSS (f)	Receive	3.95%	6 Month AUD BBSW		(68,043	)
	18,917,000	CHF	1/13/2035	CSS (f)	(Pay)	1.33%	6 Month CHF LIBOR		(406,479	)
	38,155,000	CHF	1/13/2035	CSS (f)	(Pay)	1.22%	6 Month CHF LIBOR		(400,160	)
	37,374,000	AUD	1/14/2035	CSS (f)	Receive	3.91%	6 Month AUD BBSW		(145,862	)
	19,024,000	CHF	1/15/2035	CSS (f)	(Pay)	1.35%	6 Month CHF LIBOR		(444,875	)
	36,487,000	AUD	1/16/2035	BCI (f)	Receive	3.82%	6 Month AUD BBSW		(294,324	)
	75,068,000	CHF	1/16/2035	CSS (f)	(Pay)	1.35%	6 Month CHF LIBOR		(1,755,420	)
	18,417,000	AUD	1/20/2035	BCI (f)	Receive	3.76%	6 Month AUD BBSW		(199,704	)
	36,831,000	AUD	1/21/2035	BCI (f)	Receive	3.75%	6 Month AUD BBSW		(403,489	)
	37,172,000	CHF	1/22/2035	CSS (f)	(Pay)	1.25%	6 Month CHF LIBOR		(513,961	)
	42,618,000	CHF	1/23/2035	CSS (f)	(Pay)	1.23%	6 Month CHF LIBOR		(497,608	)
	41,099,000	CHF	1/27/2035	CSS (f)	(Pay)	1.22%	6 Month CHF LIBOR		(450,833	)
	19,162,000	CHF	2/3/2035	CSS (f)	(Pay)	1.25%	6 Month CHF LIBOR		(265,188	)
	54,482,000	CHF	2/3/2035	CSS (f)	(Pay)	1.22%	6 Month CHF LIBOR		(571,713	)
	22,438,000	CHF	2/4/2035	CSS (f)	(Pay)	1.12%	6 Month CHF LIBOR		(31,674	)
	95,876,000	AUD	3/4/2035	BCI (f)	Receive	3.68%	6 Month AUD BBSW		(1,376,087	)

14 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	52,846,000	AUD	3/4/2035	BCI (f)	Receive	3.66%	6 Month AUD BBSW	$	(802,294	)
	13,017,000	CHF	3/4/2035	CSS (f)	(Pay)	1.14%	6 Month CHF LIBOR		(47,613	)
	9,332,000	CHF	3/5/2035	CSS (f)	(Pay)	1.16%	6 Month CHF LIBOR		(48,959	)
	70,342,000	AUD	3/6/2035	BCI (f)	Receive	3.70%	6 Month AUD BBSW		(938,124	)
	71,385,000	AUD	3/10/2035	BCI (f)	Receive	3.75%	6 Month AUD BBSW		(787,520	)
	114,195,000	AUD	3/10/2035	BCI (f)	Receive	3.75%	6 Month AUD BBSW		(1,246,657	)
	45,177,000	EUR	3/16/2035	CSS (f)	(Pay)	1.05%	6 Month EURIBOR		3,863,721
	68,829,000	AUD	3/19/2035	CSS (f)	Receive	3.51%	6 Month AUD BBSW		(1,533,806	)
	132,604,000	EUR	3/30/2035	CSS (f)	(Pay)	0.82%	6 Month EURIBOR		19,017,827
	21,959,000	CHF	4/2/2035	CSS (f)	Receive	0.92%	6 Month CHF LIBOR		(386,970	)
	42,374,000	EUR	4/14/2035	CSS (f)	(Pay)	0.80%	6 Month EURIBOR		6,241,805
	38,823,000	CHF	5/7/2035	CSS (f)	Receive	0.98%	6 Month CHF LIBOR		(477,628	)
	22,137,000	CHF	5/8/2035	CSS (f)	Receive	1.06%	6 Month CHF LIBOR		(93,609	)
	11,132,000	CHF	5/8/2035	CSS (f)	Receive	1.07%	6 Month CHF LIBOR		(41,770	)
	47,606,000	CHF	6/5/2035	CSS (f)	Receive	1.22%	6 Month CHF LIBOR		502,905
	39,556,000	CHF	6/11/2035	CSS (f)	Receive	1.40%	6 Month CHF LIBOR		1,109,850
	25,022,000	CHF	6/24/2035	CSS (f)	Receive	1.33%	6 Month CHF LIBOR		526,858
	23,052,000	CHF	7/15/2035	JPMF (f)	Receive	1.29%	6 Month CHF LIBOR		398,062
	33,000,000	CHF	8/4/2035	JPMF (f)	Receive	1.16%	6 Month CHF LIBOR		178,558
	132,000,000	AUD	8/12/2035	JPMF (f)	(Pay)	3.99%	6 Month AUD BBSW		(59,192	)
	132,000,000	AUD	8/13/2035	JPMF (f)	(Pay)	3.99%	6 Month AUD BBSW		(29,042	)
	54,000,000	AUD	8/17/2035	JPMF (f)	(Pay)	4.07%	6 Month AUD BBSW		(199,648	)
	54,000,000	AUD	8/21/2035	JPMF (f)	(Pay)	4.00%	6 Month AUD BBSW		(28,548	)
	54,000,000	AUD	8/24/2035	JPMF (f)	(Pay)	3.88%	6 Month AUD BBSW		264,556
	73,027,000	USD	12/19/2035	JPMF (f)	(Pay)	2.72%	3 Month USD LIBOR		(513,467	)
	81,459,000	EUR	3/14/2036	CSS (f)	(Pay)	0.87%	6 Month EURIBOR		11,895,377
	74,473,000	USD	11/15/2041	BCI (f)	(Pay)	2.32%	3 Month USD LIBOR		5,553,770
	254,691,000	USD	11/15/2041	CSS (f)	(Pay)	2.33%	3 Month USD LIBOR		18,104,551
	121,106,000	USD	11/15/2041	CSS (f)	(Pay)	2.51%	3 Month USD LIBOR		4,454,173
	108,123,000	USD	11/15/2041	CSS (f)	(Pay)	2.44%	3 Month USD LIBOR		5,472,826
	42,365,601	EUR	12/24/2044	CSS (f)	(Pay)	1.96%	6 Month EURIBOR		(591,158	)
	27,900,000	USD	2/9/2045	CSS (f)	(Pay)	2.18%	3 Month USD LIBOR		3,208,084
	259,956,600	EUR	2/11/2045	CSS (f)	(Pay)	0.90%	6 Month EURIBOR		30,077,552
	13,704,000	USD	2/12/2045	CSS (f)	(Pay)	2.46%	3 Month USD LIBOR		738,882
	289,198,200	EUR	3/3/2045	CSS (f)	(Pay)	0.94%	6 Month EURIBOR		49,660,863
	21,411,000	GBP	3/6/2045	BCI (f)	Receive	2.52%	6 Month GBP LIBOR		969,485
	6,774,000	USD	3/6/2045	CSS (f)	(Pay)	2.61%	3 Month USD LIBOR		156,249
	166,410,000	EUR	3/11/2045	CSS (f)	(Pay)	1.47%	6 Month EURIBOR		7,587,811
	155,325,000	EUR	3/11/2045	CSS (f)	(Pay)	1.50%	6 Month EURIBOR		6,488,907
	13,200,000	EUR	3/15/2045	CSS (f)	(Pay)	1.57%	6 Month EURIBOR		64,195
	40,542,150	EUR	3/24/2045	CSS (f)	Receive	0.98%	6 Month EURIBOR		(6,754,706	)
	46,376,000	EUR	3/24/2045	CSS (f)	Receive	0.89%	6 Month EURIBOR		(9,012,395	)
	96,749,000	USD	3/26/2045	CSS (f)	(Pay)	2.51%	3 Month USD LIBOR		4,325,185
	43,145,000	GBP	3/27/2045	BCI (f)	Receive	2.11%	6 Month GBP LIBOR		(696,863	)

See accompanying notes to the financial statements. 15

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	184,841,000	EUR	3/30/2045	CSS (f)	Receive	0.86%	6 Month EURIBOR	$	(37,385,016	)
	67,336,000	USD	3/30/2045	CSS (f)	(Pay)	2.63%	3 Month USD LIBOR		2,349,982
	55,438,000	USD	3/31/2045	CSS (f)	Receive	2.37%	3 Month USD LIBOR		(4,125,607	)
	58,476,000	EUR	4/14/2045	CSS (f)	Receive	0.85%	6 Month EURIBOR		(11,685,984	)
	60,274,000	EUR	4/15/2045	CSS (f)	Receive	1.06%	6 Month EURIBOR		(8,870,171	)
	85,556,000	USD	5/6/2045	CSS (f)	Receive	2.96%	3 Month USD LIBOR		(533,352	)
	105,566,000	USD	5/6/2045	CSS (f)	Receive	2.94%	3 Month USD LIBOR		(758,464	)
	39,230,000	GBP	5/7/2045	BCI (f)	Receive	2.49%	6 Month GBP LIBOR		1,572,687
	78,459,000	GBP	5/7/2045	BCI (f)	Receive	2.44%	6 Month GBP LIBOR		2,586,472
	29,096,000	USD	5/7/2045	CSS (f)	Receive	3.01%	3 Month USD LIBOR		(183,586	)
	69,380,000	GBP	5/8/2045	BCI (f)	Receive	2.35%	6 Month GBP LIBOR		1,382,446
	29,031,000	GBP	5/13/2045	BCI (f)	Receive	2.47%	6 Month GBP LIBOR		1,101,482
	39,436,000	GBP	5/14/2045	JPMF (f)	Receive	2.49%	6 Month GBP LIBOR		1,607,422
	58,260,000	EUR	5/14/2045	CSS (f)	Receive	1.58%	6 Month EURIBOR		(1,808,324	)
	48,780,000	EUR	5/14/2045	CSS (f)	Receive	1.60%	6 Month EURIBOR		(1,401,122	)
	59,484,000	USD	5/15/2045	CSS (f)	Receive	3.20%	3 Month USD LIBOR		1,030,293
	114,600,000	EUR	5/20/2045	CSS (f)	Receive	1.66%	6 Month EURIBOR		(2,391,987	)
	55,386,000	EUR	5/27/2045	CSS (f)	Receive	1.60%	6 Month EURIBOR		(1,580,991	)
	48,422,000	EUR	5/27/2045	CSS (f)	Receive	1.61%	6 Month EURIBOR		(1,305,521	)
	29,680,000	EUR	5/29/2045	CSS (f)	Receive	1.57%	6 Month EURIBOR		(961,683	)
	32,904,000	GBP	6/3/2045	JPMF (f)	Receive	2.50%	6 Month GBP LIBOR		1,402,498
	90,153,000	EUR	6/3/2045	CSS (f)	Receive	1.50%	6 Month EURIBOR		(3,637,531	)
	50,117,000	GBP	6/4/2045	JPMF (f)	Receive	2.53%	6 Month GBP LIBOR		2,358,889
	440,390,000	EUR	6/4/2045	CSS (f)	Receive	0.02%	6 Month EURIBOR		(13,952,185	)
	480,127,000	EUR	6/5/2045	CSS (f)	Receive	1.71%	6 Month EURIBOR		(7,450,849	)
	138,280,000	GBP	6/10/2045	BCI (f)	Receive	2.48%	6 Month GBP LIBOR		5,501,122
	97,089,000	EUR	6/10/2045	CSS (f)	Receive	1.57%	6 Month EURIBOR		(384,270	)
	243,432,000	EUR	6/10/2045	CSS (f)	Receive	1.84%	6 Month EURIBOR		215,975
	116,266,000	EUR	6/11/2045	CSS (f)	Receive	1.85%	6 Month EURIBOR		196,616
	87,676,000	EUR	6/12/2045	CSS (f)	Receive	1.97%	6 Month EURIBOR		1,417,481
	5,866,000	GBP	6/12/2045	BCI (f)	(Pay)	2.34%	6 Month GBP LIBOR		(361,855	)
	43,421,000	EUR	6/19/2045	CSS (f)	(Pay)	1.62%	6 Month EURIBOR		(334,350	)
	37,382,000	GBP	6/24/2045	BCI (f)	(Pay)	2.30%	6 Month GBP LIBOR		(1,718,738	)
	59,948,000	EUR	6/28/2045	CSS (f)	Receive	2.05%	6 Month EURIBOR		1,604,267
	6,272,000	EUR	7/3/2045	CSS (f)	Receive	2.05%	6 Month EURIBOR		167,236
	62,821,000	USD	7/6/2045	CSS (f)	Receive	2.98%	3 Month USD LIBOR		3,510,780
	76,920,000	EUR	7/8/2045	JPMF (f)	Receive	2.10%	6 Month EURIBOR		2,536,072
	190,113,000	EUR	7/9/2045	JPMF (f)	(Pay)	1.87%	6 Month EURIBOR		(869,920	)
	44,268,000	EUR	7/10/2045	JPMF (f)	(Pay)	1.78%	6 Month EURIBOR		241,857
	22,898,000	EUR	7/15/2045	JPMF (f)	Receive	1.90%	6 Month EURIBOR		196,513
	123,378,000	EUR	7/15/2045	JPMF (f)	Receive	2.03%	6 Month EURIBOR		3,030,653
	42,107,000	EUR	7/15/2045	JPMF (f)	Receive	1.98%	6 Month EURIBOR		755,412
	81,111,000	EUR	7/15/2045	JPMF (f)	(Pay)	0.98%	6 Month EURIBOR		13,828,174
	90,086,000	EUR	7/15/2045	JPMF (f)	Receive	2.11%	6 Month EURIBOR		3,090,620

16 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	44,808,000	EUR	7/15/2045	JPMF (f)	Receive	2.10%	6 Month EURIBOR	$	1,446,467
	58,887,000	USD	8/6/2045	JPMF (f)	(Pay)	2.96%	3 Month USD LIBOR		326,491
	57,060,002	EUR	12/15/2045	CSS (f)	Receive	0.86%	6 Month EURIBOR		(11,955,257	)
	84,386,000	EUR	12/15/2045	CSS (f)	Receive	0.76%	6 Month EURIBOR		(19,968,250	)
	75,247,000	EUR	12/15/2045	CSS (f)	Receive	1.20%	6 Month EURIBOR		(8,558,243	)
	11,355,000	EUR	12/16/2045	CSS (f)	Receive	0.85%	6 Month EURIBOR		(2,403,595	)
	59,496,000	EUR	12/20/2045	JPMF (f)	(Pay)	1.89%	6 Month EURIBOR		(511,116	)
	40,650,000	EUR	12/20/2045	JPMF (f)	Receive	1.59%	6 Month EURIBOR		(1,085,024	)
	75,600,000	EUR	12/20/2045	JPMF (f)	Receive	1.68%	6 Month EURIBOR		(1,195,211	)
	107,000,000	EUR	12/20/2045	JPMF (f)	Receive	1.77%	6 Month EURIBOR		(478,188	)
	40,648,000	EUR	12/20/2045	JPMF (f)	Receive	1.77%	6 Month EURIBOR		(233,150	)
	26,918,000	EUR	12/20/2045	JPMF (f)	(Pay)	1.87%	6 Month EURIBOR		(171,979	)
	53,500,000	GBP	12/20/2045	JPMF (f)	Receive	2.12%	6 Month GBP LIBOR		(603,290	)
	11,359,000	GBP	12/20/2045	JPMF (f)	Receive	2.06%	6 Month GBP LIBOR		(220,452	)
	29,673,000	GBP	12/20/2045	JPMF (f)	Receive	2.03%	6 Month GBP LIBOR		(725,871	)
	13,270,000	GBP	12/20/2045	JPMF (f)	Receive	2.23%	6 Month GBP LIBOR		69,083
	67,500,000	GBP	12/20/2045	JPMF (f)	Receive	2.16%	6 Month GBP LIBOR		(380,417	)
	23,037,000	GBP	12/20/2045	JPMF (f)	(Pay)	2.07%	6 Month GBP LIBOR		428,533
	18,868,000	GBP	12/20/2045	JPMF (f)	(Pay)	2.38%	6 Month GBP LIBOR		(512,878	)
	198,317,000	EUR	2/24/2046	CSS (f)	Receive	1.56%	6 Month EURIBOR		(11,856,513	)
	240,306,000	EUR	3/14/2046	CSS (f)	Receive	0.78%	6 Month EURIBOR		(56,371,953	)
	34,650,000	USD	3/17/2046	CSS (f)	Receive	2.65%	3 Month USD LIBOR		(969,805	)
	57,000,000	USD	3/21/2046	JPMF (f)	(Pay)	3.05%	3 Month USD LIBOR		(127,053	)
	4,920,000	GBP	3/23/2046	BCI (f)	Receive	1.94%	6 Month GBP LIBOR		(437,710	)
	3,578,000	GBP	3/23/2046	BCI (f)	(Pay)	2.05%	6 Month GBP LIBOR		181,576
	43,345,000	GBP	3/23/2046	BCI (f)	(Pay)	2.52%	6 Month GBP LIBOR		(4,803,016	)
	38,404,000	GBP	3/23/2046	BCI (f)	(Pay)	2.48%	6 Month GBP LIBOR		(3,788,509	)
	32,204,000	GBP	3/23/2046	BCI (f)	(Pay)	1.97%	6 Month GBP LIBOR		2,507,004
	92,470,000	EUR	3/29/2046	CSS (f)	Receive	0.93%	6 Month EURIBOR		(17,820,128	)
	120,915,525	EUR	6/20/2046	JPMF (f)	(Pay)	1.88%	6 Month EURIBOR		(1,244,981	)
	113,812,660	EUR	6/20/2046	JPMF (f)	(Pay)	1.79%	6 Month EURIBOR		162,376
	146,559,382	EUR	9/5/2046	CSS (f)	(Pay)	0.98%	6 Month EURIBOR		14,224,512
	96,546,000	EUR	9/5/2046	CSS (f)	(Pay)	1.85%	6 Month EURIBOR		(721,252	)
	115,282,000	EUR	9/19/2046	JPMF (f)	(Pay)	1.79%	6 Month EURIBOR		(18,274	)
	35,353,000	EUR	10/17/2046	CSS (f)	(Pay)	1.78%	6 Month EURIBOR		25,407
	63,510,000	EUR	12/19/2046	JPMF (f)	(Pay)	1.92%	6 Month EURIBOR		(1,019,919	)
	61,453,000	EUR	12/19/2046	JPMF (f)	(Pay)	1.85%	6 Month EURIBOR		(469,329	)
	85,597,000	GBP	12/19/2046	JPMF (f)	(Pay)	2.36%	6 Month GBP LIBOR		(2,433,563	)
	161,970,092	EUR	2/3/2047	CSS (f)	(Pay)	0.97%	6 Month EURIBOR		15,447,867
	131,551,000	EUR	2/3/2047	CSS (f)	(Pay)	1.92%	6 Month EURIBOR		(2,234,282	)
	62,167,000	EUR	2/22/2047	CSS (f)	(Pay)	1.88%	6 Month EURIBOR		101,817
	180,966,000	EUR	3/3/2047	CSS (f)	(Pay)	0.97%	6 Month EURIBOR		17,181,946
	63,802,000	EUR	3/3/2047	CSS (f)	(Pay)	1.77%	6 Month EURIBOR		27,609
	106,746,000	EUR	5/24/2047	CSS (f)	(Pay)	1.79%	6 Month EURIBOR		(291,955	)

See accompanying notes to the financial statements. 17

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	252,996,000	EUR	5/24/2047	CSS (f)	(Pay)	0.97%	6 Month EURIBOR	$	23,784,213
	198,298,000	EUR	7/26/2047	CSS (f)	(Pay)	0.97%	6 Month EURIBOR		18,504,711
	87,103,000	EUR	7/26/2047	CSS (f)	(Pay)	1.77%	6 Month EURIBOR		(101,578	)
	294,982,200	EUR	8/23/2047	CSS (f)	Receive	0.92%	6 Month EURIBOR		(46,402,007	)
	61,041,666	EUR	11/22/2047	JPMF (f)	Receive	1.55%	6 Month EURIBOR		(3,188,765	)
	505,215,000	EUR	3/14/2048	JPMF (f)	Receive	0.87%	6 Month EURIBOR		(51,285,402	)
	146,039,000	EUR	6/17/2048	JPMF (f)	(Pay)	1.83%	6 Month EURIBOR		(1,611,496	)
	44,802,000	EUR	12/16/2048	JPMF (f)	(Pay)	1.77%	6 Month EURIBOR		(239,758	)
	44,802,000	EUR	12/16/2048	JPMF (f)	(Pay)	1.76%	6 Month EURIBOR		(162,735	)
	120,703,154	EUR	3/16/2056	JPMF (f)	Receive	0.89%	6 Month EURIBOR		(30,235,860	)
								$	(77,062,972	)
							Premiums to (Pay) Receive	$	(17,196,152	)

# Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

(a) Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2).

(b) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(c) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

(d) The rate shown represents yield-to-maturity.

(e) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(f) Swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 109.

18 See accompanying notes to the financial statements.

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Short-Term Investments		52.8
Debt Obligations		40.8
Options Purchased		5.7
Forward Currency Contracts		1.2
Loan Participations		0.3
Rights/Warrants		0.1
Loan Assignments		0.0	^
Reverse Repurchase Agreements		(0.3	)
Swap Contracts		(0.7	)
Written/Credit Linked Options		(2.6	)
Other		2.7
		100.0	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

^ Rounds to 0.0%.

19

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($) / Shares / Principal Amount		Description	Value ($)
		DEBT OBLIGATIONS — 22.2%
		Corporate Debt — 2.0%
	50,000	Apple, Inc., 3.45%, due 02/09/45		42,155
EUR	100,000	Berkshire Hathaway, Inc., 1.63%, due 03/16/35		93,717
	12,000	Exxon Mobil Corp., 3.57%, due 03/06/45		11,170
	21,000	Microsoft Corp., 4.00%, due 02/12/55		18,884
		Total Corporate Debt		165,926
		U.S. Government — 20.2%
	231,100	U.S. Treasury Bond, 2.75%, due 11/15/42		221,363
	882,900	U.S. Treasury Bond, 3.13%, due 11/15/41		915,411
	210,400	U.S. Treasury Bond, 3.13%, due 02/15/42		217,819
	176,000	U.S. Treasury Bond, 3.63%, due 02/15/44		198,995
	244,900	U.S. Treasury Strip Principal, due 11/15/41		110,265
	37,800	U.S. Treasury Strip Principal, due 02/15/42		16,846
	2,900	U.S. Treasury Strip Principal, due 11/15/42		1,253
	58,000	U.S. Treasury Strip Principal, due 02/15/44		24,167
		Total U.S. Government		1,706,119
		TOTAL DEBT OBLIGATIONS (COST $2,036,521)		1,872,045
		MUTUAL FUNDS — 22.2%
		United States — 22.2%
		Affiliated Issuers — 22.2%
	19,436	GMO Debt Opportunities Fund, Class VI		482,787
	153,421	GMO Emerging Country Debt Fund, Class IV		1,396,127
				1,878,914
		Total United States		1,878,914
		TOTAL MUTUAL FUNDS (COST $1,976,185)		1,878,914
		OPTIONS PURCHASED — 5.7%
		Currency Options — 1.0%
EUR	883,000	EUR Put/USD Call, Expires 10/21/15, Strike 1.02, (OTC) (CP-JPM)		538
EUR	520,000	EUR Put/USD Call, Expires 10/22/15, Strike 1.03, (OTC) (CP-JPM)		589
EUR	258,000	EUR Put/USD Call, Expires 10/28/15, Strike 1.07, (OTC) (CP-JPM)		1,088
EUR	429,000	EUR Put/USD Call, Expires 10/29/15, Strike 1.07, (OTC) (CP-JPM)		1,854
EUR	616,000	EUR Put/USD Call, Expires 02/04/16, Strike 1.03, (OTC) (CP-GS)		3,901

Principal Amount		Description	Value ($)
		Currency Options — continued
EUR	26,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/24/16, Strike 1.10, (OTC) (CP-JPM)		8,972
EUR	18,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/29/16, Strike 1.10, (OTC) (CP-JPM)		6,211
EUR	8,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/29/16, Strike 1.10, (OTC) (CP-JPM)		2,760
USD	142,000	USD Put/CHF Call, Expires 03/01/16, Strike 0.93, (OTC) (CP-GS)		2,301
EUR	519,000	EUR Put/USD Call, Expires 03/10/16, Strike 0.98, (OTC) (CP-JPM)		1,794
EUR	726,000	EUR Put/USD Call, Expires 03/10/16, Strike 1.05, (OTC) (CP-GS)		7,685
EUR	259,000	EUR Call/USD Put, Expires 03/14/16, Strike 1.08, (OTC) (CP-JPM)		16,959
EUR	259,000	EUR Put/USD Call, Expires 03/14/16, Strike 1.08, (OTC) (CP-JPM)		4,490
EUR	518,000	EUR Put/USD Call, Expires 03/14/16, Strike 0.99, (OTC) (CP-JPM)		2,284
USD	71,000	USD Call/CHF Put, Expires 03/23/16, Strike 0.93, (OTC) (CP-JPM)		3,249
USD	71,000	USD Call/CHF Put, Expires 03/23/16, Strike 0.94, (OTC) (CP-JPM)		3,058
USD	71,000	USD Put/CHF Call, Expires 03/23/16, Strike 0.93, (OTC) (CP-JPM)		1,450
USD	71,000	USD Put/CHF Call, Expires 03/23/16, Strike 0.94, (OTC) (CP-JPM)		1,569
EUR	26,000	EUR Put/USD Call, One-Touch Binary Option, Expires 03/31/16, Strike 1.10, (OTC) (CP-JPM)		8,972
EUR	26,000	EUR Put/USD Call, One-Touch Binary Option, Expires 06/03/16, Strike 1.10, (OTC) (CP-JPM)		9,044
		Total Currency Options		88,768

20 See accompanying notes to the financial statements.

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Principal Amount

Expiration Date

Description

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Counterparty

Value ($)

Options on Interest Rate Swaps — 4.7%

USD

119,000

09/21/2015

Call-OTC 30-Year Interest Rate Swap

3 month USD LIBOR

Receive

2.40%

JPM

194

USD

119,000

09/21/2015

Put-OTC 30-Year Interest Rate Swap

3 month USD LIBOR

Pay

2.40%

JPM

8,285

USD

59,000

09/23/2015

Call-OTC 30-Year Interest Rate Swap

3 month USD LIBOR

Receive

2.39%

JPM

97

USD

59,000

09/23/2015

Put-OTC 30-Year Interest Rate Swap

3 month USD LIBOR

Pay

2.39%

JPM

4,338

EUR

208,000

11/20/2015

Put-OTC 9-Month Interest Rate Swap

6 month EURIBOR

Pay

1.28%

MSCI

24,045

EUR

130,000

11/24/2015

Call-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Receive

1.31%

MSCI

1,808

EUR

130,000

11/24/2015

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

1.31%

MSCI

14,479

EUR

516,000

02/22/2016

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

1.56%

GS

45,899

GBP

48,000

03/11/2016

Call-OTC 32-Year Interest Rate Swap

6 month GBP LIBOR

Receive

2.34%

MSCI

4,834

GBP

48,000

03/11/2016

Put-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.34%

MSCI

3,233

USD

471,000

03/11/2016

Call-OTC 30-Year Interest Rate Swap

3 month USD LIBOR

Receive

2.75%

GS

6,241

USD

471,000

03/11/2016

Put-OTC 30-Year Interest Rate Swap

3 month USD LIBOR

Pay

2.75%

GS

16,652

EUR

288,000

09/01/2016

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

2.05%

GS

9,442

EUR

124,000

10/13/2016

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

1.90%

GS

5,249

EUR

301,000

02/01/2017

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

2.03%

GS

11,774

GBP

121,000

02/09/2017

Put-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.61%

MSCI

4,230

GBP

92,000

02/17/2017

Put-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.95%

MSCI

3,052

GBP

233,000

02/17/2017

Put-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.81%

GS

5,980

EUR

260,000

02/18/2017

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

2.05%

MSCI

16,180

EUR

231,000

03/01/2017

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

1.88%

GS

11,038

GBP

48,000

03/13/2017

Call-OTC 32-Year Interest Rate Swap

6 month GBP LIBOR

Receive

2.39%

MSCI

7,322

GBP

48,000

03/13/2017

Put-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.39%

MSCI

5,785

GBP

212,000

03/20/2017

Put-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.89%

GS

4,820

GBP

112,000

04/10/2017

Put-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.58%

GS

4,261

See accompanying notes to the financial statements. 21

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Principal Amount

Expiration Date

Description

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Counterparty

Value ($)

Options on Interest Rate Swaps — continued

GBP

96,000

05/12/2017

Put-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.81%

MSCI

4,308

EUR

260,000

05/18/2017

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

2.05%

MSCI

17,012

GBP

230,000

05/19/2017

Put-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.91%

GS

5,322

EUR

410,000

05/22/2017

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

1.85%

GS

21,235

EUR

373,000

07/24/2017

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

1.80%

GS

20,970

GBP

146,000

08/10/2017

Put-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.68%

MSCI

5,110

GBP

97,000

08/10/2017

Put-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

3.00%

MSCI

3,352

EUR

260,000

08/18/2017

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

2.05%

MSCI

17,754

EUR

260,000

11/18/2017

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

2.05%

MSCI

18,404

EUR

981,000

03/06/2018

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

2.05%

MSCI

46,103

EUR

263,500

03/12/2018

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

1.83%

MSCI

15,477

Total Options on Interest Rate Swaps

394,285

TOTAL OPTIONS PURCHASED (COST $546,056)

483,053

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 49.3%
		Money Market Funds — 2.0%
	172,297	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (a)		172,297
		U.S. Government — 47.3%
	4,000,000	U.S. Treasury Bill, 0.04%, due 12/17/15 (b)		3,999,520
		TOTAL SHORT-TERM INVESTMENTS (COST $4,171,108)		4,171,817
		TOTAL INVESTMENTS — 99.4% (Cost $8,729,870)		8,405,829
		Other Assets and Liabilities (net) — 0.6%		48,572
		TOTAL NET ASSETS — 100.0%		$8,454,401

22 See accompanying notes to the financial statements.

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/24/2016	BCLY		BRL	278,574		USD	81,679	$	9,779
02/17/2016	GS		CHF	67,000		USD	73,635		3,876
02/17/2016	GS		CHF	49,700		USD	54,972		3,225
02/17/2016	GS		CHF	25,000		USD	27,491		1,461
02/17/2016	GS		CHF	52,000		USD	56,862		2,720
02/17/2016	GS		CHF	52,000		USD	56,925		2,784
02/17/2016	GS		CHF	54,000		USD	59,498		3,274
02/17/2016	GS		CHF	17,800		USD	19,666		1,133
02/17/2016	GS		CHF	23,000		USD	25,328		1,380
02/17/2016	GS		CHF	22,500		USD	24,807		1,380
02/17/2016	GS		CHF	19,900		USD	21,868		1,149
02/17/2016	GS		CHF	27,000		USD	29,586		1,474
02/17/2016	GS		CHF	23,000		USD	24,877		930
02/17/2016	GS		CHF	29,000		USD	31,191		997
02/17/2016	GS		CHF	44,000		USD	47,242		1,430
02/17/2016	GS		CHF	44,000		USD	47,427		1,615
02/17/2016	GS		CHF	44,000		USD	47,610		1,798
02/17/2016	GS		CHF	70,627		USD	75,662		2,127
02/17/2016	GS		CHF	74,000		USD	78,407		1,360
03/03/2016	GS		CHF	65,800		USD	67,253		(1,301	)
10/23/2015	JPM		EUR	470,000		USD	536,162		8,339
10/23/2015	JPM		EUR	1,083,000		USD	1,138,580		(77,658	)
10/26/2015	BCLY		EUR	228,000		USD	259,625		3,562
10/26/2015	BOA		EUR	45,665		USD	51,192		(93	)
10/26/2015	DB		EUR	45,673		USD	51,059		(236	)
10/26/2015	GS		EUR	45,669		USD	51,024		(266	)
10/26/2015	JPM		EUR	235,000		USD	267,550		3,626
10/26/2015	JPM		EUR	176,000		USD	187,070		(10,592	)
10/26/2015	MSCI		EUR	45,672		USD	51,174		(119	)
10/30/2015	JPM		EUR	222,000		USD	254,585		5,245
11/02/2015	JPM		EUR	197,000		USD	224,320		3,047
11/16/2015	JPM		EUR	1,090,000		USD	1,257,533		32,928
02/08/2016	GS		EUR	167,000		USD	180,704		(7,228	)
02/08/2016	GS		EUR	5,000		USD	5,356		(270	)
02/09/2016	GS		EUR	78,000		USD	84,287		(3,492	)
02/17/2016	GS		EUR	74,000		USD	80,075		(3,215	)
03/14/2016	GS		EUR	275,000		USD	293,714		(15,986	)
03/14/2016	JPM		EUR	238,000		USD	258,318		(9,713	)
03/16/2016	JPM		EUR	92,000		USD	98,415		(5,199	)
03/16/2016	JPM		EUR	141,000		USD	153,041		(5,758	)
03/27/2017	DB		EUR	10,000		USD	10,970		(438	)
11/07/2017	GS		EUR	263,000		USD	288,761		(14,263	)
12/22/2017	JPM		EUR	90,000		USD	99,414		(4,524	)
09/28/2015	DB		GBP	23,000		USD	35,742		454
09/28/2015	GS		GBP	70,000		USD	108,019		620
09/28/2015	JPM		GBP	5,112		USD	7,927		83
11/18/2015	GS		GBP	273,000		USD	399,263		(19,480	)
12/18/2015	GS		GBP	139,000		USD	203,301		(9,876	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/18/2015	GS		GBP	48,000		USD	73,877	$	262
09/28/2015	GS		USD	232		GBP	151		(1	)
09/28/2015	GS		USD	9,293		GBP	6,000		(87	)
09/28/2015	GS		USD	95,750		GBP	61,000		(2,159	)
09/28/2015	JPM		USD	46,643		GBP	30,000		(615	)
10/23/2015	JPM		USD	546,798		EUR	470,000		(18,975	)
10/23/2015	JPM		USD	685,428		EUR	648,000		42,293
10/23/2015	JPM		USD	257,326		EUR	238,000		9,955
10/23/2015	JPM		USD	152,449		EUR	141,000		5,898
10/23/2015	JPM		USD	292,552		EUR	273,000		14,034
10/26/2015	JPM		USD	110,400		EUR	100,000		1,908
10/26/2015	JPM		USD	274,457		EUR	235,000		(10,532	)
10/26/2015	JPM		USD	113,093		EUR	105,000		4,830
10/30/2015	JPM		USD	133,368		EUR	117,000		(1,959	)
10/30/2015	JPM		USD	113,103		EUR	105,000		4,828
11/02/2015	JPM		USD	223,913		EUR	197,000		(2,640	)
11/16/2015	JPM		USD	636,150		EUR	594,000		31,203
11/16/2015	JPM		USD	876,460		EUR	815,000		39,184
11/18/2015	GS		USD	219,766		GBP	148,151		7,477
11/18/2015	GS		USD	175,607		GBP	119,000		6,922
11/18/2015	GS		USD	8,689		GBP	5,849		282
12/18/2015	GS		USD	206,188		GBP	139,000		6,989
12/18/2015	GS		USD	70,330		GBP	48,000		3,285
02/08/2016	GS		USD	183,094		EUR	172,000		10,465
02/17/2016	GS		USD	127,806		CHF	116,000		(7,029	)
02/17/2016	GS		USD	81,203		CHF	77,000		(1,032	)
02/17/2016	GS		USD	46,753		CHF	45,000		100
02/17/2016	GS		USD	137,514		CHF	130,000		(2,160	)
02/17/2016	GS		USD	63,832		CHF	59,000		(2,402	)
02/17/2016	GS		USD	56,485		CHF	53,000		(1,303	)
03/14/2016	GS		USD	293,356		EUR	275,000		16,344
03/14/2016	JPM		USD	252,566		EUR	238,000		15,466
03/16/2016	JPM		USD	249,927		EUR	233,000		12,485
03/24/2016	JPM		USD	76,670		BRL	261,000		(9,306	)
03/24/2016	JPM		USD	4,923		BRL	17,574		(387	)
03/24/2016	JPM		USD	14,164		EUR	12,900		367
03/29/2016	GS		USD	4,386		EUR	4,000		121
03/29/2016	GS		USD	4,382		EUR	4,000		125
03/29/2016	JPM		USD	8,604		EUR	7,800		183
11/07/2017	GS		USD	290,273		EUR	263,000		12,751
12/22/2017	JPM		USD	100,163		EUR	90,000		3,775
								$	103,034

See accompanying notes to the financial statements. 23

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Written Options

Currency Options

Principal Amount			Expiration Date	Description	Premiums		Market Value
Call	EUR	26,000	02/24/2016	EUR/Call USD Put, One-Touch Binary Option, Strike 1.21, (OTC) (CP-JPM)	$	8,898	$	(5,179	)
Call	EUR	18,000	02/29/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		2,606		(5,151	)
Call	EUR	8,000	02/29/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		1,119		(2,222	)
Call	EUR	519,000	03/10/2016	EUR Call/USD Put, Strike 1.14, (OTC) (CP-JPM)		7,881		(13,957	)
Call	EUR	518,000	03/14/2016	EUR Call/USD Put, Strike 1.15, (OTC) (CP-JPM)		7,471		(11,991	)
Call	EUR	26,000	03/31/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		4,186		(8,241	)
Call	EUR	26,000	06/03/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.18, (OTC) (CP-JPM)		5,307		(9,920	)
					$	37,468	$	(56,661	)

Written Options on Interest Rate Swaps

Principal Amount			Expiration Date		Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Counterparty	Premiums		Market Value
	EUR	208,000		11/20/2015	Put-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Pay		0.81%	MSCI	$	2,969	$	(8,452	)
	EUR	195,625		12/14/2015	Call-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Receive		0.69%	MSCI		4,051		(322	)
	EUR	195,625		12/14/2015	Put-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Pay		0.69%	MSCI		4,051		(10,700	)
	GBP	48,000		03/11/2016	Put-OTC 10-Year Interest Rate Swap	6 Month GBP LIBOR	Pay		2.12%	MSCI		2,179		(1,682	)
	GBP	48,000		03/11/2016	Call-OTC 10-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		2.12%	MSCI		2,179		(1,651	)
	EUR	307,000		06/01/2016	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		0.93%	GS		9,069		(2,945	)
	EUR	308,000		07/07/2016	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		0.99%	GS		8,219		(3,666	)
	EUR	327,000		09/01/2016	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		0.95%	GS		5,793		(4,297	)
	EUR	280,000		12/16/2016	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		0.93%	GS		7,298		(4,387	)
	GBP	222,000		01/27/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.53%	GS		9,824		(5,857	)
	GBP	121,000		02/09/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.61%	MSCI		5,063		(3,616	)
	GBP	92,000		02/17/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.95%	MSCI		5,030		(5,091	)
	GBP	233,000		02/17/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.81%	GS		12,542		(8,890	)
	GBP	48,000		03/13/2017	Call-OTC 10-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		2.25%	MSCI		3,076		(2,732	)
	GBP	48,000		03/13/2017	Put-OTC 10-Year Interest Rate Swap	6 Month GBP LIBOR	Pay		2.25%	MSCI		3,076		(2,969	)

24 See accompanying notes to the financial statements.

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Written Options on Interest Rate Swaps — continued

Principal Amount			Expiration Date		Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Counterparty	Premiums		Market Value
	GBP	212,000		03/20/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.89%	GS	$	11,245	$	(9,145	)
	GBP	112,000		04/10/2017	Call-OTC 30-Year Swap Interest Rate Swap	6 Month GBP LIBOR	Receive		1.58%	GS		5,765		(3,442	)
	GBP	96,000		05/12/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.81%	MSCI		5,871		(4,828	)
	EUR	130,000		05/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	MSCI		4,211		(3,280	)
	GBP	230,000		05/19/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.91%	GS		12,804		(10,628	)
	GBP	97,000		08/10/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.50%	MSCI		4,529		(3,663	)
	GBP	146,000		08/10/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.68%	MSCI		7,195		(5,574	)
	EUR	260,000		08/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	MSCI		9,691		(7,060	)
	EUR	260,000		11/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	MSCI		10,195		(7,661	)
	EUR	981,000		03/06/2018	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	GS		32,677		(27,124	)
	EUR	527,000		03/12/2018	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		0.83%	MSCI		19,683		(11,390	)
											$	208,285	$	(161,052	)

Swap Contracts

Basis Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	235,000	USD	2/13/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR	$	2,065
	117,000	USD	2/23/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		810
	119,000	USD	3/5/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		661
	117,000	USD	3/12/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		508
	244,000	USD	3/23/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		1,310
							$	5,354
						Premiums to (Pay) Receive	$	—

See accompanying notes to the financial statements. 25

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	9,413,000	JPY	1/19/2016	1/19/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	28
	9,413,000	JPY	1/22/2016	1/22/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		27
	9,413,000	JPY	1/25/2016	1/25/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		27
	9,413,000	JPY	1/26/2016	1/26/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		27
	9,413,000	JPY	1/28/2016	1/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		21
	9,413,000	JPY	2/1/2016	2/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		24
	9,413,000	JPY	2/2/2016	2/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		25
	9,413,000	JPY	2/5/2016	2/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		24
	9,413,000	JPY	2/8/2016	2/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		24
	9,413,000	JPY	2/9/2016	2/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		24
	94,760,000	JPY	3/9/2016	3/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(340	)
	97,221,000	JPY	3/10/2016	3/10/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(679	)
	94,216,000	JPY	3/11/2016	3/11/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(694	)
	148,587,000	JPY	3/14/2016	3/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,147	)
	14,070,000	JPY	11/1/2016	11/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		12
	14,070,000	JPY	11/2/2016	11/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		12
	14,070,000	JPY	11/3/2016	11/3/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5	)
	14,070,000	JPY	11/7/2016	11/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		12
	14,070,000	JPY	11/8/2016	11/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		11
	8,520,000	JPY	11/9/2016	11/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		16
	8,520,000	JPY	11/10/2016	11/10/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		1
	8,520,000	JPY	11/14/2016	11/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		17
	8,520,000	JPY	11/15/2016	11/15/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		16
	8,520,000	JPY	11/16/2016	11/16/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		16
	12,600,000	JPY	11/17/2016	11/17/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(36	)
	12,600,000	JPY	11/18/2016	11/18/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(29	)
	12,600,000	JPY	11/21/2016	11/21/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(20	)
	12,600,000	JPY	11/22/2016	11/22/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(26	)
	12,600,000	JPY	11/25/2016	11/25/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(28	)
	10,500,000	JPY	11/28/2016	11/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		26
	10,500,000	JPY	11/29/2016	11/29/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		26
	10,500,000	JPY	11/30/2016	11/30/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		26
	10,500,000	JPY	12/1/2016	12/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		14
	10,500,000	JPY	12/2/2016	12/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		20
	10,500,000	JPY	12/5/2016	12/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		11
	10,500,000	JPY	12/6/2016	12/6/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		11
	10,500,000	JPY	12/7/2016	12/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		12
	10,500,000	JPY	12/8/2016	12/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1	)
	10,500,000	JPY	12/9/2016	12/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		5
	12,600,000	JPY	12/12/2016	12/12/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(15	)
	12,600,000	JPY	12/13/2016	12/13/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(14	)
	12,600,000	JPY	12/14/2016	12/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(14	)
	12,600,000	JPY	12/15/2016	12/15/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(28	)

26 See accompanying notes to the financial statements.

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	12,600,000	JPY	12/16/2016	12/16/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(21	)
	8,520,000	JPY	1/10/2017	1/10/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		16
	8,520,000	JPY	1/11/2017	1/11/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		16
	8,520,000	JPY	1/12/2017	1/12/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		6
	8,520,000	JPY	1/13/2017	1/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		10
	8,520,000	JPY	1/17/2017	1/17/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		15
	8,540,000	JPY	1/18/2017	1/18/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(18	)
	14,070,000	JPY	1/18/2017	1/18/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		12
	14,070,000	JPY	1/19/2017	1/19/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(14	)
	14,070,000	JPY	1/20/2017	1/20/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(7	)
	14,070,000	JPY	1/23/2017	1/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		10
	8,540,000	JPY	1/24/2017	1/24/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(19	)
	14,070,000	JPY	1/24/2017	1/24/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		10
	8,540,000	JPY	1/25/2017	1/25/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(19	)
	8,540,000	JPY	1/26/2017	1/26/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(30	)
	8,540,000	JPY	1/30/2017	1/30/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(20	)
	9,641,000	JPY	1/31/2017	1/31/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(87	)
	9,641,000	JPY	2/1/2017	2/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(87	)
	9,641,000	JPY	2/2/2017	2/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(99	)
	9,641,000	JPY	2/6/2017	2/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(87	)
	9,641,000	JPY	2/7/2017	2/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(87	)
	9,641,000	JPY	2/8/2017	2/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(87	)
	9,641,000	JPY	2/9/2017	2/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(98	)
	9,641,000	JPY	2/13/2017	2/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(87	)
	9,641,000	JPY	2/14/2017	2/14/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(87	)
	9,641,000	JPY	2/15/2017	2/15/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(87	)
	7,991,500	JPY	2/21/2017	2/21/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(83	)
	7,991,500	JPY	2/21/2017	2/21/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(83	)
	7,991,500	JPY	2/22/2017	2/22/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(83	)
	7,991,500	JPY	2/22/2017	2/22/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(83	)
	7,991,500	JPY	2/23/2017	2/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(92	)
	7,991,500	JPY	2/23/2017	2/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(92	)
	7,991,500	JPY	2/27/2017	2/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(83	)
	7,991,500	JPY	2/27/2017	2/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(83	)
	7,991,500	JPY	3/1/2017	3/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(82	)
	7,991,500	JPY	3/1/2017	3/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(82	)
	7,991,500	JPY	3/2/2017	3/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(92	)
	7,991,500	JPY	3/2/2017	3/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(92	)
	47,178,000	JPY	3/3/2017	3/3/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(599	)
	50,758,000	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(616	)
	7,991,500	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(81	)
	7,991,500	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(81	)
	7,991,500	JPY	3/7/2017	3/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(80	)

See accompanying notes to the financial statements. 27

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	7,991,500	JPY	3/7/2017	3/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(80	)
	7,991,500	JPY	3/8/2017	3/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(80	)
	7,991,500	JPY	3/8/2017	3/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(80	)
	7,991,500	JPY	3/9/2017	3/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(90	)
	7,991,500	JPY	3/9/2017	3/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(90	)
	7,641,100	JPY	3/10/2017	3/10/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(123	)
	7,641,100	JPY	3/13/2017	3/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(117	)
	7,641,100	JPY	3/14/2017	3/14/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(117	)
	7,641,100	JPY	3/15/2017	3/15/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(116	)
	7,641,100	JPY	3/16/2017	3/16/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(125	)
	7,641,100	JPY	3/27/2017	3/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(114	)
	7,641,100	JPY	3/28/2017	3/28/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(114	)
	7,641,100	JPY	3/29/2017	3/29/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(114	)
	7,641,100	JPY	4/3/2017	4/3/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(114	)
	7,641,100	JPY	4/4/2017	4/4/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(114	)
	9,429,200	JPY	1/9/2018	1/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(126	)
	9,429,200	JPY	1/10/2018	1/10/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(126	)
	9,429,200	JPY	1/16/2018	1/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(125	)
	9,429,200	JPY	1/17/2018	1/17/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(125	)
	9,429,200	JPY	1/23/2018	1/23/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(123	)
	11,856,000	JPY	1/24/2018	1/24/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(212	)
	11,856,000	JPY	1/25/2018	1/25/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(227	)
	11,856,000	JPY	1/29/2018	1/29/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(211	)
	11,856,000	JPY	1/30/2018	1/30/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(210	)
	11,856,000	JPY	1/31/2018	1/31/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(210	)
	11,856,000	JPY	2/1/2018	2/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(226	)
	11,973,000	JPY	2/5/2018	2/5/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(282	)
	11,973,000	JPY	2/6/2018	2/6/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(282	)
	11,973,000	JPY	2/7/2018	2/7/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(282	)
	11,973,000	JPY	2/8/2018	2/8/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(298	)
	11,973,000	JPY	2/14/2018	2/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(281	)
	11,973,000	JPY	2/20/2018	2/20/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(281	)
	9,429,200	JPY	2/21/2018	2/21/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(255	)
	9,429,200	JPY	2/22/2018	2/22/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(268	)
	9,429,200	JPY	2/26/2018	2/26/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(255	)
	9,429,200	JPY	2/27/2018	2/27/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(255	)
	9,429,200	JPY	2/28/2018	2/28/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(256	)
	9,429,200	JPY	3/1/2018	3/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(262	)
	2,082,000	EUR	3/2/2018	3/2/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(808	)
	9,429,200	JPY	3/5/2018	3/5/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(256	)
	771,000	EUR	3/6/2017	3/6/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(820	)
	9,429,200	JPY	3/6/2018	3/6/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(256	)
	9,429,200	JPY	3/7/2018	3/7/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(269	)

28 See accompanying notes to the financial statements.

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	9,429,200	JPY	3/9/2018	3/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(256	)
	714,000	EUR	3/10/2017	3/10/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(1,494	)
	11,934,000	JPY	3/12/2018	3/12/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(278	)
	11,934,000	JPY	3/13/2018	3/13/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(278	)
	11,934,000	JPY	3/14/2018	3/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(294	)
	759,000	EUR	3/16/2017	3/16/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(3,344	)
	11,934,000	JPY	3/19/2018	3/19/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(278	)
	297,000	EUR	3/20/2017	3/20/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(1,169	)
	11,934,000	JPY	3/26/2018	3/26/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(279	)
	11,934,000	JPY	3/27/2018	3/27/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(279	)
	11,934,000	JPY	3/28/2018	3/28/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(295	)
	11,934,000	JPY	4/3/2018	4/3/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(279	)
	11,934,000	JPY	4/9/2018	4/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(205	)
	11,934,000	JPY	4/16/2018	4/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(205	)
	11,934,000	JPY	4/17/2018	4/17/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(206	)
	11,934,000	JPY	4/20/2018	4/20/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(206	)
	11,934,000	JPY	4/23/2018	4/23/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(206	)
	11,934,000	JPY	4/24/2018	4/24/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(207	)
	11,934,000	JPY	4/25/2018	4/25/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(223	)
	10,907,000	JPY	5/11/2018	5/11/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(86	)
	10,907,000	JPY	5/14/2018	5/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(87	)
	10,907,000	JPY	5/15/2018	5/15/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(87	)
	10,907,000	JPY	5/16/2018	5/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(103	)
	10,907,000	JPY	5/21/2018	5/21/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(88	)
	10,907,000	JPY	5/22/2018	5/22/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(88	)
	10,907,000	JPY	5/29/2018	5/29/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(90	)
	10,907,000	JPY	6/1/2018	6/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(91	)
	1,372,000	EUR	1/27/2021	1/27/2024	GS	3 Month USD LIBOR	3 Month EURIBOR		3,440
	831,000	EUR	1/23/2020	1/23/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		4,541
	678,000	EUR	1/24/2022	1/24/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		3,376
	811,000	EUR	1/29/2020	1/29/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		3,297
	408,000	EUR	1/30/2020	1/30/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		1,967
	687,000	EUR	2/3/2020	2/3/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		3,714
	444,000	EUR	2/11/2020	2/11/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		2,044
	137,000	EUR	3/10/2022	3/10/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		(147	)
	416,000	EUR	3/12/2020	3/12/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		(2,186	)
	475,000	EUR	3/13/2020	3/13/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		(2,759	)
	411,000	EUR	3/20/2020	3/20/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		(1,932	)
	100,000	EUR	3/16/2015	3/16/2035	GS	3 Month EURIBOR	3 Month USD LIBOR		400
								$	(10,115	)
						Premiums to (Pay) Receive		$	(23,762	)

¹ For JPY LIBOR, Fund pays 3 month JPY LIBOR adjusted by a spread. Spreads range from (0.58)% to (0.81)%.

For EURIBOR, Fund pays 3 month EURIBOR adjusted by a spread. Spread is (0.25)%.

²  For EURIBOR, Fund receives 3 month EURIBOR adjusted by a spread. Spreads range from (0.16)% to (0.44)%.

See accompanying notes to the financial statements. 29

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Inflation Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	142,000	GBP	1/13/2020	GS	Receive	2.72%	U.K. Retail Price Index	$	(3,160	)
	222,000	GBP	1/14/2020	GS	Receive	2.76%	U.K. Retail Price Index		(5,607	)
	60,000	GBP	2/19/2020	GS	Receive	2.69%	U.K. Retail Price Index		(858	)
	142,000	GBP	1/13/2025	GS	(Pay)	2.93%	U.K. Retail Price Index		971
	222,000	GBP	1/14/2025	GS	(Pay)	2.94%	U.K. Retail Price Index		1,792
	60,000	GBP	2/19/2025	GS	(Pay)	2.92%	U.K. Retail Price Index		(39	)
								$	(6,901	)
							Premiums to (Pay) Receive	$	—

# Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

Interest Rate Swaps
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	110,000	GBP	3/20/2019	JPMF (c)	Receive	1.18%	6 Month GBP LIBOR	$	(978	)
	1,540,000	DKK	2/25/2020	JPMF (c)	Receive	0.39%	6 Month DKK CIBOR		(2,805	)
	475,000	DKK	2/27/2020	JPMF (c)	Receive	0.32%	6 Month DKK CIBOR		(1,064	)
	1,542,000	DKK	3/2/2020	JPMF (c)	Receive	0.34%	6 Month DKK CIBOR		(3,260	)
	1,549,000	DKK	3/2/2020	JPMF (c)	Receive	0.33%	6 Month DKK CIBOR		(3,456	)
	586,000	DKK	3/6/2020	JPMF (c)	Receive	0.36%	6 Month DKK CIBOR		(1,186	)
	939,000	DKK	3/9/2020	JPMF (c)	Receive	0.38%	6 Month DKK CIBOR		(1,801	)
	923,000	DKK	3/10/2020	JPMF (c)	Receive	0.41%	6 Month DKK CIBOR		(1,571	)
	1,155,000	DKK	3/20/2020	JPMF (c)	Receive	0.37%	6 Month DKK CIBOR		(2,338	)
	27,000	GBP	6/12/2020	JPMF (c)	Receive	1.59%	6 Month GBP LIBOR		93
	500,000	EUR	12/16/2020	CSS (c)	Receive	0.55%	6 Month EURIBOR		1,505
	259,000	EUR	12/16/2020	CSS (c)	(Pay)	0.53%	6 Month EURIBOR		(460	)
	270,000	USD	12/16/2020	CSS (c)	(Pay)	1.92%	3 Month USD LIBOR		(1,774	)
	8,100,000	MXN	11/6/2024	JPMF (c)	Receive	6.03%	TIIE		(9,125	)
	855,000	AUD	11/19/2024	JPMF (c)	Receive	4.28%	6 Month AUD BBSW		19,474
	399,000	GBP	1/21/2025	JPMF (c)	(Pay)	1.45%	SONIA Index		16,861
	219,000	AUD	5/7/2025	JPMF (c)	Receive	3.76%	6 Month AUD BBSW		1,014
	117,000	AUD	5/8/2025	JPMF (c)	Receive	3.80%	6 Month AUD BBSW		680
	235,000	AUD	5/8/2025	JPMF (c)	Receive	3.78%	6 Month AUD BBSW		1,243
	109,000	AUD	5/11/2025	JPMF (c)	Receive	3.71%	6 Month AUD BBSW		343
	232,000	USD	5/13/2025	JPMF (c)	Receive	2.29%	3 Month USD LIBOR		1,012
	102,000	AUD	6/10/2025	JPMF (c)	(Pay)	3.99%	6 Month AUD BBSW		(1,135	)
	177,000	USD	6/11/2025	JPMF (c)	Receive	2.53%	3 Month USD LIBOR		4,440
	48,000	GBP	6/24/2025	JPMF (c)	Receive	1.99%	6 Month GBP LIBOR		152
	316,000	AUD	7/29/2025	CSS (c)	(Pay)	3.71%	6 Month AUD BBSW		(673	)
	573,000	AUD	8/13/2025	CSS (c)	(Pay)	3.69%	6 Month AUD BBSW		(843	)
	38,000	USD	9/23/2025	JPMF (c)	(Pay)	2.39%	3 Month USD LIBOR		(370	)

30 See accompanying notes to the financial statements.

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	79,000	USD	9/23/2025	JPMF (c)	(Pay)	2.62%	3 Month USD LIBOR	$	(2,428	)
	139,000	USD	9/23/2025	JPMF (c)	(Pay)	2.54%	3 Month USD LIBOR		(3,232	)
	55,000	USD	9/23/2025	JPMF (c)	(Pay)	2.48%	3 Month USD LIBOR		(964	)
	700,000	EUR	12/17/2025	CSS (c)	(Pay)	1.87%	6 Month EURIBOR		(2,959	)
	432,000	USD	12/17/2025	CSS (c)	(Pay)	2.43%	3 Month USD LIBOR		(3,208	)
	226,000	EUR	3/30/2030	JPMF (c)	(Pay)	0.74%	6 Month EURIBOR		22,662
	71,000	EUR	4/14/2030	JPMF (c)	(Pay)	0.72%	6 Month EURIBOR		7,459
	167,000	GBP	5/20/2030	JPMF (c)	Receive	2.69%	6 Month GBP LIBOR		1,976
	117,000	EUR	9/15/2030	JPMF (c)	(Pay)	0.78%	6 Month EURIBOR		11,784
	25,000	EUR	12/18/2030	CSS (c)	Receive	1.52%	6 Month EURIBOR		233
	17,000	EUR	12/18/2030	CSS (c)	Receive	1.51%	6 Month EURIBOR		143
	10,000	EUR	12/18/2030	CSS (c)	Receive	1.49%	6 Month EURIBOR		60
	11,000	EUR	12/18/2030	CSS (c)	Receive	1.54%	6 Month EURIBOR		146
	14,000	GBP	12/18/2030	CSS (c)	Receive	2.37%	6 Month GBP LIBOR		565
	148,000	USD	3/17/2031	JPMF (c)	(Pay)	2.58%	3 Month USD LIBOR		860
	17,000	EUR	6/18/2031	CSS (c)	Receive	1.49%	6 Month EURIBOR		(95	)
	18,000	EUR	9/17/2031	CSS (c)	Receive	1.54%	6 Month EURIBOR		(62	)
	8,000	EUR	12/21/2033	CSS (c)	Receive	1.84%	6 Month EURIBOR		(6	)
	8,000	EUR	12/21/2033	CSS (c)	Receive	1.83%	6 Month EURIBOR		(12	)
	43,000	AUD	12/23/2034	JPMF (c)	Receive	4.41%	6 Month AUD BBSW		840
	22,000	AUD	12/30/2034	JPMF (c)	Receive	4.37%	6 Month AUD BBSW		383
	22,000	AUD	1/7/2035	JPMF (c)	Receive	4.11%	6 Month AUD BBSW		118
	23,000	AUD	1/8/2035	JPMF (c)	Receive	4.00%	6 Month AUD BBSW		14
	47,000	AUD	1/9/2035	JPMF (c)	Receive	3.96%	6 Month AUD BBSW		(58	)
	47,000	AUD	1/13/2035	JPMF (c)	Receive	3.95%	6 Month AUD BBSW		(86	)
	70,000	AUD	1/13/2035	JPMF (c)	Receive	3.96%	6 Month AUD BBSW		(111	)
	24,000	CHF	1/13/2035	JPMF (c)	(Pay)	1.33%	6 Month CHF LIBOR		(516	)
	47,000	CHF	1/13/2035	JPMF (c)	(Pay)	1.22%	6 Month CHF LIBOR		(493	)
	48,000	AUD	1/14/2035	JPMF (c)	Receive	3.91%	6 Month AUD BBSW		(187	)
	24,000	CHF	1/15/2035	JPMF (c)	(Pay)	1.35%	6 Month CHF LIBOR		(561	)
	48,000	AUD	1/16/2035	JPMF (c)	Receive	3.82%	6 Month AUD BBSW		(387	)
	97,000	CHF	1/16/2035	JPMF (c)	(Pay)	1.35%	6 Month CHF LIBOR		(2,268	)
	23,000	AUD	1/20/2035	JPMF (c)	Receive	3.76%	6 Month AUD BBSW		(249	)
	47,000	AUD	1/21/2035	JPMF (c)	Receive	3.75%	6 Month AUD BBSW		(515	)
	48,000	CHF	1/22/2035	JPMF (c)	(Pay)	1.25%	6 Month CHF LIBOR		(664	)
	55,000	CHF	1/23/2035	JPMF (c)	(Pay)	1.23%	6 Month CHF LIBOR		(642	)
	54,000	CHF	1/27/2035	JPMF (c)	(Pay)	1.22%	6 Month CHF LIBOR		(592	)
	25,000	CHF	2/3/2035	JPMF (c)	(Pay)	1.25%	6 Month CHF LIBOR		(346	)
	70,000	CHF	2/3/2035	JPMF (c)	(Pay)	1.22%	6 Month CHF LIBOR		(735	)
	28,000	CHF	2/4/2035	JPMF (c)	(Pay)	1.12%	6 Month CHF LIBOR		(40	)
	145,000	AUD	3/4/2035	JPMF (c)	Receive	3.68%	6 Month AUD BBSW		(2,081	)
	69,000	AUD	3/4/2035	JPMF (c)	Receive	3.66%	6 Month AUD BBSW		(1,048	)
	23,000	CHF	3/4/2035	JPMF (c)	(Pay)	1.14%	6 Month CHF LIBOR		(84	)
	12,000	CHF	3/5/2035	JPMF (c)	(Pay)	1.16%	6 Month CHF LIBOR		(63	)

See accompanying notes to the financial statements. 31

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	89,000	AUD	3/6/2035	JPMF (c)	Receive	3.70%	6 Month AUD BBSW	$	(1,187	)
	92,000	AUD	3/10/2035	JPMF (c)	Receive	3.75%	6 Month AUD BBSW		(1,015	)
	141,000	AUD	3/10/2035	JPMF (c)	Receive	3.75%	6 Month AUD BBSW		(1,539	)
	100,000	EUR	3/16/2035	JPMF (c)	(Pay)	1.05%	6 Month EURIBOR		8,457
	111,000	AUD	3/19/2035	JPMF (c)	Receive	3.51%	6 Month AUD BBSW		(2,474	)
	171,000	EUR	3/30/2035	JPMF (c)	(Pay)	0.82%	6 Month EURIBOR		24,525
	11,000	CHF	4/2/2035	JPMF (c)	Receive	0.92%	6 Month CHF LIBOR		(194	)
	53,000	EUR	4/14/2035	JPMF (c)	(Pay)	0.80%	6 Month EURIBOR		7,807
	166,000	CHF	5/6/2035	JPMF (c)	Receive	0.92%	6 Month CHF LIBOR		(2,917	)
	4,000	CHF	6/5/2035	JPMF (c)	Receive	1.22%	6 Month CHF LIBOR		42
	55,000	CHF	6/11/2035	JPMF (c)	Receive	1.40%	6 Month CHF LIBOR		1,543
	164,000	USD	12/19/2035	CSS (c)	(Pay)	2.72%	3 Month USD LIBOR		(1,153	)
	105,000	EUR	3/14/2036	JPMF (c)	(Pay)	0.87%	6 Month EURIBOR		15,333
	185,000	USD	11/15/2041	JPMF (c)	(Pay)	2.44%	3 Month USD LIBOR		9,352
	233,000	USD	11/15/2041	JPMF (c)	(Pay)	2.51%	3 Month USD LIBOR		8,570
	131,000	USD	11/15/2041	JPMF (c)	(Pay)	2.38%	3 Month USD LIBOR		8,254
	131,000	USD	11/15/2041	JPMF (c)	(Pay)	2.32%	3 Month USD LIBOR		9,769
	448,000	USD	11/15/2041	JPMF (c)	(Pay)	2.33%	3 Month USD LIBOR		31,846
	248,200	USD	2/15/2042	JPMF (c)	(Pay)	2.56%	3 Month USD LIBOR		6,631
	234,000	USD	11/15/2042	JPMF (c)	(Pay)	2.61%	3 Month USD LIBOR		4,263
	234,000	USD	2/15/2044	JPMF (c)	(Pay)	2.62%	3 Month USD LIBOR		4,573
	98,280	EUR	12/24/2044	JPMF (c)	(Pay)	1.96%	6 Month EURIBOR		(1,371	)
	50,000	USD	2/9/2045	JPMF (c)	(Pay)	2.18%	3 Month USD LIBOR		5,749
	348,800	EUR	2/11/2045	JPMF (c)	(Pay)	0.90%	6 Month EURIBOR		40,357
	25,000	USD	2/12/2045	JPMF (c)	(Pay)	2.46%	3 Month USD LIBOR		1,348
	388,100	EUR	3/3/2045	JPMF (c)	(Pay)	0.94%	6 Month EURIBOR		66,644
	29,000	GBP	3/6/2045	JPMF (c)	Receive	2.52%	6 Month GBP LIBOR		1,313
	12,000	USD	3/6/2045	JPMF (c)	(Pay)	2.61%	3 Month USD LIBOR		277
	210,000	EUR	3/11/2045	JPMF (c)	(Pay)	1.47%	6 Month EURIBOR		9,575
	201,000	EUR	3/11/2045	JPMF (c)	(Pay)	1.50%	6 Month EURIBOR		8,397
	263,000	USD	3/20/2045	JPMF (c)	Receive	2.61%	3 Month USD LIBOR		(9,660	)
	263,000	USD	3/20/2045	JPMF (c)	Receive	2.62%	3 Month USD LIBOR		(9,249	)
	61,000	EUR	3/24/2045	JPMF (c)	Receive	0.89%	6 Month EURIBOR		(11,854	)
	56,700	EUR	3/24/2045	JPMF (c)	Receive	0.98%	6 Month EURIBOR		(9,458	)
	307,000	USD	3/26/2045	JPMF (c)	(Pay)	2.54%	3 Month USD LIBOR		12,953
	377,000	USD	3/26/2045	JPMF (c)	(Pay)	2.52%	3 Month USD LIBOR		16,699
	31,000	GBP	3/27/2045	JPMF (c)	Receive	2.11%	6 Month GBP LIBOR		(501	)
	239,000	EUR	3/30/2045	JPMF (c)	Receive	0.86%	6 Month EURIBOR		(48,339	)
	65,000	USD	3/30/2045	JPMF (c)	(Pay)	2.63%	3 Month USD LIBOR		2,268
	72,000	USD	3/31/2045	JPMF (c)	Receive	2.37%	3 Month USD LIBOR		(5,358	)
	74,000	EUR	4/14/2045	JPMF (c)	Receive	0.85%	6 Month EURIBOR		(15,271	)
	78,000	EUR	4/15/2045	JPMF (c)	Receive	1.06%	6 Month EURIBOR		(11,479	)
	120,000	USD	5/6/2045	JPMF (c)	Receive	2.96%	3 Month USD LIBOR		(748	)
	104,000	USD	5/6/2045	JPMF (c)	Receive	2.94%	3 Month USD LIBOR		(747	)

32 See accompanying notes to the financial statements.

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	130,000	GBP	5/7/2045	JPMF (c)	Receive	2.44%	6 Month GBP LIBOR	$	4,286
	65,000	GBP	5/7/2045	JPMF (c)	Receive	2.49%	6 Month GBP LIBOR		2,606
	38,000	USD	5/7/2045	JPMF (c)	Receive	3.01%	3 Month USD LIBOR		(240	)
	78,000	GBP	5/8/2045	JPMF (c)	Receive	2.35%	6 Month GBP LIBOR		1,554
	43,000	GBP	5/13/2045	JPMF (c)	Receive	2.47%	6 Month GBP LIBOR		1,631
	238,000	EUR	5/14/2045	JPMF (c)	Receive	1.58%	6 Month EURIBOR		(7,387	)
	64,000	EUR	5/14/2045	JPMF (c)	Receive	1.60%	6 Month EURIBOR		(1,838	)
	45,000	GBP	5/14/2045	JPMF (c)	Receive	2.49%	6 Month GBP LIBOR		1,834
	97,000	USD	5/15/2045	JPMF (c)	Receive	3.20%	3 Month USD LIBOR		1,680
	133,000	EUR	5/20/2045	JPMF (c)	Receive	1.66%	6 Month EURIBOR		(2,776	)
	79,000	EUR	5/27/2045	JPMF (c)	Receive	1.60%	6 Month EURIBOR		(2,255	)
	63,000	EUR	5/27/2045	JPMF (c)	Receive	1.61%	6 Month EURIBOR		(1,698	)
	39,000	EUR	5/29/2045	JPMF (c)	Receive	1.57%	6 Month EURIBOR		(1,263	)
	71,000	EUR	6/3/2045	JPMF (c)	Receive	1.50%	6 Month EURIBOR		(2,865	)
	600,000	EUR	6/4/2045	JPMF (c)	Receive	1.57%	6 Month EURIBOR		(19,009	)
	632,000	EUR	6/5/2045	JPMF (c)	Receive	1.71%	6 Month EURIBOR		(9,808	)
	138,000	EUR	6/10/2045	JPMF (c)	Receive	1.80%	6 Month EURIBOR		(546	)
	54,000	GBP	6/10/2045	JPMF (c)	Receive	2.48%	6 Month GBP LIBOR		2,148
	160,000	EUR	6/12/2045	JPMF (c)	Receive	1.97%	6 Month EURIBOR		2,587
	7,000	GBP	6/12/2045	JPMF (c)	(Pay)	2.34%	6 Month GBP LIBOR		(432	)
	48,000	GBP	6/24/2045	JPMF (c)	(Pay)	2.30%	6 Month GBP LIBOR		(2,207	)
	162,000	EUR	6/28/2045	JPMF (c)	Receive	2.05%	6 Month EURIBOR		4,335
	75,000	USD	7/6/2045	CSS (c)	Receive	2.98%	3 Month USD LIBOR		4,191
	109,000	EUR	7/8/2045	CSS (c)	Receive	2.10%	6 Month EURIBOR		3,594
	365,000	EUR	7/9/2045	CSS (c)	(Pay)	1.87%	6 Month EURIBOR		(1,670	)
	104,000	EUR	7/15/2045	CSS (c)	(Pay)	0.98%	6 Month EURIBOR		17,731
	221,000	EUR	7/15/2045	CSS (c)	Receive	2.11%	6 Month EURIBOR		7,582
	276,000	EUR	7/15/2045	CSS (c)	Receive	2.03%	6 Month EURIBOR		6,780
	109,000	EUR	12/15/2045	JPMF (c)	Receive	0.76%	6 Month EURIBOR		(25,792	)
	73,698	EUR	12/15/2045	JPMF (c)	Receive	0.86%	6 Month EURIBOR		(15,441	)
	75,000	EUR	12/15/2045	JPMF (c)	Receive	1.20%	6 Month EURIBOR		(8,530	)
	15,000	EUR	12/16/2045	JPMF (c)	Receive	0.85%	6 Month EURIBOR		(3,175	)
	81,000	EUR	12/20/2045	CSS (c)	(Pay)	1.87%	6 Month EURIBOR		(556	)
	150,000	EUR	12/20/2045	CSS (c)	(Pay)	1.89%	6 Month EURIBOR		(1,289	)
	164,000	EUR	12/20/2045	CSS (c)	(Pay)	1.84%	6 Month EURIBOR		(514	)
	119,000	GBP	12/20/2045	CSS (c)	(Pay)	2.25%	6 Month GBP LIBOR		(881	)
	119,000	GBP	12/20/2045	CSS (c)	(Pay)	2.30%	6 Month GBP LIBOR		(1,831	)
	258,000	EUR	2/24/2046	JPMF (c)	Receive	1.56%	6 Month EURIBOR		(15,425	)
	311,000	EUR	3/14/2046	JPMF (c)	Receive	0.78%	6 Month EURIBOR		(72,955	)
	45,000	USD	3/17/2046	JPMF (c)	Receive	2.65%	3 Month USD LIBOR		(1,259	)
	72,000	GBP	3/23/2046	CSS (c)	(Pay)	2.48%	6 Month GBP LIBOR		(7,103	)
	5,000	GBP	3/23/2046	JPMF (c)	(Pay)	2.05%	6 Month GBP LIBOR		254
	43,000	GBP	3/23/2046	JPMF (c)	(Pay)	1.97%	6 Month GBP LIBOR		3,347
	7,000	GBP	3/23/2046	JPMF (c)	Receive	1.94%	6 Month GBP LIBOR		(623	)

See accompanying notes to the financial statements. 33

GMO Benchmark-Free Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	37,000	GBP	3/23/2046	JPMF (c)	(Pay)	2.52%	6 Month GBP LIBOR	$	(4,100	)
	123,000	EUR	3/29/2046	JPMF (c)	Receive	0.93%	6 Month EURIBOR		(23,703	)
	150,000	EUR	6/20/2046	CSS (c)	(Pay)	1.88%	6 Month EURIBOR		(1,544	)
	141,000	EUR	6/20/2046	CSS (c)	(Pay)	1.79%	6 Month EURIBOR		201
	187,991	EUR	9/5/2046	JPMF (c)	(Pay)	0.98%	6 Month EURIBOR		18,246
	150,000	EUR	9/19/2046	CSS (c)	(Pay)	1.79%	6 Month EURIBOR		(24	)
	70,000	EUR	12/19/2046	CSS (c)	(Pay)	1.85%	6 Month EURIBOR		(535	)
	72,000	EUR	12/19/2046	CSS (c)	(Pay)	1.92%	6 Month EURIBOR		(1,156	)
	109,000	GBP	12/19/2046	CSS (c)	(Pay)	2.36%	6 Month GBP LIBOR		(3,099	)
	200,049	EUR	2/3/2047	JPMF (c)	(Pay)	0.97%	6 Month EURIBOR		19,080
	224,000	EUR	3/3/2047	JPMF (c)	(Pay)	0.97%	6 Month EURIBOR		21,268
	326,000	EUR	5/24/2047	JPMF (c)	(Pay)	0.97%	6 Month EURIBOR		30,647
	293,000	EUR	7/26/2047	JPMF (c)	(Pay)	0.97%	6 Month EURIBOR		27,342
	395,800	EUR	8/23/2047	JPMF (c)	Receive	0.92%	6 Month EURIBOR		(62,261	)
	57,960	EUR	8/23/2047	JPMF (c)	Receive	1.55%	6 Month EURIBOR		(3,105	)
	644,100	EUR	3/14/2048	JPMF (c)	Receive	0.87%	6 Month EURIBOR		(65,384	)
	203,000	EUR	6/17/2048	CSS (c)	(Pay)	1.83%	6 Month EURIBOR		(2,240	)
	58,000	EUR	12/16/2048	CSS (c)	(Pay)	1.77%	6 Month EURIBOR		(310	)
	58,000	EUR	12/16/2048	CSS (c)	(Pay)	1.76%	6 Month EURIBOR		(210	)
	155,025	EUR	3/16/2056	JPMF (c)	Receive	0.89%	6 Month EURIBOR		(38,833	)
								$	(24,388	)
							Premiums to (Pay) Receive	$	(31,627	)

# Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

(b) The rate shown represents yield-to-maturity.

(c) Swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 109.

34 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Short-Term Investments		52.1	%
Debt Obligations		45.6
Options Purchased		1.7
Forward Currency Contracts		0.2
Loan Participations		0.1
Futures Contracts		0.0	^
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Reverse Repurchase Agreements		(0.1	)
Swap Contracts		(0.3	)
Written/Credit Linked Options		(0.9	)
Other		1.6
		100.0	%
Country/Region Summary**	% of Investments
United States		108.1	%
Australia		6.4
Emerging***		5.8
Denmark		4.9
Mexico		3.2
Switzerland		(1.8	)
Euro Region****		(11.1	)
United Kingdom		(15.5	)
		100.0	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security.

*** The “Emerging” exposure is associated only with investments in GMO Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Mexico, Russia, Brazil, Turkey, Indonesia, Venezuela, Argentina, Hungary, China and Philippines. Additional information about Emerging Country Debt Fund’s emerging country exposure is available in the country/region summary of its financial statements.

**** The “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Latvia, Lithuania, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain.

^ Rounds to 0.00%.

35

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 27.0%
		Albania — 3.8%
		Foreign Government Obligations
USD	14,281,227	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a)		10,196,796
		Mexico — 0.2%
		Foreign Government Obligations
EUR	700,000	United Mexican States, 4.00%, due 03/15/2115		671,705
		United States — 23.0%
		Asset-Backed Securities — 0.1%
USD	74,959	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.59%, due 01/25/36		64,839
USD	323,127	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.44%, due 11/15/33		306,971
				371,810
		Corporate Debt — 2.6%
USD	1,346,000	Apple, Inc., 3.45%, due 02/09/45		1,134,810
USD	1,000,000	Bank of America Corp., 3.30%, due 01/11/23		987,430
EUR	2,133,000	Berkshire Hathaway, Inc., 1.63%, due 03/16/35		1,998,971
USD	322,000	Exxon Mobil Corp., 3.57%, due 03/06/45		299,739
USD	1,000,000	Goldman Sachs Group, Inc. (The), 3.63%, due 01/22/23		1,007,980
USD	1,000,000	JPMorgan Chase & Co., 3.20%, due 01/25/23		984,900
USD	553,000	Microsoft Corp., 4.00%, due 02/12/55		497,285
		Total Corporate Debt		6,911,115
		U.S. Government — 20.3%
USD	6,028,500	U.S. Treasury Bond, 2.75%, due 11/15/42		5,774,489
USD	23,671,100	U.S. Treasury Bond, 3.13%, due 11/15/41 (b)		24,542,741
USD	4,804,000	U.S. Treasury Bond, 3.13%, due 02/15/42		4,973,389
USD	10,000,000	U.S. Treasury Bond, 3.13%, due 02/15/43		10,298,960
USD	4,591,700	U.S. Treasury Bond, 3.63%, due 02/15/44		5,191,610
USD	6,586,800	U.S. Treasury Strip Principal, due 11/15/41		2,965,687
USD	862,800	U.S. Treasury Strip Principal, due 02/15/42		384,524
USD	81,500	U.S. Treasury Strip Principal, due 11/15/42		35,215
USD	1,518,300	U.S. Treasury Strip Principal, due 02/15/44		632,643
		Total U.S. Government		54,799,258
		Total United States		62,082,183
		TOTAL DEBT OBLIGATIONS (COST $75,138,194)		72,950,684

Shares / Principal Amount		Description	Value ($)
		MUTUAL FUNDS — 62.4%
		United States
		Affiliated Issuers
	1,099,869	GMO Debt Opportunities Fund, Class VI		27,320,749
	1,486,056	GMO Emerging Country Debt Fund, Class IV		13,523,112
	4,132,517	GMO U.S. Treasury Fund		103,312,921
	1,571,292	GMO World Opportunity Overlay Fund		24,575,000
		TOTAL MUTUAL FUNDS (COST $162,262,829)		168,731,782
		OPTIONS PURCHASED — 1.7%
		Currency Options — 0.3%
EUR	8,926,000	EUR Put/USD Call, Expires 10/21/15, Strike 1.02, (OTC) (CP-JPM)		5,439
EUR	5,246,000	EUR Put/USD Call, Expires 10/22/15, Strike 1.03, (OTC) (CP-JPM)		5,940
EUR	2,584,000	EUR Put/USD Call, Expires 10/28/15, Strike 1.07, (OTC) (CP-JPM)		10,897
EUR	4,303,000	EUR Put/USD Call, Expires 10/29/15, Strike 1.07, (OTC) (CP-JPM)		18,600
EUR	6,210,000	EUR Put/USD Call, Expires 02/04/16, Strike 1.03, (OTC) (CP-GS)		39,330
EUR	255,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/24/16, Strike 1.10, (OTC) (CP-DB)		87,990
EUR	180,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/29/16, Strike 1.10, (OTC) (CP-JPM)		62,111
EUR	77,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/29/16, Strike 1.10, (OTC) (CP-JPM)		26,570
EUR	5,035,000	EUR Put/USD Call, Expires 03/10/16, Strike 0.98, (OTC) (CP-JPM)		17,402
EUR	7,048,000	EUR Put/USD Call, Expires 03/10/16, Strike 1.05, (OTC) (CP-GS)		74,605
EUR	2,515,000	EUR Call/USD Put, Expires 03/14/16, Strike 1.08, (OTC) (CP-JPM)		164,676
EUR	2,515,000	EUR Put/USD Call, Expires 03/14/16, Strike 1.08, (OTC) (CP-JPM)		43,597
EUR	5,030,000	EUR Put/USD Call, Expires 03/14/16, Strike 0.99, (OTC) (CP-JPM)		22,177
EUR	255,000	EUR Put/USD Call, One-Touch Binary Option, Expires 03/31/16, Strike 1.10, (OTC) (CP-JPM)		87,991
EUR	253,000	EUR Put/USD Call, One-Touch Binary Option, Expires 06/03/16, Strike 1.10, (OTC) (CP-JPM)		88,010
USD	2,228,000	USD Put/CHF Call, Expires 03/01/16, Strike 0.93, (OTC) (CP-GS)		36,096
USD	1,140,000	USD Call/CHF Put, Expires 03/23/16, Strike 0.93, (OTC) (CP-JPM)		52,169
USD	1,143,000	USD Call/CHF Put, Expires 03/23/16, Strike 0.94, (OTC) (CP-JPM)		49,235

36 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Principal Amount		Description	Value ($)
		Currency Options — continued
USD	1,140,000	USD Put/CHF Call, Expires 03/23/16, Strike 0.93, (OTC) (CP-JPM)		23,284
USD	1,143,000	USD Put/CHF Call, Expires 03/23/16, Strike 0.94, (OTC) (CP-JPM)		25,267
		Total Currency Options		941,386

Principal Amount		Expiration Date		Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Counterparty	Value ($)
				Options on Interest Rate Swaps — 1.4%
USD	1,871,000		09/21/2015	Call-OTC 30 Year Interest Rate Swap	3 month USD LIBOR	Receive		2.40%	JPM		3,044
USD	1,871,000		09/21/2015	Put-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Pay		2.40%	JPM		130,265
USD	943,000		09/23/2015	Call-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Receive		2.39%	JPM		1,545
USD	943,000		09/23/2015	Put-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Pay		2.39%	JPM		69,330
EUR	2,038,000		11/20/2015	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		1.28%	MSCI		235,596
EUR	5,058,000		02/22/2016	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		1.56%	GS		449,912
USD	7,312,000		03/11/2016	Call-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Receive		2.75%	GS		96,891
USD	7,312,000		03/11/2016	Put-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Pay		2.75%	GS		258,516
EUR	2,008,000		10/13/2016	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		1.90%	GS		85,005
EUR	6,127,000		02/01/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.03%	GS		239,663
GBP	4,239,000		02/17/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.95%	MSCI		140,646
EUR	3,270,000		02/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		203,499
EUR	3,737,000		03/01/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		1.88%	GS		178,562
GBP	15,911,000		03/20/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.89%	GS		361,788
EUR	3,270,000		05/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		213,961
GBP	3,601,000		05/19/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.91%	GS		83,328
EUR	3,270,000		08/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		223,289
EUR	3,270,000		11/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		231,472
EUR	9,580,000		03/06/2018	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	GS		450,219
					Total Options on Interest Rate Swaps						3,656,531
					TOTAL OPTIONS PURCHASED (COST $5,459,927)						4,597,917

See accompanying notes to the financial statements. 37

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 8.5%
		Money Market Funds — 0.5%
	1,316,387	State Street Institutional Treasury Plus Money Market Fund-Premier Class , 0.00% (c)		1,316,387
		U.S. Government — 8.0%
	7,400,000	U.S. Treasury Bill, 0.00%, due 10/01/15 (d) (e)		7,399,985
	11,650,000	U.S. Treasury Bill, 0.04%, due 12/17/15 (d)		11,648,602
	2,500,000	U.S. Treasury Note, 0.25%, due 11/30/15		2,500,325
		Total U.S. Government		21,548,912
		TOTAL SHORT-TERM INVESTMENTS (COST $22,864,936)		22,865,299
		TOTAL INVESTMENTS — 99.6% (Cost $265,725,886)		269,145,682
		Other Assets and Liabilities (net) — 0.4%		1,170,901
		TOTAL NET ASSETS — 100.0%		$270,316,583

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/24/2016	BCLY		BRL	4,383,717		USD	1,285,321	$	153,892
02/17/2016	GS		CHF	13,436,325		USD	14,560,049		570,402
03/03/2016	GS		CHF	1,031,800		USD	1,054,579		(20,397	)
10/23/2015	JPM		EUR	15,688,000		USD	16,917,638		(700,404	)
10/26/2015	BCLY		EUR	2,897,000		USD	3,298,831		45,263
10/26/2015	BOA		EUR	1,244,231		USD	1,394,827		(2,547	)
10/26/2015	DB		EUR	1,244,419		USD	1,391,167		(6,417	)
10/26/2015	GS		EUR	1,244,355		USD	1,390,275		(7,237	)
10/26/2015	JPM		EUR	4,139,000		USD	4,578,236		(70,199	)
10/26/2015	MSCI		EUR	1,244,418		USD	1,394,333		(3,250	)
10/30/2015	JPM		EUR	782,000		USD	896,782		18,474
11/02/2015	JPM		EUR	1,971,000		USD	2,244,338		30,490
11/16/2015	JPM		EUR	13,011,000		USD	15,010,791		393,056
02/08/2016	GS		EUR	1,734,000		USD	1,875,730		(75,613	)
02/09/2016	DB		EUR	749,000		USD	810,793		(32,105	)
02/17/2016	GS		EUR	724,000		USD	783,440		(31,454	)
03/14/2016	GS		EUR	2,673,000		USD	2,854,898		(155,387	)
03/14/2016	JPM		EUR	2,306,000		USD	2,502,863		(94,113	)
03/16/2016	JPM		EUR	2,264,000		USD	2,422,471		(127,327	)
03/27/2017	DB		EUR	101,000		USD	110,797		(4,428	)
11/07/2017	GS		EUR	4,716,000		USD	5,177,932		(255,760	)
09/28/2015	DB		GBP	157,000		USD	243,978		3,097
09/28/2015	GS		GBP	1,143,000		USD	1,763,803		10,129
09/28/2015	JPM		GBP	84,410		USD	130,884		1,376
11/18/2015	GS		GBP	4,893,000		USD	7,156,013		(349,146	)
12/18/2015	GS		GBP	3,235,000		USD	4,794,705		(166,644	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/28/2015	GS		USD	1,819,057		GBP	1,159,545	$	(39,997	)
09/28/2015	JPM		USD	743,180		GBP	478,000		(9,798	)
10/23/2015	JPM		USD	17,286,746		EUR	15,789,000		444,721
10/26/2015	JPM		USD	2,763,251		EUR	2,366,000		(106,040	)
10/30/2015	JPM		USD	1,337,103		EUR	1,173,000		(19,641	)
11/02/2015	JPM		USD	2,240,266		EUR	1,971,000		(26,418	)
11/16/2015	DB		USD	1,496,300		EUR	1,362,000		33,894
11/16/2015	JPM		USD	8,332,232		EUR	7,771,000		398,412
11/18/2015	GS		USD	7,239,875		GBP	4,893,000		265,283
12/18/2015	GS		USD	4,783,694		GBP	3,235,000		177,656
02/08/2016	GS		USD	1,845,843		EUR	1,734,000		105,500
02/09/2016	DB		USD	61,611		EUR	57,000		2,534
02/17/2016	GS		USD	8,873,543		CHF	8,324,000		(206,752	)
03/14/2016	GS		USD	2,851,423		EUR	2,673,000		158,862
03/14/2016	JPM		USD	2,447,127		EUR	2,306,000		149,849
03/16/2016	JPM		USD	2,428,480		EUR	2,264,000		121,318
03/24/2016	JPM		USD	1,283,949		BRL	4,383,717		(152,520	)
03/24/2016	JPM		USD	139,446		EUR	127,000		3,613
03/29/2016	GS		USD	88,766		EUR	81,000		2,487
03/29/2016	JPM		USD	85,928		EUR	77,900		1,833
11/07/2017	GS		USD	5,205,049		EUR	4,716,000		228,643
								$	657,190

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
3	U.S. Long Bond (CBT)	December 2015	$	463,875	$	254
9	U.S. Treasury Note 10 Yr.	December 2015		1,143,562		(2,614	)
12	U.S. Treasury Note 5 Yr. (CBT)	December 2015		1,433,250		(5,267	)
2	U.S. Ultra Bond	December 2015		316,813		75
			$	3,357,500	$	(7,552	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

38 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Written Options

Currency Options

Principal Amount			Expiration Date	Description	Premiums		Market Value
Call	EUR	255,000	02/24/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.21, (OTC) (CP-DB)	$	86,778	$	(50,791	)
Call	EUR	180,000	02/29/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		26,060		(51,507	)
Call	EUR	77,000	02/29/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		10,775		(21,385	)
Call	EUR	5,035,000	03/10/2016	EUR Call/USD Put, Strike 1.14, (OTC) (CP-JPM)		76,461		(135,403	)
Call	EUR	5,030,000	03/14/2016	EUR Call/USD Put, Strike 1.15, (OTC) (CP-JPM)		72,550		(116,433	)
Call	EUR	255,000	03/31/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		41,051		(80,837	)
Call	EUR	253,000	06/03/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.18, (OTC) (CP-JPM)		51,634		(96,528	)
					$	365,309	$	(552,884	)

Written Options on Interest Rate Swaps

Principal Amount			Expiration Date		Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Counterparty	Premiums		Market Value
	EUR	2,038,000		11/20/2015	Put-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Pay		0.81%	MSCI	$	29,094	$	(82,817	)
	EUR	1,899,375		12/14/2015	Call-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Receive		0.69%	MSCI		39,332		(3,129	)
	EUR	1,899,375		12/14/2015	Put-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Pay		0.69%	MSCI		39,332		(103,890	)
	EUR	4,984,000		06/01/2016	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		0.93%	GS		147,231		(47,807	)
	EUR	5,007,000		07/07/2016	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		0.99%	GS		133,614		(59,602	)
	GBP	4,239,000		02/17/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.95%	MSCI		231,743		(234,587	)
	GBP	15,911,000		03/20/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.89%	GS		843,946		(686,367	)
	EUR	1,635,000		05/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	MSCI		56,842		(41,252	)
	GBP	3,601,000		05/19/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.91%	GS		200,467		(166,396	)
	EUR	3,270,000		08/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	MSCI		121,883		(88,793	)
	EUR	3,270,000		11/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	MSCI		128,220		(96,352	)
	EUR	9,580,000		03/06/2018	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	GS		319,105		(264,885	)
											$	2,290,809	$	(1,875,877	)

See accompanying notes to the financial statements. 39

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Swap Contracts

Basis Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	3,697,000	USD	2/13/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR	$	32,488
	1,837,000	USD	2/23/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		12,719
	1,840,000	USD	3/5/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		10,222
	1,745,000	USD	3/12/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		7,573
	4,129,000	USD	3/23/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		22,173
							$	85,175
						Premiums to (Pay) Receive	$	—

Forward Starting Cross-Currency Basis Swaps
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	181,029,000	JPY	1/19/2016	1/19/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	536
	181,045,000	JPY	1/22/2016	1/22/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		520
	181,045,000	JPY	1/25/2016	1/25/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		514
	181,045,000	JPY	1/26/2016	1/26/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		510
	181,045,000	JPY	1/28/2016	1/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		401
	181,045,000	JPY	2/1/2016	2/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		467
	181,045,000	JPY	2/2/2016	2/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		471
	181,045,000	JPY	2/5/2016	2/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		458
	181,045,000	JPY	2/8/2016	2/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		460
	181,045,000	JPY	2/9/2016	2/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		459
	1,522,231,000	JPY	3/9/2016	3/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,467	)
	1,518,997,000	JPY	3/10/2016	3/10/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(10,611	)
	636,922,000	JPY	3/14/2016	3/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(4,917	)
	329,880,000	JPY	11/1/2016	11/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		279
	329,880,000	JPY	11/2/2016	11/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		282
	329,880,000	JPY	11/3/2016	11/3/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(121	)
	329,880,000	JPY	11/7/2016	11/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		283
	329,880,000	JPY	11/8/2016	11/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		265
	199,979,000	JPY	11/9/2016	11/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		375
	199,979,000	JPY	11/10/2016	11/10/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		14
	199,979,000	JPY	11/14/2016	11/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		389
	199,979,000	JPY	11/15/2016	11/15/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		382
	199,979,000	JPY	11/16/2016	11/16/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		382
	303,553,000	JPY	11/17/2016	11/17/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(856	)
	303,553,000	JPY	11/18/2016	11/18/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(689	)
	303,553,000	JPY	11/21/2016	11/21/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(471	)
	303,553,000	JPY	11/22/2016	11/22/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(617	)
	303,553,000	JPY	11/25/2016	11/25/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(667	)

40 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	252,899,000	JPY	11/28/2016	11/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	616
	252,899,000	JPY	11/29/2016	11/29/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		626
	252,899,000	JPY	11/30/2016	11/30/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		636
	252,899,000	JPY	12/1/2016	12/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		345
	252,899,000	JPY	12/2/2016	12/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		490
	252,899,000	JPY	12/5/2016	12/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		268
	252,899,000	JPY	12/6/2016	12/6/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		275
	252,899,000	JPY	12/7/2016	12/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		281
	252,899,000	JPY	12/8/2016	12/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(19	)
	252,899,000	JPY	12/9/2016	12/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		127
	303,478,000	JPY	12/12/2016	12/12/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(353	)
	303,478,000	JPY	12/13/2016	12/13/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(340	)
	303,478,000	JPY	12/14/2016	12/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(331	)
	303,478,000	JPY	12/15/2016	12/15/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(686	)
	303,478,000	JPY	12/16/2016	12/16/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(509	)
	199,979,000	JPY	1/10/2017	1/10/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		376
	199,979,000	JPY	1/11/2017	1/11/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		372
	199,979,000	JPY	1/12/2017	1/12/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		130
	199,979,000	JPY	1/13/2017	1/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		240
	199,979,000	JPY	1/17/2017	1/17/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		347
	199,311,000	JPY	1/18/2017	1/18/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(418	)
	329,880,000	JPY	1/18/2017	1/18/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		273
	329,880,000	JPY	1/19/2017	1/19/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(340	)
	329,880,000	JPY	1/20/2017	1/20/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(156	)
	329,880,000	JPY	1/23/2017	1/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		245
	199,311,000	JPY	1/24/2017	1/24/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(443	)
	329,880,000	JPY	1/24/2017	1/24/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		238
	199,311,000	JPY	1/25/2017	1/25/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(443	)
	199,311,000	JPY	1/26/2017	1/26/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(691	)
	199,311,000	JPY	1/30/2017	1/30/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(468	)
	124,343,000	JPY	1/31/2017	1/31/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,125	)
	124,343,000	JPY	2/1/2017	2/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,124	)
	124,343,000	JPY	2/2/2017	2/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,273	)
	124,343,000	JPY	2/6/2017	2/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,126	)
	124,343,000	JPY	2/7/2017	2/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,123	)
	124,343,000	JPY	2/8/2017	2/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,121	)
	124,343,000	JPY	2/9/2017	2/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,269	)
	124,343,000	JPY	2/13/2017	2/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,125	)
	124,343,000	JPY	2/14/2017	2/14/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,122	)
	124,343,000	JPY	2/15/2017	2/15/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,122	)
	94,497,000	JPY	2/21/2017	2/21/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(979	)
	94,497,000	JPY	2/21/2017	2/21/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(979	)
	94,497,000	JPY	2/22/2017	2/22/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(976	)
	94,497,000	JPY	2/22/2017	2/22/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(976	)

See accompanying notes to the financial statements. 41

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	94,497,000	JPY	2/23/2017	2/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(1,089	)
	94,497,000	JPY	2/23/2017	2/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,089	)
	94,497,000	JPY	2/27/2017	2/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(978	)
	94,497,000	JPY	2/27/2017	2/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(978	)
	94,497,000	JPY	3/1/2017	3/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(973	)
	94,497,000	JPY	3/1/2017	3/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(973	)
	94,497,000	JPY	3/2/2017	3/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,089	)
	94,497,000	JPY	3/2/2017	3/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,089	)
	742,505,000	JPY	3/3/2017	3/3/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(9,424	)
	737,358,000	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(8,953	)
	94,497,000	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(954	)
	94,497,000	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(954	)
	94,497,000	JPY	3/7/2017	3/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(950	)
	94,497,000	JPY	3/7/2017	3/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(950	)
	94,497,000	JPY	3/8/2017	3/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(946	)
	94,497,000	JPY	3/8/2017	3/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(946	)
	94,497,000	JPY	3/9/2017	3/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,059	)
	94,497,000	JPY	3/9/2017	3/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,059	)
	173,249,000	JPY	3/10/2017	3/10/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,787	)
	173,249,000	JPY	3/13/2017	3/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,654	)
	173,249,000	JPY	3/14/2017	3/14/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,646	)
	173,249,000	JPY	3/15/2017	3/15/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,638	)
	173,249,000	JPY	3/16/2017	3/16/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,845	)
	173,249,000	JPY	3/27/2017	3/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,589	)
	173,249,000	JPY	3/28/2017	3/28/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,589	)
	173,249,000	JPY	3/29/2017	3/29/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,589	)
	173,249,000	JPY	4/3/2017	4/3/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,577	)
	173,249,000	JPY	4/4/2017	4/4/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,577	)
	188,999,000	JPY	1/9/2018	1/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,529	)
	188,999,000	JPY	1/10/2018	1/10/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,529	)
	188,999,000	JPY	1/16/2018	1/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,497	)
	188,999,000	JPY	1/17/2018	1/17/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,497	)
	188,999,000	JPY	1/23/2018	1/23/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,473	)
	237,749,000	JPY	1/24/2018	1/24/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(4,242	)
	237,749,000	JPY	1/25/2018	1/25/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(4,548	)
	237,749,000	JPY	1/29/2018	1/29/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(4,225	)
	237,749,000	JPY	1/30/2018	1/30/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(4,221	)
	237,749,000	JPY	1/31/2018	1/31/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(4,217	)
	237,749,000	JPY	2/1/2018	2/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(4,524	)
	239,289,000	JPY	2/5/2018	2/5/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,639	)
	239,289,000	JPY	2/6/2018	2/6/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,636	)
	239,289,000	JPY	2/7/2018	2/7/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,632	)
	239,289,000	JPY	2/8/2018	2/8/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,946	)
	239,289,000	JPY	2/14/2018	2/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,621	)

42 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	239,289,000	JPY	2/20/2018	2/20/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(5,620	)
	188,999,000	JPY	2/21/2018	2/21/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,112	)
	188,999,000	JPY	2/22/2018	2/22/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,365	)
	188,999,000	JPY	2/26/2018	2/26/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,118	)
	188,999,000	JPY	2/27/2018	2/27/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,119	)
	188,999,000	JPY	2/28/2018	2/28/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,126	)
	188,999,000	JPY	3/1/2018	3/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,254	)
	32,995,000	EUR	3/2/2018	3/2/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(12,804	)
	188,999,000	JPY	3/5/2018	3/5/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,127	)
	17,678,000	EUR	3/6/2017	3/6/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(18,806	)
	188,999,000	JPY	3/6/2018	3/6/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,128	)
	188,999,000	JPY	3/7/2018	3/7/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,382	)
	188,999,000	JPY	3/9/2018	3/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,133	)
	11,408,000	EUR	3/10/2017	3/10/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(23,870	)
	217,205,000	JPY	3/12/2018	3/12/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,056	)
	217,205,000	JPY	3/13/2018	3/13/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,057	)
	217,205,000	JPY	3/14/2018	3/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,346	)
	11,616,000	EUR	3/16/2017	3/16/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(51,180	)
	217,205,000	JPY	3/19/2018	3/19/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,062	)
	217,205,000	JPY	3/26/2018	3/26/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,070	)
	217,205,000	JPY	3/27/2018	3/27/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,071	)
	217,205,000	JPY	3/28/2018	3/28/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,373	)
	217,205,000	JPY	4/3/2018	4/3/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(5,072	)
	217,205,000	JPY	4/9/2018	4/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(3,731	)
	217,205,000	JPY	4/16/2018	4/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(3,740	)
	217,205,000	JPY	4/17/2018	4/17/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(3,745	)
	217,205,000	JPY	4/20/2018	4/20/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(3,752	)
	217,205,000	JPY	4/23/2018	4/23/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(3,757	)
	217,205,000	JPY	4/24/2018	4/24/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(3,759	)
	217,205,000	JPY	4/25/2018	4/25/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(4,056	)
	151,375,000	JPY	5/11/2018	5/11/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,200	)
	151,375,000	JPY	5/14/2018	5/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,207	)
	151,375,000	JPY	5/15/2018	5/15/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,211	)
	151,375,000	JPY	5/16/2018	5/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,424	)
	151,375,000	JPY	5/21/2018	5/21/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,225	)
	151,375,000	JPY	5/22/2018	5/22/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,226	)
	151,375,000	JPY	5/29/2018	5/29/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,250	)
	151,375,000	JPY	6/1/2018	6/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,258	)
	26,669,000	EUR	1/27/2021	1/27/2024	GS	3 Month USD LIBOR	3 Month EURIBOR		66,875
	16,406,000	EUR	1/23/2020	1/23/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		89,652
	13,428,000	EUR	1/24/2022	1/24/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		66,864
	15,298,000	EUR	1/29/2020	1/29/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		62,196
	7,881,000	EUR	1/30/2020	1/30/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		37,990
	20,319,000	EUR	2/3/2020	2/3/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		109,840

See accompanying notes to the financial statements. 43

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	8,051,000	EUR	2/11/2020	2/11/2025	GS	3 Month USD LIBOR	3 Month EURIBOR	$	37,057
	1,162,000	EUR	3/13/2020	3/13/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		(6,750	)
	2,133,000	EUR	3/16/2015	3/16/2035	GS	3 Month EURIBOR	3 Month USD LIBOR		8,542
	700,000	EUR	4/15/2015	4/15/2045	GS	3 Month EURIBOR	3 Month USD LIBOR		(21,458	)
									$   49,375
						Premiums to (Pay) Receive		$	(457,495	)

¹  For JPY LIBOR, Fund pays 3 month JPY LIBOR adjusted by a spread. Spreads range from (0.58)% to (0.81)%.

For EURIBOR, Fund pays 3 month EURIBOR adjusted by a spread. Spreads range from (0.18)% to (0.25)%.

²  For EURIBOR, Fund receives 3 month EURIBOR adjusted by a spread. Spreads range from (0.16)% to (0.44)%.

Inflation Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	881,000	GBP	2/19/2020	GS	Receive	2.69%	U.K. Retail Price Index	$	(12,602	)
	1,466,000	GBP	3/27/2020	GS	(Pay)	2.73%	U.K. Retail Price Index		15,929
	881,000	GBP	2/19/2025	GS	(Pay)	2.92%	U.K. Retail Price Index		(566	)
	1,466,000	GBP	3/27/2025	GS	Receive	3.01%	U.K. Retail Price Index		(9,170	)
								$	(6,409	)
						Premiums to (Pay) Receive		$	—

# Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

Interest Rate Swaps
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	2,279,000	GBP	3/20/2019	BCI (f)	Receive	1.18%	6 Month GBP LIBOR	$	(20,254	)
	24,118,000	DKK	2/25/2020	CSS (f)	Receive	0.39%	6 Month DKK CIBOR		(43,842	)
	14,620,000	DKK	2/27/2020	CSS (f)	Receive	0.32%	6 Month DKK CIBOR		(32,750	)
	24,446,000	DKK	3/2/2020	CSS (f)	Receive	0.34%	6 Month DKK CIBOR		(51,684	)
	24,845,000	DKK	3/2/2020	CSS (f)	Receive	0.33%	6 Month DKK CIBOR		(55,436	)
	7,588,000	DKK	3/6/2020	CSS (f)	Receive	0.36%	6 Month DKK CIBOR		(15,357	)
	14,403,000	DKK	3/9/2020	CSS (f)	Receive	0.38%	6 Month DKK CIBOR		(27,626	)
	14,535,000	DKK	3/10/2020	CSS (f)	Receive	0.41%	6 Month DKK CIBOR		(24,737	)
	16,995,000	DKK	3/20/2020	CSS (f)	Receive	0.37%	6 Month DKK CIBOR		(34,395	)
	756,000	GBP	6/12/2020	BCI (f)	Receive	1.59%	6 Month GBP LIBOR		2,599
	9,800,000	EUR	12/16/2020	CSS (f)	Receive	0.55%	6 Month EURIBOR		29,491
	2,898,000	EUR	12/16/2020	CSS (f)	(Pay)	0.48%	6 Month EURIBOR		3,125
	2,832,000	USD	12/16/2020	CSS (f)	(Pay)	1.92%	3 Month USD LIBOR		(18,610	)
	2,850,000	USD	1/29/2023	CSS (f)	(Pay)	2.30%	3 Month USD LIBOR		(53,820	)

44 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	28,285,000	MXN	10/11/2024	BCI (f)	Receive	6.18%	TIIE	$	(10,646	)
	25,400,000	MXN	10/16/2024	BCI (f)	Receive	6.03%	TIIE		(27,173	)
	26,400,000	MXN	10/18/2024	BCI (f)	Receive	6.12%	TIIE		(17,627	)
	6,200,000	MXN	10/24/2024	BCI (f)	Receive	6.17%	TIIE		(2,792	)
	24,800,000	MXN	10/25/2024	BCI (f)	Receive	6.19%	TIIE		(8,976	)
	12,119,000	MXN	10/28/2024	BCI (f)	Receive	6.13%	TIIE		(7,715	)
	2,300,000	AUD	11/6/2024	BCI (f)	Receive	4.35%	6 Month AUD BBSW		57,464
	6,300,000	AUD	11/7/2024	BCI (f)	Receive	4.31%	6 Month AUD BBSW		150,570
	148,000	AUD	11/11/2024	BCI (f)	Receive	4.33%	6 Month AUD BBSW		3,630
	5,200,000	AUD	11/13/2024	BCI (f)	Receive	4.31%	6 Month AUD BBSW		123,201
	5,560,000	GBP	1/21/2025	BCI (f)	(Pay)	1.45%	SONIA Index		234,959
	3,341,000	AUD	5/7/2025	BCI (f)	Receive	3.76%	6 Month AUD BBSW		15,474
	3,730,000	AUD	5/8/2025	BCI (f)	Receive	3.78%	6 Month AUD BBSW		19,733
	1,879,000	AUD	5/8/2025	BCI (f)	Receive	3.80%	6 Month AUD BBSW		10,917
	2,039,000	AUD	5/11/2025	BCI (f)	Receive	3.71%	6 Month AUD BBSW		6,413
	3,753,000	USD	5/13/2025	CSS (f)	Receive	2.29%	3 Month USD LIBOR		16,379
	1,271,000	AUD	6/10/2025	BCI (f)	(Pay)	3.99%	6 Month AUD BBSW		(14,146	)
	2,784,000	USD	6/11/2025	CSS (f)	Receive	2.53%	3 Month USD LIBOR		69,838
	1,608,000	AUD	7/10/2025	CSS (f)	(Pay)	3.80%	6 Month AUD BBSW		(8,233	)
	4,879,000	AUD	8/13/2025	CSS (f)	(Pay)	3.69%	6 Month AUD BBSW		(7,176	)
	14,280,000	USD	8/15/2025	BCI (f)	(Pay)	0.00%	3 Month USD LIBOR		(582,929	)
	860,000	USD	9/23/2025	CSS (f)	(Pay)	2.48%	3 Month USD LIBOR		(15,069	)
	606,000	USD	9/23/2025	CSS (f)	(Pay)	2.39%	3 Month USD LIBOR		(5,894	)
	2,191,000	USD	9/23/2025	CSS (f)	(Pay)	2.54%	3 Month USD LIBOR		(50,952	)
	1,235,000	USD	9/23/2025	CSS (f)	(Pay)	2.62%	3 Month USD LIBOR		(37,952	)
	8,500,000	EUR	12/17/2025	CSS (f)	(Pay)	1.87%	6 Month EURIBOR		(35,935	)
	4,538,000	USD	12/17/2025	CSS (f)	(Pay)	2.43%	3 Month USD LIBOR		(33,702	)
	2,190,000	EUR	3/30/2030	CSS (f)	(Pay)	0.74%	6 Month EURIBOR		219,598
	3,574,000	GBP	5/20/2030	BCI (f)	Receive	2.69%	6 Month GBP LIBOR		42,296
	1,526,000	EUR	7/1/2030	CSS (f)	(Pay)	2.28%	6 Month EURIBOR		(6,251	)
	1,133,000	EUR	9/15/2030	CSS (f)	(Pay)	0.78%	6 Month EURIBOR		114,114
	316,000	EUR	12/18/2030	CSS (f)	Receive	1.52%	6 Month EURIBOR		2,945
	234,000	EUR	12/18/2030	CSS (f)	Receive	1.54%	6 Month EURIBOR		3,102
	224,000	EUR	12/18/2030	CSS (f)	Receive	1.49%	6 Month EURIBOR		1,347
	275,000	EUR	12/18/2030	CSS (f)	Receive	1.51%	6 Month EURIBOR		2,303
	2,303,000	USD	3/17/2031	CSS (f)	(Pay)	2.58%	3 Month USD LIBOR		13,377
	274,000	EUR	6/18/2031	CSS (f)	Receive	1.49%	6 Month EURIBOR		(1,524	)
	750,000	AUD	12/23/2034	BCI (f)	Receive	4.41%	6 Month AUD BBSW		14,651
	369,000	AUD	12/30/2034	CSS (f)	Receive	4.37%	6 Month AUD BBSW		6,424
	369,000	AUD	1/7/2035	BCI (f)	Receive	4.11%	6 Month AUD BBSW		1,978
	381,000	AUD	1/8/2035	JPMF (f)	Receive	4.00%	6 Month AUD BBSW		233
	759,000	AUD	1/9/2035	JPMF (f)	Receive	3.96%	6 Month AUD BBSW		(942	)
	1,134,000	AUD	1/13/2035	JPMF (f)	Receive	3.96%	6 Month AUD BBSW		(1,803	)

See accompanying notes to the financial statements. 45

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	761,000	AUD	1/13/2035	JPMF (f)	Receive	3.95%	6 Month AUD BBSW	$	(1,386	)
	383,000	CHF	1/13/2035	CSS (f)	(Pay)	1.33%	6 Month CHF LIBOR		(8,230	)
	769,000	CHF	1/13/2035	CSS (f)	(Pay)	1.22%	6 Month CHF LIBOR		(8,065	)
	764,000	AUD	1/14/2035	JPMF (f)	Receive	3.91%	6 Month AUD BBSW		(2,982	)
	389,000	CHF	1/15/2035	CSS (f)	(Pay)	1.35%	6 Month CHF LIBOR		(9,097	)
	771,000	AUD	1/16/2035	BCI (f)	Receive	3.82%	6 Month AUD BBSW		(6,219	)
	1,570,000	CHF	1/16/2035	CSS (f)	(Pay)	1.35%	6 Month CHF LIBOR		(36,714	)
	379,000	AUD	1/20/2035	BCI (f)	Receive	3.76%	6 Month AUD BBSW		(4,110	)
	758,000	AUD	1/21/2035	BCI (f)	Receive	3.75%	6 Month AUD BBSW		(8,304	)
	1,965,000	AUD	3/4/2035	BCI (f)	Receive	3.68%	6 Month AUD BBSW		(28,203	)
	1,076,000	AUD	3/4/2035	BCI (f)	Receive	3.66%	6 Month AUD BBSW		(16,336	)
	4,672,000	CHF	3/4/2035	CSS (f)	(Pay)	1.14%	6 Month CHF LIBOR		(17,089	)
	190,000	CHF	3/5/2035	CSS (f)	(Pay)	1.16%	6 Month CHF LIBOR		(997	)
	1,359,000	AUD	3/6/2035	BCI (f)	Receive	3.70%	6 Month AUD BBSW		(18,124	)
	1,444,000	AUD	3/10/2035	BCI (f)	Receive	3.75%	6 Month AUD BBSW		(15,930	)
	1,988,000	AUD	3/10/2035	BCI (f)	Receive	3.75%	6 Month AUD BBSW		(21,703	)
	2,133,000	EUR	3/16/2035	CSS (f)	(Pay)	1.05%	6 Month EURIBOR		182,216
	1,848,000	AUD	3/19/2035	BCI (f)	Receive	3.51%	6 Month AUD BBSW		(41,181	)
	1,662,000	EUR	3/30/2035	CSS (f)	(Pay)	0.82%	6 Month EURIBOR		238,361
	2,624,000	CHF	5/6/2035	CSS (f)	Receive	0.92%	6 Month CHF LIBOR		(46,107	)
	1,047,000	CHF	5/7/2035	CSS (f)	Receive	0.98%	6 Month CHF LIBOR		(12,881	)
	1,726,000	USD	12/19/2035	CSS (f)	(Pay)	2.72%	3 Month USD LIBOR		(12,136	)
	6,139,000	USD	11/15/2041	CSS (f)	(Pay)	2.51%	3 Month USD LIBOR		225,787
	3,530,000	USD	11/15/2041	BCI (f)	(Pay)	2.38%	3 Month USD LIBOR		222,430
	3,530,000	USD	11/15/2041	BCI (f)	(Pay)	2.32%	3 Month USD LIBOR		263,247
	5,011,000	USD	11/15/2041	CSS (f)	(Pay)	2.44%	3 Month USD LIBOR		252,961
	12,048,000	USD	11/15/2041	CSS (f)	(Pay)	2.33%	3 Month USD LIBOR		856,425
	5,666,800	USD	2/15/2042	CSS (f)	(Pay)	2.56%	3 Month USD LIBOR		151,397
	6,110,000	USD	11/15/2042	CSS (f)	(Pay)	2.61%	3 Month USD LIBOR		111,316
	10,200,000	USD	2/15/2043	CSS (f)	(Pay)	3.04%	3 Month USD LIBOR		(693,667	)
	6,110,000	USD	2/15/2044	CSS (f)	(Pay)	2.62%	3 Month USD LIBOR		119,412
	2,175,000	EUR	12/24/2044	CSS (f)	(Pay)	1.96%	6 Month EURIBOR		(30,349	)
	1,372,000	EUR	12/31/2044	CSS (f)	(Pay)	1.96%	6 Month EURIBOR		(18,437	)
	1,346,000	USD	2/9/2045	CSS (f)	(Pay)	2.18%	3 Month USD LIBOR		154,770
	5,634,300	EUR	2/11/2045	CSS (f)	(Pay)	0.90%	6 Month EURIBOR		651,901
	658,000	USD	2/12/2045	CSS (f)	(Pay)	2.46%	3 Month USD LIBOR		35,478
	3,917,600	EUR	3/3/2045	CSS (f)	(Pay)	0.94%	6 Month EURIBOR		672,727
	447,000	GBP	3/6/2045	BCI (f)	Receive	2.52%	6 Month GBP LIBOR		20,240
	322,000	USD	3/6/2045	CSS (f)	(Pay)	2.61%	3 Month USD LIBOR		7,427
	480,000	EUR	3/11/2045	CSS (f)	(Pay)	1.47%	6 Month EURIBOR		21,887
	1,964,000	EUR	3/11/2045	CSS (f)	(Pay)	1.50%	6 Month EURIBOR		82,049
	1,579,000	EUR	3/11/2045	CSS (f)	(Pay)	1.55%	6 Month EURIBOR		56,409
	700,000	EUR	3/15/2045	CSS (f)	(Pay)	0.84%	6 Month EURIBOR		145,205
	2,411,562	EUR	3/23/2045	CSS (f)	Receive	0.88%	6 Month EURIBOR		(472,939	)

46 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	627,000	EUR	3/24/2045	CSS (f)	Receive	0.98%	6 Month EURIBOR	$	(104,719	)
	602,000	EUR	3/24/2045	CSS (f)	Receive	0.89%	6 Month EURIBOR		(116,989	)
	1,843,000	USD	3/26/2045	JPMF (f)	(Pay)	2.51%	3 Month USD LIBOR		82,392
	587,000	GBP	3/27/2045	BCI (f)	Receive	2.11%	6 Month GBP LIBOR		(9,481	)
	2,316,000	EUR	3/30/2045	CSS (f)	Receive	0.86%	6 Month EURIBOR		(468,423	)
	1,440,000	USD	3/30/2045	CSS (f)	(Pay)	2.63%	3 Month USD LIBOR		50,255
	1,111,000	USD	3/31/2045	CSS (f)	Receive	2.37%	3 Month USD LIBOR		(82,679	)
	755,000	EUR	4/15/2045	CSS (f)	Receive	1.06%	6 Month EURIBOR		(111,109	)
	220,000	EUR	4/24/2045	CSS (f)	Receive	0.89%	6 Month EURIBOR		(42,511	)
	4,710,000	EUR	5/6/2045	CSS (f)	Receive	1.35%	6 Month EURIBOR		(279,389	)
	1,649,000	USD	5/6/2045	CSS (f)	Receive	2.96%	3 Month USD LIBOR		(10,280	)
	1,768,000	USD	5/6/2045	CSS (f)	Receive	2.94%	3 Month USD LIBOR		(12,703	)
	1,625,000	GBP	5/7/2045	BCI (f)	Receive	2.44%	6 Month GBP LIBOR		53,569
	813,000	GBP	5/7/2045	BCI (f)	Receive	2.49%	6 Month GBP LIBOR		32,592
	606,000	USD	5/7/2045	CSS (f)	Receive	3.01%	3 Month USD LIBOR		(3,824	)
	1,212,000	GBP	5/8/2045	BCI (f)	Receive	2.35%	6 Month GBP LIBOR		24,150
	462,000	GBP	5/13/2045	BCI (f)	Receive	2.47%	6 Month GBP LIBOR		17,529
	303,000	EUR	5/14/2045	CSS (f)	Receive	1.60%	6 Month EURIBOR		(8,703	)
	797,000	GBP	5/14/2045	BCI (f)	Receive	2.49%	6 Month GBP LIBOR		32,486
	1,514,000	USD	5/15/2045	CSS (f)	Receive	3.20%	3 Month USD LIBOR		26,223
	1,066,000	EUR	5/20/2045	CSS (f)	Receive	1.66%	6 Month EURIBOR		(22,250	)
	1,096,000	EUR	5/27/2045	CSS (f)	Receive	1.60%	6 Month EURIBOR		(31,285	)
	631,000	EUR	5/27/2045	CSS (f)	Receive	1.61%	6 Month EURIBOR		(17,013	)
	371,000	EUR	6/4/2045	CSS (f)	Receive	1.57%	6 Month EURIBOR		(11,754	)
	2,986,000	EUR	6/5/2045	CSS (f)	Receive	1.71%	6 Month EURIBOR		(46,338	)
	30,000	EUR	6/10/2045	CSS (f)	Receive	1.80%	6 Month EURIBOR		(119	)
	1,357,000	GBP	6/10/2045	BCI (f)	Receive	2.48%	6 Month GBP LIBOR		53,985
	1,282,000	EUR	6/12/2045	CSS (f)	Receive	1.97%	6 Month EURIBOR		20,726
	166,000	GBP	6/12/2045	BCI (f)	(Pay)	2.34%	6 Month GBP LIBOR		(10,240	)
	1,895,000	EUR	6/28/2045	CSS (f)	Receive	2.05%	6 Month EURIBOR		50,712
	1,550,000	GBP	6/28/2045	BCI (f)	(Pay)	2.43%	6 Month GBP LIBOR		(50,977	)
	1,154,000	EUR	7/3/2045	CSS (f)	Receive	2.05%	6 Month EURIBOR		30,770
	1,178,000	USD	7/6/2045	CSS (f)	Receive	2.98%	3 Month USD LIBOR		65,833
	1,465,000	EUR	7/8/2045	CSS (f)	Receive	2.10%	6 Month EURIBOR		48,301
	3,401,000	EUR	7/9/2045	CSS (f)	(Pay)	1.87%	6 Month EURIBOR		(15,562	)
	805,000	EUR	7/10/2045	CSS (f)	(Pay)	1.79%	6 Month EURIBOR		4,398
	3,608,000	EUR	7/15/2045	CSS (f)	Receive	2.03%	6 Month EURIBOR		88,627
	2,685,000	EUR	7/15/2045	CSS (f)	Receive	2.11%	6 Month EURIBOR		92,115
	1,013,000	EUR	7/15/2045	CSS (f)	(Pay)	0.98%	6 Month EURIBOR		172,701
	714,970	EUR	12/15/2045	CSS (f)	Receive	0.86%	6 Month EURIBOR		(149,801	)
	1,057,000	EUR	12/15/2045	CSS (f)	Receive	0.76%	6 Month EURIBOR		(250,118	)
	142,000	EUR	12/16/2045	CSS (f)	Receive	0.85%	6 Month EURIBOR		(30,058	)
	2,285,000	EUR	12/20/2045	CSS (f)	(Pay)	1.87%	6 Month EURIBOR		(14,599	)
	2,380,000	EUR	12/20/2045	CSS (f)	(Pay)	1.80%	6 Month EURIBOR		3,314

See accompanying notes to the financial statements. 47

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	1,688,000	GBP	12/20/2045	CSS (f)	Receive	2.03%	6 Month GBP LIBOR	$	(41,293	)
	2,250,000	GBP	12/20/2045	CSS (f)	(Pay)	2.30%	6 Month GBP LIBOR		(34,624	)
	3,487,000	GBP	12/20/2045	CSS (f)	(Pay)	2.07%	6 Month GBP LIBOR		64,865
	1,791,000	GBP	12/20/2045	CSS (f)	(Pay)	2.25%	6 Month GBP LIBOR		(13,260	)
	700,000	GBP	12/20/2045	CSS (f)	Receive	2.23%	6 Month GBP LIBOR		3,644
	2,529,000	EUR	2/24/2046	CSS (f)	Receive	1.56%	6 Month EURIBOR		(151,198	)
	252,000	EUR	3/16/2046	CSS (f)	Receive	1.08%	6 Month EURIBOR		(38,194	)
	695,000	USD	3/17/2046	CSS (f)	Receive	2.65%	3 Month USD LIBOR		(19,452	)
	144,000	EUR	3/23/2046	CSS (f)	Receive	0.90%	6 Month EURIBOR		(29,254	)
	75,000	GBP	3/23/2046	BCI (f)	(Pay)	2.05%	6 Month GBP LIBOR		3,806
	104,000	GBP	3/23/2046	BCI (f)	Receive	1.94%	6 Month GBP LIBOR		(9,252	)
	679,000	GBP	3/23/2046	BCI (f)	(Pay)	1.97%	6 Month GBP LIBOR		52,859
	1,182,000	GBP	3/23/2046	BCI (f)	(Pay)	2.48%	6 Month GBP LIBOR		(116,603	)
	553,000	GBP	3/23/2046	BCI (f)	(Pay)	2.52%	6 Month GBP LIBOR		(61,277	)
	1,218,000	EUR	3/29/2046	CSS (f)	Receive	0.93%	6 Month EURIBOR		(234,724	)
	2,293,000	EUR	6/20/2046	CSS (f)	(Pay)	1.79%	6 Month EURIBOR		3,271
	2,441,000	EUR	6/20/2046	CSS (f)	(Pay)	1.88%	6 Month EURIBOR		(25,133	)
	539,280	EUR	10/17/2046	CSS (f)	(Pay)	0.97%	6 Month EURIBOR		52,062
	1,610,000	EUR	12/19/2046	CSS (f)	(Pay)	1.92%	6 Month EURIBOR		(25,855	)
	1,558,000	EUR	12/19/2046	CSS (f)	(Pay)	1.85%	6 Month EURIBOR		(11,899	)
	3,635,000	EUR	3/3/2047	CSS (f)	(Pay)	0.97%	6 Month EURIBOR		345,128
	917,700	EUR	5/24/2047	CSS (f)	Receive	1.55%	6 Month EURIBOR		(50,218	)
	3,995,900	EUR	8/23/2047	CSS (f)	Receive	0.92%	6 Month EURIBOR		(628,573	)
	2,027,000	EUR	8/23/2047	CSS (f)	Receive	1.55%	6 Month EURIBOR		(108,573	)
	2,060,000	EUR	11/22/2047	CSS (f)	Receive	1.55%	6 Month EURIBOR		(107,613	)
	2,531,000	EUR	6/17/2048	CSS (f)	(Pay)	1.83%	6 Month EURIBOR		(27,929	)
	1,507,532	EUR	3/16/2056	CSS (f)	Receive	0.89%	6 Month EURIBOR		(377,633	)
								$	313,504
						Premiums to (Pay) Receive		$	(178,109	)

# Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

48 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	24,300,950	USD	9/30/2015	DB	1 Month USD LIBOR BBA	Barclays U.S. Aggregate Total Return Index	$	(39,529	)
	29,764,321	USD	10/30/2015	BCLY	1 Month USD LIBOR BBA	Barclays U.S. Aggregate Total Return Index		(51,148	)
	113,941,477	USD	12/1/2015	BCLY	1 Month USD LIBOR BBA	Barclays U.S. Aggregate Total Return Index		(192,949	)
	63,284,365	USD	7/31/2016	BCLY	1 Month USD LIBOR BBA	Barclays U.S. Aggregate Total Return Index		(105,582	)
	34,550,393	USD	7/31/2016	BCLY	1 Month USD LIBOR BBA	Barclays U.S. Aggregate Total Return Index		(57,643	)
							$	(446,851	)
						Premiums to (Pay) Receive	$	—

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

(a) Security is backed by U.S. Treasury Bonds.

(b) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(c) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

(d) The rate shown represents yield-to-maturity.

(e) Rate rounds to 0.00%.

(f) Swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 109.

See accompanying notes to the financial statements. 49

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		75.8	%
Short-Term Investments		22.5
Options Purchased		2.0
Forward Currency Contracts		0.1
Loan Participations		0.1
Futures Contracts		0.0	^
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Reverse Repurchase Agreements		(0.1	)
Swap Contracts		(0.8	)
Written/Credit Linked Options		(1.1	)
Other		1.5
		100.0	%
Country/Region Summary**	% of Investments
Euro Region***		62.7	%
Australia		12.3
United Kingdom		8.3
Denmark		6.5
Emerging****		5.4
Canada		3.7
Mexico		3.7
United States		1.6
Switzerland		(4.2	)
		100.0	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security.

*** The “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Latvia, Lithuania, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain.

**** The “Emerging” exposure is associated only with investments in GMO Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Mexico, Russia, Brazil, Turkey, Indonesia, Venezuela, Argentina, Hungary, China and Philippines. Additional information about Emerging Country Debt Fund’s emerging country exposure is available in the country/region summary of its financial statements.

^ Rounds to 0.0%.

50

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 61.1%
		Belgium — 3.7%
		Foreign Government Obligations
EUR	1,030,000	Belgium Government Bond, Reg S, 4.25%, due 09/28/21		1,419,988
EUR	670,000	Belgium Government Bond, Reg S, 5.00%, due 03/28/35		1,145,648
		Total Belgium		2,565,636
		France — 3.6%
		Foreign Government Obligations
EUR	1,450,000	Government of France, 4.50%, due 04/25/41		2,455,826
		Germany — 3.9%
		Foreign Government Obligations
EUR	1,500,000	Republic of Deutschland, Reg S, 4.75%, due 07/04/34		2,655,356
		Italy — 18.6%
		Foreign Government Obligations
EUR	5,990,000	Buoni Poliennali Del Tesoro, 3.75%, due 05/01/21		7,664,330
EUR	1,980,000	Buoni Poliennali Del Tesoro, 4.75%, due 05/01/17		2,390,142
EUR	2,010,000	Republic of Italy, Reg S, 4.00%, due 02/01/37		2,692,959
		Total Italy		12,747,431
		Netherlands — 2.9%
		Foreign Government Obligations
EUR	70,000	Netherlands Government Bond, Reg S, 4.00%, due 07/15/19		90,586
EUR	1,130,000	Netherlands Government Bond, 5.50%, due 01/15/28		1,900,600
		Total Netherlands		1,991,186
		Spain — 10.0%
		Foreign Government Obligations
EUR	1,230,000	Government of Spain, 2.10%, due 04/30/17		1,425,006
EUR	1,080,000	Government of Spain, Reg S, 4.20%, due 01/31/37		1,450,102
EUR	2,860,000	Government of Spain, Reg S, 5.50%, due 04/30/21		3,957,707
		Total Spain		6,832,815
		United Kingdom — 18.4%
		Foreign Government Obligations
GBP	1,110,000	United Kingdom Gilt, Reg. S, 1.75%, due 01/22/17		1,731,553
GBP	3,210,000	United Kingdom Gilt, Reg. S, 1.75%, due 07/22/19		5,031,649

Par Value / Shares / Principal Amount		Description	Value ($)
		United Kingdom — continued
		Foreign Government Obligations — continued
GBP	3,200,000	United Kingdom Gilt, Reg. S, 3.50%, due 01/22/45		5,838,123
		Total United Kingdom		12,601,325
		TOTAL DEBT OBLIGATIONS (COST $43,709,967)		41,849,575
		MUTUAL FUNDS — 30.8%
		United States
		Affiliated Issuers
	111,902	GMO Debt Opportunities Fund, Class VI		2,779,648
	349,002	GMO Emerging Country Debt Fund, Class IV		3,175,914
	312,000	GMO U.S. Treasury Fund		7,800,000
	471,798	GMO World Opportunity Overlay Fund		7,378,916
		TOTAL MUTUAL FUNDS (COST $18,656,854)		21,134,478
		OPTIONS PURCHASED — 2.0%
		Currency Options — 0.4%
EUR	2,615,000	EUR Put/USD Call, Expires 10/21/15, Strike 1.02, (OTC) (CP-JPM)		1,593
EUR	1,539,000	EUR Put/USD Call, Expires 10/22/15, Strike 1.03, (OTC) (CP-JPM)		1,743
EUR	763,000	EUR Put/USD Call, Expires 10/28/15, Strike 1.07, (OTC) (CP-JPM)		3,218
EUR	1,267,000	EUR Put/USD Call, Expires 10/29/15, Strike 1.07, (OTC) (CP-JPM)		5,477
EUR	1,836,000	EUR Put/USD Call, Expires 02/04/16, Strike 1.03, (OTC) (CP-GS)		11,628
EUR	76,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/24/16, Strike 1.10, (OTC) (CP-DB)		26,225
EUR	23,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/29/16, Strike 1.10, (OTC) (CP-JPM)		7,936
EUR	53,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/29/16, Strike 1.10, (OTC) (CP-JPM)		18,288
USD	664,000	USD Put/CHF Call, Expires 03/01/16, Strike 0.93, (OTC) (CP-GS)		10,757
EUR	1,510,000	EUR Put/USD Call, Expires 03/10/16, Strike 0.98, (OTC) (CP-JPM)		5,219
EUR	2,114,000	EUR Put/USD Call, Expires 03/10/16, Strike 1.05, (OTC) (CP-GS)		22,377
EUR	757,000	EUR Call/USD Put, Expires 03/14/16, Strike 1.08, (OTC) (CP-JPM)		49,566
EUR	757,000	EUR Put/USD Call, Expires 03/14/16, Strike 1.08, (OTC) (CP-JPM)		13,123
EUR	1,514,000	EUR Put/USD Call, Expires 03/14/16, Strike 0.99, (OTC) (CP-JPM)		6,675

See accompanying notes to the financial statements. 51

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Principal Amount		Description	Value ($)
		Currency Options — continued
USD	342,000	USD Call/CHF Put, Expires 03/23/16, Strike 0.93, (OTC) (CP-JPM)		15,651
USD	342,000	USD Call/CHF Put, Expires 03/23/16, Strike 0.94, (OTC) (CP-JPM)		14,732
USD	342,000	USD Put/CHF Call, Expires 03/23/16, Strike 0.93, (OTC) (CP-JPM)		6,985
USD	342,000	USD Put/CHF Call, Expires 03/23/16, Strike 0.94, (OTC) (CP-JPM)		7,560
EUR	76,000	EUR Put/USD Call, One-Touch Binary Option, Expires 03/31/16, Strike 1.10, (OTC) (CP-JPM)		26,225
EUR	75,000	EUR Put/USD Call, One-Touch Binary Option, Expires 06/03/16, Strike 1.10, (OTC) (CP-JPM)		26,090
		Total Currency Options		281,068

Principal Amount		Expiration Date		Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Counterparty	Value ($)
				Options on Interest Rate Swaps — 1.6%
USD	564,000		09/21/2015	Call-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Receive		2.40%	JPM		918
USD	564,000		09/21/2015	Put-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Pay		2.40%	JPM		39,267
USD	284,000		09/23/2015	Call-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Receive		2.39%	JPM		465
USD	284,000		09/23/2015	Put-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Pay		2.39%	JPM		20,880
EUR	604,000		11/20/2015	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		1.28%	MSCI		69,823
EUR	1,498,000		02/22/2016	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		1.56%	GS		133,248
USD	2,193,000		03/11/2016	Call-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Receive		2.75%	GS		29,059
USD	2,193,000		03/11/2016	Put-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Pay		2.75%	GS		77,534
EUR	604,000		10/13/2016	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		1.90%	GS		25,569
EUR	1,845,000		02/01/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.03%	GS		72,169
GBP	1,259,000		02/17/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.95%	MSCI		41,772
EUR	954,000		02/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		59,370
EUR	1,126,000		03/01/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		1.88%	GS		53,803
GBP	4,721,000		03/20/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.89%	GS		107,347
EUR	954,000		05/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		62,422

52 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Principal Amount		Expiration Date		Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Counterparty	Value ($)
				Options on Interest Rate Swaps — continued
GBP	1,065,000		05/19/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay		2.91%	GS		24,644
EUR	954,000		08/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		65,143
EUR	954,000		11/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	MSCI		67,530
EUR	2,844,000		03/06/2018	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay		2.05%	GS		133,656
					Total Options on Interest Rate Swaps						1,084,619
					TOTAL OPTIONS PURCHASED (COST $1,623,175)						1,365,687

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 6.6%
		Money Market Funds — 0.5%
	318,167	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (a)		318,167
		U.S. Government — 6.1%
	100,000	U.S. Treasury Bill, 0.00%, due 10/01/15 (b) (c)		100,000
	4,000,000	U.S. Treasury Bill, 0.03%, due 10/22/15 (b) (d)		3,999,848
	100,000	U.S. Treasury Bill, 0.04%, due 12/17/15 (b)		99,988
		Total U.S. Government		4,199,836
		TOTAL SHORT-TERM INVESTMENTS (COST $4,517,638)		4,518,003
		TOTAL INVESTMENTS — 100.5% (Cost $68,507,634)		68,867,743
		Other Assets and Liabilities (net) — (0.5%)		(366,865	)
		TOTAL NET ASSETS — 100.0%		$68,500,878

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/24/2016	BCLY		BRL	1,321,662		USD	387,516	$	46,398
02/17/2016	GS		CHF	3,657,800		USD	3,971,173		162,741
03/03/2016	GS		CHF	307,500		USD	314,289		(6,079	)
10/23/2015	JPM		EUR	4,597,000		USD	4,957,343		(205,211	)
10/26/2015	BCLY		EUR	575,000		USD	654,756		8,984
10/26/2015	BOA		EUR	7,081,676		USD	7,938,807		(14,495	)
10/26/2015	DB		EUR	7,082,739		USD	7,917,971		(36,524	)
10/26/2015	GS		EUR	7,082,384		USD	7,912,905		(41,192	)
10/26/2015	JPM		EUR	1,214,000		USD	1,342,834		(20,588	)
10/26/2015	MSCI		EUR	7,082,738		USD	7,935,995		(18,499	)
10/30/2015	JPM		EUR	231,000		USD	264,906		5,457
11/02/2015	JPM		EUR	581,000		USD	661,573		8,988
11/16/2015	JPM		EUR	4,164,000		USD	4,783,887		105,673
02/08/2016	GS		EUR	513,000		USD	554,924		(22,376	)
02/09/2016	DB		EUR	221,000		USD	239,233		(9,473	)
02/17/2016	GS		EUR	214,000		USD	231,569		(9,297	)
03/14/2016	GS		EUR	1,404,000		USD	1,500,876		(80,284	)
03/14/2016	JPM		EUR	692,000		USD	751,076		(28,242	)
03/16/2016	JPM		EUR	681,000		USD	728,670		(38,297	)
03/27/2017	DB		EUR	30,000		USD	32,910		(1,315	)
11/07/2017	GS		EUR	1,404,000		USD	1,541,522		(76,142	)
09/28/2015	DB		GBP	7,451,000		USD	11,578,854		146,984
09/28/2015	GS		GBP	345,000		USD	532,382		3,057
09/28/2015	JPM		GBP	23,833		USD	36,955		389
11/18/2015	GS		GBP	1,489,000		USD	2,177,663		(106,249	)
12/18/2015	GS		GBP	717,000		USD	1,048,684		(50,941	)
09/28/2015	DB		USD	715,856		GBP	460,654		(9,087	)
09/28/2015	GS		USD	734,525		GBP	473,000		(8,814	)
09/28/2015	JPM		USD	219,223		GBP	141,000		(2,890	)
10/23/2015	JPM		USD	5,225,755		EUR	4,776,000		137,821
10/26/2015	BOA		USD	829,203		EUR	739,676		1,514
10/26/2015	DB		USD	827,026		EUR	739,787		3,815
10/26/2015	GS		USD	826,497		EUR	739,750		4,302

See accompanying notes to the financial statements. 53

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/26/2015	JPM		USD	810,523		EUR	694,000	$	(31,104	)
10/26/2015	MSCI		USD	828,909		EUR	739,787		1,932
10/30/2015	JPM		USD	395,545		EUR	347,000		(5,810	)
11/02/2015	JPM		USD	660,373		EUR	581,000		(7,787	)
11/16/2015	DB		USD	449,329		EUR	409,000		10,178
11/16/2015	JPM		USD	1,837,767		EUR	1,716,000		90,142
11/18/2015	GS		USD	683,244		GBP	463,000		26,931
12/18/2015	GS		USD	360,439		GBP	246,000		16,838
02/08/2016	GS		USD	546,089		EUR	513,000		31,212
02/09/2016	DB		USD	18,375		EUR	17,000		756
02/17/2016	GS		USD	2,576,830		CHF	2,414,000		(63,420	)
03/14/2016	GS		USD	855,534		EUR	802,000		47,665
03/14/2016	JPM		USD	734,350		EUR	692,000		44,968
03/16/2016	JPM		USD	730,475		EUR	681,000		36,492
03/24/2016	JPM		USD	387,103		BRL	1,321,662		(45,985	)
03/24/2016	JPM		USD	42,163		EUR	38,400		1,092
03/29/2016	GS		USD	26,302		EUR	24,000		736
03/29/2016	JPM		USD	25,812		EUR	23,400		550
11/07/2017	GS		USD	1,549,595		EUR	1,404,000		68,069
								$	73,583

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
12	Australian Government Bond 10 Yr.		September 2015	$	1,095,773	$	31,895
15	Australian Government Bond 3 Yr.		September 2015		1,194,290		11,241
19	Canadian Government Bond 10 Yr.		December 2015		2,019,527		(35,562	)
12	Euro BOBL		September 2015		1,748,383		7,799
15	Euro Bund		September 2015		2,573,060		14,461
1	Euro BUXL Bond 30 Yr.		September 2015		169,845		(1	)
32	OATs		September 2015		5,296,290		284
5	UK Gilt Long Bond		December 2015		901,191		(2,000	)
				$	14,998,359	$	28,117

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Currency Options

Principal Amount			Expiration Date	Description	Premiums		Market Value
Call	EUR	76,000	02/24/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.21, (OTC) (CP-DB)	$	25,862	$	(15,138	)
Call	EUR	53,000	02/29/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		7,673		(15,166	)
Call	EUR	23,000	02/29/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		3,219		(6,388	)
Call	EUR	1,510,000	03/10/2016	EUR Call/USD Put, Strike 1.14, (OTC) (CP-JPM)		22,931		(40,607	)
Call	EUR	1,514,000	03/14/2016	EUR Call/USD Put, Strike 1.15, (OTC) (CP-JPM)		21,837		(35,046	)
Call	EUR	76,000	03/31/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		12,235		(24,092	)
Call	EUR	75,000	06/03/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.18, (OTC) (CP-JPM)		15,307		(28,615	)
					$	109,064	$	(165,052	)

54 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Written Options on Interest Rate Swaps

Principal Amount			Expiration Date		Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Counterparty	Premiums		Market Value
	EUR	604,000		11/20/2015	Put-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Pay		0.81%	MSCI	$	8,623	$	(24,544	)
	EUR	571,875		12/14/2015	Call-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Receive		0.69%	MSCI		11,842		(942	)
	EUR	571,875		12/14/2015	Put-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Pay		0.69%	MSCI		11,842		(31,280	)
	EUR	1,500,000		06/01/2016	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		0.93%	GS		44,311		(14,388	)
	EUR	1,511,000		07/07/2016	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		0.99%	GS		40,322		(17,987	)
	GBP	1,259,000		02/17/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.95%	MSCI		68,828		(69,673	)
	GBP	4,721,000		03/20/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.89%	GS		250,410		(203,654	)
	EUR	477,000		05/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	MSCI		15,450		(12,035	)
	GBP	1,065,000		05/19/2017	Call-OTC 30-Year Interest Rate Swap	6 Month GBP LIBOR	Receive		1.91%	GS		59,289		(49,212	)
	EUR	954,000		08/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	MSCI		35,559		(25,905	)
	EUR	954,000		11/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	MSCI		37,407		(28,110	)
	EUR	2,844,000		03/06/2018	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	GS		94,732		(78,636	)
											$	678,615	$	(556,366	)

Swap Contracts

Basis Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	1,093,000	USD	2/13/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR	$	9,605
	543,000	USD	2/23/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		3,760
	557,000	USD	3/5/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		3,094
	528,000	USD	3/12/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		2,291
	1,251,000	USD	3/23/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		6,718
							$	25,468
						Premiums to (Pay) Receive	$	—

See accompanying notes to the financial statements. 55

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	53,926,000	JPY	1/19/2016	1/19/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	160
	54,302,000	JPY	1/22/2016	1/22/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		156
	54,302,000	JPY	1/25/2016	1/25/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		154
	54,302,000	JPY	1/26/2016	1/26/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		153
	54,302,000	JPY	1/28/2016	1/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		120
	54,302,000	JPY	2/1/2016	2/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		140
	54,302,000	JPY	2/2/2016	2/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		141
	54,302,000	JPY	2/5/2016	2/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		137
	54,302,000	JPY	2/8/2016	2/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		138
	54,302,000	JPY	2/9/2016	2/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		138
	448,526,000	JPY	3/9/2016	3/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,611	)
	450,933,000	JPY	3/10/2016	3/10/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(3,150	)
	243,412,000	JPY	3/14/2016	3/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,879	)
	97,954,000	JPY	11/1/2016	11/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		83
	97,954,000	JPY	11/2/2016	11/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		84
	97,954,000	JPY	11/3/2016	11/3/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(36	)
	97,954,000	JPY	11/7/2016	11/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		84
	97,954,000	JPY	11/8/2016	11/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		79
	59,358,000	JPY	11/9/2016	11/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		111
	59,358,000	JPY	11/10/2016	11/10/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		4
	59,358,000	JPY	11/14/2016	11/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		115
	59,358,000	JPY	11/15/2016	11/15/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		113
	59,358,000	JPY	11/16/2016	11/16/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		113
	90,136,000	JPY	11/17/2016	11/17/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(254	)
	90,136,000	JPY	11/18/2016	11/18/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(205	)
	90,136,000	JPY	11/21/2016	11/21/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(140	)
	90,136,000	JPY	11/22/2016	11/22/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(183	)
	90,136,000	JPY	11/25/2016	11/25/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(198	)
	75,203,000	JPY	11/28/2016	11/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		183
	75,203,000	JPY	11/29/2016	11/29/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		186
	75,203,000	JPY	11/30/2016	11/30/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		189
	75,203,000	JPY	12/1/2016	12/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		103
	75,203,000	JPY	12/2/2016	12/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		146
	75,203,000	JPY	12/5/2016	12/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		80
	75,203,000	JPY	12/6/2016	12/6/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		82
	75,203,000	JPY	12/7/2016	12/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		84
	75,203,000	JPY	12/8/2016	12/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(6	)
	75,203,000	JPY	12/9/2016	12/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		38
	90,243,000	JPY	12/12/2016	12/12/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(105	)
	90,243,000	JPY	12/13/2016	12/13/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(101	)
	90,243,000	JPY	12/14/2016	12/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(98	)
	90,243,000	JPY	12/15/2016	12/15/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(204	)
	90,243,000	JPY	12/16/2016	12/16/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(151	)
	59,358,000	JPY	1/10/2017	1/10/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		112

56 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	59,358,000	JPY	1/11/2017	1/11/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	110
	59,358,000	JPY	1/12/2017	1/12/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		38
	59,358,000	JPY	1/13/2017	1/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		71
	59,358,000	JPY	1/17/2017	1/17/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		103
	59,159,000	JPY	1/18/2017	1/18/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(124	)
	97,954,000	JPY	1/18/2017	1/18/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		81
	97,954,000	JPY	1/19/2017	1/19/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(101	)
	97,954,000	JPY	1/20/2017	1/20/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(46	)
	97,954,000	JPY	1/23/2017	1/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		73
	59,159,000	JPY	1/24/2017	1/24/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(131	)
	97,954,000	JPY	1/24/2017	1/24/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		71
	59,159,000	JPY	1/25/2017	1/25/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(132	)
	59,159,000	JPY	1/26/2017	1/26/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(205	)
	59,159,000	JPY	1/30/2017	1/30/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(139	)
	36,825,000	JPY	1/31/2017	1/31/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(333	)
	36,825,000	JPY	2/1/2017	2/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(333	)
	36,825,000	JPY	2/2/2017	2/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(377	)
	36,825,000	JPY	2/6/2017	2/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(333	)
	36,825,000	JPY	2/7/2017	2/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(333	)
	36,825,000	JPY	2/8/2017	2/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(332	)
	36,825,000	JPY	2/9/2017	2/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(376	)
	36,825,000	JPY	2/13/2017	2/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(333	)
	36,825,000	JPY	2/14/2017	2/14/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(332	)
	36,825,000	JPY	2/15/2017	2/15/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(332	)
	28,343,000	JPY	2/21/2017	2/21/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(294	)
	28,343,000	JPY	2/21/2017	2/21/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(294	)
	28,343,000	JPY	2/22/2017	2/22/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(293	)
	28,343,000	JPY	2/22/2017	2/22/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(293	)
	28,343,000	JPY	2/23/2017	2/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(327	)
	28,343,000	JPY	2/23/2017	2/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(327	)
	28,343,000	JPY	2/27/2017	2/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(293	)
	28,343,000	JPY	2/27/2017	2/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(293	)
	28,343,000	JPY	3/1/2017	3/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(292	)
	28,343,000	JPY	3/1/2017	3/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(292	)
	28,343,000	JPY	3/2/2017	3/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(327	)
	28,343,000	JPY	3/2/2017	3/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(327	)
	221,270,000	JPY	3/3/2017	3/3/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,808	)
	28,343,000	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(286	)
	28,343,000	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(286	)
	207,120,000	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,515	)
	28,343,000	JPY	3/7/2017	3/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(285	)
	28,343,000	JPY	3/7/2017	3/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(285	)
	28,343,000	JPY	3/8/2017	3/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(284	)
	28,343,000	JPY	3/8/2017	3/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(284	)

See accompanying notes to the financial statements. 57

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	28,343,000	JPY	3/9/2017	3/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(318	)
	28,343,000	JPY	3/9/2017	3/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(318	)
	51,308,000	JPY	3/10/2017	3/10/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(825	)
	51,308,000	JPY	3/13/2017	3/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(786	)
	51,308,000	JPY	3/14/2017	3/14/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(784	)
	51,308,000	JPY	3/15/2017	3/15/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(781	)
	51,308,000	JPY	3/16/2017	3/16/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(843	)
	51,308,000	JPY	3/27/2017	3/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(767	)
	51,308,000	JPY	3/28/2017	3/28/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(767	)
	51,308,000	JPY	3/29/2017	3/29/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(767	)
	51,308,000	JPY	4/3/2017	4/3/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(763	)
	51,308,000	JPY	4/4/2017	4/4/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(763	)
	56,687,000	JPY	1/9/2018	1/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(758	)
	56,687,000	JPY	1/10/2018	1/10/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(758	)
	56,687,000	JPY	1/16/2018	1/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(749	)
	56,687,000	JPY	1/17/2018	1/17/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(749	)
	56,687,000	JPY	1/23/2018	1/23/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(742	)
	70,822,000	JPY	1/24/2018	1/24/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,264	)
	70,822,000	JPY	1/25/2018	1/25/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,355	)
	70,822,000	JPY	1/29/2018	1/29/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,259	)
	70,822,000	JPY	1/30/2018	1/30/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,257	)
	70,822,000	JPY	1/31/2018	1/31/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,256	)
	70,822,000	JPY	2/1/2018	2/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,348	)
	71,281,000	JPY	2/5/2018	2/5/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,680	)
	71,281,000	JPY	2/6/2018	2/6/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,679	)
	71,281,000	JPY	2/7/2018	2/7/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,678	)
	71,281,000	JPY	2/8/2018	2/8/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,771	)
	71,281,000	JPY	2/14/2018	2/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,674	)
	71,281,000	JPY	2/20/2018	2/20/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,674	)
	56,687,000	JPY	2/21/2018	2/21/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,533	)
	56,687,000	JPY	2/22/2018	2/22/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,609	)
	56,687,000	JPY	2/26/2018	2/26/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,535	)
	56,687,000	JPY	2/27/2018	2/27/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,535	)
	56,687,000	JPY	2/28/2018	2/28/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,538	)
	56,687,000	JPY	3/1/2018	3/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,576	)
	9,775,000	EUR	3/2/2018	3/2/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(3,793	)
	56,687,000	JPY	3/5/2018	3/5/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,538	)
	5,260,000	EUR	3/6/2017	3/6/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(5,596	)
	56,687,000	JPY	3/6/2018	3/6/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,538	)
	56,687,000	JPY	3/7/2018	3/7/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,614	)
	56,687,000	JPY	3/9/2018	3/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,539	)
	3,374,000	EUR	3/10/2017	3/10/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(7,060	)
	64,702,000	JPY	3/12/2018	3/12/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,506	)
	64,702,000	JPY	3/13/2018	3/13/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,506	)

58 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	64,702,000	JPY	3/14/2018	3/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(1,593	)
	3,571,000	EUR	3/16/2017	3/16/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(15,734	)
	64,702,000	JPY	3/19/2018	3/19/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,508	)
	64,702,000	JPY	3/26/2018	3/26/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,510	)
	64,702,000	JPY	3/27/2018	3/27/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,511	)
	64,702,000	JPY	3/28/2018	3/28/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,601	)
	64,702,000	JPY	4/3/2018	4/3/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,511	)
	64,702,000	JPY	4/9/2018	4/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,111	)
	64,702,000	JPY	4/16/2018	4/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,114	)
	64,702,000	JPY	4/17/2018	4/17/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,116	)
	64,702,000	JPY	4/20/2018	4/20/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,118	)
	64,702,000	JPY	4/23/2018	4/23/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,119	)
	64,702,000	JPY	4/24/2018	4/24/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,120	)
	64,702,000	JPY	4/25/2018	4/25/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,208	)
	44,830,000	JPY	5/11/2018	5/11/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(355	)
	44,830,000	JPY	5/14/2018	5/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(357	)
	44,830,000	JPY	5/15/2018	5/15/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(359	)
	44,830,000	JPY	5/16/2018	5/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(422	)
	44,830,000	JPY	5/21/2018	5/21/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(363	)
	44,830,000	JPY	5/22/2018	5/22/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(363	)
	44,830,000	JPY	5/29/2018	5/29/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(370	)
	44,830,000	JPY	6/1/2018	6/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(373	)
	7,902,000	EUR	1/27/2021	1/27/2024	GS	3 Month USD LIBOR	3 Month EURIBOR		19,815
	4,861,000	EUR	1/23/2020	1/23/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		26,563
	3,979,000	EUR	1/24/2022	1/24/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		19,813
	4,533,000	EUR	1/29/2020	1/29/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		18,429
	2,335,000	EUR	1/30/2020	1/30/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		11,256
	6,020,000	EUR	2/3/2020	2/3/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		32,543
	2,385,000	EUR	2/11/2020	2/11/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		10,978
	552,000	EUR	3/13/2020	3/13/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		(3,206	)
								$	15,881
						Premiums to (Pay) Receive		$	(150,224	)

¹  For JPY LIBOR, Fund pays 3 month JPY LIBOR adjusted by a spread. Spreads range from (0.58)% to (0.81)%.

²  For EURIBOR, Fund receives 3 month EURIBOR adjusted by a spread. Spreads range from (0.16)% to (0.44)%.

See accompanying notes to the financial statements. 59

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Inflation Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	245,000	GBP	2/19/2020	GS	Receive	2.69%	U.K. Retail Price Index	$	(3,505	)
	403,000	GBP	3/27/2020	GS	(Pay)	2.73%	U.K. Retail Price Index		4,379
	245,000	GBP	2/19/2025	GS	(Pay)	2.92%	U.K. Retail Price Index		(158	)
	403,000	GBP	3/27/2025	GS	Receive	3.01%	U.K. Retail Price Index		(2,521	)
								$	(1,805	)
							Premiums to (Pay) Receive	$	—

# Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

Interest Rate Swaps
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	3,890,000	EUR	11/28/2016	CSS (e)	Receive	0.10%	6 Month EURIBOR	$	6,821
	682,000	GBP	3/20/2019	BCI (e)	Receive	1.18%	6 Month GBP LIBOR		(6,061	)
	7,152,000	DKK	2/25/2020	CSS (e)	Receive	0.39%	6 Month DKK CIBOR		(13,001	)
	4,066,000	DKK	2/27/2020	CSS (e)	Receive	0.32%	6 Month DKK CIBOR		(9,108	)
	7,242,000	DKK	3/2/2020	CSS (e)	Receive	0.34%	6 Month DKK CIBOR		(15,311	)
	7,414,000	DKK	3/2/2020	CSS (e)	Receive	0.33%	6 Month DKK CIBOR		(16,543	)
	2,323,000	DKK	3/6/2020	CSS (e)	Receive	0.36%	6 Month DKK CIBOR		(4,701	)
	4,179,000	DKK	3/9/2020	CSS (e)	Receive	0.38%	6 Month DKK CIBOR		(8,016	)
	4,417,000	DKK	3/10/2020	CSS (e)	Receive	0.41%	6 Month DKK CIBOR		(7,517	)
	5,693,000	DKK	3/20/2020	CSS (e)	Receive	0.37%	6 Month DKK CIBOR		(11,522	)
	462,000	DKK	6/12/2020	CSS (e)	(Pay)	0.87%	6 Month DKK CIBOR		(562	)
	214,000	GBP	6/12/2020	BCI (e)	Receive	1.59%	6 Month GBP LIBOR		736
	1,381,000	EUR	12/16/2020	CSS (e)	(Pay)	0.48%	6 Month EURIBOR		1,489
	2,700,000	EUR	12/16/2020	CSS (e)	Receive	0.55%	6 Month EURIBOR		8,125
	665,000	USD	12/16/2020	CSS (e)	(Pay)	1.92%	3 Month USD LIBOR		(4,370	)
	7,537,000	MXN	10/11/2024	BCI (e)	Receive	6.18%	TIIE		(2,837	)
	8,000,000	MXN	10/16/2024	BCI (e)	Receive	6.03%	TIIE		(8,559	)
	5,700,000	MXN	10/18/2024	BCI (e)	Receive	6.12%	TIIE		(3,806	)
	2,000,000	MXN	10/24/2024	BCI (e)	Receive	6.17%	TIIE		(901	)
	8,000,000	MXN	10/25/2024	BCI (e)	Receive	6.19%	TIIE		(2,895	)
	3,602,000	MXN	10/28/2024	BCI (e)	Receive	6.13%	TIIE		(2,293	)
	222,000	AUD	11/6/2024	BCI (e)	Receive	4.35%	6 Month AUD BBSW		5,547
	1,900,000	AUD	11/7/2024	BCI (e)	Receive	4.31%	6 Month AUD BBSW		45,410
	2,100,000	AUD	11/13/2024	BCI (e)	Receive	4.31%	6 Month AUD BBSW		49,754
	1,553,000	GBP	1/21/2025	BCI (e)	(Pay)	1.45%	6 Month GBP LIBOR		65,628
	859,000	AUD	5/7/2025	BCI (e)	Receive	3.76%	6 Month AUD BBSW		3,978
	1,083,000	AUD	5/8/2025	BCI (e)	Receive	3.78%	6 Month AUD BBSW		5,729
	551,000	AUD	5/8/2025	BCI (e)	Receive	3.80%	6 Month AUD BBSW		3,201
	628,000	AUD	5/11/2025	BCI (e)	Receive	3.71%	6 Month AUD BBSW		1,975
	1,130,000	USD	5/13/2025	CSS (e)	Receive	2.29%	3 Month USD LIBOR		4,932

60 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	657,000	AUD	6/10/2025	BCI (e)	(Pay)	3.99%	6 Month AUD BBSW	$	(7,312	)
	842,000	USD	6/11/2025	CSS (e)	Receive	2.53%	3 Month USD LIBOR		21,122
	108,000	AUD	7/9/2025	CSS (e)	(Pay)	3.87%	6 Month AUD BBSW		(769	)
	665,000	AUD	7/10/2025	CSS (e)	(Pay)	3.80%	6 Month AUD BBSW		(3,405	)
	2,853,000	AUD	8/13/2025	CSS (e)	(Pay)	3.69%	6 Month AUD BBSW		(4,196	)
	182,000	USD	9/23/2025	CSS (e)	(Pay)	2.39%	3 Month USD LIBOR		(1,770	)
	259,000	USD	9/23/2025	CSS (e)	(Pay)	2.48%	3 Month USD LIBOR		(4,538	)
	18,000	USD	9/23/2025	CSS (e)	(Pay)	2.66%	3 Month USD LIBOR		(615	)
	645,000	USD	9/23/2025	CSS (e)	(Pay)	2.54%	3 Month USD LIBOR		(15,000	)
	372,000	USD	9/23/2025	CSS (e)	(Pay)	2.62%	3 Month USD LIBOR		(11,432	)
	2,500,000	EUR	12/17/2025	CSS (e)	(Pay)	1.87%	6 Month EURIBOR		(10,569	)
	1,066,000	USD	12/17/2025	CSS (e)	(Pay)	2.43%	3 Month USD LIBOR		(7,916	)
	657,000	EUR	3/30/2030	CSS (e)	(Pay)	0.74%	6 Month EURIBOR		65,879
	968,000	GBP	5/20/2030	BCI (e)	Receive	2.69%	6 Month GBP LIBOR		11,456
	454,000	EUR	7/1/2030	CSS (e)	(Pay)	2.28%	6 Month EURIBOR		(1,859	)
	340,000	EUR	9/15/2030	CSS (e)	(Pay)	0.78%	6 Month EURIBOR		34,244
	92,000	EUR	12/18/2030	CSS (e)	Receive	1.52%	6 Month EURIBOR		858
	71,000	EUR	12/18/2030	CSS (e)	Receive	1.54%	6 Month EURIBOR		941
	68,000	EUR	12/18/2030	CSS (e)	Receive	1.49%	6 Month EURIBOR		409
	83,000	EUR	12/18/2030	CSS (e)	Receive	1.51%	6 Month EURIBOR		695
	691,000	USD	3/17/2031	CSS (e)	(Pay)	2.58%	3 Month USD LIBOR		4,014
	83,000	EUR	6/18/2031	CSS (e)	Receive	1.49%	6 Month EURIBOR		(461	)
	224,000	AUD	12/23/2034	BCI (e)	Receive	4.41%	6 Month AUD BBSW		4,376
	111,000	AUD	12/30/2034	CSS (e)	Receive	4.37%	6 Month AUD BBSW		1,933
	111,000	AUD	1/7/2035	BCI (e)	Receive	4.11%	6 Month AUD BBSW		595
	115,000	AUD	1/8/2035	JPMF (e)	Receive	4.00%	6 Month AUD BBSW		70
	228,000	AUD	1/9/2035	JPMF (e)	Receive	3.96%	6 Month AUD BBSW		(283	)
	229,000	AUD	1/13/2035	JPMF (e)	Receive	3.95%	6 Month AUD BBSW		(417	)
	341,000	AUD	1/13/2035	JPMF (e)	Receive	3.96%	6 Month AUD BBSW		(542	)
	231,000	CHF	1/13/2035	CSS (e)	(Pay)	1.22%	6 Month CHF LIBOR		(2,423	)
	115,000	CHF	1/13/2035	CSS (e)	(Pay)	1.33%	6 Month CHF LIBOR		(2,471	)
	230,000	AUD	1/14/2035	JPMF (e)	Receive	3.91%	6 Month AUD BBSW		(898	)
	117,000	CHF	1/15/2035	CSS (e)	(Pay)	1.35%	6 Month CHF LIBOR		(2,736	)
	226,000	AUD	1/16/2035	BCI (e)	Receive	3.82%	6 Month AUD BBSW		(1,823	)
	472,000	CHF	1/16/2035	CSS (e)	(Pay)	1.35%	6 Month CHF LIBOR		(11,037	)
	111,000	AUD	1/20/2035	BCI (e)	Receive	3.76%	6 Month AUD BBSW		(1,204	)
	222,000	AUD	1/21/2035	BCI (e)	Receive	3.75%	6 Month AUD BBSW		(2,432	)
	576,000	AUD	3/4/2035	BCI (e)	Receive	3.68%	6 Month AUD BBSW		(8,267	)
	320,000	AUD	3/4/2035	BCI (e)	Receive	3.66%	6 Month AUD BBSW		(4,858	)
	1,376,000	CHF	3/4/2035	CSS (e)	(Pay)	1.14%	6 Month CHF LIBOR		(5,033	)
	56,000	CHF	3/5/2035	CSS (e)	(Pay)	1.16%	6 Month CHF LIBOR		(294	)
	390,000	AUD	3/6/2035	BCI (e)	Receive	3.70%	6 Month AUD BBSW		(5,201	)
	437,000	AUD	3/10/2035	BCI (e)	Receive	3.75%	6 Month AUD BBSW		(4,821	)
	605,000	AUD	3/10/2035	BCI (e)	Receive	3.75%	6 Month AUD BBSW		(6,605	)

See accompanying notes to the financial statements. 61

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	596,000	AUD	3/19/2035	BCI (e)	Receive	3.51%	6 Month AUD BBSW	$	(13,281	)
	498,000	EUR	3/30/2035	CSS (e)	(Pay)	0.82%	6 Month EURIBOR		71,422
	773,000	CHF	5/6/2035	CSS (e)	Receive	0.92%	6 Month CHF LIBOR		(13,582	)
	316,000	CHF	5/7/2035	CSS (e)	Receive	0.98%	6 Month CHF LIBOR		(3,888	)
	405,000	USD	12/19/2035	CSS (e)	(Pay)	2.72%	3 Month USD LIBOR		(2,847	)
	651,000	EUR	12/24/2044	CSS (e)	(Pay)	1.96%	6 Month EURIBOR		(9,084	)
	410,000	EUR	12/31/2044	CSS (e)	(Pay)	1.96%	6 Month EURIBOR		(5,510	)
	1,833,900	EUR	2/11/2045	CSS (e)	(Pay)	0.90%	6 Month EURIBOR		212,186
	1,177,000	EUR	3/3/2045	CSS (e)	(Pay)	0.94%	6 Month EURIBOR		202,113
	133,000	GBP	3/6/2045	BCI (e)	Receive	2.52%	6 Month GBP LIBOR		6,022
	154,000	EUR	3/11/2045	CSS (e)	(Pay)	1.47%	6 Month EURIBOR		7,022
	469,000	EUR	3/11/2045	CSS (e)	(Pay)	1.55%	6 Month EURIBOR		16,755
	584,000	EUR	3/11/2045	CSS (e)	(Pay)	1.50%	6 Month EURIBOR		24,397
	712,250	EUR	3/23/2045	CSS (e)	Receive	0.88%	6 Month EURIBOR		(139,682	)
	186,000	EUR	3/24/2045	CSS (e)	Receive	0.98%	6 Month EURIBOR		(31,066	)
	181,000	EUR	3/24/2045	CSS (e)	Receive	0.89%	6 Month EURIBOR		(35,174	)
	615,000	USD	3/26/2045	JPMF (e)	(Pay)	2.51%	3 Month USD LIBOR		27,494
	119,000	GBP	3/27/2045	BCI (e)	Receive	2.11%	6 Month GBP LIBOR		(1,922	)
	695,000	EUR	3/30/2045	CSS (e)	Receive	0.86%	6 Month EURIBOR		(140,567	)
	368,000	USD	3/30/2045	CSS (e)	(Pay)	2.63%	3 Month USD LIBOR		12,843
	333,000	USD	3/31/2045	CSS (e)	Receive	2.37%	3 Month USD LIBOR		(24,781	)
	227,000	EUR	4/15/2045	CSS (e)	Receive	1.06%	6 Month EURIBOR		(33,406	)
	66,000	EUR	4/24/2045	CSS (e)	Receive	0.89%	6 Month EURIBOR		(12,753	)
	1,130,000	EUR	5/6/2045	CSS (e)	Receive	1.35%	6 Month EURIBOR		(67,030	)
	607,000	USD	5/6/2045	CSS (e)	Receive	2.94%	3 Month USD LIBOR		(4,361	)
	499,000	USD	5/6/2045	CSS (e)	Receive	2.96%	3 Month USD LIBOR		(3,111	)
	523,000	GBP	5/7/2045	BCI (e)	Receive	2.44%	6 Month GBP LIBOR		17,241
	261,000	GBP	5/7/2045	BCI (e)	Receive	2.49%	6 Month GBP LIBOR		10,463
	180,000	USD	5/7/2045	CSS (e)	Receive	3.01%	3 Month USD LIBOR		(1,136	)
	389,000	GBP	5/8/2045	BCI (e)	Receive	2.35%	6 Month GBP LIBOR		7,751
	134,000	GBP	5/13/2045	BCI (e)	Receive	2.47%	6 Month GBP LIBOR		5,084
	382,000	EUR	5/14/2045	CSS (e)	Receive	1.58%	6 Month EURIBOR		(11,857	)
	187,000	EUR	5/14/2045	CSS (e)	Receive	1.60%	6 Month EURIBOR		(5,371	)
	261,000	GBP	5/14/2045	BCI (e)	Receive	2.49%	6 Month GBP LIBOR		10,639
	402,000	USD	5/15/2045	CSS (e)	Receive	3.20%	3 Month USD LIBOR		6,963
	379,000	EUR	5/20/2045	CSS (e)	Receive	1.66%	6 Month EURIBOR		(7,910	)
	259,000	EUR	5/27/2045	CSS (e)	Receive	1.60%	6 Month EURIBOR		(7,393	)
	186,000	EUR	5/27/2045	CSS (e)	Receive	1.61%	6 Month EURIBOR		(5,015	)
	336,000	EUR	6/4/2045	CSS (e)	Receive	1.57%	6 Month EURIBOR		(10,645	)
	872,000	EUR	6/5/2045	CSS (e)	Receive	1.71%	6 Month EURIBOR		(13,532	)
	123,000	EUR	6/10/2045	CSS (e)	Receive	1.80%	6 Month EURIBOR		(487	)
	24,000	GBP	6/10/2045	BCI (e)	Receive	2.48%	6 Month GBP LIBOR		955
	394,000	EUR	6/12/2045	CSS (e)	Receive	1.97%	6 Month EURIBOR		6,370
	47,000	GBP	6/12/2045	BCI (e)	(Pay)	2.34%	6 Month GBP LIBOR		(2,899	)

62 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	526,000	EUR	6/28/2045	CSS (e)	Receive	2.05%	6 Month EURIBOR	$	14,076
	332,000	EUR	7/3/2045	CSS (e)	Receive	2.05%	6 Month EURIBOR		8,853
	356,000	USD	7/6/2045	CSS (e)	Receive	2.98%	3 Month USD LIBOR		19,895
	442,000	EUR	7/8/2045	CSS (e)	Receive	2.10%	6 Month EURIBOR		14,573
	998,000	EUR	7/9/2045	CSS (e)	(Pay)	1.87%	6 Month EURIBOR		(4,567	)
	317,000	EUR	7/10/2045	CSS (e)	(Pay)	1.79%	6 Month EURIBOR		1,732
	1,061,000	EUR	7/15/2045	CSS (e)	Receive	2.03%	6 Month EURIBOR		26,063
	793,000	EUR	7/15/2045	CSS (e)	Receive	2.11%	6 Month EURIBOR		27,206
	305,000	EUR	7/15/2045	CSS (e)	(Pay)	0.98%	6 Month EURIBOR		51,998
	214,420	EUR	12/15/2045	CSS (e)	Receive	0.86%	6 Month EURIBOR		(44,925	)
	317,000	EUR	12/15/2045	CSS (e)	Receive	0.76%	6 Month EURIBOR		(75,012	)
	43,000	EUR	12/16/2045	CSS (e)	Receive	0.85%	6 Month EURIBOR		(9,102	)
	695,000	EUR	12/20/2045	CSS (e)	(Pay)	1.80%	6 Month EURIBOR		968
	704,000	EUR	12/20/2045	CSS (e)	(Pay)	1.87%	6 Month EURIBOR		(4,498	)
	631,000	GBP	12/20/2045	CSS (e)	(Pay)	2.30%	6 Month GBP LIBOR		(9,710	)
	533,000	GBP	12/20/2045	CSS (e)	(Pay)	2.25%	6 Month GBP LIBOR		(3,946	)
	749,000	EUR	2/24/2046	CSS (e)	Receive	1.56%	6 Month EURIBOR		(44,779	)
	76,000	EUR	3/16/2046	CSS (e)	Receive	1.08%	6 Month EURIBOR		(11,519	)
	208,000	USD	3/17/2046	CSS (e)	Receive	2.65%	3 Month USD LIBOR		(5,822	)
	44,000	EUR	3/23/2046	CSS (e)	Receive	0.90%	6 Month EURIBOR		(8,939	)
	31,000	GBP	3/23/2046	BCI (e)	Receive	1.94%	6 Month GBP LIBOR		(2,758	)
	334,000	GBP	3/23/2046	BCI (e)	(Pay)	2.48%	6 Month GBP LIBOR		(32,949	)
	188,000	GBP	3/23/2046	BCI (e)	(Pay)	2.52%	6 Month GBP LIBOR		(20,832	)
	204,000	GBP	3/23/2046	BCI (e)	(Pay)	1.97%	6 Month GBP LIBOR		15,881
	23,000	GBP	3/23/2046	BCI (e)	(Pay)	2.05%	6 Month GBP LIBOR		1,167
	367,000	EUR	3/29/2046	CSS (e)	Receive	0.93%	6 Month EURIBOR		(70,725	)
	690,000	EUR	6/20/2046	CSS (e)	(Pay)	1.79%	6 Month EURIBOR		985
	737,000	EUR	6/20/2046	CSS (e)	(Pay)	1.88%	6 Month EURIBOR		(7,588	)
	94,710	EUR	10/17/2046	CSS (e)	(Pay)	0.97%	6 Month EURIBOR		9,143
	485,000	EUR	12/19/2046	CSS (e)	(Pay)	1.92%	6 Month EURIBOR		(7,788	)
	469,000	EUR	12/19/2046	CSS (e)	(Pay)	1.85%	6 Month EURIBOR		(3,582	)
	1,096,000	EUR	3/3/2047	CSS (e)	(Pay)	0.97%	6 Month EURIBOR		104,061
	250,260	EUR	5/24/2047	CSS (e)	Receive	1.55%	6 Month EURIBOR		(13,695	)
	591,000	EUR	8/23/2047	CSS (e)	Receive	1.55%	6 Month EURIBOR		(31,656	)
	1,200,600	EUR	8/23/2047	CSS (e)	Receive	0.92%	6 Month EURIBOR		(188,860	)
	601,000	EUR	11/22/2047	CSS (e)	Receive	1.55%	6 Month EURIBOR		(31,396	)
	739,000	EUR	6/17/2048	CSS (e)	(Pay)	1.83%	6 Month EURIBOR		(8,154	)
	454,051	EUR	3/16/2056	CSS (e)	Receive	0.89%	6 Month EURIBOR		(113,739	)
								$	(321,783	)
						Premiums to (Pay) Receive		$	(86,816	)

# Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

See accompanying notes to the financial statements. 63

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

(b) The rate shown represents yield-to-maturity.

(c) Rate rounds to 0.00%.

(d) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(e) Swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 109.

64 See accompanying notes to the financial statements.

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		78.9	%
Short-Term Investments		18.3
Mutual Funds		4.8
Forward Currency Contracts		0.0	^
Swap Contracts		0.0	^
Other		(2.0	)
		100.0	%
Industry Sector Summary	% of Debt Obligations
Commercial Mortgage-Backed Securities		19.7	%
Student Loans		16.5
Collateralized Loan Obligations		16.1
Residential Mortgage-Backed Securities – Subprime		12.8
Auto Retail Subprime		12.5
Residential Mortgage-Backed Securities – Other		10.1
Time Share		3.8
U.S. Government Agency		1.7
Business Equipment Loans		1.3
Auto Other		1.3
Auto Retail Prime		1.3
Miscellaneous		0.6
Insured Other		0.6
Insured Residential Mortgage-Backed Securities		0.5
Collateralized Debt Obligations		0.5
Residential Mortgage-Backed Securities – Non-Performing Loans		0.4
Consumer Loans		0.3
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

^ Rounds to 0.0%.

65

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 78.9%
		Asset-Backed Securities — 77.6%
		Auto Other — 1.0%
	3,600,000	Chesapeake Funding LLC, Series 12-2A, Class C, 144A, 1 mo. LIBOR + 1.55%, 1.74%, due 05/07/24		3,606,751
	2,500,000	Chesapeake Funding LLC, Series 12-2A, Class D, 144A, 1 mo. LIBOR + 1.85%, 2.04%, due 05/07/24		2,505,176
	4,824,000	Ford Credit Floorplan Master Owner Trust, Series 13-1, Class D, 1.82%, due 01/15/18		4,828,534
	7,000,000	Navistar Financial Dealer Note Master Trust, Series 13-2, Class D, 144A, 1 mo. LIBOR + 2.25%, 2.45%, due 09/25/18		6,997,858
		Total Auto Other		17,938,319
		Auto Retail Prime — 1.0%
	4,500,000	California Republic Auto Receivables Trust, Series 12-1, Class C, 144A, 3.00%, due 01/15/20		4,553,514
	13,120,000	California Republic Auto Receivables Trust, Series 13-1, Class C, 144A, 3.25%, due 03/16/20		13,342,738
		Total Auto Retail Prime		17,896,252
		Auto Retail Subprime — 9.9%
	11,430,000	AmeriCredit Automobile Receivables Trust, Series 12-2, Class E, 144A, 4.85%, due 08/08/19		11,655,217
	3,500,000	AmeriCredit Automobile Receivables Trust, Series 13-1, Class E, 144A, 2.64%, due 07/08/20		3,498,515
	9,000,000	AmeriCredit Automobile Receivables Trust, Series 13-3, Class E, 144A, 3.74%, due 12/08/20		9,153,540
	13,720,000	AmeriCredit Automobile Receivables Trust, Series 14-2, Class E, 3.37%, due 11/08/21		13,530,688
	2,804,000	Carfinance Capital Auto Trust, Series 13-1A, Class D, 144A, 4.68%, due 11/15/19		2,858,872
	2,320,000	CarFinance Capital Auto Trust, Series 14-1A, Class C, 144A, 3.45%, due 04/15/20		2,347,107
	1,330,000	CarFinance Capital Auto Trust, Series 14-1A, Class D, 144A, 4.90%, due 04/15/20		1,339,781
	4,130,000	CFC LLC, Series 14-2A, Class E, 144A, 5.36%, due 11/15/21		4,149,720
	4,000,000	CPS Auto Receivables Trust, Series 14-A, Class C, 144A, 3.29%, due 02/18/20		3,982,640
	1,500,000	CPS Auto Receivables Trust, Series 14-A, Class D, 144A, 5.11%, due 02/18/20		1,485,600
	139,615	CPS Auto Trust, Series 11-C, Class D, 144A, 10.00%, due 03/15/19		143,008

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Auto Retail Subprime — continued
	135,102	CPS Auto Trust, Series 12-A, Class C, 144A, 6.51%, due 06/17/19		135,521
	871,633	CPS Auto Trust, Series 12-D, Class D, 144A, 4.82%, due 03/16/20		873,646
	100,813	CPS Auto Trust, Series 12-D, Class E, 144A, 7.26%, due 03/16/20		101,031
	1,267,347	CPS Auto Trust, Series 13-A, Class D, 144A, 4.41%, due 06/15/20		1,267,068
	348,075	CPS Auto Trust, Series 13-A, Class E, 144A, 6.41%, due 06/15/20		349,449
	5,795,699	CPS Auto Trust, Series 13-B, Class D, 144A, 4.66%, due 09/15/20		5,804,103
	1,338,451	CPS Auto Trust, Series 13-B, Class E, 144A, 6.41%, due 09/15/20		1,346,094
	8,396,012	DT Auto Owner Trust, Series 12-2A, Class D, 144A, 4.35%, due 03/15/19		8,444,961
	18,050,000	DT Auto Owner Trust, Series 13-1A, Class D, 144A, 3.74%, due 05/15/20		18,168,490
	8,000,000	DT Auto Owner Trust, Series 13-2A, Class D, 144A, 4.18%, due 06/15/20		8,127,440
	25,000,000	Exeter Automobile Receivables Trust, Series 13-2A, Class D, 144A, 6.81%, due 08/17/20		26,050,971
	6,000,000	Exeter Automobile Receivables Trust, Series 14-1A, Class C, 144A, 3.57%, due 07/15/19		6,052,500
	12,000,000	Exeter Automobile Receivables Trust, Series 14-1A, Class D, 144A, 5.53%, due 02/16/21		12,248,958
	5,000,000	Exeter Automobile Receivables Trust, Series 14-2A, Class C, 144A, 3.26%, due 12/16/19		4,976,650
	6,000,000	Exeter Automobile Receivables Trust, Series 14-2A, Class D, 144A, 4.93%, due 12/15/20		6,018,240
	3,000,000	First Investors Auto Owner Trust, Series 12-2A, Class D, 144A, 3.79%, due 09/16/19		3,030,000
	3,000,000	Flagship Credit Auto Trust, Series 12-1, Class C, 144A, 4.93%, due 05/15/18		3,077,160
	1,938,500	Flagship Credit Auto Trust, Series 13-1, Class D, 144A, 5.38%, due 07/15/20		1,980,779
	3,000,000	Flagship Credit Auto Trust, Series 14-1, Class C, 144A, 3.34%, due 04/15/20		2,992,200
	1,500,000	Flagship Credit Auto Trust, Series 14-1, Class D, 144A, 4.83%, due 06/15/20		1,514,430
	1,400,000	Flagship Credit Auto Trust, Series 14-1, Class E, 144A, 5.71%, due 08/16/21		1,395,702
	5,000,000	United Auto Credit Securitization Trust, Series 13-1, Class E, 144A, 4.40%, due 04/15/19		5,016,500
		Total Auto Retail Subprime		173,116,581

66 See accompanying notes to the financial statements.

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Business Equipment Loans — 1.0%
	1,000,000	Ascentium Equipment Receivables, Series 14-1A, Class C, 144A, 2.46%, due 11/13/18		1,009,155
	2,580,000	Ascentium Equipment Receivables, Series 14-1A, Class D, 144A, 3.10%, due 06/10/21		2,617,049
	3,000,000	Great America Leasing Receivables, Series 12-1, Class C, 144A, 3.00%, due 11/15/18		3,016,053
	2,841,000	LEAF Receivables Funding 9 LLC, Series 13-1, Class D, 144A, 5.11%, due 09/15/21		2,914,701
	5,700,000	LEAF Receivables Funding 9 LLC, Series 13-1, Class E1, 144A, 6.00%, due 09/15/21		5,842,090
	2,282,000	LEAF Receivables Funding 9 LLC, Series 13-1, Class E2, 144A, 6.00%, due 09/15/21		2,250,351
	352,500	LEAF Receivables Funding LLC, Series 13-1, Class B, 144A, 2.80%, due 09/15/21		353,430
		Total Business Equipment Loans		18,002,829
		Collateralized Debt Obligations — 0.4%
	5,897,785	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.13%, due 11/23/52		5,898
	6,462,819	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.53%, due 05/25/46		6,390,112
		Total Collateralized Debt Obligations		6,396,010
		Collateralized Loan Obligations — 12.7%
	37,012,500	Arrowpoint CLO Ltd., Series 15-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 1.84%, due 04/18/27		36,919,969
	20,624,060	Atrium CDO Corp., Series 5A, Class A3A, 144A, Variable Rate, 3 mo. LIBOR + .24%, 0.52%, due 07/20/20		20,438,443
	3,952,292	Babson CLO Ltd., Series 06-2A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + .24%, 0.53%, due 10/16/20		3,900,517
	27,700,000	CIFC Funding Ltd., Series 14-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.58%, 1.87%, due 01/17/27		27,675,070
	3,965,000	CIFC Funding Ltd., Series 15-4A, Class D, 144A, Variable Rate, 5.50%, due 10/20/27		3,544,591
	243,698	CLARIS III Ltd., Series 2010-16A, Class B, 144A, 0.61%, due 08/04/21		243,211
	24,913,696	Franklin CLO VI Ltd., 144A, Variable Rate, 0.23%, due 08/09/19		24,178,742
	27,270,000	Jamestown CLO Ltd., Series 15-6A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 1.93%, due 02/20/27		27,282,544

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	22,307,000	Madison Park Funding X Ltd., Series 12-10A, Class A2, 144A, Variable Rate, 1.40%, due 01/20/25		22,295,846
	14,000,000	Octagon Investment Partners XXI Ltd., Series 14-1A, Class A1A, 144A, 3 mo. LIBOR + 1.47%, 1.78%, due 11/14/26		13,986,000
	5,736,174	Rockwall CDO II Ltd., Series 07-1A, Class A1LA, 144A, Variable Rate, 3 mo. LIBOR + .25%, 0.55%, due 08/01/24		5,592,770
	36,880,000	West CLO Ltd., Series 14-2A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 1.84%, due 01/16/27		36,787,800
		Total Collateralized Loan Obligations		222,845,503
		Commercial Mortgage-Backed Securities — 15.6%
	7,866,557	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.56%, due 04/25/34		7,453,562
	1,212,983	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .84%, 0.76%, due 04/25/34		1,134,524
	7,235,938	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.57%, due 01/25/35		6,711,332
	12,231,493	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.59%, due 01/25/36		10,580,242
	13,028,651	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, 1 mo. LIBOR + .28%, 0.48%, due 07/25/36		10,865,895
	1,475,587	Bayview Commercial Asset Trust, Series 06-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.50%, due 10/25/36		1,218,225
	10,145,283	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, 1 mo. LIBOR + .27%, 0.47%, due 07/25/37		8,654,941
	7,853,382	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.44%, due 07/25/37		6,714,642
	7,466,184	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.50%, due 12/25/37		7,615,508
	923,449	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.64%, due 10/25/30		817,031
	17,000,000	Commercial Mortgage Pass-Through Certificates, Series 13-300P, Class D, 144A, 4.54%, due 08/10/30		17,293,818
	8,957,000	Commercial Mortgage Trust, Series 13-CR13, Class A4, Variable Rate, 4.19%, due 11/10/23		9,664,734
	4,461,000	Core Industrial Trust, Series 15-CALW, Class A, 144A, 3.29%, due 02/10/37		4,431,111

See accompanying notes to the financial statements. 67

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	13,384,000	Core Industrial Trust, Series 15-WEST, Class E, 144A, Variable Rate, 3.04%, due 02/10/34		13,445,566
	32,957,000	Core Industrial Trust, Series 15-WEST, Class E, 144A, Variable Rate, 4.37%, due 02/10/37		30,590,687
	2,361,313	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.44%, due 11/15/33		2,243,247
	6,565,267	GE Business Loan Trust, Series 06-2A, Class A, 144A, 1 mo. LIBOR + .18%, 0.38%, due 11/15/34		6,204,177
	11,251,107	GE Business Loan Trust, Series 07-1A, Class A, 144A, 1 mo. LIBOR + .17%, 0.37%, due 04/16/35		10,711,054
	11,500,158	GE Business Loan Trust, Series 07-1A, Class D, 144A, 1 mo. LIBOR + 1.00%, 1.20%, due 04/16/35		9,538,001
	17,516,000	GS Mortgage Securities Trust, Series 13-GC16, Class A4, 4.27%, due 11/10/46		19,112,132
	25,668,408	Hilton USA Trust, Series 13-HLF, Class EFL, 144A, 1 mo. LIBOR + 3.75%, 3.94%, due 11/05/30		25,650,440
	6,833,500	Hilton USA Trust, Series 13-HLT, Class EFX, 144A, 4.60%, due 11/05/30		6,853,919
	15,750,000	JP Morgan Chase Commercial Mortgage Securities Corp., Series 14-FBLU, Class D, 144A, 1 mo. LIBOR + 2.60%, 2.79%, due 12/15/28		15,716,925
	3,138,735	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.45%, due 02/25/30		2,993,380
	2,067,418	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.45%, due 09/25/30		1,924,353
	4,982,730	Lehman Brothers Small Balance Commercial, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 0.51%, due 04/25/31		4,310,061
	6,596,707	Monty Parent Issuer LLC, Series 2013-LTR1, Class B, 144A, 4.25%, due 11/20/28		6,596,707
	19,000,000	SCG Trust, Series 13-SRP1, Class D, 144A, 1 mo. LIBOR + 3.34%, 3.54%, due 11/15/26		18,798,790
	4,235,560	Velocity Commercial Capital Loan Trust, Series 15-1, Class AFL, 144A, Variable Rate, 1 mo. LIBOR + 2.43%, 2.63%, due 06/25/45		4,235,560
		Total Commercial Mortgage-Backed Securities		272,080,564

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Consumer Loans — 0.2%
	4,000,000	Springleaf Funding Trust, Series 14-AA, Class C, 144A, 4.45%, due 12/15/22		4,007,252
		Insured Other — 0.5%
	3,288,000	Toll Road Investment Part II, Series 1999B, 144A, NPG, Zero Coupon, due 02/15/30		1,204,395
	30,500,000	Toll Road Investment Part II, Series C, 144A, NPG, Zero Coupon, due 02/15/37		6,667,300
		Total Insured Other		7,871,695
		Insured Residential Mortgage-Backed Securities — 0.8%
	644,653	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.53%, due 01/25/35 ¿		584,826
	6,121,688	Citigroup Mortgage Loan Trust, Inc., Series 07-AMC4, Class A2B, AMBAC, 1 mo. LIBOR + .14%, 0.34%, due 05/25/37		6,010,886
	5,492,433	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.35%, due 06/15/37		4,680,651
	2,261,611	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.42%, due 10/25/34 ¿		2,129,759
	83,143	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.64%, due 06/25/34 ¿		78,625
		Total Insured Residential Mortgage-Backed Securities		13,484,747
		Miscellaneous — 0.5%
	11,462,475	Aircraft Finance Trust, Series 99-1A, Class A1, 1 mo. LIBOR + .48%, 0.68%, due 05/15/24		3,094,868
	4,800,000	Guanay Finance Ltd., 144A, 6.00%, due 12/15/20		4,872,000
		Total Miscellaneous		7,966,868
		Residential Mortgage-Backed Securities — Non-Performing Loans — 0.3%
	5,435,917	Stanwich Mortgage Loan Trust, Series 13-NPL2, Class A, 144A, 3.23%, due 04/16/59		5,381,558
		Residential Mortgage-Backed Securities — Other — 8.0%
	2,196,165	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .28%, 0.48%, due 02/25/36 ¿		1,250,936
	2,660,154	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .32%, 0.52%, due 09/25/35		1,569,491

68 See accompanying notes to the financial statements.

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	3,227,297	Alternative Loan Trust, Series 03-18CB, Class 1A1, 5.25%, due 09/25/33		3,295,167
	3,945,498	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 0.70%, due 10/25/36		2,505,391
	3,884,784	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + .70%, 0.90%, due 05/25/36		2,505,686
	1,537,507	Banc of America Funding Corp., Series 12-R4, Class A, 144A, 1 mo. LIBOR + .26%, 0.45%, due 03/04/39		1,520,792
	5,245,395	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.20%, due 05/28/39		4,156,784
	5,509,289	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.50%, due 05/28/39		3,126,094
	7,937,157	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.20%, due 02/28/40		6,281,570
	5,777,908	BCAP LLC Trust, Series 09-RR13, Class 16A2, 144A, Variable Rate, 2.97%, due 09/26/35		4,974,086
	6,404,060	BCAP LLC Trust, Series 12-RR11, Class 3A3, 144A, Variable Rate, 9.36%, due 04/26/36		5,290,074
	7,123,998	BCAP LLC Trust, Series 12-RR11, Class 5A3, 144A, Variable Rate, 8.33%, due 04/26/37		5,355,088
	13,024,291	BCAP LLC Trust, Series 12-RR2, Class 1A2, 144A, Variable Rate, 0.17%, due 08/26/36		11,822,800
	6,681,347	BCAP LLC Trust, Series 12-RR7, Class 1A2, 144A, Variable Rate, 0.17%, due 08/26/36		5,812,772
	3,871,839	Bear Stearns ARM Trust, Series 07-1, Class 2A1, Variable Rate, 2.75%, due 02/25/47		3,331,950
	1,356,508	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.52%, due 02/25/37		2,086,852
	10,261,758	Impac CMB Trust Series, Series 05-7, Class A1, Variable Rate, 0.52%, due 11/25/35		8,607,562
	4,565,000	Invitation Homes Trust, Series 14-SFR1, Class F, 144A, 1 mo. LIBOR + 3.75%, 3.94%, due 06/17/31		4,445,169
	17,230,248	JP Morgan Resecuritization Trust, Series 09-11, Class 5A2, 144A, Variable Rate, 2.72%, due 09/26/36		15,339,745
	27,886,426	LSTAR Securities Investment Trust, Series 14-2, Class A, 144A, 1 mo. LIBOR + 2.00%, 2.19%, due 12/01/21		27,537,846

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	5,146,906	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .32%, 0.52%, due 03/25/36		1,492,603
	1,288,285	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.45%, due 02/26/34		1,146,573
	14,378,442	Washington Mutual Mortgage Pass-Through, Series 06-AR10, Class A2A, 1 mo. LIBOR + .17%, 0.37%, due 12/25/36		11,134,306
	5,175,058	Wells Fargo Mortgage Backed Securities Trust, Series 07-8, Class 1A13, Variable Rate, 0.37%, due 07/25/37		4,374,994
		Total Residential Mortgage-Backed Securities — Other		138,964,331
		Residential Mortgage-Backed Securities —Subprime — 9.7%
	6,915,567	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.35%, due 04/25/36		6,405,890
	954,882	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + 1.04%, 1.24%, due 05/25/34		947,459
	9,759,385	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.39%, due 03/25/36		4,833,101
	10,949,550	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.31%, due 11/25/36		10,854,114
	11,292,031	Citigroup Mortgage Loan Trust, Series 06-AR5, Class 2A2A, Variable Rate, 2.78%, due 07/25/36		9,033,625
	1,260,390	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.58%, due 12/25/33		1,228,880
	24,385,603	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.34%, due 02/25/37		23,638,452
	457,905	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.50%, due 04/25/34		370,903
	1,387,677	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.39%, due 05/25/36		142,945
	11,891,989	GE-WMC Mortgage Securities, Series 06-1, Class A2B, 1 mo. LIBOR + .15%, 0.35%, due 08/25/36		6,302,754
	994,811	JP Morgan Mortgage Acquisition Corp., Series 07-CH3, Class A3, 1 mo. LIBOR + .15%, 0.35%, due 03/25/37		979,889
	20,286,151	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.35%, due 08/25/36		8,520,183

See accompanying notes to the financial statements. 69

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities —Subprime — continued
	11,990,024	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.36%, due 10/25/36		7,194,014
	4,110,581	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.32%, due 02/25/37		1,944,445
	1,123,679	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .80%, 1.00%, due 08/25/34		1,082,889
	726,762	Morgan Stanley Capital, Inc., Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.37%, due 03/25/36		723,768
	1,290,561	Morgan Stanley Home Equity Loan Trust, Series 07-1, Class A2, 1 mo. LIBOR + .10%, 0.30%, due 12/25/36		780,789
	6,686,174	Morgan Stanley Home Equity Loans, Series 06-3, Class A3, 1 mo. LIBOR + .16%, 0.36%, due 04/25/36		4,747,184
	17,005,000	Nomura Home Equity Loan, Inc., Series 06-HE1, Class M1, 1 mo. LIBOR + .41%, 0.61%, due 02/25/36		15,389,525
	844,877	Nomura Home Equity Loan, Inc., Series 06-HE3, Class 2A3, 1 mo. LIBOR + .15%, 0.35%, due 07/25/36		724,482
	36,270,872	Residential Asset Mortgage Products, Inc., Series 06-RS3, Class A4, 1 mo. LIBOR + .30%, 0.50%, due 05/25/36		26,851,689
	6,599,691	Residential Asset Mortgage Products, Inc., Series 07-RZ1, Class A2, 1 mo. LIBOR + .16%, 0.36%, due 02/25/37		6,015,506
	10,000,000	Residential Asset Securities Corp., Series 07-KS3, Class AI3, 1 mo. LIBOR + .25%, 0.45%, due 04/25/37		9,225,000
	662,817	Securitized Asset-Backed Receivables LLC, Series 06-HE1, Class A2C, 1 mo. LIBOR + .16%, 0.36%, due 07/25/36		336,303
	5,515,807	Securitized Asset-Backed Receivables LLC, Series 06-NC2, Class A3, 1 mo. LIBOR + .24%, 0.44%, due 03/25/36		4,950,436
	17,369,765	Securitized Asset-Backed Receivables LLC, Series 06-WM1, Class A2C, 1 mo. LIBOR + .29%, 0.49%, due 12/25/35		15,212,406
	2,360,703	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.40%, due 01/25/36		2,311,964
		Total Residential Mortgage-Backed Securities — Subprime		170,748,595
		Student Loans — 13.0%
	7,973,960	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .32%, 0.60%, due 03/28/35		7,196,499
	15,000,000	National Collegiate Student Loan Trust, Series 05-2, Class A4, 1 mo. LIBOR + .27%, 0.47%, due 09/25/29		13,950,000

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — continued
	293,297	National Collegiate Student Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .19%, 0.39%, due 05/25/26		287,431
	5,000,000	National Collegiate Student Loan Trust, Series 05-3, Class A4, 1 mo. LIBOR + .28%, 0.48%, due 04/25/29		4,812,500
	4,015,710	National Collegiate Student Loan Trust, Series 06-3, Class A3, 1 mo. LIBOR + .15%, 0.35%, due 10/25/27		3,965,513
	2,450,000	National Collegiate Student Loan Trust, Series 06-3, Class A4, 1 mo. LIBOR + .27%, 0.47%, due 03/26/29		2,254,000
	7,257,285	National Collegiate Student Loan Trust, Series 07-1, Class A2, 1 mo. LIBOR + .13%, 0.33%, due 11/27/28		7,112,139
	8,210,000	National Collegiate Student Loan Trust, Series 06-2, Class A3, 1 mo. LIBOR + .21%, 0.41%, due 11/25/27		7,614,775
	40,635,000	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + .25%, 0.45%, due 03/27/28		38,603,250
	48,998,000	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + .24%, 0.44%, due 07/25/30		44,098,200
	31,458,000	SLC Student Loan Trust, Series 06-A, Class C, 3 mo. LIBOR + .45%, 0.74%, due 07/15/36		27,683,040
	3,545,354	SLM Private Credit Student Loan Trust, Series 04-B, Class B, 3 mo. LIBOR + .47%, 0.76%, due 09/15/33		3,297,179
	8,000,000	SLM Student Loan Trust, Series 04-A, Class A3, 3 mo. LIBOR + .40%, 0.69%, due 06/15/33		7,609,600
	3,202,040	SLM Student Loan Trust, Series 04-A, Class B, 3 mo. LIBOR + .58%, 0.87%, due 06/15/33		3,073,958
	8,500,000	SLM Student Loan Trust, Series 04-B, Class A3, 3 mo. LIBOR + .33%, 0.62%, due 03/15/24		7,845,500
	9,000,000	SLM Student Loan Trust, Series 04-B, Class A4, 3 mo. LIBOR + .43%, 0.72%, due 09/15/33		7,965,000
	13,248,424	SLM Student Loan Trust, Series 05-A, Class A3, 3 mo. LIBOR + .20%, 0.49%, due 06/15/23		12,850,971
	9,342,521	SLM Student Loan Trust, Series 06-C, Class A4, 3 mo. LIBOR + .17%, 0.46%, due 03/15/23		9,249,096
	5,111,031	SLM Student Loan Trust, Series 10-A, Class 2A, 144A, 1 mo. LIBOR + 3.25%, 3.45%, due 05/16/44		5,365,714
	7,000,000	SLM Student Loan Trust, Series 14-A, Class B, 144A, 3.50%, due 11/15/44		6,741,644

70 See accompanying notes to the financial statements.

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($)		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — continued
	6,000,000	SLM Student Loan Trust, Series 11-B, Class A3, 144A, 1 mo. LIBOR + 2.25%, 2.45%, due 06/16/42		6,317,298
		Total Student Loans		227,893,307
		Time Share — 3.0%
	801,411	BXG Receivables Note Trust, Series 10-A, Class B, 144A, 7.50%, due 03/02/26		842,038
	2,190,021	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		2,217,847
	4,315,352	BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28		4,377,925
	5,217,287	Diamond Resorts Owner Trust, Series 13-2, Class A, 144A, 2.27%, due 05/20/26		5,220,178
	1,891,267	Diamond Resorts Owner Trust, Series 13-2, Class B, 144A, 2.62%, due 05/20/26		1,885,133
	3,359,686	Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, 3.50%, due 05/20/30		3,417,331
	865,102	Orange Lake Timeshare Trust, Series 12-AA, Class B, 144A, 4.87%, due 03/10/27		890,305
	76,322	Sierra Receivables Funding Co. LLC, Series 11-1A, Class B, 144A, 4.23%, due 04/20/26		76,771
	1,832,256	Sierra Receivables Funding Co. LLC, Series 12-1A, Class B, 144A, 3.58%, due 11/20/28		1,856,415
	3,832,941	Sierra Receivables Funding Co. LLC, Series 12-2A, Class B, 144A, 3.42%, due 03/20/29		3,866,069
	975,119	Sierra Receivables Funding Co. LLC, Series 12-3A, Class B, 144A, 2.66%, due 08/20/29		977,202
	2,192,958	Sierra Receivables Funding Co. LLC, Series 13-1A, Class B, 144A, 2.39%, due 11/20/29		2,190,634
	911,158	Sierra Receivables Funding Co. LLC, Series 13-2A, Class C, 144A, 4.75%, due 11/20/25		916,852
	4,470,541	Silverleaf Finance LLC, Series 12-D, Class B, 144A, 4.45%, due 03/17/25		4,525,662
	5,390,437	Silverleaf Finance LLC, Series 13-A, Class B, 144A, 3.67%, due 03/16/26		5,398,834
	5,834,700	Welk Resorts LLC, Series 13-AA, Class A, 144A, 3.10%, due 03/15/29		5,866,832
	319,171	Westgate Resorts LLC, Series 12-2A, Class B, 144A, 4.50%, due 01/20/25		320,368
	478,757	Westgate Resorts LLC, Series 12-2A, Class C, 144A, 9.00%, due 01/20/25		481,749
	1,209,930	Westgate Resorts LLC, Series 12-3A, Class A, 144A, 2.50%, due 03/20/25		1,212,350
	2,706,734	Westgate Resorts LLC, Series 13-1A, Class B, 144A, 3.75%, due 08/20/25		2,725,410

Par Value ($) / Shares		Description	Value ($)
		Asset-Backed Securities — continued
		Time Share — continued
	2,947,734	Westgate Resorts LLC, Series 14-AA, Class A, 144A, 6.25%, due 10/20/26		2,944,049
		Total Time Share		52,209,954
		Total Asset-Backed Securities		1,356,804,365
		U.S. Government Agency — 1.3%
	677,516	Agency for International Development Floater (Support of Jamaica), 3 mo. LIBOR + .30%, 0.63%, due 10/01/18 (a)		667,473
	8,625,000	Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR + .15%, 0.68%, due 10/29/26 (a)		8,207,940
	9,381,250	Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR — .02%, 0.51%, due 02/01/25 (a)		8,911,827
	5,640,000	Agency for International Development Floater (Support of Tunisia), 6 mo. LIBOR, 0.53%, due 07/01/23 (a)		5,407,478
	200,000	U.S. Department of Transportation, 144A, 6.00%, due 12/07/21		225,520
		Total U.S. Government Agency		23,420,238
		TOTAL DEBT OBLIGATIONS (COST $1,411,450,996)		1,380,224,603
		MUTUAL FUNDS — 4.8%
		United States — 4.8%
		Affiliated Issuers — 4.8%
	3,393,273	GMO U.S. Treasury Fund		84,831,828
		TOTAL MUTUAL FUNDS (COST $84,831,828)		84,831,828
		SHORT-TERM INVESTMENTS — 18.3%
		Money Market Funds — 1.1%
	19,335,062	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (b)		19,335,062
		Repurchase Agreements — 2.8%
	48,315,265	Barclays Bank plc Repurchase Agreement, dated 8/31/15, maturing on 9/1/15 with a maturity value of $48,315,439 and an effective yield of 0.13%, collateralized by a U.S. Treasury Note with maturity date 2/15/25 and a market value of $49,067,700.		48,315,265
		U.S. Government — 14.4%
	25,000,000	U.S. Treasury Bill, 0.03%, due 10/22/15 (c)		24,999,050
	22,000,000	U.S. Treasury Bill, 0.00%, due 09/17/15 (c) (d)		21,999,978
	17,000,000	U.S. Treasury Bill, 0.00%, due 10/15/15 (c) (d)		17,000,000

See accompanying notes to the financial statements. 71

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($)		Description	Value ($)
		U.S. Government — continued
	92,000,000	U.S. Treasury Bill, 0.13%, due 01/07/16 (c) (e)		91,956,852
	18,100,000	U.S. Treasury Bill, 0.00%, due 10/08/15 (c) (d)		18,100,000
	33,000,000	U.S. Treasury Bill, 0.00%, due 10/29/15 (c) (d)		33,000,066
	15,000,000	U.S. Treasury Bill, 0.02%, due 09/03/15 (c)		14,999,970
	15,000,000	U.S. Treasury Bill, 0.00%, due 11/27/15 (c) (d)		14,999,940
	15,000,000	U.S. Treasury Bill, 0.10%, due 12/03/15 (c)		14,998,439
		Total U.S. Government		252,054,295
		TOTAL SHORT-TERM INVESTMENTS (COST $319,696,796)		319,704,622
		TOTAL INVESTMENTS — 102.0% (Cost $1,815,979,620)		1,784,761,053
		Other Assets and Liabilities (net) — (2.0%)		(35,394,130	)
		TOTAL NET ASSETS — 100.0%		$1,749,366,923

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/26/2015	GS		EUR	597,652		USD	679,318	$	8,106
10/26/2015	BOA		USD	414,843		EUR	370,054		757
10/26/2015	DB		USD	413,756		EUR	370,111		1,909
10/26/2015	GS		USD	413,490		EUR	370,091		2,152
10/26/2015	MSCI		USD	414,697		EUR	370,110		967
								$	13,891

Swap Contracts

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) ^	Annual Premium	Implied Credit Spread (1)	Reference Entity	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Net Unrealized Appreciation/ (Depreciation)
	4,600,000	USD	6/20/2016	JPM	Receive	5.00%	15.53%	MBIA Corp		4,600,000	USD	$	(303,205	)
	44,600,000	USD	12/20/2019	MSCI	(Pay)	5.00%	75.31	CDX.HY.CDSI.S23		N/A			(8,140,238	)
	13,385,000	USD	1/17/2047	BOA	(Pay)	1.00%	114.05	CMBX.NA.AS.7		N/A			365,857
	9,067,000	USD	5/11/2063	CSI	(Pay)	3.00%	299.91	CMBX.BBB.CDSI.S6		N/A			148,699
	8,810,000	USD	12/20/2019	MSCI	(Pay)	5.00%	422.23	CDX.HY.CDSI.S23		N/A			(42,866	)
	13,215,000	USD	12/20/2019	MSCI	Receive	5.00%	177.26	CDX.HY.CDSI.S23		13,215,000	USD		1,660,630
	13,385,000	USD	10/17/2057	DB	Receive	0.50%	94.64	CMBX.NA.AAA.8		13,385,000	USD		(745,768	)
	26,609,000	USD	10/17/2057	DB	Receive	0.50%	96.13	CMBX.NA.AAA.8		26,609,000	USD		(1,482,565	)
	26,609,000	USD	1/17/2047	DB	(Pay)	1.00%	116.06	CMBX.NA.AS.7		N/A			727,313
	13,270,000	USD	1/17/2047	MSCI	(Pay)	1.00%	121.00	CMBX.NA.AS.7		N/A			362,713
	13,270,000	USD	10/17/2057	MSCI	Receive	0.50%	1.00%	CMBX.NA.AAA.8		13,270,000	USD		(739,360	)
	90,890,000	EUR	6/20/2020	CSI (f)	(Pay)	1.00%	0.81%	iTraxx.EUR.SNRFIN.23		N/A			(1,108,781	)
	44,616,000	USD	10/15/2057	CSI	Receive	0.50%	93.50%	CMBX.NA.AAA.8		44,616,000	USD		(2,485,855	)
	44,616,000	USD	1/17/2047	CSI	(Pay)	1.00%	112.00%	CMBX.NA.AS.7		N/A			1,219,504
	5,000,000	USD	6/20/2016	GS	Receive	5.00%	15.53%	MBIA Corp		5,000,000	USD		(329,571	)
	5,000,000	USD	3/20/2017	GS	(Pay)	5.00%	18.17%	MBIA Corp		N/A			745,186
	4,600,000	USD	3/20/2017	JPM	(Pay)	5.00%	18.17%	MBIA Corp		N/A			685,571
	4,533,000	USD	5/11/2063	CSI	(Pay)	3.00%	286.00	CMBX BBB- CDSI S6		N/A			74,341
												$	(9,388,395	)
								Premiums to (Pay) Receive				$	11,054,080

72 See accompanying notes to the financial statements.

GMO Debt Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

^ Receive - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(Pay) - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of August 31, 2015, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e., higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	300,000,000	USD	7/16/2016	CSS (g)	(Pay)	0.53%	3 Month USD LIBOR	$	(55,059	)
	110,000,000	USD	5/7/2017	CSS (g)	(Pay)	0.88%	3 Month USD LIBOR		(185,852	)
	27,000,000	USD	9/16/2020	CSS (g)	(Pay)	1.80%	3 Month USD LIBOR		(171,584	)
	27,201,000	USD	4/16/2025	CSS (g)	(Pay)	2.00%	3 Month USD LIBOR		570,808
	19,910,000	USD	9/16/2025	CSS (g)	(Pay)	2.15%	3 Month USD LIBOR		234,330
								$	392,643
						Premiums to (Pay) Receive		$	260,200

# Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

¿ These securities are primarily backed by subprime mortgages.

(a) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(b) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

(c) The rate shown represents yield-to-maturity.

(d) Rate rounds to 0.00%.

(e) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(f) Swap was cleared through the Intercontinental Exchange, Inc.

(g) Swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, please refer to page 109.

See accompanying notes to the financial statements. 73

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		85.7	%
Short-Term Investments		13.0
Loan Participations		1.7
Rights/Warrants		0.8
Loan Assignments		0.2
Forward Currency Contracts		0.0	^
Written/Credit Linked Options		(0.1	)
Swap Contracts		(1.5	)
Reverse Repurchase Agreements		(1.6	)
Other		1.8
		100.0	%

Country/Region Summary**	% of Investments
Mexico		11.5	%
Russia		8.1
Brazil		7.4
Turkey		5.5
Indonesia		4.8
Venezuela		4.1
Argentina		3.7
Hungary		3.3
China		2.8
Philippines		2.8
South Africa		2.6
Kazakhstan		2.2
Colombia		2.0
Tunisia		1.9
Dominican Republic		1.8
Costa Rica		1.7
Malaysia		1.7
Pakistan		1.6
Congo		1.5
Israel		1.4
Panama		1.4
Peru		1.4
Sri Lanka		1.4
Uruguay		1.4
Angola		1.3
Croatia		1.3
United States		1.1
Bahrain		1.0
Morocco		1.0
Serbia		1.0
Zambia		0.9
Armenia		0.8
Chile		0.8
Gabon		0.8
Ukraine		0.8
Azerbaijan		0.7
Romania		0.7
Bahamas		0.6
Belize		0.6
Iraq		0.6
Jamaica		0.6
Greece		0.5
Guatemala		0.5

Country/Region Summary**	% of Investments
Honduras		0.5	%
Mongolia		0.5
Vietnam		0.5
Ivory Coast		0.4
Lithuania		0.4
Nigeria		0.4
Thailand		0.4
El Salvador		0.3
Kenya		0.3
Korea		0.3
Paraguay		0.3
Qatar		0.3
Slovenia		0.3
Ecuador		0.2
Ethiopia		0.2
Ghana		0.2
Iceland		0.2
Lebanon		0.2
Senegal		0.2
Belarus		0.1
Latvia		0.1
Trinidad & Tobago		0.1
Egypt		0.0	^
		100.0	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using a reference security and applying the same methodology to that security.

^ Rounds to 0.0^%.

74

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 85.4%
		Albania — 1.0%
		Foreign Government Obligations
EUR	3,760,000	Albania Government International Bond, 7.50%, due 11/04/15		4,219,286
USD	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a)		35,449,992
		Total Albania		39,669,278
		Argentina — 5.0%
		Foreign Government Obligations — 4.1%
USD	9,000,000	Province of Buenos Aires, Reg S, Step Up, 4.00%, due 05/15/35		5,400,000
EUR	8,008,646	Republic of Argentina Discount Bond, 7.82%, due 12/31/33 (b)		8,211,786
USD	10,786,557	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		9,519,136
USD	40,308,593	Republic of Argentina Discount Bond, 8.28%, due 12/31/33 (b)		40,409,364
USD	2,956,000	Republic of Argentina Discount Bond, 6 mo. LIBOR + .81%, due 03/31/23 (b)		2,719,520
DEM	4,735,000	Republic of Argentina Discount Bond, Series DM, 6 mo. DEM LIBOR + .81%, due 03/31/23 (b)		2,716,690
USD	5,440,000	Republic of Argentina Par Bond, Step Up, 2.50%, due 12/31/38		2,551,360
EUR	108,400,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38 (b)		61,124,664
EUR	47,530,000	Republic of Argentina Par Bond, 2.26%, due 12/31/38 (b)		26,534,569
				159,187,089
		Judgments — 0.9%
USD	32,000,000	Republic of Argentina Discount Bond, 1.00%, due 03/31/23 (b) (c) (d)		23,552,000
USD	15,000,000	Republic of Argentina Global Par Bond, Series L-GP, Step Up, 6.00%, due 03/31/23 (b) (c) (d)		11,040,000
				34,592,000
		Total Argentina		193,779,089
		Armenia — 0.9%
		Foreign Government Obligations
USD	31,000,000	Republic of Armenia, Reg. S, 7.15%, due 03/26/25		29,760,000
USD	5,000,000	Republic of Armenia, Reg S, 6.00%, due 09/30/20		4,775,000
		Total Armenia		34,535,000
		Azerbaijan — 0.7%
		Foreign Government Agency — 0.2%
USD	7,500,000	State Oil Co of the Azerbaijan Republic, Reg S, 6.95%, due 03/18/30		7,368,750

Par Value		Description	Value ($)
		Foreign Government Obligations — 0.5%
USD	23,000,000	Republic of Azerbaijan International Bond, Reg S, 4.75%, due 03/18/24		22,022,500
		Total Azerbaijan		29,391,250
		Bahrain — 0.7%
		Foreign Government Obligations
USD	13,000,000	Bahrain Government International Bond, Reg S, 6.00%, due 09/19/44		11,180,000
USD	17,250,000	Bahrain Government International Bond, Reg S, 6.00%, due 09/19/44		14,835,000
		Total Bahrain		26,015,000
		Belarus — 0.1%
		Foreign Government Obligations
USD	5,000,000	Republic of Belarus, Reg S, 8.95%, due 01/26/18		4,906,250
		Belize — 0.5%
		Foreign Government Obligations
USD	28,986,300	Republic of Belize, Reg S, Step Up, 5.00%, due 02/20/38		21,486,095
		Bosnia & Herzegovina — 0.1%
		Foreign Government Obligations
DEM	6,350,520	Bosnia & Herzegovina, Series A, 6 mo. DEM LIBOR + .81%, 0.88%, due 12/11/17		3,338,438
		Brazil — 4.2%
		Foreign Government Agency — 3.0%
USD	31,000,000	Banco Nacional de Desenvolvimento Economico e Social, Reg S, 5.75%, due 09/26/23		29,140,456
USD	96,000,000	Petrobras Global Finance BV, 6.85%, due 06/05/15		71,586,720
GBP	13,420,000	Petrobras Global Finance BV, 6.25%, due 12/14/26		17,061,294
				117,788,470
		Foreign Government Obligations — 1.2%
USD	20,000,000	Republic of Brazil, 7.13%, due 01/20/37		21,000,000
USD	21,000,000	Republic of Brazil, 8.25%, due 01/20/34		24,360,000
				45,360,000
		Total Brazil		163,148,470
		Chile — 0.5%
		Corporate Debt
USD	17,000,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97		20,706,000

See accompanying notes to the financial statements. 75

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		Colombia — 1.5%
		Foreign Government Agency — 0.7%
USD	19,000,000	Ecopetrol SA, 7.38%, due 09/18/43		18,422,020
USD	14,000,000	Ecopetrol SA, 5.88%, due 05/28/45		11,270,000
				29,692,020
		Foreign Government Obligations — 0.8%
USD	25,000,000	Colombia Government International Bond, 5.63%, due 02/26/44		24,375,000
USD	3,800,000	Republic of Colombia, 11.85%, due 03/09/28 (c)		5,468,152
				29,843,152
		Total Colombia		59,535,172
		Congo Republic (Brazzaville) — 2.1%
		Foreign Government Obligations
USD	93,321,540	Republic of Congo, Reg S, Series INTL, Step Up, 4.00%, due 06/30/29		81,423,044
		Costa Rica — 1.3%
		Foreign Government Agency — 0.3%
USD	15,045,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		12,336,900
		Foreign Government Obligations — 1.0%
USD	3,000,000	Costa Rica Government International Bond, Reg S, 5.63%, due 04/30/43		2,426,250
USD	39,400,000	Costa Rica Government International Bond, Reg. S, 7.16%, due 03/12/45		36,839,000
				39,265,250
		Total Costa Rica		51,602,150
		Croatia — 1.3%
		Foreign Government Obligations
USD	6,000,000	Croatia Government International Bond, Reg S, 6.38%, due 03/24/21		6,472,500
USD	24,000,000	Croatia Government International Bond, Reg S, 5.50%, due 04/04/23		24,810,000
USD	18,000,000	Croatia Government International Bond, Reg S, 6.00%, due 01/26/24		19,192,500
		Total Croatia		50,475,000
		Dominican Republic — 3.0%
		Asset-Backed Securities — 0.6%
USD	24,371,074	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24(c)		23,131,441
		Foreign Government Agency — 0.2%
USD	7,370,000	Banco de Reservas de la Republica Dominicana, Reg S, 7.00%, due 02/01/23		7,358,647

Par Value		Description	Value ($)
		Dominican Republic — continued
		Foreign Government Obligations — 2.2%
USD	8,000,000	Dominican Republic, Reg S, 8.63%, due 04/20/27		9,500,000
USD	38,607,000	Dominican Republic Discount Bond, 6 mo. LIBOR + .81%, 1.25%, due 08/30/24		37,583,914
USD	10,000,000	Dominican Republic International Bond, Reg S, 7.45%, due 04/30/44		10,487,500
USD	29,000,000	Dominican Republic International Bond, Reg. S, 6.85%, due 01/27/45		28,565,000
				86,136,414
		Total Dominican Republic		116,626,502
		Ecuador — 0.2%
		Foreign Government Obligations
USD	6,000,000	Ecuador Government International Bond, 144A, 7.95%, due 06/20/24		4,290,000
USD	5,500,000	Ecuador Government International Bond, Reg. S, 7.95%, due 06/20/24		4,042,500
		Total Ecuador		8,332,500
		El Salvador — 0.2%
		Foreign Government Obligations
USD	10,000,000	El Salvador Government International Bond, Reg S, 7.63%, due 02/01/41		9,600,000
		Ethiopia — 0.3%
		Foreign Government Obligations
USD	14,000,000	Federal Democratic Republic of Ethiopia, Reg. S, 6.63%, due 12/11/24		13,230,000
		Gabon — 0.9%
		Foreign Government Obligations
USD	40,000,000	Gabonese Republic, Reg S, 6.38%, due 12/12/24		34,900,000
		Ghana — 0.2%
		Foreign Government Obligations
USD	8,000,000	Republic of Ghana, Reg S, 7.88%, due 08/07/23		7,120,000
		Greece — 0.4%
		Foreign Government Obligations
EUR	28,882,000	Hellenic Republic Government Bond, Step Up, 3.00%, due 02/24/36		16,883,641
		Grenada — 0.1%
		Foreign Government Obligations
USD	9,000,000	Grenada Government International Bond, Step Up, Reg S, 6.00%, due 09/15/25 (b)		2,340,000

76 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		Guatemala — 0.5%
		Foreign Government Obligations
USD	15,500,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		19,491,250
		Honduras — 0.9%
		Foreign Government Obligations
USD	18,875,000	Honduras Government International Bond, Reg S, 7.50%, due 03/15/24		19,889,531
USD	14,000,000	Republic of Honduras, Reg S, 8.75%, due 12/16/20		15,575,000
		Total Honduras		35,464,531
		Hungary — 1.8%
		Foreign Government Obligations
USD	51,500,000	Hungary Government International Bond, 7.63%, due 03/29/41		69,900,950
		Iceland — 0.3%
		Foreign Government Obligations
USD	11,000,000	Iceland Government International Bond, Reg S, 5.88%, due 05/11/22		12,409,858
		Indonesia — 3.2%
		Foreign Government Agency — 1.3%
USD	28,200,000	Majapahit Holding BV, Reg S, 7.88%, due 06/29/37		31,090,500
USD	8,000,000	Majapahit Holding BV, Reg S, 7.75%, due 01/20/20		8,970,000
USD	10,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		9,750,000
				49,810,500
		Foreign Government Obligations — 1.9%
USD	12,500,000	Indonesia Government International Bond, Reg S, 4.63%, due 04/15/43		10,703,125
USD	33,800,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42		31,307,250
USD	12,216,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		13,147,470
USD	16,784,000	Indonesia Government International Bond, Reg S, 6.75%, due 01/15/44		18,630,240
				73,788,085
		Total Indonesia		123,598,585
		Iraq — 0.3%
		Foreign Government Obligations
USD	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		11,437,500

Par Value		Description	Value ($)
		Israel — 1.1%
		Foreign Government Agency
USD	7,243,000	Israel Electric Corp., Ltd., Reg S, 7.88%, due 12/15/26		8,854,567
USD	12,143,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		12,750,150
JPY	2,500,000,000	Israel Electric Corp., Ltd., 4.10%, due 01/14/32		19,899,369
		Total Israel		41,504,086
		Ivory Coast — 0.6%
		Foreign Government Obligations
USD	25,265,000	Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32		22,776,398
		Jamaica — 0.5%
		Foreign Government Agency — 0.2%
USD	5,000,000	National Road Operating & Construction Co. Ltd., Reg S, 9.38%, due 11/10/24		5,725,000
		Foreign Government Obligations — 0.3%
USD	12,500,000	Jamaica Government International Bond, 7.88%, due 07/28/45		12,296,875
		Total Jamaica		18,021,875
		Kazakhstan — 1.4%
		Foreign Government Agency — 0.4%
USD	18,000,000	KazMunayGas National Co. JSC, 144A, 6.00%, due 11/07/44		14,220,000
		Foreign Government Obligations — 1.0%
USD	41,000,000	Kazakhstan Government International Bond, 144A, 6.50%, due 07/21/45		39,257,500
		Total Kazakhstan		53,477,500
		Kenya — 0.4%
		Foreign Government Obligations
USD	17,000,000	Kenya Government International Bond, 144A, 6.88%, due 06/24/24		16,490,000
		Latvia — 0.1%
		Foreign Government Obligations
USD	4,000,000	Republic of Latvia, Reg S, 5.25%, due 06/16/21		4,506,320
		Lithuania — 0.3%
		Foreign Government Obligations
USD	11,500,000	Republic of Lithuania, Reg S, 6.63%, due 02/01/22		13,762,625

See accompanying notes to the financial statements. 77

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		Macedonia — 0.3%
		Foreign Government Obligations
EUR	11,000,000	FYR Macedonia, Reg. S, 3.98%, due 07/24/21		12,044,594
		Malaysia — 0.6%
		Foreign Government Agency
USD	25,000,000	Petronas Capital Ltd, Reg. S, 4.50%, due 03/18/45		23,750,000
		Mexico — 8.6%
		Foreign Government Agency — 2.8%
USD	51,000,000	Pemex Project Funding Master Trust, 6.63%, due 06/15/35		51,765,000
USD	35,000,000	Petroleos Mexicanos, Reg. S, 5.63%, due 01/23/46		30,782,500
USD	1,360,000	Petroleos Mexicanos, 9.50%, due 09/15/27		1,662,600
USD	26,500,000	Petroleos Mexicanos, 6.38%, due 01/23/45		25,740,775
				109,950,875
		Foreign Government Obligations — 5.8%
USD	234,258,000	United Mexican States, 5.75%, due 10/12/2110		224,887,680
		Total Mexico		334,838,555
		Mongolia — 0.4%
		Foreign Government Obligations
USD	18,600,000	Mongolia Government International Bond, Reg S, 5.13%, due 12/05/22		14,787,000
		Montenegro — 0.1%
		Foreign Government Obligations
EUR	2,000,000	Montenegro Government International Bond, 7.25%, due 04/08/16		2,292,687
		Morocco — 0.8%
		Foreign Government Agency
USD	32,000,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		32,880,000
		Nigeria — 0.3%
		Foreign Government Obligations
USD	6,100,000	Nigeria Government International Bond, Reg S, 6.75%, due 01/28/21		5,978,000
USD	8,400,000	Nigeria Government International Bond, Reg S, 6.38%, due 07/12/23		7,812,000
		Total Nigeria		13,790,000
		Pakistan — 0.8%
		Foreign Government Obligations
USD	32,500,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		30,468,750

Par Value		Description	Value ($)
		Panama — 1.4%
		Foreign Government Agency — 0.3%
USD	13,600,000	AES Panama SRL, 144A, 6.00%, due 06/25/22		13,783,600
		Foreign Government Obligations — 1.1%
USD	7,295,000	Panama Government International Bond, 8.13%, due 04/28/34		9,775,300
USD	23,408,000	Panama Government International Bond, 4.30%, due 04/29/53		20,160,140
USD	12,000,000	Panama Government International Bond, 3.75%, due 03/16/25		11,730,000
				41,665,440
		Total Panama		55,449,040
		Paraguay — 0.3%
		Foreign Government Obligations
USD	11,000,000	Republic of Paraguay, Reg S, 6.10%, due 08/11/44		11,027,500
		Peru — 1.4%
		Foreign Government Agency — 0.2%
USD	12,452,000	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25		9,307,870
		Foreign Government Obligations — 1.2%
USD	5,000,000	Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27 (c)		4,950,000
USD	37,000,000	Republic of Peru, 5.63%, due 11/18/50		39,590,000
				44,540,000
		Total Peru		53,847,870
		Philippines — 3.4%
		Foreign Government Agency — 2.5%
USD	25,651,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		36,167,910
USD	40,550,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		61,636,000
				97,803,910
		Foreign Government Obligations — 0.9%
USD	26,720,000	Republic of Philippines, 6.38%, due 01/15/32		34,903,000
		Total Philippines		132,706,910
		Qatar — 0.2%
		Foreign Government Obligations
USD	5,000,000	Qatar Government International Bond, Reg S, 5.75%, due 01/20/42		6,075,425
		Romania — 0.5%
		Foreign Government Obligations
USD	16,000,000	Romanian Government International Bond, Reg S, 6.13%, due 01/22/44		18,680,000

78 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		Russia — 5.3%
		Foreign Government Agency — 2.2%
USD	27,000,000	Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22		22,410,000
USD	38,800,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		41,758,500
USD	23,000,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22		19,262,500
USD	3,000,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.72%, due 06/16/21		2,853,750
				86,284,750
		Foreign Government Obligations — 3.1%
USD	49,200,000	Russian Foreign Bond, Reg S, 5.63%, due 04/04/42		44,526,000
USD	84,000,000	Russian Foreign Bond, Reg S, 5.88%, due 09/16/43		78,120,000
				122,646,000
		Total Russia		208,930,750
		Rwanda — 0.1%
		Foreign Government Obligations
USD	5,000,000	Rwanda International Government Bond, Reg. S, 6.63%, due 05/02/23		5,010,007
		Senegal — 0.2%
		Foreign Government Obligations
USD	8,750,000	Republic of Senegal, Reg S, 8.75%, due 05/13/21		9,417,188
		Serbia — 0.8%
		Foreign Government Obligations
USD	4,880,853	Republic of Serbia, Reg S, Step Up, 6.75%, due 11/01/24		4,947,965
USD	24,000,000	Republic of Serbia, 7.25%, due 09/28/21		27,120,000
		Total Serbia		32,067,965
		Slovenia — 0.4%
		Foreign Government Obligations
USD	15,000,000	Slovenia Government International Bond, Reg S, 5.85%, due 05/10/23		17,118,074
		South Africa — 1.6%
		Foreign Government Agency — 0.5%
USD	19,000,000	Eskom Holdings SOC Ltd, Reg. S, 7.13%, due 02/11/25		18,420,500
ZAR	163,000,000	Eskom Holdings SOC Ltd., Zero Coupon, due 12/31/32		1,539,878
ZAR	20,000,000	Transnet Ltd., 13.50%, due 04/18/28		1,766,465
				21,726,843

Par Value		Description	Value ($)
		South Africa — continued
		Foreign Government Obligations — 1.1%
USD	15,000,000	South Africa Government International Bond, 5.88%, due 09/16/25		16,200,000
USD	26,000,000	South Africa Government International Bond, 5.38%, due 07/24/44		25,194,000
				41,394,000
		Total South Africa		63,120,843
		South Korea — 0.4%
		Foreign Government Agency
USD	8,000,000	Export-Import Bank of Korea, 5.13%, due 06/29/20		8,934,421
USD	8,000,000	Korea Hydro & Nuclear Power Co. Ltd., Reg S, 4.75%, due 07/13/21		8,830,497
		Total South Korea		17,764,918
		Sri Lanka — 1.2%
		Foreign Government Obligations
USD	8,500,000	Sri Lanka Government International Bond, Reg S, 6.25%, due 07/27/21		8,521,250
USD	19,150,000	Sri Lanka Government International Bond, Reg S, 5.88%, due 07/25/22		18,695,188
USD	19,000,000	Sri Lanka Government International Bond, Reg. S, 6.13%, due 06/03/25		18,430,000
		Total Sri Lanka		45,646,438
		Thailand — 0.3%
		Foreign Government Agency
USD	7,000,000	PTT PCL, Reg S, 4.50%, due 10/25/42		6,195,000
USD	4,000,000	PTTEP Canada International Finance Ltd., Reg S, 5.69%, due 04/05/21		4,435,968
		Total Thailand		10,630,968
		Trinidad And Tobago — 0.2%
		Foreign Government Agency
USD	6,000,000	Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19		6,742,500
		Tunisia — 1.7%
		Foreign Government Agency
JPY	7,000,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30		48,818,410
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31		17,045,408
		Total Tunisia		65,863,818
		Turkey — 4.1%
		Foreign Government Obligations
USD	64,000,000	Republic of Turkey, 6.75%, due 05/30/40		71,136,000
USD	65,000,000	Republic of Turkey, 6.00%, due 01/14/41		66,235,000

See accompanying notes to the financial statements. 79

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		Turkey — continued
		Foreign Government Obligations — continued
EUR	18,000,000	Republic of Turkey, 4.35%, due 11/12/21		21,593,128
		Total Turkey		158,964,128
		Ukraine — 0.7%
		Foreign Government Obligations
USD	4,000,000	City of Kyiv Via Kyiv Finance PLC, Reg S, 9.38%, due 07/11/16		2,595,000
USD	36,381,000	Ukraine Government International Bond, Reg S, 7.95%, due 02/23/21		26,558,130
		Total Ukraine		29,153,130
		United States — 4.9%
		Asset-Backed Securities — 1.0%
USD	2,132,554	Aircraft Finance Trust, Series 99-1A, Class A1, 1 mo. LIBOR + .48%, 0.68%, due 05/15/24		575,789
USD	439,738	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.64%, due 10/25/30		389,062
USD	9,240,891	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, 1 mo. LIBOR + .24%, 0.44%, due 12/15/35¿		8,505,177
USD	5,462,016	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, 1 mo. LIBOR + .24%, 0.44%, due 12/15/35¿		4,503,968
USD	4,026,030	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XL, 1 mo. LIBOR + .20%, 0.40%, due 05/15/36¿		3,349,009
USD	9,504,287	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.36%, due 10/25/36¿		5,702,572
USD	1,447,955	Morgan Stanley Capital, Inc., Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.37%, due 03/25/36¿		1,441,990
USD	12,175,574	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.35%, due 11/25/36¿		6,148,665
USD	12,337,915	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, 1 mo. LIBOR + .22%, 0.42%, due 11/25/36¿		6,292,337
USD	6,608,154	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, 1 mo. LIBOR + .36%, 0.56%, due 04/25/37¿		3,248,853
				40,157,422
		U.S. Government — 3.9%
USD	73,796,800	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 (e) (f)		72,085,452
USD	80,000,000	U.S. Treasury Note, 1.50%, due 06/30/16		80,737,520
				152,822,972
		Total United States		192,980,394

Par Value		Description	Value ($)
		Uruguay — 1.2%
		Foreign Government Obligations
USD	15,000,000	Uruguay Government International Bond, 4.13%, due 11/20/45		12,262,500
USD	36,000,000	Uruguay Government International Bond, 5.10%, due 06/18/50		32,985,000
		Total Uruguay		45,247,500
		Venezuela — 5.2%
		Foreign Government Agency — 3.2%
USD	109,278,000	Electricidad de Caracas Finance BV, 8.50%, due 04/10/18		37,700,910
USD	8,000,000	Petroleos de Venezuela SA, Reg S, 9.00%, due 11/17/21		2,960,000
USD	83,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26		27,390,000
USD	173,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24		58,171,250
				126,222,160
		Foreign Government Obligations — 2.0%
USD	62,100,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20		21,579,750
USD	6,000,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19		2,115,000
USD	144,050,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23		52,578,250
				76,273,000
		Total Venezuela		202,495,160
		Vietnam — 0.4%
		Foreign Government Agency — 0.3%
USD	18,804,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		10,624,260
		Foreign Government Obligations — 0.1%
USD	5,000,000	Socialist Republic of Vietnam, Series 30 Yr., 6 mo. LIBOR + .81%, 1.25%, due 03/13/28		4,168,750
		Total Vietnam		14,793,010
		Zambia — 1.0%
		Foreign Government Obligations
USD	35,360,000	Zambia Government International Bond, Reg S, 8.50%, due 04/14/24		32,000,800
USD	7,700,000	Zambia Government International Bond, 144A, 8.97%, due 07/30/27		7,026,250
		Total Zambia		39,027,050
		TOTAL DEBT OBLIGATIONS (COST $3,422,838,759)		3,339,496,529

80 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		LOAN ASSIGNMENTS — 0.2%
		Indonesia
USD	1,684,800	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		1,587,924
USD	1,684,800	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		1,587,924
USD	2,246,400	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		2,117,232
USD	1,224,210	Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + .88%, 1.25%, due 12/16/19		1,129,334
EUR	1,066,409	Republic of Indonesia, Indonesia Paris Club Debt, 4.00%, due 06/01/21		951,354
		TOTAL LOAN ASSIGNMENTS (COST $6,953,284)		7,373,768
		LOAN PARTICIPATIONS — 1.7%
		Angola — 0.8%
USD	15,000,000	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/20/23		14,250,000
USD	18,000,000	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 1.00%, due 12/20/23		17,100,000
		Total Angola		31,350,000
		Egypt — 0.0%
CHF	921,503	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (c)		745,904
		Indonesia — 0.2%
USD	7,040,409	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR +.88%, 1.21%, due 09/29/19		6,477,176
		Iraq — 0.5%
JPY	3,622,561,271	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), Zero Coupon, due 01/01/28		17,568,626
JPY	473,333,078	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), Zero Coupon, due 01/01/28		2,270,664
		Total Iraq		19,839,290
		Russia — 0.0%
EUR	57,042,402	Russian Foreign Trade Obligations (Participation with GML International Ltd.), Zero Coupon (b) (c)		1,427,103

Par Value / Shares		Description	Value ($)
		Vietnam — 0.2%
JPY	1,058,990,936	Socialist Republic of Vietnam Loan Agreement (Participation with Deutsche Bank), 6 mo. JPY LIBOR + .60%, 0.74%, due 09/01/17		7,948,874
		TOTAL LOAN PARTICIPATIONS (COST $91,434,232)		67,788,347
		MUTUAL FUNDS — 2.0%
		United States
		Affiliated Issuers
	568,012	GMO Debt Opportunities Fund, Class VI		14,109,411
	2,480,326	GMO U.S. Treasury Fund		62,008,142
		TOTAL MUTUAL FUNDS (COST $73,857,424)		76,117,553
		RIGHTS/WARRANTS — 0.8%
		Argentina — 0.6%
EUR	298,220,524	Republic of Argentina GDP Linked, Expires 12/15/35 (g)		26,939,191
		Nigeria — 0.1%
	25,000	Central Bank of Nigeria Oil Warrants, Expires 11/15/20		3,250,000
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21* (c)		—
		Venezuela — 0.1%
	438,235	Republic of Venezuela Oil Warrants, Expires 04/20/20		2,717,057
		TOTAL RIGHTS/WARRANTS (COST $39,890,502)		32,906,248
		SHORT-TERM INVESTMENTS — 11.3%
		Money Market Funds — 0.3%
	12,425,599	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (h)		12,425,599
		U.S. Government — 11.0%
	10,000,000	U.S. Treasury Bill, 0.03%, due 12/10/15 (i)		9,999,190
	25,000,000	U.S. Treasury Bill, 0.12%, due 12/24/15 (i)		24,990,300
	158,825,000	U.S. Treasury Bill, 0.13%, due 01/07/16 (e) (i) (j)		158,750,511
	15,000,000	U.S. Treasury Bill, 0.22%, due 02/18/16 (i)		14,984,820

See accompanying notes to the financial statements. 81

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($)		Description	Value ($)
		U.S. Government — continued
	70,000,000	U.S. Treasury Note, 0.25%, due 09/15/15		69,995,870
	31,000,000	U.S. Treasury Note, 0.25%, due 09/30/15		31,000,000
	15,000,000	U.S. Treasury Note, 0.25%, due 12/15/15		15,002,340
	90,000,000	U.S. Treasury Note, 0.38%, due 01/15/16		90,031,680
	15,000,000	U.S. Treasury Note, 0.38%, due 01/31/16		15,007,620
		TOTAL U.S. GOVERNMENT (COST $429,845,055)		429,762,331
		TOTAL SHORT-TERM INVESTMENTS (COST $442,270,654)		442,187,930
		TOTAL INVESTMENTS — 101.4% (Cost $4,077,244,855)		3,965,870,375
		Other Assets and Liabilities (net) — (1.4%)		(55,227,663	)
		TOTAL NET ASSETS — 100.0%		$3,910,642,712

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/26/2015	BOA		EUR	39,996,000		USD	44,836,916	$	(81,864	)
10/26/2015	DB		EUR	40,002,000		USD	44,719,236		(206,283	)
10/26/2015	GS		EUR	40,000,000		USD	44,690,628		(232,645	)
10/26/2015	MSCI		EUR	40,002,000		USD	44,821,041		(104,478	)
09/14/2015	BCLY		JPY	800,000,000		USD	6,458,853		(140,897	)
								$	(766,167	)

Reverse Repurchase Agreements

Face Value		Description	Market Value
USD	62,870,027	JP Morgan Securities, Inc., (0.30%), dated 12/31/15, to be repurchased on demand at face value plus accrued interest. (k)	$	(62,863,984	)
		Average balance outstanding	$	(87,477,650	)
		Average interest rate		0.87	%
		Maximum balance outstanding	$	(229,339,138	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements.

Credit Linked Options

Principal Amount			Expiration Date	Descriptions	Premiums		Market Value
Put Sold	USD	43,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option Swap, Fund receives premium of 0.30% (OTC) (CP-DB) (c)	$	252,984	$	(599,289	)
Put Sold	USD	100,000,000	04/15/2024	Banco do Brasil Credit Linked Put Option Swap, Fund receives premium of 0.44% (OTC) (CP-DB) (c)		1,257,666		(3,222,084	)
Put Sold	USD	62,000,000	03/21/2017	Lebanese Republic Credit Linked Put Option Swap, Fund receives premium of 0.50% (OTC) (CP-DB) (c)		784,472		382,398
Put Sold	USD	45,000,000	01/20/2021	Republic of Philippines Credit Linked Put Option Swap, Fund receives premium of 0.25% (OTC) (CP-DB) (c)		130,313		(41,749	)
Put Sold	USD	70,000,000	04/03/2018	Turkiye Cumhuriyeti Ziraat Bankasi A.S. Credit Linked Put Option Swap, Fund receives premium of 0.40% (OTC) (CP-DB) (c)		569,333		(198,959	)
Put Sold	USD	70,000,000	07/14/2017	Turkiye Is Bankasi A.S. Credit Linked Put Option Swap, Fund receives premium of 0.40% (OTC) (CP-DB) (c)		717,111		(109,330	)
					$	3,711,879	$	(3,789,013	)

82 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Swap Contracts

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) ^	Annual Premium	Implied Credit Spread (1)	Reference Entity	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Net Unrealized Appreciation/ (Depreciation)
	6,000,000	USD	9/20/2015	JPM	(Pay)	5.00%	24.52%	Republic of Venezuela	N/A		$	80,258
	15,000,000	USD	9/20/2015	BCLY	(Pay)	1.00%	0.6%	Republic of Colombia	N/A			(27,751	)
	56,950,000,000	COP	11/20/2015	CITI	Receive	1.81%	0.37%	Republic of Colombia	56,950,000,000	COP		135,243
	15,000,000	USD	2/20/2016	CITI	(Pay)	2.16%	0.60%	Republic of Colombia	N/A			(80,532	)
	56,700,000,000	COP	2/20/2016	CITI	Receive	1.46%	0.43%	Republic of Colombia	56,700,000,000	COP		61,318
	114,800,000,000	COP	4/20/2016	CITI	Receive	1.33%	0.46%	Republic of Colombia	114,800,000,000	COP		288,000
	25,000,000	USD	4/20/2016	CITI	(Pay)	1.90%	0.60%	Republic of Colombia	N/A			(291,709	)
	3,666,667	EUR	6/17/2016	DB	Receive	5.60%	7.66%	Republic of Angola	3,666,667	EUR		64,876
	20,000,000	USD	8/20/2016	CITI	(Pay)	2.15%	0.68%	Republic of Colombia	N/A			(202,379	)
	97,680,000,000	COP	8/20/2016	CITI	Receive	1.51%	0.52%	Republic of Colombia	97,680,000,000	COP		171,701
	19,500,000	USD	3/20/2017	DB	Receive	5.00%	42.23%	Bolivarian Republic of Venezuela	19,500,000	USD		(10,544,216	)
	2,500,000	USD	5/20/2017	DB	(Pay)	1.05%	0.8%	Republic of Peru	N/A			(7,741	)
	32,000,000	PEN	5/20/2017	DB	Receive	0.79%	0.59%	Republic of Peru	32,000,000	PEN		17,104
	4,500,000	USD	7/20/2017	JPM	Receive	3.30%	6.4%	Republic of Jamaica	4,500,000	USD		(223,625	)
	25,000,000	USD	12/20/2017	JPM	Receive	5.00%	174.36%	Government of Ukraine	25,000,000	USD		(6,551,963	)
	5,400,000	EUR	3/20/2018	DB	Receive	1.00%	4.55%	Republic of Macedonia	5,400,000	EUR		(499,539	)
	50,000,000	USD	6/20/2019	JPM	(Pay)	1.00%	2.05%	Republic of Brazil	N/A			3,626,256
	44,000,000	USD	6/20/2019	JPM	(Pay)	1.00%	2.32%	Republic of Croatia	N/A			2,139,338
	6,000,000	USD	3/20/2020	BCLY	Receive	1.00%	2.54%	Republic of Croatia	6,000,000	USD		(399,680	)
	6,000,000	USD	6/20/2020	DB	Receive	1.00%	2.80%	Commonwealth of Bahamas	6,000,000	USD		(431,643	)
	42,000,000	EUR	12/20/2020	DB	(Pay)	1.00%	2.78%	Commonwealth of Bahamas	N/A			3,652,759
	57,000,000	USD	12/20/2020	DB	Receive	1.00%	3.07%	Commonwealth of Bahamas	57,000,000	USD		(5,050,996	)
	30,000,000	USD	3/20/2023	JPM	Receive	1.00%	2.41%	Republic of Turkey	30,000,000	USD		(3,600,104	)
	40,000,000	USD	6/20/2023	JPM	Receive	1.00%	2.97%	Republic of Croatia	40,000,000	USD		(5,401,747	)
	160,000,000	EUR	6/20/2023	DB	Receive	1.00%	2.87%	Republic of Croatia	160,000,000	EUR		(24,248,863	)
	200,000,000	USD	6/20/2023	DB	(Pay)	1.00%	2.97%	Republic of Croatia	N/A			27,008,736
	6,000,000	USD	6/20/2023	DB	Receive	1.00%	3.29%	Commonwealth of Bahamas	6,000,000	USD		(849,974	)
	3,000,000	USD	6/20/2023	DB	Receive	1.00%	3.29%	Commonwealth of Bahamas	3,000,000	USD		(424,987	)
	25,000,000	USD	9/20/2023	JPM	Receive	1.00%	2.44%	Republic of South Africa	25,000,000	USD		(3,083,155	)
	24,000,000	USD	3/20/2024	JPM	Receive	1.00%	1.56%	Republic of Malaysia	24,000,000	USD		(1,834,010	)
	27,250,000	USD	6/20/2024	JPM	Receive	1.00%	2.79%	Republic of Brazil	27,250,000	USD		(5,345,332	)
	22,750,000	USD	6/20/2024	JPM	Receive	1.00%	2.79%	Republic of Brazil	22,750,000	USD		(4,462,616	)
	60,000,000	USD	6/20/2024	JPM	Receive	1.00%	1.31%	Peoples Republic of China	60,000,000	USD		(2,318,995	)
	25,000,000	USD	3/20/2025	GS	Receive	1.00%	1.32%	Republic of China	25000000	USD		(1,053,852	)
	10,000,000	USD	6/20/2025	GS	Receive	1.00%	2.30%	Indonesia	10,000,000	USD		(1,441,020	)
	25,000,000	USD	6/20/2025	GS	Receive	1.00%	2.30%	Indonesia	25,000,000	USD		(3,602,550	)
	20,000,000	USD	6/20/2025	GS	Receive	1.00%	1.56%	Republic of China	20,000,000	USD		(881,685	)
	68,000,000	EUR	6/20/2025	DB	(Pay)	1.00%	4.64%	Commonwealth of Bahamas	N/A			7,543,873

See accompanying notes to the financial statements. 83

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay) ^	Annual Premium	Implied Credit Spread (1)	Reference Entity	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Net Unrealized Appreciation/ (Depreciation)
	91,000,000	USD	6/20/2025	DB	Receive	1.00%	4.98%	Commonwealth of Bahamas	91,000,000	USD	$	(9,887,371	)
	40,000,000	USD	3/20/2030	JPM	Receive	1.00%	2.9%	Republic of Brazil	40,000,000	USD		(10,856,977	)
	20,000,000	USD	9/20/2031	GS	(Pay)	1.00%	1.74%	United Mexican States	N/A			2,409,491
											$	(56,406,059	)
								Premiums to (Pay) Receive			$	36,667,108

^ Receive - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(Pay) - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of August 31, 2015, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e., higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

Cross-Currency Basis Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	14,000,000,000	JPY	4/28/2025	GS	3 Month JPY LIBOR plus a spread of (0.22)%	3 Month USD LIBOR	$	(2,317,506	)
						Premiums to (Pay) Receive	$	—

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	120,000,000	USD	9/1/2045	JPMF (l)	(Pay)	2.69%	3 Month USD LIBOR	$	826,455
							Premiums to (Pay) Receive	$	—

# Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

84 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Counterparty Abbreviations

Notes to Schedule of Investments:

* Non-income producing security.

¿ These securities are primarily backed by subprime mortgages.

(a) Security is backed by U.S. Treasury Bonds.

(b) Security is in default.

(c) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(d) Security represents a judgment against the Government of Argentina (“Argentina”) relating to Argentina’s failure to make payments on sovereign debt held by the Fund. See “Other matters” in Notes to Financial Statements for additional information.

(e) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(f) Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(g) Security is linked to Argentina Republic Gross Domestic Product (GDP). Security does not pay principal over life of security or at expiration. Payments are based on growth of Argentina GDP, subject to certain conditions.

(h) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

(i) The rate shown represents yield-to-maturity.

(j) All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2).

(k) Reverse repurchase agreements have an open maturity date and can be closed by either party on demand.

(l) Swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 109.

See accompanying notes to the financial statements. 85

Global Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		84.3	%
Short-Term Investments		18.8
Options Purchased		2.3
Forward Currency Contracts		0.4
Futures Contracts		0.2
Loan Participations		0.1
Forward Currency Contracts		0.0	^
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Reverse Repurchase Agreements		(0.1	)
Swap Contracts		(0.9	)
Written/Credit Linked Options		(1.3	)
Other		(3.8	)
		100.0	%
Country/Region Summary**	% of Investments
United States		45.6	%
Japan		24.4
Euro Region***		12.3
Australia		10.6
Denmark		6.4
Emerging****		5.8
Mexico		3.8
Canada		1.4
Switzerland		(4.2	)
United Kingdom		(6.1	)
		100.0	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security.

*** The “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Latvia, Lithuania, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain.

**** The “Emerging” exposure is associated only with investments in GMO Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Mexico, Russia, Brazil, Turkey, Indonesia, Venezuela, Argentina, Hungary, China and Philippines. Additional information about Emerging Country Debt Fund’s emerging country exposure is available in the country/region summary of its financial statements.

^ Rounds to 0.0%.

86

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 68.5%
		Belgium — 1.5%
		Foreign Government Obligations
EUR	230,000	Belgium Government Bond, Reg S, 4.25%, due 09/28/21		317,085
EUR	150,000	Belgium Government Bond, Reg S, 5.00%, due 03/28/35		256,488
		Total Belgium		573,573
		Canada — 4.0%
		Foreign Government Obligations
CAD	2,000,000	Government of Canada, 1.50%, due 06/01/23		1,549,407
		France — 5.7%
		Foreign Government Obligations
EUR	1,270,000	Government of France, Reg S, 3.25%, due 10/25/21		1,661,390
EUR	320,000	Government of France, Reg S, 4.50%, due 04/25/41		541,975
		Total France		2,203,365
		Italy — 7.3%
		Foreign Government Obligations
EUR	1,340,000	Buoni Poliennali Del Tesoro, 3.75%, due 05/01/21		1,714,558
EUR	440,000	Buoni Poliennali Del Tesoro, 4.75%, due 05/01/17		531,143
EUR	450,000	Republic of Italy, Reg S, 4.00%, due 02/01/37		602,901
		Total Italy		2,848,602
		Japan — 14.8%
		Foreign Government Obligations
JPY	384,000,000	Japan Government Ten Year Bond, 1.30%, due 09/20/19		3,327,729
JPY	168,300,000	Japan Government Thirty Year Bond, 2.40%, due 12/20/34		1,695,081
JPY	83,200,000	Japan Government Thirty Year Bond, 1.70%, due 12/20/43		734,199
		Total Japan		5,757,009
		Netherlands — 1.2%
		Foreign Government Obligations
EUR	20,000	Netherlands Government Bond, Reg S, 4.00%, due 07/15/19		25,882
EUR	250,000	Netherlands Government Bond, 5.50%, due 01/15/28		420,486
		Total Netherlands		446,368

Par Value / Shares / Principal Amount		Description	Value ($)
		Spain — 3.9%
		Foreign Government Obligations
EUR	270,000	Government of Spain, 2.10%, due 04/30/17		312,806
EUR	640,000	Government of Spain, 144A, 5.50%, due 04/30/21		885,641
EUR	240,000	Government of Spain, 144A, 4.20%, due 01/31/37		322,245
		Total Spain		1,520,692
		United Kingdom — 7.2%
		Foreign Government Obligations
GBP	250,000	United Kingdom Gilt, Reg. S, 1.75%, due 01/22/17		389,989
GBP	720,000	United Kingdom Gilt, Reg. S, 1.75%, due 07/22/19		1,128,594
GBP	710,000	United Kingdom Gilt, Reg. S, 3.50%, due 01/22/45		1,295,334
		Total United Kingdom		2,813,917
		United States — 22.9%
		U.S. Government
USD	10,000,000	U.S. Treasury Principal Strip Bond, due 11/15/21		8,907,810
		TOTAL DEBT OBLIGATIONS (COST $26,754,212)		26,620,743
		MUTUAL FUNDS — 28.6%
		United States
		Affiliated Issuers
	78,471	GMO Debt Opportunities Fund, Class VI		1,949,230
	218,398	GMO Emerging Country Debt Fund, Class IV		1,987,426
	119,800	GMO U.S. Treasury Fund		2,995,000
	267,578	GMO World Opportunity Overlay Fund		4,184,917
		TOTAL MUTUAL FUNDS (COST $10,288,194)		11,116,573
		OPTIONS PURCHASED — 2.3%
		Currency Options — 0.5%
EUR	1,750,000	EUR Put/USD Call, Expires 10/21/15, Strike 1.02, (OTC) (CP-JPM)		1,066
EUR	1,031,000	EUR Put/USD Call, Expires 10/22/15, Strike 1.03, (OTC) (CP-JPM)		1,167
EUR	500,000	EUR Put/USD Call, Expires 10/28/15, Strike 1.07, (OTC) (CP-JPM)		2,109
EUR	833,000	EUR Put/USD Call, Expires 10/29/15, Strike 1.07, (OTC) (CP-JPM)		3,601
EUR	1,208,000	EUR Put/USD Call, Expires 02/04/16, Strike 1.03, (OTC) (CP-GS)		7,651

See accompanying notes to the financial statements. 87

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Principal Amount		Description	Value ($)
		Currency Options — continued
EUR	49,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/24/16, Strike 1.10, (OTC) (CP-DB)		16,908
EUR	35,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/29/16, Strike 1.10, (OTC) (CP-JPM)		12,077
EUR	15,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/29/16, Strike 1.10, (OTC) (CP-JPM)		5,176
USD	430,000	USD Put/CHF Call, Expires 03/01/16, Strike 0.93, (OTC) (CP-GS)		6,966
EUR	978,000	EUR Put/USD Call, Expires 03/10/16, Strike 0.98, (OTC) (CP-JPM)		3,380
EUR	1,370,000	EUR Put/USD Call, Expires 03/10/16, Strike 1.05, (OTC) (CP-GS)		14,502
EUR	487,000	EUR Call/USD Put, Expires 03/14/16, Strike 1.08, (OTC) (CP-JPM)		31,888
EUR	487,000	EUR Put/USD Call, Expires 03/14/16, Strike 1.08, (OTC) (CP-JPM)		8,442

Principal Amount		Description	Value ($)
		Currency Options — continued
EUR	974,000	EUR Put/USD Call, Expires 03/14/16, Strike 0.99, (OTC) (CP-JPM)		4,294
USD	225,000	USD Call/CHF Put, Expires 03/23/16, Strike 0.93, (OTC) (CP-JPM)		10,296
USD	225,000	USD Call/CHF Put, Expires 03/23/16, Strike 0.94, (OTC) (CP-JPM)		9,692
USD	225,000	USD Put/CHF Call, Expires 03/23/16, Strike 0.93, (OTC) (CP-JPM)		4,596
USD	225,000	USD Put/CHF Call, Expires 03/23/16, Strike 0.94, (OTC) (CP-JPM)		4,974
EUR	49,000	EUR Put/USD Call, One-Touch Binary Option, Expires 03/31/16, Strike 1.10, (OTC) (CP-JPM)		16,908
EUR	49,000	EUR Put/USD Call, One-Touch Binary Option, Expires 06/03/16, Strike 1.10, (OTC) (CP-JPM)		17,045
		Total Currency Options		182,738

Principal Amount		Expiration Date	Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate	Counterparty	Value ($)
			Options on Interest Rate Swaps — 1.8%
USD	365,000	09/21/2015	Call-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Receive	2.40%	JPM	594
USD	365,000	09/21/2015	Put-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Pay	2.40%	JPM	25,413
USD	185,000	09/23/2015	Call-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Receive	2.39%	JPM	303
USD	185,000	09/23/2015	Put-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Pay	2.39%	JPM	13,601
EUR	394,000	11/20/2015	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay	1.28%	MSCI	45,547
EUR	980,000	02/22/2016	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay	1.56%	GS	87,172
USD	1,420,500	03/11/2016	Call-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Receive	2.75%	GS	18,823
USD	1,420,500	03/11/2016	Put-OTC 30-Year Interest Rate Swap	3 month USD LIBOR	Pay	2.75%	GS	50,222
EUR	395,000	10/13/2016	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay	1.90%	GS	16,722
EUR	1,190,000	02/01/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay	2.03%	GS	46,548
GBP	822,000	02/17/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay	2.95%	MSCI	27,273
EUR	617,000	02/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay	2.05%	MSCI	38,397
EUR	736,000	03/01/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay	1.88%	GS	35,168
GBP	3,086,000	03/20/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay	2.89%	GS	70,170

88 See accompanying notes to the financial statements.

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Principal Amount		Expiration Date	Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate	Counterparty	Value ($)
			Options on Interest Rate Swaps — continued
EUR	617,000	05/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay	2.05%	MSCI	40,371
GBP	698,000	05/19/2017	Put-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Pay	2.91%	GS	16,152
EUR	617,000	08/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay	2.05%	MSCI	42,131
EUR	617,000	11/18/2017	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay	2.05%	MSCI	43,675
EUR	1,835,000	03/06/2018	Put-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Pay	2.05%	GS	86,237
			Total Options on Interest Rate Swaps					704,519
			TOTAL OPTIONS PURCHASED (COST $1,057,146)					887,257

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 6.3%
		Money Market Funds — 0.6%
	242,143	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (a)		242,143
		U.S. Government — 5.7%
	2,000,000	U.S. Treasury Bill, 0.03%, due 12/10/15 (b) (c)		1,999,838
	125,000	U.S. Treasury Bill, 0.00%, due 10/01/15 (c) (d)		125,000
	100,000	U.S. Treasury Bill, 0.04%, due 12/17/15 (c)		99,988
		Total U.S. Government		2,224,826
		TOTAL SHORT-TERM INVESTMENTS (COST $2,466,624)		2,466,969
		TOTAL INVESTMENTS — 105.7% (Cost $40,566,175)		41,091,542
		Other Assets and Liabilities (net) — (5.7%)		(2,219,133	)
		TOTAL NET ASSETS — 100.0%		$38,872,409

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/24/2016	BCLY		BRL	855,207		USD	250,750	$	30,022
10/19/2015	GS		CAD	1,406,000		USD	1,075,364		6,781
02/17/2016	GS		CHF	2,432,750		USD	2,640,421		107,486
03/03/2016	GS		CHF	199,100		USD	203,496		(3,936	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/23/2015	JPM		EUR	3,076,000		USD	3,317,138	$	(137,292	)
10/26/2015	BCLY		EUR	583,000		USD	663,866		9,109
10/26/2015	JPM		EUR	813,000		USD	899,296		(13,769	)
10/30/2015	JPM		EUR	151,000		USD	173,164		3,567
11/02/2015	JPM		EUR	381,000		USD	433,837		5,894
11/16/2015	JPM		EUR	3,219,000		USD	3,663,343		46,826
02/08/2016	GS		EUR	337,000		USD	364,546		(14,694	)
02/09/2016	DB		EUR	146,000		USD	158,045		(6,258	)
02/17/2016	GS		EUR	139,000		USD	150,412		(6,039	)
03/14/2016	GS		EUR	520,000		USD	555,386		(30,229	)
03/14/2016	JPM		EUR	448,000		USD	486,246		(18,284	)
03/16/2016	JPM		EUR	438,000		USD	468,658		(24,633	)
03/27/2017	DB		EUR	20,000		USD	21,940		(877	)
11/07/2017	GS		EUR	917,000		USD	1,006,820		(49,731	)
09/28/2015	DB		GBP	116,000		USD	178,015		39
09/28/2015	GS		GBP	225,000		USD	347,205		1,994
09/28/2015	JPM		GBP	13,941		USD	21,617		227
11/18/2015	GS		GBP	3,084,000		USD	4,570,755		(159,658	)
12/18/2015	GS		GBP	647,000		USD	958,926		(33,344	)
09/14/2015	BCLY		JPY	903,750,000		USD	7,296,486		(159,169	)
09/14/2015	DB		JPY	59,752,000		USD	492,899		(36	)
09/14/2015	BCLY		USD	9,926,136		JPY	1,229,461,127		216,534
09/14/2015	DB		USD	145,783		SEK	1,210,000		(2,822	)
09/14/2015	GS		USD	437,765		JPY	53,549,000		3,998
09/14/2015	MSCI		USD	480,844		AUD	626,000		(35,622	)
09/28/2015	GS		USD	361,023		GBP	230,000		(8,141	)
09/28/2015	JPM		USD	144,594		GBP	93,000		(1,906	)
10/23/2015	JPM		USD	2,982,463		EUR	2,716,000		67,677
10/26/2015	BOA		USD	1,351,474		EUR	1,205,559		2,468
10/26/2015	DB		USD	1,347,928		EUR	1,205,741		6,218
10/26/2015	GS		USD	1,347,065		EUR	1,205,680		7,012
10/26/2015	JPM		USD	543,074		EUR	465,000		(20,840	)
10/26/2015	MSCI		USD	1,350,997		EUR	1,205,741		3,149
10/30/2015	JPM		USD	258,757		EUR	227,000		(3,801	)

See accompanying notes to the financial statements. 89

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Currency Contracts — Continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
11/02/2015	JPM		USD	433,050		EUR	381,000	$	(5,107	)
11/16/2015	DB		USD	290,032		EUR	264,000		6,570
11/16/2015	JPM		USD	1,317,281		EUR	1,230,000		64,613
11/18/2015	GS		USD	4,883,396		GBP	3,291,248		164,904
12/18/2015	GS		USD	956,742		GBP	647,000		35,528
02/08/2016	GS		USD	358,737		EUR	337,000		20,504
02/09/2016	DB		USD	11,890		EUR	11,000		489
02/17/2016	GS		USD	1,830,686		CHF	1,723,000		(36,731	)
03/14/2016	GS		USD	554,710		EUR	520,000		30,905
03/14/2016	JPM		USD	475,418		EUR	448,000		29,112
03/16/2016	JPM		USD	469,821		EUR	438,000		23,471
03/24/2016	JPM		USD	250,482		BRL	855,207		(29,754	)
03/24/2016	JPM		USD	27,230		EUR	24,800		706
03/29/2016	GS		USD	17,534		EUR	16,000		490
03/29/2016	JPM		USD	16,877		EUR	15,300		360
11/07/2017	GS		USD	1,012,093		EUR	917,000		44,458
									$138,438

Forward Cross Currency Contracts

Settlement Date	Counterparty	Deliver/Units of Currency			Receive/In Exchange for			Net Unrealized Appreciation (Depreciation)
10/26/2015	MSCI		EUR	212,000		DKK	1,581,210	$	(76	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
3	Australian Government Bond 10 Yr.	September 2015	$	274,987	$	7,974
3	Australian Government Bond 3 Yr.	September 2015		239,768		2,248
10	Euro Bund	September 2015		1,717,900		8,990
2	Euro BUXL Bond 30 Yr.	September 2015		340,191		(2,852	)
3	Japanese Government Bond 10 Yr. (OSE)	September 2015		3,661,319		27,539
1	U.S. Long Bond (CBT)	December 2015		154,625		84
18	U.S. Treasury Note 5 Yr. (CBT)	December 2015		2,149,875		(7,901	)
17	U.S. Ultra Bond	December 2015		2,692,906		640
2	UK Gilt Long Bond	December 2015		359,656		(800	)
			$	11,591,227	$	35,922
Sales
9	Canadian Government Bond 10 Yr.	December 2015	$	967,452	$	16,813
7	Euro BOBL	September 2015		1,021,393		(1,443	)
30	U.S. Treasury Note 10 Yr.	December 2015		3,811,875		8,395
			$	5,800,720	$	23,765

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Currency Options

Principal Amount			Expiration Date		Description	Premiums		Market Value
Call	EUR	49,000		02/24/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.21, (OTC) (CP-DB)	$	16,675	$	(9,760	)
Call	EUR	35,000		02/29/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		5,067		(10,015	)
Call	EUR	15,000		02/29/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		2,099		(4,166	)
Call	EUR	978,000		03/10/2016	EUR Call/USD Put, Strike 1.14, (OTC) (CP-JPM)		14,852		(26,301	)
Call	EUR	974,000		03/14/2016	EUR Call/USD Put, Strike 1.15, (OTC) (CP-JPM)		14,048		(22,546	)
Call	EUR	49,000		03/31/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19, (OTC) (CP-JPM)		7,889		(15,533	)
Call	EUR	49,000		06/03/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.18, (OTC) (CP-JPM)		10,000		(18,695	)
						$	70,630	$	(107,016	)

90 See accompanying notes to the financial statements.

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Written Options on Interest Rate Swaps

Principal Amount		Expiration Date		Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Counterparty	Premiums		Market Value
EUR	394,000		11/20/2015	Put-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Pay		0.81%	MSCI	$	5,625	$	(16,011	)
EUR	367,500		12/14/2015	Call-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Receive		0.69%	MSCI		7,610		(605	)
EUR	367,500		12/14/2015	Put-OTC 10-Year Interest Rate Swap	6 month EURIBOR	Pay		0.69%	MSCI		7,610		(20,101	)
EUR	979,000		06/01/2016	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		0.93%	GS		28,920		(9,391	)
EUR	987,000		07/07/2016	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		0.99%	GS		26,338		(11,749	)
GBP	822,000		02/17/2017	Call-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Receive		1.95%	MSCI		44,938		(45,490	)
GBP	3,086,000		03/20/2017	Call-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Receive		1.89%	GS		163,687		(133,123	)
EUR	308,500		05/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	MSCI		9,992		(7,784	)
GBP	698,000		05/19/2017	Call-OTC 30-Year Interest Rate Swap	6 month GBP LIBOR	Receive		1.91%	GS		38,858		(32,254	)
EUR	617,000		08/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	MSCI		22,998		(16,754	)
EUR	617,000		11/18/2017	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	MSCI		24,193		(18,180	)
EUR	1,835,000		03/06/2018	Call-OTC 30-Year Interest Rate Swap	6 month EURIBOR	Receive		1.05%	GS		61,123		(50,737	)
	$441,892											$	(362,179	)

Swap Contracts

Basis Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	714,000	USD	2/13/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR	$	6,274
	356,000	USD	2/23/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		2,465
	351,000	USD	3/5/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		1,950
	355,000	USD	3/12/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		1,540
	820,000	USD	3/23/2025	JPM	SIFMA Municipal Swap Index	3 Month USD LIBOR		4,404
							$	16,633
						Premiums to (Pay) Receive	$	—

See accompanying notes to the financial statements. 91

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	35,270,000	JPY	1/19/2016	1/19/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	104
	35,168,000	JPY	1/22/2016	1/22/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		101
	35,168,000	JPY	1/25/2016	1/25/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		100
	35,168,000	JPY	1/26/2016	1/26/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		99
	35,168,000	JPY	1/28/2016	1/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		78
	35,168,000	JPY	2/1/2016	2/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		91
	35,168,000	JPY	2/2/2016	2/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		92
	35,168,000	JPY	2/5/2016	2/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		89
	35,168,000	JPY	2/8/2016	2/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		89
	35,168,000	JPY	2/9/2016	2/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		89
	282,756,000	JPY	3/9/2016	3/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,016	)
	291,026,000	JPY	3/10/2016	3/10/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(2,033	)
	216,276,000	JPY	3/14/2016	3/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,670	)
	63,661,000	JPY	11/1/2016	11/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		54
	63,661,000	JPY	11/2/2016	11/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		55
	63,661,000	JPY	11/3/2016	11/3/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(23	)
	63,661,000	JPY	11/7/2016	11/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		55
	63,661,000	JPY	11/8/2016	11/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		51
	38,511,000	JPY	11/9/2016	11/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		72
	38,511,000	JPY	11/10/2016	11/10/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		3
	38,511,000	JPY	11/14/2016	11/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		75
	38,511,000	JPY	11/15/2016	11/15/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		74
	38,511,000	JPY	11/16/2016	11/16/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		74
	58,580,000	JPY	11/17/2016	11/17/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(165	)
	58,580,000	JPY	11/18/2016	11/18/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(133	)
	58,580,000	JPY	11/21/2016	11/21/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(91	)
	58,580,000	JPY	11/22/2016	11/22/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(119	)
	58,580,000	JPY	11/25/2016	11/25/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(129	)
	48,736,000	JPY	11/28/2016	11/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		119
	48,736,000	JPY	11/29/2016	11/29/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		121
	48,736,000	JPY	11/30/2016	11/30/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		122
	48,736,000	JPY	12/1/2016	12/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		66
	48,736,000	JPY	12/2/2016	12/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		94
	48,736,000	JPY	12/5/2016	12/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		52
	48,736,000	JPY	12/6/2016	12/6/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		53
	48,736,000	JPY	12/7/2016	12/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		54
	48,736,000	JPY	12/8/2016	12/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(4	)
	48,736,000	JPY	12/9/2016	12/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		25
	58,484,000	JPY	12/12/2016	12/12/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(68	)
	58,484,000	JPY	12/13/2016	12/13/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(65	)
	58,484,000	JPY	12/14/2016	12/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(64	)
	58,484,000	JPY	12/15/2016	12/15/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(132	)
	58,484,000	JPY	12/16/2016	12/16/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(98	)
	38,511,000	JPY	1/10/2017	1/10/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		72
	38,511,000	JPY	1/11/2017	1/11/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		72

92 See accompanying notes to the financial statements.

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	38,511,000	JPY	1/12/2017	1/12/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	25
	38,511,000	JPY	1/13/2017	1/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		46
	38,511,000	JPY	1/17/2017	1/17/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		67
	38,382,000	JPY	1/18/2017	1/18/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(81	)
	63,661,000	JPY	1/18/2017	1/18/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		53
	63,661,000	JPY	1/19/2017	1/19/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(66	)
	63,661,000	JPY	1/20/2017	1/20/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(30	)
	63,661,000	JPY	1/23/2017	1/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		47
	38,382,000	JPY	1/24/2017	1/24/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(85	)
	63,661,000	JPY	1/24/2017	1/24/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		46
	38,382,000	JPY	1/25/2017	1/25/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(85	)
	38,382,000	JPY	1/26/2017	1/26/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(133	)
	38,382,000	JPY	1/30/2017	1/30/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(90	)
	23,842,000	JPY	1/31/2017	1/31/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(216	)
	23,842,000	JPY	2/1/2017	2/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(216	)
	23,842,000	JPY	2/2/2017	2/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(244	)
	23,842,000	JPY	2/6/2017	2/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(216	)
	23,842,000	JPY	2/7/2017	2/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(215	)
	23,842,000	JPY	2/8/2017	2/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(215	)
	23,842,000	JPY	2/9/2017	2/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(243	)
	23,842,000	JPY	2/13/2017	2/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(216	)
	23,842,000	JPY	2/14/2017	2/14/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(215	)
	23,842,000	JPY	2/15/2017	2/15/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(215	)
	18,356,000	JPY	2/21/2017	2/21/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(190	)
	18,356,000	JPY	2/21/2017	2/21/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(190	)
	18,356,000	JPY	2/22/2017	2/22/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(190	)
	18,356,000	JPY	2/22/2017	2/22/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(190	)
	18,356,000	JPY	2/23/2017	2/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(212	)
	18,356,000	JPY	2/23/2017	2/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(212	)
	18,356,000	JPY	2/27/2017	2/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(190	)
	18,356,000	JPY	2/27/2017	2/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(190	)
	18,356,000	JPY	3/1/2017	3/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(189	)
	18,356,000	JPY	3/1/2017	3/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(189	)
	18,356,000	JPY	3/2/2017	3/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(211	)
	18,356,000	JPY	3/2/2017	3/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(211	)
	143,553,000	JPY	3/3/2017	3/3/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,822	)
	18,356,000	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(185	)
	18,356,000	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(185	)
	73,406,000	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(891	)
	18,356,000	JPY	3/7/2017	3/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(185	)
	18,356,000	JPY	3/7/2017	3/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(185	)
	18,356,000	JPY	3/8/2017	3/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(184	)
	18,356,000	JPY	3/8/2017	3/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(184	)
	18,356,000	JPY	3/9/2017	3/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(206	)
	18,356,000	JPY	3/9/2017	3/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(206	)

See accompanying notes to the financial statements. 93

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	33,219,000	JPY	3/10/2017	3/10/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(534	)
	33,219,000	JPY	3/13/2017	3/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(509	)
	33,219,000	JPY	3/14/2017	3/14/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(507	)
	33,219,000	JPY	3/15/2017	3/15/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(506	)
	33,219,000	JPY	3/16/2017	3/16/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(546	)
	33,219,000	JPY	3/27/2017	3/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(496	)
	33,219,000	JPY	3/28/2017	3/28/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(496	)
	33,219,000	JPY	3/29/2017	3/29/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(496	)
	33,219,000	JPY	4/3/2017	4/3/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(494	)
	33,219,000	JPY	4/4/2017	4/4/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(494	)
	36,713,000	JPY	1/9/2018	1/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(491	)
	36,713,000	JPY	1/10/2018	1/10/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(491	)
	36,713,000	JPY	1/16/2018	1/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(485	)
	36,713,000	JPY	1/17/2018	1/17/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(485	)
	36,713,000	JPY	1/23/2018	1/23/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(480	)
	46,321,000	JPY	1/24/2018	1/24/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(826	)
	46,321,000	JPY	1/25/2018	1/25/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(886	)
	46,321,000	JPY	1/29/2018	1/29/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(823	)
	46,321,000	JPY	1/30/2018	1/30/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(822	)
	46,321,000	JPY	1/31/2018	1/31/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(822	)
	46,321,000	JPY	2/1/2018	2/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(881	)
	46,621,000	JPY	2/5/2018	2/5/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,099	)
	46,621,000	JPY	2/6/2018	2/6/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,098	)
	46,621,000	JPY	2/7/2018	2/7/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,097	)
	46,621,000	JPY	2/8/2018	2/8/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,158	)
	46,621,000	JPY	2/14/2018	2/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,095	)
	46,621,000	JPY	2/20/2018	2/20/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,095	)
	36,713,000	JPY	2/21/2018	2/21/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(993	)
	36,713,000	JPY	2/22/2018	2/22/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,042	)
	36,713,000	JPY	2/26/2018	2/26/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(994	)
	36,713,000	JPY	2/27/2018	2/27/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(994	)
	36,713,000	JPY	2/28/2018	2/28/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(996	)
	36,713,000	JPY	3/1/2018	3/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,021	)
	6,398,000	EUR	3/2/2018	3/2/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(2,483	)
	36,713,000	JPY	3/5/2018	3/5/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(996	)
	1,896,000	EUR	3/6/2017	3/6/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(2,017	)
	36,713,000	JPY	3/6/2018	3/6/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(996	)
	36,713,000	JPY	3/7/2018	3/7/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,046	)
	36,713,000	JPY	3/9/2018	3/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(997	)
	2,198,000	EUR	3/10/2017	3/10/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(4,599	)
	42,318,000	JPY	3/12/2018	3/12/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(985	)
	42,318,000	JPY	3/13/2018	3/13/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(985	)
	42,318,000	JPY	3/14/2018	3/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,042	)
	1,964,000	EUR	3/16/2017	3/16/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(8,653	)
	42,318,000	JPY	3/19/2018	3/19/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(986	)

94 See accompanying notes to the financial statements.

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued

Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays 1	Fund Receives 2	Net Unrealized Appreciation/ (Depreciation)
	42,318,000	JPY	3/26/2018	3/26/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(988	)
	42,318,000	JPY	3/27/2018	3/27/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(988	)
	42,318,000	JPY	3/28/2018	3/28/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(1,047	)
	42,318,000	JPY	4/3/2018	4/3/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(988	)
	42,318,000	JPY	4/9/2018	4/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(727	)
	42,318,000	JPY	4/16/2018	4/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(729	)
	42,318,000	JPY	4/17/2018	4/17/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(730	)
	42,318,000	JPY	4/20/2018	4/20/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(731	)
	42,318,000	JPY	4/23/2018	4/23/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(732	)
	42,318,000	JPY	4/24/2018	4/24/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(732	)
	42,318,000	JPY	4/25/2018	4/25/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(790	)
	29,025,000	JPY	5/11/2018	5/11/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(230	)
	29,025,000	JPY	5/14/2018	5/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(231	)
	29,025,000	JPY	5/15/2018	5/15/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(232	)
	29,025,000	JPY	5/16/2018	5/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(273	)
	29,025,000	JPY	5/21/2018	5/21/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(235	)
	29,025,000	JPY	5/22/2018	5/22/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(235	)
	29,025,000	JPY	5/29/2018	5/29/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(240	)
	29,025,000	JPY	6/1/2018	6/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(241	)
	5,165,000	EUR	1/27/2021	1/27/2024	GS	3 Month USD LIBOR	3 Month EURIBOR		12,952
	3,177,000	EUR	1/23/2020	1/23/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		17,361
	2,601,000	EUR	1/24/2022	1/24/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		12,952
	2,963,000	EUR	1/29/2020	1/29/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		12,046
	1,526,000	EUR	1/30/2020	1/30/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		7,356
	2,448,000	EUR	2/3/2020	2/3/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		13,233
	1,480,000	EUR	2/11/2020	2/11/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		6,812
								$	7,967
						Premiums to (Pay) Receive		$	(90,232	)

¹  For JPY LIBOR, Fund pays 3 month JPY LIBOR adjusted by a spread. Spreads range from (0.58)% to (0.81)%.

²  For EURIBOR, Fund receives 3 month EURIBOR adjusted by a spread. Spreads range from (0.16)% to (0.44)%.

Inflation Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	139,000	GBP	2/19/2020	GS	Receive	2.69%	U.K. Retail Price Index	$	(1,988	)
	275,000	GBP	3/27/2020	GS	(Pay)	2.73%	U.K. Retail Price Index		2,988
	139,000	GBP	2/19/2025	GS	(Pay)	2.92%	U.K. Retail Price Index		(89	)
	275,000	GBP	3/27/2025	GS	Receive	3.01%	U.K. Retail Price Index		(1,720	)
								$	(809	)
							Premiums to (Pay) Receive	$	—

# Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

See accompanying notes to the financial statements. 95

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	6,600,000	USD	8/18/2016	CSS (e)	Receive	0.47%	3 Month USD LIBOR	$	5,446
	990,000	EUR	11/28/2016	CSS (e)	Receive	0.10%	6 Month EURIBOR		1,911
	444,000	GBP	3/20/2019	BCI (e)	Receive	1.18%	6 Month GBP LIBOR		(3,946	)
	4,672,000	DKK	2/25/2020	CSS (e)	Receive	0.04%	6 Month DKK CIBOR		(8,493	)
	4,740,000	DKK	3/2/2020	CSS (e)	Receive	0.34%	6 Month DKK CIBOR		(10,021	)
	4,496,000	DKK	3/2/2020	CSS (e)	Receive	0.33%	6 Month DKK CIBOR		(10,101	)
	2,654,000	DKK	3/9/2020	CSS (e)	Receive	0.38%	6 Month DKK CIBOR		(5,091	)
	2,762,000	DKK	3/10/2020	CSS (e)	Receive	0.41%	6 Month DKK CIBOR		(4,701	)
	3,683,000	DKK	3/20/2020	CSS (e)	Receive	0.37%	6 Month DKK CIBOR		(7,454	)
	1,299,000	DKK	3/20/2020	CSS (e)	Receive	0.36%	6 Month DKK CIBOR		(2,629	)
	125,000	GBP	6/12/2020	BCI (e)	Receive	1.59%	6 Month GBP LIBOR		430
	878,000	EUR	12/16/2020	CSS (e)	(Pay)	0.48%	6 Month EURIBOR		947
	1,500,000	EUR	12/16/2020	CSS (e)	Receive	0.55%	6 Month EURIBOR		4,514
	416,000	USD	12/16/2020	CSS (e)	(Pay)	1.92%	3 Month USD LIBOR		(2,734	)
	3,785,000	MXN	10/11/2024	BCI (e)	Receive	6.18%	TIIE		(1,425	)
	5,000,000	MXN	10/16/2024	BCI (e)	Receive	6.03%	TIIE		(5,349	)
	5,400,000	MXN	10/18/2024	BCI (e)	Receive	6.12%	TIIE		(3,606	)
	4,900,000	MXN	10/25/2024	BCI (e)	Receive	6.19%	TIIE		(1,773	)
	1,707,000	MXN	10/28/2024	BCI (e)	Receive	6.13%	TIIE		(1,087	)
	409,000	AUD	11/6/2024	BCI (e)	Receive	4.35%	6 Month AUD BBSW		10,219
	1,300,000	AUD	11/7/2024	BCI (e)	Receive	4.31%	6 Month AUD BBSW		31,070
	1,000,000	AUD	11/13/2024	BCI (e)	Receive	4.31%	6 Month AUD BBSW		23,692
	869,000	GBP	1/21/2025	BCI (e)	(Pay)	1.45%	SONIA Index		36,723
	276,000	AUD	5/7/2025	BCI (e)	Receive	3.76%	6 Month AUD BBSW		1,278
	664,000	AUD	5/8/2025	BCI (e)	Receive	3.78%	6 Month AUD BBSW		3,513
	327,000	AUD	5/8/2025	BCI (e)	Receive	3.80%	6 Month AUD BBSW		1,900
	346,000	AUD	5/11/2025	BCI (e)	Receive	3.71%	6 Month AUD BBSW		1,088
	726,000	USD	5/13/2025	CSS (e)	Receive	2.29%	3 Month USD LIBOR		3,168
	420,000	AUD	6/10/2025	BCI (e)	(Pay)	3.99%	6 Month AUD BBSW		(4,675	)
	546,000	USD	6/11/2025	CSS (e)	Receive	2.53%	3 Month USD LIBOR		13,697
	361,000	AUD	7/9/2025	CSS (e)	(Pay)	3.87%	6 Month AUD BBSW		(2,571	)
	347,000	AUD	7/10/2025	CSS (e)	(Pay)	3.80%	6 Month AUD BBSW		(1,777	)
	1,876,000	AUD	8/13/2025	CSS (e)	(Pay)	3.69%	6 Month AUD BBSW		(2,760	)
	119,000	USD	9/23/2025	CSS (e)	(Pay)	2.39%	3 Month USD LIBOR		(1,157	)
	118,000	USD	9/23/2025	CSS (e)	(Pay)	2.66%	3 Month USD LIBOR		(4,032	)
	326,000	USD	9/23/2025	CSS (e)	(Pay)	2.54%	3 Month USD LIBOR		(7,581	)
	241,000	USD	9/23/2025	CSS (e)	(Pay)	2.62%	3 Month USD LIBOR		(7,406	)
	168,000	USD	9/23/2025	CSS (e)	(Pay)	2.48%	3 Month USD LIBOR		(2,944	)
	1,700,000	EUR	12/17/2025	CSS (e)	(Pay)	1.87%	6 Month EURIBOR		(7,187	)
	667,000	USD	12/17/2025	CSS (e)	(Pay)	2.43%	3 Month USD LIBOR		(4,954	)
	425,000	EUR	3/30/2030	CSS (e)	(Pay)	0.74%	6 Month EURIBOR		42,616
	631,000	GBP	5/20/2030	BCI (e)	Receive	2.69%	6 Month GBP LIBOR		7,467
	290,000	EUR	7/1/2030	CSS (e)	(Pay)	2.28%	6 Month EURIBOR		(1,188	)

96 See accompanying notes to the financial statements.

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	220,000	EUR	9/15/2030	CSS (e)	(Pay)	0.78%	6 Month EURIBOR	$	22,158
	44,000	EUR	12/18/2030	CSS (e)	Receive	1.49%	6 Month EURIBOR		265
	54,000	EUR	12/18/2030	CSS (e)	Receive	1.51%	6 Month EURIBOR		452
	60,000	EUR	12/18/2030	CSS (e)	Receive	1.52%	6 Month EURIBOR		559
	46,000	EUR	12/18/2030	CSS (e)	Receive	1.54%	6 Month EURIBOR		610
	447,000	USD	3/17/2031	CSS (e)	(Pay)	2.58%	3 Month USD LIBOR		2,596
	54,000	EUR	6/18/2031	CSS (e)	Receive	1.49%	6 Month EURIBOR		(300	)
	148,000	AUD	12/23/2034	BCI (e)	Receive	4.41%	6 Month AUD BBSW		2,891
	73,000	AUD	12/30/2034	CSS (e)	Receive	4.37%	6 Month AUD BBSW		1,271
	73,000	AUD	1/7/2035	BCI (e)	Receive	4.11%	6 Month AUD BBSW		391
	75,000	AUD	1/8/2035	JPMF (e)	Receive	4.00%	6 Month AUD BBSW		46
	149,000	AUD	1/9/2035	JPMF (e)	Receive	3.96%	6 Month AUD BBSW		(185	)
	150,000	AUD	1/13/2035	JPMF (e)	Receive	3.95%	6 Month AUD BBSW		(273	)
	222,000	AUD	1/13/2035	JPMF (e)	Receive	3.96%	6 Month AUD BBSW		(353	)
	151,000	CHF	1/13/2035	CSS (e)	(Pay)	1.22%	6 Month CHF LIBOR		(1,584	)
	75,000	CHF	1/13/2035	CSS (e)	(Pay)	1.33%	6 Month CHF LIBOR		(1,612	)
	150,000	AUD	1/14/2035	JPMF (e)	Receive	3.91%	6 Month AUD BBSW		(585	)
	77,000	CHF	1/15/2035	CSS (e)	(Pay)	1.35%	6 Month CHF LIBOR		(1,801	)
	152,000	AUD	1/16/2035	BCI (e)	Receive	3.82%	6 Month AUD BBSW		(1,226	)
	309,000	CHF	1/16/2035	CSS (e)	(Pay)	1.35%	6 Month CHF LIBOR		(7,226	)
	74,000	AUD	1/20/2035	BCI (e)	Receive	3.76%	6 Month AUD BBSW		(802	)
	149,000	AUD	1/21/2035	BCI (e)	Receive	3.75%	6 Month AUD BBSW		(1,632	)
	350,000	AUD	3/4/2035	BCI (e)	Receive	3.68%	6 Month AUD BBSW		(5,023	)
	207,000	AUD	3/4/2035	BCI (e)	Receive	3.66%	6 Month AUD BBSW		(3,143	)
	890,000	CHF	3/4/2035	CSS (e)	(Pay)	1.14%	6 Month CHF LIBOR		(3,255	)
	37,000	CHF	3/5/2035	CSS (e)	(Pay)	1.16%	6 Month CHF LIBOR		(194	)
	251,000	AUD	3/6/2035	BCI (e)	Receive	3.70%	6 Month AUD BBSW		(3,347	)
	275,000	AUD	3/10/2035	BCI (e)	Receive	3.75%	6 Month AUD BBSW		(3,034	)
	430,000	AUD	3/10/2035	BCI (e)	Receive	3.75%	6 Month AUD BBSW		(4,694	)
	346,000	AUD	3/19/2035	BCI (e)	Receive	3.51%	6 Month AUD BBSW		(7,710	)
	323,000	EUR	3/30/2035	CSS (e)	(Pay)	0.82%	6 Month EURIBOR		46,324
	607,000	CHF	5/6/2035	CSS (e)	Receive	0.92%	6 Month CHF LIBOR		(10,666	)
	187,000	CHF	5/7/2035	CSS (e)	Receive	0.98%	6 Month CHF LIBOR		(2,301	)
	254,000	USD	12/19/2035	CSS (e)	(Pay)	2.72%	3 Month USD LIBOR		(1,786	)
	430,000	EUR	12/24/2044	CSS (e)	(Pay)	1.96%	6 Month EURIBOR		(6,000	)
	270,000	EUR	12/31/2044	CSS (e)	(Pay)	1.96%	6 Month EURIBOR		(3,628	)
	1,183,800	EUR	2/11/2045	CSS (e)	(Pay)	0.90%	6 Month EURIBOR		136,968
	759,800	EUR	3/3/2045	CSS (e)	(Pay)	0.94%	6 Month EURIBOR		130,472
	92,000	GBP	3/6/2045	BCI (e)	Receive	2.52%	6 Month GBP LIBOR		4,166
	6,000	EUR	3/11/2045	CSS (e)	(Pay)	1.47%	6 Month EURIBOR		274
	302,000	EUR	3/11/2045	CSS (e)	(Pay)	1.55%	6 Month EURIBOR		10,789
	376,000	EUR	3/11/2045	CSS (e)	(Pay)	1.50%	6 Month EURIBOR		15,708

See accompanying notes to the financial statements. 97

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	473,742	EUR	3/23/2045	CSS (e)	Receive	0.88%	6 Month EURIBOR	$	(92,907	)
	121,000	EUR	3/24/2045	CSS (e)	Receive	0.98%	6 Month EURIBOR		(20,208	)
	117,000	EUR	3/24/2045	CSS (e)	Receive	0.89%	6 Month EURIBOR		(22,737	)
	614,000	USD	3/26/2045	JPMF (e)	(Pay)	2.51%	3 Month USD LIBOR		27,449
	96,000	GBP	3/27/2045	BCI (e)	Receive	2.11%	6 Month GBP LIBOR		(1,551	)
	450,000	EUR	3/30/2045	CSS (e)	Receive	0.86%	6 Month EURIBOR		(91,015	)
	22,000	USD	3/30/2045	CSS (e)	(Pay)	2.63%	3 Month USD LIBOR		768
	216,000	USD	3/31/2045	CSS (e)	Receive	2.37%	3 Month USD LIBOR		(16,074	)
	147,000	EUR	4/15/2045	CSS (e)	Receive	1.06%	6 Month EURIBOR		(21,633	)
	43,000	EUR	4/24/2045	CSS (e)	Receive	0.89%	6 Month EURIBOR		(8,309	)
	1,040,000	EUR	5/6/2045	CSS (e)	Receive	1.35%	6 Month EURIBOR		(61,691	)
	246,000	USD	5/6/2045	CSS (e)	Receive	2.94%	3 Month USD LIBOR		(1,768	)
	363,000	USD	5/6/2045	CSS (e)	Receive	2.96%	3 Month USD LIBOR		(2,263	)
	278,000	GBP	5/7/2045	BCI (e)	Receive	2.49%	6 Month GBP LIBOR		11,145
	556,000	GBP	5/7/2045	BCI (e)	Receive	2.44%	6 Month GBP LIBOR		18,329
	105,000	USD	5/7/2045	CSS (e)	Receive	3.01%	3 Month USD LIBOR		(663	)
	159,000	GBP	5/8/2045	BCI (e)	Receive	2.35%	6 Month GBP LIBOR		3,168
	116,000	GBP	5/13/2045	BCI (e)	Receive	2.47%	6 Month GBP LIBOR		4,401
	246,000	EUR	5/14/2045	CSS (e)	Receive	1.58%	6 Month EURIBOR		(7,636	)
	110,000	EUR	5/14/2045	CSS (e)	Receive	1.60%	6 Month EURIBOR		(3,160	)
	125,000	GBP	5/14/2045	BCI (e)	Receive	2.49%	6 Month GBP LIBOR		5,095
	341,000	USD	5/15/2045	CSS (e)	Receive	3.20%	3 Month USD LIBOR		5,906
	187,000	EUR	5/20/2045	CSS (e)	Receive	1.66%	6 Month EURIBOR		(3,903	)
	193,000	EUR	5/27/2045	CSS (e)	Receive	1.60%	6 Month EURIBOR		(5,509	)
	109,000	EUR	5/27/2045	CSS (e)	Receive	1.61%	6 Month EURIBOR		(2,939	)
	300,000	EUR	6/4/2045	CSS (e)	Receive	1.57%	6 Month EURIBOR		(9,504	)
	481,000	EUR	6/5/2045	CSS (e)	Receive	1.71%	6 Month EURIBOR		(7,464	)
	97,000	EUR	6/10/2045	CSS (e)	Receive	1.80%	6 Month EURIBOR		(384	)
	288,000	GBP	6/10/2045	BCI (e)	Receive	2.48%	6 Month GBP LIBOR		11,457
	233,000	EUR	6/12/2045	CSS (e)	Receive	1.97%	6 Month EURIBOR		3,767
	27,000	GBP	6/12/2045	BCI (e)	(Pay)	2.34%	6 Month GBP LIBOR		(1,666	)
	251,000	EUR	6/28/2045	CSS (e)	Receive	2.05%	6 Month EURIBOR		6,717
	323,000	GBP	6/28/2045	BCI (e)	(Pay)	2.43%	6 Month GBP LIBOR		(10,623	)
	200,000	EUR	7/3/2045	CSS (e)	Receive	2.05%	6 Month EURIBOR		5,333
	237,000	USD	7/6/2045	CSS (e)	Receive	2.98%	3 Month USD LIBOR		13,245
	268,000	EUR	7/8/2045	CSS (e)	Receive	2.10%	6 Month EURIBOR		8,836
	650,000	EUR	7/9/2045	CSS (e)	(Pay)	1.87%	6 Month EURIBOR		(2,974	)
	197,000	EUR	7/10/2045	CSS (e)	(Pay)	1.79%	6 Month EURIBOR		1,076
	488,000	EUR	7/15/2045	CSS (e)	Receive	2.11%	6 Month EURIBOR		16,742
	679,000	EUR	7/15/2045	CSS (e)	Receive	2.03%	6 Month EURIBOR		16,679
	196,000	EUR	7/15/2045	CSS (e)	(Pay)	0.98%	6 Month EURIBOR		33,415
	138,876	EUR	12/15/2045	CSS (e)	Receive	0.86%	6 Month EURIBOR		(29,097	)
	205,000	EUR	12/15/2045	CSS (e)	Receive	0.76%	6 Month EURIBOR		(48,509	)

98 See accompanying notes to the financial statements.

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	27,000	EUR	12/16/2045	CSS (e)	Receive	0.85%	6 Month EURIBOR	$	(5,715	)
	424,000	EUR	12/20/2045	CSS (e)	(Pay)	1.80%	6 Month EURIBOR		590
	416,000	EUR	12/20/2045	CSS (e)	(Pay)	1.87%	6 Month EURIBOR		(2,658	)
	369,000	GBP	12/20/2045	CSS (e)	(Pay)	2.30%	6 Month GBP LIBOR		(5,678	)
	300,000	GBP	12/20/2045	CSS (e)	(Pay)	2.25%	6 Month GBP LIBOR		(2,221	)
	490,000	EUR	2/24/2046	CSS (e)	Receive	1.56%	6 Month EURIBOR		(29,295	)
	49,000	EUR	3/16/2046	CSS (e)	Receive	1.08%	6 Month EURIBOR		(7,427	)
	135,000	USD	3/17/2046	CSS (e)	Receive	2.65%	3 Month USD LIBOR		(3,779	)
	28,000	EUR	3/23/2046	CSS (e)	Receive	0.90%	6 Month EURIBOR		(5,688	)
	15,000	GBP	3/23/2046	BCI (e)	(Pay)	2.05%	6 Month GBP LIBOR		761
	20,000	GBP	3/23/2046	BCI (e)	Receive	1.94%	6 Month GBP LIBOR		(1,779	)
	133,000	GBP	3/23/2046	BCI (e)	(Pay)	1.97%	6 Month GBP LIBOR		10,354
	195,000	GBP	3/23/2046	BCI (e)	(Pay)	2.48%	6 Month GBP LIBOR		(19,237	)
	144,000	GBP	3/23/2046	BCI (e)	(Pay)	2.52%	6 Month GBP LIBOR		(15,956	)
	239,000	EUR	3/29/2046	CSS (e)	Receive	0.93%	6 Month EURIBOR		(46,058	)
	450,000	EUR	6/20/2046	CSS (e)	(Pay)	1.79%	6 Month EURIBOR		642
	481,000	EUR	6/20/2046	CSS (e)	(Pay)	1.88%	6 Month EURIBOR		(4,953	)
	50,150	EUR	10/17/2046	CSS (e)	(Pay)	0.97%	6 Month EURIBOR		4,841
	303,000	EUR	12/19/2046	CSS (e)	(Pay)	1.85%	6 Month EURIBOR		(2,314	)
	313,000	EUR	12/19/2046	CSS (e)	(Pay)	1.92%	6 Month EURIBOR		(5,027	)
	716,000	EUR	3/3/2047	CSS (e)	(Pay)	0.97%	6 Month EURIBOR		67,981
	161,680	EUR	5/24/2047	CSS (e)	Receive	1.55%	6 Month EURIBOR		(8,847	)
	775,000	EUR	8/23/2047	CSS (e)	Receive	0.92%	6 Month EURIBOR		(121,911	)
	383,000	EUR	8/23/2047	CSS (e)	Receive	1.55%	6 Month EURIBOR		(20,515	)
	389,000	EUR	11/22/2047	CSS (e)	Receive	1.55%	6 Month EURIBOR		(20,321	)
	478,000	EUR	6/17/2048	CSS (e)	(Pay)	1.83%	6 Month EURIBOR		(5,275	)
	292,136	EUR	3/16/2056	CSS (e)	Receive	0.89%	6 Month EURIBOR		(73,179	)
								$	(226,706	)
							Premiums to (Pay) Receive	$	(56,254	)

# Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

(b) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(c) The rate shown represents yield-to-maturity.

(d) Rate rounds to 0.00%.

(e) Swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 109.

See accompanying notes to the financial statements. 99

GMO International Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		54.9	%
Short-Term Investments		22.1
Mutual Funds		12.5
Forward Currency Contracts		2.0
Futures Contracts		0.2
Forward Cross Currency Contracts		0.0	^
Swap Contracts		0.0	^
Other		8.3
		100.0	%
Country/Region Summary**	% of Investments
Euro Region		42.9	%
Japan		39.3
United Kingdom		13.9
Australia		2.5
Canada		1.4
United States		0.0	^
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market value or unrealized appreciation/depreciation rather than notional amounts.

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security.

^ Rounds to 0.0%.

100

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 54.9%
		Belgium — 2.2%
		Foreign Government Obligations
EUR	50,000	Belgium Government Bond, Reg S, 4.25%, due 09/28/21		68,931
EUR	30,000	Belgium Government Bond, Reg S, 5.00%, due 03/28/35		51,298
		Total Belgium		120,229
		Canada — 2.2%
		Foreign Government Obligations
CAD	137,000	Government of Canada, 3.50%, due 06/01/20		117,744
		France — 2.2%
		Foreign Government Obligations
EUR	70,000	Government of France, 4.50%, due 04/25/41		118,557
		Italy — 4.7%
		Foreign Government Obligations
EUR	100,000	Buoni Poliennali Del Tesoro, 4.00%, due 02/01/37		133,978
EUR	100,000	Buoni Poliennali Del Tesoro, 4.75%, due 05/01/17		120,714
		Total Italy		254,692
		Japan — 23.9%
		Foreign Government Obligations
JPY	85,200,000	Japan Government Ten Year Bond, 1.30%, due 09/20/19		738,340
JPY	18,500,000	Japan Government Thirty Year Bond, 1.70%, due 12/20/43		163,253
JPY	37,300,000	Japan Government Thirty Year Bond, 2.40%, due 12/20/34		375,678
		Total Japan		1,277,271
		Netherlands — 1.9%
		Foreign Government Obligations
EUR	60,000	Netherlands Government Bond, 5.50%, due 01/15/28		100,917
		Spain — 6.2%
		Foreign Government Obligations
EUR	60,000	Government of Spain, 2.10%, due 04/30/17		69,513
EUR	50,000	Government of Spain, 144A, 4.20%, due 01/31/37		67,134
EUR	140,000	Government of Spain, 144A, 5.50%, due 04/30/21		193,734
		Total Spain		330,381

Par Value / Shares		Description	Value ($)
		United Kingdom — 11.6%
		Foreign Government Obligations
GBP	50,000	United Kingdom Gilt, Reg. S, 1.75%, due 01/22/17		77,998
GBP	160,000	United Kingdom Gilt, Reg. S, 1.75%, due 07/22/19		250,799
GBP	160,000	United Kingdom Gilt, Reg. S, 3.50%, due 01/22/45		291,906
		Total United Kingdom		620,703
		TOTAL DEBT OBLIGATIONS (COST $3,052,254)		2,940,494
		MUTUAL FUNDS — 12.5%
		United States
		Affiliated Issuers
	26,800	GMO U.S. Treasury Fund		670,000
		TOTAL MUTUAL FUNDS (COST $670,000)		670,000
		SHORT-TERM INVESTMENTS — 22.1%
		Money Market Funds — 0.5%
	24,542	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (a)		24,542
		U.S. Government — 21.6%
	55,000	U.S. Treasury Bill, 0.00%, due 10/01/15 (b) (c)		55,000
	1,000,000	U.S. Treasury Bill, 0.03%, due 12/10/15 (b) (d)		999,919
	100,000	U.S. Treasury Bill, 0.04%, due 12/17/15 (b)		99,988
		TOTAL SHORT-TERM INVESTMENTS (COST $1,179,274)		1,179,449
		TOTAL INVESTMENTS — 89.5% (Cost $4,901,528)		4,789,943
		Other Assets and Liabilities (net) — 10.5%		563,816
		TOTAL NET ASSETS — 100.0%		$5,353,759

See accompanying notes to the financial statements. 101

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/14/2015	BCLY		AUD	260,000		USD	192,695	$	7,778
03/24/2016	JPM		BRL	670,009		USD	195,338		22,410
10/19/2015	GS		CAD	13,000		USD	9,943		63
02/17/2016	GS		CHF	2,019,595		USD	2,190,927		88,163
03/03/2016	GS		CHF	212,497		USD	218,839		(2,550	)
03/29/2016	JPM		CHF	87,467		USD	95,019		3,782
10/23/2015	JPM		EUR	3,030,000		USD	3,274,051		(128,720	)
10/26/2015	JPM		EUR	890,000		USD	985,543		(14,000	)
10/30/2015	JPM		EUR	242,000		USD	274,233		2,429
11/02/2015	JPM		EUR	536,000		USD	605,872		3,831
11/16/2015	JPM		EUR	3,051,000		USD	3,470,147		42,378
02/08/2016	GS		EUR	190,000		USD	212,192		(1,623	)
02/09/2016	DB		EUR	136,000		USD	147,220		(5,830	)
02/17/2016	GS		EUR	130,000		USD	140,673		(5,648	)
03/14/2016	GS		EUR	250,000		USD	279,325		(2,221	)
03/14/2016	JPM		EUR	902,000		USD	994,724		(21,092	)
03/16/2016	JPM		EUR	867,000		USD	950,199		(26,247	)
03/27/2017	DB		EUR	18,000		USD	19,746		(789	)
09/28/2015	DB		GBP	35,000		USD	54,924		1,224
09/28/2015	GS		GBP	372,000		USD	573,308		2,559
11/18/2015	GS		GBP	4,503,900		USD	6,699,528		(208,806	)
09/14/2015	BCLY		JPY	514,954,000		USD	4,157,515		(90,694	)
09/14/2015	DB		JPY	6,704,000		USD	55,302		(4	)
09/14/2015	GS		JPY	128,750,000		USD	1,062,658		511
09/14/2015	BCLY		SEK	520,000		USD	61,239		(199	)
09/14/2015	GS		SEK	340,000		USD	41,409		1,238
09/14/2015	BCLY		USD	5,910,708		JPY	732,106,189		128,939
09/14/2015	DB		USD	136,145		SEK	1,130,000		(2,636	)
09/14/2015	MSCI		USD	310,321		AUD	404,000		(22,989	)
09/21/2015	DB		USD	253,924		EUR	228,000		1,997
10/23/2015	JPM		USD	3,293,305		EUR	3,011,000		88,129
10/26/2015	BOA		USD	1,299,311		EUR	1,159,028		2,372
10/26/2015	DB		USD	1,683,852		EUR	1,505,203		6,615
10/26/2015	GS		USD	1,295,072		EUR	1,159,144		6,742
10/26/2015	JPM		USD	505,701		EUR	433,000		(19,406	)
10/26/2015	MSCI		USD	1,298,851		EUR	1,159,202		3,028
10/30/2015	JPM		USD	242,799		EUR	213,000		(3,567	)
11/02/2015	JPM		USD	404,635		EUR	356,000		(4,772	)
11/16/2015	JPM		USD	1,425,448		EUR	1,331,000		69,918
11/18/2015	GS		USD	7,398,444		GBP	4,971,179		226,629
02/09/2016	DB		USD	10,809		EUR	10,000		445
02/17/2016	GS		USD	2,164,973		CHF	2,019,595		(62,208	)
03/03/2016	GS		USD	230,000		CHF	212,497		(8,611	)
03/14/2016	JPM		USD	429,786		EUR	405,000		26,318
03/16/2016	JPM		USD	625,874		EUR	576,000		22,837
03/24/2016	JPM		USD	193,728		BRL	670,009		(20,800	)
03/24/2016	JPM		USD	24,485		EUR	22,300		634
03/29/2016	GS		USD	15,343		EUR	14,000		429
03/29/2016	JPM		USD	95,000		CHF	87,467		(3,763	)
03/29/2016	JPM		USD	15,443		EUR	14,000		329
								$	104,552

Forward Cross Currency Contracts

Settlement Date	Counterparty	Deliver/ Units of Currency			Receive/ In Exchange For			Net Unrealized Appreciation/ (Depreciation)
10/26/2015	MSCI		EUR	42,144		DKK	314,333	$	(15	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
1	Australian Government Bond 10 Yr.	September 2015	$	91,315	$	2,648
1	Australian Government Bond 3 Yr.	September 2015		79,619		746
1	Euro BOBL	September 2015		145,699		996
2	Euro BTP	December 2015		299,196		245
1	Euro Bund	September 2015		171,537		963
1	Japanese Government Bond 10 Yr. (OSE)	September 2015		1,220,942		10,393
2	OATs	September 2015		331,018		(5,985	)
1	UK Gilt Long Bond	December 2015		180,238		(401	)
			$	2,519,564	$	9,605

+ Buys - Fund is long the futures contract. Sales - Fund is short the futures contract.

102 See accompanying notes to the financial statements.

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Reverse Repurchase Agreements

Average balance outstanding	$	(6,353,149	)
Average interest rate		(0.53	)%
Maximum balance outstanding	$	(13,242,921	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Swap Contracts

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	1,510,000	EUR	11/28/2016	CSS (e)	Receive	0.10%	6 Month EURIBOR	$	2,648
	43,200,000	JPY	6/15/2025	CSS (e)	(Pay)	0.72%	6 Month JPY LIBOR		(5,795	)
	50,000	GBP	7/9/2025	CSS (e)	(Pay)	2.11%	6 Month GBP LIBOR		(988	)
								$	(4,135	)
							Premiums to (Pay) Receive	$	—

^#  Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

(b) The rate shown represents yield-to-maturity.

(c) Rate rounds to 0.00%.

(d) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(e) Swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 109.

See accompanying notes to the financial statements. 103

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		99.9	%
Other		0.1
		100.0	%

104

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 99.9%
		U.S. Government — 99.8%
	800,000	U.S. Treasury Bill, 0.00%, due 09/17/15 (a) (b)		799,999
	3,000,000	U.S. Treasury Bill, 0.00%, due 10/29/15 (a) (b)		3,000,006
	202,000,000	U.S. Treasury Bill, 0.00%, due 11/19/15 (a) (b)		201,998,182
	168,570,000	U.S. Treasury Bill, 0.00%, due 11/27/15 (a) (b)		168,569,326
	146,900,000	U.S. Treasury Bill, 0.01%, due 09/10/15 (a)		146,899,412
	252,000,000	U.S. Treasury Bill, 0.01%, due 11/12/15 (a)		251,997,480
	34,280,000	U.S. Treasury Bill, 0.02%, due 09/03/15 (a)		34,279,931
	199,500,000	U.S. Treasury Bill, 0.03%, due 12/10/15 (a)		199,483,841
	42,000,000	U.S. Treasury Bill, 0.04%, due 12/17/15 (a)		41,994,960
	50,700,000	U.S. Treasury Bill, 0.12%, due 12/24/15 (a)		50,680,328
	188,500,000	U.S. Treasury Bill, 0.13%, due 12/31/15 (a)		188,419,134
	517,700,000	U.S. Treasury Bill, 0.13%, due 01/07/16 (a)		517,457,199
	112,000,000	U.S. Treasury Bill, 0.15%, due 01/21/16 (a)		111,933,024
	219,000,000	U.S. Treasury Bill, 0.16%, due 01/14/16 (a)		218,872,542
	145,000,000	U.S. Treasury Bill, 0.16%, due 02/04/16 (a)		144,898,355
	385,000,000	U.S. Treasury Bill, 0.19%, due 02/11/16 (a)		384,678,525
	183,000,000	U.S. Treasury Bill, 0.22%, due 02/18/16 (a)		182,814,804
	100,000,000	U.S. Treasury Note, 0.25%, due 09/15/15		99,994,100
	183,000,000	U.S. Treasury Note, 0.25%, due 11/30/15		183,023,790
	35,000,000	U.S. Treasury Note, 0.25%, due 12/15/15		35,005,460
	15,000,000	U.S. Treasury Note, 0.38%, due 11/15/15		15,006,255
	120,000,000	U.S. Treasury Note, 0.38%, due 01/15/16		120,042,240
	20,000,000	U.S. Treasury Note, 0.38%, due 01/31/16		20,010,160
	150,000,000	U.S. Treasury Note, 0.38%, due 03/31/16		150,029,250
	112,000,000	U.S. Treasury Note, 1.25%, due 09/30/15		112,087,472
	50,000,000	U.S. Treasury Note, 1.38%, due 11/30/15		50,147,150
	15,000,000	U.S. Treasury Note, 2.00%, due 01/31/16		15,106,635
	160,000,000	U.S. Treasury Note, 2.13%, due 12/31/15		160,977,120
		Total U.S. Government		3,810,206,680
		Money Market Funds — 0.1%
	5,170,332	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (c)		5,170,332
		TOTAL SHORT-TERM INVESTMENTS (COST $3,815,614,940)		3,815,377,012
		TOTAL INVESTMENTS — 99.9% (Cost $3,815,614,940)		3,815,377,012
		Other Assets and Liabilities (net) — 0.1%		4,205,399
		TOTAL NET ASSETS — 100.0%		$3,819,582,411

Notes to Schedule of Investments:

(a) The rate shown represents yield-to-maturity.

(b) Rate rounds to 0.00%.

(c) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

See accompanying notes to the financial statements. 105

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		69.9	%
Short-Term Investments		27.7
Swap Contracts		(2.5	)
Written Options		(0.4	)
Other		5.3
		100.0	%
Industry Summary	% of Debt Obligations
U.S. Government		71.6	%
Commercial Mortgage-Backed Securities		10.7
Residential Mortgage-Backed Securities – Subprime		7.8
Insured Other		4.1
Residential Mortgage-Backed Securities – Other		4.0
U.S. Government Agency		1.8
Collateralized Debt Obligations		0.0	^
		100.0	%

^ Rounds to 0.0%.

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

106

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 69.9%
		Asset-Backed Securities — 18.5%
		Collateralized Debt Obligations — 0.0%
	6,777,455	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.13%, due 11/23/52		6,777
		Commercial Mortgage-Backed Securities — 7.4%
	656,871	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.57%, due 01/25/35		609,248
	999,448	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.59%, due 01/25/36		864,522
	2,153,707	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.50%, due 12/25/37		2,196,781
	521,975	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.44%, due 11/15/33		495,876
	662,761	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.45%, due 02/25/30		632,069
	482,901	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.45%, due 09/25/30		449,484
		Total Commercial Mortgage-Backed Securities		5,247,980
		Insured Other — 2.9%
	9,200,000	Toll Road Investment Part II, Series C, 144A, NPG, Zero Coupon, due 02/15/37		2,011,120
		Residential Mortgage-Backed Securities — Other — 2.8%
	2,503,667	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.20%, due 02/28/40		1,981,435

Par Value ($) / Shares		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Subprime — 5.4%
	7,539,547	Securitized Asset-Backed Receivables LLC, Series 06-HE1, Class A2C, 1 mo. LIBOR + .16%, 0.35%, due 07/25/36		3,825,445
		Total Asset-Backed Securities		13,072,757
		U.S. Government — 50.1%
	41,250,000	U.S. Treasury Strip Coupon, due 02/15/23		35,255,096
		U.S. Government Agency — 1.3%
	800,000	U.S. Department of Transportation, 144A, 6.00%, due 12/07/21		902,080
		TOTAL DEBT OBLIGATIONS (COST $59,728,902)		49,229,933
		SHORT-TERM INVESTMENTS — 27.7%
		Money Market Funds — 3.5%
	2,481,869	State Street Institutional Liquid Reserves Fund-Premier Class, 0.12%(a)		2,481,869
		U.S. Government — 24.2%
	17,000,000	U.S. Treasury Bill, 0.02%, due 09/03/15 (b)		16,999,966
		TOTAL SHORT-TERM INVESTMENTS (COST $19,481,830)		19,481,835
		TOTAL INVESTMENTS — 97.6% (Cost $79,210,732)		68,711,768
		Other Assets and Liabilities (net) — 2.4%		1,699,571
		TOTAL NET ASSETS — 100.0%		$70,411,339

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Written Options

Written Options on Interest Rate Swaps

Principal Amount		Expiration Date	Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate			Counterparty	Premiums		Market Value
EUR	19,090,000	12/16/2016	Call-OTC 30-Year Interest Rate Swap	6 Month EURIBOR	Receive		0.93	%	GS	$	497,588	$	(299,071	)
										$	497,588	$	(299,071	)

See accompanying notes to the financial statements. 107

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Swap Contracts

Inflation Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	7,507,500	GBP	1/13/2020	GS	Receive	2.72%	U.K. Retail Price Index	$	(167,091	)
	13,985,250	GBP	1/14/2020	GS	Receive	2.76%	U.K. Retail Price Index		(353,208	)
	7,507,500	GBP	1/13/2025	GS	(Pay)	2.93%	U.K. Retail Price Index		51,311
	13,985,250	GBP	1/14/2025	GS	(Pay)	2.94%	U.K. Retail Price Index		112,879
								$	(356,109	)
						Premiums to (Pay) Receive		$	—

^#  Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	41,250,000	USD	2/15/2023	CSS (c)	(Pay)	0.00%	3 Month USD LIBOR	$	(2,783,064	)
	2,256,000	EUR	4/14/2030	CSS (c)	(Pay)	0.72%	6 Month EURIBOR		237,017
	1,696,000	EUR	4/14/2035	CSS (c)	(Pay)	0.80%	6 Month EURIBOR		249,825
	238,914	EUR	2/17/2045	CSS (c)	(Pay)	1.18%	6 Month EURIBOR		27,339
	2,341,000	EUR	4/14/2045	CSS (c)	Receive	0.85%	6 Month EURIBOR		(467,831	)
	3,197,600	EUR	12/22/2046	CSS (c)	(Pay)	1.43%	6 Month EURIBOR		132,792
	2,005,400	EUR	2/3/2047	CSS (c)	(Pay)	1.43%	6 Month EURIBOR		82,225
	12,456,222	EUR	2/3/2047	CSS (c)	(Pay)	0.97%	6 Month EURIBOR		1,188,010
								$	(1,333,687	)
						Premiums to (Pay) Receive		$	241,842

# Receive - Fund receives fixed rate and pays variable rate.
(Pay) - Fund pays fixed rate and receives variable rate.

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2015.

(b) The rate shown represents yield-to-maturity.

(c) Swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 109.

108 See accompanying notes to the financial statements.

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2015

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

ABS - Asset-Backed Security

AMBAC - Insured as to the payment of principal and interest by AMBAC Assurance Corporation.

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

BBA - British Bankers’ Association

BOBL - Bundesobligationen

CDO - Collateralized Debt Obligation

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

CP - Counterparty

DEM LIBOR - London Interbank Offered Rate denominated in Deutsche Marks.

DKK CIBOR - Copenhagen Interbank Offered Rate denominated in Danish Krone.

EURIBOR - Euro Interbank Offered Rate

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.

GDP - Gross Domestic Product

JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen

LIBOR - London Interbank Offered Rate

MBIA - Insured as to the payment of principal and interest by MBIA Insurance Corp.

NPG - National Public Finance Guarantee Corporation.

OTC - Over-the-Counter

Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

SIFMA - Securities Industry and Financial Markets Association

SONIA - Sterling Overnight Interbank Average

TIIE - Tasa de Interes Interbacaria de Equilibrio - 28 - Day Interbank Equilibrium Interest Rate - Mexico

USD LIBOR – London Interbank Offered Rate denominated in United States Dollars.

VRRB - Variable Rate Reduction Bond

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the interest rates at August 31, 2015, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BCI - Barclays Capital Inc.

BCLY - Barclays Bank plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

CSI - Credit Suisse International

CSS - Credit Suisse Securities (USA) LLC

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPMF - J.P. Morgan Securities LLC

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

COP – Colombian Peso

DEM - Deutsche Mark

DKK - Danish Krone

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

MXN - Mexican Peso

PEN - Peruvian Sol

SEK - Swedish Krona

USD - United States Dollar

ZAR - South African Rand

See accompanying notes to the financial statements. 109

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited)

	Asset Allocation Bond Fund		Benchmark- Free Bond Fund		Core Plus Bond Fund		Currency Hedged International Bond Fund		Debt Opportunities Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	2,464,960,811	$	6,526,915	$	100,413,900	$	47,733,265	$	1,699,929,225
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		78,339,401		1,878,914		168,731,782		21,134,478		84,831,828
Receivable for investments sold		226,008,161		301,656		3,055,897		909,560		—
Cash		54		—		28		—		267,108
Dividends and interest receivable		6,366,319		11,853		358,159		403,558		1,940,996
Unrealized appreciation on open forward currency contracts (Note 4)		234,695,656		353,328		3,320,784		1,013,684		13,891
Receivable for variation margin on open futures contracts (Note 4)		374,159		—		—		—		—
Receivable for variation margin on open cleared swap contracts (Note 4)		2,724,731		75,385		305,988		25,917		126,366
Due from broker (Note 2)		116,628,772		220,544		4,721,487		433,568		3,424,390
Receivable for open OTC swap contracts (Note 4)		21,481,396		31,506		593,452		173,217		5,989,814
Interest receivable for open OTC swap contracts		67,669		129		3,249		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		118,141		132,154		118,269		105,108		38,379
Miscellaneous receivable		—		—		—		—		18,060
Total assets		3,151,765,270		9,532,384		281,622,995		71,932,355		1,796,580,057
Liabilities:
Due to broker (Note 2)		—		—		7,921		—		—
Payable for investments purchased		270,334,027		499,754		4,996,869		1,485,319		27,823,081
Payable for Fund shares repurchased		195,555		—		—		—		4,515,015
Payable to affiliate for (Note 5):
Management fee		670,678		3,594		57,709		14,564		372,337
Shareholder service fee		177,077		1,078		25,333		8,740		81,915
Payable for variation margin on open futures contracts (Note 4)		—		—		7,547		35,363		—
Payable for variation margin on open cleared swap contracts (Note 4)		6,323,699		—		124,858		28,428		—
Unrealized depreciation on open forward currency contracts (Note 4)		171,928,521		250,294		2,663,594		940,101		—
Payable for open OTC swap contracts (Note 4)		25,735,906		43,168		912,162		133,673		14,269,428
Written options outstanding, at value (Note 4)(c)		155,676,988		217,713		2,428,761		721,418		—
Payable to agents unaffiliated with GMO		527		—		31		—		186
Payable to Trustees and related expenses		10,512		—		379		110		3,449
Accrued expenses		184,800		62,382		81,248		63,761		147,723
Total liabilities		631,238,290		1,077,983		11,306,412		3,431,477		47,213,134
Net assets	$	2,520,526,980	$	8,454,401	$	270,316,583	$	68,500,878	$	1,749,366,923
(a)      Cost of investments – unaffiliated issuers:	$	2,593,825,723	$	6,753,685	$	103,463,057	$	49,850,780	$	1,731,147,792
(b)      Cost of investments – affiliated issuers:	$	78,339,401	$	1,976,185	$	162,262,829	$	18,656,854	$	84,831,828
(c)      Premiums on options:	$	181,852,031	$	245,753	$	2,656,118	$	787,679	$	—

110 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited) — (Continued)

	Asset Allocation Bond Fund			Benchmark- Free Bond Fund			Core Plus Bond Fund			Currency Hedged International Bond Fund			Debt Opportunities Fund
Net assets consist of:
Paid-in capital	$	2,968,078,630		$	9,210,177		$	426,010,702		$	79,051,371		$	1,906,727,733
Accumulated undistributed net investment income		—			—			2,885,461			—			6,401,504
Distributions in excess of net investment income		(32,591,299	)		(36,314	)		—			(916,721	)		—
Accumulated net realized gain (loss)		(264,077,780	)		(420,652	)		(162,077,043	)		(9,600,154	)		(134,876,167	)
Net unrealized appreciation (depreciation)		(150,882,571	)		(298,810	)		3,497,463			(33,618	)		(28,886,147	)
	$	2,520,526,980		$	8,454,401		$	270,316,583		$	68,500,878		$	1,749,366,923
Net assets attributable to:
Class III shares	$	345,699,216		$	8,454,401		$	52,679,708		$	68,500,878		$	—
Class IV shares	$	—		$	—		$	217,636,875		$	—		$	—
Class VI shares	$	2,174,827,764		$	—		$	—		$	—		$	1,749,366,923
Shares outstanding:
Class III		15,396,409			368,581			7,378,321			7,997,082			—
Class IV		—			—			30,403,622			—			—
Class VI		96,683,755			—			—			—			70,437,233
Net asset value per share:
Class III	$	22.45		$	22.94		$	7.14		$	8.57		$	—
Class IV	$	—		$	—		$	7.16		$	—		$	—
Class VI	$	22.49		$	—		$	—		$	—		$	24.84

See accompanying notes to the financial statements. 111

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited) — (Continued)

	Emerging Country Debt Fund		Global Bond Fund		International Bond Fund		U.S. Treasury Fund		World Opportunity Overlay Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	3,889,752,822	$	29,974,969	$	4,119,943	$	3,815,377,012	$	68,711,768
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		76,117,553		11,116,573		670,000		—		—
Receivable for investments sold		—		592,497		487,887		—		1,579,600
Cash		68,124,618		—		—		—		—
Receivable for Fund shares sold		—		—		—		2,371,352		—
Dividends and interest receivable		67,806,426		159,982		22,092		1,940,861		5,291
Unrealized appreciation on open forward currency contracts (Note 4)		—		941,111		761,727		—		—
Receivable for variation margin on open cleared swap contracts (Note 4)		615,197		—		—		—		123,712
Due from broker (Note 2)		10,423,885		360,976		11,283		—		1,824,074
Receivable for open OTC swap contracts (Note 4)		47,198,953		104,912		—		—		164,190
Interest receivable for open swap contracts		54,324		—		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		3,647		102,776		97,018		317,650		14,539
Receivable for options (Note 4)		382,398		—		—		—		—
Total assets		4,160,479,823		43,353,796		6,169,950		3,820,006,875		72,423,174
Liabilities:
Due to custodian		—		—		48		—		—
Payable for investments purchased		68,365,356		968,746		100,435		—		1,085,250
Payable for Fund shares repurchased		5,353,512		2,000,000		—		—		—
Payable to affiliate for (Note 5):
Management fee		1,191,661		6,538		1,131		285,535		—
Shareholder service fee		377,697		5,161		679		—		—
Payable to broker for closed futures contracts		—		—		4,286		—		—
Payable for variation margin on open futures contracts (Note 4)		—		15,823		1,101		—		—
Payable for variation margin on open cleared swap contracts (Note 4)		—		76,296		191		—		—
Dividend payable		—		—		—		50,030		—
Unrealized depreciation on open forward currency contracts (Note 4)		766,167		802,749		657,190		—		—
Payable for open OTC swap contracts (Note 4)		105,922,518		81,121		—		—		520,299
Payable for reverse repurchase agreements (Note 2)		62,863,984		—		—		—		—
Payable for options (Note 4)(c)		4,171,411		—		—		—		—
Miscellaneous payable		61,172		—		—		—		—
Written options outstanding, at value (Note 4)(c)		—		469,195		—		—		299,071
Payable to agents unaffiliated with GMO		403		—		—		250		31
Payable to Trustees and related expenses		5,389		40		116		2,953		672
Accrued expenses		757,841		55,718		51,014		85,696		106,512
Total liabilities		249,837,111		4,481,387		816,191		424,464		2,011,835
Net assets	$	3,910,642,712	$	38,872,409	$	5,353,759	$	3,819,582,411	$	70,411,339
(a)      Cost of investments – unaffiliated issuers:	$	4,003,387,431	$	30,277,981	$	4,231,528	$	3,815,614,940	$	79,210,732
(b)      Cost of investments – affiliated issuers:	$	73,857,424	$	10,288,194	$	670,000	$	—	$	—
(c)      Premiums on options:	$	3,711,879	$	512,522	$	—	$	—	$	497,588

112 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited) — (Continued)

	Emerging Country Debt Fund			Global Bond Fund			International Bond Fund			U.S. Treasury Fund			World Opportunity Overlay Fund
Net assets consist of:
Paid-in capital	$	4,268,207,436		$	55,613,706		$	31,665,989		$	3,819,309,191
Accumulated undistributed net investment income		60,702,952			—			—			—
Distributions in excess of net investment income		—			(941,851	)		(3,798,438	)		—
Accumulated net realized gain (loss)		(284,811,834	)		(16,186,384	)		(22,512,000	)		511,148
Net unrealized appreciation (depreciation)		(133,455,842	)		386,938			(1,792	)		(237,928	)
	$	3,910,642,712		$	38,872,409		$	5,353,759		$	3,819,582,411
Net assets attributable to:
Core Class shares	$	—		$	—		$	—		$	3,819,582,411		$	70,411,339
Class III shares	$	873,566,161		$	38,872,409		$	5,353,759		$	—		$	—
Class IV shares	$	3,037,076,551		$	—		$	—		$	—		$	—
Shares outstanding:
Core Class		—			—			—			152,780,772			4,501,179
Class III		95,878,696			4,658,186			819,127			—			—
Class IV		333,732,317			—			—			—			—
Net asset value per share:
Core Class	$	—		$	—		$	—		$	25.00		$	15.64
Class III	$	9.11		$	8.34		$	6.54		$	—		$	—
Class IV	$	9.10		$	—		$	—		$	—		$	—

See accompanying notes to the financial statements. 113

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2015 (Unaudited)

	Asset Allocation Bond Fund			Benchmark- Free Bond Fund			Core Plus Bond Fund			Currency Hedged International Bond Fund			Debt Opportunities Fund
Investment Income:
Interest	$	22,065,026		$	28,071		$	1,308,110		$	285,032		$	12,183,025
Dividends from affiliated issuers (Note 10)		125,194			34,594			410,196			92,941			25,012
Total investment income		22,190,220			62,665			1,718,306			377,973			12,208,037
Expenses:
Management fee (Note 5)		5,657,644			21,946			305,652			87,192			2,234,923
Shareholder service fee – Class III (Note 5)		296,349			6,584			39,210			52,315			—
Shareholder service fee – Class IV (Note 5)		—			—			96,121			—			—
Shareholder service fee – Class VI (Note 5)		1,136,020			—			—			—			491,683
Interest expense (Note 2)		614,255			392			13,107			3,935			240
Audit and tax fees		46,709			46,863			49,714			45,509			82,163
Custodian, fund accounting agent and transfer agent fees		376,528			147,866			137,932			125,678			123,003
Legal fees		46,000			4,968			11,960			4,048			20,056
Registration fees		2,024			552			2,944			1,288			1,288
Trustees fees and related expenses (Note 5)		28,152			43			1,288			368			10,120
Miscellaneous		13,432			3,133			3,864			3,128			6,256
Total expenses		8,217,113			232,347			661,792			323,461			2,969,732
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(473,101	)		(196,214	)		(196,110	)		(176,155	)		(225,038	)
Indirectly incurred fees waived or borne by GMO (Note 5)		—			(3,111	)		(50,051	)		(9,328	)		—
Shareholder service fee waived (Note 5)		—			(849	)		(12,339	)		(2,433	)		—
Net expenses		7,744,012			32,173			403,292			135,545			2,744,694
Net investment income (loss)		14,446,208			30,492			1,315,014			242,428			9,463,343
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(58,069,139	)		(98,373	)		(901,530	)		(1,043,933	)		(10,433,150	)
Investments in affiliated issuers		—			—			123,850			134,795			—
Realized gain distributions from affiliated issuers (Note 10)		14,185			—			1,802			221			2,715
Futures contracts		(39,426,500	)		(37,221	)		(483,291	)		(589,916	)		(1,069,070	)
Options		(102,489,385	)		(135,299	)		(601,310	)		(179,844	)		25,650
Swap contracts		(71,418,227	)		(237,392	)		(5,294,113	)		123,698			(301,372	)
Foreign currency, forward contracts and foreign currency related transactions		16,176,033			94,905			(33,350	)		758,851			24,260
Net realized gain (loss)		(255,213,033	)		(413,380	)		(7,187,942	)		(796,128	)		(11,750,967	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(30,486,572	)		(111,209	)		(4,593,136	)		(668,312	)		13,858,258
Investments in affiliated issuers		—			(56,559	)		(81,152	)		(110,456	)		—
Futures contracts		5,065,507			(7,240	)		(126,357	)		(154,120	)		(218,726	)
Options		3,787,608			(52	)		(146,583	)		(44,399	)		—
Swap contracts		(181,409,878	)		(167,710	)		1,830,853			(1,006,460	)		1,762,473
Foreign currency, forward contracts and foreign currency related transactions		5,859,647			22,039			(299,058	)		(880,765	)		13,892
Net unrealized gain (loss)		(197,183,688	)		(320,731	)		(3,415,433	)		(2,864,512	)		15,415,897
Net realized and unrealized gain (loss)		(452,396,721	)		(734,111	)		(10,603,375	)		(3,660,640	)		3,664,930
Net increase (decrease) in net assets resulting from operations	$	(437,950,513	)	$	(703,619	)	$	(9,288,361	)	$	(3,418,212	)	$	13,128,273

114 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2015 (Unaudited) — (Continued)

	Emerging Country Debt Fund			Global Bond Fund			International Bond Fund			U.S. Treasury Fund			World Opportunity Overlay Fund
Investment Income:
Interest	$	122,948,338		$	241,528		$	93,293		$	1,205,639		$	612,176
Dividends from unaffiliated issuers		1,689,742			5			153			—			1,388
Dividends from affiliated issuers (Note 10)		107,035			58,838			459			—			—
Total investment income		124,745,115			300,371			93,905			1,205,639			613,564
Expenses:
Management fee (Note 5)		7,163,325			39,759			30,027			1,186,853			—
Shareholder service fee – Class III (Note 5)		627,723			31,389			18,016			—			—
Shareholder service fee – Class IV (Note 5)		1,628,182			—			—			—			—
Interest expense (Note 2)		54			2,545			2,034			—			—
Audit and tax fees		83,083			47,787			47,353			28,307			50,144
Custodian, fund accounting agent and transfer agent fees		529,172			120,284			114,923			121,323			30,665
Legal fees		33,488			3,864			3,864			18,768			11,408
Registration fees		29,106			1,472			2,024			736			—
Trustees fees and related expenses (Note 5)		21,896			184			184			13,702			920
Miscellaneous		14,720			3,128			3,128			8,648			3,312
Total expenses		10,130,749			250,412			221,553			1,378,337			96,449
Fees and expenses reimbursed and/or waived by GMO (Note 5)		—			(160,484	)		(167,855	)		(1,361,323	)		(85,225	)
Indirectly incurred fees waived or borne by GMO (Note 5)		(17,771	)		(6,080	)		(2,450	)		—			—
Shareholder service fee waived (Note 5)		(3,910	)		(1,576	)		(639	)		—			—
Net expenses		10,109,068			82,272			50,609			17,014			11,224
Net investment income (loss)		114,636,047			218,099			43,296			1,188,625			602,340
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(11,967,860	)		(412,482	)		(1,079,765	)		512,374			(3,791,213	)
Investments in affiliated issuers		2,358,644			292,430			2,002,203			—			—
Realized gain distributions from affiliated issuers (Note 10)		2,432			85			—			—			—
Futures contracts		—			(334,048	)		(212,356	)		—			—
Options		—			(116,102	)		(127,734	)		—			(649,885	)
Swap contracts		5,658,353			220,757			(674,085	)		—			(783,847	)
Foreign currency, forward contracts and foreign currency related transactions		4,598,051			(189,395	)		(631,327	)		—			141,681
Net realized gain (loss)		649,620			(538,755	)		(723,064	)		512,374			(5,083,264	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(193,394,310	)		(311,975	)		862,460			(324,595	)		3,880,275
Investments in affiliated issuers		(2,622,324	)		(290,164	)		(1,960,576	)		—			—
Futures contracts		—			(1,727	)		(77,157	)		—			—
Options		(1,105,209	)		(29,264	)		(68,760	)		—			23,767
Swap contracts		7,891,858			(801,549	)		(377,779	)		—			1,845,175
Foreign currency, forward contracts and foreign currency related transactions		(4,602,820	)		38,810			57,742			—			(35,112	)
Net unrealized gain (loss)		(193,832,805	)		(1,395,869	)		(1,564,070	)		(324,595	)		5,714,105
Net realized and unrealized gain (loss)		(193,183,185	)		(1,934,624	)		(2,287,134	)		187,779			630,841
Net increase (decrease) in net assets resulting from operations	$	(78,547,138	)	$	(1,716,525	)	$	(2,243,838	)	$	1,376,404		$	1,233,181

See accompanying notes to the financial statements. 115

GMO Trust Funds

Statements of Changes in Net Assets

	Asset Allocation Bond Fund						Benchmark-Free Bond Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Period from November 18, 2014 (commencement of operations) through February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	14,446,208		$	39,876,309		$	30,492		$	30,127
Net realized gain (loss)		(255,213,033)			449,342,579			(413,380	)		243,224
Change in net unrealized appreciation (depreciation)		(197,183,688)			42,130,760			(320,731	)		21,921
Net increase (decrease) in net assets from operations		(437,950,513)			531,349,648			(703,619	)		295,272
Distributions to shareholders from:
Net investment income
Class III		(26,485,630	)		(6,974,209	)		(307,009	)		(40,022	)
Class VI		(286,205,734	)		(133,170,885	)		—			—
Total distributions from net investment income		(312,691,364	)		(140,145,094	)		(307,009	)		(40,022	)
Net realized gains
Class III		—			(4,140,537	)		(398	)		—
Class VI		—			(76,989,674	)		—			—
Total distributions from net realized gains		—			(81,130,211	)		(398	)		—
Net share transactions (Note 9):
Class III		(13,173,736	)		141,861,326			235,388			8,974,789
Class VI		(1,789,763,857	)		1,511,962,518			—			—
Increase (decrease) in net assets resulting from net share transactions		(1,802,937,593	)		1,653,823,844			235,388			8,974,789
Total increase (decrease) in net assets		(2,553,579,470	)		1,963,898,187			(775,638	)		9,230,039
Net assets:
Beginning of period		5,074,106,450			3,110,208,263			9,230,039			—
End of period	$	2,520,526,980		$	5,074,106,450		$	8,454,401		$	9,230,039
Accumulated undistributed net investment income	$	—		$	265,653,857		$	—		$	240,203
Distributions in excess of net investment income	$	(32,591,299	)	$	—		$	(36,314	)	$	—

116 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Core Plus Bond Fund						Currency Hedged International Bond Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,315,014		$	2,238,588		$	242,428		$	876,502
Net realized gain (loss)		(7,187,942	)		21,423,344			(796,128	)		14,610,654
Change in net unrealized appreciation (depreciation)		(3,415,433	)		(2,327,171	)		(2,864,512	)		(4,009,653	)
Net increase (decrease) in net assets from operations		(9,288,361	)		21,334,761			(3,418,212	)		11,477,503
Distributions to shareholders from:
Net investment income
Class III		(2,771,556	)		(2,076,103	)		(6,260,770	)		(3,520,049	)
Class IV		(9,179,274	)		(7,877,190	)		—			—
Total distributions from net investment income		(11,950,830	)		(9,953,293	)		(6,260,770	)		(3,520,049	)
Net share transactions (Note 9):
Class III		6,331,318			63,605			6,289,337			(7,903,687	)
Class IV		43,125,101			(9,548,081	)		—			—
Increase (decrease) in net assets resulting from net share transactions		49,456,419			(9,484,476	)		6,289,337			(7,903,687	)
Total increase (decrease) in net assets		28,217,228			1,896,992			(3,389,645	)		53,767
Net assets:
Beginning of period		242,099,355			240,202,363			71,890,523			71,836,756
End of period	$	270,316,583		$	242,099,355		$	68,500,878		$	71,890,523
Accumulated undistributed net investment income	$	2,885,461		$	13,521,277		$	—		$	5,101,621
Distributions in excess of net investment income	$	—		$	—		$	(916,721	)	$	—

See accompanying notes to the financial statements. 117

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Debt Opportunities Fund						Emerging Country Debt Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	9,463,343		$	42,401,605		$	114,636,047		$	201,792,745
Net realized gain (loss)		(11,750,967	)		(114,372,832	)		649,620			(43,219,761	)
Change in net unrealized appreciation (depreciation)		15,415,897			148,932,499			(193,832,805	)		28,077,921
Net increase (decrease) in net assets from operations		13,128,273			76,961,272			(78,547,138	)		186,650,905
Distributions to shareholders from:
Net investment income
Class III		—			—			(19,282,059	)		(68,327,806	)
Class IV		—			—			(72,140,083	)		(220,418,369	)
Class VI		(10,535,280	)		(27,501,224	)		—			—
Total distributions from net investment income		(10,535,280	)		(27,501,224	)		(91,422,142	)		(288,746,175	)
Net share transactions (Note 9):
Class III		—			—			163,525,098			199,795,127
Class IV		—			—			(93,308,411	)		855,530,497
Class VI		(44,267,575	)		(371,805,716	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(44,267,575	)		(371,805,716	)		70,216,687			1,055,325,624
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			439,180			1,599,556
Class IV		—			—			1,670,076			5,485,200
Class VI		236,171			2,071,101			—			—
Increase in net assets resulting from purchase premiums and redemption fees		236,171			2,071,101			2,109,256			7,084,756
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(44,031,404	)		(369,734,615	)		72,325,943			1,062,410,380
Total increase (decrease) in net assets		(41,438,411	)		(320,274,567	)		(97,643,337	)		960,315,110
Net assets:
Beginning of period		1,790,805,334			2,111,079,901			4,008,286,049			3,047,970,939
End of period	$	1,749,366,923		$	1,790,805,334		$	3,910,642,712		$	4,008,286,049
Accumulated undistributed net investment income	$	6,401,504		$	7,473,441		$	60,702,952		$	37,489,047

118 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Bond Fund						International Bond Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	218,099		$	728,527		$	43,296		$	485,953
Net realized gain (loss)		(538,755	)		4,034,601			(723,064	)		2,340,638
Change in net unrealized appreciation (depreciation)		(1,395,869	)		(2,138,588	)		(1,564,070	)		(4,446,652	)
Net increase (decrease) in net assets from operations		(1,716,525	)		2,624,540			(2,243,838	)		(1,620,061	)
Distributions to shareholders from:
Net investment income
Class III		—			(161,483	)		—			—
Total distributions from net investment income		—			(161,483	)		—			—
Net share transactions (Note 9):
Class III		(6,131,202	)		(97,012,329	)		(35,987,570	)		(15,603,960	)
Increase (decrease) in net assets resulting from net share transactions		(6,131,202	)		(97,012,329	)		(35,987,570	)		(15,603,960	)
Total increase (decrease) in net assets		(7,847,727	)		(94,549,272	)		(38,231,408	)		(17,224,021	)
Net assets:
Beginning of period		46,720,136			141,269,408			43,585,167			60,809,188
End of period	$	38,872,409		$	46,720,136		$	5,353,759		$	43,585,167
Distributions in excess of net investment income	$	(941,851	)	$	(1,159,950	)	$	(3,798,438	)	$	(3,841,734	)

See accompanying notes to the financial statements. 119

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Treasury Fund						World Opportunity Overlay Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,188,625		$	1,025,860		$	602,340		$	2,018,507
Net realized gain (loss)		512,374			270,404			(5,083,264	)		(49,065,985	)
Change in net unrealized appreciation (depreciation)		(324,595	)		49,039			5,714,105			40,853,216
Net increase (decrease) in net assets from operations		1,376,404			1,345,303			1,233,181			(6,194,262	)
Distributions to shareholders from:
Net investment income
Core Class		(1,188,625	)		(1,025,860	)
Total distributions from net investment income		(1,188,625	)		(1,025,860	)
Net realized gains
Core Class		(93,510	)		(275,107	)
Total distributions from net realized gains		(93,510	)		(275,107	)
Return of capital
Core Class		—			—			(72,000,000	)		—
Total distributions from return of capital		—			—			(72,000,000	)		—
Net share transactions (Note 9):
Core Class		1,575,557,495			334,022,115			(38,778,550	)		(376,185,803	)
Total increase (decrease) in net assets		1,575,651,764			334,066,451			(109,545,369	)		(382,380,065	)
Net assets:
Beginning of period		2,243,930,647			1,909,864,196			179,956,708			562,336,773
End of period	$	3,819,582,411		$	2,243,930,647		$	70,411,339		$	179,956,708

120 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Cash Flows — Six Months Ended August 31, 2015 (Unaudited)

	Debt Opportunities Fund			World Opportunity Overlay Fund
Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$	13,128,273		$	1,233,181
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Net change in unrealized (appreciation) depreciation		(15,415,897	)		(5,714,105	)
Net realized (gain) loss		11,750,967			5,083,264
Net amortization of premium and accretion of discount		4,851,403			(571,913	)
Cost of investments purchased		(450,560,784	)		(3,527,098	)
Proceeds from sale of investments		235,794,551			19,961,162
Proceeds from paydowns		107,576,186			1,669,351
Short-term investments, net		134,191,534			91,733,557
Realized gain distributions from affiliated issuers		2,715			—
Other gain (loss):
Swap contracts		10,864,788			1,359,893
Futures contracts		(1,420,359	)		—
Written option contracts		25,650			(1,262,161	)
Forward currency contracts		24,260			—
Foreign currency and foreign currency related transactions		—			106,569
Changes in assets and liabilities:
(Increase) decrease in receivable for due from broker		(423,401	)		(223,207	)
(Increase) decrease in dividends and interest receivable		28,430			41,513
(Increase) decrease in receivable for expenses reimbursed and/or waived by GMO		(6,687	)		(14,023	)
(Increase) decrease in miscellaneous receivable		(18,060	)		—
Increase (decrease) in payable to affiliate for:
Management fee		15,484			—
Shareholder service fee		3,407			—
Increase (decrease) in payable to agents unaffiliated with GMO		(16	)		2
Increase (decrease) in payable for Trustees and related expenses		970			412
Increase (decrease) in due to custodian		(23,511	)		—
Increase (decrease) in accrued expenses		(71,126	)		(40,581	)
Net cash provided by (used in) operating activities		50,318,777			109,835,816
Cash flows from financing activities:
Proceeds from shares sold		63,087,224			—
Shares repurchased		(113,123,507	)		(38,778,550	)
Purchase premiums and redemption fees		236,171			—
Cash distributions paid		(251,557	)		(72,000,000	)
Net cash provided by (used in) financing activities		(50,051,669	)		(110,778,550	)
Net increase (decrease) in cash		267,108			(942,734	)
Cash and cash equivalents, beginning of period		—			942,734
Cash and cash equivalents, end of period	$	267,108		$	—
Supplemental disclosure of cash flow information:
Reinvestment of dividends and distributions	$	10,283,723		$	—
Cash paid during the period for interest related to reverse repurchase agreements and/or cleared swaps, if any.	$	240		$	—

See accompanying notes to the financial statements. 121

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

ASSET ALLOCATION BOND FUND

	Class III Shares																								Class VI Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011								2015				2014				2013				2012				2011
Net asset value, beginning of period		$	26.36			$	24.57			$	24.43			$	24.60			$	25.01			$	26.13			$	26.40			$	24.60			$	24.46			$	24.61			$	25.01			$	26.13
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.07				0.38				0.00	(b)			(0.02	)			0.32				0.51				0.08				0.22				0.03				0.01				0.56				0.64
Net realized and unrealized gain (loss)			(2.35	)			2.48				0.17				0.12				0.78				0.64				(2.35	)			2.68				0.16				0.11				0.57				0.54
Total from investment operations			(2.28	)			2.86				0.17				0.10				1.10				1.15				(2.27	)			2.90				0.19				0.12				1.13				1.18
Less distributions to shareholders:
From net investment income			(1.63	)			(0.67	)			(0.03	)			(0.01	)			(0.51	)			(0.50	)			(1.64	)			(0.70	)			(0.05	)			(0.01	)			(0.53	)			(0.53	)
From net realized gains			—				(0.40	)			—				(0.26	)			(1.00	)			(1.77	)			—				(0.40	)			—				(0.26	)			(1.00	)			(1.77	)
Total distributions			(1.63	)			(1.07	)			(0.03	)			(0.27	)			(1.51	)			(2.27	)			(1.64	)			(1.10	)			(0.05	)			(0.27	)			(1.53	)			(2.30	)
Net asset value, end of period		$	22.45			$	26.36			$	24.57			$	24.43			$	24.60			$	25.01			$	22.49			$	26.40			$	24.60			$	24.46			$	24.61			$	25.01
Total Return(c)			(8.70	)%**			11.92	%			0.72	%			0.42	%			4.49	%			4.51	%			(8.65	)%**			12.05	%			0.79	%			0.52	%			4.61	%			4.60	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	345,699			$	421,910			$	260,775			$	91,186			$	56,692			$	48,676			$	2,174,828			$	4,652,197			$	2,849,433			$	88,029			$	116,591			$	489,202
Net operating expenses to average daily net assets(e)			0.40	%*			0.40	%			0.40	%(d)			0.40	%			0.40	%(d)			0.41	%(d)			0.31	%*			0.31	%			0.31	%(d)			0.31	%			0.31	%(d)			0.31	%(d)
Interest expense to average daily net assets			0.03	%*(f)			0.01	%(f)			0.00	%(f)(g)			—				0.01	%(f)			0.03	%(f)			0.02	%*(f)			0.01	%(f)			0.00	%(f)(g)			—				0.01	%(f)			0.03	%(f)
Total net expenses to average daily net assets(e)			0.43	%*			0.41	%			0.40	%			0.40	%			0.41	%			0.44	%			0.33	%*			0.32	%			0.31	%			0.31	%			0.32	%			0.34	%
Net investment income (loss) to average daily net assets(a)			0.57	%*			1.49	%			0.01	%			(0.08	)%			1.31	%			1.94	%			0.63	%*			0.84	%			0.13	%			0.02	%			2.25	%			2.43	%
Portfolio turnover rate			134	%**			177	%			32	%			233	%			319	%			315	%			134	%**			177	%			32	%			233	%			319	%			315	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.02	%			0.08	%			0.06	%			0.04	%			0.02	%*			0.02	%			0.02	%			0.07	%			0.04	%			0.04	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  Net investment income (loss) was less than $0.01 per share.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(f)  Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(g)  Ratio is less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

122 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE BOND FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Period from November 18, 2014 (commencement of operations) through February 28, 2015
Net asset value, beginning of period		$	25.72			$	25.00
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.08				0.09
Net realized and unrealized gain (loss)			(2.01	)			0.75
Total from investment operations			(1.93	)			0.84
Less distributions to shareholders:
From net investment income			(0.85	)			(0.12	)
Total distributions			(0.85	)			(0.12	)
Net asset value, end of period		$	22.94			$	25.72
Total Return(b)			(7.53	)%**			3.38	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	8,454			$	9,230
Net operating expenses to average daily net assets(c)			0.72	%*			0.76	%*
Interest expense to average daily net assets(d)			0.01	%*			0.01	%*
Total net expenses to average daily net assets(c)			0.73	%*			0.77	%*
Net investment income (loss) to average daily net assets(a)			0.69	%*			1.24	%*
Portfolio turnover rate			23	%**			8	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(e)			4.56	%*			1.59	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e)  Ratios include indirect fees waived or borne by the manager.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 123

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CORE PLUS BOND FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2015 (Unaudited)				February 28/29,
					2015				2014				2013				2012				2011								2015				2014				2013				2012				2011
Net asset value, beginning of period		$	7.81			$	7.45			$	7.41			$	7.13			$	7.26			$	7.02			$	7.83			$	7.47			$	7.43			$	7.14			$	7.27			$	7.03
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.04				0.07				0.07				0.07				0.13				0.11				0.04				0.07				0.07				0.08				0.13				0.11
Net realized and unrealized gain (loss)			(0.33	)			0.61				0.08				0.54				0.56				0.65				(0.33	)			0.61				0.09				0.54				0.56				0.65
Total from investment operations			(0.29	)			0.68				0.15				0.61				0.69				0.76				(0.29	)			0.68				0.16				0.62				0.69				0.76
Less distributions to shareholders:
From net investment income			(0.38	)			(0.32	)			(0.11	)			(0.33	)			(0.82	)			(0.52	)			(0.38	)			(0.32	)			(0.12	)			(0.33	)			(0.82	)			(0.52	)
Total distributions			(0.38	)			(0.32	)			(0.11	)			(0.33	)			(0.82	)			(0.52	)			(0.38	)			(0.32	)			(0.12	)			(0.33	)			(0.82	)			(0.52	)
Net asset value, end of period		$	7.14			$	7.81			$	7.45			$	7.41			$	7.13			$	7.26			$	7.16			$	7.83			$	7.47			$	7.43			$	7.14			$	7.27
Total Return(b)			(3.80	)%**			9.25	%			2.15	%			8.67	%			9.88	%			10.93	%			(3.77	)%**			9.32	%			2.15	%			8.85	%			9.90	%			10.97	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	52,680			$	51,045			$	48,632			$	48,831			$	46,924			$	47,773			$	217,637			$	191,054			$	191,571			$	190,527			$	188,675			$	183,333
Net operating expenses to average daily net assets(c)			0.36	%*			0.37	%			0.38	%			0.38	%(d)			0.39	%(d)			0.39	%(d)			0.31	%*			0.32	%			0.33	%			0.33	%(d)			0.34	%(d)			0.34	%(d)
Interest expense to average daily net assets			0.01	%*(e)			0.00	%(e)(f)			0.00	%(e)(f)			—				—				—				0.01	%*(e)			0.00	%(e)(f)			0.00	%(e)(f)			—				—				—
Total net expenses to average daily net assets(c)			0.37	%*			0.37	%			0.38	%			0.38	%(d)			0.39	%(d)			0.39	%(d)			0.32	%*			0.32	%			0.33	%			0.33	%(d)			0.34	%(d)			0.34	%(d)
Net investment income (loss) to average daily net assets(a)			1.07	%*			0.89	%			0.95	%			1.02	%			1.74	%			1.48	%			1.08	%*			0.94	%			0.99	%			1.07	%			1.75	%			1.48	%
Portfolio turnover rate			13	%**			128	%			87	%			135	%			72	%			46	%			13	%**			128	%			87	%			135	%			72	%			46	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(g)			0.21	%*			0.15	%			0.12	%			0.13	%			0.12	%			0.11	%			0.21	%*			0.15	%			0.12	%			0.13	%			0.12	%			0.11	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(e)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(f)  Ratio is less than 0.01%.

^(g)  Ratios include indirect fees waived or borne by the manager.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

124 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CURRENCY HEDGED INTERNATIONAL BOND FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	9.90			$	8.90			$	8.76			$	8.35			$	8.18			$	7.98
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.03				0.11				0.12				0.14				0.13				0.12
Net realized and unrealized gain (loss)			(0.50	)			1.38				0.14				0.64				0.71				0.47
Total from investment operations			(0.47	)			1.49				0.26				0.78				0.84				0.59
Less distributions to shareholders:
From net investment income			(0.86	)			(0.49	)			(0.11	)			(0.37	)			(0.41	)			(0.39	)
Return of capital			—				—				(0.01	)			—				(0.26	)			—
Total distributions			(0.86	)			(0.49	)			(0.12	)			(0.37	)			(0.67	)			(0.39	)
Net asset value, end of period		$	8.57			$	9.90			$	8.90			$	8.76			$	8.35			$	8.18
Total Return(b)			(4.72	)%**			17.02	%			3.04	%			9.43	%			10.48	%			7.35	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	68,501			$	71,891			$	71,837			$	69,527			$	72,021			$	70,799
Net operating expenses to average daily net assets(c)			0.38	%*			0.36	%			0.39	%			0.40	%			0.39	%(d)			0.39	%(d)
Interest expense to average daily net assets			0.01	%*(e)			0.00	%(e)(f)			0.00	%(e)(f)			—				—				—
Total net expenses to average daily net assets(c)			0.39	%*			0.36	%			0.39	%			0.40	%			0.39	%(d)			0.39	%(d)
Net investment income (loss) to average daily net assets(a)			0.70	%*			1.19	%			1.41	%			1.61	%			1.58	%			1.43	%
Portfolio turnover rate			44	%**			117	%			13	%			34	%			52	%			51	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(g)			0.54	%*			0.27	%			0.24	%			0.27	%			0.25	%			0.17	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(e)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(f)  Ratio is less than 0.01%.

^(g)  Ratios include indirect fees waived or borne by the Fund

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 125

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

DEBT OPPORTUNITIES FUND

	Class VI Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28,												Period from October 3, 2011 (commencement of operations) through February 29, 2012(a)
					2015(a)				2014(a)(b)				2013(a)
Net asset value, beginning of period		$	24.80			$	24.22			$	24.22			$	22.54			$	22.33
Income (loss) from investment operations:
Net investment income (loss)(c)†			0.13				0.54				0.84				1.05				0.42
Net realized and unrealized gain (loss)			0.06				0.42				0.14				1.54				0.14
Total from investment operations			0.19				0.96				0.98				2.59				0.56
Less distributions to shareholders:
From net investment income			(0.15	)			(0.38	)			(0.56	)			(0.35	)			(0.21	)
From net realized gains			—				—				(0.42	)			(0.56	)			(0.14	)
Total distributions			(0.15	)			(0.38	)			(0.98	)			(0.91	)			(0.35	)
Net asset value, end of period		$	24.84			$	24.80			$	24.22			$	24.22			$	22.54
Total Return(d)			0.76	%**			3.98	%			4.27	%			11.62	%			2.43	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,749,367			$	1,790,805			$	2,111,080			$	812,020			$	204,043
Net expenses to average daily net assets(e)			0.31	%*			0.31	%			0.31	%(f)			0.31	%(f)			0.31	%*
Interest expense to average daily net assets			0.00	%*(g)(h)			0.00	%(g)(h)			—				—				—
Total net expenses to average daily net assets(e)			0.31	%*			0.31	%			0.31	%(f)			0.31	%(f)			0.31	%*
Net investment income (loss) to average daily net assets(c)			1.06	%*			2.18	%			3.51	%			4.36	%			4.59	%*
Portfolio turnover rate			24	%**			37	%			30	%			39	%			23	%(i)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.03	%			0.02	%			0.04	%			0.17	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(j)		$	0.03			$	0.01			$	0.02			$	0.00	(j)

^(a)  Per share amounts were adjusted to reflect a 1:7 reverse stock split effective May 15, 2014.

^(b)  Effective February 12, 2014, GMO Debt Opportunities Fund (the “Acquired Fund”) merged into GMO Short-Duration Collateral Fund (the “Acquiring Fund”) and the surviving entity was renamed GMO Debt Opportunities Fund. For accounting and financial reporting purposes, the Acquired Fund is the surviving entity, meaning the combined entity adopted the historical financial reporting history of the Acquired Fund. Share and per share information have been adjusted to reflect the effects of the merger.

^(c)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(d)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(f)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(g)  Ratio is less than 0.01%.

^(h)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

⁽ⁱ⁾  Calculation represents portfolio turnover for the Fund for the period from October 3, 2011 through February 29, 2012.

^(j)  Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

126 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011								2015				2014				2013				2012				2011
Net asset value, beginning of period		$	9.49			$	9.77			$	10.34			$	9.59			$	9.10			$	8.47			$	9.48			$	9.76			$	10.33			$	9.58			$	9.09			$	8.47
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.27				0.59	(c)			0.60				0.77				0.84				1.03	(b)			0.27				0.60	(c)			0.60				0.79				0.84				1.05	(b)
Net realized and unrealized gain (loss)			(0.44	)			(0.01	)			(0.59	)			0.82				0.58				0.81				(0.44	)			(0.02	)			(0.58	)			0.81				0.59				0.78
Total from investment operations			(0.17	)			0.58				0.01				1.59				1.42				1.84				(0.17	)			0.58				0.02				1.60				1.43				1.83
Less distributions to shareholders:
From net investment income			(0.21	)			(0.86	)			(0.58	)			(0.84	)			(0.93	)			(1.21	)			(0.21	)			(0.86	)			(0.59	)			(0.85	)			(0.94	)			(1.21	)
Total distributions			(0.21	)			(0.86	)			(0.58	)			(0.84	)			(0.93	)			(1.21	)			(0.21	)			(0.86	)			(0.59	)			(0.85	)			(0.94	)			(1.21	)
Net asset value, end of period		$	9.11			$	9.49			$	9.77			$	10.34			$	9.59			$	9.10			$	9.10			$	9.48			$	9.76			$	10.33			$	9.58			$	9.09
Total Return(d)			(1.82	)%**			6.03	%			0.27	%			17.04	%			16.62	%			22.23	%			(1.80	)%			6.07	%			0.33	%			17.14	%			16.69	%			22.19	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	873,566			$	746,182			$	582,639			$	427,339			$	679,533			$	564,570			$	3,037,077			$	3,262,104			$	2,465,331			$	1,908,041			$	1,117,850			$	1,122,409
Net operating expenses to average daily net assets(e)			0.53	%*			0.56	%			0.56	%(f)			0.60	%(f)			0.64	%(f)			0.59	%(f)			0.48	%*			0.51	%			0.51	%(f)			0.55	%(f)			0.59	%(f)			0.54	%(f)
Interest expense to average daily net assets			0.00	%*(g)(l)			—				—				0.02	%(g)			0.08	%(g)			0.08	%(h)			0.00	%*(g)(l)			—				—				0.02	%(g)			0.08	%(g)			0.07	%(g)
Total net expenses to average daily net assets(e)			0.53	%*			0.56	%			0.56	%(f)			0.62	%(f)(g)			0.72	%(f)(g)			0.67	%(f)(h)			0.48	%*			0.51	%			0.51	%			0.57	%(f)(g)			0.67	%(f)(g)			0.61	%(f)(h)
Net investment income (loss) to average daily net assets(a)			5.58	%*			5.86	%(i)			5.99	%			7.75	%			8.90	%			11.09	%(j)			5.61	%*			5.93	%(i)			6.02	%			7.84	%			8.95	%			11.37	%(j)
Portfolio turnover rate			10	%**			18	%			27	%			36	%			29	%			21	%			10	%**			18	%			27	%			36	%			29	%			21	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(k)			0.00	%*(l)			0.00	%(l)			—				0.00	%(l)			—				—				0.00	%*(l)			0.00	%(l)			—				0.00	%(l)			—				—
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(l)		$	0.02			$	0.02			$	0.03			$	0.01			$	0.02			$	0.00	(l)		$	0.02			$	0.02			$	0.03			$	0.01			$	0.02

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  Includes income per share of $0.40 and $0.41, respectively, as a result of the Fund’s participation in sovereign debt exchanges during the period. Excluding this income, the Fund’s net investment income per share would have been $0.63 and $0.64, respectively.

^(c)  Includes income per share of $0.02 and $0.03, respectively, as a result of litigation on certain sovereign debt. Excluding this income, the Fund’s net investment income per share would have been $0.57 and $0.57, respectively.

^(d)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(f)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(g)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(h)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or payables owed to Lehman Brothers in connection with the termination of derivative contracts in 2008 is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

⁽ⁱ⁾  Includes income of $0.24 and $0.24, respectively, of average daily net assets as a result of litigation on certain sovereign debt. Excluding this income, the Fund’s net investment income to average daily net assets would have been $5.62 and $5.69, respectively.

^(j)  Includes income of 4.33% and 4.43%, respectively, of average daily net assets as a result of the Fund’s participation in sovereign debt exchanges. Excluding this income, the Fund’s net investment income to average daily net assets would have been 6.76% and 6.94%, respectively.

^(k)  Ratios include indirect fees waived or borne by the manager.

^(l)  Ratio is less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 127

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL BOND FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	8.67			$	8.61			$	8.37			$	8.11			$	7.91			$	7.58
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.04				0.08				0.08				0.11				0.11				0.12
Net realized and unrealized gain (loss)			(0.37	)			(0.01	)(b)			0.18				0.27				0.55				0.82
Total from investment operations			(0.33	)			0.07				0.26				0.38				0.66				0.94
Less distributions to shareholders:
From net investment income			—				(0.01	)			(0.02	)			(0.12	)			(0.46	)			(0.61	)
Total distributions			—				(0.01	)			(0.02	)			(0.12	)			(0.46	)			(0.61	)
Net asset value, end of period		$	8.34			$	8.67			$	8.61			$	8.37			$	8.11			$	7.91
Total Return(c)			(3.81	)%**			0.81	%			3.13	%			4.72	%			8.57	%			12.84	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	38,872			$	46,720			$	141,269			$	165,337			$	163,213			$	209,891
Net operating expenses to average daily net assets(d)			0.38	%*			0.34	%			0.38	%(e)			0.39	%(e)			0.39	%(e)			0.38	%(e)
Interest expense to average daily net assets			0.01	%*(f)			0.00	%(f)(g)			0.00	%(f)(g)			—				—				0.01	%(f)
Total net expenses to average daily net assets(d)			0.39	%*			0.34	%			0.38	%			0.39	%			0.39	%			0.39	%
Net investment income (loss) to average daily net assets(a)			1.04	%*			0.94	%			0.99	%			1.29	%			1.39	%			1.50	%
Portfolio turnover rate			40	%**			84	%			24	%			42	%			38	%			45	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)			0.80	%*			0.22	%			0.09	%			0.10	%			0.09	%			0.07	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(f)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(g)  Interest expense was less than 0.01% to average daily net assets.

^(h)  Ratios include indirect fees waived or borne by the manager.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

128 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL BOND FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	6.95			$	7.27			$	6.84			$	6.79			$	7.11			$	6.59
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.01				0.07				0.06				0.08				0.10				0.10
Net realized and unrealized gain (loss)			(0.42	)			(0.39	)			0.37				0.13				0.33				0.77
Total from investment operations			(0.41	)			(0.32	)			0.43				0.21				0.43				0.87
Less distributions to shareholders:
From net investment income			—				—				—				(0.16	)			(0.75	)			(0.35	)
Total distributions			—				—				—				(0.16	)			(0.75	)			(0.35	)
Net asset value, end of period		$	6.54			$	6.95			$	7.27			$	6.84			$	6.79			$	7.11
Total Return(b)			(5.90	)%**			(4.40	)%			6.29	%			3.21	%			6.37	%			13.36	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,354			$	43,585			$	60,809			$	70,949			$	69,945			$	108,684
Net operating expenses to average daily net assets(c)			0.40	%*			0.34	%			0.39	%(d)			0.40	%(d)			0.39	%(d)			0.39	%(d)
Interest expense to average daily net assets(e)			0.02	%*			0.01	%			0.00	%(f)			0.00	%(f)			0.00	%(f)			0.00	%(f)
Total net expenses to average daily net assets(c)			0.42	%*			0.35	%			0.39	%(d)(f)			0.40	%(d)(f)			0.39	%(d)(f)			0.39	%(d)
Net investment income (loss) to average daily net assets(a)			0.36	%*			0.98	%			0.90	%			1.18	%			1.39	%			1.45	%
Portfolio turnover rate			73	%**			115	%			18	%			21	%			43	%			46	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(g)			1.42	%*			0.39	%			0.27	%			0.28	%			0.24	%			0.16	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(e)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(f)  Interest expense was less than 0.01% to average daily net assets.

^(g)  Ratios include indirect fees waived or borne by the manager.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 129

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

U.S. TREASURY FUND

	Core Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	25.00			$	25.00			$	25.00			$	25.00			$	25.00			$	25.00
Income (loss) from investment operations:
Net investment income (loss)†			0.01				0.01				0.02				0.03				0.01				0.03
Net realized and unrealized gain (loss)			0.00	(a)			0.00	(a)			0.01				(0.00	)(a)			0.01				0.00	(a)
Total from investment operations			0.01				0.01				0.03				0.03				0.02				0.03
Less distributions to shareholders:
From net investment income			(0.01	)			(0.01	)			(0.02	)			(0.03	)			(0.01	)			(0.03	)
From net realized gains			(0.00	)(b)			(0.00	)(b)			(0.01	)			—				(0.01	)			(0.00	)(b)
Total distributions			(0.01	)			(0.01	)			(0.03	)			(0.03	)			(0.02	)			(0.03	)
Net asset value, end of period		$	25.00			$	25.00			$	25.00			$	25.00			$	25.00			$	25.00
Total Return(c)			0.04	%**			0.06	%			0.11	%			0.11	%			0.07	%			0.15	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,819,582			$	2,243,931			$	1,909,864			$	2,912,203			$	2,056,342			$	1,814,553
Net expenses to average daily net assets(e)			0.00	%*			0.00	%			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%
Net investment income (loss) to average daily net assets			0.08	%*			0.05	%			0.08	%			0.10	%			0.04	%			0.13	%
Portfolio turnover rate(f)			0	%**			0	%			0	%			0	%			0	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%*			0.10	%			0.10	%			0.10	%			0.10	%			0.11	%

^(a)  Net realized and unrealized gain (loss) was less than $0.01 per share.

^(b)  Distributions from net realized gains were less than $0.01 per share.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assume the effect of reinvested distribution.

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(e)  Ratio is less than 0.01%.

^(f)  Portfolio turnover rate calculation excludes short-term investments.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

130 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

WORLD OPPORTUNITY OVERLAY FUND

	Core Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	25.50			$	26.84			$	25.68			$	24.00			$	22.68			$	21.30
Income (loss) from investment operations:
Net investment income (loss)†			0.12				0.18				0.13				0.32				0.37				0.37
Net realized and unrealized gain (loss)			0.22				(1.52	)			1.03				1.36				0.95				1.01
Total from investment operations			0.34				(1.34	)			1.16				1.68				1.32				1.38
Less distributions to shareholders:
From return of capital			(10.20	)			—				—				—				—				—
Total distributions			(10.20	)			—				—				—				—				—
Net asset value, end of period		$	15.64			$	25.50			$	26.84			$	25.68			$	24.00			$	22.68
Total Return(a)			2.33	%**			(4.99	)%			4.52	%			7.00	%			5.82	%			6.48	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	70,411			$	179,957			$	562,337			$	691,486			$	855,176			$	850,192
Net operating expenses to average daily net assets			0.03	%*			0.00	%(b)			0.00	%(b)(c)			0.00	%(b)(c)			0.00	%(b)(c)			0.00	%(b)(c)
Interest expense to average daily net assets			—				0.05	%(e)			0.05	%(e)			0.04	%(e)			0.03	%(d)			0.03	%(d)
Total net expenses to average daily net assets			0.03	%*			0.05	%			0.05	%(c)			0.04	%(c)			0.03	%(c)			0.03	%(c)
Net investment income (loss) to average daily net assets			1.43	%*			0.69	%			0.51	%			1.30	%			1.59	%			1.69	%
Portfolio turnover rate			0	%**			26	%			80	%			8	%			46	%			36	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.20	%*			0.08	%			0.04	%			0.04	%			0.04	%			0.04	%

^(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b)  Ratio is less than 0.01%.

^(c)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(d)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or payables owed to Lehman Brothers in connection with the termination of derivative contracts in 2008 is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.

^(e)  Interest expense incurred as a result of entering into reverse repurchase agreements and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 131

GMO Trust Funds

Notes to Financial Statements

August 31, 2015 (Unaudited)

1. Organization

Each of Asset Allocation Bond Fund, Benchmark-Free Bond Fund, Core Plus Bond Fund, Currency Hedged International Bond Fund, Debt Opportunities Fund, Emerging Country Debt Fund, Global Bond Fund, International Bond Fund, U.S. Treasury Fund, and World Opportunity Overlay Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest without limitation in other GMO Funds (“underlying funds”). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission (“SEC”), some of the Funds may invest in Debt Opportunities Fund, Emerging Country Debt Fund, World Opportunity Overlay Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. As of August 31, 2015, shares of World Opportunity Overlay Fund were not publicly offered for sale.

The following table provides information about the Funds’ investment objectives and benchmarks (if any):

Fund Name	Benchmark	Investment Objective
Asset Allocation Bond Fund	Citigroup 3-Month Treasury Bill Index	Total return in excess of benchmark
Benchmark-Free Bond Fund	Not Applicable	Total return in excess of Citigroup 3-Month Treasury Bill Index
Core Plus Bond Fund	Barclays U.S. Aggregate Index	Total return in excess of benchmark
Currency Hedged International Bond Fund	J.P. Morgan GBI Global ex Japan ex U.S. (Hedged)	Total return in excess of benchmark
Debt Opportunities Fund	Not Applicable	Positive total return
Emerging Country Debt Fund	J.P. Morgan EMBI Global	Total return in excess of benchmark
Global Bond Fund	J.P. Morgan GBI Global	Total return in excess of benchmark
International Bond Fund	J.P. Morgan GBI Global ex U.S.	Total return in excess of benchmark
U.S. Treasury Fund	Not Applicable	Liquidity and safety of principal with current income as a secondary objective
World Opportunity Overlay Fund	J.P. Morgan U.S. 3 Month Cash Index	Total return greater than benchmark

Asset Allocation Bond Fund, U.S. Treasury Fund and World Opportunity Overlay Fund currently limit subscriptions.

Asset Allocation Bond Fund, Debt Opportunities Fund, Emerging Country Debt Fund, and U.S. Treasury Fund are currently distributed in Switzerland. The distribution of shares in Switzerland will be exclusively made to, and directed at, qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended, and its implementing ordinance.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

Portfolio valuation

Typically, the Funds and the underlying funds value each fixed income security based on the most recent quoted price supplied by a single pricing source chosen by GMO. Although GMO normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds

132

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

and the underlying funds, although the prices supplied by those alternative sources do not necessarily align with the prices supplied by primary pricing sources. See the table below for information about securities for which no alternative pricing source was available.

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. OTC derivatives are generally valued at the price determined by an industry standard model. Unlisted securities (including fixed income securities) for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2015, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use a quoted price from a prior day to value that security.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or short position.

As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2015 is as follows:

Securities and Derivatives

Fund Name	Fair valued using methods determined in good faith by or at the direction of the Trustees			Single source: No alternative pricing source was available
Asset Allocation Bond Fund		3%	1		—
Benchmark-Free Bond Fund		< 1%			1%
Core Plus Bond Fund		< 1%			2%
Currency Hedged International Bond Fund		< 1%			1%
Debt Opportunities Fund		1%	2		16%
Emerging Country Debt Fund		2%	3		3%
Global Bond Fund		< 1%			1%
International Bond Fund		—			—
U.S. Treasury Fund		—			—
World Opportunity Overlay Fund		—			3%

¹  Consists of quanto options which were valued using broker quotes.

133

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

²  Consists of four U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations.

³  Includes the Autopistas Del Nordeste Ltd. asset-backed security which represents 0.6% of the Fund’s total net assets and is valued using a 500 basis point spread over the yield of a comparable government bond. Also includes the Republic of Argentina judgments which represent 0.9% of the Fund’s total net assets and is valued using a broker quote and adjusted by a 20% discount for liquidity and other considerations.

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). Other than as described in the footnotes to the Securities and derivatives table above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2015.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, certain U.S. government obligations, derivatives actively traded on a national securities exchange (such as some futures and options), and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; and certain restricted securities valued at the most recent available market or quoted price.

Level 3 – Valuations based primarily on inputs that are unobservable and significant.

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they are valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; and third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information.

134

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2015:

Description	Level 1		Level 2			Level 3			Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	82,523,046		$	—		$	82,523,046
Foreign Government Obligations		—		12,666,443			—			12,666,443
U.S. Government		452,593,769		930,803,620			—			1,383,397,389
TOTAL DEBT OBLIGATIONS		452,593,769		1,025,993,109			—			1,478,586,878
Mutual Funds		78,339,401		—			—			78,339,401
Options Purchased		—		256,522,152			79,055,535			335,577,687
Short-Term Investments		650,796,246		—			—			650,796,246
Total Investments		1,181,729,416		1,282,515,261			79,055,535			2,543,300,212
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—		234,695,656			—			234,695,656
Futures Contracts
Equity Risk		—		10,980,372			—			10,980,372
Swap Contracts
Inflation Risk		—		1,225,975			—			1,225,975
Interest Rate Risk		—		392,905,301			—			392,905,301
Total	$	1,181,729,416	$	1,922,322,565		$	79,055,535		$	3,183,107,516
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(171,928,521	)	$	—		$	(171,928,521	)
Written Options
Foreign Currency Risk		—		(32,004,767	)		—			(32,004,767	)
Interest Rate Risk		—		(123,672,221	)		—			(123,672,221	)
Swap Contracts
Equity Risk**		—		—			(5,716,970	)		(5,716,970	)
Inflation Risk		—		(3,836,195	)		—			(3,836,195	)
Interest Rate Risk		—		(465,895,593	)		—			(465,895,593	)
Total	$	—	$	(797,337,297	)	$	(5,716,970	)	$	(803,054,267	)
Benchmark-Free Bond Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	165,926		$	—		$	165,926
U.S. Government		1,553,588		152,531			—			1,706,119
TOTAL DEBT OBLIGATIONS		1,553,588		318,457			—			1,872,045
Mutual Funds		1,878,914		—			—			1,878,914
Options Purchased		—		483,053			—			483,053
Short-Term Investments		4,171,817		—			—			4,171,817
Total Investments		7,604,319		801,510			—			8,405,829
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—		353,328			—			353,328
Swap Contracts
Inflation Risk		—		2,763			—			2,763
Interest Rate Risk		—		612,272			—			612,272
Total	$	7,604,319	$	1,769,873		$	—		$	9,374,192

135

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Bond Fund (continued)
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(250,294	)	$	—	$	(250,294	)
Written Options
Foreign Currency Risk		—			(56,661	)		—		(56,661	)
Interest Rate Risk		—			(161,052	)		—		(161,052	)
Swap Contracts
Inflation Risk		—			(9,664	)		—		(9,664	)
Interest Rate Risk		—			(641,421	)		—		(641,421	)
Total	$	—		$	(1,119,092	)	$	—	$	(1,119,092	)
Core Plus Bond Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	—		$	371,810	$	371,810
Corporate Debt		—			6,911,115			—		6,911,115
Foreign Government Obligations		—			10,868,501			—		10,868,501
U.S. Government		50,781,189			4,018,069			—		54,799,258
TOTAL DEBT OBLIGATIONS		50,781,189			21,797,685			371,810		72,950,684
Mutual Funds		168,731,782			—			—		168,731,782
Options Purchased		—			4,597,917			—		4,597,917
Short-Term Investments		22,865,299			—			—		22,865,299
Total Investments		242,378,270			26,395,602			371,810		269,145,682
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			3,320,784			—		3,320,784
Futures Contracts
Interest Rate Risk		329			—			—		329
Swap Contracts
Inflation Risk		—			15,929			—		15,929
Interest Rate Risk		—			7,691,642			—		7,691,642
Total	$	242,378,599		$	37,423,957		$	371,810	$	280,174,366
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(2,663,594	)	$	—	$	(2,663,594	)
Futures Contracts
Interest Rate Risk		(7,881	)		—			—		(7,881	)
Written Options
Foreign Currency Risk		—			(552,884	)		—		(552,884	)
Interest Rate Risk		—			(1,875,877	)		—		(1,875,877	)
Swap Contracts
Inflation Risk		—			(22,338	)		—		(22,338	)
Interest Rate Risk		—			(7,690,439	)		—		(7,690,439	)
Total	$	(7,881	)	$	(12,805,132	)	$	—	$	(12,813,013	)

136

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Currency Hedged International Bond Fund
Asset Valuation Inputs
Debt Obligations
Foreign Government Obligations	$	—		$	41,849,575		$	—	$	41,849,575
TOTAL DEBT OBLIGATIONS		—			41,849,575			—		41,849,575
Mutual Funds		21,134,478			—			—		21,134,478
Options Purchased		—			1,365,687			—		1,365,687
Short-Term Investments		4,518,003			—			—		4,518,003
Total Investments		25,652,481			43,215,262			—		68,867,743
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			1,013,684			—		1,013,684
Futures Contracts
Interest Rate Risk		65,680			—			—		65,680
Swap Contracts
Interest Rate Risk		—			1,461,076			—		1,461,076
Inflation Risk		—			4,379			—		4,379
Total	$	25,718,161		$	45,694,401		$	—	$	71,412,562
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(940,101	)	$	—	$	(940,101	)
Futures Contracts
Interest Rate Risk		(37,563	)		—			—		(37,563	)
Written Options
Foreign Currency Risk		—			(165,052	)		—		(165,052	)
Interest Rate Risk		—			(556,366	)		—		(556,366	)
Swap Contracts
Interest Rate Risk		—			(1,741,510	)		—		(1,741,510	)
Inflation Risk		—			(6,184	)		—		(6,184	)
Total	$	(37,563	)	$	(3,409,213	)	$	—	$	(3,446,776	)
Debt Opportunities Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	4,445,169		$	1,352,359,196	$	1,356,804,365
U.S. Government Agency		—			—			23,420,238		23,420,238
TOTAL DEBT OBLIGATIONS		—			4,445,169			1,375,779,434		1,380,224,603
Mutual Funds		84,831,828			—			—		84,831,828
Short-Term Investments		319,704,622			—			—		319,704,622
Total Investments		404,536,450			4,445,169			1,375,779,434		1,784,761,053
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			13,891			—		13,891
Swap Contracts
Credit Risk		—			5,989,814			—		5,989,814
Interest Rate Risk		—			805,138			—		805,138
Total	$	404,536,450		$	11,254,012		$	1,375,779,434	$	1,791,569,896

137

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Description	Level 1		Level 2			Level 3			Total
Debt Opportunities Fund (continued)
Liability Valuation Inputs
Derivatives*
Swap Contracts
Credit Risk	$	—	$	(15,378,209	)	$	—		$	(15,378,209	)
Interest Rate Risk		—		(412,495	)		—			(412,495	)
Total	$	—	$	(15,790,704	)	$	—		$	(15,790,704	)
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	—		$	63,288,863		$	63,288,863
Corporate Debt		—		—			20,706,000			20,706,000
Foreign Government Agency		—		847,230,675			71,910,170			919,140,845
Foreign Government Obligations		—		2,036,545,775			112,400,074			2,148,945,849
Judgments		—		—			34,592,000			34,592,000
U.S. Government		80,737,520		72,085,452			—			152,822,972
TOTAL DEBT OBLIGATIONS		80,737,520		2,955,861,902			302,897,107			3,339,496,529
Loan Assignments		—		—			7,373,768			7,373,768
Loan Participations		—		—			67,788,347			67,788,347
Mutual Funds		76,117,553		—			—			76,117,553
Rights/Warrants		—		26,939,191			5,967,057			32,906,248
Short-Term Investments		442,187,930		—			—			442,187,930
Total Investments		599,043,003		2,982,801,093			384,026,279			3,965,870,375
Derivatives*
Options
Credit Risk		—		—			382,398			382,398
Swap Contracts
Credit Risk		—		47,198,953			—			47,198,953
Interest Risk		—		826,455			—			826,455
Total	$	599,043,003	$	3,030,826,501		$	384,408,677		$	4,014,278,181
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(766,167	)	$	—		$	(766,167	)
Options
Credit Risk		—		—			(4,171,411	)		(4,171,411	)
Swap Contracts
Credit Risk		—		(103,605,012	)		—			(103,605,012	)
Interest Rate Risk		—		(2,317,506	)		—			(2,317,506	)
Total	$	—	$	(106,688,685	)	$	(4,171,411	)	$	(110,860,096	)
Global Bond Fund
Asset Valuation Inputs
Debt Obligations
Foreign Government Obligations	$	—	$	17,712,933		$	—		$	17,712,933
U.S. Government		—		8,907,810			—			8,907,810
TOTAL DEBT OBLIGATIONS		—		26,620,743			—			26,620,743
Mutual Funds		11,116,573		—			—			11,116,573
Options Purchased		—		887,257			—			887,257
Short-Term Investments		2,466,969		—			—			2,466,969
Total Investments		13,583,542		27,508,000			—			41,091,542

138

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Global Bond Fund (continued)
Asset Valuation Inputs (continued)
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	941,111		$	—	$	941,111
Futures Contracts
Interest Rate Risk		45,144			27,539			—		72,683
Swap Contracts
Inflation Risk		—			2,988			—		2,988
Interest Rate Risk		—			946,240			—		946,240
Total	$	13,628,686		$	29,425,878		$	—	$	43,054,564
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(802,673	)	$	—	$	(802,673	)
Forward Cross Currency Contracts
Foreign Currency Risk		—			(76	)		—		(76	)
Futures Contracts
Interest Rate Risk		(12,996	)		—			—		(12,996	)
Written Options
Foreign Currency Risk		—			(107,016	)		—		(107,016	)
Interest Rate Risk		—			(362,179	)		—		(362,179	)
Swap Contracts
Inflation Risk		—			(3,797	)		—		(3,797	)
Interest Rate Risk		—			(1,148,346	)		—		(1,148,346	)
Total	$	(12,996	)	$	(2,424,087	)	$	—	$	(2,437,083	)
International Bond Fund
Asset Valuation Inputs
Debt Obligations
Foreign Government Obligations	$	—		$	2,940,494		$	—	$	2,940,494
TOTAL DEBT OBLIGATIONS		—			2,940,494			—		2,940,494
Mutual Funds		670,000			—			—		670,000
Short-Term Investments		1,179,449			—			—		1,179,449
Total Investments		1,849,449			2,940,494			—		4,789,943
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			761,727			—		761,727
Futures Contracts
Interest Rate Risk		15,991			—			—		15,991
Swap Contracts
Interest Rate Risk		—			2,648			—		2,648
Total	$	1,865,440		$	3,704,869		$	—	$	5,570,309

139

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
International Bond Fund (continued)
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(657,175	)	$	—	$	(657,175	)
Forward Cross Currency Contracts
Foreign Currency Risk		—			(15	)		—		(15	)
Futures Contracts
Interest Rate Risk		(6,386	)		—			—		(6,386	)
Swap Contracts
Interest Rate Risk		—			(6,783	)		—		(6,783	)
Total	$	(6,386	)	$	(663,973	)	$	—	$	(670,359	)
U.S. Treasury Fund
Short-Term Investments	$	3,815,377,012		$	—		$	—	$	3,815,377,012
Total Investments		3,815,377,012			—			—		3,815,377,012
Total	$	3,815,377,012		$	—		$	—	$	3,815,377,012
World Opportunity Overlay Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	—		$	13,072,757	$	13,072,757
U.S. Government		—			35,255,096			—		35,255,096
U.S. Government Agency		—			—			902,080		902,080
TOTAL DEBT OBLIGATIONS		—			35,255,096			13,974,837		49,229,933
Short-Term Investments		19,481,835			—			—		19,481,835
Total Investments		19,481,835			35,255,096			13,974,837		68,711,768
Derivatives*
Swap Contracts
Inflation Risk		—			164,190			—		164,190
Interest Rate Risk		—			1,917,208			—		1,917,208
Total	$	19,481,835		$	37,336,494		$	13,974,837	$	70,793,166
Liability Valuation Inputs
Derivatives*
Written Options
Interest Rate Risk	$	—		$	(299,071	)	$	—	$	(299,071	)
Swap Contracts
Inflation Risk		—			(520,299	)		—		(520,299	)
Interest Rate Risk		—			(3,250,895	)		—		(3,250,895	)
Total	$	—		$	(4,070,265	)	$	—	$	(4,070,265	)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

* The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value.

** Risk is the correlation between equity risk and foreign currency risk.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ summary of levels above.

140

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

For all Funds for the period ended August 31, 2015, there were no significant transfers between Level 1 and Level 2.

The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2015			Purchases		Sales			Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3*		Transfer out of Level 3*			Balances as of August 31, 2015			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2015
Asset Allocation Bond Fund
Debt Obligations
Bank Loans	$	65,224,500		$	—	$	(64,900,000	)	$	21,492		$	543,721		$	(889,713	)	$	—	$	—			—		$	—
Options purchased
Quanto options		100,602,558			—		—			—			—			(21,547,023	)		—		—			79,055,535			(21,547,023	)
Derivatives
Swap Contracts		3,163,191			—		—			—			—			(8,880,161	)		—		—			(5,716,970	)		(8,880,161	)
Total	$	168,990,249		$	—	$	(64,900,000	)	$	21,492		$	543,721		$	(31,316,897	)	$	—	$	—		$	73,338,565		$	(30,427,184	)
Core Plus Bond Fund
Debt Obligations
Asset-Backed Securities	$	674,205		$	—	$	(301,269	)	$	5,615		$	13,775		$	(20,516	)	$	—	$	—		$	371,810		$	(11,884	)
Total	$	674,205		$	—	$	(301,269	)#	$	5,615		$	13,775		$	(20,516	)	$	—	$	—		$	371,810		$	(11,884	)
Debt Opportunities Fund
Debt Obligations
Asset-Backed Securities	$	1,241,664,405		$	434,216,958	$	(323,543,152	)	$	4,188,363		$	(19,638,686	)	$	15,471,308		$	—	$	—		$	1,352,359,196		$	(3,248,316	)
U.S. Government Agency		24,502,090			—		(1,318,039	)		(1,606	)		22,240			215,553			—		—			23,420,238			215,553
Total	$	1,266,166,495		$	434,216,958	$	(324,861,191	)##	$	4,186,757		$	(19,616,446	)	$	15,686,861		$	—	$	—		$	1,375,779,434		$	(3,032,763	)
Emerging Country Debt Fund
Debt Obligations
Asset-Backed Securities	$	69,340,906		$	—	$	(5,112,503	)	$	252,520		$	16,088		$	(1,208,148	)	$	—	$	—		$	63,288,863		$	(1,220,116	)
Corporate Debt		22,100,000			—		—			(311	)		—			(1,393,689	)		—		—			20,706,000			(1,393,689	)
Foreign Government Agency		74,054,091			—		—			527,024			—			(2,670,945	)		—		—			71,910,170			(2,670,945	)
Foreign Government Obligations		115,818,083			275,379		(5,361,479	)		1,775,236			614,960			(722,105	)		—		—			112,400,074			(796,613	)
Judgments		33,840,000			24,604,567		(21,944,167	)		481,324			—			329,796			—		(2,719,520	)		34,592,000			(1,512,894	)
Total Debt Obligations		315,153,080			24,879,946		(32,418,149	)		3,035,793			631,048			(5,665,091	)		—		(2,719,520	)		302,897,107			(7,594,257	)
Loan Assignments		8,131,285			—		(803,725	)		185,068			(6,532	)		(132,328	)		—		—			7,373,768			(128,473	)
Loan Participations		74,574,670			—		(3,114,109	)		892,191			66,899			(4,631,304	)		—		—			67,788,347			(4,631,304	)
Rights/Warrants		5,769,851			—		—			—			—			197,206			—		—			5,967,057			197,206
Total Investments		403,628,886			24,879,946		(36,335,983	)###		4,113,052			691,415			(10,231,517	)		—		(2,719,520	)		384,026,279			(12,156,828	)
Derivatives
Options		(2,044,521	)		—		—			—			—			(1,744,492	)		—		—			(3,789,013	)		—
Total	$	401,584,365		$	24,879,946	$	(36,335,983	)	$	4,113,052		$	691,415		$	(11,976,009	)	$	—	$	(2,719,520	)	$	380,237,266		$	(12,156,828	)
World Opportunity Overlay Fund
Debt Obligations
Asset-Backed Securities	$	18,928,465		$	—	$	(6,105,930	)	$	57,247		$	(2,004,015	)	$	2,196,990		$	—	$	—		$	13,072,757		$	91,769
U.S. Government Agency		879,840			—		—			(1,849	)		—			24,089			—		—			902,080			24,089
Total	$	19,808,305		$	—	$	(6,105,930	)####	$	55,398		$	(2,004,015	)	$	2,221,079		$	—	$	—		$	13,974,837		$	115,858

141

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Represents the interest in derivatives that were determined to have a value of zero at February 28, 2015 or August 31, 2015.

*** Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs.

# Includes $100,025 of proceeds received from principal paydowns.

## Includes $110,744,894 of proceeds received from principal paydowns.

### Includes $10,483,496 of proceeds received from principal paydowns.

#### Includes $1,649,160 of proceeds received from principal paydowns.

The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of August 31, 2015 were as follows:

Fund Name	Level 3 securities and derivatives
Asset Allocation Bond Fund		3%
Benchmark-Free Bond Fund		6%
Core Plus Bond Fund		9%
Currency Hedged International Bond Fund		6%
Debt Opportunities Fund		79%
Emerging Country Debt Fund		10%
Global Bond Fund		6%
International Bond Fund		0%
U.S. Treasury Fund		—
World Opportunity Overlay Fund		20%

Cash and Statement of Cash Flows

Cash and foreign currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency or cash owed.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the New York Stock Exchange (“NYSE”), generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Loan assignments and participations

The Funds (except U.S. Treasury Fund) may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

142

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Repurchase agreements

The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of August 31, 2015, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
Emerging Country Debt Fund		62,870,027		64,175,403

As of August 31, 2015, Emerging Country Debt Fund had investments in reverse repurchase agreements with JP Morgan Securities, Inc. with a gross value of $62,863,984. The value of related collateral exceeded the value of the reverse repurchase agreement at period end. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Inflation-indexed bonds

The Funds (except U.S. Treasury Fund) may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation into the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Delayed delivery commitments and when-issued securities

The Funds (except U.S. Treasury Fund) may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The purchase of when-issued or delayed delivery securities can cause a Fund’s portfolio to be leveraged. Delayed delivery commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability on the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

143

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Taxes and distributions

Each Fund, except World Opportunity Overlay Fund (see below), has elected or intends to elect to be treated and intends to qualify each tax year as a regulated investment company (each a “RIC Fund”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each RIC Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each RIC Fund makes no provision for U.S. federal income or excise taxes.

World Opportunity Overlay Fund (the “Partnership Fund”) has elected to be treated as a partnership for U.S. federal income tax purposes and each shareholder is responsible for their tax liabilities, if any, related to their allocable share of Partnership Fund taxable income, gains, losses, deductions, credits and items of tax preference. The Partnership Fund’s activities do not generally constitute those of a U.S. trade or business. Accordingly, the Partnership Fund is generally not subject to U.S. federal, state and/or other income-based U.S. taxes (other than certain withholding taxes). Dividends and other income may be subject to withholding or similar taxes imposed by the country in which such dividends or other income originate.

With the exception of U.S. Treasury Fund, the policy of each RIC Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. The policy of U.S. Treasury Fund is to declare dividends daily, to the extent net investment income is available, and pay dividends on the first business day following the end of each month in which dividends were declared. Each RIC Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each RIC Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically all distributions are reinvested in additional shares of each RIC Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each RIC Fund on the ex-dividend date.

Because the Partnership Fund has elected to be treated as a partnership for U.S. federal income tax purposes, it is not required to make distributions to its shareholders. It is the policy of the Partnership Fund to declare and pay non-redeeming distributions in the sole discretion of the Trustees (or their delegates). Distributions made by the Partnership Fund, if any, other than distributions made in partial or complete redemption of shareholders’ interests in the Partnership Fund, are reported in the Partnership Fund’s Statement of Changes in Net Assets as return of capital distributions to shareholders.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to each RIC Fund’s investments in certain jurisdictions may be higher if a significant portion of each RIC Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2015, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

Income and capital gain distributions for each RIC Fund are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of a RIC Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.

144

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

As of February 28, 2015, certain RIC Funds elected to defer to March 1, 2015 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post- October Capital Losses ($)
Asset Allocation Bond Fund		—		(1,570,310)
Benchmark-Free Bond Fund		—		—
Core Plus Bond Fund		—		—
Currency Hedged International Bond Fund		—		—
Debt Opportunities Fund		—		—
Emerging Country Debt Fund		—		(75,375,108)
Global Bond Fund		(1,123,808)		(711,330)
International Bond Fund		(3,819,251)		(154,213)
U.S. Treasury Fund		—		—

As of February 28, 2015, certain RIC Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2015, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The RIC Funds’ capital loss carryforwards are as follows:

	Short-Term ($)												Long- Term ($)
Fund Name	Expiration Date 2/29/2016		Expiration Date 2/28/2017		Expiration Date 2/28/2018		Expiration Date 2/28/2019		No Expiration Date		Total Short- Term ($)		No Expiration Date
Asset Allocation Bond Fund		—		—		—		—		—		—		—
Benchmark-Free Bond Fund		—		—		—		—		—		—		—
Core Plus Bond Fund		(33,008,915)		(74,050,257)		(17,147,333)		(138,723)		—		(124,345,228)		(5,203,693)
Currency Hedged International Bond Fund		—		—		(2,196,538)		—		—		(2,196,538)		—
Debt Opportunities Fund		—		—		—		—		(105,177)		(105,177)		(122,796,483)
Emerging Country Debt Fund		—		(14,758,581)		—		(66,474,254)		(26,953,741)		(108,186,576)		(81,758,375)
Global Bond Fund		—		(4,412,277)		(2,543,074)		(1,398,524)		—		(8,353,875)		(1,877,310)
International Bond Fund		(507,910)		(11,621,655)		(4,431,029)		(4,162,554)		—		(20,723,148)		—
U.S. Treasury Fund		—		—		—		—		—		—		—

145

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

As of August 31, 2015, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Asset Allocation Bond Fund		2,672,179,366		63,651,986		(192,531,140)		(128,879,154)
Benchmark-Free Bond Fund		8,729,870		114,528		(438,569)		(324,041)
Core Plus Bond Fund		290,799,672		1,669,210		(23,323,200)		(21,653,990)
Currency Hedged International Bond Fund		74,707,018		—		(5,839,275)		(5,839,275)
Debt Opportunities Fund		1,818,419,565		31,540,361		(65,198,873)		(33,658,512)
Emerging Country Debt Fund		4,085,499,795		181,638,934		(301,268,354)		(119,629,420)
Global Bond Fund		45,199,998		340,272		(4,448,728)		(4,108,456)
International Bond Fund		4,897,994		2,919		(110,970)		(108,051)
U.S. Treasury Fund		3,815,614,940		224,906		(462,834)		(237,928)
World Opportunity Overlay Fund		71,013,010		1,602,464		(3,903,706)		(2,301,242)

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., guidance pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Prior

146

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

to December 31, 2012, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance each Fund maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.

Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when a Fund uses portfolio securities to redeem its shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.

As of August 31, 2015, the premium on cash purchases and the fee on cash redemptions were as follows:

	Asset Allocation Bond Fund	Benchmark-Free Bond Fund	Core Plus Bond Fund	Currency Hedged International Bond Fund	Debt Opportunities Fund	Emerging Country Debt Fund	Global Bond Fund	International Bond Fund	U.S. Treasury Fund	World Opportunity Overlay Fund
Purchase Premium	—	—	—	—	0.40%	0.50%	—	—	—	—
Redemption Fee	—	—	—	—	0.40%	0.50%	—	—	—	—

Other matters

Emerging Country Debt Fund

In December 2005, Emerging County Debt Fund (“ECDF”) entered into litigation against the Government of Argentina (“Argentina”) relating to Argentina’s failure to make payments on sovereign debt held by ECDF. A judgment was awarded in ECDF’s favor on September 24, 2007; however, ECDF’s ability to collect on this judgment remains uncertain, and ECDF is not able to transfer or sell the judgment without court consent. In late May 2010, Argentina commenced a public debt exchange in which certain defaulted debts, including legal judgments on those debts, were eligible to be exchanged for then performing Argentina bonds. The eligible portion of ECDF’s judgment was tendered in the debt exchange and ECDF received new bonds in June 2010. In October 2014, ECDF filed supplemental claims requesting additional relief with respect

147

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

to its existing judgment. The remaining portion of ECDF’s judgment, which continues to be valued by reference to a broker quote and adjusted by a discount for liquidity and other considerations, represented 0.9% of the net assets of ECDF as of August 31, 2015.

Recently-issued accounting guidance

In June 2014, the Financial Accounting Standards Board (“FASB”) issued Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for annual financial statements with fiscal years beginning on or after December 15, 2014. GMO is evaluating the impact, if any, of this guidance on the Funds’ financial statements.

3. Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

	Asset Allocation Bond Fund	Benchmark-Free Bond Fund	Core Plus Bond Fund	Currency Hedged International Bond Fund	Debt Opportunities Fund	Emerging Country Debt Fund	Global Bond Fund	International Bond Fund	U.S. Treasury Fund	World Opportunity Overlay Fund
Market Risk – Equities	X	X	X	X	X		X	X
Market Risk – Fixed Income Investments	X	X	X	X	X	X	X	X	X	X
Market Risk – Asset-Backed Securities	X	X	X	X	X	X	X	X		X
Credit Risk	X	X	X	X	X	X	X	X	X	X
Illiquidity Risk	X	X	X	X	X	X	X	X		X
Smaller Company Risk	X	X	X	X	X		X	X
Derivatives and Short Sales Risk	X	X	X	X	X	X	X	X		X
Non-U.S. Investment Risk	X	X	X	X	X	X	X	X		X
Currency Risk	X	X	X	X	X	X	X	X		X
Focused Investment Risk	X	X	X	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X	X	X	X		X
Counterparty Risk	X	X	X	X	X	X	X	X		X
Commodities Risk	X	X
Merger Arbitrage Risk	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X	X	X	X	X
Fund of Funds Risk	X	X	X	X	X	X	X	X
Non-Diversified Funds	X	X	X	X	X	X	X	X		X

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Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Equities — Funds that invest in equities run the risk that the market prices of equities will decline. That decline may be attributable to factors affecting the issuing company, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and their market prices can decline in a rapid or unpredictable manner. If a Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that their market price will not appreciate or will decline for a variety of reasons, one of which may be GMO’s incorrect assessment of their intrinsic value. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

Fixed Income Investments — Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities, and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. Some fixed income securities also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, and the market price of the Fund’s investment may decrease. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade securities are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” below for more information about these risks.

A risk run by each Fund with a significant investment in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income securities with longer durations. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.

The extent to which a fixed income security’s price changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because the investment’s fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate securities, however, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate securities have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate securities when interest rates rise but outperform them when interest rates decline. Fixed income securities paying no interest, such as zero coupon and principal-only securities, are subject to additional interest rate risk.

The market price of inflation-indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.

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Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management fees.

Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk” below.

In response to government intervention, economic or market developments, or other factors, fixed income markets may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have a material adverse effect on the Funds.

Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described above for fixed income securities but to other market risks as well.

A Fund’s investments in asset-backed securities are exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks are particularly acute during periods of adverse market conditions, such as those that occurred in 2008. Asset-backed securities may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, and credit-card receivables. They also may be backed by pools of corporate or sovereign bonds, bank loans to corporations, or a combination of bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees payable to service providers.

As described under “Market Risk — Fixed Income Investments” above, the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a variety of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive at the time the Fund purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. Asset-backed securities backed by sub-prime mortgage loans, in particular, may expose a Fund to significantly greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that were once rated investment grade are now rated below investment grade. See “Credit Risk” below for more information about credit risk.

With the deterioration of worldwide economic and liquidity conditions that occurred and became acute in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed and other fixed income securities. These conditions may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.

The market price of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of documentation for underlying assets also may affect the rights of holders of those underlying assets. The insolvency of an entity that generated the assets underlying an asset-backed security is likely to result in a decline in the market price of that security, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, these obligations also may be repaid more slowly than anticipated, and the market price of the Fund’s investment may decrease.

In addition, the existence of insurance on an asset-backed security does not guarantee that the principal and interest will be paid because the insurer could default on its obligations.

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The risk of investing in asset-backed securities has increased since the deterioration in worldwide economic and liquidity conditions referred to above because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” below for more information about risks of investing in correlated sectors. A single financial institution may serve as a trustee for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on many investments. The risks associated with asset-backed securities are particularly pronounced for Debt Opportunities Fund, which has invested a substantial portion of its assets in asset-backed securities, and for each Fund that has invested a substantial portion of its assets in Debt Opportunities Fund.

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

All fixed income securities are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s ability and willingness to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.

In many cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that the investment’s rating will be downgraded.

Securities issued by the U.S. government historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and have introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the value of a Fund’s investments and could increase the volatility of a Fund’s portfolio.

As described under “Market Risk — Asset-Backed Securities” above, asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities” above.

The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” below for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income security changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or a change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

Credit risk is particularly pronounced for below investment grade securities (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade securities have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted debt securities generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that can lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings,

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during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses to seek recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt security proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, TIPS have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.

• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of being unable to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.

The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.

Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result,

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incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk” above) and counterparty risk (see “Counterparty Risk” below). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” below for a discussion of risks specific to commodity-related derivatives. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk” below.

A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.

Transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk” below). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund

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may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

The U.S. government and the European Union have proposed mandatory minimum margin requirements for bilateral derivatives. Such requirements could increase the amount of margin required to be provided by a Fund in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees as to cover the costs of additional capital requirements and other regulatory changes applicable to the clearing members, and when rules imposing mandatory minimum margin requirements on bilateral swaps become effective. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO will likely constitute such a group. If applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s income to consist of net short-term capital gain, which, when distributed, is taxable to shareholders subject to U.S. income tax at ordinary income tax rates.

Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically

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unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds that only invest in U.S. securities. Non-U.S. securities markets often include securities of only a small number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments, (ii) transactions in those investments, and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund is not predictable, and some refunds may not be reflected in a Fund’s net asset value.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).

The Funds need a license to invest directly in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the foreign currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk” below.

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Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk” above.

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are strongly correlated are subject to greater overall risk than funds with investments that are more diversified.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.

Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country (e.g., Taiwan or Japan) or market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk

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also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required. To the extent that GMO’s view with respect to a particular counterparty changes adversely (whether due to external events or otherwise), a Fund’s existing transactions with that counterparty will not necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.

Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system.

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the net asset value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” above for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• MERGER ARBITRAGE RISK. Some Funds may engage in transactions in which a Fund purchases securities at prices below the value of the consideration GMO expects to be paid for them upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price may substantially exceed the market price of the securities before the announcement of the transaction.

If a Fund engages in a merger arbitrage transaction and that transaction later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market prices of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric – the losses in failed transactions often far exceeding the gains in successful transactions. A merger arbitrage transaction can fail for many reasons, including regulatory and antitrust restrictions, political motivations, industry weakness, stock specific events, failed financings, and general market declines.

Merger arbitrage strategies depend for success on the overall volume of merger activity, which has historically been cyclical. When merger activity is low, GMO may be unable to identify enough opportunities to provide sufficient diversification. Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage transaction may not perform as expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund that sells securities short that GMO expects it to receive upon consummation of a transaction but it does not actually receive (and thus has an unintended “naked” short position) may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries, which could significantly reduce the value of a Fund’s investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or reduce the value of investments traded in them, including investments of the Funds. While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value

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of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could adversely affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If one or more country changes its currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely affect the Funds. War, terrorism, economic uncertainty, and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Additionally, in the case of Funds that are regulated investment companies for U.S. federal income tax purposes, they also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. In addition, to the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds GMO uses quantitative analyses and models as part of its investment process. GMO’s models support portfolio decisions but are not necessarily predictive of future market events. These analyses and models also make simplifying assumptions that may limit their effectiveness. The data available and utilized for analysis or manipulation by the models is subject to limitations (e.g. inaccuracies, staleness). Any of those assumptions and/or limitations could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment may be wrong.

There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from potential investment gains or avoiding losses. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release of private shareholder information or confidential

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Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, such plans and systems are subject to inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in Underlying Funds, including other GMO Funds, closed-end funds, money market funds, ETFs and other investment companies are exposed to the risk that the Underlying Funds will not perform as expected. The Funds are also indirectly exposed to all of the risks of an investment in the Underlying Funds.

Because a Fund bears the fees and expenses of any Underlying Fund in which it invests (absent reimbursement of those fees and expenses), the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio. In addition, to the extent a Fund invests in shares of other GMO Funds, it is indirectly subject to Large Shareholder Risk because those other GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.

Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.

A Fund’s investments through one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”

All of the Funds (except U.S. Treasury Fund) are not diversified investment companies within the meaning of the 1940 Act. In addition, each of the Funds (other than U.S. Treasury Fund) may invest in shares of one or more other GMO Funds that are not diversified investment companies under the 1940 Act.

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in attempting to respond to adverse market, economic, political or other conditions.

The Funds (other than U.S. Treasury Fund) may take temporary defensive positions if deemed prudent by GMO. Many of the Funds have previously taken temporary defensive positions and have exercised the right to honor redemption requests in-kind.

To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

4. Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to securities or other assets. In particular, the Funds may use swaps or other derivatives on an index, a single security, or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer or may use a bond futures contract to short the bond market of a particular country. A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

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The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For instance, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Funds will typically have (or may have, in the case of Debt Opportunities Fund and U.S. Treasury Fund) gross investment exposures in excess of their net assets (i.e., the Funds will be (or may be, in the case of Debt Opportunities Fund and U.S. Treasury Fund) leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than Debt Opportunities Fund and U.S. Treasury Fund) performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.

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For Funds that held derivatives during the period ended August 31, 2015, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Asset Allocation Bond Fund

Benchmark- Free Bond Fund

Core Plus Bond Fund

Currency Hedged International Bond Fund

Debt Opportunities Fund

Emerging Country Debt Fund

Global Bond Fund

International Bond Fund

World Opportunity Overlay Fund

Forward currency contracts

Adjust currency exchange rate risk

X

X

X

X

X

X

X

X

Adjust exposure to foreign currencies

X

X

X

X

X

X

X

Futures contracts

Adjust interest rate exposure

X

X

X

X

X

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

X

X

X

X

Options (Purchased)

Adjust currency exchange rate risk

X

X

X

X

X

X

X

Adjust exposure to foreign currencies

X

X

X

X

X

X

X

Adjust interest rate exposure

X

X

X

X

X

X

X

Achieve exposure to a reference entity’s credit

X

Adjust exposure to equity markets

X

Options (Written)

Adjust currency exchange rate risk

X

X

X

X

X

X

Adjust exposure to foreign currencies

X

X

X

X

X

X

Adjust interest rate exposure

X

X

X

X

X

X

X

Achieve exposure to a reference entity’s credit

X

Options (Credit linked)

Achieve exposure to a reference entity’s credit

X

Swap contracts

Achieve exposure to a reference entity’s credit

X

X

Adjust interest rate exposure

X

X

X

X

X

X

X

X

X

Provide a measure of protection against default loss

X

X

Adjust exposure to foreign currencies

X

X

X

X

X

X

X

X

Adjust for inflation

X

X

X

X

X

X

X

Rights and/or warrants

Achieve exposure to a reference commodity

X

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Forward currency contracts

The Funds (except U.S. Treasury Fund) may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.

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For the period ended August 31, 2015, investment activity in options contracts written by the Funds was as follows:

	Puts								Calls
	Principal Amount of Contracts			Number of Contracts		Premiums			Principal Amount of Contracts			Number of Contracts		Premiums
Asset Allocation Bond Fund
Outstanding, beginning of period		79,886,000			—	$	1,727,220			12,540,489,431			—	$	196,276,235
Options written		2,779,770,000			—		105,978,841			5,611,907,400			—		211,476,308
Options bought back		(2,430,536,875	)		—		(97,277,898	)		(12,948,752,306	)		—		(230,381,817	)
Options expired		—			—		—			(422,706,000	)		—		(5,946,858	)
Options exercised		—			—		—			—			—		—
Outstanding, end of period		429,119,125			—	$	10,428,163			4,780,938,525			—	$	171,423,868
Benchmark-Free Bond Fund
Outstanding, beginning of period		104,000			—	$	2,248			13,945,000			—	$	253,701
Options written		3,218,000			—		129,001			6,570,000			—		241,948
Options bought back		(2,822,375	)		—		(118,975	)		(13,608,375	)		—		(254,663	)
Options expired		—			—		—			(533,000	)		—		(7,507	)
Options exercised		—			—		—			—			—		—
Outstanding, end of period		499,625			—	$	12,274			6,373,625			—	$	233,479
Core Plus Bond Fund
Outstanding, beginning of period		1,019,000			—	$	22,032			263,395,920			—	$	2,895,787
Options written		27,775,000			—		977,128			53,695,000			—		1,880,459
Options bought back		(24,856,625	)		—		(930,734	)		(245,778,545	)		—		(2,098,747	)
Options expired		—			—		—			(6,831,000	)		—		(89,807	)
Options exercised		—			—		—			—			—		—
Outstanding, end of period		3,937,375			—	$	68,426			64,481,375			—	$	2,587,692
Currency Hedged International Bond Fund
Outstanding, beginning of period		302,000			—	$	6,530			78,076,074			—	$	858,477
Options written		8,340,000			—		293,644			16,041,000			—		558,894
Options bought back		(7,466,125	)		—		(279,709	)		(72,877,199	)		—		(623,127	)
Options expired		—			—		—			(2,056,000	)		—		(27,030	)
Options exercised		—			—		—			—			—		—
Outstanding, end of period		1,175,875			—	$	20,465			19,183,875			—	$	767,214
Debt Opportunities Fund
Outstanding, beginning of period		—			—	$	—			—			—	$	—
Options written		27,000,000			—		33,750			—			—		—
Options bought back		(13,500,000	)		—		(17,550	)		—			—		—
Options expired		(13,500,000	)		—		(16,200	)		—			—		—
Options exercised		—			—		—			—			—		—
Outstanding, end of period		—			—	$	—			—			—	$	—

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	Puts								Calls
	Principal Amount of Contracts			Number of Contracts		Premiums			Principal Amount of Contracts			Number of Contracts		Premiums
Global Bond Fund
Outstanding, beginning of period		197,000			—	$	4,259			51,061,982			—	$	560,100
Options written		6,117,000			—		204,576			11,705,000			—		396,260
Options bought back		(5,552,500	)		—		(195,600	)		(48,963,982	)		—		(439,495	)
Options expired		—			—		—			(1,337,000	)		—		(17,578	)
Options exercised		—			—		—			—			—		—
Outstanding, end of period		761,500			—	$	13,235			12,466,000			—	$	499,287
International Bond Fund
Outstanding, beginning of period		185,000			—	$	4,000			47,788,780			—	$	525,114
Options written		4,878,000			—		171,271			9,445,000			—		330,002
Options bought back		(5,063,000	)		—		(175,271	)		(57,233,780	)		—		(855,116	)
Options expired		—			—		—			—			—		—
Options exercised		—			—		—			—			—		—
Outstanding, end of period		—			—	$	—			—			—	$	—
World Opportunity Overlay Fund
Outstanding, beginning of period		—			—	$	—			37,832,000			—	$	1,109,864
Options written		—			—		—			(18,742,000	)		—		(612,276	)
Options bought back		—			—		—			—			—		—
Options expired		—			—		—			—			—		—
Options exercised		—			—		—			—			—		—
Outstanding, end of period		—			—	$	—			19,090,000			—	$	497,588

In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Funds value OTC options using industry models and inputs provided by primary pricing sources.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

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Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.

Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated

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with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Additionally, Emerging Country Debt Fund owns warrants linked to the price of oil. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the valuations of derivative instruments categorized by risk exposure:

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2015 and the Statements of Operations for the period ended August 31, 2015^:

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Inflation Contracts			Interest Rate Contracts			Other Contracts		Total
Asset Allocation Bond Fund
Assets:
Investments, at value (purchased options)	$	—	$	79,055,535		$	40,708,557		$	—		$	215,813,595		$	—	$	335,577,687
Unrealized Appreciation on Forward Currency Contracts		—		—			234,695,656			—			—			—		234,695,656
Unrealized Appreciation on Futures Contracts*		—		10,980,372			—			—			—			—		10,980,372
Unrealized Appreciation on Swap Contracts*		—		—			—			1,225,975			392,905,301			—		394,131,276
Total	$	—	$	90,035,907		$	275,404,213		$	1,225,975		$	608,718,896		$	—	$	975,384,991
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	90,035,907		$	275,404,213		$	1,225,975		$	608,718,896		$	—	$	975,384,991
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(171,928,521	)	$	—		$	—		$	—	$	(171,928,521	)
Written Options, at value		—		—			(32,004,767	)		—			(123,672,221	)		—		(155,676,988	)
Unrealized Depreciation on Swap Contracts*		—		(5,716,970	)**		—			(3,836,195	)		(465,895,593	)		—		(475,448,758	)
Total	$	—	$	(5,716,970	)	$	(203,933,288	)	$	(3,836,195	)	$	(589,567,814	)	$	—	$	(803,054,267	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	(5,716,970	)	$	(203,933,288	)	$	(3,836,195	)	$	(589,567,814	)	$	—	$	(803,054,267	)
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—	$	—		$	51,332,473		$	—		$	(102,526,757	)	$	—	$	(51,194,284	)
Forward Currency Contracts		—		—			(16,887,667	)		—			—			—		(16,887,667	)
Futures Contracts		—		—			—			—			(39,426,500	)		—		(39,426,500	)
Written Options		—		—			29,262,286			—			(131,751,671	)		—		(102,489,385	)
Swap Contracts		—		—			—			(4,963,151	)		(67,834,651	)		—		(72,797,802	)
Total	$	—	$	—		$	63,707,092		$	(4,963,151	)	$	(341,539,579	)	$	—	$	(282,795,638	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	—	$	(21,547,024	)	$	(51,332,297	)	$	—		$	105,507,752		$	—	$	32,628,431
Forward Currency Contracts		—		—			16,609,944			—			—			—		16,609,944
Futures Contracts		—		—			—			—			5,065,507			—		5,065,507
Written Options		—		—			(21,952,985	)		—			25,740,593			—		3,787,608
Swap Contracts		—		(8,880,161	)		—			(1,005,410	)		(171,524,307	)		—		(181,409,878	)
Total	$	—	$	(30,427,185	)	$	(56,675,338	)	$	(1,005,410	)	$	(35,210,455	)	$	—	$	(123,318,388	)

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	Credit Contracts		Equity Contracts		Foreign Currency Contracts			Inflation Contracts			Interest Rate Contracts			Other Contracts		Total
Benchmark-Free Bond Fund
Assets:
Investments, at value (purchased options)	$	—	$	—	$	88,768		$	—		$	394,285		$	—	$	483,053
Unrealized Appreciation on Forward Currency Contracts		—		—		353,328			—			—			—		353,328
Unrealized Appreciation on Swap Contracts*		—		—		—			2,763			612,272			—		615,035
Total	$	—	$	—	$	442,096		$	2,763		$	1,006,557		$	—	$	1,451,416
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	442,096		$	2,763		$	1,006,557		$	—	$	1,451,416
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	(250,294	)	$	—		$	—		$	—	$	(250,294	)
Written Options, at value		—		—		(56,661	)		—			(161,052	)		—		(217,713	)
Unrealized Depreciation on Swap Contracts*		—		—		—			(9,664	)		(641,421	)		—		(651,085	)
Total	$	—	$	—	$	(306,955	)	$	(9,664	)	$	(802,473	)	$	—	$	(1,119,092	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	(306,955	)	$	(9,664	)	$	(802,473	)	$	—	$	(1,119,092	)
Realized Gain (Loss) on:
Investments (purchased options)	$	—	$	—	$	68,451		$	—		$	(167,082	)	$	—	$	(98,631	)
Forward Currency Contracts		—		—		353,330			—			—			—		353,330
Futures Contracts		—		—		—			(37,221	)		—			—		(37,221	)
Written Options		—		—		37,913			—			(173,212	)		—		(135,299	)
Swap Contracts		—		—		—			(237,392	)		—			—		(237,392	)
Total	$	—	$	—	$	459,694		$	(274,613	)	$	(340,294	)	$	—	$	(155,213	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	—	$	—	$	(116,669	)	$	—		$	152,548		$	—	$	35,879
Forward Currency Contracts		—		—		42,940			—			—			—		42,940
Futures Contracts		—		—		—			—			(7,240	)		—		(7,240	)
Written Options		—		—		(33,352	)		—			33,300			—		(52	)
Swap Contracts		—		—		—			(4,787	)		(162,923	)		—		(167,710	)
Total	$	—	$	—	$	(107,081	)	$	(4,787	)	$	15,685		$	—	$	(96,183	)
Core Plus Bond Fund
Assets:
Investments, at value (purchased options)	$	—	$	—	$	941,386		$	—		$	3,656,531		$	—	$	4,597,917
Unrealized Appreciation on Forward Currency Contracts		—		—		3,320,784			—			—			—		3,320,784
Unrealized Appreciation on Futures Contracts*		—		—		—			—			329			—		329
Unrealized Appreciation on Swap Contracts*		—		—		—			15,929			7,691,642			—		7,707,571
Total	$	—	$	—	$	4,262,170		$	15,929		$	11,348,502		$	—	$	15,626,601
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	4,262,170		$	15,929		$	11,348,502		$	—	$	15,626,601

167

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Credit Contracts		Equity Contracts		Foreign Currency Contracts			Inflation Contracts			Interest Rate Contracts			Other Contracts		Total
Core Plus Bond Fund (continued)
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	(2,663,594	)	$	—		$	—		$	—	$	(2,663,594	)
Unrealized Depreciation on Futures Contracts*		—		—		—			—			(7,881	)		—		(7,881	)
Written Options, at value		—		—		(552,884	)		—			(1,875,877	)		—		(2,428,761	)
Unrealized Depreciation on Swap Contracts*		—		—		—			(22,338	)		(7,690,439	)		—		(7,712,777	)
Total	$	—	$	—	$	(3,216,478	)	$	(22,338	)	$	(9,574,197	)	$	—	$	(12,813,013	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	(3,216,478	)	$	(22,338	)	$	(9,574,197	)	$	—	$	(12,813,013	)
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—	$	—	$	1,042,284		$	—		$	(2,161,613	)	$	—	$	(1,119,329	)
Forward Currency Contracts		—		—		(569,597	)		—			—			—		(569,597	)
Futures Contracts		—		—		—			—			(483,291	)		—		(483,291	)
Written Options		—		—		405,337			—			(1,006,647	)		—		(601,310	)
Swap Contracts		—		—		—			—			(5,294,113	)		—		(5,294,113	)
Total	$	—	$	—	$	878,024		$	—		$	(8,945,664	)	$	—	$	(8,067,640	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	—	$	—	$	1,482,885		$	—		$	(1,057,420	)	$	—	$	425,465
Forward Currency Contracts		—		—		(79,849	)		—			—			—		(79,849	)
Futures Contracts		—		—		—			—			(126,357	)		—		(126,357	)
Written Options		—		—		(317,272	)		—			170,689			—		(146,583	)
Swap Contracts		—		—		—			(4,190	)		1,835,043			—		1,830,853
Total	$	—	$	—	$	1,085,764		$	(4,190	)	$	821,955		$	—	$	1,903,529
Currency Hedged International Bond Fund
Assets:
Investments, at value (purchased options)	$	—	$	—	$	281,068		$	—		$	1,084,619		$	—	$	1,365,687
Unrealized Appreciation on Forward Currency Contracts		—		—		1,013,684			—			—			—		1,013,684
Unrealized Appreciation on Futures Contracts*		—		—		—			—			65,680			—		65,680
Unrealized Appreciation on Swap Contracts*		—		—		—			4,379			1,461,076			—		1,465,455
Total	$	—	$	—	$	1,294,752		$	4,379		$	2,611,375		$	—	$	3,910,506
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	1,294,752		$	4,379		$	2,611,375		$	—	$	3,910,506
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	(940,101	)	$	—		$	—		$	—	$	(940,101	)
Unrealized Depreciation on Futures Contracts*		—		—		—			—			(37,563	)		—		(37,563	)
Written Options, at value		—		—		(165,052	)		—			(556,366	)		—		(721,418	)
Unrealized Depreciation on Swap Contracts*		—		—		—			(6,184	)		(1,741,510	)		—		(1,747,694	)
Total	$	—	$	—	$	(1,105,153	)	$	(6,184	)	$	(2,335,439	)	$	—	$	(3,446,776	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	(1,105,153	)	$	(6,184	)	$	(2,335,439	)	$	—	$	(3,446,776	)

168

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Inflation Contracts			Interest Rate Contracts			Other Contracts		Total
Currency Hedged International Bond Fund (continued)
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—		$	—	$	307,179		$	—		$	(645,868	)	$	—	$	(338,689	)
Forward Currency Contracts		—			—		640,930			—			—			—		640,930
Futures Contracts		—			—		—			—			(589,916	)		—		(589,916	)
Written Options		—			—		119,856			—			(299,700	)		—		(179,844	)
Swap Contracts		—			—		—			—			123,698			—		123,698
Total	$	—		$	—	$	1,067,965		$	—		$	(1,411,786	)	$	—	$	(343,821	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	—		$	—	$	(314,105	)	$	—		$	439,262		$	—	$	125,157
Forward Currency Contracts		—			—		(862,262	)		—			—			—		(862,262	)
Futures Contracts		—			—		—			—			(154,120	)		—		(154,120	)
Written Options		—			—		(93,749	)		—			49,350			—		(44,399	)
Swap Contracts		—			—		—			(1,188	)		(1,005,272	)		—		(1,006,460	)
Total	$	—		$	—	$	(1,270,116	)	$	(1,188	)	$	(670,780	)	$	—	$	(1,942,084	)
Debt Opportunities Fund
Assets:
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—	$	13,891		$	—		$	—		$	—	$	13,891
Unrealized Appreciation on Swap Contracts*		5,989,814			—		—			—			805,138			—		6,794,952
Total	$	5,989,814		$	—	$	13,891		$	—		$	805,138		$	—	$	6,808,843
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	5,989,814		$	—	$	13,891		$	—		$	805,138		$	—	$	6,808,843
Liabilities:
Unrealized Depreciation on Swap Contracts*	$	(15,378,209	)	$	—	$	—		$	—		$	(412,495	)	$	—	$	(15,790,704	)
Total	$	(15,378,209	)	$	—	$	—		$	—		$	(412,495	)	$	—	$	(15,790,704	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	(15,378,209	)	$	—	$	—		$	—		$	(412,495	)	$	—	$	(15,790,704	)
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—		$	—	$	—		$	—		$	(32,012	)	$	—	$	(32,012	)
Forward Currency Contracts		—			—		24,260			—			—			—		24,260
Futures Contracts		—			—		—			—			(1,069,070	)		—		(1,069,070	)
Written Options		—			—		—			—			25,650			—		25,650
Swap Contracts		(81,859	)		—		—			—			(219,513	)		—		(301,372	)
Total	$	(81,859	)	$	—	$	24,260		$	—		$	(1,294,945	)	$	—	$	(1,352,544	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	—		$	—	$	—		$	—		$	130,238		$	—	$	130,238
Forward Currency Contracts		—			—		13,891			—			—			—		13,891
Futures Contracts		—			—		—			—			(218,726	)		—		(218,726	)
Swap Contracts		1,562,623			—		—			—			199,850			—		1,762,473
Total	$	1,562,623		$	—	$	13,891		$	—		$	111,362		$	—	$	1,687,876

169

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Inflation Contracts			Interest Rate Contracts			Other Contracts			Total
Emerging Country Debt Fund
Assets:
Investments, at value (rights and/or warrants)	$	—		$	—	$	—		$	—		$	—		$	32,906,248		$	32,906,248
Unrealized Appreciation on Swap Contracts*		47,198,953			—		—			—			826,455			—			48,025,408
Options		382,398			—		—			—			—			—			382,398
Total	$	47,581,351		$	—	$	—		$	—		$	826,455		$	32,906,248		$	81,314,054
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	32,906,248		$	32,906,248
Total subject to Master Agreements	$	47,581,351		$	—	$	—		$	—		$	826,455		$	—		$	48,407,806
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(766,167	)	$	—		$	—		$	—		$	(766,167	)
Unrealized Depreciation on Swap Contracts		(103,605,012	)		—		—			—			(2,317,506	)		—			(105,922,518	)
Options		(4,171,411	)		—		—			—			—			—			(4,171,411	)
Total	$	(107,776,423	)	$	—	$	(766,167	)	$	—		$	(2,317,506	)	$	—		$	(110,860,096	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—		$	—
Total subject to Master Agreements	$	(107,776,423	)	$	—	$	(766,167	)	$	—		$	(2,317,506	)	$	—		$	(110,860,096	)
Net Realized Gain (Loss) on:
Forward Currency Contracts	$	—		$	—	$	4,664,752		$	—		$	—		$	—		$	4,664,752
Swap Contracts		5,295,668			—		—			—			362,685			—			5,658,353
Total	$	5,295,668		$	—	$	4,664,752		$	—		$	362,685		$	—		$	10,323,105
Change in Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—		$	—	$	—		$	—		$	—		$	(11,051,605	)	$	(11,051,605	)
Forward Currency Contracts		—			—		(4,701,112	)		—			—			—			(4,701,112	)
Swap Contracts		(3,293,321	)		—		—			—			11,185,179			—			7,891,858
Options		(1,105,209	)		—		—			—			—			—			(1,105,209	)
Total	$	(4,398,530	)	$	—	$	(4,701,112	)	$	—		$	11,185,179		$	(11,051,605	)	$	(8,966,068	)
Global Bond Fund
Assets:
Investments, at value (purchased options)	$	—		$	—	$	182,738		$	—		$	704,519		$	—		$	887,257
Unrealized Appreciation on Forward Currency Contracts		—			—		941,111			—			—			—			941,111
Unrealized Appreciation on Futures Contracts*		—			—		—			—			72,683			—			72,683
Unrealized Appreciation on Swap Contracts*		—			—		—			2,988			946,240			—			949,228
Total	$	—		$	—	$	1,123,849		$	2,988		$	1,723,442		$	—		$	2,850,279
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—		$	—
Total subject to Master Agreements	$	—		$	—	$	1,123,849		$	2,988		$	1,723,442		$	—		$	2,850,279
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	(802,749	)	$	—		$	—		$	—		$	(802,749	)
Unrealized Depreciation on Futures Contracts*		—			—		—			—			(12,996	)		—			(12,996	)
Written Options, at value		—			—		(107,016	)		—			(362,179	)		—			(469,195	)
Unrealized Depreciation on Swap Contracts*		—			—		—			(3,797	)		(1,148,346	)		—			(1,152,143	)
Total	$	—		$	—	$	(909,765	)	$	(3,797	)	$	(1,523,521	)	$	—		$	(2,437,083	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—		$	—
Total subject to Master Agreements	$	—		$	—	$	(909,765	)	$	(3,797	)	$	(1,523,521	)	$	—		$	(2,437,083	)

170

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Credit Contracts		Equity Contracts		Foreign Currency Contracts			Inflation Contracts			Interest Rate Contracts			Other Contracts		Total
Global Bond Fund (continued)
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—	$	—	$	204,987		$	—		$	(417,584	)	$	—	$	(212,597	)
Forward Currency Contracts		—		—		(303,584	)		—			—			—		(303,584	)
Futures Contracts		—		—		—			—			(334,048	)		—		(334,048	)
Written Options		—		—		78,481			—			(194,583	)		—		(116,102	)
Swap Contracts		—		—		—			—			220,757			—		220,757
Total	$	—	$	—	$	(20,116	)	$	—		$	(725,458	)	$	—	$	(745,574	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	—	$	—	$	(206,060	)	$	—		$	286,248		$	—	$	80,188
Forward Currency Contracts		—		—		68,769			—			—			—		68,769
Futures Contracts		—		—		—			—			(1,727	)		—		(1,727	)
Written Options		—		—		(61,254	)		—			31,990			—		(29,264	)
Swap Contracts		—		—		—			(850	)		(800,699	)		—		(801,549	)
Total	$	—	$	—	$	(198,545	)	$	(850	)	$	(484,188	)	$	—	$	(683,583	)
International Bond Fund
Assets:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	761,727		$	—		$	—		$	—	$	761,727
Unrealized Appreciation on Futures Contracts*		—		—		—			—			15,991			—		15,991
Unrealized Appreciation on Swap Contracts*		—		—		—			—			2,648			—		2,648
Total	$	—	$	—	$	761,727		$	—		$	18,639		$	—	$	780,366
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	761,727		$	—		$	18,639		$	—	$	780,366
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	(657,190	)	$	—		$	—		$	—	$	(657,190	)
Unrealized Depreciation on Futures Contracts*		—		—		—			—			(6,386	)		—		(6,386	)
Unrealized Depreciation on Swap Contracts*		—		—		—			—			(6,783	)		—		(6,783	)
Total	$	—	$	—	$	(657,190	)	$	—		$	(13,169	)	$	—	$	(670,359	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	(657,190	)	$	—		$	(13,169	)	$	—	$	(670,359	)
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—	$	—	$	157,356		$	—		$	(93,051	)	$	—	$	64,305
Forward Currency Contracts		—		—		(433,252	)		—			—			—		(433,252	)
Futures Contracts		—		—		—			—			(212,356	)		—		(212,356	)
Written Options		—		—		13,789			—			(141,523	)		—		(127,734	)
Swap Contracts		—		—		—			97			(674,182	)		—		(674,085	)
Total	$	—	$	—	$	(262,107	)	$	97		$	(1,121,112	)	$	—	$	(1,383,122	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	—	$	—	$	(2,154	)	$	—		$	234,218		$	—	$	232,064
Forward Currency Contracts		—		—		54,157			—			—			—		54,157
Futures Contracts		—		—		—			—			(77,157	)		—		(77,157	)
Written options		—		—		(24,062	)		—			(44,698	)		—		(68,760	)
Swap Contracts		—		—		—			300			(378,079	)		—		(377,779	)
Total	$	—	$	—	$	27,941		$	300		$	(265,716	)	$	—	$	(237,475	)

171

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Credit Contracts		Equity Contracts		Foreign Currency Contracts			Inflation Contracts			Interest Rate Contracts			Other Contracts		Total
World Opportunity Overlay Fund
Assets:
Unrealized Appreciation on Swap Contracts*	$	—	$	—	$	—		$	164,190		$	1,917,208		$	—	$	2,081,398
Total	$	—	$	—	$	—		$	164,190		$	1,917,208		$	—	$	2,081,398
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	—		$	164,190		$	1,917,208		$	—	$	2,081,398
Liabilities:
Written Options, at value	$	—	$	—	$	—		$	—		$	(299,071	)	$	—	$	(299,071	)
Unrealized Depreciation on Swap Contracts*		—		—		—			(520,299	)		(3,250,895	)		—		(3,771,194	)
Total	$	—	$	—	$	—		$	(520,299	)	$	(3,549,966	)	$	—	$	(4,070,265	)
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	—		$	(520,299	)	$	(3,549,966	)	$	—	$	(4,070,265	)
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—	$	—	$	(1,356,350	)	$	—		$	(1,177,789	)	$	—	$	(2,534,139	)
Written Options		—		—		—			—			(649,885	)		—		(649,885	)
Swap Contracts		—		—		—			—			(783,847	)		—		(783,847	)
Total	$	—	$	—	$	(1,356,350	)	$	—		$	(2,611,521	)	$	—	$	(3,967,871	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	—	$	—	$	—		$	—		$	2,790,085		$	—	$	2,790,085
Written Options		—		—		—			—			23,767			—		23,767
Swap Contracts		—		—		—			(237,688	)		2,082,863			—		1,845,175
Total	$	—	$	—	$	—		$	(237,688	)	$	4,896,715		$	—	$	4,659,027

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

* The table includes cumulative appreciation/depreciation of futures and cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

** Risk is the correlation between equity risk and foreign currency risk.

The Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investment and other risks” above.

For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and

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Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2015, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2015:

Asset Allocation Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	204,782	$	(177,000	)	$	—		$	27,782
Barclays Bank plc		7,411,002		(6,690,000	)		—			721,002
Deutsche Bank AG		8,948,344		(1,160,000	)		(5,452,379	)		2,335,965
Goldman Sachs International		283,979,408		(97,700,000	)		(165,366,177	)		20,913,231
JPMorgan Chase Bank, N.A.		181,938,061		(29,720,000	)		(121,286,987	)		30,931,074
Morgan Stanley & Co. International PLC		109,273,142		(27,098,000	)		(61,235,872	)		20,939,270
Total	$	591,754,739	$	(162,545,000	)	$	(353,341,415	)	$	75,868,324
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Deutsche Bank AG	$	5,452,379	$	—		$	5,452,379		$	—
Goldman Sachs International		165,366,177		—			165,366,177			—
JPMorgan Chase Bank, N.A.		121,286,987		—			121,286,987			—
Morgan Stanley & Co. International PLC		61,235,872		—			61,235,872			—
Total	$	353,341,415	$	—		$	353,341,415		$	—

Benchmark-Free Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank plc	$	13,341	$	—	$	—		$	13,341
Deutsche Bank AG		454		—		454			—
Goldman Sachs International		354,519		—		(214,737	)		139,782
JPMorgan Chase Bank, N.A.		293,189		—		(174,882	)		118,307
Morgan Stanley & Co. International PLC		160,600		—		(80,790	)		79,810
Total	$	822,103	$	—	$	(469,955	)	$	351,240
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	93	$	—	$	—		$	93
Deutsche Bank AG		674		—		(454	)		220
Goldman Sachs International		214,737		—		214,737			—
JPMorgan Chase Bank, N.A.		174,882		—		174,882			—
Morgan Stanley & Co. International PLC		80,790		—		80,790			—
Total	$	471,176	$	—	$	469,955		$	313

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Core Plus Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank plc	$	199,155	$	—		$	199,155		$	—
Deutsche Bank AG		127,515		—			127,515			—
Goldman Sachs International		4,381,154		(601,357	)		(2,998,755	)		781,042
JPMorgan Chase Bank, N.A.		2,555,866		—			(1,808,553	)		747,313
Morgan Stanley & Co. International PLC		1,248,463		—			(654,070	)		594,393
Total	$	8,512,153	$	(601,357	)	$	(5,134,708	)	$	2,122,748
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	2,547	$	—		$	—		$	2,547
Barclays Bank PLC		407,322		—			(199,155	)		208,167
Deutsche Bank AG		133,270		—			(127,515	)		5,755
Goldman Sachs International		2,998,755		—			2,998,755			—
JPMorgan Chase Bank, N.A.		1,808,553		—			1,808,553			—
Morgan Stanley & Co. International PLC		654,070		—			654,070			—
Total	$	6,004,517	$	—		$	5,134,708		$	216,469

Currency Hedged International Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	1,514	$	—	$	1,514		$	—
Barclays Bank plc		55,382		—		—			55,382
Deutsche Bank AG		187,958		—		(71,537	)		116,421
Goldman Sachs International		1,211,091		—		(962,344	)		248,747
JPMorgan Chase Bank, N.A.		728,651		—		(535,828	)		192,823
Morgan Stanley & Co. International PLC		367,992		—		(210,988	)		157,004
Total	$	2,552,588	$	—	$	(1,779,183	)	$	770,377
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	14,495	$	—	$	(1,514	)	$	12,981
Deutsche Bank AG		71,537		—		71,537			—
Goldman Sachs International		962,344		—		962,344			—
JPMorgan Chase Bank, N.A.		535,828		—		535,828			—
Morgan Stanley & Co. International PLC		210,988		—		210,988			—
Total	$	1,795,192	$	—	$	1,779,183		$	12,981

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August 31, 2015 (Unaudited)

Debt Opportunities Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	366,614	$	—		$	—		$	366,614
Credit Suisse International		1,442,544		—			1,442,544			—
Deutsche Bank AG		729,222		—			729,222			—
Goldman Sachs International		755,444		(425,873	)		(329,571	)		—	*
JPMorgan Chase Bank, N.A.		685,571		(382,366	)		(303,205	)		—	*
Morgan Stanley & Co. International PLC		2,024,310		—			2,024,310			—
Total	$	6,003,705	$	(808,239	)	$	3,563,300		$	366,614
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Credit Suisse International	$	3,594,636	$	(1,089,489	)	$	(1,442,544	)	$	1,062,603
Deutsche Bank AG		2,228,333		(1,408,339	)		(729,222	)		90,772
Goldman Sachs International		329,571		—			329,571			—
JPMorgan Chase Bank, N.A.		303,205		—			303,205			—
Morgan Stanley & Co. International PLC		8,922,464		(6,796,811	)		(2,024,310	)		101,343
Total	$	15,378,209	$	(9,294,639	)	$	(3,563,300	)	$	1,254,718

Emerging Country Debt Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Citibank N.A.	$	656,262	$	(81,642	)	$	(574,620	)	$	—	*
Deutsche Bank AG		38,669,746		—			38,669,746			—
Goldman Sachs International		2,409,491		—			2,409,491			—
JPMorgan Chase Bank, N.A.		5,845,852		—			5,845,852			—
Total	$	47,581,351	$	(81,642	)	$	46,350,469		$	—
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	81,864	$	(81,864	)	$	—		$	—	*
Barclays Bank plc		568,328		(468,555	)		—			99,773
Citibank N.A.		574,620		—			574,620			—
Deutsche Bank AG		56,323,024		(17,653,278	)		(38,669,746	)		—	*
Goldman Sachs International		9,529,258		(7,119,767	)		(2,409,491	)		—	*
JPMorgan Chase Bank, N.A.		43,678,524		(37,832,672	)		(5,845,852	)		—	*
Morgan Stanley & Co. International PLC		104,478		(100,953	)		—			3,525
Total	$	110,860,096	$	(63,257,089	)	$	(46,350,469	)	$	103,298

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August 31, 2015 (Unaudited)

Global Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	2,468	$	—		$	—		$	2,468
Barclays Bank plc		255,665		—			(159,169	)		96,496
Deutsche Bank AG		30,224		—			(19,753	)		10,471
Goldman Sachs International		968,672		(114,441	)		(660,878	)		193,353
JPMorgan Chase Bank, N.A.		435,708		—			(352,642	)		83,066
Morgan Stanley & Co. International PLC		240,543		—			(160,623	)		79,920
Total	$	1,933,280	$	(114,441	)	$	(1,353,065	)	$	465,774
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank plc	$	159,169	$	—		$	159,169		$	—
Deutsche Bank AG		19,753		—			19,753			—
Goldman Sachs International		660,878		—			660,878			—
JPMorgan Chase Bank, N.A.		352,642		—			352,642			—
Morgan Stanley & Co. International PLC		160,623		—			160,623			—
Total	$	1,353,065	$	—		$	1,353,065		$	—

International Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	2,372	$	—	$	—		$	2,372
Barclays Bank plc		136,717		—		(90,893	)		45,824
Deutsche Bank AG		10,281		—		(9,259	)		1,022
Goldman Sachs International		326,334		—		(291,667	)		34,667
JPMorgan Chase Bank, N.A.		282,995		—		(242,367	)		40,628
Morgan Stanley & Co. International PLC		3,028		—		3,028			—
Total	$	761,727	$	—	$	(631,158	)	$	124,513
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank plc	$	90,893	$	—	$	90,893		$	—
Deutsche Bank AG		9,259		—		9,259			—
Goldman Sachs International		291,667		—		291,667			—
JPMorgan Chase Bank, N.A.		242,367		—		242,367			—
Morgan Stanley & Co. International PLC		23,004		—		(3,028	)		19,976
Total	$	657,190	$	—	$	631,158		$	19,976

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World Opportunity Overlay Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Goldman Sachs International	$	164,190	$	—		$	164,190		$	—
Total	$	164,190	$	—		$	164,190		$	—
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Goldman Sachs International	$	819,370	$	(95,000	)	$	(164,190	)	$	560,180
Total	$	819,370	$	(95,000	)	$	(164,190	)	$	560,180

* In some instances, the actual collateral received and/or pledged may be more than the amount shown.

The average derivative activity of notional amounts (forward currency contracts, futures contracts, swap contracts), market values (rights and/or warrants), and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2015.

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options (Principal)		Options (Contracts)		Rights and/or Warrants ($)
Asset Allocation Bond Fund		15,867,811,791		413,322,912		48,499,288,429		25,230,340,915		178,200		—
Benchmark-Free Bond Fund		20,060,406		389,776		64,550,037		32,872,291		—		—
Core Plus Bond Fund		236,318,909		11,915,497		1,233,983,285		355,343,753		—		—
Currency Hedged International Bond Fund		124,743,731		21,644,508		278,494,004		105,820,871		—		—
Debt Opportunities Fund		914,122		21,155,947		811,769,187		24,148,333		—		—
Emerging Country Debt Fund		217,869,628		—		1,624,280,702		390,000,000		—		35,189,532
Global Bond Fund		77,065,470		21,841,237		183,637,136		68,922,995		—		—
International Bond Fund		71,201,657		8,632,745		90,370,166		37,794,824		—		—
World Opportunity Overlay Fund		—		—		135,786,778		26,106,627		—		—

177

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund except World Opportunity Overlay Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Asset Allocation Bond Fund	Benchmark-Free Bond Fund	Core Plus Bond Fund	Currency Hedged International Bond Fund	Debt Opportunities Fund	Emerging Country Debt Fund	Global Bond Fund	International Bond Fund	U.S. Treasury Fund	World Opportunity Overlay Fund
Management Fee	0.25%	0.50%	0.25%	0.25%	0.25%	0.35%	0.19%	0.25%*	0.08% (currently 0.08% waived)	—

* Effective August 28, 2015, GMO has voluntarily agreed to waive 0.10% of the Fund’s management fee.

In addition for certain Funds, each class of shares pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

Fund Name	Class III			Class IV			Class V		Class VI
Asset Allocation Bond Fund		0.15%								0.055%
Benchmark-Free Bond Fund		0.15%			0.10%	*		0.085%*		0.055%	*
Core Plus Bond Fund		0.15%			0.10%
Currency Hedged International Bond Fund		0.15%
Debt Opportunities Fund		0.15%	*							0.055%
Emerging Country Debt Fund		0.15%			0.10%
Global Bond Fund		0.15%
International Bond Fund		0.15%

* Class is offered but has no shareholders as of August 31, 2015.

For each Fund other than Global Bond Fund, Benchmark-Free Bond Fund and Emerging Country Debt Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. For Global Bond Fund and Benchmark-Free Bond Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceed 0.06% and 0.05%, respectively, of the Fund’s average daily net assets.

“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

For each Fund that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

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August 31, 2015 (Unaudited)

For each Fund that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

These contractual waivers and reimbursements will continue through at least June 30, 2016 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplement support agreement.

In addition to the contractual waivers and reimbursements described above, GMO has voluntarily agreed to waive U.S. Treasury Fund’s entire management fee. GMO may change or terminate this waiver at any time.

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2015 is shown in the table below and included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Asset Allocation Bond Fund		28,152		3,128
Benchmark-Free Bond Fund		43		5
Core Plus Bond Fund		1,288		184
Currency Hedged International Bond Fund		368		—
Debt Opportunities Fund		10,120		1,104
Emerging Country Debt Fund		21,896		2,392
Global Bond Fund		184		—
International Bond Fund		184		—
U.S. Treasury Fund		13,702		1,472
World Opportunity Overlay Fund		920		184

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2015, these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense		Total Indirect Expense
Asset Allocation Bond Fund		<0.001%		0.000%		0.000%		<0.001%
Benchmark-Free Bond Fund		0.077%		0.019%		0.000%		0.096%
Core Plus Bond Fund		0.046%		0.010%		0.000%		0.056%
Currency Hedged International Bond Fund		0.032%		0.007%		0.000%		0.039%
Debt Opportunities Fund		<0.001%		0.000%		0.000%		<0.001%
Emerging Country Debt Fund		0.001%		<0.001%		0.000%		0.001%
Global Bond Fund		0.034%		0.008%		0.000%		0.042%
International Bond Fund		0.024%		0.005%		0.000%		0.029%
U.S. Treasury Fund		0.000%		0.000%		0.000%		0.000%
World Opportunity Overlay Fund		0.000%		0.000%		0.000%		0.000%

179

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2015 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Asset Allocation Bond Fund		898,208,187		2,022,694,799		434,658,882		2,020,128,313
Benchmark-Free Bond Fund		—		1,438,719		—		998,417
Core Plus Bond Fund		—		113,500,958		—		25,316,543
Currency Hedged International Bond Fund		—		31,084,796		—		28,218,267
Debt Opportunities Fund		—		474,161,451		—		345,666,315
Emerging Country Debt Fund		81,037,500		635,712,645		—		354,441,769
Global Bond Fund		—		16,129,381		—		17,177,076
International Bond Fund		—		16,083,007		—		49,440,910
U.S. Treasury Fund		—		—		—		—
World Opportunity Overlay Fund		—		—		11,893,750		7,107,693

7. Guarantees

In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

8. Principal shareholders and related parties as of August 31, 2015

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater  than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers			Percentage of the Fund’s shares held by accounts for which GMO  has investment discretion
Asset Allocation Bond Fund		2	*		69.69%		—			99.99	%
Benchmark-Free Bond Fund		2			90.45%		35.32	%		—
Core Plus Bond Fund		4			87.45%		<0.01	%		19.97	%
Currency Hedged International Bond Fund		1			93.71%		—			93.71	%
Debt Opportunities Fund		3	**		74.78%		1.47	%		97.46	%
Emerging Country Debt Fund		1	*		23.80%		0.05	%		48.65	%
Global Bond Fund		3			72.86%		—			—
International Bond Fund		2			81.74%		8.38	%		—
U.S. Treasury Fund		3	**		51.11%		0.09	%		97.18	%
World Opportunity Overlay Fund		3	**		94.06%		—			100.00	%

* One of the shareholders is another fund of the Trust.

** Two of the shareholders are other funds of the Trust.

180

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

9. Share transactions

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:

	Six Months Ended August 31, 2015 (Unaudited)						Year Ended February 28, 2015
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		1,251,277		$	31,244,990			13,170,551		$	338,623,932
Shares issued to shareholders in reinvestment of distributions		1,170,894			26,485,630			430,983			10,758,399
Shares repurchased		(3,033,724	)		(70,904,356	)		(8,209,233	)		(207,521,005	)
Net increase (decrease)		(611,553	)	$	(13,173,736	)		5,392,301		$	141,861,326
Class VI:
Shares sold		10,978,161		$	274,553,203			98,229,989		$	2,487,032,010
Shares issued to shareholders in reinvestment of distributions		12,325,878			279,304,399			8,235,829			205,835,539
Shares repurchased		(102,858,482	)		(2,343,621,459	)		(46,050,450	)		(1,180,905,031	)
Net increase (decrease)		(79,554,443	)	$	(1,789,763,857	)		60,415,368		$	1,511,962,518
Benchmark-Free Bond Fund
Class III:
Shares sold		3,426		$	88,760			357,231		$	8,934,767
Shares issued to shareholders in reinvestment of distributions		13,296			307,407			1,604			40,022
Shares repurchased		(6,977	)		(160,779	)		—			—
Net increase (decrease)		9,745		$	235,388			358,835		$	8,974,789
Core Plus Bond Fund
Class III:
Shares sold		876,814		$	6,602,413			4,130		$	32,050
Shares issued to shareholders in reinvestment of distributions		50,178			359,773			4,151			31,555
Shares repurchased		(86,867	)		(630,868	)		—			—
Net increase (decrease)		840,125		$	6,331,318			8,281		$	63,605
Class IV:
Shares sold		4,911,976		$	35,366,229			258,846		$	1,985,944
Shares issued to shareholders in reinvestment of distributions		1,276,672			9,179,274			1,033,506			7,877,190
Shares repurchased		(198,332	)		(1,420,402	)		(2,534,324	)		(19,411,215	)
Net increase (decrease)		5,990,316		$	43,125,101			(1,241,972	)	$	(9,548,081	)
Currency Hedged International Bond Fund
Class III:
Shares sold		51,246		$	473,000			—		$	—
Shares issued to shareholders in reinvestment of distributions		686,182			5,839,410			348,240			3,297,830
Shares repurchased		(2,564	)		(23,073	)		(1,153,526	)		(11,201,517	)
Net increase (decrease)		734,864		$	6,289,337			(805,286	)	$	(7,903,687	)

181

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Six Months Ended August 31, 2015 (Unaudited)						Year Ended February 28, 2015
	Shares			Amount			Shares			Amount
Debt Opportunities Fund
Class VI:
Shares sold		2,537,220	(a)	$	63,087,224	(a)		20,066,816	*	$	494,690,857
Shares issued to shareholders in reinvestment of distributions		414,332			10,283,723			1,104,851	*		27,256,663
Shares repurchased		(4,727,109	)(a)		(117,638,522	)(a)		(36,128,288	)*		(893,753,236	)
Purchase premium fees		—			18,574			—			239,334
Redemption fees		—			217,597			—			1,831,767
Net increase (decrease)		(1,775,557	)	$	(44,031,404	)		(14,956,621	)*	$	(369,734,615	)
Emerging Country Debt Fund
Class III:
Shares sold		19,482,493	(b)	$	184,609,555	(b)		50,562,907		$	496,774,141
Shares issued to shareholders in reinvestment of distributions		1,851,497			17,052,292			6,428,017			61,281,242
Shares repurchased		(4,061,749	)(b)		(38,136,749	)(b)		(37,995,031	)		(358,260,256	)
Purchase premiums		—			222,224			—			1,264,288
Redemption fees		—			216,956			—			335,268
Net increase (decrease)		17,272,241		$	163,964,278			18,995,893		$	201,394,683
Class IV:
Shares sold		7,690,541		$	72,358,415			114,608,649		$	1,099,102,833
Shares issued to shareholders in reinvestment of distributions		6,798,311			62,544,464			19,070,371			182,563,376
Shares repurchased		(24,811,617	)		(228,211,290	)		(42,205,751	)		(426,135,712	)
Purchase premiums		—			866,664			—			4,332,961
Redemption fees		—			803,412			—			1,152,239
Net increase (decrease)		(10,322,765	)	$	(91,638,335	)		91,473,269		$	861,015,697
Global Bond Fund
Class III:
Shares sold		269,525		$	2,266,471			382,667		$	3,312,777
Shares issued to shareholders in reinvestment of distributions		—			—			15,270			134,377
Shares repurchased		(997,653	)		(8,397,673	)		(11,410,003	)		(100,459,483	)
Net increase (decrease)		(728,128	)	$	(6,131,202	)		(11,012,066	)	$	(97,012,329	)
International Bond Fund
Class III:
Shares sold		—		$	—			6,801		$	47,558
Shares repurchased		(5,453,053	)		(35,987,570	)		(2,100,054	)		(15,651,518	)
Net increase (decrease)		(5,453,053	)	$	(35,987,570	)		(2,093,253	)	$	(15,603,960	)
U.S. Treasury Fund
Core Class:
Shares sold		363,885,943		$	9,097,148,567			435,438,373		$	10,885,959,327
Shares issued to shareholders in reinvestment of distributions		40,827			1,020,688			38,453			961,343
Shares repurchased		(300,904,470	)		(7,522,611,760	)		(422,115,942	)		(10,552,898,555	)
Net increase (decrease)		63,022,300		$	1,575,557,495			13,360,884		$	334,022,115
World Opportunity Overlay Fund
Core Class:
Shares repurchased		(2,556,944	)	$	(38,778,550	)		(13,894,596	)	$	(376,185,803	)
Net increase (decrease)		(2,556,944	)	$	(38,778,550	)		(13,894,596	)	$	(376,185,803	)

^(a)  907,139 shares and $22,542,400 were purchased in-kind and redeemed in-kind.

^(b)  2,832,882 shares and $26,147,504 were purchased in-kind and redeemed in-kind.

* Shares were adjusted to reflect a 1:7 reverse stock split effective May 15, 2014.

182

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

10. Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the period ended August 31, 2015 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital		Value, end of period
Asset Allocation Bond Fund
GMO U.S. Treasury Fund	$	205,200,022	$	1,003,139,378	$	1,130,000,000	$	125,194	$	14,185	$	—	$	78,339,401
Benchmark-Free Bond Fund
GMO Debt Opportunities Fund, Class VI	$	479,137	$	2,875	$	—	$	2,875	$	—	$	—	$	482,787
GMO Emerging Country Debt Fund, Class IV		1,421,742		31,719		—		31,719		—		—		1,396,127
Totals	$	1,900,879	$	34,594	$	—	$	34,594	$	—	$	—	$	1,878,914
Core Plus Bond Fund
GMO Debt Opportunities Fund, Class VI	$	23,095,439	$	4,208,263	$	—	$	138,573	$	—	$	—	$	27,320,749
GMO Emerging Country Debt Fund, Class IV		11,151,254		2,857,898		—		248,786		—		—		13,523,112
GMO U.S. Treasury Fund		23,331,920		88,981,001		9,000,000		22,837		1,802		—		103,312,921
GMO World Opportunity Overlay Fund		46,286,352		—		3,706,664		—		—		18,516,379		24,575,000
Totals	$	103,864,965	$	96,047,162	$	12,706,664	$	410,196	$	1,802	$	18,516,379	$	168,731,782
Currency Hedged International Bond Fund
GMO Debt Opportunities Fund, Class VI	$	3,276,775	$	—	$	500,000	$	16,651	$	—	$	—	$	2,779,648
GMO Emerging Country Debt Fund, Class IV		3,308,535		—		—		73,813		—		—		3,175,914
GMO U.S. Treasury Fund		107,222		19,400,000		11,707,222		2,477		221		—		7,800,000
GMO World Opportunity Overlay Fund		13,783,104		—		1,044,486		—		—		5,513,789		7,378,916
Totals	$	20,475,636	$	19,400,000	$	13,251,708	$	92,941	$	221	$	5,513,789	$	21,134,478
Debt Opportunities Fund
GMO U.S. Treasury Fund	$	44,831,828	$	40,000,000	$	—	$	25,012	$	2,715	$	—	$	84,831,828
Emerging Country Debt Fund
GMO Debt Opportunities Fund, Class VI	$	14,086,690	$	—	$	—	$	84,520	$	—	$	—	$	14,109,411
GMO U.S. Treasury Fund		36,008,143		40,000,000		14,000,000		22,515		2,432		—		62,008,142
GMO World Opportunity Overlay Fund		38,643,941		—		22,898,430		—		—		15,459,111		—
Totals	$	88,738,774	$	40,000,000	$	36,898,430	$	107,035	$	2,432	$	15,459,111	$	76,117,553
Global Bond Fund
GMO Debt Opportunities Fund, Class VI	$	1,946,091	$	—	$	—	$	11,677	$	—	$	—	$	1,949,230
GMO Emerging Country Debt Fund, Class IV		2,070,417		—		—		46,191		—		—		1,987,426
GMO U.S. Treasury Fund		1,426,178		11,410,000		9,841,178		970		85		—		2,995,000
GMO World Opportunity Overlay Fund		9,174,842		—		1,401,743		—		—		3,670,301		4,184,917
Totals	$	14,617,528	$	11,410,000	$	11,242,921	$	58,838	$	85	$	3,670,301	$	11,116,573

183

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
International Bond Fund
GMO Debt Opportunities Fund, Class VI	$	1,499,425	$	—	$	1,503,338	$	—	$	—	$	—	$	—
GMO Emerging Country Debt Fund, Class IV		1,863,627		—		1,885,562		—		—		—		—
GMO U.S. Treasury Fund		1,013,594		12,064,000		12,407,594		459		—		—		670,000
GMO World Opportunity Overlay Fund		8,660,765		—		5,211,893		—		—		3,464,650		—
Totals	$	13,037,411	$	12,064,000	$	21,008,387	$	459	$	—	$	3,464,650	$	670,000

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2015 through August 31, 2015. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2016.

11. Subsequent events

The Board of Trustees of GMO Trust approved the termination of GMO International Bond Fund and the Fund liquidated on September 30, 2015.

184

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2015 (Unaudited)

GMO Asset Allocation Bond Fund

Approval of renewal of management agreement for GMO Asset Allocation Bond Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

185

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Benchmark-Free Bond Fund

Approval of renewal of management agreement for GMO Benchmark-Free Bond Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

186

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Core Plus Bond Fund

Approval of renewal of management agreement for GMO Core Plus Bond Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members

187

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Currency Hedged International Bond Fund

Approval of renewal of management agreement for GMO Currency Hedged International Bond Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

188

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Debt Opportunities Fund

Approval of renewal of management agreement for GMO Debt Opportunities Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members

189

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Emerging Country Debt Fund

Approval of renewal of management agreement for GMO Emerging Country Debt Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.

190

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Bond Fund

Approval of renewal of management agreement for GMO Global Bond Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in

191

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO International Bond Fund

Approval of renewal of management agreement for GMO International Bond Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder

192

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO U.S. Treasury Fund

Approval of renewal of management agreement for GMO U.S. Treasury Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management agreement. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees

193

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO World Opportunity Overlay Fund

Approval of renewal of management agreement for GMO World Opportunity Overlay Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management agreement or any shareholder servicing and supplemental support agreement.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the

194

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the nature, extent and quality of services expected to be provided supported the approval of the agreement.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

195

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2015 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2015.

As a shareholder of the Funds, you may in incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2015 through August 31, 2015.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value March 1, 2015		Ending Account Value August 31, 2015		Expenses Paid* During the Period		Beginning Account Value March 1, 2015		Ending Account Value August 31, 2015		Expenses Paid* During the Period		Annualized Expense Ratio
GMO Asset Allocation Bond Fund
Class III		$1,000.00		$913.00		$2.07		$1,000.00		$1,022.97		$2.19		0.43%
Class VI		$1,000.00		$913.50		$1.59		$1,000.00		$1,023.48		$1.68		0.33%
GMO Benchmark-Free Bond Fund
Class III		$1,000.00		$924.70		$4.02		$1,000.00		$1,020.96		$4.22		0.83%
GMO Core Plus Bond Fund
Class III		$1,000.00		$962.00		$2.12		$1,000.00		$1,022.98		$2.19		0.43%
Class IV		$1,000.00		$962.30		$1.87		$1,000.00		$1,023.23		$1.93		0.38%
GMO Currency Hedged International Bond Fund
Class III		$1,000.00		$952.80		$2.11		$1,000.00		$1,022.97		$2.19		0.43%
GMO Debt Opportunities Fund
Class VI		$1,000.00		$1,007.60		$1.56		$1,000.00		$1,023.58		$1.58		0.31%
GMO Emerging Country Debt Fund
Class III		$1,000.00		$981.80		$2.65		$1,000.00		$1,022.46		$2.70		0.53%
Class IV		$1,000.00		$982.00		$2.40		$1,000.00		$1,022.72		$2.45		0.48%
GMO Global Bond Fund
Class III		$1,000.00		$961.90		$2.12		$1,000.00		$1,022.98		$2.19		0.43%
GMO International Bond Fund
Class III		$1,000.00		$941.00		$2.20		$1,000.00		$1,022.87		$2.29		0.45%
GMO U.S. Treasury Fund
Core Shares		$1,000.00		$1,000.40		$0.00		$1,000.00		$1,025.14		$0.00		0.00%
GMO World Opportunity Overlay Fund
Core Shares		$1,000.00		$1,023.30		$0.15		$1,000.00		$1,024.99		$0.15		0.03%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2015, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

196

GMO Trust

Semiannual Report

August 31, 2015

Foreign Fund

Foreign Small Companies Fund

Global Focused Equity Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market-risk equities, management and operational risk, non-U.S. investment risk, smaller company risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Foreign Fund
Investment Concentration Summary	1
Schedule of Investments	2
Foreign Small Companies Fund
Investment Concentration Summary	4
Schedule of Investments	5
Global Focused Equity Fund
Investment Concentration Summary	8
Schedule of Investments	9
Portfolio, Counterparty and Currency Abbreviations	11
Fund Financial Statements:
Statements of Assets and Liabilities	12
Statements of Operations	14
Statements of Changes in Net Assets	15
Financial Highlights	17
Notes to Financial Statements	20
Board Review of Management Agreements	46
Fund Expenses	49

GMO Foreign Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		102.9	%
Mutual Funds		2.9
Short-Term Investments		0.5
Preferred Stocks		0.3
Forward Currency Contracts		(0.0	)^
Other		(6.6	)
		100.0	%
Country Summary**	% of Investments
Japan		22.3	%
United Kingdom		22.0
France		13.4
Switzerland		9.4
Italy		6.7
Germany		6.6
Australia		2.8
South Korea		2.2
Other Developed***		2.2
Spain		2.1
Sweden		1.8
Netherlands		1.5
Belgium		1.4
Hong Kong		1.4
China		1.3
Taiwan		1.2
Mexico		1.0
Other Emerging****		0.7
		100.0	%
Industry Group Summary	% of Equity Investments*****
Banks		16.1	%
Telecommunication Services		12.5
Pharmaceuticals, Biotechnology & Life Sciences		9.1
Insurance		8.1
Technology Hardware & Equipment		5.9
Capital Goods		5.5
Utilities		5.2
Automobiles & Components		5.1
Food, Beverage & Tobacco		4.9
Diversified Financials		4.9
Real Estate		3.5
Energy		3.5
Media		3.0
Retailing		2.8
Transportation		2.1
Consumer Durables & Apparel		1.5
Software & Services		1.5
Semiconductors & Semiconductor Equipment		1.2
Commercial & Professional Services		1.1
Materials		1.0
Consumer Services		0.8
Household & Personal Products		0.7
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

*** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Investments.

**** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Investments.

***** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

1

GMO Foreign Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 102.9%
		Australia — 2.9%
	513,363	Asciano Group		3,097,565
	986,979	Scentre Group (REIT)		2,673,444
		Total Australia		5,771,009
		Belgium — 1.4%
	26,342	Anheuser-Busch InBev NV		2,873,088
		China — 1.4%
	231,142	China Mobile Ltd		2,829,052
		Finland — 0.8%
	267,830	Nokia Oyj		1,680,357
		France — 13.8%
	37,008	Accor SA		1,752,314
	727,264	Alcatel-Lucent *		2,437,039
	58,647	Altran Technologies SA		656,023
	30,523	Arkema SA		2,150,142
	31,874	AtoS SE		2,414,644
	47,446	BNP Paribas		2,988,652
	76,355	Cie de Saint-Gobain		3,504,464
	21,993	Cie Generale des Etablissements Michelin – Class B		2,123,646
	26,065	Nexity SA		1,164,516
	115,254	Peugeot SA *		1,981,434
	60,208	SCOR SE		2,119,192
	84,948	Technicolor SA (Registered)		629,523
	32,566	Technip SA		1,773,203
	31,202	Teleperformance		2,193,578
		Total France		27,888,370
		Germany — 6.8%
	30,744	Allianz SE (Registered)		4,898,531
	215,187	Deutsche Telekom AG (Registered)		3,670,775
	253,200	E.ON AG		2,861,373
	4,059	Software AG		111,877
	229,922	Telefonica Deutschland Holding AG		1,393,918
	18,321	Wincor Nixdorf AG		777,604
		Total Germany		13,714,078
		Hong Kong — 1.5%
	100,572	CK Hutchison Holdings Ltd		1,338,238
	195,488	Power Assets Holdings Ltd		1,684,004
		Total Hong Kong		3,022,242
		India — 0.7%
	161,554	ICICI Bank Ltd Sponsored ADR		1,408,751

Shares		Description	Value ($)
		Israel — 0.9%
	366,200	Bank Hapoalim BM		1,857,309
		Italy — 6.9%
	129,705	Assicurazioni Generali SPA		2,372,215
	2,174,114	Banca Popolare di Milano Scarl		2,297,900
	141,720	ENI SPA		2,339,221
	707,071	Mediaset SPA		3,379,992
	2,894,891	Telecom Italia SPA *		3,513,355
		Total Italy		13,902,683
		Japan — 23.0%
	903,915	Aozora Bank Ltd		3,299,977
	53,163	Bridgestone Corp		1,777,644
	90,883	Brother Industries Ltd		1,236,150
	12,836	Daito Trust Construction Co Ltd		1,402,146
	387,532	Hitachi Ltd		2,172,888
	184,078	Isuzu Motors Ltd		2,085,264
	63,540	K’s Holdings Corp		2,024,364
	148,669	KDDI Corp.		3,689,054
	1,285,644	Mitsubishi UFJ Financial Group Inc		8,480,340
	167,849	Nippon Telegraph & Telephone Corp		6,402,123
	443,105	Nippon Electric Glass Co Ltd		1,951,625
	393,237	Resona Holdings Inc		1,982,034
	202,078	Sumitomo Mitsui Financial Group Inc		8,248,110
	45,638	Tokio Marine Holdings Inc		1,826,934
		Total Japan		46,578,653
		Mexico — 1.1%
	693,732	Mexico Real Estate Management SA de CV *		946,692
	617,642	PLA Administradora Industrial S de RL de CV *		1,168,169
		Total Mexico		2,114,861
		Netherlands — 1.5%
	199,609	ING Groep NV		3,058,496
		Portugal — 0.5%
	100,760	Galp Energia SGPS SA		1,063,139
		South Korea — 2.0%
	17,122	Hyundai Motor Co		2,154,866
	2,127	Samsung Electronics Co Ltd		1,957,207
		Total South Korea		4,112,073
		Spain — 2.2%
	112,529	Endesa SA		2,324,610
	301,595	Iberdrola SA		2,039,415
		Total Spain		4,364,025

2 See accompanying notes to the financial statements.

GMO Foreign Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Sweden — 1.9%
	68,144	Investor AB – B Shares		2,449,583
	48,544	Svenska Cellulosa AB – Class B		1,380,707
		Total Sweden		3,830,290
		Switzerland — 9.7%
	11,638	Baloise Holding AG (Registered)		1,423,312
	45,775	Credit Suisse Group AG (Registered) *		1,232,148
	34,000	Roche Holding AG (Non Voting)		9,255,631
	166,806	UBS Group AG		3,450,489
	15,604	Zurich Insurance Group AG *		4,284,288
		Total Switzerland		19,645,868
		Taiwan — 1.2%
	636,379	Taiwan Semiconductor Manufacturing Co Ltd		2,476,029
		United Kingdom — 22.7%
	157,139	AstraZeneca Plc		9,803,764
	35,306	Berkeley Group Holdings Plc (Unit Shares)		1,810,423
	62,334	British American Tobacco Plc		3,300,738
	52,622	Euromoney Institutional Investor Plc		813,130
	320,493	Howden Joinery Group Plc		2,350,703
	84,659	Imperial Tobacco Group Plc		4,074,970
	131,439	Inchcape Plc		1,462,936
	164,957	Informa Plc		1,455,072
	208,487	John Wood Group Plc		2,031,160
	629,880	Melrose Industries Plc		2,560,503
	142,414	National Grid Plc		1,876,395
	181,783	Royal Mail Plc		1,285,255
	89,920	Schroders Plc (Non Voting)		3,072,768
	460,719	Taylor Wimpey Plc		1,411,966
	94,471	Travis Perkins Plc		2,946,400
	270,337	Tyman Plc		1,187,327
	1,316,879	Vodafone Group Plc		4,534,595
		Total United Kingdom		45,978,105
		TOTAL COMMON STOCKS (COST $214,890,654)		208,168,478
		PREFERRED STOCKS — 0.3%
		South Korea — 0.3%
	6,626	Hyundai Motor Co		559,461
		TOTAL PREFERRED STOCKS (COST $1,003,030)		559,461

Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 2.9%
		United States — 2.9%
		Affiliated Issuers
	236,779	GMO U.S. Treasury Fund		5,919,464
		TOTAL MUTUAL FUNDS (COST $5,919,464)		5,919,464
		SHORT-TERM INVESTMENTS — 0.5%
		Time Deposits — 0.5%
AUD	109,887	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 1.05%, due 09/01/15		78,201
JPY	3,896,480	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/15		32,140
USD	848,015	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/01/15		848,015
		TOTAL SHORT-TERM INVESTMENTS (COST $958,356)		958,356
		TOTAL INVESTMENTS — 106.6% (Cost $222,771,504)		215,605,759
		Other Assets and Liabilities (net) — (6.6%)		(13,351,605	)
		TOTAL NET ASSETS — 100.0%		$202,254,154

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/26/2015	DB		EUR	8,315,391		USD	9,295,983	$	(42,986	)
10/26/2015	DB		USD	7,659,629		EUR	6,810,920		(10,322	)
								$	(53,308	)

Notes to Schedule of Investments:

* Non-income producing security.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 11.

See accompanying notes to the financial statements. 3

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		94.3	%
Mutual Funds		3.2
Preferred Stocks		1.0
Investment Funds		0.7
Short-Term Investments		0.7
Other		0.1
Forward Currency Contracts		(0.0	)^
		100.0	%
Country Summary**	% of Investments
United Kingdom		22.0	%
Japan		21.5
France		16.1
Italy		7.3
Australia		6.0
Germany		5.5
Switzerland		4.9
Canada		4.1
Other Developed***		2.8
Sweden		2.4
Brazil		1.5
Mexico		1.4
India		1.2
Israel		1.1
Netherlands		1.1
Other Emerging****		1.1
		100.0	%
Industry Group Summary	% of Equity Investments*****
Capital Goods		11.5	%
Real Estate		9.5
Automobiles & Components		9.3
Materials		8.5
Media		7.1
Banks		6.5
Diversified Financials		5.5
Retailing		5.5
Commercial & Professional Services		5.3
Insurance		4.9
Software & Services		4.0
Technology Hardware & Equipment		3.5
Consumer Durables & Apparel		3.4
Energy		3.3
Telecommunication Services		2.9
Transportation		2.0
Consumer Services		1.5
Health Care Equipment & Services		1.4
Pharmaceuticals, Biotechnology & Life Sciences		1.3
Food, Beverage & Tobacco		1.3
Household & Personal Products		1.0
Utilities		0.8
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

*** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Investments.

**** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Investments.

***** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

4

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.3%
		Australia — 5.7%
	2,225,013	Asciano Group		13,425,437
	3,356,077	Downer EDI Ltd		8,653,200
	5,651,328	Federation Centres Ltd (REIT)		11,360,604
	4,647,999	Incitec Pivot Ltd		11,587,615
	7,668,635	Nine Entertainment Co Holdings Ltd		9,039,698
	3,358,348	Tox Free Solutions Ltd		6,455,519
		Total Australia		60,522,073
		Belgium — 0.5%
	268,201	Mobistar SA *		5,577,338
		Brazil — 0.3%
	1,000,000	FPC Par Corretora de Seguros SA *		3,609,392
		Canada — 3.9%
	728,000	Canyon Services Group Inc		3,126,482
	6,270,400	Capstone Mining Corp *		2,955,038
	300,100	Dorel Industries Inc – Class B		8,081,896
	387,600	Genworth MI Canada Inc		8,979,970
	172,300	Karnalyte Resources Inc * (a)		83,819
	965,800	Precision Drilling Corp		4,654,281
	947,000	Superior Plus Corp		8,263,576
	1,303,800	Western Energy Services Corp		5,470,489
		Total Canada		41,615,551
		France — 15.4%
	228,197	Accor SA		10,805,037
	46,751	Alten SA		2,223,529
	1,214,447	Altran Technologies SA		13,584,749
	155,545	Arkema SA		10,957,111
	162,986	AtoS SE		12,347,154
	90,556	Cie Generale des Etablissements Michelin – Class B		8,744,095
	721,981	Coface SA		6,814,157
	107,026	Euler Hermes Group		11,027,902
	240,711	Faurecia		8,655,013
	331,618	Nexity SA		14,815,829
	465,771	Rexel SA		7,135,209
	161,226	SA des Ciments Vicat		10,837,869
	247,169	SCOR SE		8,699,817
	111,030	Sopra Group SA		11,693,319
	1,586,138	Technicolor		11,754,360
	192,115	Teleperformance		13,506,163
		Total France		163,601,313
		Germany — 5.3%
	774,090	Grand City Properties SA		13,664,092
	562,439	SAF-Holland SA		7,963,401
	31,700	Software AG		873,739

Shares		Description	Value ($)
		Germany — continued
	859,015	TAG Immobilien AG		9,822,304
	2,822,091	Telefonica Deutschland Holding AG		17,109,125
	151,888	Wincor Nixdorf AG		6,446,634
		Total Germany		55,879,295
		Hong Kong — 0.6%
	5,407,910	HKT Trust		6,267,364
		India — 1.1%
	1,649,577	Dewan Housing Finance Corp Ltd		11,438,045
		Ireland — 0.5%
	68,006	Kerry Group Plc – Class A		5,064,841
		Israel — 1.0%
	5,771,109	Israel Discount Bank Ltd – Class A *		10,686,143
		Italy — 7.0%
	1,812,609	Amplifon SPA		14,522,870
	509,975	Autogrill SPA *		4,406,722
	11,536,022	Banca Popolare di Milano Scarl		12,192,840
	271,503	Banco Popolare Scarl *		4,653,899
	1,041,266	Cerved Information Solutions SPA *		8,569,203
	3,464,053	Mediaset SPA		16,559,117
	605,104	Mediobanca SPA		6,048,641
	2,547,768	Piaggio & C SPA		7,204,501
		Total Italy		74,157,793
		Japan — 20.5%
	1,841,000	Akebono Brake Industry Co Ltd		5,496,435
	1,143,400	Anritsu Corp		7,605,929
	323,000	Aoyama Trading Co Ltd		12,029,255
	1,547,000	Calsonic Kansei Corp		10,794,715
	297,700	Century Tokyo Leasing Corp		9,131,458
	430,500	COMSYS Holdings Corp		5,344,186
	139,100	Enplas Corp		4,929,147
	251,700	Fuji Seal International Inc		8,584,097
	586,500	Fuji Oil Co Ltd		8,112,129
	1,416,000	GS Yuasa Corp		5,275,955
	272,050	Izumi Co Ltd		11,646,726
	1,331	Kenedix Office Investment Corp (REIT)		5,918,928
	558,200	Komori Corp		6,348,683
	1,436,500	Mitsubishi UFJ Lease & Finance Co Ltd		6,917,303
	281,500	Nabtesco Corp		5,603,097
	821,700	NHK Spring Co Ltd		7,923,626
	433,000	Nippon Seiki Co Ltd		8,662,179
	608,000	Nippon Shokubai Co Ltd		9,343,979
	1,558,000	Nippon Soda Co Ltd		8,940,072
	3,148,000	Nishi-Nippon City Bank Ltd (The)		8,721,791
	6,735	Nomura Real Estate Master Fund Inc		7,267,533
	1,361,000	Sanden Holdings Corp		5,077,041

See accompanying notes to the financial statements. 5

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,034,300	Sanwa Holdings Corp		7,869,041
	679,400	Sumitomo Rubber Industries Ltd		9,599,560
	2,310,300	Takara Leben Co Ltd		10,533,527
	206,100	TS Tech Co Ltd		5,512,964
	858,000	Tsubakimoto Chain Co		6,594,276
	421,000	Yokohama Rubber Co Ltd (The)		8,249,880
		Total Japan		218,033,512
		Mexico — 1.3%
	4,759,906	Mexico Real Estate Management SA de CV *		6,495,540
	4,094,400	PLA Administradora Industrial S de RL de CV *		7,743,894
		Total Mexico		14,239,434
		Netherlands — 1.1%
	376,899	Aalberts Industries NV		11,691,683
		New Zealand — 0.4%
	3,084,955	Air New Zealand Ltd		4,833,964
		Portugal — 0.7%
	691,186	Galp Energia SGPS SA		7,292,843
		South Korea — 0.9%
	1,036,406	DGB Financial Group Inc		9,107,443
		Sweden — 2.3%
	893,796	Meda AB		13,685,943
	372,561	Svenska Cellulosa AB – Class B		10,596,526
		Total Sweden		24,282,469
		Switzerland — 4.6%
	63,613	Baloise Holding AG		7,779,789
	14,018	Helvetia Patria Holding AG (Registered)		7,382,659
	25,050	Kaba Holding AG – Class B (Registered)		16,557,133
	509,403	Logitech International		6,756,120
	46,910	Swiss Life Holding AG (Registered) *		10,979,011
		Total Switzerland		49,454,712
		Taiwan — 0.2%
	1,968,795	Lite-On Technology Corp		1,804,160
		United Kingdom — 21.0%
	285,574	Berkeley Group Holdings Plc (Unit Shares)		14,643,679
	572,701	Diploma Plc		6,289,539
	1,025,733	Essentra Plc		13,336,891
	641,816	Euromoney Institutional Investor Plc		9,917,522
	686,518	Great Portland Estates Plc (REIT)		8,658,806
	1,845,630	Howden Joinery Group Plc		13,537,043
	1,189,902	Inchcape Plc		13,243,788
	1,619,684	Informa Plc		14,287,098

Shares		Description	Value ($)
		United Kingdom — continued
	1,370,408	John Wood Group Plc		13,351,037
	1,190,209	Jupiter Fund Management Plc		8,089,067
	299,843	Keller Group Plc		4,492,043
	3,060,332	Melrose Industries Plc		12,440,450
	503,793	Pace Plc		2,632,818
	2,335,694	RPS Group Plc		8,324,891
	308,569	Schroders Plc (Non Voting)		10,544,496
	1,979,186	Senior Plc		8,619,944
	3,794,395	Taylor Wimpey Plc		11,628,683
	1,985,202	Topps Tiles Plc		4,905,271
	372,674	Travis Perkins Plc		11,623,111
	2,807,777	Tyman Plc		12,331,829
	2,612,206	Wilmington Plc		10,345,770
	745,744	Xaar Plc		5,804,528
	186,426	XP Power Ltd		4,526,306
		Total United Kingdom		223,574,610
		TOTAL COMMON STOCKS (COST $944,179,928)		1,002,733,978
		PREFERRED STOCKS — 1.0%
		Brazil — 1.0%
	1,612,900	Gol Linhas Aereas Inteligentes SA *		1,850,100
	1,914,300	Suzano Papel e Celulose SA		9,279,471
		Total Brazil		11,129,571
		TOTAL PREFERRED STOCKS (COST $14,725,044)		11,129,571
		INVESTMENT FUNDS — 0.7%
		Thailand — 0.7%
	26,541,900	Jasmine Broadband Internet Infrastructure Fund		7,405,968
		TOTAL INVESTMENT FUNDS (COST $8,199,539)		7,405,968
		MUTUAL FUNDS — 3.2%
		United States — 3.2%
		Affiliated Issuers
	1,360,372	GMO U.S. Treasury Fund		34,009,307
		TOTAL MUTUAL FUNDS (COST $34,009,307)		34,009,307

6 See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.7%
		Time Deposits — 0.7%
AUD	429,945	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 1.05%, due 09/01/15		305,970
JPY	9,741,200	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.01%, due 09/01/15		80,350
USD	1,220,276	Barclays (London) Time Deposit, 0.06%, due 09/01/15		1,220,276
NZD	48	Brown Brothers Harriman (Grand Cayman) Time Deposit, 2.05%, due 09/01/15		31
CAD	128,490	Royal Bank of Canada (Toronto) Time Deposit, 0.10%, due 09/01/15		97,666
USD	5,332,107	Sumitomo (Tokyo) Time Deposit, 0.06%, due 09/01/15		5,332,107
		Total Time Deposits		7,036,400
		TOTAL SHORT-TERM INVESTMENTS (COST $7,036,400)		7,036,400
		TOTAL INVESTMENTS — 99.9% (Cost $1,008,150,218)		1,062,315,224
		Other Assets and Liabilities (net) — 0.1%		965,073
		TOTAL NET ASSETS — 100.0%		$1,063,280,297

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/26/2015	DB		EUR	70,663,165		USD	78,996,119	$	(365,295	)
10/26/2015	DB		USD	16,597,241		EUR	14,758,219		(22,366	)
								$	(387,661	)

Notes to Schedule of Investments:

* Non-income producing security.

(a) The security is restricted as to resale.

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2015
Karnalyte Resources Inc	12/07/10	$	1,471,626	0.01%	$	83,819

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 11.

See accompanying notes to the financial statements. 7

GMO Global Focused Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		96.3	%
Mutual Funds		3.7
Short-Term Investments		0.4
Other		(0.4	)
		100.0	%
Country Summary**	% of Equity Investments
United States		50.6	%
United Kingdom		10.9
Japan		8.2
France		4.2
Italy		4.2
Germany		4.0
Australia		3.8
Canada		3.4
Mexico		2.6
Israel		2.1
China		1.8
Taiwan		1.6
South Korea		1.5
India		1.1
		100.0	%
Industry Group Summary	% of Equity Investments***
Banks		12.2	%
Energy		10.4
Technology Hardware & Equipment		10.0
Transportation		9.1
Pharmaceuticals, Biotechnology & Life Sciences		8.7
Insurance		6.0
Telecommunication Services		6.0
Materials		5.4
Consumer Durables & Apparel		4.6
Health Care Equipment & Services		4.5
Diversified Financials		4.2
Capital Goods		4.2
Real Estate		2.6
Retailing		2.6
Software & Services		2.3
Automobiles & Components		2.1
Utilities		1.8
Commercial & Professional Services		1.7
Semiconductors & Semiconductor Equipment		1.6
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

*** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

8

GMO Global Focused Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.3%
		Australia — 3.6%
	33,453	Asciano LTD		201,851
	85,591	Tox Free Solutions Ltd		164,526
		Total Australia		366,377
		Canada — 3.3%
	10,300	Manulife Financial Corp		167,387
	5,900	Suncor Energy Inc		167,098
		Total Canada		334,485
		China — 1.8%
	14,500	China Mobile Ltd		177,472
		France — 4.0%
	56,377	Alcatel-Lucent *		188,917
	2,893	Atos		219,162
		Total France		408,079
		Germany — 3.8%
	1,330	Allianz SE (Registered)		211,913
	15,287	E.ON AG		172,756
		Total Germany		384,669
		India — 1.1%
	12,500	ICICI Bank Ltd Sponsored ADR		109,000
		Israel — 2.0%
	39,540	Bank Hapoalim BM		200,541
		Italy — 4.1%
	11,434	Assicurazioni Generali SPA		209,120
	164,560	Telecom Italia SPA *		199,716
		Total Italy		408,836
		Japan — 7.9%
	26,000	Hitachi Ltd		145,782
	35,700	Mitsubishi UFJ Financial Group Inc		235,484
	37,900	Resona Holdings Inc		191,027
	5,431	Sumitomo Mitsui Financial Group Inc		221,674
		Total Japan		793,967
		Mexico — 2.5%
	89,675	Mexico Real Estate Management SA de CV *		122,374
	70,300	PLA Administradora Industrial S de RL de CV *		132,961
		Total Mexico		255,335
		South Korea — 1.4%
	158	Samsung Electronics Co Ltd		145,387

Shares		Description	Value ($)
		Taiwan — 1.5%
	40,000	Taiwan Semiconductor Manufacturing Co Ltd		155,632
		United Kingdom — 10.5%
	3,255	AstraZeneca Plc		203,077
	71,878	Taylor Wimpey Plc		220,284
	101,355	Topps Tiles Plc		250,440
	43,326	Tyman Plc		190,289
	58,661	Vodafone Group Plc		201,996
		Total United Kingdom		1,066,086
		United States — 48.8%
	800	Allergan Plc *		242,992
	5,368	American Airlines Group, Inc.		209,245
	1,444	Anthem, Inc.		203,676
	20,095	Ardmore Shipping Corp		225,466
	2,765	Capital One Financial Corp.		214,979
	29,648	Capital Product Partners LP		209,908
	4,337	Citigroup, Inc.		231,943
	5,404	Delta Air Lines, Inc.		236,587
	10,858	EMC Corp.		270,038
	6,824	General Motors Co.		200,899
	5,883	ITT Corp.		220,083
	9,700	KapStone Paper and Packaging Corp.		211,363
	2,353	LyondellBasell Industries NV – Class A		200,899
	1,991	Mallinckrodt Plc *		171,704
	3,199	Medtronic Plc		231,256
	5,217	Michael Kors Holdings Ltd *		226,731
	5,024	National Oilwell Varco, Inc.		212,666
	7,198	Pfizer, Inc.		231,919
	2,600	Schlumberger Ltd.		201,162
	14,605	Tronox Ltd – Class A		117,570
	4,231	United Continental Holdings, Inc. *		241,040
	4,600	Voya Financial, Inc.		198,168
	2,696	Western Digital Corp.		220,964
		Total United States		4,931,258
		TOTAL COMMON STOCKS (COST $10,693,676)		9,737,124
		MUTUAL FUNDS — 3.7%
		United States — 3.7%
		Affiliated Issuers
	15,097	GMO U.S. Treasury Fund		377,413
		TOTAL MUTUAL FUNDS (COST $377,413)		377,413

See accompanying notes to the financial statements. 9

GMO Global Focused Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

	Par Value		Description	Value ($)
			SHORT-TERM INVESTMENTS — 0.4%
			Time Deposit — 0.4%
USD		41,098	Standard Chartered Bank Ltd (Hong Kong) Time Deposit, 0.06%, due 09/01/15		41,098
			TOTAL SHORT-TERM INVESTMENTS (COST $41,098)		41,098
			TOTAL INVESTMENTS — 100.4% (Cost $11,112,187)		10,155,635
			Other Assets and Liabilities (net) — (0.4%)		(41,228	)
			TOTAL NET ASSETS — 100.0%		$10,114,407

Notes to Schedule of Investments:

* Non-income producing security.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 11.

10 See accompanying notes to the financial statements.

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2015

Portfolio Abbreviations:

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

Counterparty Abbreviations:

DB - Deutsche Bank AG

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

JPY - Japanese Yen

NZD - New Zealand Dollar

USD - United States Dollar

See accompanying notes to the financial statements. 11

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited)

	Foreign Fund		Foreign Small Companies Fund		Global Focused Equity Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	209,686,295	$	1,028,305,917	$	9,778,222
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		5,919,464		34,009,307		377,413
Foreign currency, at value (Note 2)(c)		80,648		342,744		5,450
Receivable for investments sold		15,988		124,841		—
Dividends receivable		520,615		2,188,251		15,346
Foreign taxes receivable		153,049		348,946		2,513
Foreign capital gains tax refund receivable		10,581		3,281		—
Receivable for foreign currency sold		—		1,934		—
Due from broker (Note 2)		60,000		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		36,224		72,071		14,039
Miscellaneous receivable		605		2,602		11
Total assets		216,483,469		1,065,399,894		10,192,994
Liabilities:
Payable for investments purchased		355,577		797,841		11
Payable for Fund shares repurchased		13,500,000		—		—
Payable to affiliate for (Note 5):
Management fee		132,007		647,536		5,338
Shareholder service fee		37,534		106,502		1,334
Payable for foreign currency purchased		533		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		53,308		387,661		—
Payable to agents unaffiliated with GMO		31		124		—
Payable to Trustees and related expenses		600		1,470		5
Accrued expenses		149,725		178,463		71,899
Total liabilities		14,229,315		2,119,597		78,587
Net assets	$	202,254,154	$	1,063,280,297	$	10,114,407
(a)      Cost of investments – unaffiliated issuers:	$	216,852,040	$	974,140,911	$	10,734,774
(b)      Cost of investments – affiliated issuers:	$	5,919,464	$	34,009,307	$	377,413
(c)      Cost of foreign currency:	$	80,869	$	348,905	$	5,658

12 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited) — (Continued)

	Foreign Fund			Foreign Small Companies Fund		Global Focused Equity Fund
Net assets consist of:
Paid-in capital	$	252,489,196		$	975,749,117	$	10,980,691
Accumulated undistributed net investment income		4,111,471			4,280,049		101,394
Accumulated net realized gain (loss)		(47,077,144	)		29,554,829		(10,738	)
Net unrealized appreciation (depreciation)		(7,269,369	)		53,696,302		(956,940	)
	$	202,254,154		$	1,063,280,297	$	10,114,407
Net assets attributable to:
Class II shares	$	77,784,607		$	—	$	—
Class III shares	$	103,974,509		$	321,751,075	$	10,114,407
Class IV shares	$	20,495,038		$	741,529,222	$	—
Shares outstanding:
Class II		6,547,175			—		—
Class III		8,695,610			21,583,016		505,764
Class IV		1,668,650			49,842,535		—
Net asset value per share:
Class II	$	11.88		$	—	$	—
Class III	$	11.96		$	14.91	$	20.00
Class IV	$	12.28		$	14.88	$	—

See accompanying notes to the financial statements. 13

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2015 (Unaudited)

	Foreign Fund			Foreign Small Companies Fund			Global Focused Equity Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	6,459,541		$	18,375,064		$	162,468
Dividends from affiliated issuers (Note 10)		3,150			14,206			55
Interest		33,703			1,105			92
Total investment income		6,496,394			18,390,375			162,615
Expenses:
Management fee (Note 5)		848,339			3,919,004			33,252
Shareholder service fee – Class II (Note 5)		106,089			—			—
Shareholder service fee – Class III (Note 5)		121,478			255,459			8,313
Shareholder service fee – Class IV (Note 5)		10,964			389,552			—
Audit and tax fees		47,538			51,679			37,844
Custodian and fund accounting agent fees		131,948			264,644			26,250
Legal fees		3,864			9,752			1,840
Registration fees		13,408			1,840			1,288
Transfer agent fees		26,281			19,442			13,585
Trustees fees and related expenses (Note 5)		1,656			5,888			40
Miscellaneous		7,208			28,085			4,234
Total expenses		1,318,773			4,945,345			126,646
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(222,119	)		(355,733	)		(83,199	)
Net expenses		1,096,654			4,589,612			43,447
Net investment income (loss)		5,399,740			13,800,763			119,168
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		5,270,065			31,543,088			249,704
Realized gain distributions from affiliated issuers (Note 10)		333			1,216			1
Foreign currency, forward contracts and foreign currency related transactions		1,258,682			3,362,424			(1,353	)
Net realized gain (loss)		6,529,080			34,906,728			248,352
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(14,807,922	)		(74,030,004	)		(1,429,602	)
Foreign currency, forward contracts and foreign currency related transactions		(653,356	)		(2,886,031	)		(772	)
Net unrealized gain (loss)		(15,461,278	)		(76,916,035	)		(1,430,374	)
Net realized and unrealized gain (loss)		(8,932,198	)		(42,009,307	)		(1,182,022	)
Net increase (decrease) in net assets resulting from operations	$	(3,532,458	)	$	(28,208,544	)	$	(1,062,854	)
(a)    Withholding tax:	$	444,185		$	1,376,344		$	9,447

14 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Foreign Fund						Foreign Small Companies Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,399,740		$	7,947,359		$	13,800,763		$	14,183,633
Net realized gain (loss)		6,529,080			22,217,812			34,906,728			31,193,844
Change in net unrealized appreciation (depreciation)		(15,461,278	)		(53,178,227	)		(76,916,035	)		(117,180,110	)
Net increase (decrease) in net assets from operations		(3,532,458	)		(23,013,056	)		(28,208,544	)		(71,802,633	)
Distributions to shareholders from:
Net investment income
Class II		(373,036	)		(4,189,621	)		—			—
Class III		(690,849	)		(5,769,597	)		(243,711	)		(3,190,129	)
Class IV		(92,805	)		(1,038,270	)		(662,380	)		(12,821,408	)
Total distributions from net investment income		(1,156,690	)		(10,997,488	)		(906,091	)		(16,011,537	)
Net realized gains
Class II		—			(4,197,890	)		—			—
Class III		—			(5,739,400	)		—			(8,625,536	)
Class IV		—			(744,620	)		—			(33,651,150	)
Total distributions from net realized gains		—			(10,681,910	)		—			(42,276,686	)
Net share transactions (Note 9):
Class II		(28,124,861	)		(38,714,143	)		—			—
Class III		(46,219,358	)		(23,097,990	)		(22,929,869	)		144,740,345
Class IV		(4,007,438	)		(38,345,928	)		580,678			11,636,123
Increase (decrease) in net assets resulting from net share transactions		(78,351,657	)		(100,158,061	)		(22,349,191	)		156,376,468
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			35,571			117,931
Class IV		—			—			80,475			448,040
Increase in net assets resulting from purchase premiums and redemption fees		—			—			116,046			565,971
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(78,351,657	)		(100,158,061	)		(22,233,145	)		156,942,439
Total increase (decrease) in net assets		(83,040,805	)		(144,850,515	)		(51,347,780	)		26,851,583
Net assets:
Beginning of period		285,294,959			430,145,474			1,114,628,077			1,087,776,494
End of period	$	202,254,154		$	285,294,959		$	1,063,280,297		$	1,114,628,077
Accumulated undistributed net investment income	$	4,111,471		$	—		$	4,280,049		$	—
Distributions in excess of net investment income	$	—		$	(131,579	)	$	—		$	(8,614,623	)

See accompanying notes to the financial statements. 15

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Focused Equity Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	119,168		$	128,603
Net realized gain (loss)		248,352			(256,243	)
Change in net unrealized appreciation (depreciation)		(1,430,374	)		104,823
Net increase (decrease) in net assets from operations		(1,062,854	)		(22,817	)
Distributions to shareholders from:
Net investment income
Class III		(18,126	)		(146,455	)
Net realized gains
Class III		—			(1,526,500	)
Net share transactions (Note 9):
Class III		(4,001	)		1,319,318
Total increase (decrease) in net assets		(1,084,981	)		(376,454	)
Net assets:
Beginning of period		11,199,388			11,575,842
End of period	$	10,114,407		$	11,199,388
Accumulated undistributed net investment income	$	101,394		$	352

16 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

FOREIGN FUND

	Class II Shares																								Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011								2015				2014				2013				2012				2011
Net asset value, beginning of period		$	12.12			$	13.58			$	11.57			$	11.21			$	12.88			$	11.07			$	12.20			$	13.66			$	11.64			$	11.27			$	12.95			$	11.13
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.23				0.26				0.30				0.29				0.31				0.24				0.24				0.26				0.32				0.30				0.34				0.24
Net realized and unrealized gain (loss)			(0.42	)			(0.93	)			2.04				0.43				(1.43	)			1.79				(0.43	)			(0.92	)			2.04				0.44				(1.47	)			1.81
Total from investment operations			(0.19	)			(0.67	)			2.34				0.72				(1.12	)			2.03				(0.19	)			(0.66	)			2.36				0.74				(1.13	)			2.05
Less distributions to shareholders:
From net investment income			(0.05	)			(0.39	)			(0.33	)			(0.36	)			(0.55	)			(0.22	)			(0.05	)			(0.40	)			(0.34	)			(0.37	)			(0.55	)			(0.23	)
From net realized gains			—				(0.40	)			—				—				—				—				—				(0.40	)			—				—				—				—
Total distributions			(0.05	)			(0.79	)			(0.33	)			(0.36	)			(0.55	)			(0.22	)			(0.05	)			(0.80	)			(0.34	)			(0.37	)			(0.55	)			(0.23	)
Net asset value, end of period		$	11.88			$	12.12			$	13.58			$	11.57			$	11.21			$	12.88			$	11.96			$	12.20			$	13.66			$	11.64			$	11.27			$	12.95
Total Return(b)			(1.58	)%**			(4.75	)%			20.39	%			6.65	%			(8.38	)%			18.71	%			(1.53	)%**			(4.64	)%			20.42	%			6.75	%			(8.36	)%			18.80	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	77,785			$	108,343			$	165,028			$	217,052			$	259,270			$	417,685			$	103,975			$	152,047			$	197,489			$	222,262			$	403,157			$	1,440,952
Net expenses to average daily net assets			0.83	%*(c)			0.83	%(c)			0.83	%(c)(d)			0.84	%(c)(d)			0.82	%(d)			0.82	%(d)			0.76	%*(c)			0.76	%(c)			0.76	%(c)(d)			0.77	%(c)(d)			0.75	%(d)			0.75	%(d)
Net investment income (loss) to average daily net assets			3.62	%*			2.04	%			2.37	%			2.65	%			2.71	%			2.09	%			3.79	%*			2.02	%			2.53	%			2.78	%			2.89	%			2.08	%
Portfolio turnover rate			69	%**			113	%			98	%			91	%			58	%			55	%			69	%**			113	%			98	%			91	%			58	%			55	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.16	%*			0.13	%			0.11	%			0.07	%			0.07	%			0.06	%			0.16	%*			0.13	%			0.12	%			0.07	%			0.08	%			0.06	%

	Class IV Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	12.53			$	14.00			$	11.92			$	11.55			$	13.25			$	11.39
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.31				0.40				0.35				0.33				0.33				0.25
Net realized and unrealized gain (loss)			(0.50	)			(1.07	)			2.08				0.42				(1.46	)			1.85
Total from investment operations			(0.19	)			(0.67	)			2.43				0.75				(1.13	)			2.10
Less distributions to shareholders:
From net investment income			(0.06	)			(0.40	)			(0.35	)			(0.38	)			(0.57	)			(0.24	)
From net realized gains			—				(0.40	)			—				—				—				—
Total distributions			(0.06	)			(0.80	)			(0.35	)			(0.38	)			(0.57	)			(0.24	)
Net asset value, end of period		$	12.28			$	12.53			$	14.00			$	11.92			$	11.55			$	13.25
Total Return(b)			(1.56	)%**			(4.59	)%			20.54	%			6.68	%			(8.21	)%			18.80	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	20,495			$	24,905			$	67,628			$	88,992			$	391,421			$	833,582
Net expenses to average daily net assets			0.70	%*(c)			0.70	%(c)			0.70	%(c)(d)			0.70	%(c)(d)			0.69	%(d)			0.69	%(d)
Net investment income (loss) to average daily net assets			4.77	%*			2.96	%			2.71	%			3.02	%			2.74	%			2.10	%
Portfolio turnover rate			69	%**			113	%			98	%			91	%			58	%			55	%
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.16	%*			0.13	%			0.11	%			0.07	%			0.07	%			0.06	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 17

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

FOREIGN SMALL COMPANIES FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																Period from August 12, 2009 through February 28, 2011
					2015				2014				2013				2012				2011								2015				2014				2013				2012
Net asset value, beginning of period		$	15.31			$	17.29			$	14.40			$	12.91			$	14.22			$	10.74			$	15.28			$	17.25			$	14.37			$	12.90			$	14.20			$	10.73
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.19				0.20				0.27				0.23				0.19				0.14				0.19				0.21				0.25				0.12				0.17				0.13
Net realized and unrealized gain (loss)			(0.58	)			(1.34	)			3.62				1.43				(1.27	)(b)			3.47				(0.58	)			(1.34	)			3.64				1.54				(1.23	)(b)			3.47
Total from investment operations			(0.39	)			(1.14	)			3.89				1.66				(1.08	)			3.61				(0.39	)			(1.13	)			3.89				1.66				(1.06	)			3.60
Less distributions to shareholders:
From net investment income			(0.01	)			(0.23	)			(0.48	)			(0.17	)			(0.23	)			(0.13	)			(0.01	)			(0.23	)			(0.49	)			(0.19	)			(0.24	)			(0.13	)
From net realized gains			—				(0.61	)			(0.52	)			—				—				—				—				(0.61	)			(0.52	)			—				—				—
Total distributions			(0.01	)			(0.84	)			(1.00	)			(0.17	)			(0.23	)			(0.13	)			(0.01	)			(0.84	)			(1.01	)			(0.19	)			(0.24	)			(0.13	)
Net asset value, end of period		$	14.91			$	15.31			$	17.29			$	14.40			$	12.91			$	14.22			$	14.88			$	15.28			$	17.25			$	14.37			$	12.90			$	14.20
Total Return(c)			(2.54	)%**			(6.34	)%			27.54	%			12.93	%			(7.45	)%			33.67	%			(2.53	)%**			(6.25	)%			27.61	%			12.96	%			(7.33	)%			33.67	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	321,751			$	353,778			$	236,393			$	314,389			$	483,122			$	398,648			$	741,529			$	760,850			$	851,384			$	471,628			$	71,373			$	147,131
Net expenses to average daily net assets			0.85	%*(d)			0.85	%(d)			0.86	%(d)(e)			0.85	%(d)(e)			0.86	%(e)			0.85	%(e)			0.80	%*(d)			0.80	%(d)			0.81	%(d)(e)			0.80	%(d)(e)			0.81	%(e)			0.80	%(e)
Net investment income (loss) to average daily net assets			2.43	%*			1.26	%			1.73	%			1.83	%			1.43	%			1.15	%			2.48	%*			1.32	%			1.56	%			0.90	%			1.34	%			1.07	%
Portfolio turnover rate			31	%**			58	%			57	%			56	%			46	%			61	%			31	%**			58	%			57	%			56	%			46	%			61	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%*			0.07	%			0.07	%			0.09	%			0.10	%			0.14	%			0.06	%*			0.07	%			0.07	%			0.10	%			0.10	%			0.14	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(f)		$	0.01			$	0.00	(f)		$	0.02			$	0.00	(f)		$	0.01			$	0.00	(f)		$	0.01			$	0.00	(f)		$	0.01			$	0.01			$	0.02

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(f)  Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

18 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL FOCUSED EQUITY FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012(a)
Net asset value, beginning of period		$	22.14			$	25.82			$	23.67			$	21.99			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.24				0.27				0.26				0.31				0.03
Net realized and unrealized gain (loss)			(2.34	)			(0.17	)			6.19				1.90				1.96
Total from investment operations			(2.10	)			0.10				6.45				2.21				1.99
Less distributions to shareholders:
From net investment income			(0.04	)			(0.30	)			(0.37	)			(0.28	)			—
From net realized gains			—				(3.48	)			(3.93	)			(0.25	)			—
Total distributions			(0.04	)			(3.78	)			(4.30	)			(0.53	)			—
Net asset value, end of period		$	20.00			$	22.14			$	25.82			$	23.67			$	21.99
Total Return(c)			(9.51	)%**			(0.14	)%			28.89	%			10.35	%			9.95	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	10,114			$	11,199			$	11,576			$	8,711			$	4,634
Net expenses to average daily net assets			0.78	%*(e)			0.79	%(e)			0.78	%(d)(e)			0.83	%(e)			0.84	%*
Net investment income (loss) to average daily net assets			2.15	%*			1.14	%			1.00	%			1.42	%			0.56	%*
Portfolio turnover rate			89	%**			85	%			225	%			103	%			18	%††**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			1.50	%*			1.52	%			1.75	%			2.38	%			8.66	%*

^(a)  Period from December 1, 2011 (commencement of operations) through February 29, 2012.

^(b)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

† Calculated using average shares outstanding throughout the period.

†† Calculation represents portfolio turnover of the Fund for the period from December 1, 2011 through February 29, 2012.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 19

GMO Trust Funds

Notes to Financial Statements

August 31, 2015 (Unaudited)

1. Organization

Each of Foreign Fund, Foreign Small Companies Fund, and Global Focused Equity Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Principal Investment Objective
Foreign Fund	MSCI EAFE Index	Total return in excess of benchmark
Foreign Small Companies Fund	S&P Developed ex-U.S. Small Cap Index	Total return in excess of benchmark
Global Focused Equity Fund	Not Applicable	Total return

Foreign Small Companies Fund currently limits subscriptions.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. OTC derivatives are generally valued at the price determined by an industry standard model. Unlisted securities (including fixed income securities) for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2015, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2015. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below.

20

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use a quoted price from a prior day to value that security.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or short position.

As discussed above, certain of the Funds invest in securities and/or derivatives which may have been fair valued using inputs obtained from an independent pricing service. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2015 is as follows:

Securities

Fund Name	Fair valued using inputs obtained from an independent pricing service (Net)
Foreign Fund		101%
Foreign Small Companies Fund		90%
Global Focused Equity Fund		41%

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). At August 31, 2015, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, certain U.S. government obligations, derivatives actively traded on a national securities exchange (such as some futures and options), and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

Level 3 – Valuations based primarily on inputs that are unobservable and significant.

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price;

21

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; and certain securities that are valued using a price from a comparable security related to the same issuer.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2015:

Description	Level 1		Level 2			Level 3		Total
Foreign Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	5,771,009		$	—	$	5,771,009
Belgium		—		2,873,088			—		2,873,088
China		—		2,829,052			—		2,829,052
Finland		—		1,680,357			—		1,680,357
France		—		27,888,370			—		27,888,370
Germany		—		13,714,078			—		13,714,078
Hong Kong		—		3,022,242			—		3,022,242
India		1,408,751		—			—		1,408,751
Israel		—		1,857,309			—		1,857,309
Italy		—		13,902,683			—		13,902,683
Japan		—		46,578,653			—		46,578,653
Mexico		2,114,861		—			—		2,114,861
Netherlands		—		3,058,496			—		3,058,496
Portugal		—		1,063,139			—		1,063,139
South Korea		—		4,112,073			—		4,112,073
Spain		—		4,364,025			—		4,364,025
Sweden		—		3,830,290			—		3,830,290
Switzerland		—		19,645,868			—		19,645,868
Taiwan		—		2,476,029			—		2,476,029
United Kingdom		—		45,978,105			—		45,978,105
TOTAL COMMON STOCKS		3,523,612		204,644,866			—		208,168,478
Preferred Stocks
South Korea		—		559,461			—		559,461
TOTAL PREFERRED STOCKS		—		559,461			—		559,461
Mutual Funds
United States		5,919,464		—			—		5,919,464
TOTAL MUTUAL FUNDS		5,919,464		—			—		5,919,464
Total Short-Term Investments		958,356		—			—		958,356
Total Investments		10,401,432		205,204,327			—		215,605,759
Total	$	10,401,432	$	205,204,327		$	—	$	215,605,759
Liability Valuation Inputs
Derivatives*
Forward Contracts
Foreign Currency Risk	$	—	$	(53,308	)	$	—	$	(53,308	)
Total	$	—	$	(53,308	)	$	—	$	(53,308	)

22

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Foreign Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	60,522,073		$	—	$	60,522,073
Belgium		—		5,577,338			—		5,577,338
Brazil		—		3,609,392			—		3,609,392
Canada		41,615,551		—			—		41,615,551
France		—		163,601,313			—		163,601,313
Germany		—		55,879,295			—		55,879,295
Hong Kong		—		6,267,364			—		6,267,364
India		—		11,438,045			—		11,438,045
Ireland		—		5,064,841			—		5,064,841
Israel		—		10,686,143			—		10,686,143
Italy		—		74,157,793			—		74,157,793
Japan		—		218,033,512			—		218,033,512
Mexico		14,239,434		—			—		14,239,434
Netherlands		—		11,691,683			—		11,691,683
New Zealand		—		4,833,964			—		4,833,964
Portugal		—		7,292,843			—		7,292,843
South Korea		—		9,107,443			—		9,107,443
Sweden		—		24,282,469			—		24,282,469
Switzerland		—		49,454,712			—		49,454,712
Taiwan		—		1,804,160			—		1,804,160
United Kingdom		—		223,574,610			—		223,574,610
TOTAL COMMON STOCKS		55,854,985		946,878,993			—		1,002,733,978
Preferred Stocks
Brazil		—		11,129,571			—		11,129,571
TOTAL PREFERRED STOCKS		—		11,129,571			—		11,129,571
Investment Funds
Thailand		—		7,405,968			—		7,405,968
TOTAL INVESTMENT FUNDS		—		7,405,968			—		7,405,968
Mutual Funds
United States		34,009,307		—			—		34,009,307
TOTAL MUTUAL FUNDS		34,009,307		—			—		34,009,307
Short-Term Investments		7,036,400		—			—		7,036,400
Total Investments		96,900,692		965,414,532			—		1,062,315,224
Total	$	96,900,692	$	965,414,532		$	—	$	1,062,315,224
Liability Valuation Inputs
Derivatives*
Forward Contracts
Foreign Currency Risk	$	—	$	(387,661	)	$	—	$	(387,661	)
Total	$	—	$	(387,661	)	$	—	$	(387,661	)

23

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Global Focused Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	366,377	$	—	$	366,377
Canada		334,485		—		—		334,485
China		—		177,472		—		177,472
France		—		408,079		—		408,079
Germany		—		384,669		—		384,669
India		109,000		—		—		109,000
Israel		—		200,541		—		200,541
Italy		—		408,836		—		408,836
Japan		—		793,967		—		793,967
Mexico		255,335		—		—		255,335
South Korea		—		145,387		—		145,387
Taiwan		—		155,632		—		155,632
United Kingdom		—		1,066,086		—		1,066,086
United States		4,931,258		—		—		4,931,258
TOTAL COMMON STOCKS		5,630,078		4,107,046		—		9,737,124
Mutual Funds
United States		377,413		—		—		377,413
TOTAL MUTUAL FUNDS		377,413		—		—		377,413
Short-Term Investments		41,098		—		—		41,098
Total Investments		6,048,589		4,107,046		—		10,155,635
Total	$	6,048,589	$	4,107,046	$	—	$	10,155,635

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

* The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.

For all Funds for the period ended August 31, 2015, there were no significant transfers between Level 1 and Level 2.

The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2015		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)		Transfer into Level 3*		Transfer out of Level 3*		Balances as of August 31, 2015		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2015
Foreign Fund
Common Stocks
Hong Kong	$	—	$	554,341	$	(1,019,339	)	$	—	$	464,998	$	—	$	—	$	—	$	—	$	—
Total	$	—	$	554,341	$	(1,019,339	)	$	—	$	464,998	$	—	$	—	$	—	$	—	$	—

* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

24

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Cash

Cash and foreign currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Taxes and distributions

Each Fund has elected to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2015, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

Certain Funds have filed for additional reclaims related to foreign taxes withheld in prior years, based on interpretations of European Union tax principals. Generally, to the extent a Fund reasonably determines that such additional tax reclaims are collectible and free from significant contingencies, the amounts are reflected as Dividends from unaffiliated issuers in the Statement of Operations.

Foreign taxes paid by each Fund may be treated, to the extent permissible under the Code and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.

25

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

As of February 28, 2015, certain Funds elected to defer to March 1, 2015 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Losses ($)
Foreign Fund		—		(8,518,974)
Foreign Small Companies Fund		(122,926)		(4,948,238)
Global Focused Equity Fund		(7,583)		(146,160)

As of February 28, 2015, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2015, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

	Short-Term ($)				Total Short- Term ($)		Long- Term ($)
Fund Name	Expiration Date 2/28/2018		No Expiration Date				No Expiration Date
Foreign Fund		(42,289,674)		—		(42,289,674)		—
Foreign Small Companies Fund		—		—		—		—
Global Focused Equity Fund		—		(112,635)		(112,635)		—

As of August 31, 2015, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Foreign Fund		224,641,397		9,687,668		(18,723,306)		(9,035,638)
Foreign Small Companies Fund		1,014,581,990		142,450,557		(94,717,323)		47,733,234
Global Focused Equity Fund		11,120,523		389,520		(1,354,408)		(964,888)

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., guidance pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is

26

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Funds’ transfer agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Earnings allowances are reported as a reduction of expenses in the Statement of Operations. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.

Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when a Fund uses portfolio securities to redeem its shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.

27

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

As of August 31, 2015, the premium on cash purchases and the fee on cash redemptions were as follows:

	Foreign Fund	Foreign Small Companies Fund	Global Focused Equity Fund
Purchase Premium	—	0.50%	—
Redemption Fee	—	0.50%	—

Recently-issued accounting guidance

In June 2014, the Financial Accounting Standards Board (“FASB”) issued Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for annual financial statements with fiscal years beginning on or after December 15, 2014. GMO is evaluating the impact, if any, of this guidance on the Funds’ financial statements.

3. Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times:

	Foreign Fund	Foreign Small Companies Fund	Global Focused Equity Fund
Market Risk – Equities	X	X	X
Illiquidity Risk	X	X	X
Smaller Company Risk	X	X	X
Derivatives and Short Sales Risk	X	X	X
Non-U.S. Investment Risk	X	X	X
Currency Risk	X	X	X
Focused Investment Risk	X	X	X
Leveraging Risk	X	X	X
Counterparty Risk	X	X	X
Market Disruption and Geopolitical Risk	X	X	X
Large Shareholder Risk	X	X	X
Management and Operational Risk	X	X	X
Non-Diversified Funds	X		X

28

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and, references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Equities — Funds that invest in equities run the risk that the market prices of equities will decline. That decline may be attributable to factors affecting the issuing company, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and their market prices can decline in a rapid or unpredictable manner. If a Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that their market price will not appreciate or will decline for a variety of reasons, one of which may be GMO’s incorrect assessment of their intrinsic value. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, TIPS have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.

• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and

29

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of being unable to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.

The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.

Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk” above) and counterparty risk (see “Counterparty Risk” below). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” below for a discussion of risks specific to commodity-related derivatives. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk” below.

A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.

Transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset of a transaction. Clearing houses also have broad rights to increase margin requirements

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for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk” below). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

The U.S. government and the European Union have proposed mandatory minimum margin requirements for bilateral derivatives. Such requirements could increase the amount of margin required to be provided by a Fund in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees as to cover the costs of additional capital requirements and other regulatory changes applicable to the clearing members, and when rules imposing mandatory minimum margin requirements on bilateral swaps become effective. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. The Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO will likely constitute such a group. If applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.

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Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s income to consist of net short-term capital gain, which, when distributed, is taxable to shareholders subject to U.S. income tax at ordinary income tax rates.

Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds that only invest in U.S. securities. Non-U.S. securities markets often include securities of only a small number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments, (ii) transactions in those investments, and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund is not predictable, and some refunds may not be reflected in a Fund’s net asset value.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).

The Funds need a license to invest directly in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.

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Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the foreign currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk” below.

Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk” above.

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are strongly correlated are subject to greater overall risk than funds with investments that are more diversified.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.

Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country (e.g., Taiwan or Japan) or market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

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A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required. To the extent that GMO’s view with respect to a particular counterparty changes adversely (whether due to external events or otherwise), a Fund’s existing transactions with that counterparty will not necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.

Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries, which could significantly reduce the value of a Fund’s investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or reduce the value of investments traded in them, including investments of the Funds. While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could adversely affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If one or more country changes its currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely affect the Funds. War, terrorism, economic uncertainty, and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and

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markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Additionally, redemptions by a large shareholder also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. In addition, to the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds GMO uses quantitative analyses and models as part of its investment process. GMO’s models support portfolio decisions but are not necessarily predictive of future market events. These analyses and models also make simplifying assumptions that may limit their effectiveness. The data available and utilized for analysis or manipulation by the models is subject to limitations (e.g. inaccuracies, staleness). Any of those assumptions and/or limitations could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment may be wrong.

There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from potential investment gains or avoiding losses. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, such plans and systems are subject to inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”

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August 31, 2015 (Unaudited)

The following Funds are not diversified investment companies within the meaning of the 1940 Act:

• Foreign Fund

• Global Focused Equity Fund

Temporary Defensive Positions.

Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in attempting to respond to adverse market, economic, political, or other conditions.

Foreign Fund and Foreign Small Companies Fund normally do not take temporary defensive positions. Global Focused Equity Fund may hold up to 20% of its assets in cash or cash equivalents if deemed prudent by GMO. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

4. Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

The Funds may have investment exposures in excess of their net assets (i.e., they may be leveraged).

A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.

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For Funds that held derivatives during the period ended August 31, 2015, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Foreign  Fund		Foreign Small Companies Fund		Global Focused Equity Fund
Forward currency contracts
Adjust exposure to foreign currencies		X		X
Rights and/or warrants
Received as a result of corporate actions		X		X		X

Forward currency contracts

The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an

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amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized

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August 31, 2015 (Unaudited)

price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the valuations of derivative instruments categorized by risk exposure:

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2015 and the Statements of Operations for the period ended August 31, 2015^:

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

	Equity Contracts		Foreign Currency Contracts			Total
Foreign Fund
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	(53,308	)	$	(53,308	)
Total	$	—	$	(53,308	)	$	(53,308	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—
Total subject to Master Agreements	$	—	$	(53,308	)	$	(53,308	)
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	483,705	$	—		$	483,705
Forward Currency Contracts		—		1,296,652			1,296,652
Total	$	483,705	$	1,296,652		$	1,780,357

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August 31, 2015 (Unaudited)

	Equity Contracts			Foreign Currency Contracts			Total
Foreign Fund (continued)
Change in Net Unrealized Appreciation (Depreciation)
Investments (rights and/or warrants)	$	(251,157	)	$	—		$	(251,157	)
Forward Currency Contracts		—			661,878			661,878
Total	$	(251,157	)	$	661,878		$	410,721
Foreign Small Companies Fund
Liabilities:
Unrealized Depreciation Forward Currency Contracts	$	—		$	(387,661	)	$	(387,661	)
Total	$	—		$	(387,661	)	$	(387,661	)
Derivatives not subject to Master Agreements	$	—		$	—		$	—
Total subject to Master Agreements	$	—		$	(387,661	)	$	(387,661	)
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	(63,790	)	$	—		$	(63,790	)
Forward Currency Contracts		—			3,337,989			3,337,989
Total	$	(63,790	)	$	3,337,989		$	3,274,199
Change in Net Unrealized Appreciation (Depreciation)
Forward Currency Contracts	$	—		$	2,829,396		$	2,829,396
Total	$	—		$	2,829,396		$	2,829,396

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investment and other risks” above.

For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2015, if any.

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August 31, 2015 (Unaudited)

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2015:

Foreign Fund

Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Liabilities
Deutsche Bank AG.	$	53,308	$	(53,308	)	$	—	$	—	*
Total	$	53,308	$	(53,308	)	$	—	$	—	*

Foreign Small Companies Fund

Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Liabilities
Deutsche Bank AG.	$	387,661	$	—	$	—	$	387,661
Total	$	387,661	$	—	$	—	$	387,661

* In some instances, the actual collateral received and/or pledged may be more than the amount shown.

The average derivative activity of notional amounts (forward currency contracts) and market values (rights and/or warrants) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2015:

Fund Name	Forward Currency Contracts ($)		Rights and/or Warrants ($)
Foreign Fund		26,162,420		454,638
Foreign Small Companies Fund		100,475,576		179
Global Focused Equity Fund		—		1,907	*

* During the period ended August 31, 2015, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values.

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund. That fee, if any, is paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Foreign Fund		Foreign Small Companies Fund		Global Focused Equity Fund
Management Fee		0.60%		0.70%		0.60%

In addition, each class of shares of certain Funds pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of

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Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

Fund Name	Class II		Class III		Class IV
Foreign Fund		0.22%		0.15%		0.09%
Foreign Small Companies Fund				0.15%		0.10%
Global Focused Equity Fund				0.15%		0.10%*

* Class is offered but has no shareholders as of August 31, 2015.

For each Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to the Manager.

“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

For each Fund that pays GMO a management fee, GMO has agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

For each Fund that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

These contractual waivers and reimbursements will continue through at least June 30, 2016 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2015 is shown in the table below and included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Foreign Fund		1,656		184
Foreign Small Companies Fund		5,888		736
Global Focused Equity Fund		40		—

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2015, these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense		Total Indirect Expense
Foreign Fund		< 0.001%		0.000%		0.000%		< 0.001%
Foreign Small Companies Fund		< 0.001%		0.000%		0.000%		< 0.001%
Global Focused Equity Fund		< 0.001%		0.000%		0.000%		< 0.001%

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August 31, 2015 (Unaudited)

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2015 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Foreign Fund		$—		$189,390,824		$—		$250,158,681
Foreign Small Companies Fund		—		343,419,297		—		373,611,337
Global Focused Equity Fund		—		9,651,496		—		9,759,288

7. Guarantees

In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

8. Principal shareholders and related parties as of August 31, 2015

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund		Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers			Percentage of the Fund’s shares held by accounts for which  GMO has investment discretion
Foreign Fund		2		51.21%		0.05	%		—
Foreign Small Companies Fund		4		73.36%		—			—
Global Focused Equity Fund		3		83.88%		79.57	%		—

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August 31, 2015 (Unaudited)

9. Share transactions

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:

	Six Months Ended August 31, 2015 (Unaudited)						Year Ended February 28, 2015
	Shares			Amount			Shares			Amount
Foreign Fund
Class II:
Shares sold		11,085		$	140,000			1,457,951		$	17,595,139
Shares issued to shareholders in reinvestment of distributions		31,371			372,065			713,878			8,379,780
Shares repurchased		(2,432,999	)		(28,636,926	)		(5,389,171	)		(64,689,062	)
Net increase (decrease)		(2,390,543	)	$	(28,124,861	)		(3,217,342	)	$	(38,714,143	)
Class III:
Shares sold		1,179,319		$	14,434,935			1,049,372		$	13,639,351
Shares issued to shareholders in reinvestment of distributions		30,053			358,823			802,075			9,405,521
Shares repurchased		(4,976,440	)		(61,013,116	)		(3,845,644	)		(46,142,862	)
Net increase (decrease)		(3,767,068	)	$	(46,219,358	)		(1,994,197	)	$	(23,097,990	)
Class IV:
Shares sold		—		$	—			41,237		$	574,664
Shares issued to shareholders in reinvestment of distributions		7,478			91,679			122,583			1,485,170
Shares repurchased		(326,681	)		(4,099,117	)		(3,007,083	)		(40,405,762	)
Net increase (decrease)		(319,203	)	$	(4,007,438	)		(2,843,263	)	$	(38,345,928	)
Foreign Small Companies Fund
Class III:
Shares sold		—		$	—			10,223,490		$	157,193,980
Shares issued to shareholders in reinvestment of distributions		16,258			243,711			807,024			11,815,666
Shares repurchased		(1,541,047	)		(23,173,580	)		(1,594,802	)		(24,269,301	)
Purchase premiums		—			19			—			110,884
Redemption fees		—			35,552			—			7,047
Net increase (decrease)		(1,524,789	)	$	(22,894,298	)		9,435,712		$	144,858,276
Class IV:
Shares sold		789		$	12,296			5,942,278		$	97,043,173
Shares issued to shareholders in reinvestment of distributions		39,551			591,688			3,094,969			45,266,347
Shares repurchased		(1,508	)		(23,306	)		(8,574,898	)		(130,673,397	)
Purchase premiums		—			43			—			421,669
Redemption fees		—			80,432			—			26,371
Net increase (decrease)		38,832		$	661,153			462,349		$	12,084,163
Global Focused Equity Fund
Class III:
Shares sold		1,861		$	40,500			4,430		$	99,534
Shares issued to shareholders in reinvestment of distributions		873			18,126			72,173			1,672,956
Shares repurchased		(2,881	)		(62,627	)		(18,976	)		(453,171	)
Net increase (decrease)		(147	)	$	(4,001	)		57,627		$	1,319,319

44

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

10. Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended August 31, 2015 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Foreign Fund
GMO U.S. Treasury Fund	$	10,161,974	$	95,907,490	$	100,150,000	$	3,150	$	333	$	5,919,464
Foreign Small Companies Fund
GMO U.S. Treasury Fund	$	54,564,885	$	99,961,422	$	120,517,000	$	14,206	$	1,216	$	34,009,307
Global Focused Equity Fund
GMO U.S. Treasury Fund	$	492,358	$	629,055	$	744,000	$	55	$	1	$	377,413

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2015 through August 31, 2015. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2016.

45

GMO Trust Funds

Board Review of Investment Management Agreement

August 31, 2015 (Unaudited)

GMO Foreign Fund

Approval of renewal of management agreement for GMO Foreign Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. In considering the Fund’s performance, the Trustees satisfied themselves that GMO continued to believe that the Fund’s investment strategies continued to have a reasonable prospect of producing favorable long-term results. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

46

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2015 (Unaudited)

GMO Foreign Small Companies Fund

Approval of renewal of management agreement for GMO Foreign Small Companies Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

47

GMO Trust Funds

Board Review of Investment Management Agreement — (Continued)

August 31, 2015 (Unaudited)

GMO Global Focused Equity Fund

Approval of renewal of management agreement for GMO Global Focused Equity Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics . The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

48

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2015 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six-month period ended August 31, 2015.

As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2015 through August 31, 2015.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value March 1, 2015		Ending Account Value August 31, 2015		Expenses Paid During the Period		Beginning Account Value March 1, 2015		Ending Account Value August 31, 2015		Expenses Paid During the Period		Annualized Expense Ratio
Foreign Fund
Class II		$1,000.00		$984.20		$4.14		$1,000.00		$1,020.96		$4.22		0.83%
Class III		$1,000.00		$984.70		$3.79		$1,000.00		$1,021.32		$3.86		0.76%
Class IV		$1,000.00		$984.40		$3.49		$1,000.00		$1,021.62		$3.56		0.70%
Foreign Small Companies Fund
Class III		$1,000.00		$974.60		$4.22		$1,000.00		$1,020.86		$4.32		0.85%
Class IV		$1,000.00		$974.70		$3.97		$1,000.00		$1,021.12		$4.06		0.80%
Global Focused Equity Fund
Class III		$1,000.00		$904.90		$3.73		$1,000.00		$1,021.22		$3.96		0.78%

* Expenses are calculated using each class’s annualized net expense ratio for the six months ended August 31, 2015, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

49

GMO Trust

Semiannual Report

August 31, 2015

Developed World Stock Fund

International Equity Fund

International Large/Mid Cap Equity Fund

International Small Companies Fund

Quality Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Allocation Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market-risk equities, management and operational risk, non-U.S. investment risk, smaller company risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Developed World Stock Fund
Investment Concentration Summary	1
Schedule of Investments	2
International Equity Fund
Investment Concentration Summary	11
Schedule of Investments	12
International Large/Mid Cap Equity Fund
Investment Concentration Summary	20
Schedule of Investments	21
International Small Companies Fund
Investment Concentration Summary .	26
Schedule of Investments	27
Quality Fund
Investment Concentration Summary	34
Schedule of Investments	35
Resources Fund
Investment Concentration Summary	37
Schedule of Investments	38
Risk Premium Fund
Investment Concentration Summary	42
Schedule of Investments	43
Tax-Managed International Equities Fund
Investment Concentration Summary	44
Schedule of Investments	45
U.S. Equity Allocation Fund
Investment Concentration Summary	49
Schedule of Investments	50
Portfolio, Counterparty and Currency Abbreviations	55
Fund Financial Statements:
Statements of Assets and Liabilities	56
Statements of Operations	60
Statements of Changes in Net Assets . .	62
Financial Highlights	67
Notes to Financial Statements	76
Board Review of Management Agreements	117
Fund Expenses	126

GMO Developed World Stock Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		93.9	%
Mutual Funds		3.9
Preferred Stocks		1.4
Short-Term Investments		0.2
Futures Contracts		(0.1	)
Other		0.7
		100.0	%
Country Summary**	% of Investments
United States		39.1	%
United Kingdom		12.2
Japan		10.0
France		8.7
Germany		5.6
Other Developed***		5.1
Canada		5.1
China		4.1
Spain		2.4
Italy		2.1
Switzerland		2.0
South Korea		1.6
Russia		1.4
Other Emerging****		0.5
		100.0	%
Industry Group Summary	% of Equity Investments*****
Pharmaceuticals, Biotechnology & Life Sciences		12.4	%
Energy		10.7
Software & Services		9.7
Capital Goods		8.5
Telecommunication Services		7.7
Food, Beverage & Tobacco		6.7
Technology Hardware & Equipment		6.7
Automobiles & Components		5.8
Retailing		5.0
Health Care Equipment & Services		3.7
Utilities		3.6
Food & Staples Retailing		3.0
Materials		2.9
Insurance		2.7
Banks		2.7
Household & Personal Products		2.1
Media		2.1
Consumer Durables & Apparel		1.2
Transportation		1.0
Diversified Financials		0.9
Consumer Services		0.4
Real Estate		0.3
Semiconductors & Semiconductor Equipment		0.2
Commercial & Professional Services		0.0	^
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

*** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Investments.

**** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Investments.

***** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

1

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 93.9%
		Australia — 0.5%
	10,970	AMP Ltd		46,401
	590	ASX Ltd		16,549
	9,423	Australia & New Zealand Banking Group Ltd		187,413
	1,672	Bendigo & Adelaide Bank Ltd		13,043
	4,214	Challenger Ltd		21,410
	4,052	Commonwealth Bank of Australia		216,483
	3,663	Dexus Property Group (REIT)		19,170
	6,344	Echo Entertainment Group Ltd		22,169
	23,100	Federation Centres Ltd (REIT)		46,437
	836	Flight Centre Travel Group Ltd		22,004
	6,279	Goodman Group (REIT)		27,137
	8,468	GPT Group (The) (REIT)		27,063
	9,796	Insurance Australia Group Ltd		35,315
	2,228	IOOF Holdings Ltd		14,187
	2,128	Lend Lease Group		21,056
	1,933	Macquarie Group Ltd		104,334
	792	Magellan Financial Group Ltd		10,784
	17,232	Mirvac Group (REIT)		21,423
	6,236	National Australia Bank Ltd		138,274
	625	Perpetual Ltd		19,160
	1,996	Platinum Asset Management Ltd		9,611
	10,866	Stockland (REIT)		30,191
	5,156	Suncorp Group Ltd		47,051
	7,401	Tabcorp Holdings Ltd		24,410
	5,859	Tatts Group Ltd		15,328
	32,127	Telstra Corp Ltd		131,805
	8,222	Westfield Corp (REIT)		56,936
	10,226	Westpac Banking Corp		227,072
	19,583	Woodside Petroleum Ltd		450,718
	3,655	WorleyParsons Ltd		19,524
		Total Australia		2,042,458
		Austria — 0.2%
	18,217	OMV AG		466,375
	9,937	Voestalpine AG		362,289
		Total Austria		828,664
		Belgium — 0.4%
	1,386	Ageas		56,582
	9,989	Delhaize Group.		893,781
	12,502	Proximus		448,449
	1,830	Solvay SA		214,742
		Total Belgium		1,613,554
		Brazil — 0.0%
	12,300	Banco do Brasil SA		60,471
	4,600	EDP-Energias do Brasil SA		14,219
		Total Brazil		74,690

Shares		Description	Value ($)
		Canada — 4.9%
	6,400	Bank of Nova Scotia (The)		292,952
	4,300	Bank of Montreal		232,061
	4,500	BCE Inc		181,970
	2,600	Canadian Imperial Bank of Commerce		191,087
	13,800	Canadian Natural Resources Ltd		311,014
	200	Canadian Tire Corp Ltd – Class A		18,881
	5,100	Cenovus Energy Inc		73,926
	1,000	CI Financial Corp		23,906
	100	Fairfax Financial Holdings Ltd		46,501
	500	Genworth MI Canada Inc		11,584
	1,000	Great-West Lifeco Inc		25,563
	400	IGM Financial Inc		11,447
	300	Industrial Alliance Insurance & Financial Services Inc		9,582
	400	Intact Financial Corp		27,683
	400	Linamar Corp		21,013
	5,100	Magna International Inc		251,666
	10,000	Manulife Financial Corp		162,511
	2,300	National Bank of Canada		75,699
	15,800	Pacific Exploration & Production Corp		53,563
	1,600	Power Corp of Canada		35,026
	900	Power Financial Corp		22,124
	700	RioCan Real Estate Investment Trust		12,935
	8,100	Royal Bank of Canada		451,546
	500	Smart Real Estate Investment Trust		11,124
	55,800	Suncor Energy Inc		1,580,350
	2,800	Sun Life Financial Inc		89,006
	9,300	Toronto-Dominion Bank (The)		370,982
	63,212	Valeant Pharmaceuticals International Inc *		14,576,687
		Total Canada		19,172,389
		China — 3.9%
	28,000	Agricultural Bank of China Ltd – Class H		11,275
	151,079	Alibaba Group Holding Ltd Sponsored ADR *		9,989,344
	724,000	Bank of China Ltd		329,758
	23,000	Belle International Holdings Ltd		20,953
	222,000	China Communications Construction Co Ltd		263,427
	220,000	China Communications Services Corp Ltd – Class H		81,383
	19,000	China Machinery Engineering Corp – Class H		14,046
	259,150	China Mobile Ltd		3,171,854
	52,000	China National Building Material Co Ltd – Class H		30,188
	46,000	China Petroleum & Chemical Corp		30,845
	32,500	China Railway Construction Corp Ltd		42,603
	99,000	China Railway Group Ltd		88,365
	230,500	China Shenhua Energy Co Ltd		399,446
	317,060	China Telecom Corp Ltd		165,859
	30,000	China Travel International Investment Hong Kong Ltd		10,518

2 See accompanying notes to the financial statements.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		China — continued
	210,000	CNOOC Ltd		263,228
	40,000	Datang International Power Generation Co Ltd – Class H		16,196
	50,000	Dongfeng Motor Group Co Ltd – Class H		50,476
	14,000	Guangdong Investments Ltd		18,971
	40,000	Huabao International Holdings Ltd		13,369
	494,000	Industrial and Commercial Bank of China		289,230
	10,000	Jiangsu Expressway Co Ltd – Class H		11,827
	49,000	Poly Property Group Co Ltd		13,172
	32,000	Skyworth Digital Holdings Ltd		18,603
	58,000	Yuexiu Property Co Ltd		9,164
		Total China		15,354,100
		Czech Republic — 0.1%
	9,071	CEZ AS		207,239
		Denmark — 0.4%
	521	AP Moeller – Maersk A/S – Class B		887,298
	81	AP Moller – Maersk A/S – Class A		135,224
	3,739	Carlsberg A/S		282,516
	29,191	TDC A/S		184,555
		Total Denmark		1,489,593
		Egypt — 0.0%
	17,072	Telecom Egypt Co		14,982
		Finland — 0.4%
	20,360	Fortum Oyj		329,570
	96,382	Nokia Oyj		604,698
	1,759	Sampo Oyj – A Shares		84,739
	27,150	UPM – Kymmene Oyj		451,307
		Total Finland		1,470,314
		France — 8.3%
	57,134	ArcelorMittal		446,176
	36,664	AXA SA		923,529
	9,151	BNP Paribas SA		576,427
	19,486	Bouygues SA		742,052
	20,347	Carrefour SA		660,620
	4,860	Casino Guichard Perrachon SA		307,006
	1,927	Christian Dior SA		356,722
	12,000	Cie Generale des Etablissements Michelin – Class B		1,158,721
	23,643	CNP Assurances		364,599
	25,990	Compagnie de Saint-Gobain		1,192,862
	4,173	Danone SA		258,532
	12,887	Electricite de France		277,984
	103,021	Engie		1,839,953
	63	Hermes International		22,354
	1,285	LVMH Moet Hennessy Louis Vuitton SE		213,875

Shares		Description	Value ($)
		France — continued
	146,858	Orange SA		2,322,597
	2,804	Pernod-Ricard SA		294,035
	21,156	Peugeot SA *		363,712
	35,757	Renault SA		2,960,909
	13,690	Rexel SA		209,719
	41,798	Sanofi		4,111,322
	20,987	Schneider Electric SA		1,322,829
	688	SCOR SE		24,216
	3,350	Societe Generale SA		162,771
	7,859	Suez Environnement Co		141,358
	160,131	Total SA		7,383,061
	6,303	Vallourec SA		80,468
	20,389	Veolia Environnement SA		445,296
	20,806	Vinci SA		1,338,315
	89,888	Vivendi SA		2,218,689
		Total France		32,720,709
		Germany — 4.8%
	6,976	Allianz SE (Registered)		1,111,506
	55,532	BASF SE		4,461,821
	9,961	Bayerische Motoren Werke AG		915,523
	1,135	Bilfinger SE		45,496
	25,014	Daimler AG (Registered)		2,004,986
	20,362	Deutsche Lufthansa AG (Registered) *		247,071
	118,194	Deutsche Telekom AG		2,016,216
	132,005	E.ON AG		1,491,768
	5,863	Fresenius SE & Co KGaA		413,618
	6,026	Fresenius Medical Care AG & Co		458,976
	5,623	Hannover Rueck SE		570,682
	3,075	HeidelbergCement AG		231,905
	14,172	K+S AG (Registered)		528,950
	256	LEG Immobilien AG *		19,192
	11,711	Metro AG		340,502
	3,222	Muenchener Rueckversicherungs AG (Registered)		591,018
	6,910	ProSiebenSat.1 Media SE		335,610
	37,497	RWE AG		561,439
	22,282	Siemens AG		2,208,658
	9,349	Suedzucker AG		136,177
	1,984	Volkswagen AG		370,002
		Total Germany		19,061,116
		Hong Kong — 0.2%
	5,200	Bank of East Asia Ltd (The)		17,963
	34,000	BOC Hong Kong Holdings Ltd		114,892
	10,000	Hang Lung Properties Ltd		22,639
	3,800	Hang Seng Bank Ltd		67,638
	6,000	Henderson Land Development Co Ltd		37,074
	2,900	Hongkong Land Holdings Ltd		20,093
	7,000	Link REIT		37,163

See accompanying notes to the financial statements. 3

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	33,000	New World Development Co Ltd		33,501
	23,000	PCCW Ltd		12,029
	6,000	Power Assets Holdings Ltd		51,686
	29,000	SJM Holdings Ltd		26,257
	9,000	Sun Hung Kai Properties Ltd		114,083
	2,500	Swire Pacific Ltd		27,375
	7,000	Techtronic Industries Co Ltd		25,360
	17,000	Value Partners Group Ltd		15,318
	12,000	Wharf Holdings Ltd (The)		67,697
	3,500	Yue Yuen Industrial Holdings		12,546
		Total Hong Kong		703,314
		Hungary — 0.0%
	21,718	Magyar Telekom Telecommunications Plc *		30,911
		India — 0.0%
	3,140	Indiabulls Housing Finance Ltd		35,255
		Indonesia — 0.1%
	251,600	Astra International Tbk PT		105,980
	224,300	Telekomunikasi Indonesia Persero Tbk PT		45,791
	300	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		12,063
		Total Indonesia		163,834
		Ireland — 0.1%
	16,186	CRH Plc		483,790
		Israel — 0.1%
	2,322	Bank Hapoalim BM		11,777
	3,291	Bank Leumi Le-Israel BM *		11,991
	9,498	Bezeq The Israeli Telecommunication Corp Ltd		17,051
	4,220	Check Point Software Technologies Ltd *		329,202
		Total Israel		370,021
		Italy — 2.0%
	428,083	Enel SPA		1,924,982
	155,555	ENI SPA		2,567,580
	1,051	EXOR SPA		48,232
	30,726	Fiat Chrysler Automobiles NV *		430,785
	42,071	Finmeccanica SPA *		568,495
	89,625	Mediaset SPA		428,432
	6,736	Mediolanum SPA		53,104
	20,169	Snam Rete Gas SPA		98,529
	967,346	Telecom Italia SPA *		1,174,010
	696,879	Telecom Italia SPA-Di RISP		698,388
		Total Italy		7,992,537

Shares		Description	Value ($)
		Japan — 9.6%
	500	ABC-Mart Inc		30,275
	300	Adastria Co Ltd		16,088
	30,100	Aeon Co Ltd		451,439
	1,700	Aisin Seiki Co Ltd		61,128
	16,000	Aozora Bank Ltd		58,412
	26,000	Asahi Kasei Corp		206,807
	4,800	Asatsu-DK Inc		98,993
	1,100	Asics Corp		32,110
	1,000	Bank of Kyoto Ltd (The)		10,842
	6,000	Bank of Yokohama Ltd (The)		36,638
	600	Benesse Holdings Inc		15,903
	18,800	Bridgestone Corp		628,627
	37,000	Canon Inc		1,127,282
	5,100	Central Japan Railway Co		835,001
	3,000	Chiba Bank Ltd (The)		21,842
	1,200	Credit Saison Co Ltd		23,978
	2,700	Daihatsu Motor Co Ltd		32,939
	6,000	Daikyo Inc		9,367
	400	Daito Trust Construction Co Ltd		43,694
	2,200	Daiwa House Industry Co Ltd		53,936
	12,000	Daiwa Securities Group Inc		82,946
	1,400	Denso Corp		62,465
	1,600	Dentsu Inc		81,909
	15,000	FujiFilm Holdings Corp		614,885
	1,000	Fujitsu General Ltd		12,360
	4,700	Fuji Heavy Industries Ltd		164,307
	4,000	Fukuoka Financial Group Inc		19,817
	900	H2O Retailing Corp		17,911
	4,900	Haseko Corp		57,309
	600	Heiwa Corp		11,791
	700	HIS Co Ltd		23,969
	400	Hitachi Capital Corp		9,605
	7,000	Hokuhoku Financial Group Inc		15,784
	55,200	Honda Motor Co Ltd		1,736,266
	1,400	Idemitsu Kosan Co Ltd		24,090
	30,900	Inpex Corp		313,208
	5,700	Isuzu Motors Ltd		64,570
	135,800	Itochu Corp		1,628,684
	300	Izumi Co Ltd		12,843
	500	Jafco Co Ltd		21,747
	20,700	JFE Holdings Inc		320,560
	2,000	Joyo Bank Ltd (The)		10,683
	700	K’s Holdings Corp		22,302
	49,000	Kawasaki Kisen Kaisha Ltd		108,770
	64,800	KDDI Corp.		1,607,939
	900	Koito Manufacturing Co Ltd		30,755
	600	Komatsu Ltd		9,936
	23,800	Kyocera Corp		1,165,939
	4,700	Leopalace21 Corp *		22,847
	127,400	Marubeni Corp		698,021

4 See accompanying notes to the financial statements.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	2,700	Marui Group Co Ltd		32,637
	74,300	Mitsubishi Chemical Holdings Corp		421,333
	92,700	Mitsubishi Corp		1,722,195
	7,600	Mitsubishi Motors Corp		58,118
	97,800	Mitsubishi UFJ Financial Group Inc		645,106
	2,000	Mitsubishi UFJ Lease & Finance Co Ltd		9,631
	104,200	Mitsui & Co Ltd		1,354,990
	64,000	Mitsui OSK Lines Ltd		180,029
	280,500	Mizuho Financial Group Inc		574,455
	1,900	MS&AD Insurance Group Holdings Inc		59,734
	2,300	Namco Bandai Holdings Inc		53,133
	400	NGK Spark Plug Co Ltd		9,798
	300	Nifco Inc		11,677
	67,100	Nippon Telegraph & Telephone Corp		2,559,339
	900	Nippon Television Holdings Inc		15,567
	141,000	Nippon Yusen Kabushiki Kaisha		369,717
	4,000	Nishi-Nippon City Bank Ltd (The)		11,082
	578,705	Nissan Motor Co Ltd		5,204,537
	600	Nitori Holdings Co Ltd		47,623
	900	NOK Corp		22,123
	1,100	Nomura Real Estate Holdings Inc		20,635
	37,300	Nomura Holdings Inc		233,991
	85,400	NTT Docomo, Inc.		1,791,159
	13,100	Orient Corp *		21,297
	12,900	ORIX Corp		172,904
	9,000	Osaka Gas Co Ltd		36,519
	11,000	Otsuka Holdings Co Ltd		375,355
	11,900	Resona Holdings Inc		59,980
	400	Resorttrust Inc		10,630
	31,800	Ricoh Co Ltd		310,023
	700	Ryohin Keikaku Co Ltd		155,358
	2,900	SBI Holdings Inc		35,118
	2,000	Seiko Holdings Corp		11,854
	3,000	Sekisui Chemical Co Ltd		33,039
	25,200	Sekisui House Ltd		375,625
	200	Shimamura Co Ltd		18,447
	31,000	Shinsei Bank Ltd		66,821
	2,000	Shizuoka Bank Ltd (The)		21,046
	264,500	Sojitz Corp		558,558
	2,300	Sompo Japan Nipponkoa Holdings Inc		75,964
	24,200	Sony Corp *		624,021
	2,500	Sony Financial Holdings Inc		46,759
	85,500	Sumitomo Corp		906,843
	2,100	Sumitomo Rubber Industries Ltd		29,672
	4,800	Sumitomo Electric Industries Ltd		65,683
	25,000	Sumitomo Metal Mining Co Ltd		317,352
	24,500	Sumitomo Mitsui Financial Group Inc		1,000,003
	24,000	Sumitomo Mitsui Trust Holdings Inc		99,069
	600	Suruga Bank Ltd		11,461
	2,800	Suzuki Motor Corp		95,078

Shares		Description	Value ($)
		Japan — continued
	3,500	T&D Holdings Inc		46,986
	3,000	Takashimaya Co Ltd		25,927
	18,900	Takeda Pharmaceutical Co., Ltd		927,133
	2,900	Tokio Marine Holdings Inc		116,090
	20,500	Tokyo Electric Power Co Inc *		140,378
	10,000	Tokyo Gas Co Ltd		54,635
	1,100	Toyo Tire & Rubber Co Ltd		24,553
	900	Toyota Industries Corp		44,519
	24,100	Toyota Tsusho Corp		554,501
	700	Toyota Boshoku Corp		11,634
	26,300	Toyota Motor Corp		1,554,494
	700	USS Co Ltd		12,397
	85,200	Yamada Denki Co Ltd		327,802
	1,000	Yamaguchi Financial Group Inc		12,315
	1,100	Yamaha Corp		25,135
	3,100	Yamaha Motor Co Ltd		59,678
	800	Yokohama Rubber Co Ltd (The)		15,677
		Total Japan		37,666,461
		Mexico — 0.0%
	8,200	OHL Mexico SAB de CV *		10,979
		Netherlands — 0.9%
	40,482	Aegon NV		249,338
	4,443	Heineken NV		351,155
	72,350	Koninklijke Ahold NV		1,426,933
	67,318	Koninklijke KPN NV		261,505
	2,508	Koninklijke DSM NV		131,740
	3,997	TomTom NV *		40,040
	23,207	Unilever NV CVA GDR		930,010
	2,817	Wolters Kluwer NV		89,125
		Total Netherlands		3,479,846
		Norway — 0.6%
	4,504	DNB ASA		64,120
	78,137	Statoil ASA		1,190,883
	4,319	Storebrand ASA *		14,781
	26,060	Telenor ASA		518,214
	15,162	Yara International ASA		676,578
		Total Norway		2,464,576
		Poland — 0.1%
	1,622	Asseco Poland SA		22,460
	4,838	KGHM Polska Miedz SA		100,297
	9,660	PGE SA		39,950
		Total Poland		162,707
		Portugal — 0.2%
	189,147	EDP-Energias de Portugal SA		660,496

See accompanying notes to the financial statements. 5

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Russia — 0.8%
	199,030	Gazprom PAO Sponsored ADR		892,461
	55,087	Lukoil PJSC Sponsored ADR		2,083,296
	9,541	Rosneft OJSC GDR (Registered)		36,101
	120,679	Surgutneftegas OJSC Class S *		62,029
	2,360	Tatneft PAO Sponsored ADR		66,610
		Total Russia		3,140,497
		Singapore — 0.1%
	9,900	Ascendas Real Estate Investment Trust		15,625
	11,200	CapitaLand Commercial Trust Ltd (REIT)		10,549
	16,200	CapitaLand Ltd		32,467
	11,500	CapitaLand Mall Trust (REIT)		15,624
	5,700	DBS Group Holdings Ltd		71,845
	7,200	Oversea-Chinese Banking Corp Ltd		45,594
	6,200	Singapore Exchange Ltd		31,927
	3,500	United Overseas Bank Ltd		48,120
		Total Singapore		271,751
		South Africa — 0.0%
	44,814	African Bank Investments Ltd * (a)		3
	1,678	Clicks Group Ltd		11,571
	1,456	Hyprop Investments Ltd (REIT)		13,610
	800	Imperial Holdings Ltd		11,129
	2,396	Kumba Iron Ore Ltd		16,296
	935	Liberty Holdings Ltd		9,064
	6,033	MMI Holdings Ltd		12,777
	29,464	Redefine Properties Ltd (REIT)		25,531
	7,719	Telkom South Africa Ltd		36,944
		Total South Africa		136,925
		South Korea — 1.1%
	3,280	Hankook Tire WorldwideCo Ltd		47,702
	2,162	Hanwha Corp		76,962
	2,235	Hyundai Mobis		389,995
	1,761	Hyundai Motor Co		221,628
	8,720	Industrial Bank of Korea		97,240
	11,444	Kia Motors Corp		470,683
	3,726	KT Corp *		91,261
	2,963	Samsung Electronics Co Ltd		2,726,471
	1,197	SK Innovation Co Ltd *		101,869
	832	SK Telecom Co Ltd		171,368
		Total South Korea		4,395,179
		Spain — 2.3%
	19,391	ACS Actividades de Construcciony Servicios SA		626,819
	9,278	Enagas		253,168
	22,797	Ferrovial SA		543,524
	36,254	Gas Natural SDG SA		733,219
	270,490	Iberdrola SA		1,829,080

Shares		Description	Value ($)
		Spain — continued
	103,404	Mapfre SA		303,572
	1,426	Red Electrica Corp SA		113,469
	52,400	Repsol SA		747,118
	280,384	Telefonica SA		3,951,303
		Total Spain		9,101,272
		Sweden — 0.8%
	32,895	Sandvik AB		317,443
	11,468	Skanska AB – B Shares		224,498
	6,360	SKF AB – B Shares		121,312
	125,067	Telefonaktiebolaget LM Ericsson – B Shares		1,219,078
	180,220	TeliaSonera AB		1,015,167
	33,531	Volvo AB – B Shares		364,122
		Total Sweden		3,261,620
		Switzerland — 1.8%
	89,656	ABB Ltd (Registered) *		1,731,453
	240	Baloise Holding AG (Registered)		29,352
	25	Helvetia Patria Holding AG (Registered)		13,166
	10,907	LafargeHolcim Ltd (Registered) *		692,490
	39,163	Nestle SA (Registered)		2,885,017
	2,228	Roche Holding AG		606,516
	195	Swiss Life Holding AG (Registered) *		45,639
	2,537	Swiss Re AG		217,494
	753	Swisscom AG (Registered)		406,446
	2,587	Zurich Insurance Group AG *		710,295
		Total Switzerland		7,337,868
		Taiwan — 0.3%
	10,000	Asustek Computer Inc		91,115
	99,043	E.Sun Financial Holding Co Ltd		59,553
	9,494	Foxconn Technology Co Ltd		26,709
	44,000	Fubon Financial Holding Co Ltd		75,756
	27,000	Highwealth Construction Corp *		41,819
	112,000	Hon Hai Precision Industry Co Ltd *		318,838
	4,002	Hon Hai Precision Industry Co Ltd GDR Reg S *		22,178
	7,731	HTC Corp GDR (Registered)		48,526
	97,000	Innolux Corp		34,342
	8,641	Lite-On Technology Corp GDR (a)		78,190
	38,000	Pegatron Corp		98,611
	21,000	Pou Chen Corp		34,006
	48,568	Powertech Technology Inc GDR		166,910
	21,000	Radiant Opto-Electronics Corp		61,245
	53,082	Shin Kong Financial Holding Co Ltd		12,616
	11,000	Simplo Technology Co Ltd		36,496
	32,000	Taishin Financial Holding Co Ltd		11,219
	104,000	United Microelectronics Corp		33,936
		Total Taiwan		1,252,065

6 See accompanying notes to the financial statements.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Thailand — 0.0%
	3,100	Electricity Generating Pcl NVDR		13,754
	58,700	Krung Thai Bank Pcl NVDR		29,832
	30,400	Ratchaburi Electricity Generating Holding Pcl NVDR		45,180
		Total Thailand		88,766
		Turkey — 0.0%
	13,365	Turk Telekomunikasyon AS		28,125
	2,817	Turkcell Iletisim Hizmetleri AS		11,033
	48,809	Turkiye Is Bankasi – Class C		81,567
	18,779	Turkiye Vakiflar Bankasi TAO – Class D		24,799
		Total Turkey		145,524
		United Kingdom — 11.6%
	98,370	AstraZeneca Plc		6,137,218
	51,856	Aviva Plc		381,794
	101,411	BAE Systems Plc		698,049
	57,187	BG Group Plc		867,960
	1,143,056	BP Plc		6,335,690
	45,442	British American Tobacco Plc		2,406,265
	149,433	BT Group Plc		996,895
	354,328	Centrica Plc		1,311,983
	28,602	Compass Group Plc		451,128
	22,853	Diageo Plc		605,535
	216,926	GlaxoSmithKline Plc		4,429,111
	68,295	Glencore Plc *		154,160
	57,185	J Sainsbury Plc		211,666
	82,234	Kingfisher Plc		446,904
	81,409	Marks & Spencer Group Plc		646,381
	17,952	National Grid Plc		236,529
	26,064	Pearson Plc		451,860
	20,179	Reckitt Benckiser Group Plc		1,767,971
	220,598	Royal Dutch Shell Plc A Shares (London)		5,747,081
	142,738	Royal Dutch Shell Plc B Shares (London)		3,726,759
	21,603	Scottish & Southern Energy Plc		484,105
	587,390	Tesco Plc		1,704,857
	4,610	Unilever Plc		184,884
	1,289,357	Vodafone Group Plc		4,439,825
	107,820	William Morrison Supermarket Plc		276,770
	28,099	WPP Plc		578,426
		Total United Kingdom		45,679,806
		United States — 37.3%
	14,600	3M Co.		2,075,244
	24,200	Abbott Laboratories		1,096,018
	12,611	Accenture Plc-Class A		1,188,839
	5,800	ACE Ltd.		592,528
	1,700	AFLAC Inc.		99,620
	800	Akamai Technologies, Inc. *		57,048
	11,400	Allergan Plc *		3,462,636

Shares		Description	Value ($)
		United States — continued
	7,000	Allstate Corp. (The)		407,960
	23,097	Amazon.com, Inc. *		11,846,220
	900	American Equity Investment Life Holding Co.		21,834
	14,518	American Express Co.		1,113,821
	500	American Financial Group, Inc.		34,530
	2,000	American International Group, Inc.		120,680
	4,500	AMETEK, Inc.		242,190
	4,500	Amgen, Inc.		683,010
	4,600	Amphenol Corp. – Class A		240,856
	7,300	Analog Devices, Inc.		407,778
	7,500	Anthem, Inc.		1,057,875
	1,600	Apollo Education Group, Inc. – Class A *		17,776
	39,600	Apple, Inc.		4,465,296
	1,200	Arrow Electronics, Inc. *		67,104
	700	Aspen Insurance Holdings Ltd.		32,137
	1,100	Assurant, Inc.		81,785
	3,600	Assured Guaranty Ltd.		90,936
	300	AutoNation, Inc. *		17,952
	600	Axis Capital Holdings Ltd.		33,600
	3,400	Becton, Dickinson and Co.		479,468
	9,902	Bed Bath & Beyond, Inc. *		615,013
	2,600	BGC Partners, Inc. – Class A		22,802
	1,100	Booz Allen Hamilton Holding Corp.		29,370
	1,100	Brown-Forman Corp. – Class B		107,910
	5,700	CA, Inc.		155,553
	8,900	Capital One Financial Corp.		691,975
	3,900	Cerner Corp. *		240,864
	19,100	Charter Communications, Inc. – Class A *		3,468,751
	4,300	Chevron Corp.		348,257
	3,100	Church & Dwight Co., Inc.		267,468
	8,900	CH Robinson Worldwide, Inc.		600,127
	186,800	Cisco Systems, Inc.		4,834,384
	4,100	Citigroup, Inc.		219,268
	3,600	Citrix Systems, Inc. *		245,196
	1,200	CNO Financial Group, Inc.		21,468
	13,000	Coach, Inc.		393,250
	53,400	Coca-Cola Co. (The)		2,099,688
	7,900	Cognizant Technology Solutions Corp. – Class A *		497,226
	11,524	Colgate-Palmolive Co		723,822
	9,100	ConocoPhillips		447,265
	400	Cooper Tire & Rubber Co.		15,440
	2,800	Costco Wholesale Corp.		392,140
	2,600	CR Bard, Inc.		503,854
	100	Credit Acceptance Corp. *		20,381
	11,900	CVS Health Corp.		1,218,560
	16,300	Danaher Corp.		1,418,426
	200	Dillard’s, Inc. – Class A		18,502
	100	DineEquity, Inc.		9,550
	3,900	Dover Corp.		241,605

See accompanying notes to the financial statements. 7

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	1,500	Dr Pepper Snapple Group, Inc.		115,095
	13,500	eBay, Inc. *		365,985
	1,400	Edwards Lifesciences Corp. *		197,232
	15,300	Eli Lilly & Co.		1,259,955
	62,900	EMC Corp.		1,564,323
	22,300	Emerson Electric Co.		1,064,156
	300	Encore Capital Group, Inc. *		12,189
	1,400	Endurance Specialty Holdings Ltd.		89,250
	2,500	Estee Lauder Cos, Inc. (The) – Class A		199,425
	700	Everest Re Group Ltd.		123,067
	7,100	Expeditors International of Washington, Inc.		347,687
	7,100	Exxon Mobil Corp.		534,204
	1,400	F5 Networks, Inc. *		169,974
	8,100	Fastenal Co.		312,174
	300	Federated Investors, Inc. – Class B		9,300
	1,900	First American Financial Corp.		73,834
	1,000	Foot Locker, Inc.		70,790
	4,700	Franklin Resources, Inc.		190,726
	7,900	Genuine Parts Co.		659,571
	4,400	Genworth Financial, Inc. – Class A *		22,792
	4,000	Google, Inc. – Class A *		2,591,280
	5,612	Google, Inc. – Class C *		3,469,619
	200	Group 1 Automotive, Inc.		17,480
	400	Hanover Insurance Group, Inc. (The)		31,560
	9,500	Hartford Financial Services Group, Inc. (The)		436,525
	700	Helen of Troy Ltd. *		59,598
	2,100	Henry Schein, Inc. *		287,301
	1,800	Hershey Co. (The)		161,136
	9,300	Home Depot, Inc. (The)		1,083,078
	7,600	Honeywell International, Inc.		754,452
	5,900	Hormel Foods Corp.		360,490
	300	HSN, Inc.		18,243
	800	Hubbell, Inc. – Class B		78,936
	4,200	Humana, Inc.		767,718
	800	Iconix Brand Group, Inc. *		11,112
	8,200	Illinois Tool Works, Inc.		693,146
	15,673	International Business Machines Corp.		2,317,880
	5,000	Intuit, Inc.		428,750
	100	Intuitive Surgical, Inc. *		51,095
	400	Invesco Ltd.		13,644
	4,300	Janus Capital Group, Inc.		63,984
	64,400	Johnson & Johnson		6,052,312
	500	Jones Lang LaSalle, Inc.		74,435
	32,400	JPMorgan Chase & Co.		2,076,840
	1,000	Kohl’s Corp.		51,030
	200	L Brands, Inc.		16,780
	1,600	Lear Corp.		164,464
	4,300	Lincoln National Corp.		218,397
	1,700	Lowe’s Cos., Inc.		117,589
	200	Macy’s, Inc.		11,722

Shares		Description	Value ($)
		United States — continued
	500	Marriott Vacations Worldwide Corp.		35,505
	4,400	MasterCard, Inc. – Class A		406,428
	7,600	Mattel, Inc.		178,068
	4,300	MBIA, Inc. *		30,186
	6,400	McDonald’s Corp.		608,128
	38,850	Medtronic Plc		2,808,467
	300	Mercury General Corp.		15,258
	400	Meredith Corp.		18,888
	142,800	Microsoft Corp		6,214,656
	4,431	Monsanto Co.		432,687
	2,100	Monster Beverage Corp. *		290,766
	624	Murphy USA, Inc. *		31,893
	1,900	NASDAQ OMX Group, Inc. (The)		97,261
	4,600	Navient Corp.		58,834
	6,800	Nike, Inc. – Class B		759,900
	176,796	Oracle Corp.		6,557,364
	9,100	Paychex, Inc.		406,406
	13,900	PayPal Holdings, Inc. *		486,500
	700	PBF Energy, Inc. – Class A		20,944
	1,800	PDL BioPharma, Inc.		10,170
	900	Penn National Gaming, Inc. *		16,344
	18,400	PepsiCo, Inc.		1,709,912
	71,300	Pfizer, Inc.		2,297,286
	158,931	Philip Morris International, Inc.		12,682,694
	4,700	PNC Financial Services Group, Inc. (The)		428,264
	1,000	Polaris Industries, Inc.		129,870
	500	PRA Group, Inc. *		26,645
	2,900	Precision Castparts Corp.		667,725
	900	Principal Financial Group, Inc.		45,315
	55,400	Procter & Gamble Co. (The)		3,915,118
	9,000	Progressive Corp. (The)		269,640
	15,608	Puma Biotechnology, Inc. *		1,434,687
	46,438	Qualcomm, Inc.		2,627,462
	1,200	Ralph Lauren Corp.		133,428
	500	RenaissanceRe Holdings Ltd.		50,975
	1,100	Rent-A-Center, Inc.		29,579
	4,400	Reynolds American, Inc.		368,500
	3,200	Rockwell Automation, Inc.		357,856
	8,200	Ross Stores, Inc.		398,684
	600	SEI Investments Co.		30,348
	400	Select Comfort Corp. *		9,740
	300	Sigma-Aldrich Corp.		41,823
	700	Six Flags Entertainment Corp.		31,479
	2,500	Starz – Class A *		94,025
	10,500	Stryker Corp.		1,035,825
	3,500	St Jude Medical, Inc.		247,835
	13,300	Sysco Corp.		530,271
	3,000	T. Rowe Price Group, Inc.		215,640
	1,200	Target Corp.		93,252
	1,000	TEGNA, Inc.		23,790

8 See accompanying notes to the financial statements.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	17,900	Teradata Corp. *		523,217
	200	Tesoro Corp.		18,402
	1,600	Texas Roadhouse, Inc.		57,584
	5,300	TJX Cos, Inc. (The)		372,696
	3,700	Total System Services, Inc.		169,571
	4,300	Travelers Cos., Inc. (The)		428,065
	19,800	TripAdvisor, Inc. *		1,384,020
	600	Tupperware Brands Corp.		30,738
	35,099	Ubiquiti Networks, Inc.		1,234,081
	31,315	UnitedHealth Group, Inc.		3,623,145
	9,600	United Technologies Corp.		879,456
	500	Universal Insurance Holdings, Inc.		12,315
	500	Unum Group		16,770
	14,300	Valero Energy Corp.		848,562
	900	Validus Holdings Ltd.		39,852
	4,700	Varian Medical Systems, Inc. *		381,875
	5,100	Verizon Communications, Inc.		234,651
	10,600	VF Corp.		767,758
	2,000	Vonage Holdings Corp. *		11,100
	19,696	WABCO Holdings, Inc. *		2,271,343
	1,100	Wabtec Corp.		105,336
	43,200	Wal-Mart Stores, Inc.		2,796,336
	1,000	Waters Corp. *		121,380
	100	Whirlpool Corp.		16,810
	1,400	WR Berkley Corp.		75,992
	2,500	WW Grainger, Inc.		558,600
	4,800	Xilinx, Inc.		201,072
	3,100	XL Group Plc		115,599
	2,800	Zimmer Biomet Holdings, Inc.		289,968
		Total United States		146,763,796
		TOTAL COMMON STOCKS (COST $383,422,550)		369,849,604
		PREFERRED STOCKS — 1.4%
		Brazil — 0.0%
	4,300	AES Tiete SA		17,797
	26,600	Companhia Energetica de Minas Gerais		55,156
	47,000	Itausa-Investimentos Itau SA		94,346
		Total Brazil		167,299
		Germany — 0.5%
	16,133	Porsche Automobil Holding SE		1,120,335
	3,654	Volkswagen AG		692,334
		Total Germany		1,812,669
		Russia — 0.5%
	3,076,569	Surgutneftegaz OJSC *		1,862,863
	74	Transneft *		175,129
		Total Russia		2,037,992

Shares / Par Value		Description	Value ($)
		South Korea — 0.4%
	1,055	Hyundai Motor Co		89,078
	530	Hyundai Motor Co 2nd Preference		43,389
	1,800	Samsung Electronics Co Ltd		1,322,946
		Total South Korea		1,455,413
		TOTAL PREFERRED STOCKS (COST $6,472,315)		5,473,373
		MUTUAL FUNDS — 3.9%
		United States — 3.9%
		Affiliated Issuers
	610,145	GMO U.S. Treasury Fund		15,253,617
		TOTAL MUTUAL FUNDS (COST $15,253,617)		15,253,617
		SHORT-TERM INVESTMENTS — 0.2%
		Time Deposits — 0.2%
JPY	3,618,160	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.01%, due 09/01/15		29,844
AUD	481	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.05%, due 09/01/15		342
CAD	5,232	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.10%, due 09/01/15		3,977
HKD	15,706	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/15		2,026
NOK	119,557	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.13%, due 09/01/15		14,453
SGD	560	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.10%, due 09/01/15		397
USD	836,277	Sumitomo (Tokyo) Time Deposit, 0.06%, due 09/01/15		836,277
		Total Time Deposits		887,316
		TOTAL SHORT-TERM INVESTMENTS (COST $887,316)		887,316
		TOTAL INVESTMENTS — 99.4% (Cost $406,035,798)		391,463,910
		Other Assets and Liabilities (net) — 0.6%		2,281,391
		TOTAL NET ASSETS — 100.0%		$393,745,301

See accompanying notes to the financial statements. 9

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
92	Mini MSCI EAFE	September 2015	$	7,970,420	$	(367,683	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.

10 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		97.3	%
Preferred Stocks		0.9
Mutual Funds		0.8
Short-Term Investments		0.2
Other		0.8
		100.0	%
Country Summary**	% of Investments
United Kingdom		22.6	%
Japan		22.2
France		15.4
Germany		10.6
Canada		6.1
Spain		4.5
Italy		3.9
Other Developed***		3.6
Switzerland		2.7
Australia		1.7
Sweden		1.6
Norway		1.5
Netherlands		1.4
Belgium		1.1
Hong Kong		1.1
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

*** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Investments.

Industry Group Summary	% of Equity Investments****
Energy		15.8	%
Telecommunication Services		12.4
Pharmaceuticals, Biotechnology & Life Sciences		11.9
Automobiles & Components		11.2
Capital Goods		10.2
Utilities		6.2
Materials		5.9
Banks		4.5
Food & Staples Retailing		3.2
Food, Beverage & Tobacco		2.6
Insurance		2.5
Technology Hardware & Equipment		2.3
Media		2.2
Retailing		1.9
Real Estate		1.4
Transportation		1.3
Household & Personal Products		1.2
Consumer Durables & Apparel		0.8
Diversified Financials		0.8
Software & Services		0.6
Health Care Equipment & Services		0.5
Consumer Services		0.5
Commercial & Professional Services		0.1
		100.0	%

**** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments.

11

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.3%
		Australia — 1.7%
	45,903	Abacus Property Group (REIT)		100,253
	853,196	AMP Ltd		3,608,982
	50,370	ASX Ltd		1,412,785
	524,254	Australia & New Zealand Banking Group Ltd		10,426,847
	1,236,718	Bank of Queensland Ltd		11,150,552
	137,815	Bendigo & Adelaide Bank Ltd		1,075,066
	3,781,294	BlueScope Steel Ltd		11,616,380
	86,545	BT Investment Management Ltd		591,247
	142,512	BWP Trust (REIT)		320,113
	94,251	Charter Hall Group		297,229
	69,646	Charter Hall Retail (REIT)		198,715
	302,163	Commonwealth Bank of Australia		16,143,452
	342,585	Cromwell Property Group (REIT)		249,563
	309,727	Dexus Property Group (REIT)		1,620,951
	515,607	Echo Entertainment Group Ltd		1,801,751
	1,140,418	Fairfax Media Ltd		692,470
	1,845,626	Federation Centres (REIT)		3,710,177
	217,663	Genworth Mortgage Insurance Australia Ltd		414,589
	514,866	Goodman Group (REIT)		2,225,206
	699,844	GPT Group (The) (REIT)		2,236,615
	770,440	Insurance Australia Group Ltd		2,777,460
	130,351	Investa Office Fund (REIT)		356,396
	192,624	IOOF Holdings Ltd		1,226,542
	177,934	Lend Lease Group		1,760,631
	146,844	Macquarie Group Ltd		7,925,892
	7,844,216	Mirvac Group (REIT)		9,751,805
	208,290	National Australia Bank Ltd		4,618,519
	228,892	Nine Entertainment Co Holdings Ltd		269,815
	23,780	Perpetual Ltd		729,012
	21,830	Premier Investments Ltd		192,418
	506,484	Seven West Media Ltd		298,772
	118,080	Shopping Centres Australasia Property Group (REIT)		165,425
	4,567,510	Stockland (REIT)		12,690,602
	407,851	Suncorp Group Ltd		3,721,829
	3,263,948	TABCORP Holdings Ltd		10,765,300
	2,436,575	Telstra Corp Ltd		9,996,368
	646,158	Westfield Corp (REIT)		4,474,506
	763,138	Westpac Banking Corp		16,945,767
	974,282	Woodside Petroleum Ltd		22,423,841
	33,767	WorleyParsons Ltd		180,377
		Total Australia		181,164,220
		Austria — 0.4%
	1,167,625	Immofinanz AG (Entitlement Shares) *		—
	724,511	OMV AG		18,548,275

Shares		Description	Value ($)
		Austria — continued
	14,312	UNIQA Insurance Group AG		119,699
	631,654	Voestalpine AG		23,029,206
		Total Austria		41,697,180
		Belgium — 1.0%
	437,832	Ageas		17,873,872
	3,937	D’ieteren SA/NV		145,132
	657,489	Delhaize Group		58,829,855
	1,690	Gimv NV		80,132
	6,652	KBC Ancora		265,621
	13,346	Mobistar SA *		277,535
	913,329	Proximus		32,761,301
	89,388	Umicore SA		3,566,925
		Total Belgium		113,800,373
		Canada — 6.0%
	19,600	Allied Properties Real Estate Investment Trust		519,349
	37,800	Artis Real Estate Investment Trust		352,256
	324,000	Bank of Montreal		17,485,558
	157,400	BCE Inc		6,364,913
	29,800	Canadian Apartment Properties (REIT)		634,235
	199,700	Canadian Imperial Bank of Commerce		14,676,948
	2,200	Canadian Natural Resources Ltd		49,582
	113,700	Canadian Tire Corp Ltd – Class A		10,733,916
	40,500	Cenovus Energy Inc		587,059
	86,800	CI Financial Corp		2,074,992
	10,900	Cogeco Cable Inc		550,220
	61,200	Cominar Real Estate Investment Trust		754,999
	37,300	Corus Entertainment Inc – B Shares		405,151
	5,300	Fairfax Financial Holdings Ltd		2,464,524
	43,700	Genworth MI Canada Inc		1,012,448
	12,500	Granite Real Estate Investment Trust		365,423
	85,500	Great-West Lifeco Inc		2,185,592
	213,500	Home Capital Group Inc		4,462,793
	23,600	IGM Financial Inc		675,388
	26,400	Industrial Alliance Insurance & Financial Services Inc		843,211
	34,400	Intact Financial Corp		2,380,754
	10,100	Laurentian Bank of Canada		371,725
	34,200	Linamar Corp		1,796,566
	383,400	Magna International Inc		18,919,374
	759,400	Manulife Financial Corp		12,341,116
	174,500	National Bank of Canada		5,743,273
	626,300	Pacific Exploration & Production Corp		2,123,212
	123,000	Power Corp of Canada		2,692,612
	79,000	Power Financial Corp		1,941,973
	23,300	RONA Inc		251,490
	609,100	Royal Bank of Canada		33,955,149
	26,100	Smart Real Estate Investment Trust		580,683

12 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	2,184,900	Suncor Energy Inc		61,880,035
	215,600	Sun Life Financial Inc		6,853,445
	689,300	Toronto-Dominion Bank (The)		27,496,552
	1,759,730	Valeant Pharmaceuticals International Inc *		405,793,738
		Total Canada		652,320,254
		Denmark — 0.7%
	27,682	AP Moeller – Maersk A/S		47,144,313
	272,771	Carlsberg A/S		20,610,399
	15,700	Sydbank A/S		596,809
	703,664	TDC A/S		4,448,789
	28,981	Tryg A/S		568,924
		Total Denmark		73,369,234
		Finland — 0.7%
	1,504,435	Fortum Oyj		24,352,504
	213,051	Metso Oyj		5,248,567
	13,237	Neste Oyj		339,352
	1,550,852	Nokia Oyj		9,729,999
	135,170	Sampo Oyj – A Shares		6,511,764
	44,936	Sponda Oyj		180,747
	622,042	Stora Enso Oyj – R Shares		5,519,055
	1,336,304	UPM – Kymmene Oyj		22,213,007
		Total Finland		74,094,995
		France — 15.1%
	1,066,539	ArcelorMittal		8,328,913
	1,162,995	AXA SA		29,294,678
	603,729	BNP Paribas		38,029,250
	619,994	Bouygues SA		23,610,175
	1,770	Carrefour SA		57,468
	125,167	Casino Guichard-Perrachon SA		7,906,801
	147,107	Christian Dior SE		27,232,144
	1,004,347	Cie de Saint-Gobain		46,096,489
	434,657	Cie Generale des Etablissements Michelin – Class B (Registered)		41,970,518
	262,557	CNP Assurances		4,048,896
	261,237	Danone SA		16,184,545
	503,226	Electricite de France		10,855,032
	5,451,702	Engie		97,367,281
	1,368	Euler Hermes Group		140,958
	67	Hermes International		23,773
	1,639	LVMH Moet Hennessy Louis Vuitton SE		272,795
	15,666	M6-Metropole Television		302,941
	15,285	Mercialys SA (REIT)		344,165
	9,615	Nexity SA		429,573
	7,563,157	Orange SA		119,613,250
	2,712	Peugeot SA *		46,624
	2,954,035	Renault SA		244,613,032

Shares		Description	Value ($)
		France — continued
	603,947	Rexel SA		9,251,946
	2,048,437	Sanofi		201,487,745
	1,402,471	Schneider Electric SE		88,398,938
	58,085	SCOR SE		2,044,467
	256,947	Societe Generale SA		12,484,603
	86,506	Suez Environnement Co		1,555,966
	10,148,662	Total SA		467,918,066
	454,494	Vallourec SA		5,802,354
	289,821	Veolia Environnement SA		6,329,686
	338,483	Vinci SA		21,772,412
	4,961,915	Vivendi SA		122,474,049
		Total France		1,656,289,533
		Germany — 9.5%
	262,301	Allianz SE (Registered)		41,793,180
	37,706	Alstria office (REIT) – AG *		504,634
	245,519	Aurubis AG		16,254,268
	3,251,172	BASF SE		261,221,403
	778,208	Bayerische Motoren Werke AG		71,525,698
	106,491	Bilfinger SE		4,268,652
	2,073,798	Daimler AG (Registered)		166,224,353
	6,170	Deutsche EuroShop AG		274,397
	1,299,126	Deutsche Lufthansa AG (Registered) *		15,763,530
	4,851,601	Deutsche Telekom AG (Registered)		82,761,198
	149,219	Duerr AG		11,513,069
	5,213,608	E.ON AG		58,918,157
	162,147	Freenet AG		5,142,927
	144,814	Fresenius Medical Care AG & Co		11,029,904
	23,085	Grand City Properties SA		407,492
	121,595	Hannover Rueck SE		12,340,750
	202,529	HeidelbergCement AG		15,273,984
	927,970	K+S AG (Registered)		34,635,193
	399,574	Kloeckner & Co SE		3,613,708
	20,783	LEG Immobilien AG *		1,558,039
	62,073	Leoni AG		3,756,848
	603,360	Metro AG		17,542,910
	136,952	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		25,121,405
	236,923	ProSiebenSat.1 Media SE (Registered)		11,507,066
	1,181,690	RWE AG		17,693,318
	229,526	Salzgitter AG		7,123,805
	1,234,890	Siemens AG (Registered)		122,405,954
	96,460	Volkswagen AG		17,989,113
		Total Germany		1,038,164,955
		Hong Kong — 1.1%
	470,600	Bank of East Asia Ltd (The)		1,625,681
	2,678,000	BOC Hong Kong Holdings Ltd		9,049,449
	336,000	Champion (REIT)		167,027
	242,800	Dah Sing Banking Group Ltd		460,276

See accompanying notes to the financial statements. 13

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	30,400	Dah Sing Financial Group		166,569
	15,388,990	Esprit Holdings Ltd		12,910,386
	456,000	First Pacific Co Ltd		295,834
	18,000	Great Eagle Holdings Ltd		55,388
	870,000	Hang Lung Properties Ltd		1,969,568
	310,800	Hang Seng Bank Ltd		5,532,079
	564,000	Henderson Land Development Co Ltd		3,484,941
	569,000	HKT Trust & HKT Ltd – Class SS		659,428
	889,700	Hongkong Land Holdings Ltd		6,164,283
	228,000	Hutchison Telecommunications Hong Kong Holdings Ltd		91,347
	179,000	Hysan Development Co Ltd		718,753
	77,000	K Wah International Holdings Ltd		34,908
	169,500	Kerry Properties Ltd		508,471
	2,226,191	Link (REIT)		11,819,030
	164,000	Luk Fook Holdings International Ltd		426,349
	158,800	Man Wah Holdings Ltd		168,492
	2,781,000	New World Development Co Ltd		2,823,200
	273,000	Pacific Textiles Holdings Ltd		387,317
	2,150,000	PCCW Ltd		1,124,437
	537,000	Power Assets Holdings Ltd		4,625,911
	548,000	Sino Land Co Ltd		814,809
	2,541,000	SJM Holdings Ltd		2,300,662
	187,000	SmarTone Telecommunications Holdings Ltd		334,609
	1,407,931	Sun Hung Kai Properties Ltd		17,846,743
	304,400	Swire Properties Ltd		935,304
	221,000	Swire Pacific Ltd – Class A		2,419,973
	333,500	Techtronic Industries Co Ltd		1,208,211
	83,500	Television Broadcasts Ltd		313,409
	220,000	Texwinca Holdings Ltd		209,337
	1,416,000	Value Partners Group Ltd		1,275,900
	1,994,000	Wharf Holdings Ltd (The)		11,248,970
	160,000	Wheelock & Co Ltd		729,461
	1,344,000	Xinyi Glass Holdings Ltd		610,353
	4,044,700	Yue Yuen Industrial Holdings		14,498,992
		Total Hong Kong		120,015,857
		Ireland — 0.2%
	388,718	CRH Plc		11,618,541
	473,538	Smurfit Kappa Group Plc		13,967,048
		Total Ireland		25,585,589
		Israel — 0.5%
	9,930	Alony Hetz Properties & Investments Ltd		76,493
	208,248	Bank Hapoalim BM		1,056,201
	3,758,933	Bank Leumi Le-Israel BM *		13,695,887
	797,922	Bezeq The Israeli Telecommunication Corp Ltd		1,432,448

Shares		Description	Value ($)
		Israel — continued
	263,600	Check Point Software Technologies Ltd *		20,563,436
	6,261	Delek Automotive Systems Ltd		65,851
	6,579	First International Bank Of Israel Ltd		82,150
	19,016	Gazit-Globe Ltd		195,344
	26,187	Harel Insurance Investments & Financial Services Ltd		119,504
	8,828,623	Israel Discount Bank Ltd – Class A *		16,347,625
	22,947	Mizrahi Tefahot Bank Ltd		266,837
	216,062	Partner Communications Co Ltd *		942,722
		Total Israel		54,844,498
		Italy — 3.8%
	10,573,927	A2A SPA		12,933,394
	7,756	ACEA SPA		106,392
	15,466	Credito Emiliano SPA		124,155
	23,537,499	Enel SPA		105,842,225
	10,398,567	ENI SPA		171,638,062
	250,619	EXOR SPA		11,501,298
	21,587	Fiat Chrysler Automobiles NV *		302,655
	1,082,639	Finmeccanica SPA *		14,629,430
	4,997	Italcementi SPA		55,850
	3,043,471	Mediaset SPA		14,548,621
	1,052,386	Mediolanum SPA		8,296,570
	66,672	Recordati SPA		1,583,681
	55,795	Snam Rete Gas SPA		272,568
	43,702	Societa Cattolica di Assicurazioni SCRL		309,504
	29,169,350	Telecom Italia SPA *		35,401,090
	36,645,436	Telecom Italia SPA-Di RISP		36,724,781
	127,752	Unipol Gruppo Finanziario SPA		602,502
		Total Italy		414,872,778
		Japan — 21.8%
	93,000	77 Bank Ltd (The)		550,314
	22,900	Adastria Co Ltd		1,228,025
	1,928,700	Aeon Co Ltd		28,926,611
	434,400	Aisin Seiki Co Ltd		15,619,971
	427,800	Alfresa Holdings Corp		7,809,880
	57,100	Alpine Electronics Inc		799,653
	23,400	AOKI Holdings Inc		282,002
	122,000	Aoyama Trading Co Ltd		4,543,558
	2,703,313	Asahi Glass Co Ltd		16,014,726
	2,395,000	Asahi Kasei Corp		19,050,086
	156,100	Asatsu-DK Inc		3,219,323
	55,200	Ashikaga Holdings Co Ltd		227,349
	20,500	Autobacs Seven Co Ltd		376,528
	17,000	Awa Bank Ltd (The)		96,798
	125,000	Bank of Kyoto Ltd (The)		1,355,242
	472,000	Bank of Yokohama Ltd (The)		2,882,161
	726,100	Bridgestone Corp		24,279,049

14 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	100,200	Brother Industries Ltd		1,362,876
	1,423,000	Calsonic Kansei Corp		9,929,463
	1,918,000	Canon Inc		58,435,863
	28,800	Canon Marketing Japan Inc		421,888
	93,200	Central Japan Railway Co		15,259,229
	11,600	Century Tokyo Leasing Corp		355,811
	270,000	Chiba Bank Ltd (The)		1,965,763
	684,500	Chubu Electric Power Co Inc		10,595,722
	4,936,000	Cosmo Oil Co Ltd *		7,682,633
	96,400	Credit Saison Co Ltd		1,926,235
	406,900	Daihatsu Motor Co Ltd		4,964,097
	6,800	Daiichikosho Co Ltd		257,394
	45,780	Daiichi Sankyo Co Ltd		881,077
	429,000	Daikyo Inc		669,753
	48,000	Daishi Bank Ltd (The)		204,973
	167,800	Daito Trust Construction Co Ltd		18,329,709
	174,000	Daiwa House Industry Co Ltd		4,265,849
	83,200	DCM Holdings Co Ltd		655,335
	1,218,000	Denki Kagaku Kogyo K K		5,177,414
	7,500	Descente Ltd		104,132
	10,200	Eagle Industry Co Ltd		207,807
	168,000	Electric Power Development Co Ltd		5,259,197
	10,500	Exedy Corp		238,857
	682,240	FujiFilm Holdings Corp		27,966,621
	63,000	Fujitsu General Ltd		778,692
	355,300	Fuji Heavy Industries Ltd		12,420,876
	382,100	Fuji Oil Co Ltd		5,284,987
	342,000	Fukuoka Financial Group Inc		1,694,336
	3,700	Fuyo General Lease Co Ltd		144,265
	129,000	Gunma Bank Ltd (The)		859,788
	338,000	Gunze Ltd		1,054,295
	51,600	H2O Retailing Corp		1,026,870
	86,000	Hachijuni Bank Ltd (The)		592,600
	66,200	Hakuhodo DY Holdings Inc		660,698
	1,295,000	Hanwa Co Ltd		5,422,538
	374,700	Haseko Corp		4,382,355
	111,000	Hiroshima Bank Ltd (The)		625,484
	280,600	Hitachi Chemical Co Ltd		4,295,228
	39,600	Hitachi Capital Corp		950,846
	30,000	Hokkoku Bank Ltd (The)		114,675
	546,000	Hokuhoku Financial Group Inc		1,231,158
	2,715,700	Honda Motor Co Ltd		85,419,876
	29,000	Hyakugo Bank Ltd (The)		139,573
	21,000	Hyakujushi Bank Ltd (The)		72,702
	7,300	IBJ Leasing Co Ltd		150,392
	257,500	Idemitsu Kosan Co Ltd		4,430,878
	2,958,900	Inpex Corp		29,991,962
	322,900	Isuzu Motors Ltd		3,657,861
	795,100	IT Holdings Corp		18,594,590
	8,323,600	Itochu Corp		99,827,069

Shares		Description	Value ($)
		Japan — continued
	8,700	Itochu Enex Co Ltd		75,088
	57,200	Iyo Bank Ltd (The)		639,420
	42,300	Jafco Co Ltd		1,839,785
	586,100	JFE Holdings Inc		9,076,344
	207,000	Joyo Bank Ltd (The)		1,105,641
	201,400	JSR Corp		3,157,330
	50,000	Juroku Bank Ltd (The)		203,831
	2,601,490	JX Holdings Inc		10,066,305
	690,700	K’s Holdings Corp		22,005,482
	4,000	Kagoshima Bank Ltd (The)		25,393
	502,000	Kaneka Corp		4,060,939
	3,982,000	Kawasaki Kisen Kaisha Ltd		8,839,228
	2,974,300	KDDI Corp.		73,803,915
	38,800	Keihin Corp		535,996
	27,000	Keiyo Bank Ltd (The)		141,650
	9,000	Kiyo Bank Ltd (The)		137,652
	6,207,236	Kobe Steel Ltd		8,310,492
	75,000	Kohnan Shoji Co Ltd		978,418
	73,100	Koito Manufacturing Co Ltd		2,497,969
	166,400	Kuraray Co Ltd		1,961,823
	1,453,440	Kyocera Corp		71,202,619
	8,486,100	Marubeni Corp		46,495,086
	143,500	Marui Group Co Ltd		1,734,597
	1,023,600	Medipal Holdings Corp		17,657,023
	35,300	Mitsuba Corp		606,501
	2,763,500	Mitsubishi Chemical Holdings Corp		15,670,961
	5,774,000	Mitsubishi Corp		107,270,268
	8,787,100	Mitsubishi UFJ Financial Group Inc		57,961,298
	169,800	Mitsubishi UFJ Lease & Finance Co Ltd		817,653
	6,543,100	Mitsui & Co Ltd		85,084,813
	4,040,838	Mitsui Chemicals Inc		13,628,516
	8,519,000	Mitsui Engineering & Shipbuilding Co Ltd		13,215,109
	3,493,000	Mitsui OSK Lines Ltd		9,825,658
	20,806,300	Mizuho Financial Group Inc		42,610,661
	146,600	MS&AD Insurance Group Holdings Inc		4,608,988
	5,400	Musashino Bank Ltd (The)		189,374
	18,000	Nanto Bank Ltd (The)		57,322
	490,400	Net One Systems Co Ltd		2,977,604
	73,500	NHK Spring Co Ltd		708,758
	26,900	Nifco Inc		1,047,069
	1,040,581	Nippon Electric Glass Co Ltd		4,583,167
	1,166,300	Nippon Light Metal Co Ltd		1,793,896
	6,000	Nippon Seiki Co Ltd		120,030
	4,440,900	Nippon Telegraph & Telephone Corp		169,385,509
	64,500	Nippon Television Holdings Inc		1,115,639
	3,784,000	Nippon Yusen Kabushiki Kaisha		9,922,039
	436,413	Nipro Corp		4,986,719
	332,000	Nishi-Nippon City Bank Ltd (The)		919,833
	33,354,742	Nissan Motor Co Ltd		299,973,180

See accompanying notes to the financial statements. 15

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	500,000	Nisshinbo Holdings Inc		6,004,668
	28,300	Nissin Kogyo Co Ltd		389,161
	20,400	Nitori Holdings Co Ltd		1,619,172
	250,100	NOK Corp		6,147,869
	94,500	Nomura Real Estate Holdings Inc		1,772,708
	2,501,200	Nomura Holdings Inc		15,690,570
	487,100	North Pacific Bank Ltd		1,955,853
	4,379,800	NTT Docomo, Inc.		91,860,873
	37,000	Ogaki Kyoritsu Bank Ltd (The)		130,975
	53,000	Okasan Securities Co Ltd		326,361
	107,300	Okinawa Electric Power Co		2,525,770
	38,000	Onward Holdings Co Ltd		239,018
	27,400	Open House Co Ltd		502,424
	1,077,900	Orient Corp *		1,752,391
	967,200	ORIX Corp		12,963,800
	3,750,000	Osaka Gas Co Ltd		15,216,348
	665,300	Otsuka Holdings Co Ltd		22,702,177
	10,200	Paltac Corp		191,730
	30,000	PanaHome Corp		199,611
	6,400	Parco Co Ltd		58,303
	3,600	Relo Holdings Inc		376,045
	534,000	Rengo Co Ltd		2,140,767
	2,406,500	Resona Holdings Inc		12,129,489
	35,000	Resorttrust Inc		930,099
	1,805,600	Ricoh Co Ltd		17,603,065
	5,000	Ricoh Leasing Co Ltd		139,503
	4,000	Ryohin Keikaku Co Ltd		887,761
	35,700	Saizeriya Co Ltd		828,944
	31,000	San-In Godo Bank Ltd (The)		275,797
	9,100	Sangetsu Co Ltd		158,248
	278,000	Sekisui Chemical Co Ltd		3,061,578
	1,286,000	Sekisui House Ltd		19,168,779
	87,400	Senshu Ikeda Holdings Inc		382,590
	17,700	Shimachu Co Ltd		431,506
	85,200	Shimamura Co Ltd		7,858,317
	145,000	Shizuoka Bank Ltd (The)		1,525,856
	3,460,000	Showa Denko KK		3,961,369
	1,314,300	Showa Shell Sekiyu KK		11,255,474
	62,000	SKY Perfect JSAT Holdings Inc		281,337
	12,902,000	Sojitz Corp		27,245,800
	117,300	Sony Financial Holdings Inc		2,193,911
	5,186,100	Sumitomo Corp		55,005,604
	1,602,000	Sumitomo Heavy Industries Ltd		6,923,212
	4,700	Sumitomo Real Estate Sales Co Ltd		123,553
	602,700	Sumitomo Rubber Industries Ltd		8,515,830
	15,100	Sumitomo Electric Industries Ltd		206,629
	217,800	Sumitomo Forestry Co Ltd		2,436,199
	1,084,000	Sumitomo Metal Mining Co Ltd		13,760,402
	1,046,400	Sumitomo Mitsui Financial Group Inc		42,710,350
	1,820,000	Sumitomo Mitsui Trust Holdings Inc		7,512,763

Shares		Description	Value ($)
		Japan — continued
	52,900	Suruga Bank Ltd		1,010,448
	242,100	Suzuken Co Ltd		8,296,267
	281,900	T&D Holdings Inc		3,784,381
	263,000	Takashimaya Co Ltd		2,272,925
	428,500	Takeda Pharmaceutical Co., Ltd		21,019,913
	13,000	Toei Co Ltd		96,722
	21,000	Toho Bank Ltd (The)		84,851
	27,900	Tokai Rika Co Ltd		590,945
	93,300	Tokai Tokyo Financial Holdings		620,590
	2,340	Token Corp		161,469
	218,300	Tokio Marine Holdings Inc		8,738,762
	37,600	Tokyo Broadcasting System Holdings Inc		513,925
	2,087,430	Tokyo Electric Power Co Inc (The) *		14,294,073
	782,000	Tokyo Gas Co Ltd		4,272,427
	272,000	TonenGeneral Sekiyu KK		2,722,230
	9,900	Topre Corp		191,715
	3,187,000	Tosoh Corp		15,019,833
	91,300	Toyo Tire & Rubber Co Ltd		2,037,918
	31,400	Toyoda Gosei Co Ltd		613,367
	17,100	Toyota Industries Corp		845,865
	1,337,100	Toyota Tsusho Corp		30,764,427
	59,800	Toyota Boshoku Corp		993,866
	716,300	Toyota Motor Corp		42,337,803
	7,700	TPR Co Ltd		185,461
	30,200	TS Tech Co Ltd		807,819
	15,400	T – Gaia Corp		251,955
	3,233,000	Ube Industries Ltd		5,578,837
	14,200	Unipres Corp		264,034
	2,028,000	UNY Co Ltd		12,593,810
	59,900	USS Co Ltd		1,060,807
	24,000	Wacoal Holdings Corp		308,116
	195,998	West Japan Railway Co		13,228,307
	10,400	Xebio Co Ltd		196,800
	5,777,300	Yamada Denki Co Ltd		22,227,838
	91,000	Yamaguchi Financial Group Inc		1,120,709
	104,300	Yamaha Motor Co Ltd		2,007,872
	279,700	Yokohama Rubber Co Ltd (The)		5,480,977
		Total Japan		2,382,714,782
		Malta — 0.0%
	15,984,486	BGP Holdings Plc *		—
		Netherlands — 1.4%
	7,786	Aegon NV		47,956
	76,261	Boskalis Westminster		3,969,092
	200,339	Corbion NV		4,395,765
	90,932	Heineken Holding NV		6,340,530
	116,228	Heineken NV		9,186,152
	676,200	ING Groep NV GDR		10,361,029

16 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	2,992,575	Koninklijke Ahold NV		59,021,472
	181,944	Koninklijke DSM NV		9,557,117
	479,364	Koninklijke KPN NV		1,862,151
	223,814	TomTom NV *		2,242,056
	752,614	Unilever NV CVA GDR		30,160,667
	542,257	Wolters Kluwer NV		17,156,154
		Total Netherlands		154,300,141
		New Zealand — 0.2%
	671,461	Chorus Ltd *		1,083,523
	517,616	Fletcher Building Ltd		2,359,190
	130,407	Kiwi Property Group Ltd (REIT)		108,195
	89,438	Sky Network Television Ltd		287,412
	7,309,905	Spark New Zealand Ltd		15,636,989
		Total New Zealand		19,475,309
		Norway — 1.5%
	346,561	DNB ASA		4,933,735
	288,481	Orkla ASA		2,126,773
	4,549,659	Statoil ASA		69,341,203
	360,497	Storebrand ASA *		1,233,746
	2,106,956	Telenor ASA		41,897,680
	1,009,725	Yara International ASA		45,057,226
		Total Norway		164,590,363
		Portugal — 0.3%
	8,374,684	EDP – Energias de Portugal SA		29,244,138
		Singapore — 0.5%
	56,900	ARA Asset Management Ltd		58,088
	847,800	Ascendas Real Estate Investment Trust		1,338,019
	245,900	Ascott Residence Trust (REIT)		217,872
	989,200	CapitaLand Commercial Trust Ltd		931,668
	989,600	CapitaLand Mall Trust (REIT)		1,344,469
	134,000	CapitaLand Retail China Trust (REIT)		134,046
	1,291,100	CapitaLand Ltd		2,587,574
	80,300	CDL Hospitality Trusts (REIT)		75,078
	444,900	DBS Group Holdings Ltd		5,607,663
	15,175,144	Ezra Holdings Ltd *		1,415,970
	85,400	Frasers Centrepoint Trust (REIT)		117,678
	67,399,000	Golden Agri-Resources Ltd		15,053,996
	454,600	Keppel (REIT)		315,589
	110,500	Mapletree Commercial Trust (REIT)		103,509
	302,700	Mapletree Greater China Commercial Trust (REIT)		203,711
	215,900	Mapletree Industrial Trust (REIT)		235,042
	452,800	Mapletree Logistics Trust (REIT)		314,322
	24,921,700	Noble Group Ltd		9,637,468
	562,500	Oversea-Chinese Banking Corp Ltd		3,562,050

Shares		Description	Value ($)
		Singapore — continued
	30,200	Parkway Life Real Estate Investment Trust		48,777
	120,600	SPH (REIT)		82,047
	214,900	Starhill Global (REIT)		117,114
	604,200	Suntec Real Estate Investment Trust		654,967
	280,800	United Overseas Bank Ltd		3,860,617
	112,400	UOL Group Ltd		498,430
	40,100	Wing Tai Holdings Ltd		46,799
	15,096,800	Yangzijiang Shipbuilding Holdings Ltd		11,769,513
	105,200	Yanlord Land Group Ltd		80,839
		Total Singapore		60,412,915
		Spain — 4.4%
	69,778	Acciona SA		5,176,590
	444,748	ACS Actividades de Construccion y Servicios SA		14,376,607
	319,497	Enagas		8,718,091
	807,427	Endesa SA		16,679,725
	1,177,452	Gas Natural SDG SA		23,813,366
	11,923,653	Iberdrola SA		80,628,913
	1,179,110	Indra Sistemas SA *		13,911,780
	1,288,412	Mapfre SA		3,782,500
	25,014	Red Electrica Corp SA		1,990,397
	2,851,696	Repsol SA		40,659,442
	19,239,309	Telefonica SA		271,129,364
		Total Spain		480,866,775
		Sweden — 1.6%
	4,739	Bilia AB – A Shares		94,097
	45,380	Castellum AB		642,215
	5,773,902	Ericsson LM – B Shares		56,280,532
	34,949	Fabege AB		493,982
	11,786	Fastighets AB Balder – B Shares *		206,060
	26,629	Hufvudstaden AB – A Shares		341,565
	35,973	Industrivarden AB – C Shares		654,143
	12,691	Investor AB – B Shares		456,205
	31,336	Kungsleden AB		209,461
	3,461	L E Lundbergforetagen AB – B Shares		166,528
	1,472,122	Sandvik AB		14,206,273
	255,837	Securitas AB – B Shares		3,257,847
	885,234	Skanska AB – B Shares		17,329,365
	930,164	Tele2 AB – B Shares		9,168,036
	10,383,557	TeliaSonera AB		58,489,881
	768,036	Volvo AB – B Shares		8,340,299
	9,946	Wihlborgs Fastigheter AB		173,524
		Total Sweden		170,510,013
		Switzerland — 2.7%
	4,470,683	ABB Ltd (Registered) *		86,338,659
	1,713	Autoneum Holding AG *		322,139

See accompanying notes to the financial statements. 17

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	19,100	Baloise Holding AG (Registered)		2,335,906
	2,147	Helvetia Patria Holding AG (Registered)		1,130,729
	274,625	LafargeHolcim Ltd (Registered) *		17,436,048
	1,564,866	Nestle SA (Registered)		115,278,855
	31,731	Swatch Group AG (The) – Class BR		12,129,136
	15,445	Swiss Life Holding AG (Registered) *		3,614,812
	190,035	Swiss Re AG		16,291,447
	34,824	Swisscom AG (Registered)		18,796,908
	8,340	Vontobel Holding AG (Registered)		438,265
	69,066	Zurich Insurance Group AG *		18,962,998
		Total Switzerland		293,075,902
		United Kingdom — 22.2%
	701,889	Amlin Plc		5,525,262
	5,840,760	AstraZeneca Plc		364,399,885
	2,022,287	BAE Systems Plc		13,920,139
	6,735,346	Balfour Beatty Plc		28,020,736
	3,674	BG Group Plc		55,762
	59,974,192	BP Plc		332,422,810
	1,607,591	British American Tobacco Plc		85,125,882
	47,373	BT Group Plc		316,034
	506,551	Bunzl Plc		13,403,538
	910,405	Cairn Energy Plc *		2,104,329
	1,121,224	Carillion Plc		5,847,362
	22,705,711	Centrica Plc		84,073,257
	2,850,303	Cobham Plc		12,214,539
	1,442,712	Compass Group Plc		22,755,309
	4,909,957	Debenhams Plc		5,660,760
	1,389,618	Dixons Carphone Plc		9,148,621
	1,370,336	Drax Group Plc		6,137,207
	9,857,689	FirstGroup Plc *		16,359,337
	12,875,790	GlaxoSmithKline Plc		262,892,860
	202,340	Halfords Group Plc		1,610,998
	5,037,027	Home Retail Group Plc		11,710,890
	1,094	Imperial Tobacco Group Plc		52,658
	1,577,903	Inchcape Plc		17,562,298
	446,600	Intermediate Capital Group Plc		3,633,487
	4,444,001	J Sainsbury Plc		16,449,153
	6,586,255	Kingfisher Plc		35,793,260
	5,615,619	Man Group Plc		13,732,749
	3,986,785	Marks & Spencer Group Plc		31,654,761
	104,963	Micro Focus International Plc		2,096,494
	155,252	Mitie Group Plc		703,534
	144,872	National Express Group Plc		657,331
	2,198,139	Pearson Plc		38,108,175
	1,062,233	Reckitt Benckiser Group Plc		93,066,933
	9,736,022	Royal Dutch Shell Plc A Shares (London)		253,645,573
	7,133,276	Royal Dutch Shell Plc B Shares (London)		186,243,337

Shares / Par Value		Description	Value ($)
		United Kingdom — continued
	1,112,573	Royal Mail Plc		7,866,190
	986,647	RSA Insurance Group Plc		7,701,915
	660,235	Sage Group Plc (The)		5,184,824
	612,663	Scottish & Southern Energy Plc		13,729,260
	37,469,623	Tesco Plc		108,752,899
	5,850,837	Thomas Cook Group Plc *		9,554,181
	135,791	Unilever Plc		5,445,885
	69,092,934	Vodafone Group Plc		237,917,439
	12,996,991	William Morrison Supermarket Plc		33,362,765
	1,160,339	WPP Plc		23,885,891
		Total United Kingdom		2,430,506,509
		TOTAL COMMON STOCKS (COST $11,515,315,014)		10,631,916,313
		PREFERRED STOCKS — 0.9%
		Germany — 0.9%
	963,111	Porsche Automobil Holding SE		66,881,972
	196,506	Volkswagen AG		37,232,587
		Total Germany		104,114,559
		TOTAL PREFERRED STOCKS (COST $131,769,750)		104,114,559
		MUTUAL FUNDS — 0.8%
		United States — 0.8%
		Affiliated Issuers
	3,325,320	GMO U.S. Treasury Fund		83,133,000
		TOTAL MUTUAL FUNDS (COST $83,133,000)		83,133,000
		SHORT-TERM INVESTMENTS — 0.2%
		Time Deposits — 0.2%
AUD	839,769	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 1.05%, due 09/01/15		597,621
JPY	199,416,280	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.01%, due 09/01/15		1,644,874
CAD	213,226	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.10%, due 09/01/15		162,075
SGD	43,811	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.10%, due 09/01/15		31,049
NOK	7,204,762	DnB Nor Bank (Oslo) Time Deposit, 0.13%, due 09/01/15		870,950
USD	10,479,777	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/01/15		10,479,777

18 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		Time Deposits — continued
USD	5,682,846	Sumitomo (Tokyo) Time Deposit, 0.06%, due 09/01/15		5,682,846
		Total Time Deposits		19,469,192
		TOTAL SHORT-TERM INVESTMENTS (COST $19,469,192)		19,469,192
		TOTAL INVESTMENTS — 99.2% (Cost $11,749,686,956)		10,838,633,064
		Other Assets and Liabilities (net) — 0.8%		88,294,851
		TOTAL NET ASSETS — 100.0%		$10,926,927,915

Notes to Schedule of Investments:

* Non-income producing security.

For a listing of definitions of acronyms, counterparty abbreviations and

currency abbreviations used throughout the Schedule of Investments as

well as the derivative tables, if any, please refer to page 55.

See accompanying notes to the financial statements. 19

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		96.7	%
Mutual Funds		1.2
Preferred Stocks		0.9
Short-Term Investments		0.3
Other		0.9
		100.0	%
Country Summary**	% of Investments
United Kingdom		24.1	%
Japan		20.1
France		16.0
Germany		11.3
Canada		6.2
Spain		4.5
Other Developed***		3.7
Italy		3.6
Switzerland		3.5
Netherlands		1.6
Australia		1.5
Norway		1.5
Sweden		1.4
Hong Kong		1.0
		100.0	%
Industry Group Summary	% of Equity Investments****
Energy		16.3	%
Telecommunication Services		13.0
Pharmaceuticals, Biotechnology & Life Sciences		12.6
Automobiles & Components		11.3
Capital Goods		9.7
Utilities		6.2
Materials		5.3
Banks		4.2
Food, Beverage & Tobacco		3.5
Food & Staples Retailing		3.2
Insurance		2.6
Media		2.4
Technology Hardware & Equipment		2.3
Retailing		1.4
Household & Personal Products		1.4
Transportation		1.2
Real Estate		1.2
Consumer Durables & Apparel		0.9
Diversified Financials		0.5
Consumer Services		0.4
Software & Services		0.3
Health Care Equipment & Services		0.1
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

*** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Investments.

**** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments.

20

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.7%
		Australia — 1.5%
	141,289	AMP Ltd		597,646
	7,484	ASX Ltd		209,912
	117,222	Australia & New Zealand Banking Group Ltd		2,331,419
	518,419	BlueScope Steel Ltd		1,592,617
	50,451	Commonwealth Bank of Australia		2,695,410
	21,978	Dexus Property Group (REIT)		115,022
	305,524	Federation Centres (REIT)		614,181
	84,752	Goodman Group (REIT)		366,291
	94,070	GPT Group (The) (REIT)		300,636
	127,285	Insurance Australia Group Ltd		458,866
	20,968	JB Hi–Fi Ltd		283,279
	29,207	Lend Lease Group		288,999
	24,452	Macquarie Group Ltd		1,319,795
	124,046	Mirvac Group (REIT)		154,212
	77,421	National Australia Bank Ltd		1,716,695
	13,675	Shopping Centres Australasia Property Group (REIT)		19,158
	487,870	Stockland (REIT)		1,355,523
	67,586	Suncorp Group Ltd		616,753
	603,412	TABCORP Holdings Ltd		1,990,201
	406,193	Telstra Corp Ltd		1,666,460
	107,145	Westfield Corp (REIT)		741,956
	127,416	Westpac Banking Corp		2,829,320
	186,531	Woodside Petroleum Ltd		4,293,153
		Total Australia		26,557,504
		Austria — 0.3%
	106,150	OMV AG		2,717,556
	97,877	Voestalpine AG		3,568,456
		Total Austria		6,286,012
		Belgium — 0.9%
	60,711	Ageas		2,478,441
	95,536	Delhaize Group		8,548,233
	143,298	Proximus		5,140,129
		Total Belgium		16,166,803
		Canada — 6.0%
	79,600	Bank of Nova Scotia (The)		3,643,594
	54,100	Bank of Montreal		2,919,657
	31,100	BCE Inc		1,257,616
	33,400	Canadian Imperial Bank of Commerce		2,454,733
	1,300	Canadian Natural Resources Ltd		29,298
	3,600	Canadian Tire Corp Ltd – Class A		339,860
	6,200	Cenovus Energy Inc		89,871
	14,200	CI Financial Corp		339,457
	900	Fairfax Financial Holdings Ltd		418,504

Shares		Description	Value ($)
		Canada — continued
	14,000	Great-West Lifeco Inc		357,875
	6,000	IGM Financial Inc		171,709
	1,000	Imperial Oil Ltd		35,307
	5,700	Intact Financial Corp		394,485
	64,000	Magna International Inc		3,158,164
	126,700	Manulife Financial Corp		2,059,020
	28,900	National Bank of Canada		951,178
	20,300	Power Corp of Canada		444,390
	12,900	Power Financial Corp		317,107
	101,800	Royal Bank of Canada		5,674,986
	419,600	Suncor Energy Inc		11,883,776
	35,900	Sun Life Financial Inc		1,141,181
	115,200	Toronto-Dominion Bank (The)		4,595,391
	292,172	Valeant Pharmaceuticals International Inc *		67,374,863
		Total Canada		110,052,022
		Denmark — 0.6%
	4,694	AP Moeller – Maersk A/S – Class B		7,994,199
	35,304	Carlsberg A/S		2,667,547
	4,081	Tryg A/S		80,114
		Total Denmark		10,741,860
		Finland — 0.6%
	223,921	Fortum Oyj		3,624,641
	226,372	Nokia Oyj		1,420,251
	22,473	Sampo Oyj – A Shares		1,082,628
	271,838	UPM – Kymmene Oyj		4,518,687
		Total Finland		10,646,207
		France — 15.6%
	259,440	AXA SA		6,535,033
	117,444	BNP Paribas		7,397,868
	130,028	Bouygues SA		4,951,635
	47,308	Carrefour SA		1,535,982
	28,644	Casino Guichard-Perrachon SA		1,809,442
	22,986	Christian Dior SE		4,255,121
	72,650	Cie Generale des Etablissements Michelin – Class B		7,015,090
	29,231	CNP Assurances		450,772
	183,626	Compagnie de Saint-Gobain		8,427,878
	82,141	Danone SA		5,088,922
	82,271	Electricite de France		1,774,659
	877,732	Engie		15,676,275
	222	LVMH Moet Hennessy Louis Vuitton SE		36,950
	1,265,693	Orange SA		20,017,256
	1,215	Peugeot SA *		20,888
	387,904	Renault SA		32,120,937
	27,678	Rexel SA		424,003
	399,384	Sanofi		39,284,089
	279,361	Schneider Electric SE		17,608,361

See accompanying notes to the financial statements. 21

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		France — continued
	9,373	SCOR SE		329,909
	53,644	Societe Generale		2,606,468
	3,767	Suez Environnement Co		67,756
	1,700,650	Total SA		78,410,815
	90,110	Veolia Environnement SA		1,968,001
	80,902	Vinci SA		5,203,900
	876,127	Vivendi SA		21,625,284
		Total France		284,643,294
		Germany — 10.1%
	54,034	Allianz SE (Registered)		8,609,394
	38,923	Aurubis AG		2,576,847
	558,200	BASF SE		44,849,607
	134,402	Bayerische Motoren Werke AG		12,352,992
	366,881	Daimler AG (Registered)		29,407,183
	282,664	Deutsche Lufthansa AG (Registered) *		3,429,831
	1,033,936	Deutsche Telekom AG (Registered)		17,637,432
	20,487	Duerr AG		1,580,685
	931,575	E.ON AG		10,527,581
	23,645	Fresenius Medical Care AG & Co		1,800,945
	5,393	Hannover Rueck SE		547,339
	22,100	HeidelbergCement AG		1,666,700
	89,581	K+S AG (Registered)		3,343,486
	118,087	Metro AG		3,433,422
	22,822	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		4,186,289
	73,489	ProSiebenSat.1 Media SE		3,569,273
	306,650	RWE AG		4,591,438
	275,923	Siemens AG (Registered)		27,350,305
	17,001	Volkswagen AG		3,170,567
		Total Germany		184,631,316
		Hong Kong — 1.0%
	77,400	Bank of East Asia Ltd (The)		267,377
	446,000	BOC Hong Kong Holdings Ltd		1,507,115
	19,500	CK Hutchison Holdings Ltd		259,472
	1,840,000	Esprit Holdings Ltd		1,543,643
	143,000	Hang Lung Properties Ltd		323,734
	51,700	Hang Seng Bank Ltd		920,233
	93,000	Henderson Land Development Co Ltd		574,645
	90,000	HKT Trust & HKT Ltd		104,303
	162,500	Hongkong Land Holdings Ltd		1,125,881
	10,000	Kerry Properties Ltd		29,998
	93,000	Link (REIT)		493,745
	460,000	New World Development Co Ltd		466,980
	89,000	Power Assets Holdings Ltd		766,678
	88,000	Sino Land Co Ltd		130,845
	420,000	SJM Holdings Ltd		380,275
	221,392	Sun Hung Kai Properties Ltd		2,806,335
	49,200	Swire Properties Ltd		151,173

Shares		Description	Value ($)
		Hong Kong — continued
	164,000	Swire Pacific Ltd		1,795,817
	91,500	Techtronic Industries Co Ltd		331,488
	360,000	Wharf Holdings Ltd (The)		2,030,907
	26,000	Wheelock & Co Ltd		118,537
	3,738,000	Xinyi Glass Holdings Ltd		1,697,545
	198,500	Yue Yuen Industrial Holdings		711,561
		Total Hong Kong		18,538,287
		Ireland — 0.2%
	111,405	CRH Plc		3,329,827
		Israel — 0.3%
	31,684	Bank Hapoalim BM		160,696
	30,253	Bank Leumi Le-Israel BM *		110,229
	526,712	Bezeq Israeli Telecommunication Corp Ltd		945,566
	41,600	Check Point Software Technologies Ltd *		3,245,216
	40,063	Partner Communications Co Ltd *		174,803
		Total Israel		4,636,510
		Italy — 3.5%
	3,857,430	Enel SPA		17,345,894
	1,765,316	ENI SPA		29,138,189
	12,891	EXOR SPA		591,588
	2,952	Fiat Chrysler Automobiles NV *		41,388
	165,277	Finmeccanica SPA *		2,233,347
	441,771	Mediaset SPA		2,111,786
	65,621	Mediolanum SPA		517,328
	7,692	Snam Rete Gas SPA		37,577
	5,219,386	Telecom Italia SPA *		6,334,456
	6,452,961	Telecom Italia SPA-Di RISP		6,466,933
		Total Italy		64,818,486
		Japan — 19.6%
	252,800	Aeon Co Ltd		3,791,490
	97,700	Aisin Seiki Co Ltd		3,513,055
	160,000	Aozora Bank Ltd		584,122
	443,000	Asahi Glass Co Ltd		2,624,381
	411,000	Asahi Kasei Corp		3,269,138
	78,000	Bank of Yokohama Ltd (The)		476,289
	139,800	Bridgestone Corp		4,674,578
	323,400	Canon Inc		9,853,054
	14,700	Central Japan Railway Co		2,406,767
	44,000	Chiba Bank Ltd (The)		320,347
	87,800	Chubu Electric Power Co Inc		1,359,101
	90,400	Daihatsu Motor Co Ltd		1,102,861
	63,200	Daiichi Sankyo Co Ltd		1,216,341
	28,701	Daito Trust Construction Co Ltd		3,135,167
	28,800	Daiwa House Industry Co Ltd		706,072
	99,000	Daiwa Securities Group Inc		684,307
	3,100	Dentsu Inc		158,699

22 See accompanying notes to the financial statements.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	114,100	FujiFilm Holdings Corp		4,677,227
	59,300	Fuji Heavy Industries Ltd		2,073,059
	13,530	Hakuhodo DY Holdings Inc		135,034
	143,974	Haseko Corp		1,683,867
	479,700	Honda Motor Co Ltd		15,088,528
	474,100	Inpex Corp		4,805,566
	53,500	Isuzu Motors Ltd		606,056
	1,379,400	Itochu Corp		16,543,498
	79,900	JFE Holdings Inc		1,237,331
	436,730	JX Holdings Inc		1,689,900
	91,920	K’s Holdings Corp		2,928,542
	986,000	Kawasaki Kisen Kaisha Ltd		2,188,719
	562,024	KDDI Corp		13,945,995
	638,000	Kobe Steel Ltd		854,180
	7,600	Koito Manufacturing Co Ltd		259,707
	82,600	Komatsu Ltd		1,367,861
	232,314	Kyocera Corp		11,380,838
	279,600	Leopalace21 Corp *		1,359,174
	1,316,300	Marubeni Corp		7,211,968
	694	Medipal Holdings Corp		11,971
	408,900	Mitsubishi Chemical Holdings Corp		2,318,746
	972,000	Mitsubishi Corp		18,057,967
	2,100	Mitsubishi Motors Corp		16,059
	1,212,100	Mitsubishi UFJ Financial Group Inc		7,995,230
	1,084,000	Mitsui & Co Ltd		14,096,061
	3,478,400	Mizuho Financial Group Inc		7,123,656
	24,300	MS&AD Insurance Group Holdings Inc		763,973
	655,200	Nippon Telegraph & Telephone Corp		24,990,742
	829,000	Nippon Steel & Sumitomo Metal Corp		1,699,968
	560,000	Nippon Yusen Kabushiki Kaisha		1,468,378
	55,008	Nipro Corp		628,555
	5,548,100	Nissan Motor Co Ltd		49,896,389
	29,600	Nitori Holdings Co Ltd		2,349,387
	4,500	NOK Corp		110,617
	463,400	Nomura Holdings Inc		2,907,009
	68,897	North Pacific Bank Ltd		276,642
	654,800	NTT Docomo Inc		13,733,618
	161,400	ORIX Corp		2,163,314
	651,000	Osaka Gas Co Ltd		2,641,558
	117,900	Otsuka Holdings Co Ltd		4,023,127
	387,500	Resona Holdings Inc		1,953,117
	325,200	Ricoh Co Ltd		3,170,423
	10,148	Ryohin Keikaku Co Ltd		2,252,250
	42,000	Sekisui Chemical Co Ltd		462,541
	231,800	Sekisui House Ltd		3,455,150
	214,000	Shinsei Bank Ltd		461,282
	24,000	Shizuoka Bank Ltd (The)		252,555
	1,249,100	Sojitz Corp		2,637,787
	27,400	Sompo Japan Nipponkoa Holdings Inc		904,959
	87,200	Sony Corp *		2,248,538

Shares		Description	Value ($)
		Japan — continued
	31,500	Sony Financial Holdings Inc		589,158
	775,600	Sumitomo Corp		8,226,287
	1,000	Sumitomo Rubber Industries Ltd		14,129
	58,400	Sumitomo Electric Industries Ltd		799,149
	220,000	Sumitomo Metal Mining Co Ltd		2,792,702
	132,500	Sumitomo Mitsui Financial Group Inc		5,408,182
	304,000	Sumitomo Mitsui Trust Holdings Inc		1,254,879
	3,800	Suruga Bank Ltd		72,584
	6,800	Suzuki Motor Corp		230,903
	46,700	T&D Holdings Inc		626,927
	71,100	Takeda Pharmaceutical Co., Ltd		3,487,785
	36,400	Tokio Marine Holdings Inc		1,457,128
	297,600	Tokyo Electric Power Co Inc (The) *		2,037,872
	129,000	Tokyo Gas Co Ltd		704,787
	60,000	TonenGeneral Sekiyu KK		600,492
	11,000	Toyota Industries Corp		544,123
	211,800	Toyota Tsusho Corp		4,873,163
	273,700	Toyota Motor Corp		16,177,379
	4,900	USS Co Ltd		86,777
	28,900	West Japan Railway Co		1,950,520
	38,700	Yamaha Motor Co Ltd		745,011
		Total Japan		357,664,325
		Malta — 0.0%
	15,998,662	BGP Holdings Plc *		—
		Netherlands — 1.5%
	38,311	Aegon NV		235,966
	11,966	Boskalis Westminster		622,784
	16,778	Heineken Holding NV		1,169,901
	16,414	Heineken NV		1,297,291
	14,423	ING Groep NV GDR		220,996
	574,028	Koninklijke Ahold NV		11,321,346
	13,974	Koninklijke KPN NV		54,284
	42,466	Koninklijke DSM NV		2,230,645
	382,522	PostNL NV *		1,443,591
	118,622	Unilever NV CVA GDR		4,753,723
	28,280	Wereldhave NV (REIT)		1,618,649
	88,323	Wolters Kluwer NV		2,794,400
		Total Netherlands		27,763,576
		New Zealand — 0.2%
	122,666	Chorus Ltd *		197,944
	386,066	Fletcher Building Ltd		1,759,611
	953,461	Spark New Zealand Ltd		2,039,597
		Total New Zealand		3,997,152
		Norway — 1.5%
	57,534	DNB ASA		819,069
	698,379	Statoil ASA		10,643,971

See accompanying notes to the financial statements. 23

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Norway — continued
	357,420	Telenor ASA		7,107,443
	186,746	Yara International ASA		8,333,216
		Total Norway		26,903,699
		Portugal — 0.3%
	1,476,487	EDP-Energias de Portugal SA		5,155,847
		Singapore — 0.3%
	68,400	CapitaLand Mall Trust (REIT)		92,928
	213,000	CapitaLand Ltd		426,887
	73,900	DBS Group Holdings Ltd		931,459
	192,546	Ezra Holdings Ltd *		17,966
	9,631,500	Golden Agri-Resources Ltd		2,151,257
	93,200	Oversea-Chinese Banking Corp Ltd		590,192
	46,600	United Overseas Bank Ltd		640,687
	272,000	Yangzijiang Shipbuilding Holdings Ltd		212,052
		Total Singapore		5,063,428
		Spain — 4.4%
	89,732	ACS Actividades de Construccion y Servicios SA		2,900,613
	55,515	Enagas		1,514,834
	133,667	Endesa SA		2,761,276
	187,329	Gas Natural SDG SA		3,788,633
	2,118,495	Iberdrola SA		14,325,471
	213,366	Mapfre SA		626,397
	2,132	Red Electrica Corp SA		169,646
	549,165	Repsol YPF SA		7,829,987
	3,258,404	Telefonica SA		45,918,957
		Total Spain		79,835,814
		Sweden — 1.4%
	1,006,054	Ericsson LM – Class B		9,806,411
	5,741	Industrivarden AB – C Shares		104,396
	9,506	Investor AB – B Shares		341,714
	273	L E Lundbergforetagen AB – B Shares		13,135
	240,036	Sandvik AB		2,316,396
	60,413	Skanska AB – B Shares		1,182,646
	1,802,901	TeliaSonera AB		10,155,620
	120,035	Volvo AB – Class B		1,303,491
		Total Sweden		25,223,809
		Switzerland — 3.4%
	760,108	ABB Ltd (Registered) *		14,679,347
	3,031	Baloise Holding AG (Registered) *		370,687
	142	Helvetia Holding AG (Registered)		74,785
	60,350	LafargeHolcim Ltd (Registered) *		3,831,645
	183	LafargeHolcim Ltd (Registered) *		11,631
	405,505	Nestle SA (Registered)		29,872,303
	5,392	Swatch Group AG (The)		2,061,085

Shares		Description	Value ($)
		Switzerland — continued
	2,554	Swiss Life Holding AG (Registered) *		597,749
	31,719	Swiss Re AG		2,719,228
	6,563	Swisscom AG (Registered)		3,542,503
	16,701	Zurich Insurance Group AG *		4,585,484
		Total Switzerland		62,346,447
		United Kingdom — 23.5%
	940,898	AstraZeneca Plc		58,701,800
	611,546	BAE Systems Plc		4,209,494
	179,723	BG Group Plc		2,727,760
	11,113,817	BP Plc		61,601,268
	355,033	British American Tobacco Plc		18,799,867
	734,285	BT Group Plc		4,898,552
	65,001	Bunzl Plc		1,719,952
	4,067,583	Centrica Plc		15,061,187
	270,977	Compass Group Plc		4,274,010
	191,001	Dixons Carphone Plc		1,257,465
	230,590	Drax Group Plc		1,032,724
	2,454,134	GlaxoSmithKline Plc		50,107,551
	661,383	Home Retail Group Plc		1,537,689
	177,691	HSBC Holdings Plc		1,404,411
	34,972	Imperial Tobacco Group Plc		1,683,339
	716,130	J Sainsbury Plc		2,650,704
	1,026,617	Kingfisher Plc		5,579,190
	692,769	Marks & Spencer Group Plc		5,500,532
	1,225	National Grid Plc		16,140
	183	Next Plc		22,158
	354,337	Pearson Plc		6,142,986
	214,889	Reckitt Benckiser Group Plc		18,827,376
	1,660,538	Royal Dutch Shell Plc A Shares (London)		43,260,801
	1,145,785	Royal Dutch Shell Plc B Shares (London)		29,915,402
	110,336	Royal Mail Plc		780,105
	171,672	Sage Group Plc (The)		1,348,140
	156,937	Scottish & Southern Energy Plc		3,516,825
	103,187	Standard Chartered Plc		1,202,178
	228,471	Standard Life Plc		1,445,922
	6,729,208	Tesco Plc *		19,531,045
	35,159	Unilever Plc		1,410,048
	13,229,502	Vodafone Group Plc		45,555,009
	72,936	WH Smith Plc		1,668,691
	2,025,410	WM Morrison Supermarket Plc		5,199,148
	283,576	WPP Plc		5,837,488
		Total United Kingdom		428,426,957
		TOTAL COMMON STOCKS (COST $1,925,743,941)		1,763,429,182

24 See accompanying notes to the financial statements.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value		Description	Value ($)
		PREFERRED STOCKS — 0.9%
		Germany — 0.9%
	154,978	Porsche Automobil Holding SE		10,762,243
	29,988	Volkswagen AG		5,681,917
		Total Germany		16,444,160
		TOTAL PREFERRED STOCKS (COST $20,084,122)		16,444,160
		MUTUAL FUNDS — 1.2%
		United States — 1.2%
		Affiliated Issuers
	878,800	GMO U.S. Treasury Fund		21,970,000
		TOTAL MUTUAL FUNDS (COST $21,970,000)		21,970,000
		SHORT-TERM INVESTMENTS — 0.3%
		Time Deposits — 0.3%
AUD	71,762	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 1.05%, due 09/01/15		51,070
USD	5,951,456	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.06%, due 09/01/15		5,951,456
JPY	29,919,400	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.01%, due 09/01/15		246,788
SGD	7,210	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.10%, due 09/01/15		5,110
NOK	1,137,059	DnB Nor Bank (Oslo) Time Deposit, 0.13%, due 09/01/15		137,454
		Total Time Deposits		6,391,878
		TOTAL SHORT-TERM INVESTMENTS (COST $6,391,878)		6,391,878
		TOTAL INVESTMENTS — 99.1% (Cost $1,974,189,941)		1,808,235,220
		Other Assets and Liabilities (net) — 0.9%		16,276,495
		TOTAL NET ASSETS — 100.0%		$1,824,511,715

Notes to Schedule of Investments:

* Non-income producing security.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.

See accompanying notes to the financial statements. 25

GMO International Small Companies Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		96.6	%
Mutual Funds		1.9
Preferred Stocks		1.0
Short-Term Investments		0.2
Rights/Warrants		0.0	^
Other		0.3
		100.0	%
Country Summary**	% of Investments
United Kingdom		29.6	%
Japan		23.9
Germany		7.5
France		5.1
Sweden		4.7
Italy		4.5
Other Developed***		3.6
Other Emerging****		3.2
Finland		3.2
Canada		2.9
Netherlands		2.5
China		2.3
South Korea		1.8
Spain		1.6
Taiwan		1.3
Belgium		1.2
Denmark		1.1
		100.0	%
Industry Group Summary	% of Equity Investments*****
Capital Goods		18.2	%
Materials		12.1
Retailing		7.4
Energy		6.7
Consumer Durables & Apparel		5.6
Media		5.3
Transportation		5.3
Technology Hardware & Equipment		4.6
Software & Services		4.0
Automobiles & Components		3.9
Commercial & Professional Services		3.5
Consumer Services		3.3
Food, Beverage & Tobacco		3.2
Utilities		2.9
Food & Staples Retailing		2.6
Health Care Equipment & Services		2.6
Telecommunication Services		2.5
Pharmaceuticals, Biotechnology & Life Sciences		2.3
Diversified Financials		1.4
Insurance		1.0
Real Estate		0.7
Banks		0.4
Semiconductors & Semiconductor Equipment		0.3
Commercial Services & Supplies		0.1
Household & Personal Products		0.1
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

*** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Investments.

**** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Investments.

***** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

26

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.6%
		Australia — 0.4%
	799,578	Beach Energy Ltd		384,684
	96,569	Downer Edi Ltd		248,990
	121,930	TABCORP Holdings Ltd		402,155
		Total Australia		1,035,829
		Austria — 0.4%
	3,925	Flughafen Wien AG		359,679
	1,761,602	Immofinanz AG (Entitlement Shares) *		—
	13,225	Oesterreichische Post AG		508,239
	13,168	RHI AG		274,297
		Total Austria		1,142,215
		Belgium — 1.2%
	32,398	bpost SA		788,125
	5,391	Delhaize Group		482,368
	2,336	Elia System Operator SA/NV		105,639
	9,095	GIMV NV		431,245
	15,893	Mobistar SA *		330,501
	1,741	Tessenderlo Chemie NV – STRIP VVPR *		16
	24,070	Umicore SA		960,486
		Total Belgium		3,098,380
		Brazil — 0.1%
	243,000	Centrais Eletricas Brasileiras SA *		333,680
	2,900	Cia de Saneamento de Minas Gerais-COPASA *		7,596
		Total Brazil		341,276
		Canada — 2.8%
	13,600	ARC Resources Ltd		204,476
	111,200	Bankers Petroleum Ltd *		198,632
	87,500	Baytex Energy Corp		506,138
	110,700	Bonavista Energy Corp		344,149
	316,800	Canadian oil Sands Ltd		1,854,181
	700	Dorel Industries Inc – Class B		18,851
	88,100	Enerplus Corp		561,172
	12,100	Freehold Royalties Ltd		100,435
	48,800	MEG Energy Corp *		438,443
	162,500	Pacific Exploration & Production Corp		550,889
	41,600	Parex Resources Inc *		286,798
	175,100	Pengrowth Energy Corp		256,874
	326,500	Penn West Petroleum Ltd		255,621
	30,000	Peyto Exploration & Development Corp		711,006
	39,200	Raging River Exploration Inc *		250,587
	30,200	Vermilion Energy Inc		1,046,303
		Total Canada		7,584,555

Shares		Description	Value ($)
		China — 2.3%
	345,500	Agile Property Holdings Ltd		170,446
	2,708,000	Bosideng International Holdings Ltd		251,199
	1,132,000	China BlueChemical Ltd – Class H		325,727
	998,000	China Communications Services Corp Ltd – Class H		369,183
	425,000	China Lesso Group Holdings Ltd		298,255
	586,000	China Shanshui Cement Group Ltd *		475,602
	795,000	Dah Chong Hong Holdings Ltd		287,272
	295,000	Digital China Holdings Ltd		258,814
	2,663,000	GOME Electrical Appliances Holding Ltd		416,030
	500,000	Harbin Power Equipment Co Ltd		261,732
	1,272,000	Hengdeli Holdings Ltd		177,258
	1,078,000	Huabao International Holdings Ltd		360,288
	479,000	Kingboard Chemical Holdings Ltd		619,379
	581,500	Kingboard Laminates Holdings Ltd		231,376
	928,000	Real Nutriceutical Group Ltd		165,101
	87,000	Shanghai Industrial Holdings Ltd		213,082
	176,500	Shenzhen International Holdings Ltd		244,948
	1,236,173	Shenzhen Investment Ltd		441,908
	602,000	Sichuan Expressway Co Ltd – Class H		192,510
	534,000	Skyworth Digital Holdings Ltd		310,439
		Total China		6,070,549
		Denmark — 1.1%
	9,038	D/S Norden A/S *		213,045
	13,906	FLSmidth & Co A/S		526,343
	40,012	H Lundbeck A/S *		1,245,232
	6,209	ISS A/S		216,304
	48,349	TDC A/S		305,678
	5,177	William Demant Holding A/S *		422,088
		Total Denmark		2,928,690
		Finland — 3.1%
	9,425	Amer Sports Oyj – Class A		257,994
	13,244	Cargotec Oyj Class B		419,152
	37,866	Elisa Oyj		1,260,021
	37,023	Kesko Oyj – Class B		1,329,914
	8,629	Konecranes Oyj		272,127
	49,080	Metso Oyj		1,209,099
	13,555	Neste Oyj		347,505
	40,787	Nokian Renkaat Oyj		1,099,315
	25,852	Orion Oyj – Class B		1,022,576
	32,288	Tieto Oyj		826,484
	17,494	Valmet Oyj		175,917
	45,417	YIT Oyj		263,155
		Total Finland		8,483,259
		France — 5.0%
	78,085	Air France – KLM *		540,482
	3,698	Casino Guichard-Perrachon SA		233,603

See accompanying notes to the financial statements. 27

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		France — continued
	62,239	CGG SA *		297,364
	16,901	Eiffage SA		1,082,864
	36,698	Etablissements Maurel et Prom *		193,133
	40,987	Havas SA		345,740
	10,554	Imerys SA		725,910
	16,084	IPSOS		366,357
	31,341	Lagardere SCA		851,934
	42,536	M6-Metropole Television		822,540
	18,345	Neopost SA		632,237
	17,106	Peugeot SA *		294,084
	20,548	Rallye SA		502,338
	142,632	Rexel SA		2,184,999
	12,859	Seb SA		1,194,873
	40,886	Societe Television Francaise 1		655,759
	1,068,919	Solocal Group *		393,488
	18,256	Suez Environnement Co		328,367
	48,724	UbiSoft Entertainment SA *		911,243
	42,472	Vallourec SA		542,224
	21,912	Veolia Environnement SA		478,558
		Total France		13,578,097
		Germany — 6.9%
	8,068	Aurubis AG		534,131
	23,372	Axel Springer SE		1,412,626
	7,245	Bechtle AG		624,895
	29,812	Bilfinger SE		1,195,003
	7,203	DMG Mori AG		275,575
	10,000	ElringKlinger AG		239,064
	4,896	Fraport AG Frankfurt Airport Services Worldwide		295,312
	41,463	Freenet AG		1,315,110
	3,783	Hannover Rueck SE		383,939
	60,833	K+S AG (Registered)		2,270,507
	12,440	KION Group AG *		552,167
	52,123	Kloeckner & Co SE		471,395
	14,030	Leoni AG		849,139
	4,179	MTU Aero Engines Holding AG		373,990
	19,250	Osram Licht AG		1,016,048
	2,297	Pfeiffer Vacuum Technology AG		243,049
	7,178	ProSiebenSat.1 Media SE (Registered)		348,627
	22,674	Rheinmetall AG		1,395,535
	26,491	Rhoen-Klinikum AG		710,094
	18,709	Salzgitter AG		580,672
	41,519	Software AG		1,144,378
	31,640	Stada Arzneimittel AG		1,085,793
	56,800	Suedzucker AG		827,344
	11,641	Wincor Nixdorf AG		494,083
		Total Germany		18,638,476

Shares		Description	Value ($)
		Greece — 0.2%
	111,009	Alapis Holding Industrial and Commercial SA *		5,107
	51,055	Motor Oil (Hellas) Corinth Refineries SA *		533,102
		Total Greece		538,209
		Hong Kong — 0.9%
	75,000	Kerry Properties Ltd		224,987
	259,000	Kowloon Development Co Ltd		294,265
	92,000	Luk Fook Holdings International Ltd		239,171
	268,000	Man Wah Holdings Ltd		284,358
	636,000	PCCW Ltd		332,624
	352,000	Texwinca Holdings Ltd		334,940
	732,000	Xinyi Glass Holdings Ltd		332,425
	99,500	Yue Yuen Industrial Holdings		356,677
		Total Hong Kong		2,399,447
		Hungary — 0.2%
	302,663	Magyar Telekom Telecommunications Plc *		430,782
		India — 0.1%
	137,608	Jindal Steel & Power Ltd *		142,252
		Indonesia — 0.1%
	3,756,600	Adaro Energy Tbk PT		158,875
	42,939,000	Bakrie & Brothers Tbk PT *		152,808
		Total Indonesia		311,683
		Ireland — 0.5%
	66,798	C&C Group Plc		266,009
	2,222	Paddy Power Plc		244,814
	24,647	Smurfit Kappa Group Plc		726,965
		Total Ireland		1,237,788
		Israel — 0.3%
	204,721	Bezeq The Israeli Telecommunication Corp Ltd		367,520
	267,474	Israel Discount Bank Ltd – Class A *		495,271
		Total Israel		862,791
		Italy — 4.4%
	668,959	A2A SPA		818,231
	29,529	Ansaldo STS SPA		314,018
	46,280	Astaldi SPA		505,304
	25,201	Autostrada Torino-Milano SPA		334,115
	31,172	Buzzi Unicem SPA		530,063
	44,430	Cementir SPA		264,444
	37,372	Danieli & Co SPA – RSP		551,125
	37,137	Finmeccanica SPA *		501,823
	339,890	Hera SPA		868,289
	442,465	Iren SPA		695,674

28 See accompanying notes to the financial statements.

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	65,873	Italcementi SPA-Di RISP		736,249
	6,198	Italmobiliare SPA		257,802
	388,847	Mediaset SPA		1,858,795
	46,950	Prysmian SPA		1,001,841
	45,375	Recordati SPA		1,077,807
	93,125	Salini Impregilo SPA		388,364
	64,240	Societa Iniziative Autostradali e Servizi SPA		734,753
	4,469	Tod’s SPA		407,915
		Total Italy		11,846,612
		Japan — 23.3%
	7,950	Adastria Co Ltd		426,323
	34,800	Alfresa Holdings Corp		635,306
	18,200	Alpen Co Ltd		264,469
	18,300	Aoyama Trading Co Ltd		681,534
	61,600	Asatsu-DK Inc		1,270,405
	17,000	Benesse Corp		450,572
	42,100	BIC Camera Inc		405,865
	63,500	Brother Industries Ltd		863,699
	51,000	Calsonic Kansei Corp		355,870
	31,700	Chiba Kogyo Bank Ltd (The)		178,693
	13,100	Coca-Cola West Co Ltd		269,254
	12,100	Cocokara fine Inc		484,340
	41,300	Daihatsu Motor Co Ltd		503,852
	20,800	Daiichikosho Co Ltd		787,324
	66,200	DCM Holdings Co Ltd		521,432
	57,900	Dena Co Ltd		1,056,072
	147,000	Denki Kagaku Kogyo K K		624,860
	242,000	DIC Corp		582,035
	11,600	Electric Power Development Co Ltd		363,135
	18,700	FamilyMart Co Ltd		865,912
	8,800	Foster Electric Co Ltd		172,123
	10,200	Fuji Media Holdings Inc		119,450
	14,400	Fuji Soft Inc		240,870
	96,800	Futaba Industrial Co Ltd		362,426
	194,000	Godo Steel Ltd		313,636
	37,100	Gree Inc		174,742
	47,300	Gulliver International Co Ltd		416,953
	190,000	Gunze Ltd		592,651
	3,002	Hakuhodo DY Holdings Inc		29,961
	183,000	Hanwa Co Ltd		766,274
	13,800	Heiwa Corp		271,204
	32,300	Hitachi Chemical Co Ltd		494,426
	20,700	Hitachi Construction Machinery Co Ltd		299,578
	335,000	Ishihara Sangyo Kaisha Ltd *		302,593
	43,700	IT Holdings Corp		1,021,989
	42,900	Itochu Enex Co Ltd		370,260
	8,200	Itochu Techno-Solutions Corp		180,436
	66,700	Japan Display Inc *		209,003
	20,500	Japan Petroleum Exploration Co		603,671

Shares		Description	Value ($)
		Japan — continued
	35,400	JSR Corp		554,963
	22,800	K’s Holdings Corp		726,401
	59,500	Kamei Corp		629,238
	93,000	Kaneka Corp		752,325
	380,000	Kanematsu Corp		583,752
	259,000	Kawasaki Kisen Kaisha Ltd		574,927
	16,100	Keihin Corp		222,411
	246,000	Kobe Steel Ltd		329,354
	58,900	Kohnan Shoji Co Ltd		768,384
	11,400	Komeri Co Ltd		253,675
	39,700	Konaka Co Ltd		202,645
	59,400	Konica Minolta Holdings Inc		650,395
	159,000	Krosaki Harima Corp		330,341
	180,000	Kurabo Industries Ltd		351,227
	83,300	Kuraray Co Ltd		982,091
	17,400	Kurita Water Industries Ltd		360,671
	28,800	Maruha Nichiro Corp		432,107
	44,900	Medipal Holdings Corp		774,522
	19,800	Miraca Holdings Inc		846,956
	47,200	Misawa Homes Co Ltd		337,646
	203,000	Mitsubishi Steel Manufacturing Co Ltd		391,785
	126,000	Mitsui Chemicals Inc		424,960
	317,000	Mitsui Engineering & Shipbuilding Co Ltd		491,747
	166,000	Mitsui Mining & Smelting Co Ltd		339,946
	153,000	Mitsui OSK Lines Ltd		430,382
	160,000	Morinaga Milk Industry Co Ltd		776,197
	22,500	Namura Shipbuilding Co Ltd		163,929
	32,100	Nexon Co Ltd		445,980
	48,300	NHK Spring Co Ltd		465,755
	73,000	Nichias Corp		465,802
	38,200	Nikon Corp		488,289
	357,400	Nippon Coke & Engineering Co Ltd		309,247
	284,500	Nippon Light Metal Co Ltd		437,592
	49,800	Nippon Paper Industries Co Ltd		813,174
	70,000	Nippon Soda Co Ltd		401,672
	32,000	Nippon Synthetic Chemical Industry Co Ltd		229,499
	137,000	Nippon Electric Glass Co Ltd		603,407
	72,000	Nippon Flour Mills Co Ltd		458,363
	138,600	Nippon Steel & Sumitomo Metal Corp		284,217
	256,000	Nippon Yusen Kabushiki Kaisha		671,258
	43,900	Nipro Corp		501,628
	33,400	Nissan Shatai Co Ltd		390,263
	48,400	Nisshin Seifun Group Inc		659,804
	16,900	NOK Corp		415,430
	132,000	OJI Paper Co Ltd		609,318
	19,600	Okinawa Electric Power Co		461,371
	186,700	Orient Corp *		303,527
	1,000	Osaka Steel Co Ltd		15,386
	76,000	Press Kogyo Co Ltd		297,973
	49,000	Rengo Co Ltd		196,437

See accompanying notes to the financial statements. 29

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	21,500	Rohto Pharmaceutical Co Ltd		369,840
	3,800	Round One Corp		17,118
	175,000	Ryobi Ltd		693,976
	4,600	Sankyo Co Ltd		177,026
	66,000	Sankyu Inc		331,189
	14,800	Sega Sammy Holdings Inc		155,933
	10,000	Shimamura Co Ltd		922,338
	31,000	ShinMaywa Industries Ltd		323,609
	31,100	Showa Corp		262,090
	481,000	Showa Denko KK		550,699
	49,700	Showa Shell Sekiyu KK		425,624
	47,400	Sodick Co Ltd		321,760
	726,900	Sojitz Corp		1,535,031
	157,000	Sumitomo Heavy Industries Ltd		678,492
	52,200	Sumitomo Rubber Industries Ltd		737,558
	70,300	Sumitomo Forestry Co Ltd		786,340
	3,800	Sundrug Co Ltd		213,543
	24,000	Suzuken Co Ltd		822,430
	51,000	Takashimaya Co Ltd		440,757
	21,100	Toho Holdings Co Ltd		463,815
	10,500	Tokai Rika Co Ltd		222,399
	187,000	Tokuyama Corp *		314,503
	125,000	Toppan Printing Co Ltd		1,036,740
	147,000	Topy Industries Ltd		322,010
	69,000	Toshiba TEC Corp		256,246
	139,000	Tosoh Corp		655,085
	32,000	Toyo Tire & Rubber Co Ltd		714,276
	20,800	Toyoda Gosei Co Ltd		406,307
	10,000	Toyo Suisan Kaisha Ltd		374,392
	23,200	TS Tech Co Ltd		620,576
	28,500	Tsumura & Co		634,507
	44,400	T–Gaia Corp		726,416
	433,000	Ube Industries Ltd		747,181
	16,800	Unipres Corp		312,379
	99,600	UNY Co Ltd		618,513
	17,000	Xebio Co Ltd		321,693
	356,400	Yamada Denki Co Ltd		1,371,229
	32,000	Yokohama Rubber Co Ltd (The)		627,069
	34,000	Zeon Corp		281,423
		Total Japan		62,933,679
		Netherlands — 2.4%
	31,694	Aalberts Industries NV		983,171
	19,376	Arcadis NV		485,562
	11,597	ASM International NV		435,915
	17,652	Boskalis Westminster		918,719
	15,556	Koninklijke Ten Cate NV		419,320
	411,952	PostNL NV *		1,554,656
	88,711	TNT Express NV		749,325
	58,092	TomTom NV *		581,936

Shares		Description	Value ($)
		Netherlands — continued
	13,312	Wolters Kluwer NV		421,171
		Total Netherlands		6,549,775
		Norway — 0.4%
	34,550	Det Norske Oljeselskap ASA *		206,228
	54,803	Petroleum Geo-Services ASA		248,730
	33,756	Subsea 7 SA *		290,365
	14,739	TGS Nopec Geophysical Co ASA		288,750
		Total Norway		1,034,073
		Philippines — 0.1%
	1,255,300	Lopez Holding Corp		181,623
		Poland — 0.4%
	26,607	Asseco Poland SA		368,433
	30,419	Grupa Lotos SA *		241,001
	470,783	Tauron Polska Energia SA		436,429
		Total Poland		1,045,863
		Portugal — 0.5%
	78,069	CTT-Correios de Portugal SA		807,206
	77,861	Portucel Empresa Produtora de Pasta e Papel SA		278,071
	287,038	Sonae		364,934
		Total Portugal		1,450,211
		Russia — 0.4%
	40,867	Severstal PAO GDR (Registered Shares)		433,729
	19,757	Tatneft PAO Sponsored ADR		557,637
		Total Russia		991,366
		Singapore — 0.2%
	278,500	Ho Bee Land Ltd		394,712
	260,000	Yangzijiang Shipbuilding Holdings Ltd		202,697
		Total Singapore		597,409
		South Africa — 0.6%
	233,723	Aveng Ltd *		84,406
	18,705	Barloworld Ltd		120,005
	97,523	Gold Fields Ltd		313,285
	90,551	Lewis Group Ltd		426,573
	114,471	Telkom South Africa Ltd		547,865
	27,558	Truworths International Ltd		182,586
		Total South Africa		1,674,720
		South Korea — 1.7%
	9,756	BNK Financial Group Inc		114,730
	6,258	Daelim Industrial Co Ltd		355,714
	40	Dongwon Industries Co Ltd		11,695

30 See accompanying notes to the financial statements.

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	11,937	Hanwha Corp		424,927
	1,683	Hyundai Department Store Co Ltd		214,106
	8,601	Kolon Industries Inc		403,133
	11,750	LF Corp		324,861
	19,237	LG International Corp		427,365
	3,921	LS Corp		103,175
	318	Namyang Dairy Products Co Ltd		218,798
	4,131	SeAH Steel Corp		241,112
	3,986	Shinsegae Co Ltd		843,646
	4,287	SK Gas Co Ltd		320,590
	43,572	SK Networks Co Ltd		241,829
	22,335	Sungwoo Hitech Co Ltd		147,896
	281	Taekwang Industrial Co Ltd		282,841
		Total South Korea		4,676,418
		Spain — 1.6%
	9,675	Acciona SA		717,755
	12,473	ACS Actividades de Construccion y Servicios SA		403,193
	6,150	Corp Financiera Alba SA		288,582
	53,597	Distribuidora Internacional de Alimentacion SA		321,428
	34,500	Ebro Puleva SA		696,434
	14,954	Enagas		408,049
	73,046	Indra Sistemas SA *		861,836
	26,755	Mediaset Espana Comunicacion SA		318,549
	19,092	Obrascon Huarte Lain SA		295,266
		Total Spain		4,311,092
		Sweden — 4.5%
	124,845	ASecuritas AB – B Shares		1,589,785
	24,032	Axfood AB		406,418
	42,523	Betsson AB		752,114
	44,550	Getinge AB – Class B		988,187
	25,992	Holmen AB – Class B		731,018
	139,220	Husqvarna AB – Class B		903,005
	13,366	Intrum Justitia AB		458,284
	22,970	JM AB		602,570
	32,407	Meda AB		496,221
	29,457	Modern Times Group AB – Class B		798,306
	33,110	NCC AB – Class B		965,407
	86,934	Peab AB		617,309
	30,668	SAAB AB – Class B		782,604
	73,797	SSAB Svenskt Stal AB Series A *		309,417
	128,867	Tele2 AB – B Shares		1,270,160
	36,371	Trelleborg AB – B Shares		592,812
		Total Sweden		12,263,617
		Switzerland — 0.0%
	54	Fischer (George) AG (Registered)		32,399

Shares		Description	Value ($)
		Switzerland — continued
	49	Helvetia Patria Holding AG (Registered)		25,806
	309	Sulzer AG		31,503
		Total Switzerland		89,708
		Taiwan — 1.2%
	520,612	Acer Inc *		192,489
	206,250	Coretronic Corp		164,204
	252,558	Kenda Rubber Industrial Co Ltd		340,127
	521,595	Lite-On Technology Corp		477,978
	175,000	Micro-Star International Co Ltd		135,678
	190,000	Powertech Technology Inc		327,562
	430,000	ProMOS Technologies Inc * (a) (b)		—
	76,000	Simplo Technology Co Ltd		252,154
	164,000	Synnex Technology International Corp		174,557
	179,000	Tripod Technology Corp		251,290
	392,000	Unimicron Technology Corp		152,029
	1,210,097	Wistron Corp		599,483
	262,000	WPG Holdings Co Ltd		247,782
		Total Taiwan		3,315,333
		Thailand — 0.1%
	481,400	Banpu Pcl (Foreign Registered)		276,535
		Turkey — 0.3%
	739,512	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS – Class D		322,478
	244,876	Tekfen Holding AS		336,167
	165,888	Turkiye Sise ve Cam Fabrikalari AS		161,823
		Total Turkey		820,468
		United Kingdom — 28.9%
	33,776	3i Group Plc		252,842
	15,732	Admiral Group Plc		372,353
	12,182	Aggreko Plc		198,123
	26,555	Amec Foster Wheeler Plc		325,994
	51,159	Amlin Plc		402,723
	83,214	Ashmore Group Plc		332,409
	38,112	Atkins WS Plc		853,456
	7,138	AVEVA Group Plc		236,495
	447,351	Balfour Beatty Plc		1,861,093
	115,458	BBA Aviation Plc		513,363
	105,393	Beazley Plc		537,748
	42,860	Bellway Plc		1,623,380
	48,681	Berkeley Group Holdings Plc (Unit Shares)		2,496,267
	25,247	Bodycote Plc		245,760
	38,549	Bovis Homes Group Plc		647,705
	45,990	Britvic Plc		469,871
	21,063	Cable & Wireless Communications Plc		19,267
	377,924	Cairn Energy Plc *		873,541
	75,554	Cape Plc		295,468

See accompanying notes to the financial statements. 31

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	316,176	Carillion Plc		1,648,908
	593,440	Centamin Plc		544,523
	15,900	Close Brothers Group Plc		360,505
	421,165	Cobham Plc		1,804,838
	85,635	Crest Nicholson Holdings Plc		720,070
	17,673	Croda International Plc		779,766
	98,555	Dairy Crest Group Plc		882,459
	56,298	Davis Service Group (Ordinary)		856,995
	20,787	DCC Plc		1,541,790
	949,062	Debenhams Plc		1,094,187
	60,638	Direct Line Insurance Group Plc		326,851
	132,589	Drax Group Plc		593,815
	272,608	DS Smith Plc		1,638,364
	279,659	Electrocomponents Plc		783,242
	365,655	EnQuest Plc *		188,419
	419,196	Enterprise Inns Plc *		769,996
	1,450	Essentra Plc		18,853
	272,650	Evraz Plc *		328,059
	630,679	FirstGroup Plc *		1,046,644
	23,395	Galliford Try Plc		618,709
	21,667	Go-Ahead Group Plc		836,374
	101,254	Greene King Plc		1,269,425
	54,356	Greggs Plc		945,853
	150,036	Halfords Group Plc		1,194,563
	100,997	Halma Plc		1,163,639
	826,740	Home Retail Group Plc		1,922,138
	45,037	HomeServe Plc		289,461
	71,009	IMI Plc		1,121,594
	197,335	Inchcape Plc		2,196,368
	190,251	Informa Plc		1,678,188
	1,665	Inmarsat Plc		24,874
	34,102	Intermediate Capital Group Plc		277,450
	73,547	Interserve Plc		652,929
	34,605	John Wood Group Plc		337,135
	47,501	Jupiter Fund Management Plc		322,833
	93,955	KAZ Minerals Plc *		249,171
	29,817	Keller Group Plc		446,698
	17,272	Kier Group Plc		395,033
	732,469	Ladbrokes Plc		1,112,827
	34,364	Lancashire Holdings Ltd		342,518
	144,102	Man Group Plc		352,395
	402,250	Marston’s Plc		935,843
	53,914	Meggitt Plc		392,118
	97,044	Melrose Industries Plc		394,490
	60,092	Micro Focus International Plc		1,200,256
	232,053	Mitie Group Plc		1,051,562
	269,022	National Express Group Plc		1,220,639
	298,667	Ophir Energy Plc *		441,372
	123,434	Pace Plc		645,065
	55,954	Paragon Group of Cos Plc (The)		352,539

Shares		Description	Value ($)
		United Kingdom — continued
	25,377	Petrofac Ltd		345,231
	87,119	Playtech Ltd		1,138,993
	149,989	Premier Farnell Plc		299,871
	548,257	Premier Foods Plc *		292,698
	413,055	Premier Oil Plc *		659,390
	8,161	Provident Financial Plc		366,153
	137,755	Qinetiq Group Plc		489,285
	12,198	Rentokil Initial Plc		27,640
	164,511	Rexam Plc		1,349,596
	316,740	Rotork Plc		1,010,440
	38,286	RPS Group Plc		136,459
	48,656	RSA Insurance Group Plc		379,816
	50,877	Segro Plc (REIT)		324,316
	139,052	Senior Plc		605,613
	635,808	Serco Group Plc *		1,096,335
	153,023	SIG Plc		438,226
	61,648	Spectris Plc		1,713,831
	21,233	Spirax-Sarco Engineering Plc		1,029,330
	135,212	Stagecoach Group Plc		752,073
	25,663	TalkTalk Telecom Group Plc		117,593
	218,765	Tate & Lyle Plc		1,800,258
	201,969	Thomas Cook Group Plc *		329,807
	184,744	Trinity Mirror Plc		386,380
	53,120	Tullett Prebon Plc		305,084
	284,706	Tullow Oil Plc *		970,434
	159,215	UBM Plc		1,194,556
	47,026	UDG Healthcare Plc		362,989
	24,765	Ultra Electronics Holdings Plc		665,367
	110,144	Vesuvius Plc		667,328
	27,088	Victrex Plc		741,184
	34,956	Weir Group Plc		748,255
	75,901	WH Smith Plc		1,736,526
	442,723	William Hill Plc		2,426,736
	80,384	William Morrison Supermarket Plc		206,343
		Total United Kingdom		77,984,337
		TOTAL COMMON STOCKS (COST $279,743,756)		260,867,117
		PREFERRED STOCKS — 1.0%
		Brazil — 0.6%
	4,100	Banco do Estado do Rio Grande do Sul SA – Class B		8,739
	156,500	Bradespar SA		404,342
	109,100	Centrais Eletricas Brasileiras SA – Class B		225,922
	91,000	Cia Energetica de Sao Paulo – Class B		404,734
	40,600	Cia Paranaense de Energia – Class B		347,042
	166,900	Metalurgica Gerdau SA		138,522
		Total Brazil		1,529,301

32 See accompanying notes to the financial statements.

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value		Description	Value ($)
		Germany — 0.4%
	3,261	Draegerwerk AG & Co		308,906
	10,292	Jungheinrich AG		718,284
		Total Germany		1,027,190
		TOTAL PREFERRED STOCKS (COST $3,043,202)		2,556,491
		RIGHTS/WARRANTS — 0.0%
		Malaysia — 0.0%
	11,833	Coastal Contracts Warrants, Expires 07/18/16 *		563
		TOTAL RIGHTS/WARRANTS (COST $0)		563
		MUTUAL FUNDS — 1.9%
		United States — 1.9%
		Affiliated Issuers
	209,048	GMO U.S. Treasury Fund		5,226,207
		TOTAL MUTUAL FUNDS (COST $5,226,207)		5,226,207
		SHORT-TERM INVESTMENTS — 0.2%
		Time Deposits — 0.2%
CAD	13,464	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.10%, due 09/01/15		10,234
EUR	583	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.22)%, due 09/01/15		654
JPY	1,669,920	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/15		13,774
ZAR	197	Brown Brothers Harriman (Grand Cayman) Time Deposit, 5.05%, due 09/01/15		15
USD	571,982	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/01/15		571,982
		Total Time Deposits		596,659
		TOTAL SHORT-TERM INVESTMENTS (COST $596,659)		596,659
		TOTAL INVESTMENTS — 99.7% (Cost $288,609,824)		269,247,037
		Other Assets and Liabilities (net) — 0.3%		686,621
		TOTAL NET ASSETS — 100.0%		$269,933,658

Notes to Schedule of Investments:

* Non-income producing security.

(a) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

(b) Bankrupt issuer.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.

See accompanying notes to the financial statements. 33

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		98.4	%
Mutual Funds		1.0
Short-Term Investments		0.1
Other		0.5
		100.0	%
Country Summary**	% of Investments
United States		83.3	%
United Kingdom		9.7
Switzerland		2.7
Japan		1.6
Netherlands		1.2
Other Developed***		1.0
Other Emerging****		0.5
		100.0	%
Industry Group Summary	% of Equity Investments*****
Software & Services		21.6	%
Health Care Equipment & Services		14.0
Food, Beverage & Tobacco		12.0
Technology Hardware & Equipment		11.7
Pharmaceuticals, Biotechnology & Life Sciences		10.3
Household & Personal Products		10.1
Capital Goods		8.1
Food & Staples Retailing		4.1
Consumer Durables & Apparel		2.2
Consumer Services		1.6
Telecommunication Services		1.6
Retailing		1.2
Materials		0.9
Semiconductors & Semiconductor Equipment		0.6
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

*** “Other Developed” is compromised of developed countries that each represents less than 1.0% of investments.

**** “Other Emerging” is compromised of emerging countries that each represents less than 1.0% of investments.

***** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments.

34

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.4%
		Capital Goods — 8.0%
	1,290,789	3M Co.		183,472,749
	1,402,016	Danaher Corp.		122,003,432
	251,700	Dover Corp.		15,592,815
	1,471,431	Emerson Electric Co.		70,216,687
	440,400	Honeywell International, Inc.		43,718,508
	867,002	Illinois Tool Works, Inc.		73,287,679
	256,600	Precision Castparts Corp.		59,082,150
	265,571	Rockwell Automation, Inc.		29,698,805
	524,400	United Technologies Corp.		48,040,284
	124,000	WW Grainger, Inc.		27,706,560
		Total Capital Goods		672,819,669
		Consumer Durables & Apparel — 2.2%
	292,119	Burberry Group Plc		6,277,844
	328,438	LVMH Moet Hennessy Louis Vuitton SE		54,665,178
	528,841	Nike, Inc. – Class B		59,097,982
	40,860	Swatch Group AG		15,618,674
	691,500	VF Corp.		50,085,345
		Total Consumer Durables & Apparel		185,745,023
		Consumer Services — 1.6%
	3,835,349	Compass Group Plc		60,493,370
	751,800	McDonald’s Corp.		71,436,036
		Total Consumer Services		131,929,406
		Food & Staples Retailing — 4.0%
	415,800	Costco Wholesale Corp.		58,232,790
	656,700	CVS Health Corp.		67,246,080
	360,200	Sysco Corp.		14,361,174
	3,080,300	Wal-Mart Stores, Inc.		199,387,819
		Total Food & Staples Retailing		339,227,863
		Food, Beverage & Tobacco — 11.8%
	3,430,120	British American Tobacco Plc		181,633,128
	6,635,900	Coca-Cola Co. (The)		260,923,588
	2,233,234	Nestle SA (Registered)		164,515,382
	972,411	PepsiCo, Inc.		90,366,154
	3,325,017	Philip Morris International, Inc.		265,336,357
	353,800	Reynolds American, Inc.		29,630,750
		Total Food, Beverage & Tobacco		992,405,359
		Health Care Equipment & Services — 13.8%
	2,604,505	Abbott Laboratories		117,958,032
	205,800	Anthem, Inc.		29,028,090
	419,100	Becton, Dickinson and Co.		59,101,482
	33,500	CR Bard, Inc.		6,491,965
	2,900,589	Express Scripts Holding Co. *		242,489,240
	26,200	Henry Schein, Inc. *		3,584,422

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	357,600	Humana, Inc.		65,365,704
	52,700	Intuitive Surgical, Inc. *		26,927,065
	2,861,256	Medtronic Plc		206,840,196
	768,300	Stryker Corp.		75,792,795
	540,500	St Jude Medical, Inc.		38,272,805
	2,211,630	UnitedHealth Group, Inc.		255,885,591
	320,267	Zimmer Biomet Holdings, Inc.		33,166,851
		Total Health Care Equipment & Services		1,160,904,238
		Household & Personal Products — 9.9%
	278,353	Church & Dwight Co., Inc.		24,016,297
	1,518,299	Colgate-Palmolive Co		95,364,360
	114,404	Estee Lauder Cos, Inc. (The) – Class A		9,126,007
	5,120,700	Procter & Gamble Co. (The)		361,879,869
	1,571,328	Reckitt Benckiser Group Plc		137,670,946
	2,512,378	Unilever NV CVA GDR		100,682,409
	2,659,893	Unilever Plc		106,674,686
		Total Household & Personal Products		835,414,574
		Materials — 0.9%
	246,669	Johnson Matthey Plc		10,167,368
	667,780	Monsanto Co.		65,208,717
		Total Materials		75,376,085
		Pharmaceuticals, Biotechnology & Life Sciences — 10.2%
	92,300	Amgen, Inc.		14,009,294
	4,675,319	AstraZeneca Plc		291,688,931
	568,000	Eli Lilly & Co.		46,774,800
	4,348,881	Johnson & Johnson		408,707,836
	454,139	Novartis AG (Registered)		44,317,482
	1,605,000	Pfizer, Inc.		51,713,100
		Total Pharmaceuticals, Biotechnology & Life Sciences		857,211,443
		Retailing — 1.2%
	478,029	Bed Bath & Beyond, Inc. *		29,690,381
	289,000	Genuine Parts Co.		24,128,610
	432,478	TJX Cos, Inc. (The)		30,411,853
	231,200	TripAdvisor, Inc. *		16,160,880
		Total Retailing		100,391,724
		Semiconductors & Semiconductor Equipment — 0.6%
	637,865	Analog Devices, Inc.		35,631,139
	386,277	Xilinx, Inc.		16,181,143
		Total Semiconductors & Semiconductor Equipment		51,812,282

See accompanying notes to the financial statements. 35

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Software & Services — 21.2%
	1,205,204	Accenture Plc – Class A		113,614,581
	399,100	Citrix Systems, Inc. *		27,182,701
	1,036,900	Cognizant Technology Solutions Corp. – Class A *		65,262,486
	527,145	Google, Inc. – Class A *		341,495,074
	178,487	Google, Inc. – Class C *		110,349,588
	998,170	International Business Machines Corp.		147,619,361
	406,600	Intuit, Inc.		34,865,950
	361,400	MasterCard, Inc. – Class A		33,382,518
	9,251,219	Microsoft Corp		402,613,051
	9,578,784	Oracle Corp.		355,277,099
	558,600	Paychex, Inc.		24,947,076
	1,474,623	PayPal Holdings, Inc. *		51,611,805
	850,758	Sage Group Plc (The)		6,681,001
	374,726	SAP SE		25,132,853
	1,602,400	Teradata Corp. *		46,838,152
		Total Software & Services		1,786,873,296
		Technology Hardware & Equipment — 11.5%
	431,300	Amphenol Corp. – Class A		22,582,868
	2,656,989	Apple, Inc.		299,602,080
	11,808,623	Cisco Systems, Inc.		305,607,163
	3,211,000	EMC Corp.		79,857,570
	3,858,989	Qualcomm, Inc.		218,341,597
	48,156	Samsung Electronics Co., Ltd.		44,311,807
		Total Technology Hardware & Equipment		970,303,085
		Telecommunication Services — 1.5%
	1,494,700	KDDI Corp.		37,089,287
	4,410,499	NTT Docomo, Inc.		92,504,682
		Total Telecommunication Services		129,593,969
		TOTAL COMMON STOCKS (COST $7,904,826,025)		8,290,008,016
		MUTUAL FUNDS — 1.0%
		Affiliated Issuers — 1.0%
	3,509,600	GMO U.S. Treasury Fund		87,740,000
		TOTAL MUTUAL FUNDS (COST $87,740,000)		87,740,000

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	6,621,575	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (a)		6,621,575
		TOTAL SHORT-TERM INVESTMENTS (COST $6,621,575)		6,621,575
		TOTAL INVESTMENTS — 99.5% (Cost $7,999,187,600)		8,384,369,591
		Other Assets and Liabilities (net) — 0.5%		39,526,248
		TOTAL NET ASSETS — 100.0%		$8,423,895,839

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.

36 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		94.2	%
Mutual Funds		2.4
Preferred Stocks		1.2
Short-Term Investments		1.8
Futures Contracts		0.0	^
Other		0.4
		100.0	%
Country Summary**	% of Equity Investments
United Kingdom		18.9	%
Russia		11.8
Japan		8.0
Italy		7.2
United States		7.1
France		6.3
Norway		6.0
Australia		5.6
Spain		4.8
Other Emerging***		4.5
South Africa		4.3
Other Developed****		3.8
Canada		2.7
Thailand		1.9
Brazil		1.8
India		1.6
Poland		1.4
Czech Republic		1.3
Switzerland		1.0
		100.0	%
Industry Group Summary	% of Equity Investments*****
Energy		57.8	%
Materials		25.6
Capital Goods		8.9
Utilities		5.9
Food, Beverage & Tobacco		1.8
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

*** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Investments.

**** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Investments.

***** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

37

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.2%
		Australia — 5.4%
	150,677	Beach Energy Ltd		72,492
	256,607	BHP Billiton Ltd		4,700,448
	108,216	Origin Energy Ltd		634,913
	61,121	Rio Tinto Ltd		2,192,020
	84,968	Santos Ltd		311,878
	249,627	South32 Ltd *		269,457
	104,285	Woodside Petroleum Ltd		2,400,199
	55,472	WorleyParsons Ltd		296,321
		Total Australia		10,877,728
		Austria — 0.7%
	1,428	ANDRITZ AG		68,224
	45,836	OMV AG		1,173,452
	17,847	Verbund AG		252,008
		Total Austria		1,493,684
		Belgium — 0.1%
	60,314	Nyrstar NV *		151,032
		Brazil — 1.0%
	37,400	Cosan SA Industria e Comercio		187,173
	6,100	QGEP Participacoes SA		10,529
	11,600	Sao Martinho SA		97,364
	1,500	Tractebel Energia SA		13,872
	330,300	Vale SA		1,632,078
		Total Brazil		1,941,016
		Canada — 2.5%
	11,700	Advantage Oil & Gas Ltd *		65,188
	24,300	Agrium Inc		2,523,277
	11,100	ARC Resources Ltd		166,888
	38,700	Bankers Petroleum Ltd *		69,128
	20,700	Bonavista Energy Corp		64,353
	2,000	Bonterra Energy Corp		33,247
	46,700	Encana Corp		348,937
	18,800	Enerplus Corp		119,751
	3,500	Freehold Royalties Ltd		29,051
	51,200	Lightstream Resources Ltd		22,183
	28,400	Lundin Mining Corp *		96,494
	68,400	Pacific Exploration & Production Corp		231,882
	11,700	Parex Resources Inc *		80,662
	40,100	Pengrowth Energy Corp		58,827
	82,800	Penn West Petroleum Ltd		64,825
	4,300	Peyto Exploration & Development Corp		101,911
	10,100	Raging River Exploration Inc *		64,564
	96,200	Teck Resources Ltd – Class B		691,008
	8,300	Total Energy Services Inc		94,634
	42,400	TransGlobe Energy Corp		145,674

Shares		Description	Value ($)
		Canada — continued
	1,700	Vermilion Energy Inc		58,898
		Total Canada		5,131,382
		Chile — 0.5%
	816,981	Empresa Nacional de Electricidad SA		1,015,227
		China — 0.7%
	910,000	Anton Oilfield Services Group *		119,023
	732,000	Asian Citrus Holdings Ltd *		116,956
	10,000	China Longyuan Power Group Corp – Class H		10,632
	850,000	China Oilfield Services Ltd – Class H		920,833
	662,000	China Rare Earth Holdings Ltd *		57,035
	190,000	First Tractor Co Ltd – Class H		108,441
	1,473,000	Honghua Group Ltd *		103,326
	28,000	Minmetals Resources Ltd *		5,782
	396,000	Sinofert Holdings Ltd		61,151
		Total China		1,503,179
		Colombia — 0.5%
	1,750,481	Ecopetrol SA		914,037
		Czech Republic — 1.2%
	108,384	CEZ AS		2,476,179
		Denmark — 0.1%
	3,435	FLSmidth & Co A/S		130,015
		France — 6.0%
	54,325	CGG SA *		259,553
	55,886	Electricite de France		1,205,511
	9,820	Etablissements Maurel et Prom *		51,680
	24,837	Technip SA		1,352,363
	201,419	Total SA		9,286,701
		Total France		12,155,808
		Germany — 0.9%
	6,383	Aurubis AG		422,578
	35,869	K+S AG (Registered)		1,338,761
		Total Germany		1,761,339
		Greece — 0.0%
	14,500	Mytilineos Holdings SA *		73,791
		Hungary — 0.5%
	19,832	MOL Hungarian Oil and Gas Plc		984,662
		India — 1.5%
	48,977	Aban Offshore Ltd		181,590
	217,498	Cairn India Ltd		489,944
	34,314	Coromandel International Ltd		97,712

38 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		India — continued
	122,275	Jain Irrigation Systems Ltd		107,469
	266,729	Jaiprakash Power Ventures Ltd *		24,103
	254,802	Oil & Natural Gas Corp Ltd		917,240
	45,037	Oil India Ltd		303,468
	122,505	UPL Ltd		929,353
		Total India		3,050,879
		Indonesia — 0.1%
	145,900	Astra Agro Lestari Tbk PT		177,695
	2,516,800	Elnusa Tbk PT		52,198
	289,600	Medco Energi Internasional Tbk PT		25,407
		Total Indonesia		255,300
		Israel — 0.1%
	52,007	Israel Chemicals Ltd		292,867
		Italy — 6.8%
	409,583	CNH Industrial NV		3,230,968
	513,354	ENI SPA		8,473,387
	89,799	Saipem SPA *		863,395
	96,363	Tenaris SA		1,267,633
		Total Italy		13,835,383
		Japan — 7.6%
	2,400	Asahi Holdings Inc		35,564
	197,700	Inpex Corp		2,003,924
	259,100	Itochu Corp		3,107,453
	13,100	Japan Petroleum Exploration Co		385,760
	3,700	Kurita Water Industries Ltd		76,694
	328,400	Marubeni Corp		1,799,294
	161,000	Mitsubishi Corp		2,991,083
	122,000	Mitsubishi Materials Corp		391,210
	162,800	Mitsui & Co Ltd		2,117,010
	3,000	Nittetsu Mining Co Ltd		14,032
	1,600	Shinko Plantech Co Ltd		12,965
	176,800	Sumitomo Corp		1,875,203
	52,000	Sumitomo Metal Mining Co Ltd		660,093
		Total Japan		15,470,285
		Luxembourg — 0.0%
	11,300	Adecoagro SA *		90,061
		Malaysia — 0.8%
	848,300	Bumi Armada Bhd		173,207
	241,900	Icon Offshore Bhd *		18,243
	202,500	IOI Corp Berhad		192,884
	1,993,700	KNM Group Berhad *		229,414
	25,200	Kuala Lumpur Kepong Bhd		124,937
	579,800	Perisai Petroleum Teknologi Bhd *		39,916
	441,500	SapuraKencana Petroleum Bhd		181,724

Shares		Description	Value ($)
		Malaysia — continued
	389,600	Sime Darby Bhd		691,989
		Total Malaysia		1,652,314
		Netherlands — 0.5%
	21,858	Fugro NV *		456,344
	50,619	SBM Offshore NV *		603,740
		Total Netherlands		1,060,084
		New Zealand — 0.0%
	40,463	Meridian Energy Ltd		56,374
		Norway — 5.8%
	50,527	Akastor ASA *		72,112
	18,431	Aker Solutions ASA		77,322
	57,598	Austevoll Seafood ASA		341,649
	155,503	BW Offshore Ltd		58,423
	18,062	Det Norske Oljeselskap ASA *		107,811
	19,167	Fred Olsen Energy ASA *		87,952
	81,633	Marine Harvest ASA		982,371
	117,834	Petroleum Geo-Services ASA		534,804
	63,499	ProSafe SE		170,899
	21,616	Salmar ASA		328,326
	245,085	Statoil ASA		3,735,332
	98,697	Subsea 7 SA *		848,979
	43,374	TGS Nopec Geophysical Co ASA		849,735
	80,680	Yara International ASA		3,600,205
		Total Norway		11,795,920
		Philippines — 0.1%
	1,468,900	Energy Development Corp		188,388
		Poland — 1.3%
	78,191	KGHM Polska Miedz SA		1,620,979
	552,417	Polskie Gornictwo Naftowe i Gazownictwo SA		993,530
		Total Poland		2,614,509
		Portugal — 0.1%
	24,370	Galp Energia SGPS SA		257,133
		Qatar — 0.0%
	430	Gulf International Services QSC		7,154
		Russia — 11.3%
	1,972,035	Gazprom PAO Sponsored ADR		8,842,709
	209,999	Lukoil PJSC Sponsored ADR		7,941,801
	576,148	Rosneft OJSC GDR (Registered)		2,180,008
	100,540	Tatneft PAO Sponsored ADR		2,837,719
	153,135	Uralkali PJSC *		468,226

See accompanying notes to the financial statements. 39

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	42,377	Uralkali PJSC Sponsored GDR (Registered Shares) *		648,252
		Total Russia		22,918,715
		Singapore — 0.3%
	2,348,500	Golden Agri-Resources Ltd		524,552
	296,500	Indofood Agri Resources Ltd		100,904
	217,500	Swiber Holdings Ltd *		17,115
		Total Singapore		642,571
		South Africa — 4.1%
	26,627	African Rainbow Minerals Ltd		142,202
	20,833	Anglo American Platinum Ltd *		504,068
	17,036	Assore Ltd		110,272
	142,571	Impala Platinum Holdings Ltd *		533,702
	88,985	Northam Platinum Ltd *		252,527
	195,835	Sasol Ltd		6,333,041
	41,652	Tongaat Hulett Ltd		360,172
		Total South Africa		8,235,984
		South Korea — 0.4%
	1,331	Korea Zinc Co Ltd		579,010
	8,734	Poongsan Corp		181,490
		Total South Korea		760,500
		Spain — 4.5%
	88,282	Endesa SA		1,823,718
	627,733	Iberdrola SA		4,244,792
	209,494	Repsol YPF SA		2,986,963
	2,937	Tecnicas Reunidas SA		140,875
		Total Spain		9,196,348
		Sweden — 0.7%
	32,540	Boliden AB		535,616
	83,782	Sandvik AB		808,513
		Total Sweden		1,344,129
		Switzerland — 1.0%
	5,913	Syngenta AG (Registered)		1,982,398
		Taiwan — 0.1%
	437,000	Sinon Corp		181,537
		Thailand — 1.8%
	510,564	PTT Exploration & Production Pcl (Foreign Registered)		1,145,202
	323,094	PTT Pcl (Foreign Registered)		2,434,581
		Total Thailand		3,579,783

Shares		Description	Value ($)
		Turkey — 0.4%
	178,167	Gubre Fabrikalari TAS		379,699
	483,587	Koza Anadolu Metal Madencilik Isletmeleri AS *		389,075
		Total Turkey		768,774
		United Kingdom — 18.0%
	445,437	Afren Plc *		12,201
	63,822	Amec Foster Wheeler Plc		783,490
	253,753	Amerisur Resources Plc *		101,190
	250,159	Anglo American Plc		2,803,267
	267,416	BG Group Plc		4,058,727
	215,895	BHP Billiton Plc		3,795,516
	1,476,986	BP Plc		8,186,585
	91,703	Cairn Energy Plc *		211,964
	476,482	EnQuest Plc *		245,528
	9,142	Hunting Plc		72,703
	20,424	John Wood Group Plc		198,978
	38,735	Lonmin Plc *		20,769
	46,411	Ophir Energy Plc *		68,587
	17,290	Petrofac Ltd		235,215
	99,733	Premier Oil Plc *		159,211
	177,274	Rio Tinto Plc		6,472,388
	199,583	Royal Dutch Shell Plc A Shares (London)		5,199,592
	138,731	Royal Dutch Shell Plc B Shares (London)		3,622,140
	11,454	Soco International Plc		26,864
	58,852	Tullow Oil Plc *		200,600
	371	Weir Group Plc (The)		7,942
		Total United Kingdom		36,483,457
		United States — 6.8%
	21,100	Apache Corp.		954,564
	39,300	Chevron Corp.		3,182,907
	42,200	ConocoPhillips		2,074,130
	9,800	Devon Energy Corp.		418,068
	13,700	Exxon Mobil Corp.		1,030,788
	173,700	Freeport-McMoRan, Inc.		1,848,168
	4,900	Marathon Oil Corp.		84,721
	30,000	Monsanto Co.		2,929,500
	11,300	Mosaic Co. (The)		461,379
	3,500	Murphy Oil Corp.		108,500
	9,900	Oceaneering International, Inc.		433,818
	2,800	Toro Co. (The)		199,640
		Total United States		13,726,183
		TOTAL COMMON STOCKS (COST $239,441,744)		191,056,109

40 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value		Description	Value ($)
		PREFERRED STOCKS — 1.2%
		Brazil — 0.8%
	2,700	AES Tiete SA		11,175
	2,000	Cia Energetica de Sao Paulo – Class B		8,895
	406,587	Vale SA		1,586,369
		Total Brazil		1,606,439
		Chile — 0.4%
	51,018	Sociedad Quimica y Minera de Chile SA		801,347
		TOTAL PREFERRED STOCKS (COST $4,454,563)		2,407,786
		MUTUAL FUNDS — 2.4%
		United States — 2.4%
		Affiliated Issuers
	193,256	GMO U.S. Treasury Fund		4,831,400
		TOTAL MUTUAL FUNDS (COST $4,831,400)		4,831,400
		SHORT-TERM INVESTMENTS — 1.8%
		Time Deposits — 1.8%
CAD	255	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.10%, due 09/01/15		194
USD	1,015,445	Citibank (New York) Time Deposit, 0.06%, due 09/01/15		1,015,445
NOK	330,872	Nordea Bank Norge ASA (Oslo) Time Deposit, 0.13%, due 09/01/15		39,998
USD	690,718	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.06%, due 09/01/15		690,718
USD	1,015,445	Standard Chartered Bank Ltd (Hong Kong) Time Deposit, 0.06%, due 09/01/15		1,015,445
USD	1,015,445	Sumitomo (Tokyo) Time Deposit, 0.06%, due 09/01/15		1,015,445
		Total Time Deposits		3,777,245
		TOTAL SHORT-TERM INVESTMENTS (COST $3,777,245)		3,777,245
		TOTAL INVESTMENTS — 99.6% (Cost $252,504,952)		202,072,540
		Other Assets and Liabilities (net) — 0.4%		792,586
		TOTAL NET ASSETS — 100.0%		$202,865,126

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
40	Mini MSCI EAFE	September 2015	$	3,465,400	$	980
38	Mini MSCI Emerging Markets	September 2015		1,553,250		2,835
4	S&P 500 E-Mini Index	September 2015		393,840		(110	)
			$	5,412,490	$	3,705

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.

See accompanying notes to the financial statements. 41

GMO Risk Premium Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Short-Term Investments		101.0	%
Written Options		(3.1	)
Other		2.1
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

42

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 101.0%
		U.S. Government — 100.8%
	50,000,000	U.S. Treasury Bill, 0.00%, due 09/17/15 (a) (b) (c)		49,999,950
	65,975,000	U.S. Treasury Bill, 0.00%, due 10/15/15 (a) (b) (c)		65,975,000
	50,870,000	U.S. Treasury Bill, 0.01%, due 09/10/15 (a) (b)		50,869,796
	60,000,000	U.S. Treasury Bill, 0.03%, due 12/10/15 (a) (b)		59,995,140
	53,525,000	U.S. Treasury Bill, 0.10%, due 11/12/15 (a) (b)		53,524,465
	59,100,000	U.S. Treasury Bill, 0.13%, due 01/07/16 (a) (b)		59,072,282
	57,000,000	U.S. Treasury Bill, 0.15%, due 01/21/16 (a) (b)		56,965,914
	203,000,000	U.S. Treasury Bill, 0.24%, due 02/25/16 (a)		202,760,460
		Total U.S. Government		599,163,007

Shares		Description	Value ($)
		Money Market Fund — 0.2%
	1,240,931	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (d)		1,240,931
		TOTAL SHORT-TERM INVESTMENTS — 101.0% (Cost $600,423,209)		600,403,938
		TOTAL INVESTMENTS — 101.0% (Cost $600,423,209)		600,403,938
		Other Assets and Liabilities (net) — (1.0%)		(5,682,361	)
		TOTAL NET ASSETS — 100.0%		$594,721,577

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Written Options

Index Options

Number of Contracts		Expiration Date	Descriptions	Premiums		Market Value
Put	7,128	09/18/2015	Euro STOXX 50, Strike 3,325	$	8,361,309	$	(9,269,025	)
Put	2,037	09/18/2015	Euro STOXX 50, Strike 3,275		2,267,089		(2,093,973	)
Put	674	09/18/2015	Euro STOXX 50, Strike 3,225		644,917		(544,586	)
Put	651	09/18/2015	S&P 500 Index, Strike 2,035		3,350,474		(5,468,400	)
Put	525	09/18/2015	S&P 500 Index, Strike 1,900		2,180,745		(1,185,450	)
				$	16,804,534	$	(18,561,434	)

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

(a) The rate shown represents yield-to-maturity.

(b) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(c) Rate rounds to 0.00%.

(d) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.

See accompanying notes to the financial statements. 43

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		94.6	%
Mutual Funds		3.4
Preferred Stocks		2.4
Short-Term Investments		0.3
Other		(0.7	)
		100.0	%
Country Summary**	% of Investments
United Kingdom		22.7	%
Japan		18.3
France		14.4
Germany		9.5
Italy		6.3
Spain		5.7
Canada		4.5
China		3.1
Russia		2.5
Switzerland		2.1
Belgium		1.6
South Korea		1.5
Netherlands		1.4
Norway		1.3
Sweden		1.1
Other Developed***		4.0
Other Emerging****		0.0	^
		100.0	%
Industry Group Summary	% of Equity Investments*****
Energy		16.9	%
Telecommunication Services		14.3
Pharmaceuticals, Biotechnology & Life Sciences		12.1
Automobiles & Components		12.0
Capital Goods		8.8
Utilities		6.4
Technology Hardware & Equipment		4.1
Materials		4.0
Software & Services		3.0
Food, Beverage & Tobacco		2.8
Food & Staples Retailing		2.6
Retailing		2.3
Media		2.3
Insurance		2.0
Household & Personal Products		1.4
Transportation		1.4
Banks		0.8
Consumer Services		0.8
Real Estate		0.6
Diversified Financials		0.6
Consumer Durables & Apparel		0.6
Health Care Equipment & Services		0.2
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

*** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Investments.

**** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Investments.

***** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

44

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.6%
		Australia — 0.6%
	127,122	BlueScope Steel Ltd		390,527
	17,103	CSL Ltd		1,114,698
	8,509	Macquarie Group Ltd		459,273
	16,618	Woodside Petroleum Ltd		382,476
		Total Australia		2,346,974
		Austria — 0.3%
	88,088	Immofinanz AG (Entitlement Shares) *		—
	12,894	OMV AG		330,101
	20,331	Voestalpine AG		741,239
		Total Austria		1,071,340
		Belgium — 1.5%
	26,968	Ageas		1,100,931
	25,687	Delhaize Group		2,298,384
	16,400	KBC Groep NV		1,083,747
	31,419	Proximus		1,127,006
		Total Belgium		5,610,068
		Canada — 4.3%
	13,000	Magna International Inc		641,502
	60,700	Suncor Energy Inc		1,719,126
	58,600	Valeant Pharmaceuticals International Inc *		13,513,160
		Total Canada		15,873,788
		China — 3.0%
	145,400	Alibaba Group Holding Ltd Sponsored ADR *		9,613,848
	118,500	China Mobile Ltd		1,450,375
		Total China		11,064,223
		Denmark — 0.4%
	785	AP Moeller – Maersk A/S – Class B		1,336,908
		Finland — 0.9%
	49,616	Fortum Oyj		803,141
	293,868	Nokia Oyj		1,843,719
	30,173	UPM – Kymmene Oyj		501,558
		Total Finland		3,148,418
		France — 14.0%
	110,511	Air France – KLM *		764,926
	39,673	Bouygues SA		1,510,799
	18,747	Carrefour SA		608,672
	14,682	Cie de Saint-Gobain		673,859
	14,602	Cie Generale des Etablissements Michelin – Class B (Registered)		1,409,970
	215,509	Engie		3,848,986
	16,002	GDF Suez VVPR Strip *		18

Shares		Description	Value ($)
		France — continued
	3,790	LVMH Moet Hennessy Louis Vuitton SE		630,807
	290,222	Orange SA		4,589,935
	93,594	Peugeot SA *		1,609,058
	92,786	Renault SA		7,683,276
	62,138	Sanofi		6,111,999
	37,512	Schneider Electric SA		2,364,413
	302,515	Total SA		13,947,872
	45,470	Veolia Environnement SA		993,064
	4,862	Vinci SA		312,741
	174,962	Vivendi SA		4,318,555
		Total France		51,378,950
		Germany — 8.1%
	93,092	BASF SE		7,479,648
	23,501	Bayerische Motoren Werke AG		2,159,995
	63,936	Daimler AG (Registered)		5,124,762
	20,652	Deutsche Lufthansa AG (Registered) *		250,590
	203,635	Deutsche Telekom AG (Registered)		3,473,715
	29,285	Deutsche Post AG (Registered)		804,531
	13,366	Duerr AG		1,031,261
	162,960	E.ON AG		1,841,585
	18,703	Freenet AG		593,216
	6,046	Hannover Rueck SE		613,612
	18,519	K+S AG (Registered)		691,196
	5,987	Leoni AG		362,352
	4,974	Merck KGaA		473,608
	12,672	Metro AG		368,443
	3,351	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		614,681
	33,892	RWE AG		507,461
	26,680	Siemens AG (Registered)		2,644,601
	3,220	Volkswagen AG		600,507
		Total Germany		29,635,764
		Ireland — 0.3%
	16,417	CRH Plc		490,694
	16,028	Smurfit Kappa Group Plc		472,747
		Total Ireland		963,441
		Israel — 0.6%
	11,000	Check Point Software Technologies Ltd *		858,110
	20,781	Teva Pharmaceutical Industries Ltd		1,354,469
		Total Israel		2,212,579
		Italy — 6.1%
	747,890	A2A SPA		914,774
	31,917	Azimut Holding SPA		702,508
	3,603	Danieli & Co SPA – RSP		53,134
	840,120	Enel SPA		3,777,809
	297,846	ENI SPA		4,916,226

See accompanying notes to the financial statements. 45

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	22,211	EXOR SPA		1,019,298
	135,201	Fiat Chrysler Automobiles NV *		1,895,549
	192,080	Finmeccanica SPA *		2,595,529
	278,930	Mediaset SPA		1,333,361
	105,112	Mediolanum SPA		828,659
	2,168,945	Telecom Italia SPA *		2,632,318
	1,340,255	Telecom Italia SPA-Di RISP		1,343,157
	119,443	Unipol Gruppo Finanziario SPA		563,315
		Total Italy		22,575,637
		Japan — 17.7%
	7,900	Asatsu-DK Inc		162,925
	17,300	Bridgestone Corp		578,471
	54,600	Canon Inc		1,663,503
	5,200	Central Japan Railway Co		851,373
	16,500	Daito Trust Construction Co Ltd		1,802,385
	23,000	FujiFilm Holdings Corp		942,824
	66,000	Fuji Heavy Industries Ltd		2,307,284
	54,000	Hanwa Co Ltd		226,114
	124,400	Haseko Corp		1,454,937
	78,000	Honda Motor Co Ltd		2,453,419
	107,800	Inpex Corp		1,092,681
	258,400	Itochu Corp		3,099,058
	89,700	Japan Tobacco, Inc.		3,187,884
	32,900	JFE Holdings Inc		509,489
	54,500	JX Holdings Inc		210,884
	14,760	K’s Holdings Corp		470,249
	58,500	Kansai Electric Power Co Inc (The) *		728,917
	16,900	Kao Corp		771,875
	99,000	KDDI Corp.		2,456,574
	65,530	Kyocera Corp		3,210,251
	83,800	Leopalace21 Corp *		407,363
	231,000	Marubeni Corp		1,265,642
	44,000	Mazda Motor Corp		754,047
	29,300	Medipal Holdings Corp		505,423
	89,500	Mitsubishi Chemical Holdings Corp		507,527
	171,100	Mitsubishi Corp		3,178,722
	131,300	Mitsui & Co Ltd		1,707,392
	120,000	Mitsui OSK Lines Ltd		337,555
	13,500	Nagase & Co		162,420
	153,200	Nippon Telegraph & Telephone Corp		5,843,379
	1,029,000	Nissan Motor Co Ltd		9,254,229
	9,200	Nitori Holdings Co Ltd		730,215
	146,100	NTT Docomo Inc		3,064,266
	92,200	Resona Holdings Inc		464,716
	3,900	Ryohin Keikaku Co Ltd		865,567
	2,200	Shimamura Co Ltd		202,914
	309,200	Sojitz Corp		652,953
	138,100	Sumitomo Corp		1,464,737
	17,000	Sumitomo Metal Mining Co Ltd		215,800

Shares		Description	Value ($)
		Japan — continued
	6,820	Suzuken Co Ltd		233,707
	15,100	Takeda Pharmaceutical Co., Ltd		740,725
	189,000	Tosoh Corp		890,728
	52,200	Toyota Tsusho Corp		1,201,034
	31,900	Toyota Motor Corp		1,885,489
	30,660	USS Co Ltd		542,977
		Total Japan		65,260,624
		Malta — 0.0%
	1,718,063	BGP Holdings Plc *		—
		Netherlands — 1.3%
	156,516	Aegon NV		964,018
	54,456	ING Groep NV GDR		834,398
	98,358	Koninklijke Ahold NV		1,939,879
	128,383	Koninklijke KPN NV		498,720
	14,565	Unilever NV CVA GDR		583,686
		Total Netherlands		4,820,701
		New Zealand — 0.2%
	301,434	Spark New Zealand Ltd		644,813
		Norway — 1.3%
	128,415	Statoil ASA		1,957,169
	66,712	Telenor ASA		1,326,595
	30,282	Yara International ASA		1,351,282
		Total Norway		4,635,046
		Portugal — 0.3%
	300,686	EDP – Energias de Portugal SA		1,049,986
		Russia — 1.9%
	361,188	Gazprom PAO Sponsored ADR		1,619,586
	136,039	Lukoil PJSC Sponsored ADR		5,144,761
	7,652	Tatneft PAO Sponsored ADR		215,976
		Total Russia		6,980,323
		Singapore — 0.2%
	2,268,800	Golden Agri-Resources Ltd		506,751
	145,670	Singapore Telecommunications Ltd		386,593
		Total Singapore		893,344
		South Korea — 0.8%
	3,195	Samsung Electronics Co Ltd		2,939,951
		Spain — 5.6%
	31,039	ACS Actividades de Construccion y Servicios SA		1,003,345
	12,848	Enagas		350,582
	29,719	Ferrovial SA		708,558
	85,201	Gas Natural SDG SA		1,723,147

46 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Spain — continued
	13,135	Grifols SA		535,246
	541,381	Iberdrola SA		3,660,871
	125,185	Repsol SA		1,784,886
	759,291	Telefonica SA		10,700,285
		Total Spain		20,466,920
		Sweden — 1.1%
	23,475	Swedbank AB – Class A		535,493
	126,354	Telefonaktiebolaget LM Ericsson – B Shares		1,231,623
	387,893	TeliaSonera AB		2,184,975
		Total Sweden		3,952,091
		Switzerland — 2.1%
	133,190	ABB Ltd (Registered) *		2,572,190
	40,534	Nestle SA (Registered)		2,986,015
	6,672	Novartis AG (Registered)		651,092
	3,166	Swiss Life Holding AG (Registered) *		740,984
	1,284	Swisscom AG (Registered)		693,063
		Total Switzerland		7,643,344
		Taiwan — 0.0%
	252,000	Compal Electronics Inc		147,249
		United Kingdom — 22.0%
	14,027	Associated British Foods Plc		683,730
	197,164	AstraZeneca Plc		12,300,889
	213,218	BAE Systems Plc		1,467,657
	55,298	Balfour Beatty Plc		230,054
	1,832,063	BP Plc		10,154,693
	34,294	British American Tobacco Plc		1,815,951
	25,821	Bunzl Plc		683,234
	590,533	Centrica Plc		2,186,588
	153,565	Cobham Plc		658,079
	41,206	Compass Group Plc		649,925
	24,214	easyJet Plc		620,166
	307,841	GlaxoSmithKline Plc		6,285,378
	32,951	Halfords Group Plc		262,351
	110,495	Home Retail Group Plc		256,897
	17,694	Imperial Tobacco Group Plc		851,682
	40,924	Inchcape Plc		455,490
	128,208	Kingfisher Plc		696,751
	282,467	Legal & General Group Plc		1,086,713
	116,797	Marks & Spencer Group Plc		927,359
	22,920	Next Plc		2,775,165
	68,517	Pearson Plc		1,187,849
	32,333	Prudential Plc		697,822
	24,441	Reckitt Benckiser Group Plc		2,141,384
	329,060	Royal Dutch Shell Plc A Shares (London)		8,572,763
	238,579	Royal Dutch Shell Plc B Shares (London)		6,229,080
	16,856	Scottish & Southern Energy Plc		377,729

Shares / Par Value		Description	Value ($)
		United Kingdom — continued
	1,135,427	Tesco Plc		3,295,496
	437,692	Thomas Cook Group Plc *		714,733
	53,614	TUI AG		943,573
	37,500	Unilever Plc		1,503,934
	2,333,716	Vodafone Group Plc		8,036,013
	106,984	William Hill Plc		586,421
	255,205	William Morrison Supermarket Plc		655,101
	53,284	WPP Plc		1,096,866
		Total United Kingdom		81,087,516
		TOTAL COMMON STOCKS (COST $313,835,171)		347,739,998
		PREFERRED STOCKS — 2.4%
		Germany — 1.1%
	29,054	Porsche Automobil Holding SE		2,017,616
	10,891	Volkswagen AG		2,063,551
		Total Germany		4,081,167
		Russia — 0.6%
	3,454,854	Surgutneftegaz OJSC *		2,091,914
		South Korea — 0.7%
	3,497	Samsung Electronics Co Ltd		2,570,190
		TOTAL PREFERRED STOCKS (COST $9,864,861)		8,743,271
		MUTUAL FUNDS — 3.4%
		United States — 3.4%
		Affiliated Issuers
	504,047	GMO U.S. Treasury Fund		12,601,170
		TOTAL MUTUAL FUNDS (COST $12,601,170)		12,601,170
		SHORT-TERM INVESTMENTS — 0.3%
		Time Deposits — 0.3%
USD	1,202,625	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.06%, due 09/01/15		1,202,625
JPY	5,158,900	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.01%, due 09/01/15		42,553
EUR	797	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.22)%, due 09/01/15		895

See accompanying notes to the financial statements. 47

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		Time Deposits — continued
NOK	173,364	DnB Nor Bank (Oslo) Time Deposit, 0.13%, due 09/01/15		20,957
		Total Time Deposits		1,267,030
		TOTAL SHORT-TERM INVESTMENTS (COST $1,267,030)		1,267,030
		TOTAL INVESTMENTS — 100.7% (Cost $337,568,232)		370,351,469
		Other Assets and Liabilities (net) — (0.7%)		(2,603,126	)
		TOTAL NET ASSETS — 100.0%		$367,748,343

Notes to Schedule of Investments:

* Non-income producing security.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.

48 See accompanying notes to the financial statements.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		97.2	%
Mutual Funds		2.1
Short-Term Investments		0.1
Other		0.6
		100.0	%
Industry Group Summary	% of Equity Investments**
Software & Services		18.4	%
Technology Hardware & Equipment		11.9
Health Care Equipment & Services		8.8
Capital Goods		8.5
Pharmaceuticals, Biotechnology & Life Sciences		8.3
Energy		8.1
Food, Beverage & Tobacco		7.3
Retailing		6.3
Household & Personal Products		4.3
Food & Staples Retailing		4.1
Insurance		2.7
Banks		2.5
Consumer Durables & Apparel		2.0
Diversified Financials		1.3
Materials		1.3
Consumer Services		1.2
Media		1.2
Semiconductors & Semiconductor Equipment		0.6
Transportation		0.4
Telecommunication Services		0.3
Commercial & Professional Services		0.2
Automobiles & Components		0.2
Real Estate		0.1
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. The table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments.

49

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.2%
		Automobiles & Components — 0.2%
	16,300	Cooper Tire & Rubber Co.		629,180
	6,000	Drew Industries, Inc.		331,560
	146,452	Gentex Corp.		2,270,006
	54,900	Lear Corp.		5,643,171
	1,200	Thor Industries, Inc.		65,496
		Total Automobiles & Components		8,939,413
		Banks — 2.4%
	4,100	Chemical Financial Corp.		130,954
	495,100	Citigroup, Inc.		26,477,948
	6,900	First Merchants Corp.		179,538
	100,500	Huntington Bancshares, Inc.		1,096,455
	1,270,200	JPMorgan Chase & Co.		81,419,820
	26,300	Northwest Bancshares, Inc.		337,692
	147,000	PNC Financial Services Group, Inc. (The)		13,394,640
	8,400	Provident Financial Services, Inc.		159,096
	6,400	S&T Bancorp, Inc.		191,488
	9,000	Trustmark Corp.		207,270
	122,700	Wells Fargo & Co.		6,543,591
	6,300	WesBanco, Inc.		193,977
		Total Banks		130,332,469
		Capital Goods — 8.2%
	753,100	3M Co.		107,045,634
	187,226	Ametek, Inc.		10,076,503
	11,700	Applied Industrial Technologies, Inc.		495,378
	24,200	Clarcor, Inc.		1,364,154
	7,600	Cummins, Inc.		925,300
	620,200	Danaher Corp.		53,969,804
	75,365	Donaldson Co., Inc.		2,359,678
	123,855	Dover Corp.		7,672,817
	468,700	Emerson Electric Co.		22,366,364
	183,613	Fastenal Co.		7,076,445
	49,796	Flowserve Corp.		2,247,294
	13,600	Fluor Corp.		620,432
	17,965	General Dynamics Corp.		2,551,569
	413,600	Honeywell International, Inc.		41,058,072
	29,967	Hubbell, Inc. – Class B		2,956,844
	360,911	Illinois Tool Works, Inc.		30,507,807
	9,700	Lincoln Electric Holdings, Inc.		568,905
	5,000	Middleby Corp. (The) *		542,750
	12,200	MSC Industrial Direct Co., Inc. – Class A		825,818
	11,600	Parker-Hannifin Corp.		1,248,856
	136,700	Precision Castparts Corp.		31,475,175
	117,905	Rockwell Automation, Inc.		13,185,316
	26,957	Rockwell Collins, Inc.		2,206,430
	58,800	Roper Technologies, Inc.		9,530,892
	23,800	Snap-on, Inc.		3,802,526
	17,600	Toro Co. (The)		1,254,880

Shares		Description	Value ($)
		Capital Goods — continued
	306,200	United Technologies Corp.		28,050,982
	4,100	Valmont Industries, Inc.		435,789
	319,200	WABCO Holdings, Inc. *		36,810,144
	57,400	Wabtec Corp.		5,496,624
	60,100	WW Grainger, Inc.		13,428,744
		Total Capital Goods		442,157,926
		Commercial & Professional Services — 0.2%
	84,900	Equifax, Inc.		8,311,710
	8,650	Rollins, Inc.		241,508
	14,800	Stericycle, Inc. *		2,088,872
		Total Commercial & Professional Services		10,642,090
		Consumer Durables & Apparel — 2.0%
	198,665	Coach, Inc.		6,009,616
	39,600	Fossil Group, Inc. *		2,438,568
	7,800	G-III Apparel Group Ltd. *		540,774
	56,000	Garmin Ltd.		2,106,160
	73,300	Hasbro, Inc.		5,467,447
	24,900	Helen of Troy Ltd. *		2,119,986
	29,900	Iconix Brand Group, Inc. *		415,311
	44,300	Lululemon Athletica, Inc. *		2,835,643
	288,257	Mattel, Inc.		6,753,862
	354,880	Nike, Inc. – Class B		39,657,840
	42,316	Polaris Industries, Inc.		5,495,579
	40,901	Ralph Lauren Corp.		4,547,782
	25,600	Steven Madden Ltd. *		1,046,016
	23,700	Tupperware Brands Corp.		1,214,151
	500	Under Armour, Inc. – Class A *		47,765
	314,100	VF Corp.		22,750,263
	9,500	Whirlpool Corp.		1,596,950
		Total Consumer Durables & Apparel		105,043,713
		Consumer Services — 1.1%
	56,800	Apollo Education Group, Inc. *		631,048
	3,200	Buffalo Wild Wings, Inc. *		606,976
	6,400	Cheesecake Factory, Inc. (The)		347,328
	100	Chipotle Mexican Grill, Inc. *		71,001
	1,400	Cracker Barrel Old Country Store, Inc.		201,852
	5,700	DineEquity, Inc.		544,350
	24,000	Grand Canyon Education, Inc. *		887,040
	11,000	Interval Leisure Group, Inc.		220,660
	17,600	Marriott Vacations Worldwide Corp.		1,249,776
	534,900	McDonald’s Corp.		50,826,198
	3,300	Panera Bread Co. – Class A *		588,390
	37,500	Penn National Gaming, Inc. *		681,000
	27,900	Six Flags Entertainment Corp.		1,254,663
	57,986	Texas Roadhouse, Inc.		2,086,916
		Total Consumer Services		60,197,198

50 See accompanying notes to the financial statements.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Diversified Financials — 1.3%
	205,000	American Express Co.		15,727,600
	87,200	BGC Partners, Inc. – Class A		764,744
	280,000	Capital One Financial Corp.		21,770,000
	700	CBOE Holdings, Inc.		44,282
	4,300	Credit Acceptance Corp. *		876,383
	9,800	Encore Capital Group, Inc. *		398,174
	21,000	Federated Investors, Inc. – Class B		651,000
	58,100	Franklin Resources, Inc.		2,357,698
	31,100	Goldman Sachs Group, Inc. (The)		5,865,460
	63,600	Invesco Ltd.		2,169,396
	160,800	Janus Capital Group, Inc.		2,392,704
	64,300	NASDAQ OMX Group, Inc. (The)		3,291,517
	201,000	Navient Corp.		2,570,790
	5,600	Nelnet, Inc. – Class A		210,840
	20,000	PRA Group, Inc. *		1,065,800
	37,900	SEI Investments Co.		1,916,982
	96,000	T. Rowe Price Group, Inc.		6,900,480
		Total Diversified Financials		68,973,850
		Energy — 7.9%
	209,000	Apache Corp.		9,455,160
	2,543,844	Chevron Corp.		206,025,926
	1,122,600	ConocoPhillips		55,175,790
	116,700	Denbury Resources, Inc.		506,478
	105,500	Devon Energy Corp.		4,500,630
	1,258,200	Exxon Mobil Corp.		94,666,968
	72,800	Hess Corp.		4,327,960
	540,700	Marathon Oil Corp.		9,348,703
	132,400	Murphy Oil Corp.		4,104,400
	249,100	Occidental Petroleum Corp.		18,186,791
	309,900	Valero Energy Corp.		18,389,466
		Total Energy		424,688,272
		Food & Staples Retailing — 3.9%
	292,100	Costco Wholesale Corp.		40,908,605
	554,900	CVS Health Corp.		56,821,760
	410,057	Sysco Corp.		16,348,972
	14,100	United Natural Foods, Inc. *		678,915
	1,488,878	Wal-Mart Stores, Inc.		96,375,073
	16,026	Whole Foods Market, Inc.		525,012
		Total Food & Staples Retailing		211,658,337
		Food, Beverage & Tobacco — 7.2%
	47,650	Brown-Forman Corp. – Class B		4,674,465
	19,885	Campbell Soup Co.		954,281
	2,737,000	Coca-Cola Co. (The)		107,618,840
	43,400	Dr Pepper Snapple Group, Inc.		3,330,082
	9,400	General Mills, Inc.		533,544
	58,500	Hershey Co. (The)		5,236,920
	110,232	Hormel Foods Corp.		6,735,175

Shares		Description	Value ($)
		Food, Beverage & Tobacco — continued
	100	J&J Snack Foods Corp.		11,396
	10,737	Lancaster Colony Corp.		1,018,190
	94,700	McCormick & Co., Inc. (Non Voting)		7,507,816
	45,100	Monster Beverage Corp. *		6,244,546
	580,063	PepsiCo, Inc.		53,905,255
	2,136,703	Philip Morris International, Inc.		170,508,899
	200,750	Reynolds American, Inc.		16,812,813
		Total Food, Beverage & Tobacco		385,092,222
		Health Care Equipment & Services — 8.6%
	1,066,200	Abbott Laboratories		48,288,198
	64,500	AmerisourceBergen Corp.		6,452,580
	76,698	Anthem, Inc.		10,818,253
	8,109	Baxter International, Inc.		311,791
	154,200	Becton, Dickinson and Co.		21,745,284
	195,260	Cerner Corp. *		12,059,257
	67,770	CR Bard, Inc.		13,133,148
	71,200	Edwards Lifesciences Corp. *		10,030,656
	93,100	Henry Schein, Inc. *		12,737,011
	142,900	Humana, Inc.		26,120,691
	1,000	IDEXX Laboratories, Inc. *		71,470
	10,160	Intuitive Surgical, Inc. *		5,191,252
	35,180	Laboratory Corp. of America Holdings *		4,144,556
	35,100	Masimo Corp. *		1,426,113
	36,100	Mednax, Inc. *		2,907,855
	1,166,716	Medtronic Plc		84,341,899
	38,600	Patterson Cos., Inc.		1,769,038
	73,103	ResMed, Inc.		3,796,970
	25,600	Sirona Dental Systems, Inc. *		2,441,728
	7,900	STERIS Corp.		505,995
	317,400	Stryker Corp.		31,311,510
	115,600	St Jude Medical, Inc.		8,185,636
	1,176,174	UnitedHealth Group, Inc.		136,083,332
	40,300	Varian Medical Systems, Inc. *		3,274,375
	129,069	Zimmer Biomet Holdings, Inc.		13,366,386
		Total Health Care Equipment & Services		460,514,984
		Household & Personal Products — 4.2%
	127,300	Church & Dwight Co., Inc.		10,983,444
	668,623	Colgate-Palmolive Co		41,996,211
	89,481	Estee Lauder Cos, Inc. (The) – Class A		7,137,899
	1,500	Herbalife Ltd. *		86,355
	81,999	Kimberly-Clark Corp.		8,735,353
	2,236,200	Procter & Gamble Co. (The)		158,032,254
	2,274	WD-40 Co.		190,425
		Total Household & Personal Products		227,161,941
		Insurance — 2.6%
	182,000	ACE Ltd.		18,593,120
	108,200	AFLAC, Inc.		6,340,520

See accompanying notes to the financial statements. 51

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Insurance — continued
	2,200	Allied World Assurance Co Holdings AG		87,868
	219,900	Allstate Corp. (The)		12,815,772
	31,500	American Equity Investment Life Holding Co.		764,190
	18,200	American Financial Group, Inc.		1,256,892
	231,900	American International Group, Inc.		13,992,846
	1,000	Arch Capital Group Ltd. *		68,280
	22,300	Aspen Insurance Holdings Ltd.		1,023,793
	42,600	Assurant, Inc.		3,167,310
	137,800	Assured Guaranty Ltd.		3,480,828
	33,000	Axis Capital Holdings Ltd.		1,848,000
	64,500	CNO Financial Group, Inc.		1,153,905
	49,000	Endurance Specialty Holdings Ltd.		3,123,750
	23,700	Everest Re Group Ltd.		4,166,697
	1,700	FBL Financial Group, Inc. – Class A		96,968
	2,500	Fidelity & Guaranty Life		61,650
	61,400	First American Financial Corp.		2,386,004
	216,700	Genworth Financial, Inc. – Class A *		1,122,506
	2,400	Greenlight Capital Re Ltd. – Class A *		61,200
	13,500	Hanover Insurance Group, Inc. (The)		1,065,150
	298,300	Hartford Financial Services Group, Inc. (The)		13,706,885
	7,800	Horace Mann Educators Corp.		259,116
	7,200	Kemper Corp.		255,024
	135,700	Lincoln National Corp.		6,892,203
	19,900	Maiden Holdings Ltd.		285,167
	160,000	MBIA, Inc. *		1,123,200
	11,000	Mercury General Corp.		559,460
	2,200	Navigators Group, Inc. (The) *		167,310
	3,300	OneBeacon Insurance Group Ltd. – Class A		47,685
	66,000	Principal Financial Group, Inc.		3,323,100
	285,800	Progressive Corp. (The)		8,562,568
	23,100	RenaissanceRe Holdings Ltd.		2,355,045
	9,800	Selective Insurance Group, Inc.		297,136
	2,800	State Auto Financial Corp.		61,320
	11,900	Third Point Reinsurance Ltd. *		166,481
	134,400	Travelers Cos., Inc. (The)		13,379,520
	21,000	Universal Insurance Holdings, Inc.		517,230
	48,400	Unum Group		1,623,336
	31,300	Validus Holdings Ltd.		1,385,964
	42,500	W.R. Berkley Corp.		2,306,900
	137,700	XL Group Plc		5,134,833
		Total Insurance		139,086,732
		Materials — 1.3%
	33,220	AptarGroup, Inc.		2,237,699
	35,800	International Flavors & Fragrances, Inc.		3,921,890
	449,600	Monsanto Co.		43,903,440
	12,807	Sherwin-Williams Co. (The)		3,276,159
	105,400	Sigma-Aldrich Corp.		14,693,814
		Total Materials		68,033,002

Shares		Description	Value ($)
		Media — 1.1%
	258,500	Charter Communications, Inc. – Class A *		46,946,185
	89,200	Comcast Corp. – Class A		5,024,636
	13,400	Meredith Corp.		632,748
	9,700	Scholastic Corp.		419,137
	51,300	Scripps Networks Interactive, Inc. – Class A		2,723,517
	80,800	Starz – Class A *		3,038,888
	49,200	TEGNA, Inc.		1,170,468
		Total Media		59,955,579
		Pharmaceuticals, Biotechnology & Life Sciences — 8.1%
	90,000	Agilent Technologies, Inc.		3,267,900
	158,400	Allergan Plc *		48,112,416
	339,688	Amgen, Inc.		51,557,845
	409	Baxalta, Inc. *		14,376
	700	Bio-Techne Corp.		66,136
	68,656	Biogen, Inc. *		20,411,429
	258,395	Eli Lilly & Co.		21,278,828
	2,357,700	Johnson & Johnson		221,576,646
	21,000	Mettler-Toledo International, Inc. *		6,227,550
	83,200	PDL BioPharma, Inc.		470,080
	1,159,600	Pfizer, Inc.		37,362,312
	214,105	Puma Biotechnology, Inc. *		19,680,532
	49,600	Waters Corp. *		6,020,448
		Total Pharmaceuticals, Biotechnology & Life Sciences		436,046,498
		Real Estate — 0.0%
	17,400	Jones Lang LaSalle, Inc.		2,590,338
		Retailing — 6.2%
	321,454	Amazon.com, Inc. *		164,870,542
	700	Asbury Automotive Group, Inc. *		56,399
	14,500	AutoNation, Inc. *		867,680
	268,902	Bed Bath & Beyond, Inc. *		16,701,503
	5,800	Cato Corp. (The) – Class A		203,754
	4,000	Childrens Place, Inc. (The)		239,680
	7,800	Dillard’s, Inc. – Class A		721,578
	18,000	Dollar General Corp.		1,340,820
	19,742	Dollar Tree, Inc. *		1,505,525
	43,100	Foot Locker, Inc.		3,051,049
	12,400	Gap Inc. (The)		406,844
	135,600	Genuine Parts Co.		11,321,244
	7,700	Group 1 Automotive, Inc.		672,980
	8,300	Hibbett Sports, Inc. *		327,850
	303,200	Home Depot, Inc. (The)		35,310,672
	12,100	HSN, Inc.		735,801
	47,300	Kohl’s Corp.		2,413,719
	22,900	L Brands, Inc.		1,921,310
	32,200	LKQ Corp. *		965,678
	118,000	Lowe’s Cos., Inc.		8,162,060
	29,300	Macy’s, Inc.		1,717,273

52 See accompanying notes to the financial statements.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Retailing — continued
	21,158	Murphy USA, Inc. *		1,081,385
	2,400	Penske Automotive Group, Inc.		121,440
	41,700	Rent-A-Center, Inc.		1,121,313
	277,588	Ross Stores, Inc.		13,496,329
	15,700	Select Comfort Corp. *		382,295
	16,500	Staples, Inc.		234,465
	84,100	Target Corp.		6,535,411
	56,992	Tiffany & Co.		4,687,592
	395,945	TJX Cos., Inc. (The)		27,842,852
	20,500	Tractor Supply Co.		1,748,855
	360,600	TripAdvisor, Inc. *		25,205,940
		Total Retailing		335,971,838
		Semiconductors & Semiconductor Equipment — 0.6%
	276,100	Analog Devices, Inc.		15,422,946
	28,500	Avago Technologies Ltd.		3,590,145
	2,364	Linear Technology Corp.		95,222
	84,900	Skyworks Solutions, Inc.		7,416,015
	164,300	Xilinx, Inc.		6,882,527
		Total Semiconductors & Semiconductor Equipment		33,406,855
		Software & Services — 17.8%
	447,798	Accenture Plc – Class A		42,213,917
	27,600	Akamai Technologies, Inc. *		1,968,156
	59,300	Ansys, Inc. *		5,253,980
	800	Automatic Data Processing, Inc.		61,856
	36,800	Booz Allen Hamilton Holding Corp.		982,560
	275,672	CA, Inc.		7,523,089
	124,600	Citrix Systems, Inc. *		8,486,506
	273,000	Cognizant Technology Solutions Corp. – Class A *		17,182,620
	470,775	eBay, Inc. *		12,762,710
	10,200	FactSet Research Systems, Inc.		1,610,784
	23,800	Gartner, Inc. *		2,035,138
	298,195	Google, Inc. – Class A *		193,176,685
	77,142	Google, Inc. – Class C *		47,693,042
	502,729	International Business Machines Corp.		74,348,592
	226,500	Intuit, Inc.		19,422,375
	5,200	j2 Global, Inc.		361,816
	54,188	Jack Henry & Associates, Inc.		3,682,616
	139,330	MasterCard, Inc. – Class A		12,869,912
	4,570,257	Microsoft Corp		198,897,585
	10,000	Net 1 UEPS Technologies, Inc. *		205,900
	4,501,015	Oracle Corp.		166,942,646
	285,800	Paychex, Inc.		12,763,828
	478,275	PayPal Holdings, Inc. *		16,739,625
	43,500	Red Hat, Inc. *		3,141,135
	800	SolarWinds, Inc. *		31,800
	6,076	Syntel, Inc. *		270,078
	524,094	Teradata Corp. *		15,319,268
	128,473	Total System Services, Inc.		5,887,918

Shares		Description	Value ($)
		Software & Services — continued
	2,719,616	Yahoo!, Inc. *		87,680,420
		Total Software & Services		959,516,557
		Technology Hardware & Equipment — 11.6%
	163,500	Amphenol Corp. – Class A		8,560,860
	1,950,756	Apple, Inc.		219,967,247
	39,200	Arrow Electronics, Inc. *		2,192,064
	20,300	Brocade Communications Systems, Inc.		216,195
	7,582,582	Cisco Systems, Inc.		196,237,222
	7,300	Dolby Laboratories, Inc. – Class A		237,688
	1,941,800	EMC Corp.		48,292,566
	60,974	F5 Networks, Inc. *		7,402,853
	1,700	FLIR Systems, Inc.		48,671
	154,200	NetApp, Inc.		4,928,232
	18,300	NetScout Systems, Inc. *		668,865
	1,741,500	Qualcomm, Inc.		98,534,070
	975,994	Ubiquiti Networks, Inc.		34,315,949
		Total Technology Hardware & Equipment		621,602,482
		Telecommunication Services — 0.3%
	2,700	United States Cellular Corp. *		99,684
	286,500	Verizon Communications, Inc.		13,181,865
	70,900	Vonage Holdings Corp. *		393,495
		Total Telecommunication Services		13,675,044
		Transportation — 0.4%
	142,500	CH Robinson Worldwide, Inc.		9,608,775
	190,000	Expeditors International of Washington, Inc.		9,304,300
	19,800	Heartland Express, Inc.		400,752
	31,400	JB Hunt Transport Services, Inc.		2,285,292
	22,600	Knight Transportation, Inc.		614,720
	14,793	Landstar System, Inc.		979,297
		Total Transportation		23,193,136
		TOTAL COMMON STOCKS (COST $5,269,733,124)		5,228,480,476
		MUTUAL FUNDS — 2.1%
		Affiliated Issuers — 2.1%
	4,491,240	GMO U.S. Treasury Fund		112,281,000
		TOTAL MUTUAL FUNDS (COST $112,281,000)		112,281,000

See accompanying notes to the financial statements. 53

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	4,507,637	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (a)		4,507,637
		TOTAL SHORT-TERM INVESTMENTS (COST $4,507,637)		4,507,637
		TOTAL INVESTMENTS — 99.4% (Cost $5,386,521,761)		5,345,269,113
		Other Assets and Liabilities (net) — 0.6%		31,215,802
		TOTAL NET ASSETS — 100.0%		$5,376,484,915

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 55.

54 See accompanying notes to the financial statements.

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

REIT - Real Estate Investment Trust

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

SGD - Singapore Dollar

USD - United States Dollar

See accompanying notes to the financial statements. 55

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited)

	Developed World Stock Fund		International Equity Fund		International Large/Mid Cap Equity Fund		International Small Companies Fund		Quality Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	376,210,293	$	10,755,500,064	$	1,786,265,220	$	264,020,830	$	8,296,629,591
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		15,253,617		83,133,000		21,970,000		5,226,207		87,740,000
Cash		314,600		—		—		—		—
Foreign currency, at value (Note 2)(c)		54,852		—		921		146,581		96,975
Receivable for investments sold		2,353,424		107,211,084		17,729,148		49,744		12,322,607
Receivable for Fund shares sold		—		1,968,081		48,465		—		8,512,924
Dividends receivable		967,780		32,713,811		5,818,492		568,839		22,316,492
Dividend withholding tax receivable		169,385		8,404,882		1,321,251		187,869		6,248,706
Foreign capital gains tax refund receivable		—		—		—		10,606		—
Receivable for foreign currency sold		3,860		297,022		48,448		182		—
Due from broker (Note 2)		370,000		—		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		37,541		316,789		77,624		38,316		152,340
Miscellaneous receivable		1,136		6,716		1,628		342		—
Total assets		395,736,488		10,989,551,449		1,833,281,197		270,249,516		8,434,019,635
Liabilities:
Foreign currency due to custodian		—		7,633,657		—		—		—
Payable for investments purchased		1,261,949		37,971,853		7,485,520		—		814
Payable for Fund shares repurchased		—		9,781,452		173,562		—		6,233,496
Accrued foreign capital gains tax payable (Note 2)		3		—		—		—		—
Payable to affiliate for (Note 5):
Management fee		157,236		4,846,500		614,062		141,630		2,477,938
Shareholder service fee		40,528		941,437		165,816		35,407		858,666
Payable for variation margin on open futures contracts (Note 4)		367,683		—		—		—		—
Payable to agents unaffiliated with GMO		62		1,364		186		31		1,054
Payable to Trustees and related expenses		869		26,191		3,075		549		20,714
Accrued expenses		162,857		1,421,080		327,261		138,241		531,114
Total liabilities		1,991,187		62,623,534		8,769,482		315,858		10,123,796
Net assets	$	393,745,301	$	10,926,927,915	$	1,824,511,715	$	269,933,658	$	8,423,895,839
(a)      Cost of investments – unaffiliated issuers:	$	390,782,181	$	11,666,553,956	$	1,952,219,941	$	283,383,617	$	7,911,447,600
(b)      Cost of investments – affiliated issuers:	$	15,253,617	$	83,133,000	$	21,970,000	$	5,226,207	$	87,740,000
(c)      Cost of foreign currency:	$	55,303	$	—	$	921	$	148,380	$	97,731

56 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited) — (Continued)

	Developed World Stock Fund			International Equity Fund			International Large/Mid Cap Equity Fund			International Small Companies Fund			Quality Fund
Net assets consist of:
Paid-in capital	$	386,926,841		$	11,631,229,287		$	2,231,442,383		$	282,565,167		$	7,478,451,396
Accumulated undistributed net investment income		5,455,815			174,692,556			35,063,714			2,539,641			76,839,334
Accumulated net realized gain (loss)		16,313,450			32,711,933			(275,853,138	)		4,235,350			483,905,048
Net unrealized appreciation (depreciation)		(14,950,805	)		(911,705,861	)		(166,141,244	)		(19,406,500	)		384,700,061
	$	393,745,301		$	10,926,927,915		$	1,824,511,715		$	269,933,658		$	8,423,895,839
Net assets attributable to:
Class II shares	$	—		$	93,004,114		$	—		$	—		$	—
Class III shares	$	124,166,738		$	1,074,687,190		$	540,484,905		$	269,933,658		$	4,189,351,203
Class IV shares	$	269,578,563		$	9,759,236,611		$	962,038,532		$	—		$	1,887,943,818
Class V shares	$	—		$	—		$	—		$	—		$	212,667,281
Class VI shares	$	—		$	—		$	321,988,278		$	—		$	2,133,933,537
Shares outstanding:
Class II		—			4,321,424			—			—			—
Class III		5,393,647			49,364,523			19,476,263			37,254,942			208,990,944
Class IV		11,702,777			448,941,434			34,692,084			—			94,076,117
Class V		—			—			—			—			10,593,051
Class VI		—			—			11,607,656			—			106,416,663
Net asset value per share:
Class II	$	—		$	21.52		$	—		$	—		$	—
Class III	$	23.02		$	21.77		$	27.75		$	7.25		$	20.05
Class IV	$	23.04		$	21.74		$	27.73		$	—		$	20.07
Class V	$	—		$	—		$	—		$	—		$	20.08
Class VI	$	—		$	—		$	27.74		$	—		$	20.05

See accompanying notes to the financial statements. 57

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited) — (Continued)

	Resources Fund		Risk Premium Fund		Tax-Managed International Equities Fund		U.S. Equity Allocation Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	197,241,140	$	600,403,938	$	357,750,299	$	5,232,988,113
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		4,831,400		—		12,601,170		112,281,000
Foreign currency, at value (Note 2)(c)		27,809		6		11,048		—
Receivable for investments sold		—		—		1,796,972		25,803,081
Cash		—		2,180,745		—		—
Receivable for Fund shares sold		—		—		—		1,070,858
Dividends receivable		879,890		—		934,202		13,101,446
Dividend withholding tax receivable		20,998		—		290,962		1,246,860
Receivable for foreign currency sold		—		—		1,960		—
Receivable for variation margin on open futures contracts (Note 4)		3,705		—		—		—
Due from broker (Note 2)		—		10,982,316		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		61,169		10,478		33,418		75,206
Miscellaneous receivable		299		—		855		—
Total assets		203,066,410		613,577,483		373,420,886		5,386,566,564
Liabilities:
Due to custodian		—		—		103,097		—
Payable for investments purchased		—		—		323,410		6,554,519
Payable for Fund shares repurchased		—		—		4,900,000		1,432,373
Payable to affiliate for (Note 5):
Management fee		86,836		167,844		165,603		1,471,647
Shareholder service fee		18,015		21,164		49,681		290,011
Payable for foreign currency purchased		213		—		—		—
Written options outstanding, at value (Note 4)(d)		—		18,561,434		—		—
Payable to agents unaffiliated with GMO		—		31		31		713
Payable to Trustees and related expenses		260		780		599		16,116
Accrued expenses		95,960		104,653		130,122		316,270
Total liabilities		201,284		18,855,906		5,672,543		10,081,649
Net assets	$	202,865,126	$	594,721,577	$	367,748,343	$	5,376,484,915
(a)      Cost of investments – unaffiliated issuers:	$	247,673,552	$	600,423,209	$	324,967,062	$	5,274,240,761
(b)      Cost of investments – affiliated issuers:	$	4,831,400	$	—	$	12,601,170	$	112,281,000
(c)      Cost of foreign currency:	$	27,918	$	36	$	11,050	$	—
(d)      Premiums on options:	$	—	$	16,804,534	$	—	$	—

58 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited) — (Continued)

	Resources Fund			Risk Premium Fund			Tax-Managed International Equities Fund			U.S. Equity Allocation Fund
Net assets consist of:
Paid-in capital	$	260,582,763		$	597,508,338		$	355,113,471		$	5,184,964,806
Accumulated undistributed net investment income		3,533,183			—			6,842,504			42,751,398
Distributions in excess of net investment income		—			(1,188,376	)		—			—
Accumulated net realized gain (loss)		(10,804,791	)		177,817			(26,960,385	)		190,076,775
Net unrealized appreciation (depreciation)		(50,446,029	)		(1,776,202	)		32,752,753			(41,308,064	)
	$	202,865,126		$	594,721,577		$	367,748,343		$	5,376,484,915
Net assets attributable to:
Class III shares	$	15,101,221		$	6,368,668		$	367,748,343		$	151,836,440
Class IV shares	$	187,763,905		$	5,758,915		$	—		$	381,229,254
Class VI shares	$	—		$	582,593,994		$	—		$	4,843,419,221
Shares outstanding:
Class III		1,091,192			685,189			23,934,805			10,230,923
Class IV		13,603,566			618,043			—			25,745,163
Class VI		—			62,485,945			—			327,740,211
Net asset value per share:
Class III	$	13.84		$	9.29		$	15.36		$	14.84
Class IV	$	13.80		$	9.32		$	—		$	14.81
Class VI	$	—		$	9.32		$	—		$	14.78

See accompanying notes to the financial statements. 59

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2015 (Unaudited)

	Developed World Stock Fund			International Equity Fund			International Large/Mid Cap Equity Fund			International Small Companies Fund			Quality Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	7,310,225		$	263,025,781		$	43,851,678		$	5,563,261		$	115,450,264
Dividends from affiliated issuers (Note 10)		3,070			61,930			11,898			1,647			31,798
Interest		1,131			—			31,519			414			—
Total investment income		7,314,426			263,087,711			43,895,095			5,565,322			115,482,062
Expenses:
Management fee (Note 5)		980,701			30,609,343			3,705,335			868,018			15,844,615
Shareholder service fee – Class II (Note 5)		—			118,198			—			—			—
Shareholder service fee – Class III (Note 5)		109,394			954,300			441,224			217,005			3,697,131
Shareholder service fee – Class IV (Note 5)		145,005			4,888,748			591,121			—			1,086,477
Shareholder service fee – Class V (Note 5)		—			—			—			—			104,544
Shareholder service fee – Class VI (Note 5)		—			—			13,276			—			648,416
Audit and tax fees		44,716			72,209			43,122			53,484			46,358
Custodian and fund accounting agent fees		189,811			2,177,899			465,365			161,921			745,475
Legal fees		5,152			99,728			16,008			4,048			77,832
Registration fees		1,288			15,824			8,648			2,576			17,886
Transfer agent fees		19,320			28,276			25,177			13,738			—
Trustees fees and related expenses (Note 5)		2,576			73,416			10,672			1,656			56,856
Miscellaneous		20,424			70,267			25,626			22,008			30,544
Total expenses		1,518,387			39,108,208			5,345,574			1,344,454			22,356,134
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(271,631	)		(2,399,272	)		(572,120	)		(240,735	)		(894,543	)
Net expenses		1,246,756			36,708,936			4,773,454			1,103,719			21,461,591
Net investment income (loss)		6,067,670			226,378,775			39,121,641			4,461,603			94,020,471
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		19,517,936			205,826,813			33,051,725			7,744,801			498,186,441
Realized gain distributions from affiliated issuers (Note 10)		111			4,628			2,751			103			2,888
Futures contracts		(175	)		—			—			—			—
Foreign currency, forward contracts and foreign currency related transactions		(49,859	)		(3,248,661	)		(354,041	)		(59,123	)		(338,863	)
Net realized gain (loss)		19,468,013			202,582,780			32,700,435			7,685,781			497,850,466
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(54,742,792	)		(1,350,368,483	)		(224,085,111	)		(25,974,063	)		(1,198,648,372	)
Futures contracts		(367,683	)		—			—			—			—
Foreign currency, forward contracts and foreign currency related transactions		25,865			1,234,291			167,795			(5,727	)		77,260
Net unrealized gain (loss)		(55,084,610	)		(1,349,134,192	)		(223,917,316	)		(25,979,790	)		(1,198,571,112	)
Net realized and unrealized gain (loss)		(35,616,597	)		(1,146,551,412	)		(191,216,881	)		(18,294,009	)		(700,720,646	)
Net increase (decrease) in net assets resulting from operations	$	(29,548,927	)	$	(920,172,637	)	$	(152,095,240	)	$	(13,832,406	)	$	(606,700,175	)
(a)    Withholding tax:	$	634,061		$	28,190,294		$	4,484,336		$	440,540		$	2,143,573

60 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2015 (Unaudited) — (Continued)

	Resources Fund			Risk Premium Fund			Tax-Managed International Equities Fund			U.S. Equity Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	4,688,502		$	—		$	8,886,870		$	61,142,657
Dividends from affiliated issuers (Note 10)		1,473			—			3,252			38,411
Interest		754			191,481			14,047			—
Total investment income		4,690,729			191,481			8,904,169			61,181,068
Expenses:
Management fee (Note 5)		465,534			983,665			1,033,384			9,461,678
Shareholder service fee – Class III (Note 5)		14,103			3,771			310,016			165,794
Shareholder service fee – Class IV (Note 5)		83,704			3,227			—			204,155
Shareholder service fee – Class VI (Note 5)		—			117,068			—			1,505,609
Audit and tax fees		36,712			29,196			52,748			34,321
Custodian and fund accounting agent fees		137,104			47,708			150,588			397,614
Legal fees		2,760			3,312			4,968			53,360
Registration fees		1,288			4,416			2,024			11,040
Transfer agent fees		19,289			—			13,891			—
Trustees fees and related expenses (Note 5)		936			2,392			2,208			38,640
Miscellaneous		7,406			9,567			12,328			17,112
Total expenses		768,836			1,204,322			1,582,155			11,889,323
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(103,664	)		(94,016	)		(219,619	)		(504,983	)
Net expenses		665,172			1,110,306			1,362,536			11,384,340
Net investment income (loss)		4,025,557			(918,825	)		7,541,633			49,796,728
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(4,307,293	)		17,008			(4,337,503	)		354,599,901
Realized gain distributions from affiliated issuers (Note 10)		67			—			211			1,609
Futures contracts		(156	)		—			—			—
Written options		—			6,940,836			—			—
Foreign currency, forward contracts and foreign currency related transactions		(53,834	)		(623,152	)		(136,143	)		—
Net realized gain (loss)		(4,361,216	)		6,334,692			(4,473,435	)		354,601,510
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(31,135,549	)		(35,271	)		(37,014,041	)		(793,898,509	)
Futures contracts		3,705			—			—			—
Written options		—			(7,898,112	)		—			—
Foreign currency, forward contracts and foreign currency related transactions		(19,148	)		(31	)		19,442			(15,469	)
Net unrealized gain (loss)		(31,150,992	)		(7,933,414	)		(36,994,599	)		(793,913,978	)
Net realized and unrealized gain (loss)		(35,512,208	)		(1,598,722	)		(41,468,034	)		(439,312,468	)
Net increase (decrease) in net assets resulting from operations	$	(31,486,651	)	$	(2,517,547	)	$	(33,926,401	)	$	(389,515,740	)
(a)    Withholding tax:	$	407,479		$	—		$	976,335		$	—

See accompanying notes to the financial statements. 61

GMO Trust Funds

Statements of Changes in Net Assets

	Developed World Stock Fund						International Equity Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	6,067,670		$	9,614,329		$	226,378,775		$	360,776,997
Net realized gain (loss)		19,468,013			47,408,868			202,582,780			696,104,018
Change in net unrealized appreciation (depreciation)		(55,084,610	)		(32,459,628	)		(1,349,134,192	)		(1,462,245,116	)
Net increase (decrease) in net assets from operations		(29,548,927	)		24,563,569			(920,172,637	)		(405,364,101	)
Distributions to shareholders from:
Net investment income
Class II		—			—			(356,695	)		(5,103,577	)
Class III		(727,879	)		(4,530,295	)		(4,760,186	)		(55,740,632	)
Class IV		(1,623,399	)		(7,796,353	)		(43,946,375	)		(521,384,627	)
Total distributions from net investment income		(2,351,278	)		(12,326,648	)		(49,063,256	)		(582,228,836	)
Net realized gains
Class II		—			—			—			(4,247,677	)
Class III		(255,637	)		—			—			(43,936,762	)
Class IV		(539,972	)		—			—			(431,826,541	)
Total distributions from net realized gains		(795,609	)		—			—			(480,010,980	)
Net share transactions (Note 9):
Class II		—			—			(17,854,897	)		(8,069,795	)
Class III		(24,362,085	)		(16,281,175	)		(344,427,066	)		94,273,823
Class IV		2,170,440			7,796,353			(757,436,409	)		776,079,487
Increase (decrease) in net assets resulting from net share transactions		(22,191,645	)		(8,484,822	)		(1,119,718,372	)		862,283,515
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		29,712			8,330			—			—
Class IV		58,674			13,850			—			—
Increase in net assets resulting from purchase premiums and redemption fees		88,386			22,180			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(22,103,259	)		(8,462,642	)		(1,119,718,372	)		862,283,515
Total increase (decrease) in net assets		(54,799,073	)		3,774,279			(2,088,954,265	)		(605,320,402	)
Net assets:
Beginning of period		448,544,374			444,770,095			13,015,882,180			13,621,202,582
End of period	$	393,745,301		$	448,544,374		$	10,926,927,915		$	13,015,882,180
Accumulated undistributed net investment income	$	5,455,815		$	1,739,423		$	174,692,556		$	—
Distributions in excess of net investment income	$	—		$	—		$	—		$	(2,622,963	)

62 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Large/Mid Cap Equity Fund						International Small Companies Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	39,121,641		$	57,494,458		$	4,461,603		$	6,671,265
Net realized gain (loss)		32,700,435			151,959,208			7,685,781			31,641,436
Change in net unrealized appreciation (depreciation)		(223,917,316	)		(268,513,764	)		(25,979,790	)		(55,675,058	)
Net increase (decrease) in net assets from operations		(152,095,240	)		(59,060,098	)		(13,832,406	)		(17,362,357	)
Distributions to shareholders from:
Net investment income
Class III		(1,599,042	)		(23,901,279	)		(897,276	)		(7,239,606	)
Class IV		(4,167,371	)		(50,723,551	)		—			—
Class VI		(1,514	)		(12,974,926	)		—			—
Total distributions from net investment income		(5,767,927	)		(87,599,756	)		(897,276	)		(7,239,606	)
Net realized gains
Class III		—			(37,850,457	)		—			(59,619,267	)
Class IV		—			(79,302,894	)		—			—
Class VI		—			(20,056,045	)		—			—
Total distributions from net realized gains		—			(137,209,396	)		—			(59,619,267	)
Net share transactions (Note 9):
Class III		(4,796,736	)		74,757,683			1,059,569			(15,427,943	)
Class IV		(299,793,698	)		243,452,691			—			—
Class VI		347,261,893			(275,378,617	)		—			—
Increase (decrease) in net assets resulting from net share transactions		42,671,459			42,831,757			1,059,569			(15,427,943	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			158,262			406,473
Increase in net assets resulting from purchase premiums and redemption fees		—			—			158,262			406,473
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		42,671,459			42,831,757			1,217,831			(15,021,470	)
Total increase (decrease) in net assets		(115,191,708	)		(241,037,493	)		(13,511,851	)		(99,242,700	)
Net assets:
Beginning of period		1,939,703,423			2,180,740,916			283,445,509			382,688,209
End of period	$	1,824,511,715		$	1,939,703,423		$	269,933,658		$	283,445,509
Accumulated undistributed net investment income	$	35,063,714		$	1,710,000		$	2,539,641		$	—
Distributions in excess of net investment income	$	—		$	—		$	—		$	(1,024,686	)

See accompanying notes to the financial statements. 63

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Quality Fund						Resources Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	94,020,471		$	198,543,374		$	4,025,557		$	6,456,646
Net realized gain (loss)		497,850,466			1,729,649,532			(4,361,216	)		3,744,164
Change in net unrealized appreciation (depreciation)		(1,198,571,112	)		(373,569,440	)		(31,150,992	)		(23,180,183	)
Net increase (decrease) in net assets from operations		(606,700,175	)		1,554,623,466			(31,486,651	)		(12,979,373	)
Distributions to shareholders from:
Net investment income
Class III		(18,740,209	)		(103,570,682	)		(35,207	)		(1,367,521	)
Class IV		(8,574,482	)		(37,129,344	)		(344,655	)		(5,605,478	)
Class V		(894,579	)		(15,931,503	)		—			—
Class VI		(10,123,825	)		(58,556,121	)		—			—
Total distributions from net investment income		(38,333,095	)		(215,187,650	)		(379,862	)		(6,972,999	)
Net realized gains
Class III		(289,840,264	)		(1,057,004,236	)		—			(2,298,708	)
Class IV		(125,131,886	)		(354,305,116	)		—			(8,515,008	)
Class V		(13,805,180	)		(155,846,978	)		—			—
Class VI		(141,530,866	)		(576,578,046	)		—			—
Total distributions from net realized gains		(570,308,196	)		(2,143,734,376	)		—			(10,813,716	)
Net share transactions (Note 9):
Class III		(530,261,192	)		2,565,660			(6,000,257	)		(52,796,662	)
Class IV		(47,110,542	)		186,111,449			97,375,449			6,266,723
Class V		(25,580,306	)		(319,202,266	)		—			—
Class VI		(60,489,179	)		(973,711,295	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(663,441,219	)		(1,104,236,452	)		91,375,192			(46,529,939	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			31,671			172,706
Class IV		—			—			282,551			161,655
Increase in net assets resulting from purchase premiums and redemption fees		—			—			314,222			334,361
Total increase (decrease) in net assets resulting from net share transactions		(663,441,219	)		(1,104,236,452	)		91,689,414			(46,195,578	)
Total increase (decrease) in net assets		(1,878,782,685	)		(1,908,535,012	)		59,822,901			(76,961,666	)
Net assets:
Beginning of period		10,302,678,524			12,211,213,536			143,042,225			220,003,891
End of period	$	8,423,895,839		$	10,302,678,524		$	202,865,126		$	143,042,225
Accumulated undistributed net investment income	$	76,839,334		$	21,151,958		$	3,533,183		$	—
Distributions in excess of net investment income	$	—		$	—		$	—		$	(112,512	)

64 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Risk Premium Fund						Tax-Managed International Equities Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	(918,825	)	$	(3,153,749	)	$	7,541,633		$	12,364,330
Net realized gain (loss)		6,334,692			46,162,693			(4,473,435	)		29,811,589
Change in net unrealized appreciation (depreciation)		(7,933,414	)		2,155,473			(36,994,599	)		(57,988,515	)
Net increase (decrease) in net assets from operations		(2,517,547	)		45,164,417			(33,926,401	)		(15,812,596	)
Distributions to shareholders from:
Net investment income
Class III		—			—			(1,296,275	)		(16,939,282	)
Total distributions from net investment income		—			—			(1,296,275	)		(16,939,282	)
Net realized gains
Class III		(234,054	)		(572,584	)		—			—
Class IV		(282,841	)		(1,403,322	)		—			—
Class VI		(19,056,083	)		(47,205,130	)		—			—
Total distributions from net realized gains		(19,572,978	)		(49,181,036	)		—			—
Net share transactions (Note 9):
Class III		1,830,375			(2,385,645	)		(24,076,689	)		(25,865,870	)
Class IV		(975,966	)		(21,268,218	)		—			—
Class VI		171,186,718			(297,185,406	)		—			—
Increase (decrease) in net assets resulting from net share transactions		172,041,127			(320,839,269	)		(24,076,689	)		(25,865,870	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		4,147			31,273			—			—
Class IV		4,065			41,137			—			—
Class VI		372,482			2,524,540			—			—
Increase in net assets resulting from purchase premiums and redemption fees		380,694			2,596,950			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		172,421,821			(318,242,319	)		(24,076,689	)		(25,865,870	)
Total increase (decrease) in net assets		150,331,296			(322,258,938	)		(59,299,365	)		(58,617,748	)
Net assets:
Beginning of period		444,390,281			766,649,219			427,047,708			485,665,456
End of period	$	594,721,577		$	444,390,281		$	367,748,343		$	427,047,708
Accumulated undistributed net investment income	$	—		$	—		$	6,842,504		$	597,146
Distributions in excess of net investment income	$	(1,188,376	)	$	(269,551	)	$	—		$	—

See accompanying notes to the financial statements. 65

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Equity Allocation Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	49,796,728		$	125,626,818
Net realized gain (loss)		354,601,510			898,979,412
Change in net unrealized appreciation (depreciation)		(793,913,978	)		(192,803,361	)
Net increase (decrease) in net assets from operations		(389,515,740	)		831,802,869
Distributions to shareholders from:
Net investment income
Class III		(448,241	)		(5,765,842	)
Class IV		(1,012,309	)		(3,984,621	)
Class V		—			(457,461	)*
Class VI		(14,112,649	)		(121,109,715	)
Total distributions from net investment income		(15,573,199	)		(131,317,639	)
Net realized gains
Class III		(8,443,788	)		(43,870,051	)
Class IV		(16,051,294	)		(28,387,772	)
Class V		—			(5,160,021	)*
Class VI		(214,512,262	)		(837,602,879	)
Total distributions from net realized gains		(239,007,344	)		(915,020,723	)
Net share transactions (Note 9):
Class III		(113,653,415	)		(194,245,896	)
Class IV		(6,716,510	)		146,989,519
Class V		—			(267,575,387	)*
Class VI		(609,185,334	)		(840,145,840	)
Increase (decrease) in net assets resulting from net share transactions		(729,555,259	)		(1,154,977,604	)
Total increase (decrease) in net assets		(1,373,651,542	)		(1,369,513,097	)
Net assets:
Beginning of period		6,750,136,457			8,119,649,554
End of period	$	5,376,484,915		$	6,750,136,457
Accumulated undistributed net investment income	$	42,751,398		$	8,527,869

* Class V liquidated on July 30, 2014

66 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

DEVELOPED WORLD STOCK FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011								2015				2014				2013				2012				2011
Net asset value, beginning of period		$	24.93			$	24.28			$	19.41			$	18.35			$	19.24			$	16.28			$	24.94			$	24.30			$	19.42			$	18.36			$	19.26			$	16.30
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.34				0.52				0.51				0.44				0.43				0.33				0.35				0.53				0.52				0.44				0.44				0.34
Net realized and unrealized gain (loss)			(2.07	)			0.80				4.75				1.12				(0.78	)(b)			3.09				(2.06	)			0.80				4.76				1.13				(0.79	)(b)			3.09
Total from investment operations			(1.73	)			1.32				5.26				1.56				(0.35	)			3.42				(1.71	)			1.33				5.28				1.57				(0.35	)			3.43
Less distributions to shareholders:
From net investment income			(0.13	)			(0.67	)			(0.39	)			(0.50	)			(0.54	)			(0.46	)			(0.14	)			(0.69	)			(0.40	)			(0.51	)			(0.55	)			(0.47	)
From net realized gains			(0.05	)			—				—				—				—				—				(0.05	)			—				—				—				—				—
Total distributions			(0.18	)			(0.67	)			(0.39	)			(0.50	)			(0.54	)			(0.46	)			(0.19	)			(0.69	)			(0.40	)			(0.51	)			(0.55	)			(0.47	)
Net asset value, end of period		$	23.02			$	24.93			$	24.28			$	19.41			$	18.35			$	19.24			$	23.04			$	24.94			$	24.30			$	19.42			$	18.36			$	19.26
Total Return(c)			(6.97	)%**			5.60	%			27.29	%			8.68	%			(1.64	)%			21.41	%			(6.90	)%**			5.61	%			27.39	%			8.74	%			(1.61	)%			21.44	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	124,167			$	158,907			$	170,532			$	145,072			$	147,629			$	210,780			$	269,579			$	289,637			$	274,238			$	215,262			$	197,989			$	201,121
Net expenses to average daily net assets(d)			0.61	%*			0.60	%			0.61	%			0.60	%			0.60	%(e)			0.60	%(e)			0.56	%*			0.55	%			0.56	%			0.55	%			0.55	%(e)			0.55	%(e)
Net investment income (loss) to average daily net assets			2.76	%*			2.13	%			2.31	%			2.38	%			2.40	%			1.93	%			2.80	%*			2.16	%			2.37	%			2.40	%			2.42	%			1.98	%
Portfolio turnover rate			41	%**			75	%			64	%			50	%			56	%			34	%			41	%**			75	%			64	%			50	%			56	%			34	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.12	%*			0.14	%			0.10	%			0.11	%			0.11	%			0.11	%			0.12	%*			0.14	%			0.10	%			0.11	%			0.11	%			0.11	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.00	(f)		$	0.00	(f)		$	0.01			$	0.01			$	0.00	(f)		$	0.01			$	0.00	(f)		$	0.00	(f)		$	0.00	(f)		$	0.00	(f)		$	0.00	(f)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(f)  Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 67

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND

	Class II Shares																								Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011								2015				2014				2013				2012				2011
Net asset value, beginning of period		$	23.43			$	26.16			$	20.94			$	20.18			$	23.07			$	19.35			$	23.70			$	26.44			$	21.16			$	20.39			$	23.31			$	19.56
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.43				0.66				0.80				0.56				0.63				0.48				0.43				0.69				0.86				0.56				0.65				0.47
Net realized and unrealized gain (loss)			(2.26	)			(1.42	)			4.88				0.85				(2.83	)(b)			3.51				(2.27	)			(1.45	)			4.90				0.88				(2.86	)(b)			3.58
Total from investment operations			(1.83	)			(0.76	)			5.68				1.41				(2.20	)			3.99				(1.84	)			(0.76	)			5.76				1.44				(2.21	)			4.05
Less distributions to shareholders:
From net investment income			(0.08	)			(1.07	)			(0.46	)			(0.65	)			(0.69	)			(0.27	)			(0.09	)			(1.08	)			(0.48	)			(0.67	)			(0.71	)			(0.30	)
From net realized gains			—				(0.90	)			—				—				—				—				—				(0.90	)			—				—				—				—
Total distributions			(0.08	)			(1.97	)			(0.46	)			(0.65	)			(0.69	)			(0.27	)			(0.09	)			(1.98	)			(0.48	)			(0.67	)			(0.71	)			(0.30	)
Net asset value, end of period		$	21.52			$	23.43			$	26.16			$	20.94			$	20.18			$	23.07			$	21.77			$	23.70			$	26.44			$	21.16			$	20.39			$	23.31
Total Return(c)			(7.81	)%**			(2.55	)%			27.41	%			7.23	%			(9.51	)%			20.79	%			(7.77	)%**			(2.50	)%			27.53	%			7.30	%			(9.47	)%			20.88	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	93,004			$	118,737			$	139,401			$	169,056			$	292,379			$	217,090			$	1,074,687			$	1,523,128			$	1,555,509			$	1,540,203			$	1,812,184			$	2,257,078
Net expenses to average daily net assets(d)			0.72	%*			0.72	%			0.72	%(e)			0.72	%(e)			0.72	%(e)			0.72	%(e)			0.65	%*			0.65	%			0.65	%(e)			0.65	%(e)			0.65	%(e)			0.65	%(e)
Net investment income (loss) to average daily net assets			3.66	%*			2.63	%			3.47	%			2.87	%			3.04	%			2.36	%			3.63	%*			2.73	%			3.62	%			2.82	%			3.09	%			2.30	%
Portfolio turnover rate			31	%**			70	%			48	%			40	%			37	%			40	%			31	%**			70	%			48	%			40	%			37	%			40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.04	%			0.04	%			0.04	%			0.05	%			0.05	%			0.04	%*			0.04	%			0.04	%			0.04	%			0.05	%			0.05	%

	Class IV Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	23.66			$	26.41			$	21.14			$	20.37			$	23.30			$	19.55
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.44				0.67				0.89				0.54				0.62				0.48
Net realized and unrealized gain (loss)			(2.26	)			(1.42	)			4.88				0.91				(2.83	)(b)			3.58
Total from investment operations			(1.82	)			(0.75	)			5.77				1.45				(2.21	)			4.06
Less distributions to shareholders:
From net investment income			(0.10	)			(1.10	)			(0.50	)			(0.68	)			(0.72	)			(0.31	)
From net realized gains			—				(0.90	)			—				—				—				—
Total distributions			(0.10	)			(2.00	)			(0.50	)			(0.68	)			(0.72	)			(0.31	)
Net asset value, end of period		$	21.74			$	23.66			$	26.41			$	21.14			$	20.37			$	23.30
Total Return(c)			(7.72	)%**			(2.47	)%			27.60	%			7.39	%			(9.43	)%			20.96	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	9,759,237			$	11,374,017			$	11,926,293			$	7,366,819			$	5,047,058			$	3,458,202
Net expenses to average daily net assets(d)			0.59	%*			0.59	%			0.59	%(e)			0.59	%(e)			0.59	%(e)			0.59	%(e)
Net investment income (loss) to average daily net assets			3.71	%*			2.66	%			3.74	%			2.70	%			3.00	%			2.32	%
Portfolio turnover rate			31	%**			70	%			48	%			40	%			37	%			40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.04	%			0.04	%			0.04	%			0.05	%			0.05	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e)  The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

68 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL LARGE/MID CAP EQUITY FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011								2015				2014				2013				2012				2011
Net asset value, beginning of period		$	30.16			$	35.20			$	28.96			$	27.50			$	30.77			$	25.63			$	30.14			$	35.18			$	28.94			$	27.48			$	30.75			$	25.62
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.61				0.92				1.18				0.77				0.87				0.62				0.61				0.96				1.17				0.80				0.90				0.61
Net realized and unrealized gain (loss)			(2.94	)			(2.19	)			6.56				1.62				(3.15	)			5.11				(2.93	)			(2.21	)			6.60				1.60				(3.17	)			5.13
Total from investment operations			(2.33	)			(1.27	)			7.74				2.39				(2.28	)			5.73				(2.32	)			(1.25	)			7.77				2.40				(2.27	)			5.74
Less distributions to shareholders:
From net investment income			(0.08	)			(1.46	)			(1.50	)			(0.93	)			(0.99	)			(0.59	)			(0.09	)			(1.48	)			(1.53	)			(0.94	)			(1.00	)			(0.61	)
From net realized gains			—				(2.31	)			—				—				—				—				—				(2.31	)			—				—				—				—
Total distributions			(0.08	)			(3.77	)			(1.50	)			(0.93	)			(0.99	)			(0.59	)			(0.09	)			(3.79	)			(1.53	)			(0.94	)			(1.00	)			(0.61	)
Net asset value, end of period		$	27.75			$	30.16			$	35.20			$	28.96			$	27.50			$	30.77			$	27.73			$	30.14			$	35.18			$	28.94			$	27.48			$	30.75
Total Return(b)			(7.73	)%**			(3.33	)%			27.30	%			8.93	%			(7.25	)%			22.61	%			(7.71	)%**			(3.28	)%			27.40	%			9.00	%			(7.19	)%			22.68	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	540,485			$	592,365			$	598,840			$	621,870			$	885,023			$	857,774			$	962,039			$	1,346,483			$	1,262,615			$	1,394,919			$	1,078,912			$	1,235,303
Net expenses to average daily net assets(c)			0.53	%*			0.53	%			0.53	%(d)			0.53	%(d)			0.53	%(d)			0.53	%(d)			0.47	%*			0.47	%			0.47	%(d)			0.47	%(d)			0.47	%(d)			0.47	%(d)
Net investment income (loss) to average daily net assets			4.02	%*			2.80	%			3.70	%			2.87	%			3.10	%			2.28	%			4.07	%*			2.91	%			3.69	%			2.93	%			3.18	%			2.24	%
Portfolio turnover rate			37	%**			82	%			54	%			47	%			34	%			40	%			37	%**			82	%			54	%			47	%			34	%			40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%*			0.07	%			0.06	%			0.05	%			0.04	%			0.05	%			0.06	%*			0.07	%			0.06	%			0.05	%			0.05	%			0.05	%

	Class VI Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	30.11			$	35.15			$	28.91			$	27.46			$	30.72			$	25.60
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.36				0.94				1.58				0.79				0.92				0.61
Net realized and unrealized gain (loss)			(2.67	)			(2.17	)			6.17				1.61				(3.17	)			5.13
Total from investment operations			(2.31	)			(1.23	)			7.75				2.40				(2.25	)			5.74
Less distributions to shareholders:
From net investment income			(0.06	)			(1.50	)			(1.51	)			(0.95	)			(1.01	)			(0.62	)
From net realized gains			—				(2.31	)			—				—				—				—
Total distributions			(0.06	)			(3.81	)			(1.51	)			(0.95	)			(1.01	)			(0.62	)
Net asset value, end of period		$	27.74			$	30.11			$	35.15			$	28.91			$	27.46			$	30.72
Total Return(b)			(7.69	)%**			(3.24	)%			27.39	%			9.01	%			(7.13	)%			22.69	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	321,988			$	855			$	319,285			$	2,481,773			$	2,247,969			$	3,507,677
Net expenses to average daily net assets(c)			0.44	%*			0.44	%			0.44	%(d)			0.44	%(d)			0.44	%(d)			0.44	%(d)
Net investment income (loss) to average daily net assets			2.38	%*			2.89	%			5.24	%			2.89	%			3.25	%			2.25	%
Portfolio turnover rate			37	%**			82	%			54	%			47	%			34	%			40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*			0.07	%			0.05	%			0.05	%			0.05	%			0.05	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 69

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL SMALL COMPANIES FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	7.65			$	10.23			$	8.34			$	7.44			$	8.48			$	6.63
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.12				0.19				0.15				0.18				0.17				0.14
Net realized and unrealized gain (loss)			(0.50	)			(0.73	)			2.37				1.02				(0.84	)			1.88
Total from investment operations			(0.38	)			(0.54	)			2.52				1.20				(0.67	)			2.02
Less distributions to shareholders:
From net investment income			(0.02	)			(0.22	)			(0.45	)			(0.30	)			(0.37	)			(0.17	)
From net realized gains			—				(1.82	)			(0.18	)			—				—				—
Total distributions			(0.02	)			(2.04	)			(0.63	)			(0.30	)			(0.37	)			(0.17	)
Net asset value, end of period		$	7.25			$	7.65			$	10.23			$	8.34			$	7.44			$	8.48
Total Return(b)			(4.92	)%**			(4.87	)%			31.30	%			16.75	%			(8.05	)%			31.11	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	269,934			$	283,446			$	382,688			$	313,557			$	368,374			$	467,733
Net expenses to average daily net assets(c)			0.76	%*			0.77	%			0.77	%(d)			0.76	%(d)			0.76	%(d)			0.76	%(d)
Net investment income (loss) to average daily net assets			3.08	%*			2.15	%			1.63	%			2.50	%			2.28	%			1.91	%
Portfolio turnover rate			38	%**			83	%			79	%			76	%			90	%			55	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.17	%*			0.17	%			0.15	%			0.17	%			0.14	%			0.12	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(e)		$	0.01			$	0.01			$	0.00	(e)		$	0.01			$	0.05

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(e)  Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

70 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

QUALITY FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011								2015				2014				2013				2012				2011
Net asset value, beginning of period		$	22.98			$	25.08			$	23.81			$	23.41			$	20.81			$	18.99			$	23.01			$	25.10			$	23.83			$	23.42			$	20.83			$	19.01
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.21				0.42				0.51				0.47				0.43				0.36				0.22				0.43				0.53				0.49				0.44				0.38
Net realized and unrealized gain (loss)			(1.65	)			2.91				3.70				2.24				2.58				1.82				(1.66	)			2.92				3.70				2.24				2.57				1.81
Total from investment operations			(1.44	)			3.33				4.21				2.71				3.01				2.18				(1.44	)			3.35				4.23				2.73				3.01				2.19
Less distributions to shareholders:
From net investment income			(0.09	)			(0.49	)			(0.53	)			(0.51	)			(0.41	)			(0.36	)			(0.10	)			(0.50	)			(0.55	)			(0.52	)			(0.42	)			(0.37	)
From net realized gains			(1.40	)			(4.94	)			(2.41	)			(1.80	)			—				—				(1.40	)			(4.94	)			(2.41	)			(1.80	)			—				—
Total distributions			(1.49	)			(5.43	)			(2.94	)			(2.31	)			(0.41	)			(0.36	)			(1.50	)			(5.44	)			(2.96	)			(2.32	)			(0.42	)			(0.37	)
Net asset value, end of period		$	20.05			$	22.98			$	25.08			$	23.81			$	23.41			$	20.81			$	20.07			$	23.01			$	25.10			$	23.83			$	23.42			$	20.83
Total Return(b)			(6.48	)%**			14.73	%			18.38	%			12.39	%			14.71	%			11.67	%			(6.50	)%**			14.81	%			18.43	%			12.47	%			14.70	%			11.71	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,189,351			$	5,336,063			$	5,747,512			$	6,682,281			$	6,539,510			$	5,288,776			$	1,887,944			$	2,201,876			$	2,134,444			$	2,079,055			$	2,035,597			$	1,662,542
Net expenses to average daily net assets(c)			0.48	%*			0.48	%			0.48	%(d)			0.48	%(d)			0.48	%(d)			0.48	%(d)			0.44	%*			0.44	%			0.44	%(d)			0.44	%(d)			0.44	%(d)			0.44	%(d)
Net investment income (loss) to average daily net assets			1.92	%*			1.71	%			2.04	%			2.02	%			2.01	%			1.88	%			1.97	%*			1.77	%			2.07	%			2.09	%			2.04	%			1.95	%
Portfolio turnover rate			20	%**			60	%			48	%			34	%			40	%			32	%			20	%**			60	%			48	%			34	%			40	%			32	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.01	%			0.02	%			0.02	%			0.02	%			0.02	%*			0.02	%			0.01	%			0.02	%			0.02	%			0.02	%

	Class V Shares																								Class VI Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011								2015				2014				2013				2012				2011
Net asset value, beginning of period		$	23.01			$	25.10			$	23.82			$	23.42			$	20.82			$	19.00			$	22.99			$	25.09			$	23.82			$	23.41			$	20.82			$	19.00
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.22				0.44				0.56				0.48				0.44				0.38				0.23				0.45				0.54				0.49				0.45				0.38
Net realized and unrealized gain (loss)			(1.66	)			2.92				3.68				2.25				2.58				1.81				(1.67	)			2.90				3.70				2.25				2.57				1.81
Total from investment operations			(1.44	)			3.36				4.24				2.73				3.02				2.19				(1.44	)			3.35				4.24				2.74				3.02				2.19
Less distributions to shareholders:
From net investment income			(0.09	)			(0.51	)			(0.55	)			(0.53	)			(0.42	)			(0.37	)			(0.10	)			(0.51	)			(0.56	)			(0.53	)			(0.43	)			(0.37	)
From net realized gains			(1.40	)			(4.94	)			(2.41	)			(1.80	)			—				—				(1.40	)			(4.94	)			(2.41	)			(1.80	)			—				—
Total distributions			(1.49	)			(5.45	)			(2.96	)			(2.33	)			(0.42	)			(0.37	)			(1.50	)			(5.45	)			(2.97	)			(2.33	)			(0.43	)			(0.37	)
Net asset value, end of period		$	20.08			$	23.01			$	25.10			$	23.82			$	23.42			$	20.82			$	20.05			$	22.99			$	25.09			$	23.82			$	23.41			$	20.82
Total Return(b)			(6.47	)%**			14.86	%			18.49	%			12.45	%			14.74	%			11.73	%			(6.48	)%**			14.83	%			18.50	%			12.53	%			14.76	%			11.77	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	212,667			$	267,809			$	653,307			$	455,097			$	578,367			$	371,927			$	2,133,934			$	2,496,930			$	3,675,950			$	4,140,416			$	9,816,202			$	8,913,391
Net expenses to average daily net assets(c)			0.42	%*			0.42	%			0.42	%(d)			0.41	%(d)			0.42	%(d)			0.42	%(d)			0.39	%*			0.39	%			0.39	%(d)			0.38	%(d)			0.39	%(d)			0.39	%(d)
Net investment income (loss) to average daily net assets			1.99	%*			1.81	%			2.22	%			2.05	%			2.08	%			1.96	%			2.02	%*			1.83	%			2.13	%			2.10	%			2.09	%			1.99	%
Portfolio turnover rate			20	%**			60	%			48	%			34	%			40	%			32	%			20	%**			60	%			48	%			34	%			40	%			32	%
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.01	%			0.02	%			0.02	%			0.02	%			0.02	%*			0.02	%			0.01	%			0.02	%			0.02	%			0.02	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 71

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND

	Class III Shares																				Class IV Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29																Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28,
					2015				2014				2013				2012(a)								2015				2014(b)
Net asset value, beginning of period		$	16.33			$	21.88			$	21.59			$	22.96			$	20.00			$	16.28			$	21.86			$	21.40
Income (loss) from investment operations:
Net investment income (loss)†(c)			0.33				0.87				0.51				0.32				0.03				0.34				0.75				0.45
Net realized and unrealized gain (loss)			(2.79	)			(3.77	)			0.45				(1.25	)(d)			2.93				(2.78	)			(3.65	)			0.70
Total from investment operations			(2.46	)			(2.90	)			0.96				(0.93	)			2.96				(2.44	)			(2.90	)			1.15
Less distributions to shareholders:
From net investment income			(0.03	)			(1.03	)			(0.40	)			(0.20	)			—				(0.04	)			(1.06	)			(0.42	)
From net realized gains			—				(1.62	)			(0.27	)			(0.24	)			—				—				(1.62	)			(0.27	)
Total distributions			(0.03	)			(2.65	)			(0.67	)			(0.44	)			—				(0.04	)			(2.68	)			(0.69	)
Net asset value, end of period		$	13.84			$	16.33			$	21.88			$	21.59			$	22.96			$	13.80			$	16.28			$	21.86
Total Return(e)			(15.07	)%**			(12.81	)%			4.54	%			(4.00	)%			14.80	%**			(15.03	)%**			(12.82	)%			5.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	15,101			$	23,734			$	81,646			$	104,241			$	8,101			$	187,764			$	119,308			$	138,358
Net expenses to average daily net assets			0.76	%*(f)			0.76	%(f)			0.75	%(f)(g)			0.77	%(f)			0.75	%*			0.71	%*(f)			0.71	%(f)			0.70	%*(f)(g)
Net investment income (loss) to average daily net assets			4.18	%*			4.01	%			2.36	%			1.48	%			0.78	%*			4.34	%*			3.58	%			2.23	%*
Portfolio turnover rate			53	%**			126	%			40	%			51	%			15	%**			53	%**			126	%			40	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.10	%*			0.08	%			0.10	%			0.73	%			7.69	%*			0.11	%*			0.09	%			0.11	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.03			$	0.07			$	0.06			$	0.22			$	0.06			$	0.03			$	0.03			$	0.03

^(a)  Period from December 28, 2011 (commencement of operations) through February 29, 2012.

^(b)  Period from March 20, 2013 (commencement of operations) through February 28, 2014.

^(c)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(d)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(e)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(f)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(g)  The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

72 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RISK PREMIUM FUND

	Class III Shares																Class IV Shares																Class VI Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28,												Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28,												Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28,
					2015				2014				2013(a)								2015				2014				2013(b)								2015				2014				2013(c)
Net asset value, beginning of period		$	9.91			$	10.58			$	10.53			$	10.27			$	9.94			$	10.60			$	10.54			$	10.30			$	9.94			$	10.60			$	10.53			$	10.00
Income (loss) from investment operations:
Net investment income (loss)†(d)			(0.03	)			(0.06	)			(0.06	)			(0.01	)			(0.02	)			(0.06	)			(0.06	)			(0.01	)			(0.02	)			(0.05	)			(0.05	)			(0.01	)
Net realized and unrealized gain (loss)			(0.11	)			0.34				0.71				0.27				(0.12	)			0.35				0.72				0.25				(0.12	)			0.34				0.72				0.54
Total from investment operations			(0.14	)			0.28				0.65				0.26				(0.14	)			0.29				0.66				0.24				(0.14	)			0.29				0.67				0.53
Less distributions to shareholders:
From net realized gains			(0.48	)			(0.95	)			(0.60	)			—				(0.48	)			(0.95	)			(0.60	)			—				(0.48	)			(0.95	)			(0.60	)			—
Total distributions			(0.48	)			(0.95	)			(0.60	)			—				(0.48	)			(0.95	)			(0.60	)			—				(0.48	)			(0.95	)			(0.60	)			—
Net asset value, end of period		$	9.29			$	9.91			$	10.58			$	10.53			$	9.32			$	9.94			$	10.60			$	10.54			$	9.32			$	9.94			$	10.60			$	10.53
Total Return(e)			(1.60	)%**			3.19	%			6.42	%			2.53	%**			(1.59	)%**			3.29	%			6.51	%			2.33	%**			(1.60	)%**			3.29	%			6.61	%			5.30	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	6,369			$	4,832			$	7,489			$	6,793			$	5,759			$	7,094			$	28,964			$	8,244			$	582,594			$	432,465			$	730,196			$	616,464
Net expenses to average daily net assets			0.60	%*			0.61	%(f)			0.60	%(f)(g)			0.60	%(f)(g)*			0.55	%*			0.55	%(f)			0.55	%(f)(g)			0.55	%(f)(g)*			0.51	%*			0.51	%(f)			0.51	%(f)(g)			0.51	%(f)(g)*
Net investment income (loss) to average daily net assets			(0.51	)%*			(0.58	)%			(0.57	)%			(0.56	)%*			(0.46	)%*			(0.53	)%			(0.52	)%			(0.51	)%*			(0.42	)%*			(0.49	)%			(0.48	)%			(0.46	)%*
Portfolio turnover rate			0	%**			112	%			0	%			0	%**			0	%**			112	%			0	%			0	%**			0	%**			112	%			0	%			0	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.04	%			0.05	%			0.08	%*			0.04	%*			0.03	%			0.05	%			0.07	%*			0.04	%*			0.03	%			0.05	%			0.10	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.05			$	0.00	(h)		$	0.01			$	0.01			$	0.02			$	0.00	(h)		$	0.00	(h)		$	0.01			$	0.04			$	0.00	(h)		$	0.02

^(a)  Period from December 14, 2012 (commencement of operations) through February 28, 2013.

^(b)  Period from December 17, 2012 (commencement of operations) through February 28, 2013.

^(c)  Period from November 15, 2012 (commencement of operations) through February 28, 2013.

^(d)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(e)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(f)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(g)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(h)  Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 73

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

TAX-MANAGED INTERNATIONAL EQUITIES FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	16.80			$	18.03			$	14.56			$	13.80			$	15.41			$	12.97
Income (loss) from investment operations:
Net investment income (loss)†(a)			0.31				0.47				0.57				0.39				0.43				0.30
Net realized and unrealized gain (loss)			(1.70	)			(1.05	)			3.37				0.83				(1.59	)			2.47
Total from investment operations			(1.39	)			(0.58	)			3.94				1.22				(1.16	)			2.77
Less distributions to shareholders:
From net investment income			(0.05	)			(0.65	)			(0.47	)			(0.46	)			(0.45	)			(0.33	)
Total distributions			(0.05	)			(0.65	)			(0.47	)			(0.46	)			(0.45	)			(0.33	)
Net asset value, end of period		$	15.36			$	16.80			$	18.03			$	14.56			$	13.80			$	15.41
Total Return(b)			(8.27	)%**			(3.10	)%			27.37	%			8.99	%			(7.35	)%			21.51	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	367,748			$	427,048			$	485,665			$	479,005			$	505,282			$	599,876
Net expenses to average daily net assets(c)			0.66	%*			0.66	%			0.66	%			0.67	%(d)			0.65	%(d)			0.65	%(d)
Net investment income (loss) to average daily net assets			3.65	%*			2.71	%			3.54	%			2.83	%			3.02	%			2.20	%
Portfolio turnover rate			30	%**			69	%			49	%			54	%			48	%			40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.11	%*			0.12	%			0.10	%			0.12	%			0.11	%			0.11	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

74 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

U.S. EQUITY ALLOCATION FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011								2015				2014				2013				2012				2011
Net asset value, beginning of period		$	16.61			$	17.27			$	14.51			$	13.06			$	12.00			$	10.57			$	16.58			$	17.24			$	14.48			$	13.04			$	11.98			$	10.55
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.12				0.28				0.28				0.26				0.22				0.18				0.13				0.29				0.29				0.27				0.22				0.18
Net realized and unrealized gain (loss)			(1.19	)			1.66				2.77				1.47				1.08				1.43				(1.20	)			1.66				2.77				1.46				1.08				1.43
Total from investment operations			(1.07	)			1.94				3.05				1.73				1.30				1.61				(1.07	)			1.95				3.06				1.73				1.30				1.61
Less distributions to shareholders:
From net investment income			(0.04	)			(0.31	)			(0.29	)			(0.28	)			(0.24	)			(0.18	)			(0.04	)			(0.32	)			(0.30	)			(0.29	)			(0.24	)			(0.18	)
From net realized gains			(0.66	)			(2.29	)			—				—				—				—				(0.66	)			(2.29	)			—				—				—				—
Total distributions			(0.70	)			(2.60	)			(0.29	)			(0.28	)			(0.24	)			(0.18	)			(0.70	)			(2.61	)			(0.30	)			(0.29	)			(0.24	)			(0.18	)
Net asset value, end of period		$	14.84			$	16.61			$	17.27			$	14.51			$	13.06			$	12.00			$	14.81			$	16.58			$	17.24			$	14.48			$	13.04			$	11.98
Total Return(b)			(6.61	)%**			12.18	%			21.11	%			13.40	%			11.00	%			15.42	%			(6.58	)%**			12.27	%			21.21	%			13.40	%			11.05	%			15.47	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	151,836			$	286,934			$	488,982			$	188,363			$	259,751			$	393,523			$	381,229			$	431,841			$	288,782			$	44,849			$	52,486			$	163,627
Net expenses to average daily net assets(c)			0.46	%*			0.46	%			0.46	%(d)			0.46	%(d)			0.46	%(d)			0.46	%(d)			0.41	%*			0.41	%			0.41	%(d)			0.41	%(d)			0.41	%(d)			0.41	%(d)
Net investment income (loss) to average daily net assets			1.51	%*			1.59	%			1.71	%			1.95	%			1.82	%			1.68	%			1.60	%*			1.63	%			1.75	%			2.01	%			1.88	%			1.68	%
Portfolio turnover rate			35	%**			67	%			74	%			79	%			61	%			96	%			35	%**			67	%			74	%			79	%			61	%			96	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.02	%			0.02	%			0.03	%			0.03	%			0.02	%*			0.02	%			0.02	%			0.02	%			0.03	%			0.03	%

	Class VI Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	16.54			$	17.21			$	14.47			$	13.02			$	11.97			$	10.54
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.13				0.30				0.30				0.28				0.23				0.20
Net realized and unrealized gain (loss)			(1.19	)			1.65				2.74				1.46				1.07				1.42
Total from investment operations			(1.06	)			1.95				3.04				1.74				1.30				1.62
Less distributions to shareholders:
From net investment income			(0.04	)			(0.33	)			(0.30	)			(0.29	)			(0.25	)			(0.19	)
From net realized gains			(0.66	)			(2.29	)			—				—				—				—
Total distributions			(0.70	)			(2.62	)			(0.30	)			(0.29	)			(0.25	)			(0.19	)
Net asset value, end of period		$	14.78			$	16.54			$	17.21			$	14.47			$	13.02			$	11.97
Total Return(b)			(6.52	)%**			12.28	%			21.14	%			13.56	%			11.06	%			15.59	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,843,419			$	6,031,361			$	7,082,304			$	1,249,117			$	1,095,053			$	1,129,978
Net expenses to average daily net assets(c)			0.37	%*			0.37	%			0.37	%(d)			0.37	%(d)			0.37	%(d)			0.37	%(d)
Net investment income (loss) to average daily net assets			1.64	%*			1.70	%			1.85	%			2.08	%			1.93	%			1.80	%
Portfolio turnover rate			35	%**			67	%			74	%			79	%			61	%			96	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%			0.02	%			0.02	%			0.03	%			0.03	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 75

GMO Trust Funds

Notes to Financial Statements

August 31, 2015 (Unaudited)

1. Organization

Each of Developed World Stock Fund, International Equity Fund, International Large/Mid Cap Equity Fund, International Small Companies Fund, Quality Fund, Resources Fund, Risk Premium Fund, Tax-Managed International Equities Fund and U.S. Equity Allocation Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO. The Funds may also invest in other GMO Funds (“underlying funds”).

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Principal Investment Objective
Developed World Stock Fund	MSCI World Index	High total return
International Equity Fund	MSCI EAFE Index	High total return
International Large/Mid Cap Equity Fund	MSCI EAFE Index	High total return
International Small Companies Fund	MSCI EAFE Small Cap Index	High total return
Quality Fund	Not Applicable	Total return
Resources Fund	MSCI ACWI Commodity Producers Index	Total return
Risk Premium Fund	Not Applicable	Total return
Tax-Managed International Equities Fund	MSCI EAFE Index (after tax)	High after-tax total return
U.S. Equity Allocation Fund	S&P 500 Index	High total return

Developed World Stock Fund, International Large/Mid Cap Equity Fund, International Small Companies Fund and Risk Premium Fund currently limit subscriptions.

Developed World Stock Fund, International Equity Fund, Quality Fund, Risk Premium Fund and U.S. Equity Allocation Fund are currently distributed in Switzerland. The distribution of shares in Switzerland will be exclusively made to, and directed at, qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended and its implementing ordinance.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. OTC derivatives are generally valued at the price determined by an industry standard model. Unlisted securities (including fixed income securities) for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees.

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Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2015, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2015. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use a quoted price from a prior day to value that security.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or short position.

As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or fair valued using inputs obtained from an independent pricing service. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2015 is as follows:

Securities and Derivatives

Fund Name	Fair valued using methods determined in good faith by or at the direction of the Trustees			Fair valued using inputs obtained from an independent pricing service (Net)
Developed World Stock Fund		<1%			51%
International Equity Fund		—			92%
International Large/Mid Cap Equity Fund		—			91%
International Small Companies Fund		0%	*		95%
Quality Fund		—			16%
Resources Fund		—			86%
Risk Premium Fund		—			—
Tax-Managed International Equities Fund		—			90%
U.S. Equity Allocation Fund		—			—

* Represents the interest in securities that were determined to have a value of zero at August 31, 2015.

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

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August 31, 2015 (Unaudited)

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). At August 31, 2015, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, certain U.S. government obligations, derivatives actively traded on a national securities exchange (such as some futures and options), and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

Level 3 – Valuations based primarily on inputs that are unobservable and significant.

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; and certain securities that are valued using a price from a comparable security related to the same issuer.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2015:

Description	Level 1		Level 2		Level 3		Total
Developed World Stock Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	2,042,458	$	—	$	2,042,458
Austria		—		828,664		—		828,664
Belgium		—		1,613,554		—		1,613,554
Brazil		—		74,690		—		74,690
Canada		19,172,389		—		—		19,172,389
China		9,989,344		5,364,756		—		15,354,100
Czech Republic		—		207,239		—		207,239
Denmark		—		1,489,593		—		1,489,593
Egypt		—		14,982		—		14,982
Finland		—		1,470,314		—		1,470,314
France		—		32,720,709		—		32,720,709
Germany		—		19,061,116		—		19,061,116
Hong Kong		—		703,314		—		703,314
Hungary		—		30,911		—		30,911
India		—		35,255		—		35,255
Indonesia		12,063		151,771		—		163,834
Ireland		—		483,790		—		483,790

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Description	Level 1		Level 2			Level 3			Total
Developed World Stock Fund (continued)
Asset Valuation Inputs (continued)
Israel	$	329,202	$	40,819		$	—		$	370,021
Italy		—		7,992,537			—			7,992,537
Japan		—		37,666,461			—			37,666,461
Mexico		10,979		—			—			10,979
Netherlands		—		3,479,846			—			3,479,846
Norway		—		2,464,576			—			2,464,576
Poland		—		162,707			—			162,707
Portugal		—		660,496			—			660,496
Russia		—		3,140,497			—			3,140,497
Singapore		—		271,751			—			271,751
South Africa		—		136,922			3			136,925
South Korea		—		4,395,179			—			4,395,179
Spain		—		9,101,272			—			9,101,272
Sweden		—		3,261,620			—			3,261,620
Switzerland		—		7,337,868			—			7,337,868
Taiwan		—		1,173,875			78,190			1,252,065
Thailand		—		88,766			—			88,766
Turkey		—		145,524			—			145,524
United Kingdom		—		45,679,806			—			45,679,806
United States		145,705,921		1,057,875			—			146,763,796
TOTAL COMMON STOCKS		175,219,898		194,551,513			78,193			369,849,604
Preferred Stocks
Brazil		—		167,299			—			167,299
Germany		—		1,812,669			—			1,812,669
Russia		—		2,037,992			—			2,037,992
South Korea		—		1,455,413			—			1,455,413
TOTAL PREFERRED STOCKS		—		5,473,373			—			5,473,373
Mutual Funds
United States		15,253,617		—			—			15,253,617
TOTAL MUTUAL FUNDS		15,253,617		—			—			15,253,617
Short-Term Investments		887,316		—			—			887,316
Total Investments		191,360,831		200,024,886			78,193			391,463,910
Total	$	191,360,831	$	200,024,886		$	78,193		$	391,463,910
Liability Valuation Inputs
Derivatives*
Futures Contracts
Equity Risk	$	—	$	(367,683	)	$	—		$	(367,683	)
Total	$	—	$	(367,683	)	$	—		$	(367,683	)
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	181,164,220		$	—		$	181,164,220
Austria		—		41,697,180			0	**		41,697,180
Belgium		—		113,800,373			—			113,800,373
Canada		652,320,254		—			—			652,320,254
Denmark		—		73,369,234			—			73,369,234
Finland		—		74,094,995			—			74,094,995
France		—		1,656,289,533			—			1,656,289,533
Germany		—		1,038,164,955			—			1,038,164,955

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August 31, 2015 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Hong Kong	$	—	$	120,015,857	$	—		$	120,015,857
Ireland		—		25,585,589		—			25,585,589
Israel		20,563,436		34,281,062		—			54,844,498
Italy		—		414,872,778		—			414,872,778
Japan		—		2,382,714,782		—			2,382,714,782
Malta		—		—		0	**		0	**
Netherlands		—		154,300,141		—			154,300,141
New Zealand		—		19,475,309		—			19,475,309
Norway		—		164,590,363		—			164,590,363
Portugal		—		29,244,138		—			29,244,138
Singapore		—		60,412,915		—			60,412,915
Spain		—		480,866,775		—			480,866,775
Sweden		—		170,510,013		—			170,510,013
Switzerland		—		293,075,902		—			293,075,902
United Kingdom		—		2,430,506,509		—			2,430,506,509
TOTAL COMMON STOCKS		672,883,690		9,959,032,623		0	**		10,631,916,313
Preferred Stocks
Germany		—		104,114,559		—			104,114,559
TOTAL PREFERRED STOCKS		—		104,114,559		—			104,114,559
Mutual Funds
United States		83,133,000		—		—			83,133,000
TOTAL MUTUAL FUNDS		83,133,000		—		—			83,133,000
Short-Term Investments		19,469,192		—		—			19,469,192
Total Investments		775,485,882		10,063,147,182		0	**		10,838,633,064
Total	$	775,485,882	$	10,063,147,182	$	0	**	$	10,838,633,064
International Large/Mid Cap Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	26,557,504	$	—		$	26,557,504
Austria		—		6,286,012		—			6,286,012
Belgium		—		16,166,803		—			16,166,803
Canada		110,052,022		—		—			110,052,022
Denmark		—		10,741,860		—			10,741,860
Finland		—		10,646,207		—			10,646,207
France		—		284,643,294		—			284,643,294
Germany		—		184,631,316		—			184,631,316
Hong Kong		—		18,538,287		—			18,538,287
Ireland		—		3,329,827		—			3,329,827
Israel		3,245,216		1,391,294		—			4,636,510
Italy		—		64,818,486		—			64,818,486
Japan		—		357,664,325		—			357,664,325
Malta		—		—		0	**		0	**
Netherlands		—		27,763,576		—			27,763,576
New Zealand		—		3,997,152		—			3,997,152
Norway		—		26,903,699		—			26,903,699
Portugal		—		5,155,847		—			5,155,847
Singapore		—		5,063,428		—			5,063,428
Spain		—		79,835,814		—			79,835,814
Sweden		—		25,223,809		—			25,223,809

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August 31, 2015 (Unaudited)

Description	Level 1		Level 2		Level 3			Total
International Large/Mid Cap Equity Fund (continued)
Asset Valuation Inputs (continued)
Switzerland	$	11,631	$	62,334,816	$	—		$	62,346,447
United Kingdom		—		428,426,957		—			428,426,957
TOTAL COMMON STOCKS		113,308,869		1,650,120,313		0	**		1,763,429,182
Preferred Stocks
Germany		—		16,444,160		—			16,444,160
TOTAL PREFERRED STOCKS		—		16,444,160		—			16,444,160
Mutual Funds
United States		21,970,000		—		—			21,970,000
TOTAL MUTUAL FUNDS		21,970,000		—		—			21,970,000
Short-Term Investments		6,391,878		—		—			6,391,878
Total Investments		141,670,747		1,666,564,473		—			1,808,235,220
Total	$	141,670,747	$	1,666,564,473	$	0	**	$	1,808,235,220
International Small Companies Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,035,829	$	—		$	1,035,829
Austria		—		1,142,215		—			1,142,215
Belgium		—		3,098,364		16			3,098,380
Brazil		—		341,276		—			341,276
Canada		7,584,555		—		—			7,584,555
China		—		5,594,947		475,602			6,070,549
Denmark		—		2,928,690		—			2,928,690
Finland		—		8,483,259		—			8,483,259
France		—		13,578,097		—			13,578,097
Germany		—		18,638,476		—			18,638,476
Greece		—		533,102		5,107			538,209
Hong Kong		—		2,399,447		—			2,399,447
Hungary		—		430,782		—			430,782
India		—		142,252		—			142,252
Indonesia		—		311,683		—			311,683
Ireland		—		1,237,788		—			1,237,788
Israel		—		862,791		—			862,791
Italy		—		11,846,612		—			11,846,612
Japan		—		62,933,679		—			62,933,679
Netherlands		—		6,549,775		—			6,549,775
Norway		—		1,034,073		—			1,034,073
Philippines		—		181,623		—			181,623
Poland		—		1,045,863		—			1,045,863
Portugal		—		1,450,211		—			1,450,211
Russia		—		991,366		—			991,366
Singapore		—		597,409		—			597,409
South Africa		—		1,674,720		—			1,674,720
South Korea		—		4,676,418		—			4,676,418
Spain		—		4,311,092		—			4,311,092
Sweden		—		12,263,617		—			12,263,617
Switzerland		—		89,708		—			89,708
Taiwan		—		3,315,333		—			3,315,333
Thailand		—		276,535		—			276,535

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Description	Level 1		Level 2		Level 3		Total
International Small Companies Fund (continued)
Asset Valuation Inputs (continued)
Turkey	$	—	$	820,468	$	—	$	820,468
United Kingdom		—		77,984,337		—		77,984,337
TOTAL COMMON STOCKS		7,584,555		252,801,837		480,725		260,867,117
Preferred Stocks
Brazil		—		1,529,301		—		1,529,301
Germany		—		1,027,190		—		1,027,190
TOTAL PREFERRED STOCKS		—		2,556,491		—		2,556,491
Rights/Warrants
Malaysia		563		—		—		563
TOTAL RIGHTS/WARRANTS		563		—		—		563
Mutual Funds
United States		5,226,207		—		—		5,226,207
TOTAL MUTUAL FUNDS		5,226,207		—		—		5,226,207
Short-Term Investments		596,659		—		—		596,659
Total Investments		13,407,984		255,358,328		480,725		269,247,037
Total	$	13,407,984	$	255,358,328	$	480,725	$	269,247,037
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—	$	54,665,178	$	—	$	54,665,178
Germany		—		25,132,853		—		25,132,853
Japan		—		129,593,969		—		129,593,969
Netherlands		—		100,682,409		—		100,682,409
South Korea		—		44,311,807		—		44,311,807
Switzerland		—		224,451,538		—		224,451,538
United Kingdom		—		801,287,274		—		801,287,274
United States		6,909,882,988		—		—		6,909,882,988
TOTAL COMMON STOCKS		6,909,882,988		1,380,125,028		—		8,290,008,016
Mutual Funds
United States		87,740,000		—		—		87,740,000
TOTAL MUTUAL FUNDS		87,740,000		—		—		87,740,000
Short-Term Investments		6,621,575		—		—		6,621,575
Total Investments		7,004,244,563		1,380,125,028		—		8,384,369,591
Total	$	7,004,244,563	$	1,380,125,028	$	—	$	8,384,369,591
Resources Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	10,877,728	$	—	$	10,877,728
Austria		—		1,493,684		—		1,493,684
Belgium		—		151,032		—		151,032
Brazil		—		1,941,016		—		1,941,016
Canada		5,131,382		—		—		5,131,382
Chile		—		1,015,227		—		1,015,227
China		—		1,503,179		—		1,503,179
Colombia		914,037		—		—		914,037

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Description	Level 1		Level 2		Level 3		Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Czech Republic	$	—	$	2,476,179	$	—	$	2,476,179
Denmark		—		130,015		—		130,015
France		—		12,155,808		—		12,155,808
Germany		—		1,761,339		—		1,761,339
Greece		—		73,791		—		73,791
Hungary		—		984,662		—		984,662
India		—		3,050,879		—		3,050,879
Indonesia		—		255,300		—		255,300
Israel		—		292,867		—		292,867
Italy		—		13,835,383		—		13,835,383
Japan		—		15,470,285		—		15,470,285
Luxembourg		90,061		—		—		90,061
Malaysia		—		1,652,314		—		1,652,314
Netherlands		—		1,060,084		—		1,060,084
New Zealand		—		56,374		—		56,374
Norway		—		11,795,920		—		11,795,920
Philippines		—		188,388		—		188,388
Poland		—		2,614,509		—		2,614,509
Portugal		—		257,133		—		257,133
Qatar		—		7,154		—		7,154
Russia		—		22,918,715		—		22,918,715
Singapore		—		642,571		—		642,571
South Africa		—		8,235,984		—		8,235,984
South Korea		—		760,500		—		760,500
Spain		—		9,196,348		—		9,196,348
Sweden		—		1,344,129		—		1,344,129
Switzerland		—		1,982,398		—		1,982,398
Taiwan		—		181,537		—		181,537
Thailand		—		3,579,783		—		3,579,783
Turkey		—		768,774		—		768,774
United Kingdom		—		36,471,256		12,201		36,483,457
United States		13,726,183		—		—		13,726,183
TOTAL COMMON STOCKS		19,861,663		171,182,245		12,201		191,056,109
Preferred Stocks
Brazil		—		1,606,439		—		1,606,439
Chile		—		801,347		—		801,347
TOTAL PREFERRED STOCKS		—		2,407,786		—		2,407,786
Mutual Funds
United States		4,831,400		—		—		4,831,400
TOTAL MUTUAL FUNDS		4,831,400		—		—		4,831,400
Short-Term Investments		3,777,245		—		—		3,777,245
Total Investments		28,470,308		173,590,031		12,201		202,072,540
Derivatives*
Futures Contracts
Equity Risk		—		3,815		—		3,815
Total	$	28,470,308	$	173,593,846	$	12,201	$	202,076,355

83

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
Resources Fund (continued)
Liability Valuation Inputs
Derivatives*
Futures Contracts
Equity Risk	$	(110	)	$	—		$	—		$	(110	)
Risk Premium Fund
Short-Term Investments	$	600,403,938		$	—		$	—		$	600,403,938
Total Investments		600,403,938			—			—			600,403,938
Total	$	600,403,938		$	—		$	—		$	600,403,938
Liability Valuation Inputs
Derivatives*
Written Options
Equity Risk	$	(6,653,850	)	$	(11,907,584	)	$	—		$	(18,561,434	)
Total	$	(6,653,850	)	$	(11,907,584	)	$	—		$	(18,561,434	)
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	2,346,974		$	—		$	2,346,974
Austria		—			1,071,340			0	**		1,071,340
Belgium		—			5,610,068			—			5,610,068
Canada		15,873,788			—			—			15,873,788
China		9,613,848			1,450,375			—			11,064,223
Denmark		—			1,336,908			—			1,336,908
Finland		—			3,148,418			—			3,148,418
France		—			51,378,932			18			51,378,950
Germany		—			29,635,764			—			29,635,764
Ireland		—			963,441			—			963,441
Israel		858,110			1,354,469			—			2,212,579
Italy		—			22,575,637			—			22,575,637
Japan		—			65,260,624			—			65,260,624
Malta		—			—			0	**		0	**
Netherlands		—			4,820,701			—			4,820,701
New Zealand		—			644,813			—			644,813
Norway		—			4,635,046			—			4,635,046
Portugal		—			1,049,986			—			1,049,986
Russia		—			6,980,323			—			6,980,323
Singapore		—			893,344			—			893,344
South Korea		—			2,939,951			—			2,939,951
Spain		—			20,466,920			—			20,466,920
Sweden		—			3,952,091			—			3,952,091
Switzerland		—			7,643,344			—			7,643,344
Taiwan		—			147,249			—			147,249
United Kingdom		—			81,087,516			—			81,087,516
TOTAL COMMON STOCKS		26,345,746			321,394,234			18			347,739,998
Preferred Stocks
Germany		—			4,081,167			—			4,081,167
Russia		—			2,091,914			—			2,091,914
South Korea		—			2,570,190			—			2,570,190
TOTAL PREFERRED STOCKS		—			8,743,271			—			8,743,271

84

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	12,601,170	$	—	$	—	$	12,601,170
TOTAL MUTUAL FUNDS		12,601,170		—		—		12,601,170
Short-Term Investments		1,267,030		—		—		1,267,030
Total Investments		40,213,946		330,137,505		18		370,351,469
Total	$	40,213,946	$	330,137,505	$	18	$	370,351,469
U.S. Equity Allocation Fund
Asset Valuation Inputs
Common Stocks	$	5,228,480,476	$	—	$	—	$	5,228,480,476
Mutual Funds		112,281,000		—		—		112,281,000
Short-Term Investments		4,507,637		—		—		4,507,637
Total Investments		5,345,269,113		—		—		5,345,269,113
Total	$	5,345,269,113	$	—	$	—	$	5,345,269,113

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

* The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value.

** Represents the interest in securities that were determined to have a value of zero at August 31, 2015.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.

For all Funds for the period ended August 31, 2015, there were no significant transfers between Level 1 and Level 2.

85

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2015		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciaţion)			Transfer into Level 3*			Transfer out of Level 3*		Balances as of August 31, 2015		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2015
Developed World Stock Fund
Common Stocks
South Africa	$	4	$	—	$	—		$	—	$	—		$	(1	)	$	—		$	—	$	3	$	(1	)
Taiwan		585,474		—		(482,129	)		—		55,559			(80,714	)		—			—		78,190		(30,774	)
Total	$	585,478	$	—	$	(482,129	)	$	—	$	55,559		$	(80,715	)	$	—		$	—	$	78,193	$	(30,775	)
International Large/MidCap Equity Fund
Common Stocks
Hong Kong	$	—	$	684,473	$	(1,190,025	)	$	—	$	505,552		$	—		$	—		$	—	$	—	$	—
Netherlands		—		—		—			—		(1,910,366	)		1,910,366			—			—		—		—
Total	$	—	$	684,473	$	(1,190,025	)	$	—	$	(1,404,814	)	$	1,910,366		$	—		$	—	$	—	$	—
International Small Companies Fund
Common Stocks
Belgium	$	16	$	—	$	—		$	—	$	—		$	—		$	—		$	—	$	16	$	—
China		—		—		—			—		—			—			475,602	**		—		475,602		—
Greece		5,093		—		—			—		—			14			—			—		5,107		14
Netherlands		—		—		—			—		(277,641	)		277,641			—			—		—		—
Total	$	5,109	$	—	$	—		$	—	$	(277,641	)	$	277,655		$	475,602		$	—	$	480,725	$	14
Resources Fund
Common Stocks
United Kingdom	$	—	$	41,371	$	—		$	—	$	—		$	(29,170	)	$	—		$	—	$	12,201	$	(29,170	)
Total	$	—	$	41,371	$	—		$	—	$	—		$	(29,170	)	$	—		$	—	$	12,201	$	(29,170	)
Tax-Managed International Equities Fund
Common Stocks
France	$	18	$	—	$	—		$	—	$	—		$	—		$	—		$	—	$	18	$	—
Total	$	18	$	—	$	—		$	—	$	—		$	—		$	—		$	—	$	18	$	—

* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs.

86

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

The net aggregate direct and indirect exposure to investments in securities using Level 3 inputs (based on each Fund’s net assets) as of August 31, 2015 were as follows:

Fund Name	Level 3 securities
Developed World Stock Fund		<1%
International Equity Fund		0%	*
International Large/Mid Cap Equity Fund		<1%
International Small Companies Fund		<1%
Quality Fund		—
Resources Fund		<1%
Risk Premium Fund		—
Tax-Managed International Equities Fund		<1%
U.S. Equity Allocation Fund		—

* Represents the interest in securities that were determined to have a value of zero at August 31, 2015.

Cash

Cash and foreign currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Taxes and distributions

Each Fund has elected to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2015, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

Certain Funds have filed for additional reclaims related to foreign taxes withheld in prior years, based on interpretations of European Union tax principals. Generally, to the extent a Fund reasonably determines that such additional tax reclaims are collectible and free from significant contingencies, the amounts are reflected as Dividends from unaffiliated issuers in the Statement of Operations.

87

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Foreign taxes paid by each Fund may be treated, to the extent permissible under the Code and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.

As of February 28, 2015, certain Funds elected to defer to March 1, 2015 late year ordinary losses and post-October capital. The Funds’ loss deferrals are losses as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post- October Capital Losses ($)
Developed World Stock Fund		—		—
International Equity Fund		—		(50,746,739)
International Large/Mid Cap Equity Fund		—		(11,104,097)
International Small Companies Fund		—		(797,444)
Quality Fund		—		—
Resources Fund		(79,524)		(4,554,961)
Risk Premium Fund		(269,551)		—
Tax-Managed International Equities Fund		—		(10,868,814)
U.S. Equity Allocation Fund		—		—

As of February 28, 2015, certain Funds had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2015, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

	Short-Term ($)				Total Short- Term ($)		Long- Term ($)
Fund Name	Expiration Date 2/28/2018		Expiration Date 2/28/2019				No Expiration Date
Developed World Stock Fund		—		—		—		—
International Equity Fund		—		—		—		—
International Large/Mid Cap Equity Fund		(215,593,848)		(47,181,759)		(262,775,607)		—
International Small Companies Fund		—		—		—		—
Quality Fund		—		—		—		—
Resources Fund		—		—		—		—
Risk Premium Fund		—		—		—		—
Tax-Managed International Equities Fund		(10,176,681)		—		(10,176,681)		—
U.S. Equity Allocation Fund		(149,235,823)		—		(149,235,823)		—

88

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

As of August 31, 2015, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Developed World Stock Fund		408,998,079		23,692,331		(41,226,500)		(17,534,169)
International Equity Fund		11,868,891,326		410,684,135		(1,440,942,397)		(1,030,258,262)
International Large/Mid Cap Equity Fund		1,998,180,340		56,956,392		(246,901,512)		(189,945,120)
International Small Companies Fund		292,769,458		23,699,966		(47,222,387)		(23,522,421)
Quality Fund		8,011,770,519		754,303,396		(381,704,324)		372,599,072
Resources Fund		255,324,002		1,056,446		(54,307,908)		(53,251,462)
Risk Premium Fund		600,423,209		38,859		(58,130)		(19,271)
Tax-Managed International Equities Fund		338,900,121		60,009,964		(28,558,616)		31,451,348
U.S. Equity Allocation Fund		5,403,405,654		414,510,004		(472,646,545)		(58,136,541)

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., guidance pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent except for Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund. For Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund, State Street Bank and Trust Company (“State Street”) serves as the custodian and fund accounting agent. State Street serves as the transfer agent for all Funds. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Effective January 1, 2014, any cash balances maintained at the transfer

89

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Prior to December 31, 2012 for Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance the Funds maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013 for Quality Fund, U.S. Equity Allocation Fund and Risk Premium Fund, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.

Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when a Fund uses portfolio securities to redeem its shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.

As of August 31, 2015, the premium on cash purchases and the fee on cash redemptions were as follows:

	Developed World Stock Fund	International Equity Fund	International Large/Mid Cap Equity Fund	International Small Companies Fund	Quality Fund	Resources Fund	Risk Premium Fund	Tax- Managed International Equities Fund	U.S. Equity Allocation Fund
Purchase Premium	0.25%	—	—	0.50%	—	0.30%	0.15%	—	—
Redemption Fee	0.25%	—	—	0.50%	—	0.30%	0.15%	—	—

Recently-issued accounting guidance

In June 2014, the Financial Accounting Standards Board (“FASB”) issued Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for annual financial statements with fiscal years beginning on or after December 15, 2014. GMO is evaluating the impact, if any, of this guidance on the Funds’ financial statements.

90

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

3. Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times:

	Developed World Stock Fund	International Equity Fund	International Large/Mid Cap Equity Fund	International Small Companies Fund	Quality Fund	Resources Fund	Risk Premium Fund	Tax- Managed International Equities Fund	U.S. Equity Allocation Fund
Market Risk – Equities	X	X	X	X	X	X	X	X	X
Market Risk – Fixed Income Investments							X
Credit Risk							X
Illiquidity Risk	X	X	X	X	X	X	X	X	X
Smaller Company Risk	X	X		X	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X	X	X	X
Currency Risk	X	X	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X	X		X	X
Counterparty Risk	X	X	X	X	X	X	X	X	X
Commodities Risk						X
Merger Arbitrage Risk							X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X	X	X	X
Non-Diversified Funds	X				X	X	X	X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

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• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Equities — Funds that invest in equities run the risk that the market prices of equities will decline. That decline may be attributable to factors affecting the issuing company, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and their market prices can decline in a rapid or unpredictable manner. If a Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that their market price will not appreciate or will decline for a variety of reasons, one of which may be GMO’s incorrect assessment of their intrinsic value. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

Because of Risk Premium Fund’s emphasis on selling put options on stock indices, its net asset value is expected to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform the equity markets on which its puts were written when those markets rise sharply because of the Fund’s lack of exposure to the upside of those markets.

Fixed Income Investments — Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities, and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. Some fixed income securities also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, and the market price of the Fund’s investment may decrease. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade securities are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” below for more information about these risks.

A risk run by each Fund with a significant investment in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income securities with longer durations. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.

The extent to which a fixed income security’s price changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because the investment’s fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate securities, however, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate securities have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate securities when interest rates rise but outperform them when interest rates decline. Fixed income securities paying no interest, such as zero coupon and principal-only securities, are subject to additional interest rate risk.

The market price of inflation-indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.

Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management fees.

Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk” below.

In response to government intervention, economic or market developments, or other factors, fixed income markets may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value

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during such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have a material adverse effect on the Funds.

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

All fixed income securities are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation, a government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s ability and willingness to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.

In many cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that the investment’s rating will be downgraded.

Securities issued by the U.S. government historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and have introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the value of a Fund’s investments and could increase the volatility of a Fund’s portfolio.

The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” below for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income security changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or a change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

Credit risk is particularly pronounced for below investment grade securities (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade securities have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted debt securities generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that can lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses to seek recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt security proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular

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securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, TIPS have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

Risk Premium Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. In addition, that market may not be liquid when Risk Premium Fund seeks to close out an option position. Also, the hours of trading for options on an exchange may not conform to the hours during which the securities held by Risk Premium Fund are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for underlying securities that are not immediately reflected in the options markets. If Risk Premium Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.

• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of being unable to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.

The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.

Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result,

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incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk” above) and counterparty risk (see “Counterparty Risk” below). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” below for a discussion of risks specific to commodity-related derivatives. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk” below.

A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.

Transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk” below). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund

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may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

The U.S. government and the European Union have proposed mandatory minimum margin requirements for bilateral derivatives. Such requirements could increase the amount of margin required to be provided by a Fund in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees as to cover the costs of additional capital requirements and other regulatory changes applicable to the clearing members, and when rules imposing mandatory minimum margin requirements on bilateral swaps become effective. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. The Funds, particularly Risk Premium Fund, are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO will likely constitute such a group. If applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s income to consist of net short-term capital gain, which, when distributed, is taxable to shareholders subject to U.S. income tax at ordinary income tax rates.

Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically

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unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds that only invest in U.S. securities. Non-U.S. securities markets often include securities of only a small number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments, (ii) transactions in those investments, and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund is not predictable, and some refunds may not be reflected in a Fund’s net asset value.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).

The Funds need a license to invest directly in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the foreign currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk” below.

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Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk” above.

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are strongly correlated are subject to greater overall risk than funds with investments that are more diversified.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.

Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country (e.g., Taiwan or Japan) or market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.

Because Resources Fund concentrates its investments in the natural resources sector, it is particularly exposed to adverse developments, including adverse price movements, affecting issuers in the natural resources sector and is subject to greater risks than a fund that invests in a wider range of industries. In addition, the market prices of securities of companies in the natural resources sector may be more volatile than those of securities of companies in other industries. Some of the commodities used as raw materials or produced by these companies are subject to broad price fluctuations as a result of industry-wide supply and demand factors. Companies in the natural resources sector often have limited pricing power over the supplies they purchase and the products they sell, which can affect their profitability. Companies in the natural resources sector may also be subject to special risks associated with natural or man-made disasters. In addition, the natural resources sector can be especially affected by political and economic developments, government regulations including changes in tax law or interpretations of law, energy conservation, and the success of exploration projects. Specifically, the natural resource sector can be significantly affected by import controls, worldwide competition, changes in consumer sentiment and spending, and can be subject to liability for, among other things, environmental damage, depletion of resources, and mandated expenditures for safety and pollution control. Resources Fund’s concentration in the securities of natural resources companies exposes it to the price movements of natural resources to a greater extent than if it were more broadly diversified. Because Resources Fund invests primarily in the natural resources sector, it runs the risk of performing poorly during an economic downturn or decline in demand for natural resources.

Because Risk Premium Fund can have substantial exposure through a limited number of options contracts and because the Fund’s exposures may relate to relatively few stock indices, the Fund is subject to focused investment risk.

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.

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• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required. To the extent that GMO’s view with respect to a particular counterparty changes adversely (whether due to external events or otherwise), a Fund’s existing transactions with that counterparty will not necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.

Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system.

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the net asset value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” above for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• MERGER ARBITRAGE RISK. Some Funds may engage in transactions in which a Fund purchases securities at prices below the value of the consideration GMO expects to be paid for them upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price may substantially exceed the market price of the securities before the announcement of the transaction.

If a Fund engages in a merger arbitrage transaction and that transaction later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market prices of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric — the losses in failed transactions often far exceeding the gains in successful transactions. A merger arbitrage transaction can fail for many reasons, including regulatory and antitrust restrictions, political motivations, industry weakness, stock specific events, failed financings, and general market declines.

Merger arbitrage strategies depend for success on the overall volume of merger activity, which has historically been cyclical. When merger activity is low, GMO may be unable to identify enough opportunities to provide sufficient diversification. Merger arbitrage strategies are subject

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to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage transaction may not perform as expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund that sells securities short that GMO expects it to receive upon consummation of a transaction but it does not actually receive (and thus has an unintended ‘naked” short position) may be required to cover its short position at a time when the securities shold short have appreciated in value, thus resulting in a loss.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries, which could significantly reduce the value of a Fund’s investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or reduce the value of investments traded in them, including investments of the Funds. While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could adversely affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If one or more country changes its currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely affect the Funds. War, terrorism, economic uncertainty, and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Additionally, redemptions by a large shareholder also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. In addition, to the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds GMO uses quantitative analyses and models as part of its investment process. All models support portfolio decisions but are not necessarily predictive of future market events. These analyses and models also make simplifying assumptions that may limit their effectiveness. In addition, there are limitations (e.g., inaccuracies, staleness) on the data available for analysis or manipulation by the models. Any of those assumptions and/or limitations could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment may be wrong.

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There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from potential investment gains or avoiding losses. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, such plans and systems are subject to inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”

The following Funds are not diversified investment companies within the meaning of the 1940 Act:

• Developed World Stock Fund

• Quality Fund

• Resources Fund

• Risk Premium Fund

• Tax-Managed International Equities Fund

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in attempting to respond to adverse market, economic, political or other conditions. The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

4. Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund

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might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

The Funds may have investment exposures in excess of their net assets (i.e., they may be leveraged). While GMO expects that Risk Premium Fund’s option positions typically will be fully collateralized at the time when the Fund is selling them, from time to time the Fund may have investment exposures in excess of its net assets (i.e., it may be leveraged). For example, if Risk Premium Fund receives a redemption request and is unable to close out an option it had sold, the Fund may temporarily have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. Risk Premium Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.

For Funds that held derivatives during the period ended August 31, 2015, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Developed World Stock Fund

International Equity Fund

International Large/Mid Cap Equity Fund

International Small Companies Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

Futures contracts

Adjust exposure to certain securities markets

X

X

Options (Written)

Substitute for direct equity investment

X

Rights and/or warrants

Received as a result of corporate actions

X

X

X

X

X

X

Forward currency contracts

The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.

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These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.

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For the period ended August 31, 2015, investment activity in options contracts written by the Funds was as follows:

	Puts								Calls
	Principal Amount of Contracts		Number of Contracts			Premiums			Principal Amount of Contracts		Number of Contracts		Premiums
Risk Premium Fund
Outstanding, beginning of period		—		8,152		$	9,022,610			—		—	$	—
Options written		—		83,242			103,928,372			—		—		—
Options bought back		—		(54,306	)		(67,454,520	)		—		—		—
Options expired		—		(26,073	)		(28,691,928	)		—		—		—
Options exercised		—		—			—			—		—		—
Outstanding, end of period		—		11,015		$	16,804,534			—		—	$	—

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on

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the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the valuations of derivative instruments categorized by risk exposure:

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2015 and the Statements of Operations for the period ended August 31, 2015^:

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Developed World Stock Fund
Liabilities:
Unrealized Depreciation on Futures Contracts*	$	—	$	(367,683	)	$	—	$	—	$	—	$	(367,683	)
Total	$	—	$	(367,683	)	$	—	$	—	$	—	$	(367,683	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(367,683	)	$	—	$	—	$	—	$	(367,683	)

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	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Developed World Stock Fund (continued)
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	(109	)	$	—	$	—	$	—	$	(109	)
Futures Contracts		—		(175	)		—		—		—		(175	)
Total	$	—	$	(284	)	$	—	$	—	$	—	$	(284	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	(75	)	$	—	$	—	$	—	$	(75	)
Futures Contracts		—		(367,683	)		—		—		—		(367,683	)
Total	$	—	$	(367,758	)	$	—	$	—	$	—	$	(367,758	)
International Equity Fund
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	1,972		$	—	$	—	$	—	$	1,972
Total	$	—	$	1,972		$	—	$	—	$	—	$	1,972
International Large/Mid Cap Equity Fund
Assets:
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	(366	)	$	—	$	—	$	—	$	(366	)
Total	$	—	$	(366	)	$	—	$	—	$	—	$	(366	)
International Small Companies Fund
Assets:
Investments, at value (rights and/or warrants)	$	—	$	563		$	—	$	—	$	—	$	563
Total	$	—	$	563		$	—	$	—	$	—	$	563
Derivatives not subject to Master Agreements	$	—	$	563		$	—	$	—	$	—	$	563
Total subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	(2,113	)	$	—	$	—	$	—	$	(2,113	)
Total	$	—	$	(2,113	)	$	—	$	—	$	—	$	(2,113	)
Resources Fund
Assets:
Unrealized Appreciation on Futures Contracts*	$	—	$	3,815		$	—	$	—	$	—	$	3,815
Total	$	—	$	3,815		$	—	$	—	$	—	$	3,815
Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	3,815		$	—	$	—	$	—	$	3,815

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	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Resources Fund (continued)
Liabilities:
Unrealized Depreciation on Futures Contracts*	$	—	$	(110	)	$	—		$	—	$	—	$	(110	)
Total	$	—	$	(110	)	$	—		$	—	$	—	$	(110	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(110	)	$	—		$	—	$	—	$	(110	)
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	5,994		$	—		$	—	$	—	$	5,994
Forward Currency Contracts		—		—			(119,825	)		—		—		(119,825	)
Futures Contracts		—		(156	)		—			—		—		(156	)
Total	$	—	$	5,838		$	(119,825	)	$	—	$	—	$	(113,987	)
Change in Net Unrealized Appreciation (Depreciation) on:
Futures Contracts	$	—	$	3,705		$	—		$	—	$	—	$	3,705
Total	$	—	$	3,705		$	—		$	—	$	—	$	3,705
Risk Premium Fund
Liabilities:
Written Options, at value	$	—	$	(18,561,434	)	$	—		$	—	$	—	$	(18,561,434	)
Total	$	—	$	(18,561,434	)	$	—		$	—	$	—	$	(18,561,434	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(18,561,434	)	$	—		$	—	$	—	$	(18,561,434	)
Net Realized Gain (Loss) on:
Written Options	$	—	$	6,940,836		$	—		$	—	$	—	$	6,940,836
Total	$	—	$	6,940,836		$	—		$	—	$	—	$	6,940,836
Change in Net Unrealized Appreciation (Depreciation) on:
Written Options	$	—	$	(7,898,112	)	$	—		$	—	$	—	$	(7,898,112	)
Total	$	—	$	(7,898,112	)	$	—		$	—	$	—	$	(7,898,112	)
Tax-Managed International Equities Fund
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	(1	)	$	—		$	—	$	—	$	(1	)
Total	$	—	$	(1	)	$	—		$	—	$	—	$	(1	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	26		$	—		$	—	$	—	$	26
Total	$	—	$	26		$	—		$	—	$	—	$	26

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

* The table includes cumulative appreciation/depreciation of futures and cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

The Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there

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is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investment and other risks” above.

For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2015, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2015:

Risk Premium Fund

Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Morgan Stanley & Co. International PLC	$	18,561,434	$	(18,561,434	)	$	—	$	—	*
Total	$	18,561,434	$	(18,561,434	)	$	—	$	—

* In some instances, the actual collateral received and/or pledged may be more than the amount shown.

The average derivative activity of unrealized appreciation/depreciation (futures contracts), market values (rights and/or warrants) or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2015:

Fund Name	Futures Contracts ($)		Options (Contracts)		Rights and/or Warrants ($)
Developed World Stock Fund		1,328,403		—		14,450
International Equity Fund		—		—		947,655
International Large/Mid Cap Equity Fund		—		—		141,722
International Small Companies Fund		—		—		28,867
Resources Fund		902,082		—		16,498
Risk Premium Fund		—		9,212		—
Tax-Managed International Equities Fund		—		—		24,203

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5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Developed World Stock Fund	International Equity Fund	International Large/Mid Cap Equity Fund	International Small Companies Fund	Quality Fund	Resources Fund	Risk Premium Fund	Tax-Managed International Equities Fund	U.S. Equity Allocation Fund
Management Fee	0.45%	0.50%	0.38%	0.60%	0.33%	0.50%	0.45%	0.50%	0.31%

In addition, each class of shares of certain Funds (except Class M shares of International Equity Fund and U.S. Equity Allocation Fund which liquidated on March 27, 2013 and January 31, 2013, respectively)) pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class M shares of a Fund pay GMO an administration fee, which is used by GMO to defray its expenses (or the expenses of a third-party) in providing administration and record keeping services to certain marketplaces where Class M shares of each Fund may be purchased. GMO may pay part or all of the administration fee to third parties for providing administration and record keeping services. In some cases, these third parties also receive compensation from the Fund’s distributor pursuant to the Trust’s Distribution and Service (12b-1) Plan. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

Fund Name	Class II		Class III		Class IV		Class V			Class VI
Developed World Stock Fund				0.15%		0.10%
International Equity Fund		0.22%		0.15%		0.09%
International Large/Mid Cap Equity Fund				0.15%		0.09%					0.055%
International Small Companies Fund				0.15%
Quality Fund				0.15%		0.105%		0.085%			0.055%
Resources Fund				0.15%		0.10%		0.085%	*		0.055%	*
Risk Premium Fund				0.15%		0.10%		0.085%	*		0.055%
Tax-Managed International Equities Fund				0.15%
U.S. Equity Allocation Fund				0.15%		0.10%		0.085%	*		0.055%

* Class is offered but has no shareholders as of August 31, 2015.

For each Fund other than Resources Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. For Resources Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets.

“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

For each Fund that pays GMO a management fee, GMO contractually has agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

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For each Fund that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

These contractual waivers and reimbursements will continue through at least June 30, 2016 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2015 is shown in the table below and included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Developed World Stock Fund		2,576		368
International Equity Fund		73,416		8,096
International Large/Mid Cap Equity Fund		10,672		1,104
International Small Companies Fund		1,656		184
Quality Fund		56,856		6,256
Resources Fund		936		—
Risk Premium Fund		2,392		184
Tax-Managed International Equities Fund		2,208		184
U.S. Equity Allocation Fund		38,640		4,232

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2015 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Total Indirect Expenses
Developed World Stock Fund		< 0.001%		0.000%		< 0.001%
International Equity Fund		< 0.001%		0.000%		< 0.001%
International Large/Mid Cap Equity Fund		< 0.001%		0.000%		< 0.001%
International Small Companies Fund		< 0.001%		0.000%		< 0.001%
Quality Fund		< 0.001%		0.000%		< 0.001%
Resources Fund		< 0.001%		0.000%		< 0.001%
Tax-Managed International Equities Fund		< 0.001%		0.000%		< 0.001%
U.S. Equity Allocation Fund		< 0.001%		0.000%		< 0.001%

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6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2015 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Developed World Stock Fund		—		173,730,993		—		197,714,290
International Equity Fund		—		3,715,512,676		—		4,759,256,693
International Large/Mid Cap Equity Fund		—		769,653,216		—		708,603,603
International Small Companies Fund		—		113,579,054		—		106,413,161
Quality Fund		—		1,921,720,076		—		3,072,634,628
Resources Fund		—		185,679,859		—		96,054,761
Tax-Managed International Equities Fund		—		119,409,585		—		133,716,094
U.S. Equity Allocation Fund		—		2,125,179,542		—		3,061,613,184

7. Guarantees

In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

8. Principal shareholders and related parties as of August 31, 2015

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers		Percentage of the Fund’s shares held by accounts for which GMO has investment discretion
Developed World Stock Fund		3			93.17%		0.04%		—
International Equity Fund		2	*		24.76%		0.06%		87.82%
International Large/Mid Cap Equity Fund		2			24.28%		< 0.01%		—
International Small Companies Fund		3			68.67%		0.09%		—
Quality Fund		—			—		0.33%		—
Resources Fund		1			77.48%		8.34%		6.47%
Risk Premium Fund		4	**		92.43%		0.01%		99.94%
Tax-Managed International Equities Fund		2			28.15%		1.13%		—
U.S. Equity Allocation Fund		5	***		66.15%		< 0.01%		90.75%

* One of the shareholders is another fund of the Trust.

** Three of the shareholders are other funds of the Trust.

*** Four of the shareholders are other funds of the Trust.

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9. Share transactions

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds shares were as follows:

	Six Months Ended August 31, 2015 (Unaudited)						Year Ended February 28, 2015
	Shares			Amount			Shares			Amount
Developed World Stock Fund
Class III:
Shares issued to shareholders in reinvestment of distributions		31,667		$	756,834			118,091		$	2,816,569
Shares repurchased		(1,013,295	)		(25,118,919	)		(765,360	)		(19,097,744	)
Purchase premiums		—			7			—			—
Redemption fees		—			29,705			—			8,330
Net increase (decrease)		(981,628	)	$	(24,332,373	)		(647,269	)	$	(16,272,845	)
Class IV:
Shares sold		331		$	8,160			—		$	—
Shares issued to shareholders in reinvestment of distributions		90,480			2,163,371			326,763			7,796,353
Shares repurchased		(43	)		(1,091	)		—			—
Purchase premiums		—			14			—			—
Redemption fees		—			58,660			—			13,850
Net increase (decrease)		90,768		$	2,229,114			326,763		$	7,810,203
International Equity Fund
Class II:
Shares sold		—		$	—			459,567		$	11,256,074
Shares issued to shareholders in reinvestment of distributions		14,143			316,528			386,585			8,724,449
Shares repurchased		(761,255	)		(18,171,425	)		(1,105,829	)		(28,050,318	)
Net increase (decrease)		(747,112	)	$	(17,854,897	)		(259,677	)	$	(8,069,795	)
Class III:
Shares sold		810,662		$	18,837,710			19,644,802		$	470,303,280
Shares issued to shareholders in reinvestment of distributions		183,757			4,158,431			3,941,139			90,225,201
Shares repurchased		(15,906,685	)		(367,423,207	)		(18,140,767	)		(466,254,658	)
Net increase (decrease)		(14,912,266	)	$	(344,427,066	)		5,445,174		$	94,273,823
Class IV:
Shares sold		11,083,617		$	255,472,342			119,068,983		$	3,082,528,158
Shares issued to shareholders in reinvestment of distributions		1,935,404			43,740,127			41,747,123			950,783,999
Shares repurchased		(44,787,630	)		(1,056,648,878	)		(131,760,438	)		(3,257,232,670	)
Net increase (decrease)		(31,768,609	)	$	(757,436,409	)		29,055,668		$	776,079,487
International Large/Mid Cap Equity Fund
Class III:
Shares sold		293,999		$	8,791,015			2,630,718		$	80,052,083
Shares issued to shareholders in reinvestment of distributions		44,240			1,276,762			1,863,217			56,349,694
Shares repurchased		(500,410	)		(14,864,513	)		(1,866,511	)		(61,644,094	)
Net increase (decrease)		(162,171	)	$	(4,796,736	)		2,627,424		$	74,757,683
Class IV:
Shares sold		3,315,452		$	98,855,697			12,578,650		$	382,048,697
Shares issued to shareholders in reinvestment of distributions		144,500			4,167,371			4,304,709			130,026,445
Shares repurchased		(13,441,551	)		(402,816,766	)		(8,100,545	)		(268,622,451	)
Net increase (decrease)		(9,981,599	)	$	(299,793,698	)		8,782,814		$	243,452,691

112

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Six Months Ended August 31, 2015 (Unaudited)						Year Ended February 28, 2015
	Shares			Amount			Shares			Amount
International Large/Mid Cap Equity Fund (continued)
Class VI:
Shares sold		11,580,661		$	347,304,017			403,874		$	14,003,069
Shares issued to shareholders in reinvestment of distributions		52			1,495			1,088,192			32,959,271
Shares repurchased		(1,463	)		(43,619	)		(10,546,654	)		(322,340,957	)
Net increase (decrease)		11,579,250		$	347,261,893			(9,054,588	)	$	(275,378,617	)
International Small Companies Fund
Class III:
Shares sold		2,022,820		$	15,889,259			223,648		$	1,765,082
Shares issued to shareholders in reinvestment of distributions		113,491			853,449			7,939,822			62,559,490
Shares repurchased		(1,916,079	)		(15,683,139	)		(8,545,076	)		(79,752,515	)
Purchase premiums		—			79,846			—			8,290
Redemption fees		—			78,416			—			398,183
Net increase (decrease)		220,232		$	1,217,831			(381,606	)	$	(15,021,470	)
Quality Fund
Class III:
Shares sold		7,455,547		$	166,064,003			35,411,379		$	831,646,630
Shares issued to shareholders in reinvestment of distributions		14,238,506			294,737,066			48,083,421			1,098,652,237
Shares repurchased		(44,873,278	)		(991,062,261	)		(80,496,558	)		(1,927,733,207	)
Net increase (decrease)		(23,179,225	)	$	(530,261,192	)		2,998,242		$	2,565,660
Class IV:
Shares sold		3,088,959		$	68,008,871			45,951,153		$	1,059,495,277
Shares issued to shareholders in reinvestment of distributions		5,983,929			123,987,001			15,217,309			346,542,591
Shares repurchased		(10,697,441	)		(239,106,414	)		(50,500,627	)		(1,219,926,419	)
Net increase (decrease)		(1,624,553	)	$	(47,110,542	)		10,667,835		$	186,111,449
Class V:
Shares sold		214,441		$	4,902,131			9,995,822		$	257,492,359
Shares issued to shareholders in reinvestment of distributions		708,201			14,681,006			7,463,110			170,571,619
Shares repurchased		(1,969,057	)		(45,163,443	)		(31,847,938	)		(747,266,244	)
Net increase (decrease)		(1,046,415	)	$	(25,580,306	)		(14,389,006	)	$	(319,202,266	)
Class VI:
Shares sold		1,950,139		$	42,827,084			10,852,199		$	271,005,461
Shares issued to shareholders in reinvestment of distributions		7,298,156			151,071,828			27,413,933			627,036,190
Shares repurchased		(11,440,634	)		(254,388,091	)		(76,193,419	)		(1,871,752,946	)
Net increase (decrease)		(2,192,339	)	$	(60,489,179	)		(37,927,287	)	$	(973,711,295	)
Resources Fund
Class III:
Shares sold		—		$	—			25,772		$	570,682
Shares issued to shareholders in reinvestment of distributions		2,036			30,580			223,010			3,666,229
Shares repurchased		(364,575	)		(6,030,837	)		(2,526,487	)		(57,033,573	)
Purchase premiums		—			29,653			—			1,620
Redemption fees		—			2,018			—			171,086
Net increase (decrease)		(362,539	)	$	(5,968,586	)		(2,277,705	)	$	(52,623,956	)

113

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Six Months Ended August 31, 2015 (Unaudited)						Year Ended February 28, 2015
	Shares			Amount			Shares			Amount
Resources Fund (continued)
Class IV:
Shares sold		6,293,677		$	97,739,030			1,405,165		$	23,419,473
Shares issued to shareholders in reinvestment of distributions		20,897			313,041			833,988			13,279,211
Shares repurchased		(38,466	)		(676,622	)		(1,242,138	)		(30,431,961	)
Purchase premiums		—			264,447			—			70,456
Redemption fees		—			18,104			—			91,199
Net increase (decrease)		6,276,108		$	97,658,000			997,015		$	6,428,378
Risk Premium Fund
Class III:
Shares sold		173,703		$	1,596,321			485,666		$	4,778,828
Shares issued to shareholders in reinvestment of distributions		24,179			234,054			59,527			572,584
Shares repurchased		—			—			(765,681	)		(7,737,057	)
Purchase premiums		—			3,267			—			10,632
Redemption fees		—			880			—			20,641
Net increase (decrease)		197,882		$	1,834,522			(220,488	)	$	(2,354,372	)
Class IV:
Shares sold		—		$	—			702,031		$	7,165,035
Shares issued to shareholders in reinvestment of distributions		29,159			282,841			138,019			1,403,322
Shares repurchased		(125,006	)		(1,258,807	)		(2,859,551	)		(29,836,575	)
Purchase premiums		—			2,954			—			13,176
Redemption fees		—			1,111			—			27,961
Net increase (decrease)		(95,847	)	$	(971,901	)		(2,019,501	)	$	(21,227,081	)
Class VI:
Shares sold		21,841,480		$	201,383,234			67,994,662		$	672,736,450
Shares issued to shareholders in reinvestment of distributions		1,962,521			19,056,083			4,833,372			47,203,077
Shares repurchased		(4,832,120	)		(49,252,599	)		(98,232,739	)		(1,017,124,933	)
Purchase premium fees		—			298,706			—			997,916
Redemption fees		—			73,776			—			1,526,624
Net increase (decrease)		18,971,881		$	171,559,200			(25,404,705	)	$	(294,660,866	)
Tax-Managed International Equities Fund
Class III:
Shares sold		2,575		$	41,495			97,200		$	1,709,812
Shares issued to shareholders in reinvestment of distributions		38,248			613,496			475,564			7,770,363
Shares repurchased		(1,530,726	)		(24,731,680	)		(2,090,337	)		(35,346,045	)
Net increase (decrease)		(1,489,903	)	$	(24,076,689	)		(1,517,573	)	$	(25,865,870	)
U.S. Equity Allocation Fund
Class III:
Shares sold		345,320		$	5,443,507			795,953		$	13,603,359
Shares issued to shareholders in reinvestment of distributions		578,139			8,880,217			3,012,456			48,622,443
Shares repurchased		(7,968,649	)		(127,977,139	)		(14,850,428	)		(256,471,698	)
Net increase (decrease)		(7,045,190	)	$	(113,653,415	)		(11,042,019	)	$	(194,245,896	)
Class IV:
Shares sold		733,122		$	11,400,267			13,278,153		$	219,839,439
Shares issued to shareholders in reinvestment of distributions		1,108,393			16,980,578			1,985,317			31,758,148
Shares repurchased		(2,148,327	)		(35,097,355	)		(5,963,135	)		(104,608,068	)
Net increase (decrease)		(306,812	)	$	(6,716,510	)		9,300,335		$	146,989,519

114

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Six Months Ended August 31, 2015 (Unaudited)						Year Ended February 28, 2015
	Shares			Amount			Shares			Amount
U.S. Equity Allocation Fund (continued)
Class V:**
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		—			—			314,353			5,617,482
Shares repurchased		—			—			(15,372,225	)		(273,192,869	)
Net increase (decrease)		—		$	—			(15,057,872	)	$	(267,575,387	)
Class VI:
Shares sold		1,976,464		$	31,902,381			72,506,200		$	1,291,928,896
Shares issued to shareholders in reinvestment of distributions		14,952,297			228,620,618			60,084,619			958,675,592
Shares repurchased		(53,780,033	)		(869,708,333	)		(179,517,800	)		(3,090,750,328	)
Net increase (decrease)		(36,851,272	)	$	(609,185,334	)		(46,926,981	)	$	(840,145,840	)

** Class V liquidated on July 30, 2014.

10. Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of other funds of the Trust during the period ended August 31, 2015 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Developed World Stock Fund
GMO U.S. Treasury Fund	$	6,293,617	$	33,043,000	$	24,083,000	$	3,070	$	111	$	15,253,617
International Equity Fund
GMO U.S. Treasury Fund	$	237,383,000	$	759,500,000	$	913,750,000	$	61,930	$	4,628	$	83,133,000
International Large/Mid Cap Equity Fund
GMO U.S. Treasury Fund	$	17,379,000	$	148,234,000	$	143,643,000	$	11,898	$	2,751	$	21,970,000
International Small Companies Fund
GMO U.S. Treasury Fund	$	3,204,207	$	31,374,000	$	29,352,000	$	1,647	$	103	$	5,226,207
Quality Fund
GMO U.S. Treasury Fund	$	86,191,000	$	786,000,000	$	784,451,000	$	31,798	$	2,888	$	87,740,000
Resources Fund
GMO U.S. Treasury Fund	$	2,204,400	$	57,290,000	$	54,663,000	$	1,473	$	67	$	4,831,400
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	5,597,170	$	33,904,000	$	26,900,000	$	3,252	$	211	$	12,601,170
U.S. Equity Allocation Fund
GMO U.S. Treasury Fund	$	120,781,000	$	699,500,000	$	708,000,000	$	38,411	$	1,609	$	112,281,000

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2015 through August 31, 2015. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2016.

115

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

11. Subsequent event

Subsequent to August 31, 2015, GMO Risk Premium Fund received redemption requests in the amount of $345,805,760.

116

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2015 (Unaudited)

GMO Developed World Stock Fund

Approval of renewal of management agreement for GMO Developed World Stock Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. In considering the Fund’s performance, the Trustees satisfied themselves that GMO continued to believe that the Fund’s investment strategies continued to have a reasonable prospect of producing favorable long-term results. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

117

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

GMO International Equity Fund

Approval of renewal of management agreement for GMO International Equity Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

118

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

GMO International Large/Mid Cap Equity Fund

Approval of renewal of management agreement for GMO International Large/Mid Cap Equity Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to fees received by the Manager for providing sub-advisory services to funds managed by third parties. The Trustees considered differences in the services that the Manager provides to the Fund and to those other funds. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

119

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

GMO International Small Companies Fund

Approval of renewal of management agreement for GMO International Small Companies Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

120

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

GMO Quality Fund

Approval of renewal of management agreement for GMO Quality Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

121

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

GMO Resources Fund

Approval of renewal of management agreement for GMO Resources Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements.The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

122

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

GMO Risk Premium Fund

Approval of renewal of management agreement for GMO Risk Premium Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

123

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

GMO Tax-Managed International Equities Fund

Approval of renewal of management agreement for GMO Tax-Managed International Equities Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

124

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2015 (Unaudited)

GMO U.S. Equity Allocation Fund

Approval of renewal of management agreement for GMO U.S. Equity Allocation Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to fees received by the Manager for providing sub-advisory services to funds managed by third parties. The Trustees considered differences in the services that the Manager provides to the Fund and to those other funds. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

125

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2015 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six-month period ended August 31, 2015.

As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2015 through August 31, 2015.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premium and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value March 1, 2015		Ending Account Value August 31, 2015		Expenses Paid* During the Period		Beginning Account Value March 1, 2015		Ending Account Value August 31, 2015		Expenses Paid* During the Period		Annualized Expense Ratio
Developed World Stock Fund
Class III		$1,000.00		$930.30		$2.96		$1,000.00		$1,022.07		$3.10		0.61%
Class IV		$1,000.00		$931.00		$2.72		$1,000.00		$1,022.32		$2.85		0.56%
International Equity Fund
Class II		$1,000.00		$921.90		$3.48		$1,000.00		$1,021.52		$3.66		0.72%
Class III		$1,000.00		$922.30		$3.14		$1,000.00		$1,021.87		$3.30		0.65%
Class IV		$1,000.00		$922.80		$2.85		$1,000.00		$1,022.17		$3.00		0.59%
International Large/Mid Cap Equity Fund
Class III		$1,000.00		$922.70		$2.56		$1,000.00		$1,022.47		$2.69		0.53%
Class IV		$1,000.00		$922.90		$2.27		$1,000.00		$1,022.77		$2.39		0.47%
Class VI		$1,000.00		$923.10		$2.13		$1,000.00		$1,022.93		$2.24		0.44%
International Small Companies Fund
Class III		$1,000.00		$950.80		$3.73		$1,000.00		$1,021.32		$3.86		0.76%
Quality Fund
Class III		$1,000.00		$935.20		$2.33		$1,000.00		$1,022.72		$2.44		0.48%
Class IV		$1,000.00		$935.00		$2.14		$1,000.00		$1,022.93		$2.24		0.44%
Class V		$1,000.00		$935.30		$2.04		$1,000.00		$1,023.03		$2.14		0.42%
Class VI		$1,000.00		$935.20		$1.90		$1,000.00		$1,023.18		$1.98		0.39%
Resources Fund
Class III		$1,000.00		$849.30		$3.53		$1,000.00		$1,021.32		$3.86		0.76%
Class IV		$1,000.00		$849.70		$3.30		$1,000.00		$1,021.57		$3.61		0.71%
Risk Premium Fund
Class III		$1,000.00		$984.00		$2.99		$1,000.00		$1,022.12		$3.05		0.60%
Class IV		$1,000.00		$984.10		$2.74		$1,000.00		$1,022.37		$2.80		0.55%
Class VI		$1,000.00		$984.00		$2.54		$1,000.00		$1,022.57		$2.59		0.51%

126

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses — (Continued)

August 31, 2015 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2015		Ending Account Value August 31, 2015		Expenses Paid* During the Period		Beginning Account Value March 1, 2015		Ending Account Value August 31, 2015		Expenses Paid* During the Period		Annualized Expense Ratio
Tax-Managed International Equities Fund
Class III		$1,000.00		$917.30		$3.18		$1,000.00		$1,021.82		$3.35		0.66%
U.S. Equity Allocation Fund
Class III		$1,000.00		$933.90		$2.24		$1,000.00		$1,022.82		$2.34		0.46%
Class IV		$1,000.00		$934.20		$1.99		$1,000.00		$1,023.08		$2.08		0.41%
Class VI		$1,000.00		$934.80		$1.80		$1,000.00		$1,023.28		$1.88		0.37%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2015, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

127

GMO Trust

Semiannual Report

August 31, 2015

Emerging Countries Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

Taiwan Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com. An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market-risk equities, management and operational risk, non-U.S. investment risk, smaller company risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Emerging Countries Fund
Investment Concentration Summary	1
Schedule of Investments	2
Emerging Domestic Opportunities Fund
Investment Concentration Summary	7
Schedule of Investments	8
Emerging Markets Fund
Investment Concentration Summary	12
Schedule of Investments	13
Taiwan Fund
Investment Concentration Summary	21
Schedule of Investments	22
Portfolio, Counterparty and Currency Abbreviations	24
Fund Financial Statements:
Statements of Assets and Liabilities	25
Statements of Operations	27
Statements of Changes in Net Assets	28
Financial Highlights	30
Notes to Financial Statements	36
Board Review of Management Agreements	67
Fund Expenses	71

GMO Emerging Countries Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		83.6	%
Preferred Stocks		9.8
Investment Funds		2.8
Short-Term Investments		0.2
Rights/Warrants		0.0	^
Mutual Funds		0.0	^
Other		3.6
		100.0	%
Country Summary**	% of Investments
South Korea		17.8	%
China		15.4
Russia		13.1
Taiwan		12.3
India		12.0
Brazil		8.3
Turkey		6.8
Thailand		4.2
Czech Republic		2.2
Indonesia		1.7
South Africa		1.6
Philippines		1.0
Egypt		0.9
Poland		0.7
United Kingdom***		0.7
Qatar		0.3
United States***		0.3
Colombia		0.2
Mexico		0.2
Belgium***		0.1
Chile		0.1
Malaysia		0.1
Hungary		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments****
Banks		22.8	%
Energy		15.4
Technology Hardware & Equipment		14.0
Telecommunication Services		10.5
Automobiles & Components		10.5
Utilities		4.7
Materials		3.6
Capital Goods		3.5
Real Estate		2.1
Insurance		1.8
Diversified Financials		1.5
Food, Beverage & Tobacco		1.4
Consumer Durables & Apparel		1.4
Household & Personal Products		1.2
Food & Staples Retailing		1.0
Media		1.0
Transportation		0.8
Retailing		0.7
Health Care Equipment & Services		0.7
Pharmaceuticals, Biotechnology & Life Sciences		0.6
Semiconductors & Semiconductor Equipment		0.4
Consumer Services		0.2
Software & Services		0.2
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

*** Includes companies that derive more than 50% of their revenues or profits from emerging markets.

**** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

1

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 83.6%
		Belgium — 0.1%
	300	Anheuser-Busch InBev NV Sponsored ADR		32,673
		Brazil — 3.3%
	360	Banco Bradesco SA		2,499
	71,560	Banco do Brasil SA		351,816
	1,700	BB Seguridade Participacoes SA		13,453
	23,100	BM&FBOVESPA SA		68,663
	100	BR Malls Participacoes SA		309
	900	BR Properties SA		2,506
	7,100	Brasil Brokers Participacoes SA		3,563
	1,703	CETIP SA		15,365
	20,989	Cia de Saneamento Basico do Estado de Sao Paulo ADR		90,882
	10,800	Companhia de Saneamento Basico do Estado de Sao Paulo		46,843
	5,600	Companhia Siderurgica Nacional SA		5,404
	19,200	Companhia Siderurgica Nacional SA Sponsored ADR		17,877
	1,547	CPFL Energia SA		6,697
	722	CPFL Energia SA ADR		6,289
	7,900	Cyrela Brazil Realty SA Empreendimentos e Participacoes		18,298
	11,495	Duratex SA		17,401
	2,600	Klabin SA		14,525
	855	Localiza Rent a Car SA		5,283
	5,000	LPS Brasil Consultoria de Imoveis SA		4,398
	100	Multiplan Empreendimentos Imobiliarios SA		1,136
	2,000	Multiplus SA		20,807
	3,950	Oi SA *		2,941
	3,225	Raia Drogasil SA		35,303
	8,900	Tim Participacoes SA		21,596
	1,800	Ultrapar Participacoes SA		31,502
		Total Brazil		805,356
		Chile — 0.1%
	1,327,380	Corpbanca SA		12,422
		China — 14.4%
	658,802	Agricultural Bank of China Ltd – Class H		265,295
	4,000	Anhui Conch Cement Co Ltd – Class H		12,046
	672,000	Bank of China Ltd – Class H		306,074
	14,000	Beijing Enterprises Water Group Ltd *		10,064
	4,500	Biostime International Holdings Ltd		7,438
	26,000	Brilliance China Automotive Holdings Ltd		31,641
	113,000	China Cinda Asset Management Co Ltd		42,104
	569,160	China Communications Services Corp Ltd – Class H		210,545
	765,720	China Construction Bank Corp – Class H		538,285
	1,000	China Machinery Engineering Corp – Class H		739

Shares		Description	Value ($)
		China — continued
	42,334	China Mobile Ltd		518,145
	33,600	China Overseas Land & Investment Ltd		98,415
	12,000	China Resources Land Ltd		30,276
	18,000	China Shenhua Energy Co Ltd		31,193
	13,000	CITIC Ltd		23,635
	162,000	CNOOC Ltd		203,061
	123,000	Country Garden Holdings Co Ltd		43,081
	25,000	Geely Automobile Holdings Ltd		9,702
	14,000	Huaneng Power International Inc – Class H		15,975
	679,000	Industrial and Commercial Bank of China – Class H		397,545
	19,000	Inner Mongolia Yitai Coal Co Ltd – Class B		15,956
	800	JD.com Inc ADR *		20,704
	200	New China Life Insurance Co Ltd – Class H		780
	1,400	People’s Insurance Co Group of China Ltd		661
	114,000	PICC Property & Casualty Co Ltd – Class H		216,239
	8,400	Qingdao Haier Co Ltd – Class A		13,077
	14,000	Shanghai Industrial Holdings Ltd		34,289
	300	Shanghai Jahwa United Co Ltd – Class A		1,585
	6,000	Shenzhou International Group Holdings Ltd		30,098
	22,500	Shimao Property Holdings Ltd		31,490
	22,000	Sunac China Holdings Ltd		11,928
	1,100	TAL Education Group ADR *		33,737
	1,200	Tencent Holdings Ltd		20,096
	14,000	Tong Ren Tang Technologies Co Ltd – Class H		18,139
	2,600	Vipshop Holdings Ltd ADR *		46,774
	38,000	Xinyi Glass Holdings Ltd		17,257
	165,000	Yangzijiang Shipbuilding Holdings Ltd		128,635
	12,000	Zhejiang Expressway Co Ltd – Class H		13,059
	2,000	Zhuzhou CSR Times Electric Co Ltd – Class H		13,194
		Total China		3,462,957
		Colombia — 0.2%
	25,127	Ecopetrol SA		13,120
	2,500	Ecopetrol SA Sponsored ADR		26,200
		Total Colombia		39,320
		Czech Republic — 2.1%
	1,186	CEZ AS		27,096
	919	Komercni Banka AS		209,294
	3,575	Pegas Nonwovens SA		136,440
	282	Philip Morris CR AS		129,500
		Total Czech Republic		502,330
		Egypt — 0.8%
	4,601	Alexandria Mineral Oils Co		20,444
	6,487	ElSwedy Electric Co *		33,102
	14,643	Global Telecom Holding GDR *		19,064
	315,551	Orascom Telecom Media and Technology Holding SAE *		28,928

2 See accompanying notes to the financial statements.

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Egypt — continued
	24,025	Oriental Weavers Co		31,206
	11,565	Sidi Kerir Petrochemicals Co		19,046
	37,421	South Valley Cement *		18,769
	23,615	Telecom Egypt Co		20,724
		Total Egypt		191,283
		Hungary — 0.0%
	6,522	Magyar Telekom Telecommunications Plc *		9,283
		India — 11.2%
	3,390	Ashok Leyland Ltd		4,597
	14,330	Asian Paints Ltd		182,624
	7,128	Aurobindo Pharma Ltd		80,347
	204	Bajaj Finance Ltd		15,416
	476	Bharat Forge Ltd		8,338
	675	Britannia Industries Ltd		29,722
	3,455	Cairn India Ltd		7,783
	1,453	Colgate-Palmolive India Ltd		42,757
	5,047	Dabur India Ltd		20,805
	24	Eicher Motors Ltd		6,810
	971	Emami Ltd		17,239
	6,444	Fortis Healthcare Ltd *		16,096
	51,707	HDFC Bank Ltd (a)		908,477
	7,500	Hero MotoCorp Ltd		272,332
	1,982	Hindustan Petroleum Corp Ltd *		25,023
	1,817	Hindustan Unilever Ltd		23,583
	1,194	Indiabulls Housing Finance Ltd		13,406
	3,158	IndusInd Bank Ltd (a)		40,981
	10,964	Jindal Steel & Power Ltd *		11,334
	3,255	JK Lakshmi Cement Ltd *		17,330
	4,181	Kajaria Ceramics Ltd		43,020
	5,963	Maruti Suzuki India Ltd (a)		376,361
	1,985	Mphasis Ltd		12,634
	277	Nestle India Ltd		24,848
	58	Repco Home Finance Ltd		637
	2,157	SKS Microfinance Ltd *		14,973
	662	Sun Pharmaceutical Industries Ltd		8,796
	804	Supreme Industries Ltd (a)		7,156
	4,083	Ultratech Cement Ltd		177,124
	372	United Spirits Ltd *		18,445
	3,357	Voltas Ltd		13,753
	23,215	Yes Bank Ltd		240,967
		Total India		2,683,714
		Indonesia — 1.6%
	400,000	ACE Hardware Indonesia Tbk PT		16,947
	204,500	Astra International Tbk PT		86,140
	194,816	Bank Danamon Indonesia Tbk PT		49,029
	685,000	Global Mediacom Tbk PT		57,486
	114,000	Indosat Tbk PT *		32,828

Shares		Description	Value ($)
		Indonesia — continued
	150,940	Kalbe Farma Tbk PT		17,987
	850,800	Media Nusantara Citra Tbk PT		114,669
	25,800	Perusahaan Gas Negara Persero Tbk PT		5,113
	3,200	Telekomunikasi Indonesia Persero Tbk PT		653
		Total Indonesia		380,852
		Malaysia — 0.1%
	4,922	Hong Leong Bank Berhad		15,324
	36,800	Media Prima Bhd		9,199
		Total Malaysia		24,523
		Mexico — 0.2%
	2,100	Alsea SAB de CV		6,496
	1,900	Embotelladoras Arca SAB de CV		10,994
	13,500	Fibra Uno Administracion SA de CV (REIT)		29,016
		Total Mexico		46,506
		Philippines — 0.9%
	22,600	Aboitiz Power Corp		20,880
	15,240	BDO Unibank Inc		32,096
	1,090	GT Capital Holdings Inc		29,625
	19,100	Manila Water Co Inc		9,247
	45,000	Puregold Price Club Inc		30,480
	31,450	Robinsons Retail Holdings Inc		46,739
	3,120	San Miguel Corp		3,467
	15,640	Semirara Mining & Power Corp		42,853
		Total Philippines		215,387
		Poland — 0.7%
	354	Jastrzebska Spolka Weglowa SA *		1,147
	2	KGHM Polska Miedz SA		41
	37,356	PGE SA		154,490
	101	Powszechny Zaklad Ubezpieczen SA		11,524
		Total Poland		167,202
		Qatar — 0.3%
	6,635	Qatar Gas Transport Co Nakilat		39,536
	502	Qatar National Bank		24,720
		Total Qatar		64,256
		Russia — 9.0%
	6,700	CTC Media Inc		12,261
	6,614	Gazprom Neft JSC Sponsored ADR		76,661
	44,716	Gazprom Neft – Class S *		98,451
	74,653	Gazprom PAO Sponsored ADR		334,748
	852	Global Ports Investments Plc		4,426
	7,800	Lenta Ltd GDR *		56,940
	3,002	Lenta Ltd GDR *		21,914
	9,652	Lukoil PJSC Sponsored ADR		365,022

See accompanying notes to the financial statements. 3

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	592	Magnit OJSC GDR		29,403
	282	Mail.ru Group Ltd GDR (Registered Shares) *		5,182
	2,201	MegaFon OAO GDR		28,275
	22,172	Mobile TeleSystems PJSC Sponsored ADR		169,172
	13,117	Moscow Exchange MICEX-RTS PJSC		14,610
	6,727	Rosneft OJSC GDR (Registered)		25,453
	1,448	Sistema JSFC Sponsored GDR (Registered Shares)		10,675
	87,167	Surgutneftegas Sponsored ADR		456,592
	15,984	Tatneft PAO Sponsored GDR (Registered)		451,145
	1,800	VimpelCom Ltd Sponsored ADR		8,406
		Total Russia		2,169,336
		South Africa — 1.5%
	158,017	African Bank Investments Ltd * (b)		12
	761	Aspen Pharmacare Holdings Ltd *		19,618
	1,143	Discovery Ltd		11,545
	4,324	Exxaro Resources Ltd		22,108
	4,575	Growthpoint Properties Ltd		9,025
	6,075	Kumba Iron Ore Ltd		41,319
	10,158	Life Healthcare Group Holdings Ltd		29,164
	5,453	MTN Group Ltd		72,760
	2,313	Sasol Ltd		74,799
	500	Sasol Ltd Sponsored ADR		16,380
	9,282	Telkom South Africa Ltd		44,424
	1,953	Truworths International Ltd		12,940
		Total South Africa		354,094
		South Korea — 14.4%
	3,322	BNK Financial Group Inc		39,066
	17,047	DGB Financial Group Inc		149,801
	3,330	Dongbu Insurance Co Ltd		149,741
	453	GS Holdings		17,832
	3,574	Hana Financial Group Inc		82,141
	461	Hankook Tire Co Ltd		14,392
	409	Hyundai Marine & Fire Insurance Co Ltd		9,675
	2,313	Hyundai Mobis Co Ltd		403,605
	1,424	Hyundai Motor Co		179,216
	66	Hyundai Wia Corp		5,830
	24,264	Industrial Bank of Korea		270,577
	14,888	Kia Motors Corp		612,333
	36	Korea Zinc Co Ltd		15,661
	76	KT&G Corp		7,100
	3,403	Kwangju Bank *		22,493
	52	LG Chem Ltd		10,293
	59	Lotte Shopping Co Ltd		13,335
	23,790	Samho International Co Ltd *		441,758
	233	Samsung Electro Mechanics Co Ltd		11,950
	702	Samsung Electronics Co Ltd		645,961
	196	Samsung Electronics Co Ltd GDR		90,126

Shares		Description	Value ($)
		South Korea — continued
	147	Samsung SDI Co Ltd		10,492
	695	Shinhan Financial Group Co Ltd		23,306
	839	SK Telecom Co Ltd ADR		19,079
	28,839	Woori Bank		222,262
		Total South Korea		3,468,025
		Taiwan — 11.5%
	10,000	Advanced Semiconductor Engineering Inc		10,095
	5,894	Advantech Co Ltd		37,525
	59,000	Asustek Computer Inc		537,578
	65,884	Chunghwa Telecom Co Ltd		199,536
	828,577	Compal Electronics Inc		484,155
	4,000	Delta Electronics Inc		20,066
	43,416	E.Sun Financial Holding Co Ltd		26,106
	6,914	Far EasTone Telecommunications Co Ltd		15,182
	1,656	Foxconn Technology Co Ltd		4,659
	17,000	Fubon Financial Holding Co Ltd		29,269
	3,000	Giant Manufacturing Co Ltd		21,748
	173,832	Hon Hai Precision Industry Co Ltd *		494,859
	85,000	HTC Corp		120,828
	91,908	Lite-On Technology Corp		84,222
	3,176	MediaTek Inc		24,506
	33,722	Mega Financial Holding Co Ltd		25,335
	12,000	Pegatron Corp		31,140
	21,000	Pou Chen Corp		34,006
	6,100	Powertech Technology Inc		10,516
	2,000	President Chain Store Corp		13,384
	830,200	ProMOS Technologies Inc * (b)		—
	80,715	Quanta Computer Inc		148,559
	6,000	Siliconware Precision Industries Co		7,233
	242,863	Taishin Financial Holding Co Ltd		85,147
	12,308	Taiwan Mobile Co Ltd		36,979
	2,300	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		45,724
	408,374	Wistron Corp		202,309
	1,000	Wowprime Corp		5,403
	22,577	Yuanta Financial Holding Co Ltd		9,072
		Total Taiwan		2,765,141
		Thailand — 3.9%
	143,200	Bangkok Dusit Medical Services Pcl (Foreign Registered)		77,874
	334,600	Banpu Pcl (Foreign Registered)		192,207
	417,000	Chularat Hospital Pcl (Foreign Registered)		22,332
	77,900	Electricity Generating Pcl (Foreign Registered)		345,623
	11,400	Intouch Holdings Pcl (Foreign Registered) (a)		24,673
	6,700	PTT Exploration & Production Pcl (Foreign Registered)		15,028
	11,322	PTT Pcl (Foreign Registered)		85,314
	96,833	Quality Houses Pcl (Foreign Registered)		6,373

4 See accompanying notes to the financial statements.

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	26,180	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		38,908
	312,533	Sansiri Pcl (Foreign Registered)		13,793
	27,200	SPCG Pcl (Foreign Registered)		18,213
	43,400	Thai Oil Pcl (Foreign Registered)		62,661
	15,000	Tisco Financial Group Pcl (Foreign Registered)		16,549
	74,400	TTW Pcl (Foreign Registered)		23,666
		Total Thailand		943,214
		Turkey — 6.4%
	17,627	Akbank TAS		41,261
	4,823	Arcelik AS		22,616
	9,954	Dogus Otomotiv Servis ve Ticaret AS		42,721
	224,855	Emlak Konut Gayrimenkul Yatirim		192,663
	32,959	Eregli Demir ve Celik Fabrikalari TAS		44,801
	29,580	Haci Omer Sabanci Holding AS		88,374
	2,846	KOC Holding AS		11,096
	2,353	Koza Altin Isletmeleri AS		19,760
	7,810	Tofas Turk Otomobil Fabrikasi AS		48,401
	53,748	Turk Hava Yollari Anonim Ortakligi *		148,746
	64,212	Turk Telekomunikasyon AS		135,126
	1,100	Turk Traktor ve Ziraat Makineleri AS		26,700
	49,234	Turkcell Iletisim Hizmetleri AS		192,821
	2,300	Turkcell Iletisim Hizmetleri AS ADR		22,448
	33,102	Turkiye Garanti Bankasi AS		83,793
	45,303	Turkiye Halk Bankasi AS		173,249
	70,957	Turkiye IS Bankasi – Class C		118,580
	63,409	Turkiye Vakiflar Bankasi TAO – Class D		83,737
	24,772	Yapi ve Kredi Bankasi AS		30,510
		Total Turkey		1,527,403
		United Kingdom — 0.6%
	921	British American Tobacco Plc		48,769
	2,374	Unilever Plc		95,209
	200	Unilever Plc Sponsored ADR		8,062
		Total United Kingdom		152,040
		United States — 0.3%
	1,056	Colgate-Palmolive Co.		66,327
		TOTAL COMMON STOCKS (COST $26,023,793)		20,083,644
		PREFERRED STOCKS — 9.8%
		Brazil — 4.4%
	100	Banco Bradesco SA ADR		636
	28,300	Banco do Estado do Rio Grande do Sul SA – Class B		60,320
	37,400	Bradespar SA		96,629
	2,000	Cia Energetica de Sao Paulo – Class B		8,895

Shares		Description	Value ($)
		Brazil — continued
	59,783	Companhia Energetica de Minas Gerais		123,962
	47,245	Companhia Energetica de Minas Gerais Sponsored ADR		99,214
	9,400	Gerdau SA		13,608
	100	Gerdau SA Sponsored ADR		148
	953	Gol Linhas Aereas Inteligentes SA ADR *		1,124
	1,760	Itau Unibanco Holding SA		12,885
	45,747	Itausa-Investimentos Itau SA		91,831
	38,000	Metalurgica Gerdau SA		31,539
	11,200	Telefonica Brasil SA		124,734
	28,300	Telefonica Brasil SA ADR		314,979
	6,700	Tim Participacoes SA ADR		81,003
	1,200	Vale SA		4,682
		Total Brazil		1,066,189
		Russia — 3.2%
	51,322	Sberbank *		41,796
	1,040,141	Surgutneftegaz OJSC *		629,805
	39	Transneft *		92,298
		Total Russia		763,899
		South Korea — 2.2%
	3,476	Hyundai Motor Co		293,494
	299	Samsung Electronics Co Ltd (Non-Voting)		219,756
	7	Samsung Electronics Co Ltd GDR (Registered)		2,531
		Total South Korea		515,781
		TOTAL PREFERRED STOCKS (COST $4,338,826)		2,345,869
		INVESTMENT FUNDS — 2.8%
		Thailand — 0.7%
	322,500	BTS Rail Mass Transit Growth Infrastructure Fund		91,865
	242,300	Digital Telecommunications Infrastructure Fund (Foreign Registered)		83,860
		Total Thailand		175,725
		United States — 2.1%
	14,731	iShares MSCI Emerging Markets ETF		498,497
		TOTAL INVESTMENT FUNDS (COST $814,331)		674,222
		RIGHTS/WARRANTS — 0.0%
		Thailand — 0.0%
	78,133	Sansiri PCL Warrants, Expires 11/24/17 *		393
		TOTAL RIGHTS/WARRANTS (COST $0)		393

See accompanying notes to the financial statements. 5

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers
	220	GMO U.S. Treasury Fund		5,498
		TOTAL MUTUAL FUNDS (COST $5,498)		5,498
		SHORT-TERM INVESTMENTS — 0.2%
		Time Deposits — 0.2%
EUR	99	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.22)%, due 09/01/15		111
HKD	41,183	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/15		5,314
SGD	512	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.10%, due 09/01/15		363
USD	38,658	DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/01/15		38,658
		Total Time Deposits		44,446
		TOTAL SHORT-TERM INVESTMENTS (COST $44,446)		44,446
		TOTAL INVESTMENTS — 96.4% (Cost $31,226,894)		23,154,072
		Other Assets and Liabilities (net) — 3.6%		872,059
		TOTAL NET ASSETS — 100.0%		$24,026,131

Notes to Schedule of Investments:

* Non-income producing security.

(a) Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits.

(b) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 24.

6 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		83.3	%
Investment Funds		12.0
Mutual Funds		2.5
Short-Term Investments		1.7
Debt Obligations		1.2
Forward Currency Contracts		0.1
Futures Contracts		0.0	^
Other		(0.8	)
		100.0	%
Country Summary**	% of Investments
India		26.3	%
China		15.3
United Kingdom***		10.4
Philippines		7.5
United States***		6.3
Taiwan		6.1
Thailand		5.1
Brazil		3.0
South Korea		2.5
Russia		2.3
Qatar		2.1
South Africa		2.1
Switzerland		2.0
Turkey		2.0
Belgium		1.7
Indonesia		1.2
United Arab Emirates		1.2
Mexico		1.1
Vietnam		0.9
Chile		0.6
Malaysia		0.3
		100.0	%

Industry Group Summary	% of Equity Investments****
Household & Personal Products		15.5	%
Banks		13.5
Food, Beverage & Tobacco		11.9
Telecommunication Services		8.2
Health Care Equipment & Services		6.6
Capital Goods		5.6
Food & Staples Retailing		5.4
Diversified Financials		4.2
Retailing		4.0
Automobiles & Components		4.0
Energy		3.7
Pharmaceuticals, Biotechnology & Life Sciences		3.5
Utilities		2.9
Consumer Durables & Apparel		2.7
Materials		2.2
Consumer Services		2.1
Software & Services		1.1
Real Estate		1.1
Media		0.7
Transportation		0.6
Insurance		0.5
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

*** Includes companies that derive more than 50% of their revenues or profits from emerging markets.

**** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

7

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 83.3%
		Belgium — 1.4%
	298,309	Anheuser-Busch InBev NV		32,536,174
		Brazil — 2.5%
	1,804,145	CETIP SA		16,277,177
	2,519,900	Klabin SA		14,077,227
	5,332,821	LPS Brasil Consultoria de Imoveis SA		4,690,747
	2,145,200	Raia Drogasil SA		23,482,950
		Total Brazil		58,528,101
		Chile — 0.5%
	1,214,772,880	Corpbanca SA		11,368,060
		China — 12.7%
	15,188,000	Beijing Enterprises Water Group Ltd *		10,917,850
	13,376,900	Brilliance China Automotive Holdings Ltd		16,279,118
	5,702,400	China Mobile Ltd		69,794,258
	7,066,000	Cosmo Lady China Holdings Co Ltd		7,579,581
	2,240,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		5,387,180
	10,857,000	Huaneng Power International Inc – Class H		12,388,651
	33,632,160	Industrial & Commercial Bank of China Ltd – Class H		19,691,164
	526,200	JD.com Inc ADR *		13,618,056
	4,765,000	Qingdao Haier Co Ltd – Class A		7,417,867
	1,632,230	Shanghai Jahwa United Co Ltd – Class A		8,624,646
	4,538,000	Shenzhou International Group Holdings Ltd		22,764,151
	828,331	TAL Education Group ADR *		25,404,912
	1,136,300	Tencent Holdings Ltd		19,029,645
	7,183,440	Tong Ren Tang Technologies Co Ltd – Class H		9,307,311
	2,173,700	Vipshop Holdings Ltd ADR *		39,104,863
	1,026,500	Zhuzhou CSR Times Electric Co Ltd – Class H		6,771,821
		Total China		294,081,074
		India — 21.9%
	2,588,969	Ashok Leyland Ltd		3,510,780
	2,959,025	Ashoka Buildcon Ltd		8,239,306
	150,212	Bajaj Finance Ltd		11,351,712
	769,685	Bharat Forge Ltd		13,481,951
	754,914	Britannia Industries Ltd		33,240,990
	2,496,567	Century Plyboards India Ltd		5,733,420
	639,418	CESC Ltd		4,995,193
	937,740	Colgate-Palmolive India Ltd		27,594,378
	2,745,428	Dabur India Ltd		11,317,509

Shares		Description	Value ($)
		India — continued
	13,021	Eicher Motors Ltd		3,694,635
	525,403	Emami Ltd		9,327,718
	5,094,897	Fortis Healthcare Ltd *		12,726,269
	2,039,278	Gayatri Projects Ltd (a)		13,142,985
	1,055,897	Gujarat Pipavav Port Ltd *		2,727,216
	3,285,447	HDFC Bank Ltd (b)		57,724,325
	1,051,760	Hindustan Petroleum Corp Ltd *		13,278,644
	2,066,690	Hindustan Unilever Ltd		26,823,442
	775,100	Indiabulls Housing Finance Ltd		8,702,536
	3,291,602	IndusInd Bank Ltd (b)		42,714,474
	875,048	J Kumar Infraprojects Ltd		10,493,199
	8,533,517	Jindal Steel & Power Ltd *		8,821,532
	1,491,659	JK Lakshmi Cement Ltd *		7,941,857
	649,332	Maruti Suzuki India Ltd (b)		40,983,329
	188,269	Multi Commodity Exchange of India Ltd (b)		3,336,815
	5,662,871	NCC Ltd		6,099,685
	139,476	Nestle India Ltd		12,511,627
	840,843	Repco Home Finance Ltd		9,232,990
	2,363,713	SKS Microfinance Ltd *		16,407,822
	1,010,567	Snowman Logistics Ltd		1,595,029
	2,080,936	Sun Pharmaceutical Industries Ltd		27,648,980
	925,482	Supreme Industries Ltd (b)		8,237,698
	1,805,312	Techno Electric & Engineering Co Ltd		15,488,939
	88,356	Ultratech Cement Ltd		3,832,954
	174,861	United Spirits Ltd *		8,670,465
	3,446,206	Voltas Ltd		14,118,832
		Total India		505,749,236
		Indonesia — 1.0%
	110,118,286	Kalbe Farma Tbk PT		13,122,641
	4,701,500	Mitra Keluarga Karysehat Tbk PT		9,039,924
		Total Indonesia		22,162,565
		Malaysia — 0.2%
	22,234,644	Media Prima Bhd		5,558,338
		Mexico — 0.9%
	2,006,000	Alsea SAB de CV		6,204,910
	7,248,600	Fibra Uno Administracion SA de CV (REIT)		15,579,430
		Total Mexico		21,784,340
		Philippines — 6.2%
	18,429,840	Aboitiz Power Corp		17,026,941
	15,376,570	BDO Unibank Inc		32,384,115
	9,904,854	Concepcion Industrial Corp		9,319,353
	685,109	GT Capital Holdings Inc		18,620,565
	18,548,600	Puregold Price Club Inc		12,563,520

8 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Philippines — continued
	16,720,180	Robinsons Retail Holdings Inc		24,848,258
	10,677,212	Semirara Mining & Power Corp		29,254,891
		Total Philippines		144,017,643
		Qatar — 1.8%
	4,782,604	Qatar Gas Transport Co Nakilat		28,497,768
	238,975	Qatar National Bank		11,767,913
		Total Qatar		40,265,681
		Russia — 2.0%
	1,510,597	Global Ports Investments Plc GDR (Registered Shares)		7,846,382
	1,784,565	Lenta Ltd GDR (Registered Shares) *		13,026,853
	331,929	Magnit PJSC Sponsored GDR (Registered Shares)		16,485,827
	94,504	Mail.ru Group Ltd GDR (Registered Shares) *		1,736,677
	997,789	Sollers OJSC *		5,996,912
		Total Russia		45,092,651
		South Africa — 1.8%
	425,134	Aspen Pharmacare Holdings Ltd *		10,959,600
	919,824	Coronation Fund Managers Ltd		5,125,729
	4,411,804	Life Healthcare Group Holdings Ltd		12,666,564
	1,797,555	Truworths International Ltd		11,909,745
		Total South Africa		40,661,638
		South Korea — 2.1%
	405,292	Hyundai Marine & Fire Insurance Co Ltd		9,587,043
	92,529	KT&G Corp		8,644,235
	354,510	Shinhan Financial Group Co Ltd		11,888,011
	88,453	SK Telecom Co Ltd		18,218,817
		Total South Korea		48,338,106
		Switzerland — 1.7%
	522,307	Nestle SA (Registered)		38,476,747
		Taiwan — 5.1%
	7,606,000	Chunghwa Telecom Co Ltd		23,035,455
	47,295,489	E.Sun Financial Holding Co Ltd		28,438,214
	2,060,000	Giant Manufacturing Co Ltd		14,933,460
	5,062,000	Lung Yen Life Service Corp *		9,397,777
	12,074,000	Mega Financial Holding Co Ltd		9,071,149
	1,874,000	President Chain Store Corp		12,540,723
	6,881,000	Taiwan Mobile Co Ltd		20,673,607
		Total Taiwan		118,090,385

Shares		Description	Value ($)
		Thailand — 4.3%
	47,605,050	Bangkok Dusit Medical Services Pcl (Foreign Registered)		25,888,173
	6,431,800	Carabao Group Pcl (Foreign Registered)		6,909,608
	203,300,000	Chularat Hospital Pcl (Foreign Registered)		10,887,522
	11,907,700	Intouch Holdings Pcl (Foreign Registered) (b)		25,771,795
	7,724,200	Major Cineplex Group Pcl (Foreign Registered)		7,032,059
	14,598,500	SPCG Pcl (Foreign Registered) Reg S		9,775,158
	11,344,600	Tisco Financial Group Pcl (Foreign Registered)		12,515,908
		Total Thailand		98,780,223
		Turkey — 1.7%
	3,093,671	Dogus Otomotiv Servis ve Ticaret AS		13,277,654
	493,357	Turk Traktor ve Ziraat Makineleri AS		11,975,003
	5,185,587	Turkiye Garanti Bankasi AS		13,126,561
		Total Turkey		38,379,218
		United Arab Emirates — 1.0%
	1,754,426	Al Noor Hospitals Group Plc		22,829,134
		United Kingdom — 8.6%
	1,328,310	British American Tobacco Plc		70,337,269
	14,900	British American Tobacco Plc Sponsored ADR		1,579,102
	2,957,233	Unilever Plc		118,599,550
	220,528	Unilever Plc Sponsored ADR		8,889,484
		Total United Kingdom		199,405,405
		United States — 5.2%
	741,401	Abbott Laboratories		33,578,052
	1,384,846	Colgate-Palmolive Co		86,982,177
		Total United States		120,560,229
		Vietnam — 0.7%
	3,683,318	Viet Nam Dairy Products JSC		16,384,969
		TOTAL COMMON STOCKS (COST $2,090,827,243)		1,923,049,917
		INVESTMENT FUNDS — 12.0%
		China — 3.6%
	2,322,400	iShares China Large-Cap ETF		83,397,384
		Thailand — 3.7%
	101,982,484	BTS Rail Mass Transit Growth Infrastructure Fund		29,049,949
	34,421,700	TICON Industrial Growth Leasehold Property Fund (a)		11,431,930

See accompanying notes to the financial statements. 9

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

	Shares / Par Value		Description	Value ($)
			Thailand — continued
		129,331,292	TRUE Telecommunication Growth Infrastructure Fund		44,761,566
			Total Thailand		85,243,445
			United States — 4.7%
		3,198,400	iShares MSCI Emerging Markets ETF		108,233,856
			TOTAL INVESTMENT FUNDS (COST $284,264,765)		276,874,685
			DEBT OBLIGATIONS — 1.2%
			Mexico — 1.2%
			Corporate Debt — 1.2%
USD		14,314,000	Cemex Finance LLC, 6.00%, 144A, due 04/01/24		13,598,300
USD		15,331,000	Cemex SAB de CV, 5.70%, 144A, due 01/11/25		14,257,830
			Total Corporate Debt		27,856,130
			Total Mexico		27,856,130
			TOTAL DEBT OBLIGATIONS (COST $28,116,673)		27,856,130
			MUTUAL FUNDS — 2.5%
			United States — 2.5%
			Affiliated Issuers
		2,289,561	GMO U.S. Treasury Fund		57,239,022
			TOTAL MUTUAL FUNDS (COST $57,239,022)		57,239,022
			SHORT-TERM INVESTMENTS — 1.7%
			Time Deposits — 0.9%
USD		4,646,885	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.06%, due 09/01/15		4,646,885
USD		4,646,885	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.06%, due 09/01/15		4,646,885
USD		4,646,885	Barclays (London) Time Deposit, 0.06%, due 09/01/15		4,646,885
USD		4,646,885	DnB Nor Bank (Oslo) Time Deposit, 0.06%, due 09/01/15		4,646,885
HKD		955,694	HSBC Bank (London) Time Deposit, 0.01%, due 09/01/15		123,314
USD		2,611,236	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.06%, due 09/01/15		2,611,236
			Total Time Deposits		21,322,090

Par Value		Description	Value ($)
		U.S. Government — 0.8%
	10,000,000	U.S. Treasury Bill, 0.03%, due 12/10/15 (c) (d)		9,999,190
	8,500,000	U.S. Treasury Bill, 0.03%, due 10/22/15 (c) (d)		8,499,677
		Total U.S. Government		18,498,867
		TOTAL SHORT-TERM INVESTMENTS (COST $39,818,748)		39,820,957
		TOTAL INVESTMENTS — 100.7% (Cost $2,500,266,451)		2,324,840,711
		Other Assets and Liabilities (net) — (0.7%)		(15,207,013	)
		TOTAL NET ASSETS — 100.0%		$2,309,633,698

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
08/31/2016	MSCI		INR	6,939,000,000		USD	100,000,000	$	2,001,907
08/31/2016	MSCI		KRW	58,855,723,673		USD	49,054,612		(501,843	)
07/27/2016	GS		THB	6,368,498,527		USD	176,792,605		132,438
08/31/2016	MSCI		TWD	4,916,440,000		USD	151,039,531		(1,360,965	)
07/27/2016	GS		USD	17,351,268		THB	634,015,319		167,377
08/31/2016	MSCI		USD	15,271,582		KRW	18,054,064,290		(70,080	)
08/31/2016	MSCI		USD	75,391,646		TWD	2,458,220,000		808,602
								$	1,177,436

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Sales
8,605	SET50	September 2015	$	43,037,872	$	1,184,586
2,369	SGX CNX Nifty Index	September 2015		37,929,676		(776,759	)
			$	80,967,548	$	407,827

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

10 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) Affiliated company (Note 10).

(b) Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits.

(c) The rate shown represents yield-to-maturity.

(d) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 24.

See accompanying notes to the financial statements. 11

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		81.3	%
Preferred Stocks		8.5
Investments Funds		5.7
Mutual Funds		3.3
Short-Term Investments		0.9
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Other		0.3
		100.0	%
Country Summary**	% of Investments
Taiwan		15.3	%
South Korea		14.5
China		14.0
Russia		12.3
India		12.0
Brazil		10.1
Turkey		9.6
Thailand		3.4
Poland		1.8
South Africa		1.5
Indonesia		1.1
Philippines		0.8
United Kingdom***		0.8
Egypt		0.4
Hungary		0.4
United States***		0.3
Colombia		0.3
Czech Republic		0.3
Belgium***		0.2
Mexico		0.2
Qatar		0.2
United Arab Emirates		0.2
Greece		0.1
Sri Lanka		0.1
Vietnam		0.1
Chile		0.0	^
Malaysia		0.0	^
		100.0	%

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

*** Includes companies that derive more than 50% of their revenues or profits from emerging markets.

^ Rounds to 0.0%.

Industry Group Summary	% of Equity Investments****
Banks		23.2	%
Technology Hardware & Equipment		14.8
Energy		13.9
Automobiles & Components		8.5
Telecommunication Services		8.3
Utilities		7.5
Materials		3.9
Real Estate		3.0
Semiconductors & Semiconductor Equipment		2.9
Capital Goods		2.5
Diversified Financials		1.4
Household & Personal Products		1.3
Food, Beverage & Tobacco		1.2
Software & Services		1.1
Insurance		1.0
Consumer Durables & Apparel		0.9
Health Care Equipment & Services		0.9
Food & Staples Retailing		0.8
Transportation		0.8
Pharmaceuticals, Biotechnology & Life Sciences		0.7
Retailing		0.7
Consumer Services		0.5
Media		0.2
		100.0	%

**** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. The table excludes exposure to derivative contracts, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Schedule of Investments.

12

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 81.3%
		Belgium — 0.2%
	103,000	Anheuser-Busch InBev NV Sponsored ADR		11,217,730
	1,064	Anheuser-Busch InBev NV		116,049
		Total Belgium		11,333,779
		Brazil — 5.1%
	2,417,400	Aes Tiete SA		9,778,517
	14,448,600	Banco do Brasil SA		71,034,850
	5,581,100	Brasil Brokers Participacoes SA		2,800,822
	608,095	CETIP SA		5,486,294
	6,876,936	Cia de Saneamento Basico do Estado de Sao Paulo ADR		29,777,133
	1,365,500	Cia de Saneamento de Minas Gerais *		3,576,924
	801,100	Cia Hering		3,070,406
	1,965,700	Companhia de Saneamento Basico do Estado de Sao Paulo		8,525,901
	695,400	Companhia Siderurgica Nacional SA Sponsored ADR		647,487
	2,310,600	Cosan Ltd – Class A		8,618,538
	2,301,801	CPFL Energia SA		9,964,644
	603,218	CPFL Energia SA ADR		5,254,029
	1,986,800	Cyrela Brazil Realty SA Empreendimentos e Participacoes		4,601,800
	663,100	Direcional Engenharia SA		616,174
	3,975,109	Duratex SA		6,017,495
	5,156,400	EDP-Energias do Brasil SA		15,938,468
	1,374,300	Equatorial Energia SA		13,395,697
	1,267,400	Even Construtora e Incorporadora SA		1,219,645
	695,971	Grendene SA		3,133,803
	667,237	Grupo BTG Pactual		5,445,856
	1,020,874	Klabin SA		5,703,034
	4,559,809	Light SA		14,697,908
	1,246,900	LPS Brasil Consultoria de Imoveis SA		1,096,773
	847,500	MRV Engenharia e Participacoes SA		1,488,584
	428,400	Multiplus SA		4,456,877
	5,179,941	Oi SA *		3,856,408
	305,500	Porto Seguro SA		2,803,425
	679,400	Raia Drogasil SA		7,437,216
	936,800	Sul America SA		4,520,425
	3,368,500	Tim Participacoes SA		8,173,604
	2,236,500	Tractebel Energia SA		20,683,609
	3,803,551	Transmissora Alianca de Energia Eletrica SA		19,402,394
	702,771	Ultrapar Participacoes SA		12,299,195
		Total Brazil		315,523,935
		Chile — 0.0%
	262,973,530	Corpbanca SA		2,460,953

Shares		Description	Value ($)
		China — 12.6%
	7,164,000	Agile Property Holdings Ltd		3,534,230
	137,083,390	Agricultural Bank of China Ltd – Class H		55,202,435
	3,034,705	Aier Eye Hospital Group Co Ltd		12,914,392
	1,540,538	Anhui Conch Cement Co Ltd		4,400,566
	17,816,000	Anton Oilfield Services Group *		2,330,240
	208,747,082	Bank of China Ltd – Class H		95,077,380
	4,992,000	Beijing Enterprises Water Group Ltd *		3,588,485
	4,348,000	Brilliance China Automotive Holdings Ltd		5,291,331
	88,581	Changyou.com Ltd ADR *		1,859,315
	5,744,000	China BlueChemical Ltd – Class H		1,652,806
	59,950,200	China Communications Services Corp Ltd – Class H		22,176,937
	190,589,406	China Construction Bank Corp – Class H		133,980,439
	1,397,734	China International Travel Service Corp Ltd		11,624,201
	5,650,000	China Machinery Engineering Corp – Class H		4,176,813
	4,299,237	China Mobile Ltd		52,620,310
	221,000	China Mobile Ltd Sponsored ADR		13,220,220
	2,035,000	China Overseas Grand Oceans Group Ltd		649,211
	10,552,400	China Overseas Land & Investment Ltd		30,908,174
	5,060,790	China Railway Construction Corp Ltd – Class A		10,930,260
	1,147,111	China Resources Land Ltd		2,894,161
	8,014,000	China South City Holdings Ltd		2,076,729
	4,800,000	CIFI Holdings Group Co Ltd		889,920
	1,987,026	CITIC Securities Co Ltd – Class A		4,693,949
	12,639,970	CNOOC Ltd		15,843,772
	1,524,000	Cosmo Lady China Holdings Co Ltd		1,634,770
	9,997,000	Evergrande Real Estate Group Ltd		6,680,510
	1,471,000	Greentown China Holdings Ltd *		1,144,596
	778,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		1,871,083
	4,792,400	Guangzhou R&F Properties Co Ltd –Class H *		4,412,068
	2,220,000	Harbin Power Equipment Co Ltd		1,162,091
	4,317,543	Huaneng Power International Inc – Class A		6,126,800
	3,430,400	Huaneng Power International Inc – Class H		3,914,344
	207,546,347	Industrial and Commercial Bank of China – Class H		121,515,513
	157,700	JD.com Inc ADR *		4,081,276
	4,338,918	Jiangsu Expressway Co Ltd – Class A		5,490,020
	4,420,650	Jiangxi Copper Co Ltd		5,575,094
	179,603	Kweichow Moutai Co Ltd		5,499,117
	14,911,800	Lonking Holdings Ltd		2,055,585
	5,381,500	PICC Property & Casualty Co Ltd – Class H		10,207,797
	1,427,400	Qingdao Haier Co Ltd – Class A		2,222,091

See accompanying notes to the financial statements. 13

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		China — continued
	2,927,665	SAIC Motor Corp Ltd – Class A		7,956,251
	389,637	Shanghai Jahwa United Co Ltd – Class A		2,058,828
	1,441,000	Shenzhou International Group Holdings Ltd		7,228,546
	567,500	Shimao Property Holdings Ltd		794,237
	6,378,000	Sinopec Engineering Group Co Ltd – Class H		5,443,636
	4,483,000	SOHO China Ltd		1,915,476
	231,106	TAL Education Group ADR *		7,088,021
	226,700	Tencent Holdings Ltd		3,796,551
	2,364,880	Tong Ren Tang Technologies Co Ltd – Class H		3,064,085
	573,000	Vipshop Holdings Ltd ADR *		10,308,270
	2,610,078	Weichai Power Co Ltd – Class A		3,834,946
	2,028,816	Weifu High-Technology Group Co Ltd – Class A		7,387,840
	48,014,380	Yangzijiang Shipbuilding Holdings Ltd		37,432,161
	4,718,000	Yuexiu Property Co Ltd		745,400
	407,000	Zhuzhou CSR Times Electric Co Ltd – Class H		2,684,979
		Total China		777,868,258
		Colombia — 0.3%
	963,500	Ecopetrol SA Sponsored ADR		10,097,480
	11,255,799	Ecopetrol SA		5,877,365
		Total Colombia		15,974,845
		Czech Republic — 0.2%
	34,895	CEZ AS		797,224
	31,631	Komercni Banka AS		7,203,690
	53,108	Pegas Nonwovens SA		2,026,872
	11,785	Philip Morris CR AS		5,411,897
		Total Czech Republic		15,439,683
		Egypt — 0.3%
	153,944	Alexandria Mineral Oils Co		684,043
	83,645,992	Orascom Telecom Media And Technology Holding SAE *		7,668,195
	2,329,156	Sidi Kerir Petrochemicals Co		3,835,880
	10,382,556	Telecom Egypt Co		9,111,455
		Total Egypt		21,299,573
		Greece — 0.1%
	370,033	Hellenic Telecommunications Organization SA		3,386,676
	144,408	OPAP SA		1,133,497
		Total Greece		4,520,173
		Hungary — 0.4%
	10,261,892	Magyar Telekom Telecommunications Plc *		14,605,822
	119,837	MOL Hungarian Oil and Gas Plc		5,949,926

Shares		Description	Value ($)
		Hungary — continued
	93,856	OTP Bank Plc		1,809,491
		Total Hungary		22,365,239
		India — 10.7%
	681,182	Ashok Leyland Ltd		923,719
	1,064,228	Ashoka Buildcon Ltd		2,963,307
	2,455,387	Asian Paints Ltd		31,291,846
	1,422,392	Aurobindo Pharma Ltd		16,033,275
	40,150	Bajaj Finance Ltd		3,034,187
	95,681	Bharat Forge Ltd		1,675,967
	206,851	Britannia Industries Ltd		9,108,232
	984,039	Cairn India Ltd		2,216,682
	717,177	Century Plyboards India Ltd		1,647,013
	91,382	CESC Ltd		713,885
	270,510	Colgate-Palmolive India Ltd		7,960,154
	914,304	Dabur India Ltd		3,769,046
	4,697	Eicher Motors Ltd		1,332,747
	180,743	Emami Ltd		3,208,813
	1,298,149	Fortis Healthcare Ltd *		3,242,576
	3,380,000	Gayatri Projects Ltd (a)		21,783,833
	521,763	Gujarat Pipavav Port Ltd *		1,347,632
	13,969,518	HDFC Bank Ltd (b)		245,440,270
	518,044	HDFC Bank Ltd ADR		29,523,327
	1,363,957	Hero MotoCorp Ltd		49,526,502
	444,693	Hindustan Petroleum Corp Ltd *		5,614,322
	361,003	Hindustan Unilever Ltd		4,685,436
	236,557	Indiabulls Housing Finance Ltd		2,655,974
	881,269	IndusInd Bank Ltd (b)		11,436,055
	310,184	J Kumar Infraprojects Ltd		3,719,593
	2,987,560	Jai Balaji Industries Ltd *		391,365
	2,187,582	Jindal Steel & Power Ltd *		2,261,415
	512,726	JK Lakshmi Cement Ltd *		2,729,844
	1,709,182	Kiri Industries Ltd * (c)		2,365,466
	1,137,935	Maruti Suzuki India Ltd (b)		71,822,064
	405,018	Mphasis Ltd		2,577,822
	8,214	Multi Commodity Exchange of India Ltd (b)		145,582
	47,944	NCC Ltd		51,642
	54,410	Nestle India Ltd		4,880,823
	3,907,674	NMDC Ltd		5,904,339
	265,434	Repco Home Finance Ltd		2,914,634
	639,447	SKS Microfinance Ltd *		4,438,751
	947,720	Snowman Logistics Ltd		1,495,835
	262,987	Sun Pharmaceutical Industries Ltd		3,494,255
	297,140	Supreme Industries Ltd (b)		2,644,838
	630,862	Techno Electric & Engineering Co Ltd		5,412,573
	723,461	Ultratech Cement Ltd		31,384,321
	65,751	United Spirits Ltd *		3,260,257
	863,602	Voltas Ltd		3,538,109
	4,224,346	Yes Bank Ltd		43,847,808
		Total India		660,416,136

14 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Indonesia — 1.0%
	27,357,100	Astra International Tbk PT		11,523,493
	52,639,500	Bakrie Telecom Tbk PT *		187,329
	34,222,969	Gajah Tunggal Tbk PT		1,216,344
	34,871,918	Harum Energy Tbk PT *		2,320,736
	7,403,791	Indo Tambangraya Megah Tbk PT		4,944,670
	42,226,600	Kalbe Farma Tbk PT		5,032,085
	3,615,000	Mitra Keluarga Karysehat Tbk PT		6,950,829
	3,933,580	Perusahaan Gas Negara Persero Tbk PT		779,486
	2,618,080	Tambang Batubara Bukit Asam Persero Tbk PT		1,088,115
	641,100	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		25,778,631
		Total Indonesia		59,821,718
		Malaysia — 0.0%
	8,840,394	Media Prima Bhd		2,209,970
		Mexico — 0.2%
	410,800	Alsea SAB de CV		1,270,676
	2,265,400	Fibra Uno Administracion SA de CV (REIT)		4,869,029
	7,551,140	Genomma Lab Internacional SAB de CV – Class B *		6,178,216
		Total Mexico		12,317,921
		Philippines — 0.8%
	5,505,363	Aboitiz Power Corp		5,086,289
	4,473,726	BDO Unibank Inc		9,421,975
	2,530,650	Concepcion Industrial Corp		2,381,057
	6,206,977	First Gen Corp		3,098,999
	191,192	GT Capital Holdings Inc		5,196,404
	14,066,950	Lopez Holding Corp		2,035,279
	4,780,400	Manila Water Co Inc		2,314,441
	5,925,088	Puregold Price Club Inc		4,013,239
	5,034,280	Robinsons Retail Holdings Inc		7,481,563
	3,123,915	Semirara Mining & Power Corp		8,559,331
		Total Philippines		49,588,577
		Poland — 1.6%
	1,073,150	Asseco Poland SA		14,860,151
	1,801,706	Energa SA		9,317,999
	1,024,997	Jastrzebska Spolka Weglowa SA *		3,320,533
	330,710	KGHM Polska Miedz SA		6,855,953
	11,219,855	PGE SA		46,401,038
	74,739	Powszechny Zaklad Ubezpieczen SA		8,527,331
	6,725,468	Synthos SA		7,030,054
	4,279,414	Tauron Polska Energia SA		3,967,135
		Total Poland		100,280,194

Shares		Description	Value ($)
		Qatar — 0.2%
	1,283,986	Qatar Gas Transport Co Nakilat		7,650,798
	74,532	Qatar National Bank		3,670,200
		Total Qatar		11,320,998
		Russia — 8.2%
	635,183	Bashneft OAO – Class S *		16,974,376
	1,473,920	CTC Media Inc		2,697,274
	862,117	Gazprom Neft JSC Sponsored ADR		9,992,603
	85,654	Gazprom Neft – Class S *		188,584
	26,359,142	Gazprom PAO Sponsored ADR		118,195,790
	472,156	Global Ports Investments Plc GDR (Registered)		2,452,485
	513,607	Globaltrans Investment Plc Sponsored GDR *		1,756,927
	1,546,100	Lenta Ltd GDR *		11,286,530
	585,268	Lenta Ltd GDR *		4,272,302
	2,579,799	Lukoil PJSC Sponsored ADR		97,563,558
	96,518	Magnit PJSC Sponsored GDR (Registered)		4,793,733
	30,699	Mail.ru Group Ltd Sponsored GDR (Registered) *		564,148
	593,115	MegaFon OAO GDR		7,619,401
	4,055,400	Mobile TeleSystems PJSC Sponsored ADR		30,942,702
	8,659,003	Rosneft OJSC GDR (Registered)		32,763,624
	6,124,564	Sberbank Sponsored ADR		29,286,593
	1,927,523	Sistema JSFC Sponsored GDR (Registered)		14,210,041
	214,099	Sollers OJSC *		1,286,778
	16,634,827	Surgutneftegas Sponsored ADR		87,135,270
	1,167,066	Tatneft PAO Sponsored ADR		32,940,172
		Total Russia		506,922,891
		South Africa — 1.4%
	9,364,130	African Bank Investments Ltd * (d)		706
	131,755	Aspen Pharmacare Holdings Ltd *		3,396,534
	1,864,024	Capital Property Fund (REIT)		2,194,877
	303,916	Coronation Fund Managers Ltd		1,693,575
	218,064	Investec Ltd		1,773,634
	2,592,008	Kumba Iron Ore Ltd		17,629,549
	1,363,266	Life Healthcare Group Holdings Ltd		3,914,022
	1,705,915	MTN Group Ltd		22,762,015
	761,345	Sasol Ltd		24,620,874
	84,300	Sasol Ltd Sponsored ADR		2,761,668
	488,277	Truworths International Ltd		3,235,092
	635,240	Wilson Bayly Holmes-Ovcon Ltd		4,548,665
		Total South Africa		88,531,211
		South Korea — 11.5%
	398,821	BNK Financial Group Inc		4,690,113
	61,929	Cheil Worldwide Inc *		910,474

See accompanying notes to the financial statements. 15

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	216,715	Daou Data Corp		3,236,336
	1,068,440	Daou Technology Inc		26,965,725
	981,622	DGB Financial Group Inc		8,626,028
	193,533	Dongbu Insurance Co Ltd		8,702,640
	118,152	Grand Korea Leisure Co Ltd		3,125,130
	9,249	GS Home Shopping Inc		1,562,913
	33,131	Halla Holdings Corp		1,409,831
	914,199	Hana Financial Group Inc		21,010,900
	287,692	Hankook Tire Co Ltd		8,981,514
	883,241	Hankook Tire WorldwideCo Ltd		12,845,354
	75,715	Hanon Systems		2,328,237
	55,280	Hyundai Home Shopping Network Corp		6,001,975
	475,583	Hyundai Marine & Fire Insurance Co Ltd		11,249,752
	466,791	Hyundai Mobis Co Ltd		81,452,380
	570,234	Hyundai Motor Co		71,766,013
	1,881,501	Industrial Bank of Korea		20,981,331
	362,874	KB Insurance Co Ltd		7,497,399
	2,556,901	Kia Motors Corp		105,163,497
	30,845	KT&G Corp		2,881,598
	453,841	Lumens Co Ltd		1,530,821
	923,521	Magnachip Semiconductor Corp *		7,896,104
	489,248	Neowiz Games Corp *		8,289,049
	448,614	Samick Musical Instruments Co Ltd		1,530,552
	204,211	Samsung Electronics Co Ltd		187,909,336
	21,237	Samsung Electronics Co Ltd GDR (Registered)		9,765,374
	294,161	Seoyeon Co Ltd		3,011,091
	136,658	SFA Engineering Corp		5,036,289
	292,402	Shinhan Financial Group Co Ltd		9,805,304
	103,063	Silicon Works Co Ltd		3,079,733
	53,741	SK Innovation Co Ltd *		4,573,535
	17,874	SK Telecom Co Ltd		3,681,539
	1,103,300	SK Telecom Co Ltd Sponsored ADR		25,089,042
	3,665,141	Woori Bank		28,247,268
		Total South Korea		710,834,177
		Sri Lanka — 0.0%
	85,883,101	Anilana Hotels & Properties Ltd * (c)		3,055,638
		Taiwan — 13.7%
	1,047,522	Advantech Co Ltd		6,669,175
	10,295,940	AmTRAN Technology Co Ltd		4,683,572
	9,194,120	Asustek Computer Inc		83,772,088
	1,305,000	Casetek Holdings Ltd		4,872,700
	438,000	Catcher Technology Co Ltd		4,477,566
	738,000	Chipbond Technology Corp		1,075,315
	5,006,590	Chong Hong Construction Co Ltd		6,986,022
	7,617,529	Chunghwa Telecom Co Ltd		23,070,371
	81,326,111	Compal Electronics Inc		47,520,589
	1,662,000	Coretronic Corp		1,323,185

Shares		Description	Value ($)
		Taiwan — continued
	668,590	Delta Electronics Inc		3,353,945
	797,000	Dynapack International Technology Corp		1,160,445
	16,713,121	E.Sun Financial Holding Co Ltd		10,049,400
	1,723,000	Elan Microelectronics Corp		1,720,491
	300,000	Elite Advanced Laser Corp		1,051,771
	6,996,000	Elitegroup Computer Systems Co Ltd		3,920,502
	3,292,084	Far EasTone Telecommunications Co Ltd		7,228,826
	4,774,000	Faraday Technology Corp *		4,141,064
	1,664,277	FLEXium Interconnect Inc		4,754,405
	1,130,000	Formosa Chemicals & Fibre Corp		2,417,349
	10,755,243	Foxconn Technology Co Ltd		30,257,673
	6,519,200	Fubon Financial Holding Co Ltd		11,224,202
	582,410	Giant Manufacturing Co Ltd		4,222,037
	5,374,000	Gigabyte Technology Co Ltd		4,555,720
	9,944,965	Highwealth Construction Corp *		15,403,272
	41,827,143	Hon Hai Precision Industry Co Ltd *		119,072,099
	14,858,000	HTC Corp		21,120,758
	2,320,000	Huaku Development Co Ltd		3,741,236
	1,390,000	IEI Integration Corp		1,600,978
	26,657,600	Inventec Co Ltd		12,215,271
	1,235,000	Kinsus Interconnect Technology Corp		2,204,166
	34,975,836	Lite-On Technology Corp		32,051,075
	341,000	Lotes Co Ltd		950,849
	1,629,000	Lung Yen Life Service Corp *		3,024,295
	948,816	Makalot Industrial Co Ltd		7,996,455
	1,031,030	MediaTek Inc		7,955,269
	7,046,040	Mega Financial Holding Co Ltd		5,293,662
	925,000	Merry Electronics Co Ltd		1,024,394
	1,187,000	Micro-Star International Co Ltd		920,284
	1,574,810	Novatek Microelectronics Corp Ltd		5,284,674
	15,232,470	Pegatron Corp		39,528,744
	1,863,580	Phison Electronics Corp		12,975,095
	9,252,811	Powertech Technology Inc		15,951,939
	567,000	President Chain Store Corp		3,794,338
	28,150,550	Quanta Computer Inc		51,812,322
	12,830,870	Radiant Opto-Electronics Corp		37,420,362
	6,358,720	Realtek Semiconductor Corp *		11,436,947
	5,712,626	Ruentex Development Co Ltd		6,110,225
	3,524,000	Ruentex Industries Ltd		5,632,459
	3,898,780	Simplo Technology Co Ltd		12,935,455
	3,099,060	Synnex Technology International Corp		3,298,556
	16,450,680	Taishin Financial Holding Co Ltd		5,767,576
	4,320,000	Taiwan Cement Corp		4,627,444
	2,025,000	Taiwan Mobile Co Ltd		6,084,007
	2,265,600	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		45,040,128
	4,744,269	Taiwan Surface Mounting Technology Corp		3,987,322
	569,000	Test Research Inc		909,759
	736,000	Tong Hsing Electronic Industries Ltd		1,650,458

16 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	4,471,830	TPK Holding Co Ltd *		11,216,301
	5,870,160	Tripod Technology Corp		8,240,859
	71,577,889	Wistron Corp		35,459,743
	2,501,042	Wistron NeWeb Corp		4,710,567
	4,189,050	WPG Holdings Co Ltd		3,961,721
	4,041,289	Yuanta Financial Holding Co Ltd		1,623,849
	1,186,670	Yungtay Engineering Co Ltd		1,729,373
		Total Taiwan		850,272,699
		Thailand — 2.8%
	12,789,566	Bangchak Petroleum Pcl (Foreign Registered)		12,540,510
	26,614,560	Bangkok Dusit Medical Services Pcl (Foreign Registered)		14,473,303
	59,949,743	Banpu Pcl (Foreign Registered)		34,437,449
	2,094,500	Carabao Group Pcl (Foreign Registered)		2,250,097
	64,051,600	Chularat Hospital Pcl (Foreign Registered)		3,430,217
	3,568,371	Electricity Generating Pcl (Foreign Registered)		15,831,968
	2,890,801	Glow Energy Pcl (Foreign Registered)		7,959,764
	2,511,851	Intouch Holdings Pcl (Foreign Registered) (b)		5,436,391
	1,041,000	Intouch Holdings Pcl NVDR		2,236,211
	2,790,000	Major Cineplex Group Pcl (Foreign Registered)		2,539,997
	2,351,145	PTT Exploration & Production Pcl (Foreign Registered)		5,273,650
	3,028,834	PTT Pcl (Foreign Registered)		22,822,897
	4,522,202	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		6,720,814
	9,855,450	Saha Pathana Inter-Holding Pcl (Foreign Registered)		6,712,210
	59,079,523	Sansiri Pcl (Foreign Registered)		2,607,451
	4,696,800	SPCG Pcl (Foreign Registered)		3,144,978
	7,032,283	Thai Oil Pcl (Foreign Registered)		10,153,194
	3,370,900	Tisco Financial Group Pcl (Foreign Registered)		3,718,939
	28,321,950	TTW Pcl (Foreign Registered)		9,009,066
		Total Thailand		171,299,106
		Turkey — 8.7%
	10,598,388	Akbank TAS		24,808,451
	16,760,096	Asya Katilim Bankasi AS *		4,115,492
	1,394,416	Aygaz AS		4,839,618
	2,517,838	Dogus Otomotiv Servis ve Ticaret AS		10,806,250
	3,600,814	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		3,078,710
	68,070,124	Emlak Konut Gayrimenkul Yatirim (REIT)		58,324,773
	4,327,429	Enka Insaat ve Sanayi AS		7,385,793

Shares		Description	Value ($)
		Turkey — continued
	9,125,270	Eregli Demir ve Celik Fabrikalari TAS		12,403,855
	7,143,897	Gubre Fabrikalari TAS		15,224,633
	6,608,984	Haci Omer Sabanci Holding AS		19,745,159
	7,619,409	Ipek Dogal Enerji Kaynaklari Ve Uretim AS *		5,732,587
	2,609,200	Koza Altin Isletmeleri AS		21,911,174
	12,145,804	Koza Anadolu Metal Madencilik Isletmeleri AS *		9,772,041
	453,904	Pegasus Hava Tasimaciligi AS *		2,879,659
	4,667,317	Tekfen Holding AS		6,407,319
	9,176,494	Turk Hava Yollari AO *		25,395,691
	7,900,151	Turk Telekomunikasyon AS		16,624,835
	297,894	Turk Traktor ve Ziraat Makineleri AS		7,230,629
	13,141,308	Turkcell Iletisim Hizmetleri AS		51,466,944
	213,200	Turkcell Iletisim Hizmetleri AS ADR		2,080,832
	15,230,756	Turkiye Garanti Bankasi AS		38,554,448
	16,437,730	Turkiye Halk Bankasi AS		62,861,764
	32,864,604	Turkiye IS Bankasi – Class C		54,921,696
	36,238,906	Turkiye Vakiflar Bankasi TAO – Class D		47,856,562
	17,937,178	Yapi ve Kredi Bankasi AS		22,091,968
		Total Turkey		536,520,883
		United Arab Emirates — 0.2%
	439,820	Al Noor Hospitals Group Plc		5,723,074
	34,866,321	Dana Gas PJSC *		5,121,419
		Total United Arab Emirates		10,844,493
		United Kingdom — 0.7%
	295,032	British American Tobacco Plc		15,622,667
	10,277	British American Tobacco Plc Sponsored ADR		1,089,157
	628,252	Unilever Plc		25,195,987
	47,000	Unilever Plc Sponsored ADR		1,894,570
		Total United Kingdom		43,802,381
		United States — 0.3%
	324,024	Colgate-Palmolive Co		20,351,947
		Vietnam — 0.1%
	1,154,853	Viet Nam Dairy Products JSC		5,137,279
		TOTAL COMMON STOCKS (COST $6,392,272,741)		5,030,314,657
		PREFERRED STOCKS — 8.5%
		Brazil — 4.1%
	4,793,200	AES Tiete SA		19,838,124
	4,362,900	Banco do Estado do Rio Grande do Sul SA – Class B		9,299,275
	2,466,100	Cia Energetica de Sao Paulo – Class B		10,968,302

See accompanying notes to the financial statements. 17

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Brazil — continued
	1,549,500	Cia Paranaense de Energia – Class B		13,244,868
	1,122,864	Companhia de Transmissao de Energia Eletrica Paulista		11,709,626
	11,168,923	Companhia Energetica de Minas Gerais		23,159,197
	10,782,720	Companhia Energetica de Minas Gerais Sponsored ADR		22,643,712
	1,630,800	Companhia Paranaense de Energia Sponsored ADR		13,666,104
	4,584,700	Eletropaulo Metropolitana SA *		14,765,499
	3,715,488	Gerdau SA Sponsored ADR		5,498,922
	498,887	Gol Linhas Aereas Inteligentes SA *		572,255
	140,721	Gol Linhas Aereas Inteligentes SA ADR *		166,051
	9,382,795	Itausa-Investimentos Itau SA		18,834,668
	2,994,681	Metalurgica Gerdau SA		2,485,487
	470,560	Oi SA ADR *		352,920
	1,950,000	Telefonica Brasil SA		21,717,149
	4,436,499	Telefonica Brasil SA ADR		49,378,234
	993,900	Tim Participacoes SA ADR		12,016,251
		Total Brazil		250,316,644
		Russia — 2.8%
	24,196,810	Sberbank *		19,705,882
	225,907,023	Surgutneftegas OAO *		136,786,702
	12,100	Surgutneftegaz Sponsored ADR		77,501
	7,798	Transneft *		18,454,799
		Total Russia		175,024,884
		South Korea — 1.6%
	334,142	Hyundai Motor Co		28,213,035
	172,982	Hyundai Motor Co 2nd Preference		14,161,387
	76,342	Samsung Electronics Co Ltd (Non-Voting)		56,109,072
	713	Samsung Electronics Co Ltd GDR (Registered)		257,829
		Total South Korea		98,741,323
		TOTAL PREFERRED STOCKS (COST $834,476,944)		524,082,851
		INVESTMENT FUNDS — 5.7%
		China — 0.0%
	245,374	The China A Share Fund Ltd – Class S2 * (d) (e)		2,179,532
		India — 0.1%
	10,189	Fire Capital Mauritius Private Fund * (d) (e)		7,478,336
	1,371,900	TDA India Technology Fund II LP * (d) (e)		310,515
		Total India		7,788,851

Shares / Par Value		Description	Value ($)
		Poland — 0.0%
	1,749,150	Templeton EE FD * (d) (e)		186,869
		Russia — 0.1%
	5,452,004	NCH Eagle Fund LP * (d) (e)		3,070,160
		Thailand — 0.3%
	22,003,675	BTS Rail Mass Transit Growth Infrastructure Fund		6,267,798
	2,666,100	TICON Industrial Growth Leasehold Property Fund		885,449
	29,955,800	TRUE Telecommunication Growth Infrastructure Fund		10,367,704
		Total Thailand		17,520,951
		United States — 5.2%
	9,408,671	iShares MSCI Emerging Markets ETF		318,389,427
		TOTAL INVESTMENT FUNDS (COST $375,229,406)		349,135,790
		RIGHTS/WARRANTS — 0.0%
		Thailand — 0.0%
	42,563,506	Sansiri PCL Warrants, Expires 11/24/17 *		213,738
		TOTAL RIGHTS/WARRANTS (COST $0)		213,738
		MUTUAL FUNDS — 3.3%
		United States — 3.3%
		Affiliated Issuers
	8,199,364	GMO U.S. Treasury Fund		204,984,110
		TOTAL MUTUAL FUNDS (COST $204,984,110)		204,984,110
		SHORT-TERM INVESTMENTS — 0.9%
		Time Deposits — 0.8%
USD	12,389,836	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.06%, due 09/01/15		12,389,836
USD	12,389,836	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.06%, due 09/01/15		12,389,836
USD	12,389,836	Barclays (London) Time Deposit, 0.06%, due 09/01/15		12,389,836
SGD	38	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.10%, due 09/01/15		27
ZAR	677,713	Brown Brothers Harriman (Grand Cayman) Time Deposit, 5.05%, due 09/01/15		51,109

18 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value		Description	Value ($)
		Time Deposits — continued
HKD	3,163,562	HSBC Bank (London) Time Deposit, 0.01%, due 09/01/15		408,199
USD	11,343,822	Skandinaviska Enskilda Banken, AB (Stockholm) Time Deposit, 0.06%, due 09/01/15		11,343,822
		Total Time Deposits		48,972,665
		U.S. Government — 0.1%
	7,700,000	U.S. Treasury Bill, 0.00%, due 09/24/15 (f) (g)		7,700,015
		Total U.S. Government		7,700,015
		TOTAL SHORT-TERM INVESTMENTS (COST $56,672,426)		56,672,680
		TOTAL INVESTMENTS — 99.7% (Cost $7,863,635,627)		6,165,403,826
		Other Assets and Liabilities (net) — 0.3%		21,182,853
		TOTAL NET ASSETS — 100.0%		$6,186,586,679

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2015
The China A Share Fund Ltd – Class S2	4/23/10	$	2,453,738	0.04%	$	2,179,532
Fire Capital Mauritius Private Fund	12/12/06-10/26/09		10,189,080	0.12%		7,478,336
Gayatri Project	8/7/15		10,789,949	0.40%		21,783,833
NCH Eagle Fund LP	4/6/09		5,452,004	0.05%		3,070,160
TDA India Technology Fund II LP	2/23/00-3/23/04		—	0.01%		310,515
Templeton EE FD	12/5/97-6/24/02		471,720	0.00%		186,869
					$	35,009,245

See accompanying notes to the financial statements. 19

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Swap Contracts

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund (Pays)/Receives	Net Unrealized Appreciation/ (Depreciation)
	22,929,261	USD	9/17/2015	MSCI	Depreciation of Total Return on Asustek Computer Inc + (Monthly Fed Funds Rate minus 0.50%)	Appreciation of Total Return on Asustek Computer Inc	$	1,272,981
	2,325,446	USD	1/8/2016	BOA	Depreciation of Total Return on Cia Siderurgica Nacional SA + (Monthly BBA USD LIBOR minus 9.00%)	Appreciation of Total Return on Cia Siderurgica Nacional SA		(387,956	)
	504,364	USD	1/20/2016	BOA	Depreciation of Total Return on Gol Linhas Aereas Inteligentes SA + (Monthly BBA USD LIBOR minus 5.00%)	Appreciation of Total Return on Gol Linhas Aereas Inteligentes SA		(45,135	)
	8,055,300	USD	9/30/2015	JPM	Depreciation of Total Return on Grupo BTG Pactual + (Monthly Fed Funds Rate minus 30.00%)	Appreciation of Total Return on Grupo BTG Pactual		—
							$	839,890

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) This security is restricted as to resale.

(b) Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits.

(c) Affiliated company (Note 10).

(d) Security valued at fair value using methods determined in good faith by or at the direct of the Trustees of GMO Trust (Note 2).

(e) Private placement securities are restricted as to resale.

(f) The rate shown represents yield-to-maturity.

(g) Rate rounds to 0.00%.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 24.

20 See accompanying notes to the financial statements.

GMO Taiwan Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		92.5	%
Mutual Funds		3.7
Short-Term Investments		0.7
Investment Funds		0.2
Other		2.9
		100.0	%
Industry Sector Summary	% of Equity Investments*
Electronic Equipment, Instruments & Components		26.4	%
Technology Hardware, Storage & Peripherals		24.6
Semiconductors & Semiconductor Equipment		22.0
Real Estate Management & Development		5.5
Banks		3.9
Diversified Telecommunication Services		3.3
Wireless Telecommunication Services		2.7
Textiles, Apparel & Luxury Goods		2.7
Diversified Financial Services		1.8
Construction Materials		1.1
Household Durables		1.1
Food & Staples Retailing		1.0
Leisure Products		1.0
Communications Equipment		0.9
Chemicals		0.8
Diversified Consumer Services		0.4
Capital Markets		0.4
Machinery		0.4
		100.0	%

* Equity investments may consist of common stocks and other stock-related securities, such as a preferred stock. The table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

21

GMO Taiwan Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.5%
		Taiwan — 92.5%
	2,088,850	AmTRAN Technology Co Ltd		950,208
	957,323	Asustek Computer Inc		8,722,634
	257,000	Chipbond Technology Corp		374,466
	772,371	Chong Hong Construction Co Ltd		1,077,740
	957,132	Chunghwa Telecom Co Ltd		2,898,760
	4,980,486	Compal Electronics Inc		2,910,205
	690,000	Coretronic Corp		549,337
	112,000	Delta Electronics Inc		561,842
	363,000	Dynapack International Technology Corp		528,534
	2,633,912	E.Sun Financial Holding Co Ltd		1,583,740
	453,000	Elan Microelectronics Corp		452,340
	109,980	Elite Advanced Laser Corp		385,579
	579,767	Far EasTone Telecommunications Co Ltd		1,273,064
	789,000	Faraday Technology Corp *		684,395
	314,525	Flexium Interconnect Inc		898,516
	346,700	Formosa Chemicals & Fibre Corp		741,677
	377,578	Foxconn Technology Co Ltd		1,062,238
	947,000	Fubon Financial Holding Co Ltd		1,630,464
	125,050	Giant Manufacturing Co Ltd		906,519
	1,254,325	Highwealth Construction Corp *		1,942,763
	4,458,060	Hon Hai Precision Industry Co Ltd *		12,691,055
	530,028	HTC Corp		753,439
	499,000	Huaku Development Co Ltd		804,688
	269,000	Kinsus Interconnect Technology Corp		480,098
	1,453,490	Lite-On Technology Corp		1,331,946
	208,000	Lotes Co Ltd		579,990
	223,000	Lung Yen Life Service Corp *		414,007
	163,565	Makalot Industrial Co Ltd		1,378,497
	129,596	MediaTek Inc		999,943
	1,029,609	Mega Financial Holding Co Ltd		773,541
	396,000	Merry Electronics Co Ltd		438,551
	239,995	Novatek Microelectronics Corp Ltd		805,364
	689,000	Pegatron Corp		1,787,977
	230,000	Phison Electronics Corp		1,601,365
	1,129,475	Powertech Technology Inc		1,947,226
	135,950	President Chain Store Corp		909,771
	1,833,856	Quanta Computer Inc		3,375,292
	1,360,670	Radiant Opto-Electronics Corp		3,968,302
	798,870	Realtek Semiconductor Corp *		1,436,867
	998,036	Ruentex Development Co Ltd		1,067,499
	616,600	Ruentex Industries Ltd		985,521
	532,000	Simplo Technology Co Ltd		1,765,081
	712,000	Synnex Technology International Corp		757,834
	3,045,684	Taishin Financial Holding Co Ltd		1,067,811
	894,550	Taiwan Cement Corp		958,213
	371,000	Taiwan Mobile Co Ltd		1,114,650
	293,600	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		5,836,768

Shares / Par Value		Description	Value ($)
		Taiwan — continued
	827,022	Taiwan Surface Mounting Technology Corp		695,071
	312,000	Test Research Inc		498,848
	290,000	Tong Hsing Electronic Industries Ltd		650,316
	555,358	TPK Holding Co Ltd *		1,392,956
	925,000	Tripod Technology Corp		1,298,567
	3,923,455	Wistron Corp		1,943,683
	452,880	Wistron NeWeb Corp		852,973
	888,000	WPG Holdings Co Ltd		839,810
	854,848	Yuanta Financial Holding Co Ltd		343,490
	215,152	Yungtay Engineering Co Ltd		313,548
		Total Taiwan		88,995,579
		TOTAL COMMON STOCKS (COST $109,341,265)		88,995,579
		INVESTMENT FUNDS — 0.2%
		Taiwan — 0.2%
	12,529	iShares MSCI Taiwan ETF		167,387
		TOTAL INVESTMENT FUNDS (COST $207,825)		167,387
		MUTUAL FUNDS — 3.7%
		United States — 3.7%
		Affiliated Issuers
	142,743	GMO U.S. Treasury Fund		3,568,577
		TOTAL MUTUAL FUNDS (COST $3,568,577)		3,568,577
		SHORT-TERM INVESTMENTS — 0.7%
		Time Deposits — 0.7%
USD	116,658	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.06%, due 09/01/15		116,658
USD	191,262	Barclays (London) Time Deposit, 0.06%, due 09/01/15		191,262
USD	191,262	JPMorgan Chase (New York) Time Deposit, 0.06%, due 09/01/15		191,262
USD	191,262	Sumitomo (Tokyo) Time Deposit, 0.06%, due 09/01/15		191,262
		Total Time Deposits		690,444
		TOTAL SHORT-TERM INVESTMENTS (COST $690,444)		690,444
		TOTAL INVESTMENTS — 97.1% (Cost $113,808,111)		93,421,987
		Other Assets and Liabilities (net) — 2.9%		2,772,526
		TOTAL NET ASSETS — 100.0%		$96,194,513

22 See accompanying notes to the financial statements.

GMO Taiwan Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Notes to Schedule of Investments:

* Non-income producing security.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 24.

See accompanying notes to the financial statements. 23

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2015

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act

of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

ADR - American Depositary Receipt

BBA - British Banks Association

ETF - Exchange-Traded Fund

Foreign Registered – Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depository Receipt

JSC - Joint Stock Company

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

REIT - Real Estate Investment Trust

USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.

Counterparty Abbreviations:

BOA - Bank of America, N.A.

GS – Goldman Sachs International

JPM – JPMorgan Chase Bank, N.A,

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

EUR - Euro

HKD – Hong Kong Dollar

INR – Indian Rupee

KRW – South Korean Won

SGD - Singapore Dollar

THB – Thai Baht

TWD – Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

24 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited)

	Emerging Countries Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund		Taiwan Fund
Assets:
Investments in unaffiliated issuers, at value (Note 2)(a)	$	23,148,574	$	2,243,026,774	$	5,954,998,612	$	89,853,410
Investments in affiliated issuers, at value (Notes 2 and 10)(b)		5,498		81,813,937		210,405,214		3,568,577
Foreign currency, at value (Note 2)(c)		652,038		40,467,863		77,717,487		1,851,378
Cash		—		—		146,626		—
Receivable for investments sold		52,561		80,168,869		28,696,865		—
Receivable for Fund shares sold		—		—		1,701,606		—
Dividends receivable		130,348		7,297,945		28,949,283		1,138,175
Dividend withholding taxes receivable		34		586,375		12,456		—
Foreign capital gains tax refund receivable		223,104		61,750		3,155,104		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		3,110,324		—		—
Receivable for foreign currency sold		8		—		5,829		—
Receivable for variation margin on open futures contracts (Note 4)		—		481,183		—		—
Due from broker (Note 2)		—		2,934,644		—		—
Receivable for open OTC swap contracts (Note 4)		—		—		1,272,981		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		15,224		67,944		191,573		—
Miscellaneous receivable		9		7,948		1,289,750		159
Total assets		24,227,398		2,460,025,556		6,308,543,386		96,411,699
Liabilities:
Due to custodian		—		5,171,961		—		—
Payable for investments purchased		9		140,110,857		109,654,180		158
Payable for Fund shares repurchased		25,509		—		—		—
Accrued foreign capital gains tax payable (Note 2)		—		535,119		4,754,152		—
Payable to affiliate for (Note 5):
Management fee		16,218		1,552,965		4,039,836		66,324
Shareholder service fee		3,745		265,503		439,860		12,283
Payable for foreign currency purchased		—		6,220		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		1,932,888		—		—
Payable for open OTC swap contracts (Note 4)		—		—		433,091		—
Miscellaneous payable		—		—		988,341		—
Payable to agents unaffiliated with GMO		—		279		744		—
Payable to Trustees and related expenses		51		4,663		10,228		360
Accrued expenses		155,735		811,403		1,636,275		138,061
Total liabilities		201,267		150,391,858		121,956,707		217,186
Net assets	$	24,026,131	$	2,309,633,698	$	6,186,586,679	$	96,194,513
(a)      Cost of investments – unaffiliated issuers:	$	31,221,396	$	2,428,319,223	$	7,650,967,314	$	110,239,534
(b)      Cost of investments – affiliated issuers:	$	5,498	$	71,947,228	$	212,668,313	$	3,568,577
(c)      Cost of foreign currency:	$	652,966	$	40,508,187	$	79,062,774	$	1,856,338

See accompanying notes to the financial statements. 25

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited) — (Continued)

	Emerging Countries Fund			Emerging Domestic Opportunities Fund			Emerging Markets Fund			Taiwan Fund
Net assets consist of:
Paid-in capital	$	53,860,525		$	2,514,528,500		$	8,810,758,201		$	116,640,084
Accumulated undistributed net investment income		253,757			9,638,305			94,363,425			2,247,309
Accumulated net realized loss		(22,006,139	)		(40,177,911	)		(1,019,286,024	)		(2,272,661	)
Net unrealized depreciation		(8,082,012	)		(174,355,196	)		(1,699,248,923	)		(20,420,219	)
	$	24,026,131		$	2,309,633,698		$	6,186,586,679		$	96,194,513
Net assets attributable to:
Class II shares	$	—		$	649,132,024		$	601,180,118		$	—
Class III shares	$	24,026,131		$	278,873,403		$	287,014,830		$	96,194,513
Class IV shares	$	—		$	578,600,516		$	538,048,483		$	—
Class V shares	$	—		$	280,086,705		$	295,139,945		$	—
Class VI shares	$	—		$	522,941,050		$	4,465,203,303		$	—
Shares outstanding:
Class II		—			30,742,963			71,893,804			—
Class III		3,197,865			13,209,559			34,235,762			5,486,044
Class IV		—			27,389,350			64,725,997			—
Class V		—			13,268,434			35,591,037			—
Class VI		—			24,695,135			537,250,445			—
Net asset value per share:
Class II	$	—		$	21.11		$	8.36		$	—
Class III	$	7.51		$	21.11		$	8.38		$	17.53
Class IV	$	—		$	21.13		$	8.31		$	—
Class V	$	—		$	21.11		$	8.29		$	—
Class VI	$	—		$	21.18		$	8.31		$	—

26 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2015 (Unaudited)

	Emerging Countries Fund			Emerging Domestic Opportunities Fund			Emerging Markets Fund			Taiwan Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)(a)	$	869,658		$	38,201,006		$	180,110,313		$	3,413,137
Dividends from affiliated issuers (Note 10)		44			489,289			38,733			329
Interest		95			29,617			17,628			3,750
Total investment income		869,797			38,719,912			180,166,674			3,417,216
Expenses:
Management fee (Note 5)		116,773			9,756,782			27,143,292			440,133
Shareholder service fee – Class II (Note 5)		—			805,493			909,352			—
Shareholder service fee – Class III (Note 5)		26,947			244,408			236,086			81,506
Shareholder service fee – Class IV (Note 5)		—			340,465			364,393			—
Shareholder service fee – Class V (Note 5)		—			124,804			122,872			—
Shareholder service fee – Class VI (Note 5)		—			165,413			1,406,228			—
Audit and tax fees		64,164			80,164			133,641			44,730
Custodian and fund accounting agent fees		98,451			1,669,625			4,443,342			151,336
Legal fees		3,865			23,000			58,384			2,760
Registration fees		11,776			4,784			16,808			736
Transfer agent fees		14,536			37,259			38,332			13,707
Trustees fees and related expenses (Note 5)		184			14,720			38,824			736
Miscellaneous		18,062			36,600			76,741			10,943
Total expenses		354,758			13,303,517			34,988,295			746,587
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(112,977	)		(483,781	)		(1,267,073	)		—
Net expenses		241,781			12,819,736			33,721,222			746,587
Net investment income (loss)		628,016			25,900,176			146,445,452			2,670,629
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (Net of foreign capital gains tax) (Note 2)(b)		(2,204,693	)		(2,616,003	)		(156,967,457	)		783,381
Investments in affiliated issuers		—			2,333			—			—
Realized gain distributions from affiliated issuers (Note 10)		4			3,015			1,311			1
Futures contracts		—			14,912,900			—			—
Swap contracts		—			—			(3,329,043	)		—
Foreign currency, forward contracts and foreign currency related transactions		(36,280	)		(2,133,875	)		(4,630,183	)		(139,732	)
Net realized gain (loss)		(2,240,969	)		10,168,370			(164,925,372	)		643,650
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (Net of foreign capital gains tax) (c)		(4,775,354	)		(339,558,660	)		(1,225,718,667	)		(25,691,134	)
Investments in affiliated issuers		—			6,881,931			(501,942	)		—
Futures contracts		—			1,151,116			—			—
Swap contracts		—			—			(2,151,051	)		—
Foreign currency, forward contracts and foreign currency related transactions		15,205			777,023			(2,664,876	)		(33,824	)
Net unrealized gain (loss)		(4,760,149	)		(330,748,590	)		(1,231,036,536	)		(25,724,958	)
Net realized and unrealized gain (loss)		(7,001,118	)		(320,580,220	)		(1,395,961,908	)		(25,081,308	)
Net increase (decrease) in net assets resulting from operations	$	(6,373,102	)	$	(294,680,044	)	$	(1,249,516,456	)	$	(22,410,679	)
(a)    Withholding tax:	$	115,766		$	4,385,726		$	24,300,838		$	844,415
(b)    Foreign capital gains tax on net realized gain (loss):	$	12,356		$	2,053,639		$	1,555,757		$	—
(c)    Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	(23,015	)	$	(9,652,813	)	$	(5,222,813	)	$	—

See accompanying notes to the financial statements. 27

GMO Trust Funds

Statements of Changes in Net Assets

	Emerging Countries Fund						Emerging Domestic Opportunities Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	628,016		$	1,184,801		$	25,900,176		$	33,721,038
Net realized gain (loss)		(2,240,969	)		(2,531,493	)		10,168,370			413,236
Change in net unrealized appreciation (depreciation)		(4,760,149	)		2,637,375			(330,748,590	)		164,993,061
Net increase (decrease) in net assets from operations		(6,373,102	)		1,290,683			(294,680,044	)		199,127,335
Distributions to shareholders from:
Net investment income
Class II		—			—			(5,784,059	)		(6,969,672	)
Class III		(50,296	)		(1,474,749	)		(2,576,635	)		(3,618,631	)
Class IV		—			—			(5,176,982	)		(7,811,591	)
Class V		—			—			(2,664,425	)		(2,739,358	)
Class VI		—			—			(5,139,646	)		(6,863,610	)
Total distributions from net investment income		(50,296	)		(1,474,749	)		(21,341,747	)		(28,002,862	)
Net realized gains
Class II		—			—			—			(5,462,117	)
Class III		—			—			—			(2,421,478	)
Class IV		—			—			—			(4,973,323	)
Class V		—			—			—			(1,692,156	)
Class VI		—			—			—			(4,125,188	)
Total distributions from net realized gains		—			—			—			(18,674,262	)
Net share transactions (Note 9):
Class II		—			—			(357,592	)		69,726,193
Class III		(8,052,921	)		(6,700,723	)		(19,661,745	)		(64,875,343	)
Class IV		—			—			(31,780,970	)		(14,500,401	)
Class V		—			—			64,423,533			4,431,514
Class VI		—			—			(9,760,577	)		24,053,999
Class M*		—			(17,480,070	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(8,052,921	)		(24,180,793	)		2,862,649			18,835,962
Purchase premiums and redemption fees (Notes 2 and 9):
Class II		—			—			234,349			881,109
Class III		—			—			103,092			436,056
Class IV		—			—			206,626			847,543
Class V		—			—			96,890			296,484
Class VI		—			—			191,923			712,694
Increase in net assets resulting from purchase premiums and redemption fees		—			—			832,880			3,173,886
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(8,052,921	)		(24,180,793	)		3,695,529			22,009,848
Total increase (decrease) in net assets		(14,476,319	)		(24,364,859	)		(312,326,262	)		174,460,059
Net assets:
Beginning of period		38,502,450			62,867,309			2,621,959,960			2,447,499,901
End of period	$	24,026,131		$	38,502,450		$	2,309,633,698		$	2,621,959,960
Accumulated undistributed net investment income	$	253,757		$	—		$	9,638,305		$	5,079,876
Distributions in excess of net investment income	$	—		$	(323,963	)	$	—		$	—

* Class M liquidated on May 2, 2014.

28 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Emerging Markets Fund						Taiwan Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	146,445,452		$	208,140,040		$	2,670,629		$	2,996,941
Net realized gain (loss)		(164,925,372	)		(161,171,169	)		643,650			8,127,671
Change in net unrealized appreciation (depreciation)		(1,231,036,536	)		258,119,853			(25,724,958	)		967,130
Net increase (decrease) in net assets from operations		(1,249,516,456	)		305,088,724			(22,410,679	)		12,091,742
Distributions to shareholders from:
Net investment income
Class II		(1,500,504	)		(30,080,505	)		—			—
Class III		(839,044	)		(11,535,146	)		(138,771	)		(3,652,404	)
Class IV		(1,640,758	)		(25,893,927	)		—			—
Class V		(1,046,298	)		(11,436,455	)		—			—
Class VI		(15,224,933	)		(151,077,564	)		—			—
Total distributions from net investment income		(20,251,537	)		(230,023,597	)		(138,771	)		(3,652,404	)
Net realized gains
Class III		—			—			(4,888,940	)		(824,404	)
Total distributions from net realized gains		—			—			(4,888,940	)		(824,404	)
Net share transactions (Note 9):
Class II		(272,520,367	)		(319,910,811	)		—			—
Class III		67,650,181			(160,879,703	)		5,787,926			(41,624,857	)
Class IV		(199,597,346	)		91,215,622			—			—
Class V		199,118,334			(233,923,236	)		—			—
Class VI		161,108,527			(121,783,049	)		—			—
Increase (decrease) in net assets resulting from net share transactions		(44,240,671	)		(745,281,177	)		5,787,926			(41,624,857	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class II		1,593,190			3,770,747			—			—
Class III		619,898			1,257,611			99,813			361,672
Class IV		1,296,696			2,795,278			—			—
Class V		592,794			1,156,512			—			—
Class VI		9,836,724			16,722,843			—			—
Increase in net assets resulting from purchase premiums and redemption fees		13,939,302			25,702,991			99,813			361,672
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(30,301,369	)		(719,578,186	)		5,887,739			(41,263,185	)
Total increase (decrease) in net assets		(1,300,069,362	)		(644,513,059	)		(21,550,651	)		(33,648,251	)
Net assets:
Beginning of period		7,486,656,041			8,131,169,100			117,745,164			151,393,415
End of period	$	6,186,586,679		$	7,486,656,041		$	96,194,513		$	117,745,164
Accumulated undistributed net investment income	$	94,363,425		$	—		$	2,247,309		$	—
Distributions in excess of net investment income	$	—		$	(31,830,490	)	$	—		$	(284,549	)

See accompanying notes to the financial statements. 29

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRIES FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	9.13			$	9.21			$	10.61			$	11.03			$	11.50			$	9.24
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.16				0.22				0.26				0.20				0.24				0.11
Net realized and unrealized gain (loss)			(1.77	)			0.05				(1.38	)			(0.43	)			(0.50	)(b)			2.28
Total from investment operations			(1.61	)			0.27				(1.12	)			(0.23	)			(0.26	)			2.39
Less distributions to shareholders:
From net investment income			(0.01	)			(0.35	)			(0.28	)			(0.19	)			(0.21	)			(0.13	)
Total distributions			(0.01	)			(0.35	)			(0.28	)			(0.19	)			(0.21	)			(0.13	)
Net asset value, end of period		$	7.51			$	9.13			$	9.21			$	10.61			$	11.03			$	11.50
Total Return(c)			(17.62	)%**			3.02	%			(10.61	)%			(2.05	)%			(1.96	)%			25.89	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	24,026			$	38,502			$	46,055			$	134,535			$	157,638			$	231,921
Net expenses to average daily net assets(d)			1.35	%*			1.23	%			1.24	%(e)			1.18	%(e)			1.17	%(e)			1.15	%(e)
Net investment income (loss) to average daily net assets(a)			3.50	%*			2.27	%			2.66	%			1.94	%			2.14	%			1.05	%
Portfolio turnover rate			24	%**			74	%			122	%			108	%			113	%			124	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.63	%*			0.28	%			0.43	%			0.21	%			0.14	%			0.15	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e) The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

30 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND

	Class II Shares																				Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28,												Period from March 24, 2011 (commencement of operations) through February 29, 2012				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28,								Period from June 29, 2012 (commencement of operations) through February 28, 2013
					2015				2014				2013												2015				2014
Net asset value, beginning of period		$	23.99			$	22.55			$	24.60			$	21.39			$	20.89			$	23.98			$	22.54			$	24.59			$	21.02
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.23				0.28				0.26				0.24				0.20				0.23				0.29				0.30				0.05
Net realized and unrealized gain (loss)			(2.92	)			1.55				(1.22	)			3.27				0.39	(b)			(2.91	)			1.55				(1.24	)			3.84
Total from investment operations			(2.69	)			1.83				(0.96	)			3.51				0.59				(2.68	)			1.84				(0.94	)			3.89
Less distributions to shareholders:
From net investment income			(0.19	)			(0.23	)			(0.30	)			(0.15	)			(0.09	)			(0.19	)			(0.24	)			(0.32	)			(0.17	)
From net realized gains			—				(0.16	)			(0.79	)			(0.15	)			—				—				(0.16	)			(0.79	)			(0.15	)
Total distributions			(0.19	)			(0.39	)			(1.09	)			(0.30	)			(0.09	)			(0.19	)			(0.40	)			(1.11	)			(0.32	)
Net asset value, end of period		$	21.11			$	23.99			$	22.55			$	24.60			$	21.39			$	21.11			$	23.98			$	22.54			$	24.59
Total Return(c)			(11.28	)%**			8.18	%			(4.01	)%			16.47	%			2.86	%**			(11.22	)%**			8.23	%			(3.95	)%			18.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	649,132			$	738,035			$	621,278			$	352,479			$	112,056			$	278,873			$	336,488			$	384,757			$	104,740
Net expenses to average daily net assets(e)			1.08	%*			1.07	%			1.07	%(d)			1.07	%(d)			1.02	%*			1.01	%*			1.00	%			1.00	%(d)			1.00	%*(d)
Net investment income (loss) to average daily net assets(a)			1.90	%*			1.21	%			1.09	%			1.05	%			1.05	%*			1.95	%*			1.26	%			1.23	%			0.31	%*
Portfolio turnover rate			115	%**			204	%			274	%			247	%			459	%**††			115	%**			204	%			274	%			247	%**†††
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.03	%			0.03	%			0.03	%			0.42	%*			0.04	%*			0.03	%			0.03	%			0.04	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.03			$	0.10			$	0.24			$	0.45			$	0.01			$	0.03			$	0.09			$	0.31
	Class IV Shares																Class V Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28,								Period from May 2, 2012 (commencement of operations) through February 28, 2013				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28, 2015				Period from November 29, 2013 (commencement of operations) through February 28, 2014
					2015				2014
Net asset value, beginning of period		$	24.00			$	22.56			$	24.60			$	22.00			$	23.98			$	22.54			$	24.52
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.24				0.30				0.31				0.14				0.25				0.31				0.01
Net realized and unrealized gain (loss)			(2.91	)			1.56				(1.23	)			2.78				(2.92	)			1.55				(1.20	)
Total from investment operations			(2.67	)			1.86				(0.92	)			2.92				(2.67	)			1.86				(1.19	)
Less distributions to shareholders:
From net investment income			(0.20	)			(0.26	)			(0.33	)			(0.17	)			(0.20	)			(0.26	)			(0.34	)
From net realized gains			—				(0.16	)			(0.79	)			(0.15	)			—				(0.16	)			(0.45	)
Total distributions			(0.20	)			(0.42	)			(1.12	)			(0.32	)			(0.20	)			(0.42	)			(0.79	)
Net asset value, end of period		$	21.13			$	24.00			$	22.56			$	24.60			$	21.11			$	23.98			$	22.54
Total Return(c)			(11.19	)%**			8.29	%			(3.88	)%			13.34	%**			(11.18	)%**			8.32	%			(4.95	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	578,601			$	686,589			$	659,592			$	518,430			$	280,087			$	255,379			$	235,753
Net expenses to average daily net assets(e)			0.96	%*			0.95	%			0.95	%(d)			0.95	%*(d)			0.94	%*			0.93	%			0.94	%*(d)
Net investment income (loss) to average daily net assets(a)			2.00	%*			1.29	%			1.29	%			0.71	%*			2.07	%*			1.32	%			0.09	%*
Portfolio turnover rate			115	%**			204	%			274	%			247	%**†††			115	%**			204	%			274	%**††††
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.03	%			0.03	%			0.04	%*			0.04	%*			0.03	%			0.06	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.03			$	0.10			$	0.28			$	0.01			$	0.03			$	0.02

See accompanying notes to the financial statements. 31

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28,												Period from September 19, 2011 (commencement of operations) through February 29, 2012
					2015				2014				2013
Net asset value, beginning of period		$	24.06			$	22.61			$	24.65			$	21.41			$	20.34
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.25				0.31				0.36				0.34				0.10
Net realized and unrealized gain (loss)			(2.93	)			1.57				(1.28	)			3.22				1.06	(b)
Total from investment operations			(2.68	)			1.88				(0.92	)			3.56				1.16
Less distributions to shareholders:
From net investment income			(0.20	)			(0.27	)			(0.33	)			(0.17	)			(0.09	)
From net realized gains			—				(0.16	)			(0.79	)			(0.15	)			—
Total distributions			(0.20	)			(0.43	)			(1.12	)			(0.32	)			(0.09	)
Net asset value, end of period		$	21.18			$	24.06			$	22.61			$	24.65			$	21.41
Total Return(c)			(11.18	)%**			8.37	%			(3.84	)%			16.69	%			5.78	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	522,941			$	605,469			$	546,120			$	654,063			$	418,017
Net expenses to average daily net assets(e)			0.91	%*			0.90	%			0.90	%(d)			0.90	%(d)			0.87	%*(d)
Net investment income (loss) to average daily net assets(a)			2.07	%*			1.34	%			1.47	%			1.50	%			1.10	%*
Portfolio turnover rate			115	%**			204	%			274	%			247	%			459	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.03	%			0.03	%			0.03	%			0.13	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.03			$	0.11			$	0.07			$	0.18

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b) The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) The net expense ratio does not include the effect of expense reductions (Note 2).

^(e) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

† Calculated using average shares outstanding throughout the period.

†† Calculation represents portfolio turnover of the Fund for the year ended February 29, 2012.

††† Calculation represents portfolio turnover of the Fund for the year ended February 28, 2013.

†††† Calculation represents portfolio turnover of the Fund for the year ended February 28, 2014.

* Annualized.

** Not annualized.

32 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND

	Class II Shares																								Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011								2015				2014				2013				2012				2011
Net asset value, beginning of period		$	10.16			$	10.20			$	11.74			$	12.10			$	14.46			$	11.63			$	10.19			$	10.23			$	11.77			$	12.13			$	14.49			$	11.66
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.18				0.28				0.25				0.22				0.24				0.16				0.21				0.27				0.27				0.24				0.26				0.16
Net realized and unrealized gain (loss)			(1.96	)			0.00	(b)			(1.52	)			(0.35	)			(0.65	)			2.84				(1.99	)			0.02				(1.54	)			(0.36	)			(0.66	)			2.85
Total from investment operations			(1.78	)			0.28				(1.27	)			(0.13	)			(0.41	)			3.00				(1.78	)			0.29				(1.27	)			(0.12	)			(0.40	)			3.01
Less distributions to shareholders:
From net investment income			(0.02	)			(0.32	)			(0.27	)			(0.23	)			(0.21	)			(0.17	)			(0.03	)			(0.33	)			(0.27	)			(0.24	)			(0.22	)			(0.18	)
From net realized gains			—				—				—				—				(1.74	)			—				—				—				—				—				(1.74	)			—
Total distributions			(0.02	)			(0.32	)			(0.27	)			(0.23	)			(1.95	)			(0.17	)			(0.03	)			(0.33	)			(0.27	)			(0.24	)			(1.96	)			(0.18	)
Net asset value, end of period		$	8.36			$	10.16			$	10.20			$	11.74			$	12.10			$	14.46			$	8.38			$	10.19			$	10.23			$	11.77			$	12.13			$	14.49
Total Return(c)			(17.54	)%**			2.84	%			(10.92	)%			(1.00	)%			(1.94	)%			25.77	%			(17.54	)%**			2.91	%			(10.87	)%			(0.96	)%			(1.89	)%			25.80	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	601,180			$	1,000,299			$	1,308,100			$	2,004,694			$	2,100,382			$	2,304,697			$	287,015			$	283,712			$	447,963			$	970,102			$	1,334,720			$	1,445,916
Net expenses to average daily net assets(e)			1.08	%*			1.07	%			1.06	%(d)			1.06	%(d)			1.05	%(d)			1.07	%(d)			1.03	%*			1.02	%			1.01	%(d)			1.01	%(d)			1.00	%(d)			1.02	%(d)
Net investment income (loss) to average daily net assets(a)			3.72	%*			2.66	%			2.33	%			1.97	%			1.88	%			1.21	%			4.16	%*			2.55	%			2.45	%			2.12	%			2.00	%			1.17	%
Portfolio turnover rate			51	%**			94	%			98	%			119	%			108	%			114	%			51	%**			94	%			98	%			119	%			108	%			114	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.03	%			0.03	%			0.03	%			0.03	%			0.03	%			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.04			$	0.03			$	0.02			$	0.02			$	0.02			$	0.02			$	0.04			$	0.03			$	0.01			$	0.01			$	0.00	(f)
	Class IV Shares																								Class V Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011								2015				2014				2013				2012				2011
Net asset value, beginning of period		$	10.10			$	10.15			$	11.68			$	12.03			$	14.40			$	11.58			$	10.08			$	10.13			$	11.66			$	12.01			$	14.39			$	11.57
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.19				0.28				0.28				0.22				0.26				0.17				0.23				0.29				0.26				0.25				0.26				0.15
Net realized and unrealized gain (loss)			(1.95	)			0.00	(b)			(1.53	)			(0.32	)			(0.67	)			2.83				(1.99	)			0.00	(b)			(1.50	)			(0.35	)			(0.67	)			2.86
Total from investment operations			(1.76	)			0.28				(1.25	)			(0.10	)			(0.41	)			3.00				(1.76	)			0.29				(1.24	)			(0.10	)			(0.41	)			3.01
Less distributions to shareholders:
From net investment income			(0.03	)			(0.33	)			(0.28	)			(0.25	)			(0.22	)			(0.18	)			(0.03	)			(0.34	)			(0.29	)			(0.25	)			(0.23	)			(0.19	)
From net realized gains			—				—				—				—				(1.74	)			—				—				—				—				—				(1.74	)			—
Total distributions			(0.03	)			(0.33	)			(0.28	)			(0.25	)			(1.96	)			(0.18	)			(0.03	)			(0.34	)			(0.29	)			(0.25	)			(1.97	)			(0.19	)
Net asset value, end of period		$	8.31			$	10.10			$	10.15			$	11.68			$	12.03			$	14.40			$	8.29			$	10.08			$	10.13			$	11.66			$	12.01			$	14.39
Total Return(c)			(17.49	)%**			2.88	%			(10.81	)%			(0.81	)%			(1.90	)%			25.93	%			(17.50	)%**			2.93	%			(10.74	)%			(0.78	)%			(1.92	)%			26.03	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	538,048			$	837,963			$	748,429			$	1,481,411			$	1,816,285			$	1,649,840			$	295,140			$	170,125			$	406,384			$	677,796			$	662,263			$	835,561
Net expenses to average daily net assets(e)			0.98	%*			0.97	%			0.96	%(d)			0.96	%(d)			0.95	%(d)			0.97	%(d)			0.93	%*			0.92	%			0.91	%(d)			0.91	%(d)			0.90	%(d)			0.93	%(d)
Net investment income (loss) to average daily net assets(a)			3.82	%*			2.64	%			2.57	%			1.99	%			2.00	%			1.29	%			4.64	%*			2.77	%			2.39	%			2.25	%			2.03	%			1.15	%
Portfolio turnover rate			51	%**			94	%			98	%			119	%			108	%			114	%			51	%**			94	%			98	%			119	%			108	%			114	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%			0.04	%*			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.04			$	0.03			$	0.02			$	0.02			$	0.01			$	0.02			$	0.03			$	0.03			$	0.00	(f)		$	0.00	(f)		$	0.01

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b) Net realized and unrealized gain (loss) was less than $0.01 per share.

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) The net expense ratio does not include the effect of expense reductions (Note 2).

^(e) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(f)  Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 33

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	10.10			$	10.15			$	11.68			$	12.04			$	14.41			$	11.59
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.20				0.30				0.26				0.24				0.27				0.17
Net realized and unrealized gain (loss)			(1.96	)			(0.01	)(b)			(1.49	)			(0.34	)			(0.67	)			2.84
Total from investment operations			(1.76	)			0.29				(1.23	)			(0.10	)			(0.40	)			3.01
Less distributions to shareholders:
From net investment income			(0.03	)			(0.34	)			(0.30	)			(0.26	)			(0.23	)			(0.19	)
From net realized gains			—				—				—				—				(1.74	)			—
Total distributions			(0.03	)			(0.34	)			(0.30	)			(0.26	)			(1.97	)			(0.19	)
Net asset value, end of period		$	8.31			$	10.10			$	10.15			$	11.68			$	12.04			$	14.41
Total Return(c)			(17.46	)%**			2.96	%			(10.69	)%			(0.82	)%			(1.81	)%			26.01	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,465,203			$	5,194,557			$	5,220,293			$	5,673,002			$	5,082,437			$	5,800,427
Net expenses to average daily net assets(e)			0.90	%*			0.89	%			0.88	%(d)			0.88	%(d)			0.87	%(d)			0.89	%(d)
Net investment income (loss) to average daily net assets(a)			4.09	%*			2.79	%			2.43	%			2.12	%			2.11	%			1.29	%
Portfolio turnover rate			51	%**			94	%			98	%			119	%			108	%			114	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.04	%			0.04	%			0.04	%			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.04			$	0.03			$	0.02			$	0.02			$	0.03

^(a) Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b) The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(e) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

34 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

TAIWAN FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	22.52			$	21.30			$	20.43			$	21.60			$	23.85			$	17.75
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.53				0.46				0.17				0.34				0.73				0.16
Net realized and unrealized gain (loss)			(4.56	)			1.38				0.90				(0.87	)(b)			(1.04	)			6.30
Total from investment operations			(4.03	)			1.84				1.07				(0.53	)			(0.31	)			6.46
Less distributions to shareholders:
From net investment income			(0.03	)			(0.51	)			(0.20	)			(0.23	)			(1.09	)			(0.36	)
From net realized gains			(0.93	)			(0.11	)			—				(0.41	)			(0.85	)			—
Total distributions			(0.96	)			(0.62	)			(0.20	)			(0.64	)			(1.94	)			(0.36	)
Net asset value, end of period		$	17.53			$	22.52			$	21.30			$	20.43			$	21.60			$	23.85
Total Return(c)			(18.45	)%**			8.75	%			5.26	%			(2.25	)%			0.15	%			36.71	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	96,195			$	117,745			$	151,393			$	56,283			$	74,971			$	146,857
Net expenses to average daily net assets			1.37	%*(e)			1.27	%(e)			1.35	%(d)(e)			1.38	%(d)(e)			1.36	%(e)			1.33	%
Net investment income (loss) to average daily net assets(a)			4.91	%*			2.01	%			0.82	%			1.71	%			3.16	%			0.78	%
Portfolio turnover rate			41	%**			134	%			201	%			156	%			105	%			129	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				—				—				0.00	%(f)			—				—
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.06			$	0.03			$	0.04			$	0.08			$	0.09

^(a) Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b) The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  The net expense ratio does not include the effect of expense reductions (Note 2).

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(f)  Ratio is less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 35

GMO Trust Funds

Notes to Financial Statements

August 31, 2015 (Unaudited)

1. Organization

Each of Emerging Countries Fund, Emerging Domestic Opportunities Fund, Emerging Markets Fund, and Taiwan Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Principal Investment Objective
Emerging Countries Fund	S&P/IFCI Composite Index	Total return in excess of benchmark
Emerging Domestic Opportunities Fund	Not Applicable	Total Return
Emerging Markets Fund	S&P/IFCI Composite Index	Total return in excess of benchmark
Taiwan Fund	MSCI Taiwan Index	Total return in excess of benchmark

Emerging Countries Fund and Taiwan Fund currently limit subscriptions.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. OTC derivatives are generally valued at the price determined by an industry standard model. Unlisted securities (including fixed income securities) for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2015, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2015. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below.

36

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use a quoted price from a prior day to value that security.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or short position.

As discussed above, certain of the Funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or fair valued using inputs obtained from an independent pricing service. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2015 is as follows:

Securities and derivatives

Fund Name	Fair valued using methods determined in good faith by or at the direction of the  Trustees		Fair valued using inputs obtained from an independent pricing service (Net)
Emerging Countries Fund		<1%		89%
Emerging Domestic Opportunities Fund		—		77%
Emerging Markets Fund		<1%		83%
Taiwan Fund		—		86%

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). At August 31, 2015, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, certain U.S. government obligations, derivatives actively traded on a national securities exchange (such as some futures and options), and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

Level 3 – Valuations based primarily on inputs that are unobservable and significant.

37

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; and certain securities that are valued using a price from a comparable security related to the same issuer.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2015:

Description	Level 1		Level 2		Level 3			Total
Emerging Countries Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	32,673	$	—	$	—		$	32,673
Brazil		115,048		690,308		—			805,356
Chile		—		12,422		—			12,422
China		101,215		3,361,742		—			3,462,957
Colombia		39,320		—		—			39,320
Czech Republic		—		502,330		—			502,330
Egypt		—		191,283		—			191,283
Hungary		—		9,283		—			9,283
India		—		2,683,714		—			2,683,714
Indonesia		—		380,852		—			380,852
Malaysia		—		24,523		—			24,523
Mexico		46,506		—		—			46,506
Philippines		—		215,387		—			215,387
Poland		—		167,202		—			167,202
Qatar		—		64,256		—			64,256
Russia		189,839		1,979,497		—			2,169,336
South Africa		16,380		337,702		12			354,094
South Korea		19,079		3,448,946		—			3,468,025
Taiwan		45,724		2,719,417		0	**		2,765,141
Thailand		—		943,214		—			943,214
Turkey		22,448		1,504,955		—			1,527,403
United Kingdom		8,062		143,978		—			152,040
United States		66,327		—		—			66,327
TOTAL COMMON STOCKS		702,621		19,381,011		12			20,083,644
Preferred Stocks
Brazil		496,468		569,721		—			1,066,189
Russia		—		763,899		—			763,899
South Korea		—		515,781		—			515,781
TOTAL PREFERRED STOCKS		496,468		1,849,401		—			2,345,869
Investment Funds
Thailand		—		175,725		—			175,725
United States		498,497		—		—			498,497
TOTAL INVESTMENT FUNDS		498,497		175,725		—			674,222
Rights/Warrants
Thailand		393		—		—			393
TOTAL RIGHTS/WARRANTS		393		—		—			393
Mutual Funds
United States		5,498		—		—			5,498
TOTAL MUTUAL FUNDS		5,498		—		—			5,498
Short-Term Investments		44,446		—		—			44,446
Total Investments		1,747,923		21,406,137		12			23,154,072
Total	$	1,747,923	$	21,406,137	$	12		$	23,154,072

38

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	—	$	32,536,174		$	—	$	32,536,174
Brazil		—		58,528,101			—		58,528,101
Chile		—		11,368,060			—		11,368,060
China		78,127,831		215,953,243			—		294,081,074
India		—		505,749,236			—		505,749,236
Indonesia		—		22,162,565			—		22,162,565
Malaysia		—		5,558,338			—		5,558,338
Mexico		21,784,340		—			—		21,784,340
Philippines		—		144,017,643			—		144,017,643
Qatar		—		40,265,681			—		40,265,681
Russia		—		45,092,651			—		45,092,651
South Africa		—		40,661,638			—		40,661,638
South Korea		—		48,338,106			—		48,338,106
Switzerland		—		38,476,747			—		38,476,747
Taiwan		—		118,090,385			—		118,090,385
Thailand		—		98,780,223			—		98,780,223
Turkey		—		38,379,218			—		38,379,218
United Arab Emirates		—		22,829,134			—		22,829,134
United Kingdom		10,468,586		188,936,819			—		199,405,405
United States		120,560,229		—			—		120,560,229
Vietnam		—		16,384,969			—		16,384,969
TOTAL COMMON STOCKS		230,940,986		1,692,108,931			—		1,923,049,917
Investment Funds
China		83,397,384		—			—		83,397,384
Thailand		—		85,243,445			—		85,243,445
United States		108,233,856		—			—		108,233,856
TOTAL INVESTMENT FUNDS		191,631,240		85,243,445			—		276,874,685
Debt Obligations
Mexico		—		27,856,130			—		27,856,130
TOTAL DEBT OBLIGATIONS		—		27,856,130			—		27,856,130
Mutual Funds
United States		57,239,022		—			—		57,239,022
TOTAL MUTUAL FUNDS		57,239,022		—			—		57,239,022
Short-Term Investments		39,820,957		—			—		39,820,957
Total Investments		519,632,205		1,805,208,506			—		2,324,840,711
Derivatives*
Forward Contracts
Foreign Currency Risk		—		3,110,324			—		3,110,324
Futures Contracts
Equity Contracts		—		1,184,586			—		1,184,586
Total	$	519,632,205	$	1,809,503,416		$	—	$	2,329,135,621
Liability Valuation Inputs
Derivatives*
Forward Contracts
Foreign Currency Risk	$	—	$	(1,932,888	)	$	—	$	(1,932,888	)
Futures Contracts
Equity Contracts		—		(776,759	)		—		(776,759	)
Total	$	—	$	(2,709,647	)	$	—	$	(2,709,647	)

39

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	11,217,730	$	116,049	$	—	$	11,333,779
Brazil		44,297,187		271,226,748		—		315,523,935
Chile		—		2,460,953		—		2,460,953
China		36,557,102		741,311,156		—		777,868,258
Colombia		15,974,845		—		—		15,974,845
Czech Republic		—		15,439,683		—		15,439,683
Egypt		—		21,299,573		—		21,299,573
Greece		—		4,520,173		—		4,520,173
Hungary		—		22,365,239		—		22,365,239
India		29,523,327		609,108,976		21,783,833		660,416,136
Indonesia		25,778,631		33,855,758		187,329		59,821,718
Malaysia		—		2,209,970		—		2,209,970
Mexico		12,317,921		—		—		12,317,921
Philippines		—		49,588,577		—		49,588,577
Poland		—		100,280,194		—		100,280,194
Qatar		—		11,320,998		—		11,320,998
Russia		33,639,976		473,282,915		—		506,922,891
South Africa		2,761,668		85,768,837		706		88,531,211
South Korea		32,985,146		677,849,031		—		710,834,177
Sri Lanka		—		3,055,638		—		3,055,638
Taiwan		45,040,128		805,232,571		—		850,272,699
Thailand		—		171,299,106		—		171,299,106
Turkey		2,080,832		534,440,051		—		536,520,883
United Arab Emirates		—		10,844,493		—		10,844,493
United Kingdom		2,983,727		40,818,654		—		43,802,381
United States		20,351,947		—		—		20,351,947
Vietnam		—		5,137,279		—		5,137,279
TOTAL COMMON STOCKS		315,510,167		4,692,832,622		21,971,868		5,030,314,657
Preferred Stocks
Brazil		103,722,194		146,594,450		—		250,316,644
Russia		77,501		174,947,383		—		175,024,884
South Korea		—		98,741,323		—		98,741,323
TOTAL PREFERRED STOCKS		103,799,695		420,283,156		—		524,082,851
Investment Funds
China		—		—		2,179,532		2,179,532
India		—		—		7,788,851		7,788,851
Poland		—		—		186,869		186,869
Russia		—		—		3,070,160		3,070,160
Thailand		—		17,520,951		—		17,520,951
United States		318,389,427		—		—		318,389,427
TOTAL INVESTMENT FUNDS		318,389,427		17,520,951		13,225,412		349,135,790
Rights/Warrants
Thailand		213,738		—		—		213,738
TOTAL RIGHTS/WARRANTS		213,738		—		—		213,738
Mutual Funds
United States		204,984,110		—		—		204,984,110
TOTAL MUTUAL FUNDS		204,984,110		—		—		204,984,110
Short-Term Investments		56,672,680		—		—		56,672,680
Total Investments		999,569,817		5,130,636,729		35,197,280		6,165,403,826

40

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Derivatives*
Swap Contracts
Equity Risk	$	—	$	1,272,981		$	—	$	1,272,981
Total	$	999,569,817	$	5,131,909,710		$	35,197,280	$	6,166,676,807
Liability Valuation Inputs
Derivatives*
Swap Contracts
Equity Risk	$	—	$	(433,091	)	$	—	$	(433,091	)
Taiwan Fund
Asset Valuation Inputs
Common Stocks
Taiwan	$	5,836,768	$	83,158,811		$	—	$	88,995,579
TOTAL COMMON STOCKS		5,836,768		83,158,811			—		88,995,579
Investment Funds
Taiwan		167,387		—			—		167,387
TOTAL INVESTMENT FUNDS		167,387		—			—		167,387
Mutual Funds
United States		3,568,577		—			—		3,568,577
TOTAL MUTUAL FUNDS		3,568,577		—			—		3,568,577
Short-Term Investments		690,444		—			—		690,444
Total Investments		10,263,176		83,158,811			—		93,421,987
Total	$	10,263,176	$	83,158,811		$	—	$	93,421,987

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

* The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value.

** Represents the interest in securities that were determined to have a value of zero at August 31, 2015.

The underlying GMO funds held at period end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ Notes to Financial Statements.

For all Funds for the period ended August 31, 2015, there were no significant transfers between Level 1 and Level 2.

41

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2015		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3*			Transfer out of Level 3*		Balances as of August 31, 2015		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2015
Emerging Countries Fund
Common Stocks
South Africa	$	14	$	—	$	—		$	—	$	—	$	(2	)	$	—		$	—	$	12	$	(2	)
Total	$	14	$	—	$	—		$	—	$	—	$	(2	)	$	—		$	—	$	12		(2	)
Emerging Markets Fund
Common Stocks
China	$	5,528,118	$	393,777	$	(6,572,273	)	$	—	$	3,183,973	$	(2,533,595	)	$	—		$	—	$	—	$	—
India		—		10,789,949		—			—		—		10,993,884			—			—		21,783,833		10,993,884
Indonesia		—		—		—			—		—		—			187,329	**		—		187,329		—
South Africa		803		—		—			—		—		(97	)		—			—		706		(97	)
Total Common Stocks	$	5,528,921	$	11,183,726	$	(6,572,273	)	$	—	$	3,183,973	$	8,460,192		$	187,329		$	—	$	21,971,868	$	10,993,787
Investment Funds
China	$	2,290,074	$	—	$	—		$	—	$	—	$	(110,542	)	$	—		$	—	$	2,179,532	$	(110,542	)
India		8,222,471		—		—			—		—		(433,620	)		—			—		7,788,851		(433,620	)
Poland		195,901		—		—			—		—		(9,032	)		—			—		186,869		(9,032	)
Russia		3,125,291		—		—			—		—		(55,131	)		—			—		3,070,160		(55,131	)
Total Investment Funds		13,833,737		—		—			—		—		(608,325	)		—			—		13,225,412		(608,325	)
Total	$	19,362,658	$	11,183,726	$	(6,572,273	)	$	—	$	3,183,973	$	7,851,867		$	187,329		$	—	$	35,197,280	$	10,385,462

* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs.

42

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure, (based on each Fund’s net assets) as of August 31, 2015 were as follows:

Fund Name	Level 3 securities and derivatives
Emerging Countries Fund		<1%
Emerging Domestic Opportunities Fund		—
Emerging Markets Fund		<1%
Taiwan Fund		—

Cash

Cash and foreign currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Taxes and distributions

Each Fund has elected to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2015, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

Certain Funds have filed for additional reclaims related to foreign taxes withheld in prior years, based on interpretations of European Union tax principals. Generally, to the extent a Fund reasonably determines that such additional tax reclaims are collectible and free from significant contingencies, the amounts are reflected as Dividends from unaffiliated issuers in the Statement of Operations.

Foreign taxes paid by each Fund may be treated, to the extent permissible under the Code and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income,

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expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.

As of February 28, 2015, certain Funds elected to defer to March 1, 2015 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post- October Capital Losses ($)
Emerging Countries Fund		(29,901)		(1,798,348)
Emerging Domestic Opportunities Fund		—		(3,230,203)
Emerging Markets Fund		—		(17,750,480)
Taiwan Fund		(321,986)		(951,975)

As of February 28, 2015, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses and losses realized subsequent to February 28, 2015, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

	Short- Term ($)		Long- Term ($)
Fund Name	No Expiration Date		No Expiration Date
Emerging Countries Fund		(5,399,590)		(10,618,661)
Emerging Domestic Opportunities Fund		(32,959,532)		(3,741,047)
Emerging Markets Fund		(160,475,274)		(505,235,551)
Taiwan Fund		—		—

As of August 31, 2015, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Emerging Countries Fund		32,558,927		1,147,040		(10,551,895)		(9,404,855)
Emerging Domestic Opportunities Fund		2,531,167,423		78,471,370		(284,798,082)		(206,326,712)
Emerging Markets Fund		8,042,786,488		179,229,885		(2,056,612,547)		(1,877,382,662)
Taiwan Fund		115,873,750		2,438,961		(24,890,724)		(22,451,763)

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., guidance pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the

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relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Funds’ custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Funds’ transfer agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.

Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when a Fund uses portfolio securities to redeem its shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.

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As of August 31, 2015, the premium on cash purchases and the fee on cash redemptions were as follows:

	Emerging Countries Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Taiwan Fund
Purchase Premium	—	0.80%	0.80%	0.15%
Redemption Fee	—	0.80%	0.80%	0.45%

Other matters

Emerging Markets Fund (“EMF”)

Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted some of EMF’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF’s local custodial account located in India. The amount of restricted assets is small relative to the size of EMF, representing approximately 0.06% of the Fund’s total net assets as of August 31, 2015. The effect of this claim on the value of the restricted assets, and all matters relating to EMF’s response to these allegations, are subject to the supervision and control of GMO Trust’s Board of Trustees. Any costs in respect of this matter will be borne by EMF.

Recently-issued accounting guidance

In June 2014, the Financial Accounting Standards Board (“FASB”) issued Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for annual financial statements with fiscal years beginning on or after December 15, 2014. GMO is evaluating the impact, if any, of this guidance on the Funds’ financial statements.

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3. Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

	Emerging Countries Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Taiwan Fund
Market Risk – Equities	X	X	X	X
Illiquidity Risk	X	X	X	X
Smaller Company Risk	X	X	X	X
Derivatives Risk and Short Sales	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X
Currency Risk	X	X	X	X
Focused Investment Risk	X	X	X	X
Leveraging Risk	X	X	X	X
Counterparty Risk	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X
Large Shareholder Risk	X	X	X	X
Management and Operational Risk	X	X	X	X
Fund of Funds Risk	X	X	X	X
Non-Diversified Funds	X	X	X	X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds or other investment companies (collectively, “Underlying Funds”) is exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and, references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through Underlying Funds.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Equities — Funds that invest in equities run the risk that the market prices of equities will decline. That decline may be attributable to factors affecting the issuing company, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions,

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changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and their market prices can decline in a rapid or unpredictable manner. If a Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that their market price will not appreciate or will decline for a variety of reasons, one of which may be GMO’s incorrect assessment of their intrinsic value. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, TIPS have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.

• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of being unable to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.

The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.

Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when

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it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk” above) and counterparty risk (see “Counterparty Risk” below). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” below for a discussion of risks specific to commodity-related derivatives. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk” below.

A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.

Transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk” below). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a

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swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

The U.S. government and the European Union have proposed mandatory minimum margin requirements for bilateral derivatives. Such requirements could increase the amount of margin required to be provided by a Fund in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees as to cover the costs of additional capital requirements and other regulatory changes applicable to the clearing members, and when rules imposing mandatory minimum margin requirements on bilateral swaps become effective. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds that only invest in U.S. securities. Non-U.S. securities markets often include securities of only a small number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments, (ii) transactions in those investments, and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund is not predictable, and some refunds may not be reflected in a Fund’s net asset value.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include

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suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).

The Funds need a license to invest directly in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the foreign currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which a Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk” below.

Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk” above.

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are strongly correlated are subject to greater overall risk than funds with investments that are more diversified.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.

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Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country (e.g., Taiwan or Japan) or market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required. To the extent that GMO’s view with respect to a particular counterparty changes adversely (whether due to external events or otherwise), a Fund’s existing transactions with that counterparty will not necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.

Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system.

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• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries, which could significantly reduce the value of a Fund’s investments. Terrorism in the United States and around the world has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or reduce the value of investments traded in them, including investments of the Funds. While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could adversely affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If one or more country changes its currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely affect the Funds. War, terrorism, economic uncertainty, and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Additionally, redemptions by a large shareholder also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. In addition, to the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds GMO uses quantitative analyses and models as part of its investment process. GMO’s models support portfolio decisions but are not necessarily predictive of future market events. These analyses and models also make simplifying assumptions that may limit their effectiveness. The data available and utilized for analysis or manipulation by the models is subject to limitations (e.g. inaccuracies, staleness). Any of those assumptions and/or limitations could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment may be wrong.

There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from potential investment gains or avoiding losses. GMO is not contractually liable to the Funds for losses associated with

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operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, such plans and systems are subject to inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in Underlying Funds, including other GMO Funds, closed-end funds, money market funds, ETFs and other investment companies are exposed to the risk that the Underlying Funds will not perform as expected. The Funds are also indirectly exposed to all of the risks of an investment in the Underlying Funds.

Because a Fund bears the fees and expenses of any Underlying Fund in which it invests (absent reimbursement of those fees and expenses), the Fund will incur additional expenses when investing in an Underlying Fund. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the underlying Funds then in the Fund’s portfolio. In addition, to the extent a Fund invests in shares of other GMO Funds, it is indirectly subject to Large Shareholder Risk because those other GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.

Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.

A Fund’s investments through one or more Underlying Funds could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

4. Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

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The Funds may have investment exposures in excess of their net assets (i.e., they may be leveraged). A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.

For Funds that held derivatives during the period ended August 31, 2015, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Emerging Countries Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund
Forward currency contracts
Hedge foreign currency exposure in the underlying Funds’ investments relative to the U.S. dollar				X
Futures contracts
Adjust exposure to certain securities markets				X
Swap contracts
Substitute for direct investment in securities						X
Achieve returns comparable to holding and lending a direct equity position						X
Rights and/or warrants
Received as a result of corporate actions		X		X		X

Forward currency contracts

The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE

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close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

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Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

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August 31, 2015 (Unaudited)

The following is a summary of the valuations of derivative instruments categorized by risk exposure:

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2015 and the Statements of Operations for the period ended August 31, 2015^:

	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Emerging Countries Fund
Assets:
Investments (rights and/or warrants)	$	—	$	393		$	—		$	—	$	—	$	393
Total	$	—	$	393		$	—		$	—	$	—	$	393
Derivatives not subject to Master Agreements	$	—	$	393		$	—		$	—	$	—	$	393
Total subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	(241	)	$	—		$	—	$	—	$	(241	)
Total	$	—	$	(241	)	$	—		$	—	$	—	$	(241	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	(472	)	$	—		$	—	$	—	$	(472	)
Total	$	—	$	(472	)	$	—		$	—	$	—	$	(472	)
Emerging Domestic Opportunities Fund
Assets:
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	3,110,324		$	—	$	—	$	3,110,324
Unrealized Appreciation on Futures Contracts*		—		1,184,586			—			—		—		1,184,586
Total	$	—	$	1,184,586		$	3,110,324		$	—	$	—	$	4,294,910
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	1,184,586		$	3,110,324		$	—	$	—	$	4,294,910
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(1,932,888	)	$	—	$	—	$	(1,932,888	)
Unrealized Depreciation on Futures Contracts*		—		(776,759	)		—			—		—		(776,759	)
Total	$	—	$	(776,759	)	$	(1,932,888	)	$	—	$	—	$	(2,709,647	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(776,759	)	$	(1,932,888	)	$	—	$	—	$	(2,709,647	)
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	10,155		$	—		$	—	$	—	$	10,155
Forward Currency Contracts		—		—			258,297			—		—		258,297
Futures Contracts		—		14,912,900			—			—		—		14,912,900
Total	$	—	$	14,923,055		$	258,297		$	—	$	—	$	15,181,352
Change in Net Unrealized Appreciation (Depreciation) on:
Forward Currency Contracts	$	—	$	—		$	1,177,436		$	—	$	—	$	1,177,436
Futures Contracts		—		1,151,116			—			—		—		1,151,116
Total	$	—	$	1,151,116		$	1,177,436		$	—	$	—	$	2,328,552

58

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Emerging Markets Fund
Assets:
Investments (rights and/or warrants)	$	—	$	213,738		$	—	$	—	$	—	$	213,738
Unrealized Appreciation on Swap Contracts*		—		1,272,981			—		—		—		1,272,981
Total	$	—	$	1,486,719		$	—	$	—	$	—	$	1,486,719
Derivatives not subject to Master Agreements	$	—	$	213,738		$	—	$	—	$	—	$	213,738
Total subject to Master Agreements	$	—	$	1,272,981		$	—	$	—	$	—	$	1,272,981
Liabilities:
Unrealized Depreciation on Swap Contracts*	$	—	$	(433,091	)	$	—	$	—	$	—	$	(433,091	)
Total	$	—	$	(433,091	)	$	—	$	—	$	—	$	(433,091	)
Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	(433,091	)	$	—	$	—	$	—	$	(433,091	)
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	(38,449	)	$	—	$	—	$	—	$	(38,449	)
Swap Contracts		—		(3,329,043	)		—		—		—		(3,329,043	)
Total	$	—	$	(3,367,492	)	$	—	$	—	$	—	$	(3,367,492	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	(249,457	)	$	—	$	—	$	—	$	(249,457	)
Swap Contracts		—		(2,151,051	)		—		—		—		(2,151,051	)
Total	$	—	$	(2,400,508	)	$	—	$	—	$	—	$	(2,400,508	)

* The table includes unrealized appreciation/depreciation of futures and cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investment and other risks” above.

For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made

59

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2015, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2015:

Emerging Markets Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
Morgan Stanley & Co. International PLC	$	1,272,981	$	—	$	—	$	1,272,981
Total	$	1,272,981	$	—	$	—	$	1,272,981
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Bank of America, N.A.	$	433,091	$	—	$	—	$	433,091
Total	$	433,091	$	—	$	—	$	433,091

Emerging Domestic Opportunities Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Goldman Sachs International	$	299,815	$	—	$	—		$	299,815
Morgan Stanley & Co. International PLC		2,810,509		—		(1,932,888	)		877,621
Total	$	3,110,324	$	—	$	(1,932,888	)	$	1,177,436
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Morgan Stanley & Co. International PLC	$	1,932,888	$	—	$	1,932,888		$	—
Total	$	1,932,888	$	—	$	1,932,888		$	—

The average derivative activity of notional amounts (forward currency contracts, futures contracts, swap contracts), market values (rights and/or warrants), and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2015.

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Rights and/or Warrants ($)
Emerging Countries Fund		—		—		—		734
Emerging Domestic Opportunities Fund		111,923,675		146,990,633		—		187
Emerging Markets Fund		—		—		36,535,055		321,363

60

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund. That fee, if any, is paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Emerging Countries Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Taiwan Fund
Management Fee	0.65%	0.75%	0.75%	0.81%

In addition, each class of shares of the Funds (except Class M shares which are described below (Emerging Countries Fund Class M liquidated on May 2, 2014)) pays GMO a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class M shares of a Fund pay GMO an administration fee, which is used by GMO to defray its expenses (or the expenses of a third party) in providing administration and record keeping services to certain marketplaces where Class M shares of each Fund may be purchased. GMO may pay part or all of the administration fee to third parties for providing administration and record keeping services. In some cases, these third parties also receive compensation from the Fund’s distributor pursuant to the Trust’s Distribution and Service (12b-1) Plan. Shareholder service fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

Fund Name	Class II		Class III		Class IV		Class V		Class VI
Emerging Countries Fund				0.15%
Emerging Domestic Opportunities Fund		0.22%		0.15%		0.105%		0.085%		0.055%
Emerging Markets Fund		0.22%		0.15%		0.105%		0.085%		0.055%
Taiwan Fund				0.15%

For each Fund, other than Emerging Countries Fund and Taiwan Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. For Emerging Countries Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.35% of the Fund’s average daily net assets.

Subject to the exclusions noted below, “Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses; provided, however, that in the case of Emerging Markets Fund, “Specified Operating Expenses” does not include custody expenses, and in the case of Emerging Domestic Opportunities Fund, “Specified Operating Expenses” only includes custody expenses to the extent that they exceed 0.10% of the Fund’s average daily net assets.

For each Fund that pays GMO a management fee, GMO has agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

For each Fund that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

61

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

In addition, for Emerging Markets Fund only, GMO has contractually agreed to waive the shareholder service fees charged to holders of each class of shares of the Fund to the extent necessary to prevent the shareholder service fees borne by each class of shares of the Fund from exceeding the percentage of the class’s average daily net assets as follows: 0.20% for Class II shares, 0.15% for Class III shares, 0.10% of Class IV shares, 0.05% for Class V shares, and 0.02% for Class VI shares.

These contractual waivers and reimbursements will continue through at least June 30, 2016 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2015 is shown in the table below and included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Emerging Countries Fund		184		—
Emerging Domestic Opportunities Fund		14,720		1,656
Emerging Markets Fund		38,824		4,416
Taiwan Fund		736		—

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2015, these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Total Indirect Expense
Emerging Countries Fund		< 0.001%		0.000%		< 0.001%
Emerging Domestic Opportunities Fund		< 0.001%		0.000%		< 0.001%
Emerging Markets Fund		< 0.001%		0.000%		< 0.001%
Taiwan Fund		< 0.001%		0.000%		< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2015 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Emerging Countries Fund		—		8,079,150		—		16,183,448
Emerging Domestic Opportunities Fund		—		2,890,826,236		—		2,862,094,317
Emerging Markets Fund		—		3,720,377,571		—		3,625,203,578
Taiwan Fund		—		43,993,782		—		44,330,825

7. Guarantees

In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

62

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

8. Principal shareholders and related parties as of August 31, 2015

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers			Percentage of the Fund’s shares held by accounts for which GMO has investment discretion
Emerging Countries Fund		3	*		82.21%		0.32	%		44.22	%
Emerging Domestic Opportunities Fund		2			20.67%		0.26	%		—
Emerging Markets Fund		3	**		34.14%		0.73	%		70.23	%
Taiwan Fund		1			93.49%		—			100.00	%

* One of the shareholders is another fund managed by GMO.

** Two of the shareholders are other funds of the Trust.

9. Share transactions

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:

	Six Months Ended August 31, 2015 (Unaudited)						Year Ended February 28, 2015
	Shares			Amount			Shares			Amount
Emerging Countries Fund
Class III:
Shares sold		166,399		$	1,480,033			2,098,919		$	19,923,381
Shares issued to shareholders in reinvestment of distributions		6,053			50,296			166,433			1,474,749
Shares repurchased		(1,191,917	)		(9,583,250	)		(3,047,073	)		(28,098,853	)
Net increase (decrease)		(1,019,465	)	$	(8,052,921	)		(781,721	)	$	(6,700,723	)
Class M*:
Shares sold		—		$	—			50,314		$	453,198
Shares issued to shareholders in reinvestment of distributions		—			—			—			—
Shares repurchased		—			—			(1,904,787	)		(17,933,268	)
Net increase (decrease)		—		$	—			(1,854,473	)	$	(17,480,070	)
Emerging Domestic Opportunities Fund*
Class II:
Shares sold		812,864		$	19,066,200			9,300,358		$	215,216,555
Shares issued to shareholders in reinvestment of distributions		227,848			5,178,986			498,782			11,711,191
Shares repurchased		(1,060,315	)		(24,602,778	)		(6,586,234	)		(157,201,553	)
Purchase premiums		—			76,769			—			451,316
Redemption fees		—			157,580			—			429,793
Net increase (decrease)		(19,603	)	$	(123,243	)		3,212,906		$	70,607,302
Class III:
Shares sold		55		$	1,360			6,377,508		$	153,042,369
Shares issued to shareholders in reinvestment of distributions		113,358			2,576,635			258,104			6,040,109
Shares repurchased		(933,153	)		(22,239,740	)		(9,675,443	)		(223,957,821	)
Purchase premiums		—			33,548			—			207,697
Redemption fees		—			69,544			—			228,359
Net increase (decrease)		(819,740	)	$	(19,558,653	)		(3,039,831	)	$	(64,439,287	)

63

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Six Months Ended August 31, 2015 (Unaudited)						Year Ended February 28, 2015
	Shares			Amount			Shares			Amount
Emerging Domestic Opportunities Fund* (continued)
Class IV:
Shares sold		1,054,870		$	24,800,000			1,496,290		$	36,704,000
Shares issued to shareholders in reinvestment of distributions		227,660			5,176,982			546,174			12,784,914
Shares repurchased		(2,501,335	)		(61,757,952	)		(2,675,491	)		(63,989,315	)
Purchase premiums		—			67,114			—			411,004
Redemption fees		—			139,512			—			436,539
Net increase (decrease)		(1,218,805	)	$	(31,574,344	)		(633,027	)	$	(13,652,858	)
Class V:
Shares sold		2,503,409		$	61,759,108			—		$	—
Shares issued to shareholders in reinvestment of distributions		117,272			2,664,425			189,435			4,431,514
Purchase premiums		—			32,824			—			144,877
Redemption fees		—			64,066			—			151,607
Net increase (decrease)		2,620,681		$	64,520,423			189,435		$	4,727,998
Class VI:
Shares sold		4,383		$	100,964			1,362,491		$	32,125,891
Shares issued to shareholders in reinvestment of distributions		210,732			4,802,593			449,502			10,551,664
Shares repurchased		(688,137	)		(14,664,134	)		(798,018	)		(18,623,556	)
Purchase premiums		—			62,987			—			346,164
Redemption fees		—			128,936			—			366,530
Net increase (decrease)		(473,022	)	$	(9,568,654	)		1,013,975		$	24,766,693
Emerging Markets Fund
Class II:
Shares sold		4,076,619		$	39,711,460			21,717,709		$	220,913,127
Shares issued to shareholders in reinvestment of distributions		127,580			1,192,868			2,418,932			23,802,296
Shares repurchased		(30,750,284	)		(313,424,695	)		(53,914,354	)		(564,626,234	)
Purchase premiums		—			779,311			—			1,185,968
Redemption fees		—			813,879			—			2,584,779
Net increase (decrease)		(26,546,085	)	$	(270,927,177	)		(29,777,713	)	$	(316,140,064	)
Class III:
Shares sold		6,345,762		$	67,238,162			8,649,834		$	91,550,325
Shares issued to shareholders in reinvestment of distributions		49,155			460,582			668,546			6,598,554
Shares repurchased		(5,479	)		(48,563	)		(25,252,205	)		(259,028,582	)
Purchase premiums		—			299,520			—			447,365
Redemption fees		—			320,378			—			810,246
Net increase (decrease)		6,389,438		$	68,270,079			(15,933,825	)	$	(159,622,092	)
Class IV:
Shares sold		9,858,358		$	99,351,953			18,059,060		$	186,461,184
Shares issued to shareholders in reinvestment of distributions		114,348			1,062,298			1,707,090			16,695,339
Shares repurchased		(28,208,487	)		(300,011,597	)		(10,570,073	)		(111,940,901	)
Purchase premiums		—			660,158			—			988,574
Redemption fees		—			636,538			—			1,806,704
Net increase (decrease)		(18,235,781	)	$	(198,300,650	)		9,196,077		$	94,010,900

64

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Six Months Ended August 31, 2015 (Unaudited)						Year Ended February 28, 2015
	Shares			Amount			Shares			Amount
Emerging Markets Fund (continued)
Class V:
Shares sold		18,849,211		$	200,576,998			1,370,999		$	14,488,514
Shares issued to shareholders in reinvestment of distributions		95,231			882,787			1,090,708			10,645,313
Shares repurchased		(229,994	)		(2,341,451	)		(25,713,489	)		(259,057,063	)
Purchase premiums		—			270,626			—			344,251
Redemption fees		—			322,168			—			812,261
Net increase (decrease)		18,714,448		$	199,711,128			(23,251,782	)	$	(232,766,724	)
Class VI:
Shares sold		81,778,068		$	768,447,696			151,490,380		$	1,541,490,246
Shares issued to shareholders in reinvestment of distributions		1,629,712			15,140,023			15,351,107			150,133,827
Shares repurchased		(60,429,855	)		(622,479,192	)		(167,123,796	)		(1,813,407,122	)
Purchase premiums		—			4,900,016			—			5,882,090
Redemption fees		—			4,936,708			—			10,840,753
Net increase (decrease)		22,977,925		$	170,945,251			(282,309	)	$	(105,060,206	)
Taiwan Fund
Class III:
Shares sold		742,327		$	17,199,163			1,298,042		$	28,642,801
Shares issued to shareholders in reinvestment of distributions		249,390			5,027,711			79,746			1,758,120
Shares repurchased		(733,744	)		(16,438,948	)		(3,256,851	)		(72,025,778	)
Purchase premiums		—			25,838			—			41,660
Redemption fees		—			73,975			—			320,012
Net increase (decrease)		257,973		$	5,887,739			(1,879,063	)	$	(41,263,185	)

* GMO Singapore Pte. Limited furnishes discretionary investment advisory services and makes investment decisions for Emerging Domestic Opportunities Fund. As a result of this arrangement, the Fund is required to disclose that there were more than 10 shareholders of the Fund as of August 31, 2015.

10. Investments in affiliated companies and other funds of the Trust

An affiliated company is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities. A summary of the Fund’s transactions involving companies that are or were affiliates during the year ended August 31, 2015 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Value, end of period
Emerging Domestic Opportunities Fund
Gayatri Projects Ltd	$	5,144,950	$	—	$	10,552	$	—	$	13,142,985
TICON Industrial Growth Leasehold Property Fund		12,556,252		—		—		446,711		11,431,930
	$	17,701,202	$	—	$	10,552	$	446,711	$	24,574,915
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	3,729,015	$	—	$	—	$	—	$	3,055,638
Kiri Industries Ltd		1,686,257		506,119		—		—		2,365,466
Totals	$	5,415,272	$	506,119	$	—	$	—	$	5,421,104

65

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the period ended August 31, 2015 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
Emerging Countries Fund
GMO U.S. Treasury Fund	$	106,449	$	846,048	$	947,000	$	44	$	4	$	5,498
Emerging Domestic Opportunities Fund
GMO U.S. Treasury Fund	$	20,068,498	$	785,508,524	$	748,338,000	$	42,578	$	3,015	$	57,239,022
Emerging Markets Fund
GMO U.S. Treasury Fund	$	32,421,399	$	1,107,472,711	$	934,910,000	$	38,733	$	1,311	$	204,984,110
Taiwan Fund
GMO U.S. Treasury Fund	$	307,249	$	6,821,328	$	3,560,000	$	329	$	1	$	3,568,577

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2015 through August 31, 2015. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2016.

66

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2015 (Unaudited)

GMO Emerging Countries Fund

Approval of renewal of management agreement for GMO Emerging Countries Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. In considering the Fund’s performance, the Trustees satisfied themselves that GMO continued to believe that the Fund’s investment strategies continued to have a reasonable prospect of producing favorable long-term results. In addition, the Trustees considered the steps the Manager had taken to strengthen Fund performance. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

67

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

GMO Emerging Domestic Opportunities Fund

Approval of renewal of management agreement and sub-advisory agreement for GMO Emerging Domestic Opportunities Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, and the sub-advisory agreement among the Manager, GMO Singapore Pte. Limited (“GMO Singapore”), and the Trust, on behalf of the Fund, in each case for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement and sub-advisory agreement. In deciding whether to renew the management and sub-advisory agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fees payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the level of service that GMO Singapore provided the Fund. The Trustees considered that GMO Singapore’s sub-advisory fees were paid by the Manager out of the Manager’s management fees, not directly by the Fund.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement and sub-advisory agreement, that the fees charged to the Fund under these agreements were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement and sub-advisory agreement for another year.

68

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

GMO Emerging Markets Fund

Approval of renewal of management agreement for GMO Emerging Markets Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. In considering the Fund’s performance, the Trustees satisfied themselves that GMO continued to believe that the Fund’s investment strategies continued to have a reasonable prospect of producing favorable long-term results. In addition, the Trustees considered the steps the Manager had taken to strengthen Fund performance. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

69

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

GMO Taiwan Fund

Approval of renewal of management agreement for GMO Taiwan Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

70

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2015 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six-month period ended August 31, 2015.

As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and /or indirect management fees, direct and/or indirect shareholder services fees, and distribution (12b-1) and/or administration fees for Funds with Class M shares, if applicable, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2015 through August 31, 2015.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premium and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value March 1, 2015		Ending Account Value August 31, 2015		Expenses Paid During the Period*		Beginning Account Value March 1, 2015		Ending Account Value August 31, 2015		Expenses Paid During the Period*		Annualized Expense Ratio
Emerging Countries Fund
Class III		$1,000.00		$823.80		$6.19		$1,000.00		$1,018.35		$6.85		1.35%
Emerging Domestic Opportunities Fund
Class II		$1,000.00		$887.20		$5.12		$1,000.00		$1,019.71		$5.48		1.08%
Class III		$1,000.00		$887.80		$4.79		$1,000.00		$1,020.06		$5.13		1.01%
Class IV		$1,000.00		$888.10		$4.56		$1,000.00		$1,020.31		$4.88		0.96%
Class V		$1,000.00		$888.20		$4.46		$1,000.00		$1,020.41		$4.77		0.94%
Class VI		$1,000.00		$888.20		$4.32		$1,000.00		$1,020.56		$4.62		0.91%
Emerging Markets Fund
Class II		$1,000.00		$824.60		$4.95		$1,000.00		$1,019.71		$5.48		1.08%
Class III		$1,000.00		$824.60		$4.72		$1,000.00		$1,019.96		$5.23		1.03%
Class IV		$1,000.00		$825.10		$4.50		$1,000.00		$1,020.21		$4.98		0.98%
Class V		$1,000.00		$825.00		$4.27		$1,000.00		$1,020.46		$4.72		0.93%
Class VI		$1,000.00		$825.40		$4.13		$1,000.00		$1,020.61		$4.57		0.90%
Taiwan Fund
Class III		$1,000.00		$815.50		$6.25		$1,000.00		$1,018.25		$6.95		1.37%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2015, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

71

GMO Trust

Semiannual Report

August 31, 2015

Alpha Only Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

Special Opportunities Fund

Strategic Opportunities Allocation Fund

Systematic Global Macro Opportunity Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com or on the Securities and Exchange Commission’s website at www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which are available on the Commission’s website at www.sec.gov. The Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus or private placement memorandum, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com and the private placement memorandum can be obtained by calling 1-617-346-7646 (collect).

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus or private placement memorandum regarding specific principal risks for each Fund. General risk may include: market-risk-equities, management and operational risk, market risk-asset backed securities, credit risk, non-U.S. Investment risk, smaller-company risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Alpha Only Fund
Investment Concentration Summary	1
Schedule of Investments	2
Benchmark-Free Allocation Fund
Investment Concentration Summary	9
Schedule of Investments	10
Benchmark-Free Fund
Investment Concentration Summary	11
Schedule of Investments	12
Global Asset Allocation Fund
Investment Concentration Summary	13
Schedule of Investments	14
Global Developed Equity Allocation Fund
Investment Concentration Summary	15
Schedule of Investments	16
Global Equity Allocation Fund
Investment Concentration Summary	17
Schedule of Investments	18
Implementation Fund
Investment Concentration Summary	19
Schedule of Investments	20
International Developed Equity Allocation Fund
Investment Concentration Summary	53
Schedule of Investments	54
International Equity Allocation Fund
Investment Concentration Summary	55
Schedule of Investments	56
Special Opportunities Fund
Investment Concentration Summary	57
Schedule of Investments	58
Strategic Opportunities Allocation Fund
Investment Concentration Summary	65
Schedule of Investments	66
Systematic Global Macro Opportunity Fund
Investment Concentration Summary	67
Schedule of Investments	68
Portfolio, Counterparty and Currency Abbreviations	70
Fund Financial Statements:
Statements of Assets and Liabilities	71
Statements of Operations	76
Statements of Changes in Net Assets	79
Financial Highlights	85
Notes to Financial Statements	98
Board Review of Management Agreements	153
Fund Expenses	166

GMO Alpha Only Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		87.3	%
Short-Term Investments		4.9
Preferred Stocks		0.9
Mutual Funds		0.6
Futures Contracts		4.9
Other		1.4
		100.0	%

* Swap contracts and futures contracts, if any, are based on the net unrealized appreciation/depreciation of the respective contracts. The Fund’s investment program involves having both long and short investment exposures. The additional short exposures that the Fund has to futures contracts based on notional contracts are (82.6)% of net assets.

1

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 87.3%
		Austria — 0.0%
	6,457	OMV AG		165,306
		Belgium — 0.0%
	6,305	Colruyt SA		307,026
	4,449	Delhaize Group		398,081
		Total Belgium		705,107
		Brazil — 0.0%
	75,700	Centrais Eletricas Brasileiras SA *		103,949
	35,600	Companhia de Saneamento Basico do Estado de Sao Paulo		154,409
	107,200	Companhia Siderurgica Nacional SA		103,456
		Total Brazil		361,814
		Canada — 0.6%
	6,600	Suncor Energy Inc		186,923
	42,900	Valeant Pharmaceuticals International Inc *		9,892,740
		Total Canada		10,079,663
		Chile — 0.0%
	615,528	Enersis SA		171,456
		China — 3.1%
	246,000	Air China Ltd – Class H		178,544
	218,900	Alibaba Group Holding Ltd Sponsored ADR *		14,473,668
	156,000	Anta Sports Products Ltd		389,379
	822,000	Belle International Holdings Ltd		748,848
	476,000	China BlueChemical Ltd – Class H		136,966
	562,000	China Coal Energy Co Ltd		263,476
	931,000	China Communications Construction Co Ltd – Class H		1,104,734
	64,000	China Merchants Holdings International Co Ltd – Class H		213,697
	973,000	China Mobile Ltd		11,908,988
	882,000	China National Building Material Co Ltd		512,035
	194,000	China Oilfield Services Ltd – Class H		210,167
	4,036,000	China Petroleum & Chemical Corp		2,706,315
	376,000	China Railway Construction Corp Ltd		492,889
	543,000	China Railway Group Ltd		484,670
	254,000	China Resources Cement Holdings Ltd		125,281
	157,283	China Resources Enterprise Ltd		494,827
	240,000	China Resources Power Holdings Co Ltd		592,124
	1,078,000	China Shenhua Energy Co Ltd		1,868,126
	2,624,000	China Telecom Corp Ltd – Class H		1,372,653
	222,000	China Unicom Hong Kong Ltd		292,180
	188,000	CITIC Pacific Ltd		341,795
	3,019,000	CNOOC Ltd		3,784,214
	190,000	COSCO Pacific Ltd		250,063

Shares		Description	Value ($)
		China — continued
	688,000	Datang International Power Generation Co Ltd		278,571
	518,000	Dongfeng Motor Group Co Ltd – Class H		522,930
	117,000	Fosun International Ltd		195,364
	1,285,000	Geely Automobile Holdings Ltd		498,698
	2,726,000	GOME Electrical Appliances Holding Ltd		425,872
	202,395	Guangdong Investments Ltd		274,264
	371,000	Huabao International Holdings Ltd *		123,995
	424,000	Huaneng Power International Inc – Class H		483,816
	104,000	Jiangsu Expressway Co Ltd		123,002
	282,000	Kunlun Energy Co Ltd		201,368
	2,400,000	PetroChina Co Ltd		1,996,168
	524,000	Shanghai Electric Group Co Ltd		289,327
	40,000	Shanghai Industrial Holdings Ltd		97,969
	222,500	Shenzhen International Holdings Ltd		308,787
	55,000	Shenzhou International Group Holdings Ltd		275,899
	446,000	Sinotrans Ltd – Class H		205,942
	114,000	Weichai Power Co Ltd		121,643
	500,000	Yanzhou Coal Mining Co Ltd		238,435
	164,000	Zhejiang Expressway Co Ltd – Class H		178,468
	1,206,000	Zijin Mining Group Co Ltd		315,335
		Total China		50,101,492
		Colombia — 0.0%
	196,781	Ecopetrol SA		102,752
		Czech Republic — 0.1%
	32,327	CEZ AS		738,554
		Denmark — 0.0%
	147	AP Moeller – Maersk A/S – Class A		250,351
		France — 2.3%
	474	Christian Dior SE		87,746
	4,305	Cie Generale des Etablissements Michelin – Class B		415,691
	115,018	Engie		2,054,219
	34,689	LVMH Moet Hennessy Louis Vuitton SE		5,773,631
	187,274	Orange SA		2,961,786
	108,267	Renault SA		8,965,201
	20,995	Sanofi		2,065,104
	4,726	Schneider Electric SA		297,884
	230,856	Total SA		10,643,934
	109,929	Vivendi SA		2,713,358
		Total France		35,978,554
		Germany — 0.8%
	48,246	BASF SE		3,876,414
	6,334	Bayerische Motoren Werke AG		582,163
	22,479	Daimler AG (Registered)		1,801,794

2 See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	77,274	Deutsche Telekom AG		1,318,181
	128,053	E.ON AG		1,447,107
	7,992	K+S AG (Registered)		298,290
	7,441	RWE AG		111,413
	40,876	SAP AG		2,741,550
		Total Germany		12,176,912
		Greece — 0.0%
	21,374	Hellenic Telecommunications Organization SA		195,622
	17,736	OPAP SA		139,215
		Total Greece		334,837
		India — 0.1%
	72,529	Bharat Heavy Electricals Ltd		247,238
	45,994	Cairn India Ltd		103,608
	38,850	GAIL India Ltd		173,555
	19,917	Hindustan Petroleum Corp Ltd *		251,455
	114,409	Jindal Steel & Power Ltd *		118,270
	105,846	NTPC Ltd		194,161
	50,732	Oil & Natural Gas Corp Ltd		182,626
	44,009	Reliance Energy Ltd		227,026
	3,353	Tata Motors Ltd Sponsored ADR *		84,898
	20,212	UPL Ltd		153,333
		Total India		1,736,170
		Indonesia — 0.1%
	1,038,200	Astra International Tbk PT		437,316
	4,671,300	Telekomunikasi Indonesia Persero Tbk PT		953,644
	114,800	United Tractors Tbk PT		155,893
		Total Indonesia		1,546,853
		Israel — 0.0%
	5,192	Check Point Software Technologies Ltd *		405,028
		Italy — 0.5%
	497,433	Enel SPA		2,236,831
	239,023	ENI SPA		3,945,298
	819,396	Telecom Italia SPA *		994,452
	369,373	Telecom Italia SPA-Di RISP		370,173
		Total Italy		7,546,754
		Japan — 3.1%
	5,200	Aisin Seiki Co Ltd		186,979
	2,300	Asatsu-DK Inc		47,434
	14,300	Canon Inc		435,679
	22,100	Honda Motor Co Ltd		695,135
	86,500	INPEX Corp		876,780
	183,700	Itochu Corp		2,203,161
	13,800	K’s Holdings Corp		439,664

Shares		Description	Value ($)
		Japan — continued
	188,897	KDDI Corp		4,687,267
	44,000	Kyocera Corp		2,155,517
	171,300	Marubeni Corp		938,548
	106,800	Mitsubishi Corp		1,984,147
	106,500	Mitsui & Co Ltd		1,384,899
	121,200	Nippon Telegraph & Telephone Corp		4,622,830
	1,325,660	Nissan Motor Co Ltd		11,922,216
	592,400	NTT Docomo Inc		12,424,855
	9,000	Osaka Gas Co Ltd		36,519
	6,200	Otsuka Holdings Co Ltd		211,564
	1,300	Shimamura Co Ltd		119,904
	143,000	Sojitz Corp		301,980
	119,900	Sumitomo Corp		1,271,702
	3,850	Suzuken Co Ltd		131,932
	6,200	Takeda Pharmaceutical Co Ltd		304,139
	17,300	Toyota Tsusho Corp		398,044
	16,200	Toyota Motor Corp		957,521
	73,300	Yamada Denki Co Ltd		282,018
		Total Japan		49,020,434
		Mexico — 0.1%
	2,453,864	America Movil SAB de CV – Class L		2,245,639
		Netherlands — 0.6%
	32,695	Koninklijke Ahold NV		644,832
	224,569	Unilever NV CVA		8,999,501
		Total Netherlands		9,644,333
		Norway — 0.2%
	98,595	Statoil ASA		1,502,683
	24,598	Telenor ASA		489,141
	9,737	Yara International ASA		434,497
		Total Norway		2,426,321
		Philippines — 0.0%
	4,320	Philippine Long Distance Telephone Co		231,838
		Poland — 0.1%
	70,566	Orange Polska SA		132,775
	124,743	PGE SA		515,889
	38,091	Polski Koncern Naftowy Orlen SA		744,858
		Total Poland		1,393,522
		Russia — 1.3%
	1,947,579	Gazprom OAO Sponsored ADR		8,733,047
	231,143	Lukoil PJSC Sponsored ADR		8,741,431
	163,418	Rosneft OJSC GDR (Registered)		618,335
	12,630	Severstal PAO GDR (Registered)		134,045
	208,696	Surgutneftegas OAO Sponsored ADR		1,093,175
	1,849,720	Surgutneftegas OJSC Class S *		950,756

See accompanying notes to the financial statements. 3

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	29,368	Tatneft PAO Sponsored ADR		828,905
	10,976	Uralkali PJSC Sponsored GDR (Registered) *		167,903
		Total Russia		21,267,597
		South Africa — 0.4%
	21,850	Bidvest Group Ltd		525,334
	18,727	Foschini Ltd		211,567
	30,769	Impala Platinum Holdings Ltd *		115,181
	18,019	Imperial Holdings Ltd		250,656
	174,470	MTN Group Ltd		2,327,952
	39,290	Sasol Ltd		1,270,586
	8,550	Spar Group Ltd (The)		122,463
	24,572	Steinhoff International Holdings Ltd		147,176
	52,102	Telkom South Africa Ltd		249,363
	10,248	Tiger Brands Ltd		231,558
	54,859	Truworths International Ltd		363,470
	34,064	Vodacom Group Ltd		362,905
		Total South Africa		6,178,211
		South Korea — 2.4%
	759	CJ Corp		184,407
	4,678	Daelim Industrial Co Ltd		265,905
	2,916	GS Holdings		114,784
	7,121	Hanwha Corp		253,489
	1,631	Hyosung Corp		176,374
	2,140	Hyundai Department Store Co Ltd		272,244
	10,918	Hyundai Engineering & Construction		306,419
	4,383	Hyundai Heavy Industries Co Ltd *		339,216
	18,088	Hyundai Mobis Co Ltd		3,156,253
	38,061	Hyundai Motor Co		4,790,115
	8,579	Hyundai Steel Co		383,236
	3,582	Kangwon Land Inc		128,760
	87,730	Kia Motors Corp		3,608,272
	5,537	Korea Electric Power Corp		226,203
	9,101	KT&G Corp		850,233
	1,686	LG Chem Ltd		333,741
	36,290	LG Display Co Ltd		715,098
	10,059	LG Electronics Inc		378,237
	7,637	LG International Corp		169,662
	1,170	Lotte Chemical Corp		244,357
	2,236	Lotte Shopping Co Ltd		505,381
	9,726	POSCO		1,566,089
	2,981	S-Oil Corp		152,701
	3,649	Samsung Electro-Mechanics Co Ltd		187,145
	17,422	Samsung Electronics Co Ltd		16,031,244
	21,218	Samsung Heavy Industries Co Ltd		201,601
	749	Shinsegae Co Ltd		158,528
	5,545	SK Holdings Co Ltd		1,266,100
	10,654	SK Innovation Co Ltd *		906,690

Shares		Description	Value ($)
		South Korea — continued
	16,936	SK Networks Co Ltd		93,996
	2,166	SK Telecom Co Ltd		446,135
		Total South Korea		38,412,615
		Spain — 0.5%
	154,542	Iberdrola SA		1,045,028
	77,183	Repsol YPF SA		1,100,474
	444,062	Telefonica SA		6,257,930
		Total Spain		8,403,432
		Sweden — 0.1%
	190,979	TeliaSonera AB		1,075,772
		Switzerland — 1.7%
	5,655	ABB Ltd (Registered) *		109,210
	261,862	Nestle SA (Registered)		19,290,566
	59,864	Novartis AG (Registered)		5,841,877
	4,355	Swatch Group AG (The)		1,664,694
		Total Switzerland		26,906,347
		Taiwan — 1.0%
	197,000	Advanced Semiconductor Engineering Inc		198,877
	141,000	Asustek Computer Inc		1,284,719
	384,000	AU Optronics Corp		122,075
	172,000	Chunghwa Telecom Co Ltd		520,917
	724,000	Compal Electronics Inc		423,049
	61,000	Far EasTone Telecommunications Co Ltd		133,945
	119,180	Foxconn Technology Co Ltd		335,289
	2,455,000	Hon Hai Precision Industry Co Ltd *		6,988,811
	132,000	HTC Corp		187,639
	513,000	Innolux Display Corp		181,625
	286,000	Inventec Co Ltd		131,053
	247,230	Lite-On Technology Corp		226,556
	15,000	MediaTek Inc		115,738
	51,000	Novatek Microelectronics Corp Ltd		171,143
	193,000	Pegatron Corp		500,841
	159,000	Pou Chen Corp		257,475
	373,000	Quanta Computer Inc		686,523
	60,000	Radiant Opto-Electronics Corp		174,986
	46,000	Realtek Semiconductor Corp *		82,737
	110,000	Siliconware Precision Industries Co		132,605
	178,000	Taiwan Cement Corp		190,668
	83,600	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		1,661,968
	177,297	Taiwan Semiconductor Manufacturing Co Ltd		689,829
	112,320	Uni-President Enterprises Corp		200,301
	852,000	United Microelectronics Corp		278,017
	467,959	Wistron Corp		231,827
	122,000	WPG Holdings Co Ltd		115,379
		Total Taiwan		16,224,592

4 See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Thailand — 0.1%
	46,200	PTT Exploration & Production Pcl (Foreign Registered)		103,627
	82,299	PTT Pcl (Foreign Registered)		620,140
		Total Thailand		723,767
		Turkey — 0.2%
	29,045	Arcelik AS		136,197
	96,354	Enka Insaat ve Sanayi AS		164,451
	164,578	Eregli Demir ve Celik Fabrikalari TAS		223,709
	77,349	KOC Holding AS		301,576
	23,636	Tupras-Turkiye Petrol Rafineriler AS *		610,422
	141,440	Turk Hava Yollari Anonim Ortakligi *		391,431
	57,541	Turk Telekomunikasyon AS		121,087
	123,657	Turkcell Iletisim Hizmetleri AS		484,293
		Total Turkey		2,433,166
		United Kingdom — 7.8%
	652,360	AstraZeneca Plc		40,700,167
	67,832	Balfour Beatty Plc		282,198
	1,276,950	BP Plc		7,077,833
	361,169	British American Tobacco Plc		19,124,783
	31,678	Burberry Group Plc		680,783
	503,134	Centrica Plc		1,862,972
	393,563	Compass Group Plc		6,207,509
	58,221	Debenhams Plc		67,124
	169,297	GlaxoSmithKline Plc		3,456,640
	100,899	Home Retail Group Plc		234,586
	17,116	Inchcape Plc		190,504
	26,951	Johnson Matthey Plc		1,110,885
	51,670	Kingfisher Plc		280,803
	35,659	Marks & Spencer Group Plc		283,130
	18,504	Pearson Plc		320,796
	158,931	Reckitt Benckiser Group Plc		13,924,648
	253,426	Royal Dutch Shell Plc A Shares (London)		6,602,325
	87,829	Royal Dutch Shell Plc B Shares (London)		2,293,135
	92,941	Sage Group Plc (The)		729,866
	724,051	Tesco Plc		2,101,506
	304,187	Unilever Plc		12,199,391
	1,270,182	Vodafone Group Plc		4,373,797
	226,259	William Morrison Supermarket Plc		580,798
		Total United Kingdom		124,686,179
		United States — 60.1%
	163,218	3M Co.		23,199,807
	310,800	Abbott Laboratories		14,076,132
	149,447	Accenture Plc – Class A		14,088,369
	18,700	ACE Ltd		1,910,392
	3,200	Affiliated Managers Group, Inc. *		596,608
	24,800	Aflac, Inc.		1,453,280
	23,400	Allstate Corp. (The)		1,363,752

Shares		Description	Value ($)
		United States — continued
	49,700	American Express Co.		3,812,984
	75,900	American International Group, Inc.		4,579,806
	24,100	American Tower Corp.		2,221,779
	10,400	Ameriprise Financial, Inc.		1,171,768
	48,200	Amphenol Corp. – Class A		2,523,752
	72,859	Analog Devices, Inc.		4,069,904
	15,300	Anthem, Inc.		2,158,065
	15,900	Aon Plc		1,485,696
	8,800	Apartment Investment & Management Co. (REIT) – Class A		317,064
	353,000	Apple, Inc.		39,804,280
	3,800	Assurant, Inc.		282,530
	7,500	AvalonBay Communities, Inc. (REIT)		1,237,950
	597,800	Bank of America Corp.		9,768,052
	63,800	Bank of New York Mellon Corp. (The)		2,539,240
	41,600	BB&T Corp.		1,535,872
	47,279	Becton, Dickinson and Co.		6,667,285
	56,641	Bed Bath & Beyond, Inc. *		3,517,973
	103,700	Berkshire Hathaway, Inc. – Class B *		13,899,948
	12,538	Biogen, Inc. *		3,727,547
	7,200	BlackRock, Inc.		2,177,784
	8,600	Boston Properties, Inc. (REIT)		975,068
	31,100	Capital One Financial Corp.		2,418,025
	4,675	Care Capital Properties, Inc. (REIT) *		148,618
	15,800	CBRE Group, Inc. *		505,916
	65,800	Charles Schwab Corp. (The)		1,999,004
	44,700	Chevron Corp.		3,620,253
	13,000	Chubb Corp. (The)		1,570,530
	31,300	Church & Dwight Co., Inc.		2,700,564
	8,400	Cincinnati Financial Corp.		439,572
	1,296,024	Cisco Systems, Inc.		33,541,101
	172,600	Citigroup, Inc.		9,230,648
	45,800	Citrix Systems, Inc. *		3,119,438
	18,100	CME Group, Inc.		1,709,364
	874,842	Coca-Cola Co. (The)		34,398,787
	116,630	Cognizant Technology Solutions Corp. – Class A *		7,340,692
	186,710	Colgate-Palmolive Co		11,727,255
	10,000	Comerica, Inc.		440,000
	56,300	Costco Wholesale Corp.		7,884,815
	4,000	CR Bard, Inc.		775,160
	19,300	Crown Castle International Corp.		1,609,427
	55,800	CVS Health Corp.		5,713,920
	150,926	Danaher Corp.		13,133,581
	25,200	Discover Financial Services		1,353,996
	29,900	Dover Corp.		1,852,305
	16,500	E*TRADE Financial Corp. *		433,785
	366,400	EMC Corp.		9,112,368
	167,548	Emerson Electric Co.		7,995,391
	3,400	Equinix, Inc. (REIT)		917,218
	20,700	Equity Residential (REIT)		1,474,875

See accompanying notes to the financial statements. 5

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	3,700	Essex Property Trust, Inc. (REIT)		794,094
	14,471	Estee Lauder Cos, Inc. (The) – Class A		1,154,352
	435,490	Express Scripts Holding Co. *		36,406,964
	4,800	F5 Networks, Inc. *		582,768
	46,100	Fifth Third Bancorp		918,312
	22,300	Franklin Resources, Inc.		904,934
	35,800	General Growth Properties, Inc. (REIT)		908,604
	32,400	Genuine Parts Co.		2,705,076
	28,300	Genworth Financial, Inc. – Class A *		146,594
	22,800	Goldman Sachs Group, Inc. (The)		4,300,080
	74,710	Google, Inc. – Class A *		48,398,632
	20,202	Google, Inc. – Class C *		12,489,886
	23,900	Hartford Financial Services Group, Inc. (The)		1,098,205
	26,300	HCP, Inc. (REIT)		974,678
	20,000	Health Care REIT, Inc.		1,267,000
	3,400	Henry Schein, Inc. *		465,154
	38,700	Honeywell International, Inc.		3,841,749
	43,000	Host Hotels & Resorts, Inc. (REIT)		762,390
	27,400	Hudson City Bancorp, Inc.		254,820
	40,691	Humana, Inc.		7,437,908
	46,000	Huntington Bancshares, Inc.		501,860
	96,767	Illinois Tool Works, Inc.		8,179,715
	6,400	Intercontinental Exchange Inc.		1,461,824
	92,315	International Business Machines Corp.		13,652,465
	45,631	Intuit, Inc.		3,912,858
	5,800	Intuitive Surgical, Inc. *		2,963,510
	24,600	Invesco Ltd.		839,106
	10,600	Iron Mountain, Inc.		300,404
	459,700	Johnson & Johnson		43,202,606
	211,100	JPMorgan Chase & Co.		13,531,510
	48,100	KeyCorp.		660,894
	23,500	Kimco Realty Corp. (REIT)		541,675
	5,600	Legg Mason, Inc.		248,248
	18,000	Leucadia National Corp.		386,280
	14,400	Lincoln National Corp.		731,376
	15,400	Linear Technology Corp.		620,312
	16,800	Loews Corp.		612,360
	7,600	M&T Bank Corp.		898,624
	8,000	Macerich Co. (The) (REIT)		609,440
	30,600	Marsh & McLennan Cos., Inc.		1,644,138
	62,857	MasterCard, Inc. – Class A		5,806,101
	89,524	McDonald’s Corp.		8,506,570
	15,600	McGraw Hill Financial, Inc.		1,513,044
	325,467	Medtronic Plc		23,528,009
	63,500	MetLife, Inc.		3,181,350
	887,600	Microsoft Corp		38,628,352
	93,510	Monsanto Co.		9,131,251
	10,000	Moody’s Corp.		1,023,100
	87,600	Morgan Stanley		3,017,820
	6,700	NASDAQ OMX Group, Inc. (The)		342,973

Shares		Description	Value ($)
		United States — continued
	22,100	Navient Corp.		282,659
	101,697	Nike, Inc. – Class B		11,364,640
	12,400	Northern Trust Corp.		866,016
	1,039,982	Oracle Corp.		38,572,932
	63,600	Paychex, Inc.		2,840,376
	185,138	PayPal Holdings, Inc. *		6,479,830
	17,600	People’s United Financial, Inc.		272,800
	78,066	PepsiCo, Inc.		7,254,673
	129,200	Pfizer, Inc.		4,162,824
	393,400	Philip Morris International, Inc.		31,393,320
	9,900	Plum Creek Timber Co., Inc. (REIT)		381,051
	29,400	PNC Financial Services Group, Inc. (The)		2,678,928
	29,985	Precision Castparts Corp.		6,904,046
	15,600	Principal Financial Group, Inc.		785,460
	578,823	Procter & Gamble Co. (The)		40,905,421
	30,300	Progressive Corp. (The)		907,788
	29,900	Prologis, Inc. (REIT)		1,136,200
	25,800	Prudential Financial, Inc.		2,082,060
	8,200	Public Storage (REIT)		1,650,414
	455,809	Qualcomm, Inc.		25,789,673
	4,200	Ralph Lauren Corp.		466,998
	13,200	Realty Income Corp. (REIT)		589,908
	76,400	Regions Financial Corp.		732,676
	41,141	Reynolds American, Inc.		3,445,559
	30,465	Rockwell Automation, Inc.		3,406,901
	7,500	Ross Stores, Inc.		364,650
	17,700	Simon Property Group, Inc. (REIT)		3,173,964
	5,600	SL Green Realty Corp. (REIT)		579,656
	23,500	State Street Corp.		1,690,120
	85,226	Stryker Corp.		8,407,545
	61,674	St Jude Medical, Inc.		4,367,136
	29,500	SunTrust Banks, Inc.		1,190,915
	14,800	T. Rowe Price Group, Inc.		1,063,824
	114,800	Teradata Corp. *		3,355,604
	50,816	TJX Cos., Inc. (The)		3,573,381
	7,200	Torchmark Corp.		420,912
	18,200	Travelers Cos., Inc. (The)		1,811,810
	21,800	TripAdvisor, Inc. *		1,523,820
	237,508	UnitedHealth Group, Inc.		27,479,676
	14,400	United Technologies Corp.		1,319,184
	14,200	Unum Group		476,268
	100,800	US Bancorp		4,268,880
	18,900	Ventas, Inc. (REIT)		1,039,878
	78,012	VF Corp.		5,650,409
	9,900	Vornado Realty Trust (REIT)		863,181
	283,715	Wal-Mart Stores, Inc.		18,364,872
	266,632	Wells Fargo & Co.		14,219,485
	29,500	Weyerhaeuser Co. (REIT)		824,230
	14,000	WW Grainger, Inc.		3,128,160
	58,700	Xilinx, Inc.		2,458,943

6 See accompanying notes to the financial statements.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	17,600	XL Group Plc		656,304
	36,328	Zimmer Biomet Holdings, Inc.		3,762,128
	11,600	Zions Bancorporation		336,400
		Total United States		960,043,758
		TOTAL COMMON STOCKS (COST $1,460,211,442)		1,393,719,126
		PREFERRED STOCKS — 0.9%
		Brazil — 0.1%
	31,700	Bradespar SA		81,902
	11,100	Cia Brasileira de Distribuicao		194,353
	10,600	Cia Energetica de Sao Paulo – Class B		47,145
	245,300	Companhia Energetica de Minas Gerais		508,639
	151,200	Gerdau SA		218,880
	76,600	Telefonica Brasil SA		853,094
		Total Brazil		1,904,013
		Germany — 0.1%
	17,177	Porsche Automobil Holding SE		1,192,834
	2,353	Volkswagen AG		445,830
		Total Germany		1,638,664
		Russia — 0.3%
	6,411,152	Surgutneftegaz OJSC *		3,881,952
	405	Transneft *		958,476
		Total Russia		4,840,428
		South Korea — 0.4%
	3,755	Hyundai Motor Co		317,051
	8,095	Samsung Electronics Co Ltd		5,949,581
		Total South Korea		6,266,632
		TOTAL PREFERRED STOCKS (COST $19,479,702)		14,649,737
		MUTUAL FUNDS — 0.6%
		United States — 0.6%
		Affiliated Issuers
	400,252	GMO U.S. Treasury Fund		10,006,304
		TOTAL MUTUAL FUNDS (COST $10,006,304)		10,006,304

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 4.9%
		Time Deposits — 0.1%
EUR	835	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.22)%, due 09/01/15		937
HKD	144,503	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/15		18,645
JPY	1,687,681	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/15		13,921
NOK	133,108	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.13%, due 09/01/15		16,091
USD	1,980,362	Standard Chartered Bank Ltd (Hong Kong) Time Deposit, 0.06%, due 09/01/15		1,980,362
		Total Time Deposits		2,029,956
		U.S. Government — 4.8%
	76,654,000	U.S. Treasury Bill, 0.13%, due 01/07/16 (a) (b)		76,618,049
		TOTAL SHORT-TERM INVESTMENTS (COST $78,656,100)		78,648,005
		TOTAL INVESTMENTS — 93.7% (Cost $1,568,353,548)		1,497,023,172
		Other Assets and Liabilities (net) — 6.3%		100,710,951
		TOTAL NET ASSETS — 100.0%		$1,597,734,123

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Sales
1,543	Russell 2000 Mini	September 2015	$	178,602,250	$	15,881,658
875	S&P 400 E-Mini Index	September 2015		123,768,750		9,855,837
10,340	S&P 500 E-Mini Index	September 2015		1,018,076,400		52,556,879
			$	1,320,447,400	$	78,294,374

+ Buys - Fund is long the futures contract. Sales - Fund is short the futures contract.

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

See accompanying notes to the financial statements. 7

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate shown represents yield-to-maturity.

(b) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 70.

8 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		47.9	%
Short-Term Investments		27.4
Debt Obligations		21.6
Futures Contracts		4.7
Options Purchased		1.7
Preferred Stocks		1.4
Forward Currency Contracts		0.3
Rights/Warrants		0.1
Loan Participations		0.1
Investment Funds		0.1
Loan Assignments		0.0	^
Reverse Repurchase Agreements		(0.1	)
Swap Contracts		(0.2	)
Written/Credit Linked Options		(0.8	)
Securities Sold Short		(2.2	)
Other		(2.0	)
		100.0	%
Country Summary**	Debt Obligations as a % of Total Net Assets
United States		6.6	%
Other Emerging***		5.5
Other Developed****		2.5
Mexico		1.0
Euro Region*****		(1.5	)
Japan		(1.5	)
United Kingdom		(1.5	)
		11.1	%
Country Summary**	Equity Investments as a % of Total Net Assets
United States		13.6	%
United Kingdom		5.6
China		5.3
Korea		3.7
Other Developed****		3.0
Japan		2.8
Other Emerging***		2.7
Canada		2.4
France		2.3
Russia		2.3
Germany		2.0
Taiwan		1.6
Euro Region*****		1.5
		48.8	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”) except for GMO Alpha Only Fund.

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

*** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Total Net Assets.

**** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Total Net Assets.

***** “Euro Region” is comprised of derivative financial instruments attributed to the eurozone and not a particular country.

^ Rounds to 0.0%.

9

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		United States — 100.0%
		Affiliated Issuers — 100.0%
	45,648,324	GMO Alpha Only Fund, Class IV		1,005,176,089
	35,218,195	GMO Debt Opportunities Fund, Class VI		874,819,971
	102,253,184	GMO Emerging Country Debt Fund, Class IV		930,503,977
	1,272,321,150	GMO Implementation Fund		15,891,291,157
	31,987,152	GMO Special Opportunities Fund, Class VI		625,668,691
	30,634,572	GMO Systematic Global Macro Opportunity Fund, Class III		1,017,680,472
		TOTAL MUTUAL FUNDS (COST $20,600,781,262)		20,345,140,357
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	11,392,705	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (a)		11,392,705
		TOTAL SHORT-TERM INVESTMENTS (COST $11,392,705)		11,392,705
		TOTAL INVESTMENTS — 100.1% (Cost $20,612,173,967)		20,356,533,062
		Other Assets and Liabilities (net) — (0.1%)		(10,520,007	)
		TOTAL NET ASSETS — 100.0%		$20,346,013,055

(a) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

10 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		48.1	%
Short-Term Investments		31.9
Debt Obligations		17.1
Futures Contracts		4.0
Preferred Stocks		1.6
Investment Funds		1.0
Loan Participations		0.1
Rights/Warrants		0.1
Forward Currency Contracts		0.0	^
Loan Assignments		0.0	^
Options Purchased		0.0	^
Reverse Repurchase Agreements		(0.1	)
Swap Contracts		(0.1	)
Written/Credit Linked Options		(0.1	)
Other		(3.6	)
		100.0	%
Country Summary**	Debt Obligations as a % of Total Net Assets
United States		8.7	%
Other Emerging***		5.8
		14.5	%
Country Summary**	Equity Investments as a % of Total Net Assets
United States		16.6	%
United Kingdom		5.2
Other Developed****		5.0
Japan		4.4
France		3.0
Germany		2.8
Taiwan		2.4
Korea		2.3
Euro Region*****		2.3
China		2.2
Other Emerging***		1.9
India		1.8
Russia		1.8
Brazil		1.6
Turkey		1.4
Canada		1.1
		55.8	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of

securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

*** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Total Net Assets.

**** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Total Net Assets.

***** “Euro Region” is comprised of derivative financial instruments attributed to the eurozone and not a particular country.

^ Rounds to 0.0%.

11

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 91.7%
		Affiliated Issuers — 91.7%
	8,045,544	GMO Debt Opportunities Fund, Class VI		199,851,301
	29,747,485	GMO Emerging Country Debt Fund, Class IV		270,702,111
	90,993,896	GMO Emerging Markets Fund, Class VI		756,159,274
	42,664,021	GMO International Equity Fund, Class IV		927,515,806
	18,769,170	GMO Risk Premium Fund, Class VI		174,928,667
	9,476,032	GMO Special Opportunities Fund, Class VI		185,351,188
	6,353,230	GMO Systematic Global Macro Opportunity Fund, Class III		211,054,302
	42,882,230	GMO U.S. Equity Allocation Fund, Class VI		633,799,355
	35,969,866	GMO U.S. Treasury Fund		899,246,660
		TOTAL MUTUAL FUNDS (COST $4,810,655,361)		4,258,608,664
		DEBT OBLIGATIONS — 8.3%
		U.S. Government — 8.3%
	34,020,223	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/24 (a)		32,636,825
	125,563,821	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (a)		120,959,773
	49,101,579	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/24 (a)		49,146,311
	59,410,953	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		66,092,368
	3,648,707	U.S. Treasury Inflation Indexed Bond, 2.00%, due 01/15/26 (a)		4,122,802
	7,449,586	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/25 (a)		8,629,489
	5,027,459	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/27 (a)		5,921,271
	54,348,216	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		65,622,644
	23,660,249	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (a)		32,827,673
		Total U.S. Government		385,959,156
		TOTAL DEBT OBLIGATIONS (COST $388,040,211)		385,959,156

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	232,930	State Street Eurodollar Time Deposit, 0.01%, due 09/01/2015		232,930
		TOTAL SHORT-TERM INVESTMENTS (COST $232,930)		232,930
		TOTAL INVESTMENTS — 100.0% (Cost $5,198,928,502)		4,644,800,750
		Other Assets and Liabilities (net) — 0.00%		1,027,815
		TOTAL NET ASSETS — 100.0%		$4,645,828,565

Notes to Schedule of Investments:

(a) Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2).

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 70.

12 See accompanying notes to the financial statements.

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		51.7	%
Short-Term Investments		23.0
Debt Obligations		20.1
Options Purchased		2.8
Futures Contracts		2.7
Preferred Stocks		1.4
Investment Funds		0.8
Forward Currency Contracts		0.5
Loan Participations		0.1
Rights/Warrants		0.0	^
Loan Assignments		0.0	^
Reverse Repurchase Agreements		(0.1	)
Swap Contracts		(0.8	)
Written/Credit Linked Options		(1.4	)
Other		(0.8	)
		100.0	%
Country Summary**	Debt Obligations as a % of Total Net Assets
United States		7.8	%
Other Emerging***		5.1
Australia		1.4
Denmark		1.1
Switzerland		(0.7	)
Japan		(0.9	)
Euro Region****		(2.9	)
United Kingdom		(2.9	)
		8.0	%
Country Summary**	Equity Investments as a % of Total Net Assets
United States		14.6	%
United Kingdom		6.5
Japan		5.7
Other Developed*****		4.9
France		4.0
Germany		3.1
Euro Region****		2.2
Taiwan		2.0
Korea		1.9
China		1.8
Other Emerging***		1.5
Russia		1.5
Canada		1.4
India		1.4
Brazil		1.2
Spain		1.2
Turkey		1.1
		56.0	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”), except for GMO Alpha Only Fund. Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

*** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Total Net Assets.

**** “Euro Region” is comprised of derivative financial instruments attributed to the eurozone and not a specific country.

***** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Total Net Assets.

^ Rounds to 0.0%.

13

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	8,418,379	GMO Alpha Only Fund, Class IV		185,372,714
	33,487,301	GMO Asset Allocation Bond Fund, Class VI		753,129,397
	6,745,527	GMO Debt Opportunities Fund, Class VI		167,558,895
	18,781,520	GMO Emerging Country Debt Fund, Class IV		170,911,836
	57,464,082	GMO Emerging Markets Fund, Class VI		477,526,518
	43,794,780	GMO International Equity Fund, Class IV		952,098,517
	14,579,082	GMO Risk Premium Fund, Class VI		135,877,044
	3,370,004	GMO Systematic Global Macro Opportunity Fund, Class III		111,951,521
	37,422,705	GMO U.S. Equity Allocation Fund, Class VI		553,107,584
	10,429,732	GMO U.S. Treasury Fund		260,743,309
		TOTAL MUTUAL FUNDS (COST $4,160,675,909)		3,768,277,335
		DEBT OBLIGATIONS — 0.0%
		Asset-Backed Securities — 0.0%
	50,021	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .28%, 0.48%, due 02/25/36¿		28,492
	499,812	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.13%, due 11/23/52		500
	197,938	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.50%, due 05/28/39		112,315
	213,079	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.20%, due 02/28/40		168,633
	20,989	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .66%, 0.53%, due 01/25/35¿		19,041
	87,948	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.64%, due 10/25/30		77,813
	17,279	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.50%, due 04/25/34¿		13,996
	75,387	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.42%, due 10/25/34¿		70,992
	2,466	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.64%, due 06/25/34¿		2,332

Par Value ($) / Shares		Description	Value ($)
		Asset-Backed Securities — continued
	87,535	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.45%, due 02/25/30		83,481
	34,263	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.45%, due 02/26/34		30,494
	38,253	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .80%, 1.00%, due 08/25/34¿		36,865
		Total Asset-Backed Securities		644,954
		TOTAL DEBT OBLIGATIONS (COST $670,163)		644,954
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	499,310	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (a)		499,310
		TOTAL SHORT-TERM INVESTMENTS (COST $499,310)		499,310
		TOTAL INVESTMENTS — 100.0% (Cost $4,161,845,382)		3,769,421,599
		Other Assets and Liabilities (net) — (0.0%)		(257,264	)
		TOTAL NET ASSETS — 100.0%		$3,769,164,335

Notes to Schedule of Investments:

¿ These securities are primarily backed by subprime mortgages.

(a) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

14 See accompanying notes to the financial statements.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stock		95.7	%
Short-Term Investments		1.7
Preferred Stocks		1.3
Investment Funds		0.5
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Other		0.8
		100.0	%
Country/Region Summary**	% of Investments
United States		37.0	%
United Kingdom		12.2
Japan		11.8
France		8.2
Other Developed***		6.7
Germany		5.7
Canada		3.2
Spain		2.4
Italy		2.1
Other Emerging****		1.8
Switzerland		1.5
Taiwan		1.5
Korea		1.4
China		1.3
India		1.1
Russia		1.1
Brazil		1.0
		100.0	%

* The table above shows indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

*** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Investments.

**** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Investments.

^ Rounds to 0.0%.

15

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		Mutual Funds — 100.0%
		Affiliated Issuers — 100.0%
	18,476,819	GMO Emerging Markets Fund, Class VI		153,542,368
	38,723,769	GMO International Equity Fund, Class IV		841,854,742
	39,934,458	GMO U.S. Equity Allocation Fund, Class VI		590,231,287
		TOTAL MUTUAL FUNDS (COST $1,720,312,351)		1,585,628,397
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	544,330	State Street Eurodollar Time Deposit, 0.01%, due 09/01/2015		544,330
		TOTAL SHORT-TERM INVESTMENTS (COST $544,330)		544,330
		TOTAL INVESTMENTS — 100.0% (Cost $1,720,856,681)		1,586,172,727
		Other Assets and Liabilities (net) — (0.0%)		(61,840	)
		TOTAL NET ASSETS — 100.0%		$1,586,110,887

16 See accompanying notes to the financial statements.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		93.8	%
Preferred Stocks		2.3
Short-Term Investments		2.1
Investment Funds		1.2
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Other		0.6
		100.0	%

Country/Region Summary**	% of Investments
United States		32.8	%
United Kingdom		10.5
Japan		10.2
France		7.0
Other Developed***		5.6
Germany		4.9
Taiwan		3.3
Korea		3.1
China		3.0
Canada		2.8
India		2.5
Russia		2.5
Other Emerging****		2.4
Brazil		2.2
Spain		2.1
Turkey		2.0
Italy		1.8
Switzerland		1.3
		100.0	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

*** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Investments.

**** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Investments.

^ Rounds to 0.0%.

17

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	83,891,729	GMO Emerging Markets Fund, Class VI		697,140,267
	66,329,687	GMO International Equity Fund, Class IV		1,442,007,389
	70,756,051	GMO U.S. Equity Allocation Fund, Class VI		1,045,774,428
		TOTAL MUTUAL FUNDS (COST $3,742,666,724)		3,184,922,084
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	1,055,528	State Street Eurodollar Time Deposit, 0.01%, due 09/01/2015		1,055,528
		TOTAL SHORT-TERM INVESTMENTS (COST $1,055,528)		1,055,528
		TOTAL INVESTMENTS — 100.0% (Cost $3,743,722,252)		3,185,977,612
		Other Assets and Liabilities (net) — (0.0%)		(90,337	)
		TOTAL NET ASSETS — 100.0%		$3,185,887,275

18 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		53.4	%
Short-Term Investments		23.6
Debt Obligations		16.5
Options Purchased		2.1
Preferred Stocks		1.7
Forward Currency Contracts		0.3
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		0.0	^
Written Options		(1.0	)
Other		3.4
		100.0	%
Country Summary**	Debt Obligations as a % of Total Net Assets
United States		8.5	%
Other Developed****		1.2
Other Emerging***		0.4
Euro Region*****		(1.7	)
United Kingdom		(2.0	)
		6.4	%
Country Summary**	Equity Investments as a % of Total Net Assets
United States		17.3	%
China		6.6
United Kingdom		5.8
Korea		4.5
Japan		3.4
Other Emerging***		3.4
Canada		3.2
Other Developed****		3.1
France		2.8
Russia		2.8
Euro Region*****		2.0
Taiwan		2.0
Germany		1.6
		58.5	%

Industry Group Summary	% of Equity Investments******
Energy		14.1	%
Software & Services		11.6
Pharmaceuticals, Biotechnology & Life Sciences		10.7
Technology Hardware & Equipment		9.1
Telecommunication Services		8.0
Retailing		6.7
Automobiles & Components		6.6
Capital Goods		5.2
Food, Beverage & Tobacco		4.6
Utilities		3.4
Materials		3.2
Health Care Equipment & Services		3.1
Semiconductors & Semiconductor Equipment		2.3
Media		2.2
Insurance		2.1
Banks		1.5
Food & Staples Retailing		1.5
Consumer Durables & Apparel		1.2
Transportation		1.0
Diversified Financials		0.9
Household & Personal Products		0.8
Consumer Services		0.4
Commercial & Professional Services		0.0	^
Real Estate		(0.2	)
		100.0	%

(a) GMO Implementation SPC Ltd. is a 100% owned subsidiary of GMO Implementation Fund. As such, the holdings of GMO Implementation SPC Ltd. have been included with GMO Implementation Fund.

* In the table above, derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The tables above shows country exposure in the Fund. The tables exclude short-term investments. The tables exclude exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any. For example, U.S. asset-backed securities, if any, may represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

*** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Total Net Assets.

**** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Total Net Assets.

***** “Euro Region” is comprised of derivative financial instruments attributed to the eurozone and not a specific country.

****** Investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, debt obligations and ETFs, if any. For a summary of derivative contract exposure and ETFs, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

19

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 56.0%
		Australia — 0.1%
	7,961	Abacus Property Group (REIT)		17,387
	14,337	ASX Ltd		402,126
	5,202	BT Investment Management Ltd		35,538
	31,879	BWP Trust (REIT)		71,607
	21,417	Charter Hall Group (REIT)		67,541
	14,047	Charter Hall Retail (REIT)		40,079
	73,538	Cromwell Property Group (REIT)		53,570
	89,287	Dexus Property Group (REIT)		467,282
	27,501	Echo Entertainment Group Ltd		96,100
	293,939	Fairfax Media Ltd		178,482
	561,312	Federation Centres (REIT)		1,128,379
	53,841	Genworth Mortgage Insurance Australia Ltd		102,553
	152,780	Goodman Group (REIT)		660,302
	206,607	GPT Group (The) (REIT)		660,290
	29,673	Investa Office Fund (REIT)		81,130
	53,482	IOOF Holdings Ltd		340,549
	51,700	Lend Lease Group		511,564
	17,292	Macquarie Group Ltd		933,334
	418,588	Mirvac Group (REIT)		520,382
	48,488	Nine Entertainment Co Holdings Ltd		57,157
	4,507	Origin Energy Ltd		26,443
	4,555	Premier Investments Ltd		40,149
	22,771	Shopping Centres Australasia Property Group (REIT)		31,901
	265,396	Stockland (REIT)		737,390
	125,094	Suncorp-Metway Ltd		1,141,540
	555,116	Telstra Corp Ltd		2,277,434
	199,231	Westfield Corp		1,379,632
	385,575	Woodside Petroleum Ltd		8,874,299
		Total Australia		20,934,140
		Austria — 0.1%
	226,379	OMV AG		5,795,548
	102,346	Voestalpine AG		3,731,389
		Total Austria		9,526,937
		Belgium — 0.2%
	33,762	Ageas		1,378,285
	368,494	Delhaize Group		32,971,574
	279	Gimv NV		13,229
	494	Mobistar SA *		10,273
	156,127	Proximus		5,600,308
		Total Belgium		39,973,669
		Brazil — 0.2%
	18,200	Aes Tiete SA		73,620
	420,500	Banco do Brasil SA		2,067,339

Shares		Description	Value ($)
		Brazil — continued
	1,488,600	Centrais Eletricas Brasileiras SA *		2,044,098
	253,200	Cia de Saneamento Basico do Estado de Sao Paulo ADR		1,096,356
	156,600	Cia de Saneamento de Minas Gerais-COPASA		410,213
	1,091,400	Companhia de Saneamento Basico do Estado de Sao Paulo		4,733,769
	979,900	Companhia Siderurgica Nacional SA		945,680
	6,800	Companhia Siderurgica Nacional SA Sponsored ADR		6,331
	283,005	CPFL Energia SA		1,225,147
	2,828	CPFL Energia SA ADR		24,632
	751,600	Cyrela Brazil Realty SA Empreendimentos e Participacoes		1,740,846
	378,367	Duratex SA		572,770
	1,179,600	EDP-Energias do Brasil SA		3,646,152
	286,300	Light SA		922,848
	781,700	MRV Engenharia e Participacoes SA		1,373,011
	113,100	Natura Cosmeticos SA		738,792
	372,200	Tim Participacoes SA		903,136
	342,800	Tractebel Energia SA		3,170,284
	550,900	Transmissora Alianca de Energia Eletrica SA		2,810,210
		Total Brazil		28,505,234
		Canada — 3.2%
	7,700	Artis Real Estate Investment Trust		71,756
	103,600	Bank of Montreal		5,591,061
	900	Canadian Apartment Properties (REIT)		19,155
	63,600	Canadian Imperial Bank of Commerce		4,674,281
	2,500	Canadian Natural Resources Ltd		56,343
	246,800	Canadian Oil Sands Ltd		1,444,481
	6,300	Canadian Tire Corp Ltd – Class A		594,755
	143,900	Cenovus Energy Inc		2,085,872
	25,400	CI Financial Corp		607,198
	1,700	Cogeco Cable Inc		85,814
	8,700	Corus Entertainment Inc – B Shares		94,499
	11,700	Genworth MI Canada Inc		271,067
	25,100	Great-West Lifeco Inc		641,618
	110,400	Husky Energy Inc		1,966,154
	2,300	Imperial Oil Ltd		81,206
	6,900	Industrial Alliance Insurance & Financial Services Inc		220,385
	10,200	Intact Financial Corp		705,921
	2,200	Laurentian Bank of Canada		80,970
	3,100	Linamar Corp		162,847
	241,300	Manulife Financial Corp		3,921,400
	54,300	National Bank of Canada		1,787,162
	36,700	Power Corp of Canada		803,405

20 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	23,000	Power Financial Corp		565,385
	196,400	Royal Bank of Canada		10,948,598
	67,200	Sun Life Financial Inc		2,136,139
	504,500	Suncor Energy Inc		14,288,287
	167,000	Toronto-Dominion Bank (The)		6,661,721
	1,981,692	Valeant Pharmaceuticals International Inc *		456,978,175
		Total Canada		517,545,655
		Chile — 0.0%
	17,020,017	Enersis SA		4,742,412
	67,800	Enersis SA Sponsored ADR		941,064
	187,197	ENTEL Chile SA		1,749,382
		Total Chile		7,432,858
		China — 6.6%
	792,000	Air China Ltd – Class H		574,824
	8,999,592	Alibaba Group Holding Ltd Sponsored ADR *		595,053,023
	1,909,500	Anhui Conch Cement Co Ltd – Class H		5,750,492
	120,000	Anhui Expressway Co Ltd – Class H		91,786
	648,000	ANTA Sports Products Ltd.		1,617,419
	120,000	AVIC International Holdings Ltd – Class H		67,021
	2,923,000	BBMG Corp – Class H		1,876,993
	378,000	Beijing Capital International Airport Co Ltd – Class H		407,676
	14,713,000	Belle International Holdings Ltd		13,403,644
	33,000	Boer Power Holdings Ltd.		56,188
	1,251,000	BYD Electronic International Co Ltd *		723,970
	168,000	China BlueChemical Ltd – Class H		48,341
	4,245,000	China Coal Energy Co Ltd – Class H		1,990,134
	13,876,000	China Communications Construction Co Ltd – Class H		16,465,399
	10,600,000	China Communications Services Corp Ltd – Class H		3,921,177
	294,000	China High Speed Transmission Equipment Group Co Ltd – Class H *		202,168
	21,000	China Lilang Ltd.		18,061
	650,000	China Machinery Engineering Corp – Class H		480,518
	12,855,000	China Mobile Ltd		157,338,059
	15,428,000	China National Building Material Co Ltd – Class H		8,956,539
	1,364,000	China Oilfield Services Ltd – Class H		1,477,665
	54,446,000	China Petroleum & Chemical Corp – Class H		36,508,400
	2,377,000	China Power International Development Ltd		1,601,191

Shares		Description	Value ($)
		China — continued
	7,574,500	China Railway Construction Corp Ltd – Class H		9,929,208
	12,604,000	China Railway Group Ltd – Class H		11,250,050
	810,000	China Resources Cement Holdings Ltd.		399,517
	684,395	China Resources Enterprise Ltd		2,153,171
	3,760,000	China Resources Power Holdings Co Ltd		9,276,595
	4,824,000	China Shanshui Cement Group Ltd *		3,915,195
	14,401,500	China Shenhua Energy Co Ltd – Class H		24,957,146
	118,000	China Shineway Pharmaceutical Group Ltd.		141,700
	41,280,000	China Telecom Corp Ltd – Class H		21,594,153
	1,664,000	China Travel International Investment Hong Kong Ltd		583,390
	2,317,000	China ZhengTong Auto Services Holdings Ltd.		914,294
	38,798,000	CNOOC Ltd		48,631,963
	4,328,000	COSCO Pacific Ltd		5,696,170
	10,816,000	Datang International Power Generation Co Ltd – Class H		4,379,387
	2,954,000	Digital China Holdings Ltd		2,591,650
	9,040,000	Dongfeng Motor Group Co Ltd – Class H		9,126,028
	2,342,500	Fosun International Ltd		3,911,451
	225,000	Fufeng Group Ltd.		99,784
	13,535,000	Geely Automobile Holdings Ltd		5,252,821
	120,000	Glorious Property Holdings Ltd. *		13,185
	27,962,000	GOME Electrical Appliances Holding Ltd		4,368,390
	1,280,000	Great Wall Motor Co Ltd – Class H		3,408,526
	774,000	Guangdong Investment Ltd		1,048,842
	54,000	Haitian International Holdings Ltd.		98,629
	45,500	Hopewell Highway Infrastructure Ltd.		21,773
	10,065,000	Huabao International Holdings Ltd		3,363,912
	708,000	Huadian Power International Corp Ltd – Class H		576,703
	8,860,000	Huaneng Power International Inc – Class H		10,109,923
	3,986,000	Jiangsu Expressway Co Ltd		4,714,289
	1,689,500	Kingboard Chemical Holdings Ltd.		2,184,636
	87,000	Kingboard Laminates Holdings Ltd.		34,617
	2,246,000	Kunlun Energy Co Ltd		1,603,799
	1,367,000	Lee & Man Paper Manufacturing Ltd.		787,597
	82,000	Minth Group Ltd.		142,497
	6,680,000	PetroChina Co Ltd – Class H		5,555,998
	2,125,000	Poly Property Group Co Ltd		571,219
	1,563,000	Shanghai Industrial Holdings Ltd		3,828,125

See accompanying notes to the financial statements. 21

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		China — continued
	208,000	Shanghai Jin Jiang International Hotels Group Co Ltd – Class H		64,054
	573,300	Shanghai Pharmaceuticals Holding Co Ltd – Class H		1,197,049
	314,000	Shenzhen Expressway Co Ltd – Class H		204,608
	2,673,500	Shenzhen International Holdings Ltd		3,710,296
	464,000	Sichuan Expressway Co Ltd – Class H		148,380
	1,672,000	Sinofert Holdings Ltd.		258,193
	4,663,500	Sinopec Engineering Group Co Ltd – Class H		3,980,303
	66,000	Sinotruk Hong Kong Ltd		29,092
	8,544,000	Skyworth Digital Holdings Ltd		4,967,017
	346,000	TCC International Holdings Ltd.		65,102
	202,000	TCL Communication Technology Holdings Ltd.		136,296
	204,000	Tianjin Development Holdings Ltd		132,441
	180,000	Tianjin Port Development Holdings Ltd.		28,313
	1,450,000	Tongda Group Holdings Ltd.		225,627
	292,000	TravelSky Technology Ltd – Class H		350,637
	130,000	Wasion Group Holdings Ltd.		125,562
	2,464,000	Weichai Power Co Ltd – Class H		2,629,203
	1,588,000	West China Cement Ltd		257,092
	117,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		83,781
	101,500	XTEP International Holdings Ltd.		43,744
	4,560,000	Yanzhou Coal Mining Co Ltd – Class H		2,174,526
	323,000	Yingde Gases Group Co. Ltd.		134,216
	2,172,000	Yuexiu Property Co Ltd		343,155
	26,000	Yuexiu Transport Infrastructure Ltd.		15,363
	2,688,000	Zhejiang Expressway Co Ltd – Class H		2,925,136
	12,500,000	Zijin Mining Group Co Ltd – Class H		3,268,400
		Total China		1,083,364,607
		Colombia — 0.0%
	4,529,526	Ecopetrol SA		2,365,152
		Czech Republic — 0.1%
	710,782	CEZ AS		16,238,764
		Denmark — 0.1%
	5,616	AP Moeller – Maersk A/S		9,564,419
	68,428	Carlsberg A/S		5,170,371
	512,644	TDC A/S		3,241,099
	7,420	Tryg A/S		145,661
		Total Denmark		18,121,550

Shares		Description	Value ($)
		Egypt — 0.0%
	369,482	Al Ezz Steel Rebars SAE *		442,952
	315,712	Telecom Egypt Co		277,060
		Total Egypt		720,012
		Finland — 0.0%
	236,585	Fortum Oyj		3,829,633
	8,942	Sponda Oyj		35,968
	137,708	UPM – Kymmene Oyj		2,289,081
		Total Finland		6,154,682
		France — 2.8%
	375,406	AXA SA		9,456,106
	116,036	Bouygues SA		4,418,801
	60,384	Casino Guichard-Perrachon SA		3,814,457
	60,024	Christian Dior SE		11,111,522
	129,052	Cie de Saint-Gobain		5,923,094
	10,492	CNP Assurances		161,797
	129,066	Compagnie Generale des Etablissements Michelin		12,462,628
	1,672,846	Engie		29,876,993
	178	Euler Hermes Group		18,341
	2,361	LVMH Moet Hennessy Louis Vuitton SE		392,965
	719	Metropole Television SA		13,904
	2,431,633	Orange SA		38,456,906
	1,110,120	Renault SA		91,925,053
	228,513	Rexel SA		3,500,622
	458,765	Sanofi		45,124,911
	267,974	Schneider Electric SA		16,890,627
	16,927	SCOR SE		595,794
	74,683	Suez Environnement Co		1,343,308
	3,081,604	Total SA		142,081,663
	4,507	Vinci SA		289,906
	1,550,932	Vivendi SA		38,281,370
		Total France		456,140,768
		Germany — 1.3%
	84,840	Allianz SE (Registered)		13,517,799
	29,041	Axel Springer SE		1,755,266
	895,094	BASF SE		71,918,014
	162,367	Bayerische Motoren Werke AG		14,923,277
	43,089	Bilfinger SE		1,727,206
	440,209	Daimler AG		35,284,750
	131,964	Deutsche Lufthansa AG (Registered) *		1,601,245
	1,532,138	Deutsche Telekom AG (Registered)		26,136,026
	1,465,872	E.ON SE		16,565,593
	9,809	Hannover Rueck SE		995,521
	187,356	K+S AG (Registered)		6,992,804
	58,161	Metro AG		1,691,052

22 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	6,297	ProSiebenSat.1 Media SE		305,838
	284,358	RWE AG		4,257,664
	148,058	Siemens AG (Registered)		14,675,952
	25,125	Volkswagen AG		4,685,639
		Total Germany		217,033,646
		Greece — 0.0%
	195,100	Hellenic Telecommunications Organization SA		1,785,625
	283,222	OPAP SA		2,223,087
		Total Greece		4,008,712
		Hong Kong — 0.1%
	14,400	Bank of East Asia Ltd (The)		49,745
	835,000	BOC Hong Kong Holdings Ltd		2,821,615
	66,000	Champion (REIT)		32,809
	6,000	Chow Sang Sang Holdings International Ltd.		11,813
	56,800	Dah Sing Banking Group Ltd		107,676
	6,000	Dah Sing Financial Holdings Ltd		32,875
	3,000	Great Eagle Holdings Ltd.		9,231
	94,700	Hang Seng Bank Ltd.		1,685,611
	117,000	Henderson Land Development Co Ltd		722,939
	161,000	Hong Kong Electric Holdings Ltd		1,386,911
	70,300	Hongkong Land Holdings Ltd.		487,073
	40,000	Hutchison Telecommunications Hong Kong Holdings Ltd.		16,026
	44,000	Hysan Development Co Ltd		176,677
	40,500	Kerry Properties Ltd.		121,493
	170,000	Link (REIT)		902,544
	38,000	Luk Fook Holdings International Ltd.		98,788
	31,600	Man Wah Holdings Ltd.		33,529
	428,000	MMG Ltd *		87,824
	61,000	Pacific Textiles Holdings Ltd.		86,543
	138,000	Sino Land Co Ltd		206,611
	174,000	SJM Holdings Ltd		157,542
	41,500	SmarTone Telecommunications Holdings Ltd.		74,258
	213,000	Sun Hung Kai Properties Ltd		2,699,957
	63,000	Swire Pacific Ltd – Class A		693,107
	22,600	Swire Properties Ltd		69,441
	19,000	Television Broadcasts Ltd		71,315
	46,000	Texwinca Holdings Ltd.		43,771
	253,000	Value Partners Group Ltd.		227,968
	300,000	Wharf Holdings Ltd (The)		1,692,423
	332,000	Xinyi Glass Holdings Ltd.		150,772
	64,500	Yue Yuen Industrial Holdings		230,796
		Total Hong Kong		15,189,683

Shares		Description	Value ($)
		Hungary — 0.1%
	1,581,677	Magyar Telekom Telecommunications Plc *		2,251,210
	69,490	MOL Hungarian Oil and Gas Plc		3,450,186
	156,723	OTP Bank Plc		3,021,530
		Total Hungary		8,722,926
		India — 0.3%
	1,394,421	Bharat Heavy Electricals Ltd		4,753,321
	1,528,216	Cairn India Ltd		3,442,513
	950,502	Coal India Ltd		5,205,860
	783,605	GAIL India Ltd		3,500,599
	264,925	Hindustan Petroleum Corp Ltd *		3,344,719
	1,071	Infosys Ltd		17,810
	5,900	Infosys Ltd Sponsored ADR		101,185
	1,215,495	Jindal Steel & Power Ltd		1,256,518
	3,700,739	NTPC Ltd		6,788,517
	1,482,777	Oil & Natural Gas Corp Ltd		5,337,720
	91,955	Reliance Industries Ltd		1,185,885
	634,713	Reliance Infrastructure Ltd		3,274,244
	27,399	Tata Motors Ltd *		141,483
	147,518	Tata Motors Ltd Sponsored ADR *		3,735,156
	654	Tata Motors Ltd – Class A *		2,342
	106,376	Tata Steel Ltd		360,087
		Total India		42,447,959
		Indonesia — 0.2%
	31,377,400	Adaro Energy Tbk PT		1,327,023
	22,782,700	Astra International Tbk PT		9,596,641
	741,900	Indo Tambangraya Megah Tbk PT		495,482
	13,670,200	Perusahaan Gas Negara Persero Tbk PT		2,708,914
	86,103,500	Telekomunikasi Indonesia Persero Tbk PT		17,577,989
	29,500	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		1,186,195
	2,121,900	United Tractors Tbk PT		2,881,437
		Total Indonesia		35,773,681
		Israel — 0.0%
	56,471	Bank Hapoalim BM		286,412
	79,893	Bank Leumi Le-Israel *		291,094
	18,500	Check Point Software Technologies Ltd *		1,443,185
	1,000	Delek Automotive Systems Ltd		10,518
	4,788	Harel Insurance Investments & Financial Services Ltd		21,850
	55,473	Israel Discount Bank Ltd – Class A *		102,717
	5,086	Mizrahi Tefahot Bank Ltd		59,142
		Total Israel		2,214,918

See accompanying notes to the financial statements. 23

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Italy — 0.6%
	6,639,086	Enel SPA		29,854,312
	3,120,632	ENI SPA		51,508,928
	170,957	Fiat Chrysler Automobiles NV *		2,396,858
	405,126	Mediaset SPA		1,936,611
	28,941	Mediolanum SPA		228,159
	9,844	Societa Cattolica di Assicurazioni SCRL		69,717
	8,468,536	Telecom Italia SPA *		10,277,750
	8,204,441	Telecom Italia SPA-Di RISP		8,222,200
		Total Italy		104,494,535
		Japan — 3.3%
	23,000	77 Bank Ltd (The)		136,099
	2,300	Adastria Co Ltd		123,339
	176,900	Aeon Co Ltd		2,653,142
	124,900	Aisin Seiki Co Ltd		4,491,098
	15,300	Alpine Electronics Inc		214,268
	5,300	AOKI Holdings Inc		63,872
	4,900	Aoyama Trading Co Ltd		182,487
	700	Asatsu-DK, Inc.		14,436
	4,700	Autobacs Seven Co Ltd		86,326
	3,000	Awa Bank Ltd (The)		17,082
	34,000	Bank of Kyoto Ltd (The)		368,626
	142,000	Bank of Yokohama Ltd (The)		867,091
	115,800	Bridgestone Corp		3,872,075
	31,000	Calsonic Kansei Corp		216,313
	186,222	Canon Inc		5,673,636
	6,800	Canon Marketing Japan Inc		99,612
	2,700	Century Tokyo Leasing Corp		82,818
	80,000	Chiba Bank Ltd (The)		582,448
	162,100	Daihatsu Motor Co Ltd		1,977,586
	6,600	Daiichi Sanyko Co Ltd		127,023
	1,400	Daiichikosho Co Ltd		52,993
	33,000	Daikyo Inc		51,519
	9,000	Daishi Bank Ltd (The)		38,432
	10,000	Daito Trust Construction Co Ltd		1,092,354
	53,500	Daiwa House Industry Co Ltd		1,311,626
	22,000	DCM Holdings Co Ltd		173,286
	1,300	Descente Ltd		18,050
	2,200	Exedy Corp		50,046
	113,300	Fuji Heavy Industries Ltd		3,960,834
	111,122	FujiFilm Holdings Corp		4,555,152
	3,000	Fujitsu General Ltd		37,081
	100,000	Fukuoka Financial Group Inc		495,419
	700	Fuyo General Lease Co Ltd		27,293
	35,000	Gunma Bank Ltd (The)		233,276
	22,000	Hachijuni Bank Ltd (The)		151,595
	61,400	Haseko Corp		718,112
	28,000	Hiroshima Bank Ltd (The)		157,780

Shares		Description	Value ($)
		Japan — continued
	11,000	Hitachi Capital Corp		264,124
	5,000	Hokkoku Bank Ltd (The)		19,113
	279,927	Honda Motor Co Ltd		8,804,845
	5,000	Hyakugo Bank Ltd (The)		24,064
	4,000	Hyakujushi Bank Ltd (The)		13,848
	1,400	IBJ Leasing Co Ltd		28,842
	10,700	Idemitsu Kosan Co Ltd		184,118
	1,195,392	Inpex Corp		12,116,714
	99,300	Isuzu Motors Ltd		1,124,886
	94,037	IT Holdings Corp		2,199,193
	2,753,100	Itochu Corp		33,018,631
	1,400	Itochu Enex Co Ltd		12,083
	14,600	Iyo Bank Ltd (The)		163,209
	11,500	Jafco Co Ltd		500,178
	58,000	Joyo Bank Ltd (The)		309,793
	10,000	Juroku Bank Ltd (The)		40,766
	111,980	K’s Holdings Corp		3,567,646
	1,000	Kagoshima Bank Ltd (The)		6,348
	593,300	KDDI Corp		14,722,068
	9,800	Keihin Corp		135,380
	5,000	Keiyo Bank Ltd (The)		26,231
	1,600	Kiyo Bank Ltd (The)		24,471
	8,400	Koito Manufacturing Co Ltd		287,044
	209,980	Kyocera Corp		10,286,714
	2,971,900	Marubeni Corp		16,282,947
	167,304	Medipal Holdings Corp		2,885,980
	69,100	Millea Holdings Inc		2,766,138
	7,000	Minato Bank Ltd (The)		13,493
	9,400	Mitsuba Corp		161,504
	282,700	Mitsubishi Chemical Holdings Corp		1,603,104
	1,669,369	Mitsubishi Corp		31,013,775
	2,350,500	Mitsubishi UFJ Financial Group Inc		15,504,322
	45,800	Mitsubishi UFJ Lease & Finance Co Ltd		220,545
	1,508,874	Mitsui & Co Ltd		19,620,999
	6,739,900	Mizuho Financial Group Inc		13,803,100
	45,200	MS&AD Insurance Group Holdings Inc		1,421,051
	1,100	Musashino Bank Ltd (The)		38,576
	19,300	NHK Spring Co Ltd		186,109
	4,900	Nifco Inc		190,730
	1,000	Nippon Seiki Co Ltd		20,005
	1,434,100	Nippon Telegraph & Telephone Corp		54,699,641
	4,700	Nippon Television Holdings Inc		81,295
	91,000	Nishi-Nippon City Bank Ltd (The)		252,123
	16,136,064	Nissan Motor Co Ltd		145,118,374
	800	Nissin Kogyo Co Ltd		11,001
	22,700	NOK Corp		558,003
	27,600	Nomura Real Estate Holdings Inc		517,743

24 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,302,129	NTT Docomo, Inc.		27,310,522
	7,000	Ogaki Kyoritsu Bank Ltd (The)		24,779
	4,000	Okasan Securities Group Inc		24,631
	8,000	Onward Holdings Co Ltd		50,320
	6,500	Open House Co Ltd		119,188
	300,900	Orient Corp *		489,187
	309,500	ORIX Corp		4,148,359
	705,000	Osaka Gas Co Ltd		2,860,671
	262,900	Otsuka Holdings Co Ltd		8,970,991
	6,000	PanaHome Corp		39,922
	800	Relo Holdings Inc		83,566
	286,800	Resona Holdings Inc		1,445,558
	900	Ricoh Leasing Co Ltd		25,111
	5,400	Saizeriya Co Ltd		125,386
	7,000	San-In Godo Bank Ltd (The)		62,277
	1,700	Sangetsu Co Ltd		29,563
	84,000	Sekisui Chemical Co Ltd		925,081
	123,300	Sekisui House Ltd		1,837,877
	30,700	Shimamura Co Ltd		2,831,575
	42,000	Shizuoka Bank Ltd (The)		441,972
	13,900	SKY Perfect JSAT Holdings Inc		63,074
	2,321,500	Sojitz Corp		4,902,427
	1,638,600	Sumitomo Corp		17,379,567
	14,200	Sumitomo Forestry Co Ltd		158,834
	256,400	Sumitomo Mitsui Financial Group Inc		10,465,340
	575,000	Sumitomo Mitsui Trust Holdings Inc		2,373,537
	800	Sumitomo Real Estate Sales Co Ltd		21,030
	125,000	Sumitomo Rubber Industries Ltd		1,766,183
	14,600	Suruga Bank Ltd		278,876
	62,700	Suzuken Co Ltd		2,148,598
	86,700	T&D Holdings Inc		1,163,909
	3,300	T-Gaia Corp		53,990
	41,000	Takashimaya Co Ltd		354,334
	34,526	Takeda Pharmaceutical Co., Ltd.		1,693,660
	2,000	Toei Co Ltd		14,880
	3,000	Toho Bank Ltd (The)		12,122
	7,100	Tokai Rika Co Ltd		150,384
	24,100	Tokai Tokyo Financial Holdings Inc		160,302
	500	Token Corp		34,502
	3,300	Tokyo Broadcasting System Holdings Inc		45,105
	29,000	Tokyo Gas Co Ltd		158,440
	2,000	Topre Corp		38,730
	17,500	Toyo Tire & Rubber Co Ltd		390,619
	8,100	Toyoda Gosei Co Ltd		158,225
	3,600	Toyota Boshoku Corp		59,831
	106,600	Toyota Motor Corp		6,300,723
	227,200	Toyota Tsusho Corp		5,227,488
	1,600	TPR Co Ltd		38,537

Shares		Description	Value ($)
		Japan — continued
	8,100	TS Tech Co Ltd		216,667
	2,100	Unipres Corp		39,047
	413,800	UNY Co Ltd		2,569,681
	5,000	Wacoal Holdings Corp		64,191
	2,100	Xebio Co Ltd		39,738
	859,167	Yamada Denki Co Ltd		3,305,596
	25,000	Yamaguchi Financial Group Inc		307,887
	20,900	Yokohama Rubber Co Ltd (The)		409,554
		Total Japan		544,237,236
		Malaysia — 0.0%
	1,748,500	Petronas Chemicals Group Bhd		2,527,330
		Mexico — 0.2%
	30,963,300	America Movil SAB de CV – Class L		28,335,883
	5,000	America Movil SAB de CV – Class L Sponsored ADR		91,500
	44,400	Bolsa Mexicana de Valores SAB de CV		68,004
	32,900	Controladora Comercial Mexicana SAB de CV		94,814
	134,800	Gentera SAB de CV		213,724
	56,900	Gruma SAB de CV – Class B		769,667
	80,100	Grupo Aeroportuario del Pacifico SAB de CV – Class B		670,131
	7,900	Grupo Financiero Interacciones SA de CV		45,345
	11,000	Grupo Herdez SAB de CV		26,987
	278,400	OHL Mexico SAB de CV *		372,750
	43,300	Prologis Property Mexico SA de CV *		68,004
		Total Mexico		30,756,809
		Netherlands — 0.7%
	59,873	Heineken Holding NV		4,174,839
	276,991	InterXion Holding NV *		7,600,633
	819,643	Koninklijke Ahold NV		16,165,525
	679,679	NN Group NV		20,744,695
	983,416	PostNL NV *		3,711,290
	5,607,422	TNT Express NV		47,364,829
	24,348	TomTom NV *		243,906
	72,162	Unilever NV CVA		2,891,859
	182,088	Wolters Kluwer NV		5,760,978
		Total Netherlands		108,658,554
		New Zealand — 0.0%
	19,962	Sky Network Television Ltd		64,149

See accompanying notes to the financial statements. 25

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Norway — 0.3%
	242,085	Orkla ASA		1,784,726
	1,362,379	Statoil ASA		20,763,963
	102,880	Storebrand ASA *		352,091
	555,401	Telenor ASA		11,044,374
	221,355	Yara International ASA		9,877,576
		Total Norway		43,822,730
		Philippines — 0.0%
	786,000	Filinvest Land Inc		30,133
	125,145	Philippine Long Distance Telephone Co		6,716,051
	152,600	Vista Land & Lifescapes Inc		19,032
		Total Philippines		6,765,216
		Poland — 0.3%
	138,075	Asseco Poland SA		1,911,955
	363,994	KGHM Polska Miedz SA		7,545,963
	1,623,602	Orange Polska SA		3,054,912
	2,648,999	PGE SA		10,955,246
	808,182	Polski Koncern Naftowy Orlen SA		15,803,732
	2,071,844	Tauron Polska Energia SA		1,920,656
		Total Poland		41,192,464
		Portugal — 0.0%
	1,144,006	EDP – Energias de Portugal SA		3,994,833
		Russia — 2.3%
	4,011	Bashneft OAO – Class S *		111,378
	27,096,450	Gazprom PAO Sponsored ADR		121,501,891
	4,459,457	Inter RAO UES PJSC *		79,035
	5,296,171	Lukoil PJSC Sponsored ADR		200,291,972
	3,250,806	Rosneft OJSC GDR (Registered)		12,300,273
	215,172,539	RusHydro JSC *		1,784,426
	355,211	Severstal PAO *		4,011,821
	208,966	Severstal PAO GDR (Registered)		2,217,794
	2,166,053	Surgutneftegas OJSC – Class S *		1,151,168
	1,638,753	Surgutneftegas Sponsored ADR		8,583,982
	30,816	Tatneft PAO *		155,016
	563,747	Tatneft PAO Sponsored ADR		15,911,627
		Total Russia		368,100,383
		Singapore — 0.0%
	8,700	ARA Asset Management Ltd.		8,882
	239,600	Ascendas Real Estate Investment Trust		378,142
	269,100	CapitaLand Commercial Trust (REIT)		253,449
	278,900	CapitaLand Mall Trust (REIT)		378,913
	24,200	CapitaLand Retail China Trust (REIT)		24,208

Shares		Description	Value ($)
		Singapore — continued
	13,400	CDL Hospitality Trusts (REIT)		12,528
	138,800	DBS Group Holdings Ltd		1,749,480
	15,300	Frasers Centrepoint Trust (REIT)		21,083
	103,000	Keppel (REIT)		71,504
	18,800	Mapletree Commercial Trust (REIT)		17,611
	64,400	Mapletree Greater China Commercial Trust (REIT)		43,340
	45,000	Mapletree Industrial Trust (REIT)		48,990
	101,500	Mapletree Logistics Trust (REIT)		70,458
	20,200	SPH (REIT)		13,742
	36,900	Starhill Global (REIT)		20,109
	94,200	Suntec Real Estate Investment Trust		102,115
	64,300	United Overseas Bank Ltd		884,037
	27,100	UOL Group Ltd		120,173
	7,400	Wing Tai Holdings Ltd		8,636
	18,700	Yanlord Land Group Ltd		14,370
		Total Singapore		4,241,770
		South Africa — 0.7%
	4,810	AECI Ltd		35,319
	2,691,606	African Bank Investments Ltd * (a)		203
	31,857	Alexander Forbes Group Holdings Ltd		21,339
	50,396	AVI Ltd		307,782
	94,804	Barclays Africa Group Ltd		1,243,176
	38,877	Barloworld Ltd		249,422
	464,293	Bidvest Group Ltd (The)		11,162,878
	57,040	Clicks Group Ltd		393,335
	18,075	DataTec Ltd		102,271
	3,261	Distell Group Ltd		41,097
	591,002	FirstRand Ltd		2,358,164
	16,979	Fortress Income Fund Ltd – Class A		21,038
	252,655	Foschini Group Ltd (The)		2,854,348
	1,095,671	Gold Fields Ltd		3,519,758
	49,421	Hyprop Investments Ltd (REIT)		461,974
	488,693	Imperial Holdings Ltd		6,798,026
	11,466	JSE Ltd		118,921
	265,041	Kumba Iron Ore Ltd		1,802,675
	31,599	Liberty Holdings Ltd		306,321
	208,591	MMI Holdings Ltd		441,765
	2,298,945	MTN Group Ltd		30,674,792
	40,645	Nedbank Group Ltd		723,488
	247,562	Netcare Ltd		743,580
	2,624	Oceana Group Ltd		19,150
	92,786	Rand Merchant Insurance Holdings Ltd		293,928
	1,011,981	Redefine Properties Ltd		876,888
	36,529	Resilient Property Income Fund Ltd		307,751
	111,083	RMB Holdings Ltd		562,645
	362,366	Sanlam Ltd		1,743,568

26 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	506,372	Sasol Ltd		16,375,387
	1,756,770	Sibanye Gold Ltd		2,020,648
	33,739	SPAR Group Ltd (The)		483,248
	19,752	Super Group Ltd *		49,199
	769,439	Telkom SA SOC Ltd		3,682,577
	174,552	Tiger Brands Ltd		3,944,071
	1,013,423	Truworths International Ltd		6,714,455
	43,317	Tsogo Sun Holdings Ltd		76,499
	928,819	Vodacom Group Ltd		9,895,282
	27,890	Vukile Property Fund Ltd		38,378
	80,979	Wilson Bayly Holmes-Ovcon Ltd		579,853
		Total South Africa		112,045,199
		South Korea — 4.0%
	46,196	CJ E & M Corp *		3,223,733
	73,155	Daelim Industrial Co Ltd		4,158,239
	69,441	Dongbu Insurance Co Ltd		3,122,567
	111,000	GS Holdings		4,369,355
	99,274	Hana Financial Group Inc		2,281,598
	169,373	Hankook Tire Co Ltd		5,287,689
	150,477	Hanwha Corp		5,356,591
	40,542	Hyundai Department Store Co Ltd		5,157,614
	61,711	Hyundai Engineering & Construction		1,731,948
	66,962	Hyundai Heavy Industries Co Ltd *		5,182,423
	249,991	Hyundai Mobis Co Ltd		43,622,002
	479,487	Hyundai Motor Co		60,345,120
	101,311	Hyundai Steel Co		4,525,708
	28,669	Hyundai Wia Corp		2,532,485
	1,259,475	Kia Motors Corp		51,801,294
	6,949	Korea Zinc Co Ltd		3,022,940
	126,019	KT Corp *		3,086,574
	179,986	KT&G Corp		16,814,625
	58,243	LF Corp		1,610,289
	31,411	LG Chem Ltd		6,217,747
	593,601	LG Display Co Ltd		11,696,964
	118,441	LG Electronics Inc		4,453,603
	119,498	LG International Corp		2,654,740
	1,463	Lotte Chemical Corp		305,550
	44,458	Lotte Shopping Co Ltd		10,048,393
	121,242	POSCO		19,522,494
	10,434	S-Oil Corp		534,479
	360,394	Samsung Electronics Co Ltd		331,624,498
	177	Samsung Electronics Co Ltd GDR (Registered)		81,390
	103,896	Samsung Heavy Industries Co Ltd		987,156
	13,523	Shinsegae Co Ltd		2,862,173
	58,562	SK Holdings Co Ltd		13,371,518
	159,611	SK Innovation Co Ltd *		13,583,411
	21,929	SK Telecom Co Ltd		4,516,753

Shares		Description	Value ($)
		South Korea — continued
	1,000	SK Telecom Co Ltd ADR		22,740
	69,546	Sungwoo Hitech Co Ltd		460,513
		Total South Korea		650,176,916
		Spain — 0.8%
	225,018	Endesa SA		4,648,394
	157,844	Gas Natural SDG SA		3,192,313
	2,378,631	Iberdrola SA		16,084,529
	43,206	Mapfre SA		126,844
	945,874	Repsol SA		13,486,255
	6,036,004	Telefonica SA		85,062,210
		Total Spain		122,600,545
		Sri Lanka — 0.0%
	932,245	Anilana Hotels & Properties Ltd *		33,168
		Sweden — 0.2%
	825	Bilia AB – Class A		16,381
	2,843	Fabege AB		40,184
	2,270	Fastighets AB Balder – B Shares *		39,688
	9,141	Industrivarden AB – C Shares		166,222
	6,464	Kungsleden AB		43,208
	670	L E Lundbergforetagen AB – B Shares		32,237
	200,553	Sandvik AB		1,935,376
	197,038	Skanska AB – B Shares		3,857,220
	110,221	SKF AB—B Shares		2,102,368
	184,271	Tele2 AB – B Shares		1,816,242
	980,920	Telefonaktiebolaget LM Ericsson – B Shares		9,561,414
	3,267,375	TeliaSonera AB		18,404,902
	1,916	Wihlborgs Fastigheter AB		33,428
		Total Sweden		38,048,870
		Switzerland — 0.3%
	925,550	ABB Ltd (Registered) *		17,874,384
	592	Helvetia Holding AG (Registered)		311,780
	148,953	Nestle SA (Registered)		10,972,903
	10,252	Swatch Group AG		3,918,812
	4,712	Swiss Life Holding AG (Registered) *		1,102,815
	60,984	Swiss Re AG		5,228,077
	9,512	Swisscom AG (Registered)		5,134,280
	10,037	Syngenta AG (Registered)		3,365,011
	1,954	Vontobel Holding AG (Registered)		102,682
	22,164	Zurich Insurance Group AG *		6,085,422
		Total Switzerland		54,096,166

See accompanying notes to the financial statements. 27

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		Taiwan — 2.0%
	5,798,390	Acer Inc *		2,143,872
	9,141,000	Advanced Semiconductor Engineering Inc		9,228,090
	2,312,000	Asustek Computer Inc		21,065,741
	9,418,000	AU Optronics Corp		2,994,012
	1,558,000	Chipbond Technology Corp		2,270,107
	379,878	Chong Hong Construction Co Ltd		530,068
	3,464,470	Chunghwa Telecom Co Ltd		10,492,457
	13,395,000	Compal Electronics Inc		7,826,983
	400,000	Coretronic Corp		318,456
	5,462,079	E.Sun Financial Holding Co Ltd		3,284,283
	4,497,980	Far Eastern New Century Corp		4,078,154
	1,537,000	Far EasTone Telecommunications Co Ltd		3,374,975
	2,601,507	Foxconn Technology Co Ltd		7,318,802
	1,424,500	Highwealth Construction Corp *		2,206,338
	37,715,120	Hon Hai Precision Industry Co Ltd *		107,366,119
	2,108,000	HTC Corp		2,996,536
	16,281,000	Innolux Corp		5,764,194
	5,801,000	Inventec Corp		2,658,181
	6,906,676	Lite-On Technology Corp		6,329,122
	1,018,000	Novatek Microelectronics Corp Ltd		3,416,154
	5,456,000	Pegatron Corp		14,158,482
	518,000	Phison Electronics Corp		3,606,550
	6,014,000	Pou Chen Corp		9,738,700
	2,695,808	Powertech Technology Inc		4,647,596
	6,302,000	Quanta Computer Inc		11,599,100
	1,527,020	Radiant Opto-Electronics Corp		4,453,449
	1,237,330	Realtek Semiconductor Corp *		2,225,491
	1,831,000	Siliconware Precision Industries Co		2,207,260
	858,000	Simplo Technology Co Ltd		2,846,690
	2,642,000	Synnex Technology International Corp		2,812,071
	4,662,000	Taiwan Cement Corp		4,993,782
	1,967,000	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		39,103,960
	20,000	TPK Holding Co Ltd *		50,164
	1,218,000	Tripod Technology Corp		1,709,896
	316,000	Unimicron Technology Corp		122,554
	25,270,000	United Microelectronics Corp		8,245,884
	10,749,742	Wistron Corp		5,325,429
	3,545,000	WPG Holdings Co Ltd		3,352,619
		Total Taiwan		326,862,321
		Thailand — 0.2%
	730,800	Bangkok Bank PCL NVDR		3,351,955
	3,963,000	Bangkok Dusit Medical Services Pcl (Foreign Registered)		2,155,125
	6,520,800	Banpu Pcl (Foreign Registered)		3,745,799

Shares		Description	Value ($)
		Thailand — continued
	132,500	Delta Electronics Thailand PCL (Foreign Registered)		321,698
	6,470,400	Krung Thai Bank PCL (Foreign Registered)		3,288,320
	1,550,000	PTT Exploration & Production Pcl (Foreign Registered)		3,476,671
	1,849,000	PTT Global Chemical Pcl (Foreign Registered)		3,116,811
	1,931,200	PTT Pcl (Foreign Registered)		14,551,996
	1,180,200	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		1,753,992
	1,612,500	Thai Oil Pcl (Foreign Registered)		2,328,124
	1,352,500	Thanachart Capital Pcl (Foreign Registered)		1,112,745
		Total Thailand		39,203,236
		Turkey — 0.4%
	681,630	Arcelik AS		3,196,268
	3,375,377	Asya Katilim Bankasi AS *		828,833
	113,335	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		96,902
	2,579,690	Eregli Demir ve Celik Fabrikalari TAS		3,506,536
	763,702	Gubre Fabrikalari TAS		1,627,554
	1,728,134	KOC Holding AS		6,737,815
	501,166	Koza Altin Isletmeleri AS		4,208,620
	362,496	Tupras-Turkiye Petrol Rafineriler AS *		9,361,787
	1,866,470	Turk Hava Yollari Anonim Ortakligi *		5,165,400
	2,195,068	Turk Telekomunikasyon AS		4,619,233
	2,406,516	Turkcell Iletisim Hizmetleri AS		9,424,938
	1,200	Turkcell Iletisim Hizmetleri AS ADR		11,712
	5,459,096	Turkiye IS Bankasi – Class C		9,122,967
	2,419,907	Turkiye Sise ve Cam Fabrikalari AS		2,360,611
		Total Turkey		60,269,176
		United Kingdom — 5.9%
	100,448	Aggreko Plc		1,633,641
	1,850,427	AstraZeneca Plc		115,446,470
	756,482	BAE Systems Plc		5,207,136
	1,106,932	Balfour Beatty Plc		4,605,113
	56,828	Berkeley Group Holdings Plc		2,914,027
	4,283,128	BG Group Plc		65,007,479
	16,017,068	BP Plc		88,778,844
	377,514	British American Tobacco Plc		19,990,277
	625,274	BT Group Plc		4,171,318
	499,034	Carillion Plc		2,602,541
	7,912,957	Centrica Plc		29,299,584
	681,478	Cobham Plc		2,920,369

28 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	425,981	Compass Group Plc		6,718,822
	1,770,568	Debenhams Plc		2,041,311
	3,087,758	GlaxoSmithKline Plc		63,044,647
	1,941,467	Home Retail Group Plc		4,513,832
	425,625	Inchcape Plc		4,737,270
	1,631,655	J Sainsbury Plc		6,039,453
	2,475,557	Kingfisher Plc		13,453,505
	1,271,488	Ladbrokes Plc		1,931,749
	944,664	Man Group Plc		2,310,133
	1,524,082	Marks & Spencer Group Plc		12,101,086
	501,222	Meggitt Plc		3,645,396
	96,031	Micro Focus International Plc		1,918,089
	3,663,359	Pace Plc		19,144,673
	733,622	Pearson Plc		12,718,483
	126,968	Persimmon Plc *		4,062,052
	281,779	Reckitt Benckiser Group Plc		24,687,895
	10,198,299	Rexam Plc		83,663,569
	3,093,524	Royal Dutch Shell Plc – A Shares		80,593,345
	1,955,101	Royal Dutch Shell Plc – B Shares		51,045,876
	704,143	Royal Mail Plc		4,978,480
	701,432	Sage Group Plc (The)		5,508,344
	100,271	Scottish & Southern Energy Plc		2,246,987
	304,994	Smiths Group Plc		5,241,943
	79,303	Spectris Plc		2,204,643
	756,769	Synergy Health Plc *		18,824,541
	315,087	Tate & Lyle Plc		2,592,907
	3,535,400	Telecity Group Plc		58,519,345
	12,307,624	Tesco Plc		35,721,984
	8,266,583	TIG Finco Plc		8,879,551
	2,715	Travis Perkins Plc		84,677
	40,494	Unilever Plc		1,624,007
	17,529,550	Vodafone Group Plc		60,361,951
	3,364	Weir Group Plc (The)		72,008
	502,729	William Hill Plc		2,755,650
	4,914,240	WM Morrison Supermarkets Plc		12,614,647
	190,117	WPP Plc		3,913,607
		Total United Kingdom		967,093,257
		United States — 18.3%
	136,006	3M Co.		19,331,893
	148,400	Abbott Laboratories		6,721,036
	53,717	Accenture Plc – Class A		5,063,902
	58,800	ACE Ltd.		6,007,008
	146,058	Aetna, Inc.		16,726,562
	266,419	AGL Resources, Inc.		16,248,895
	360,124	Allergan Plc *		109,384,064
	397	Alliance Data Systems Corp. *		102,104
	75,300	Allstate Corp. (The)		4,388,484
	1,227,900	Altera Corp.		59,614,545

Shares		Description	Value ($)
		United States — continued
	726,344	Amazon.com, Inc. *		372,534,574
	5,400	American Equity Investment Life Holding Co.		131,004
	718,100	American Express Co.		55,092,632
	1,500	American Financial Group, Inc.		103,590
	866,613	American International Group, Inc.		52,291,428
	52,245	Analog Devices, Inc.		2,918,406
	128,500	Anthem, Inc.		18,124,925
	12,500	Apollo Education Group, Inc. *		138,875
	79,700	Apple, Inc.		8,986,972
	17,100	Arrow Electronics, Inc. *		956,232
	2,600	Aspen Insurance Holdings Ltd.		119,366
	6,500	Assurant, Inc.		483,275
	28,800	Assured Guaranty Ltd.		727,488
	1,572,800	Baker Hughes, Inc. (b)		88,076,800
	600	Baxalta, Inc. *		21,090
	1,100	Baxter International, Inc.		42,295
	28,408	Becton, Dickinson and Co.		4,006,096
	127,000	Bed Bath & Beyond, Inc. *		7,887,970
	36,300	BGC Partners, Inc. – Class A		318,351
	15,500	Booz Allen Hamilton Holding Corp.		413,850
	1,285,800	Broadcom Corp. – Class A		66,437,286
	14,400	Brocade Communications Systems, Inc.		153,360
	172,900	CA, Inc.		4,718,441
	344,754	Cameron International Corp. *		23,015,777
	76,902	Capital One Financial Corp.		5,979,130
	1,000	Cato Corp. (The) – Class A		35,130
	604,800	Charter Communications, Inc. – Class A *		109,837,728
	1,500	Chemical Financial Corp.		47,910
	27,200	Chevron Corp.		2,202,928
	214,900	Chubb Corp. (The)		25,962,069
	302,362	Cigna Corp.		42,569,546
	2,833,589	Cisco Systems, Inc.		73,333,283
	28,600	Citrix Systems, Inc. *		1,947,946
	171,300	Coach, Inc.		5,181,825
	603,103	Coca-Cola Co. (The)		23,714,010
	73,068	Cognizant Technology Solutions Corp. – Class A *		4,598,900
	80,919	Colgate-Palmolive Co		5,082,522
	1,300	Cooper Tire & Rubber Co.		50,180
	37,900	Costco Wholesale Corp.		5,307,895
	242,402	Covisint Corp. *		654,485
	500	Credit Acceptance Corp. *		101,905
	30,200	CVS Health Corp.		3,092,480
	176,702	Danaher Corp.		15,376,608
	800	Dillard’s, Inc. – Class A		74,008
	600	DineEquity, Inc.		57,300
	34,500	Dover Corp.		2,137,275

See accompanying notes to the financial statements. 29

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	24,000	Dr Pepper Snapple Group, Inc.		1,841,520
	300	Drew Industries, Inc.		16,578
	109,100	Eli Lilly & Co.		8,984,385
	338,400	EMC Corp.		8,416,008
	277,557	Emerson Electric Co.		13,245,020
	2,200	Encore Capital Group, Inc. *		89,386
	12,000	Endurance Specialty Holdings Ltd.		765,000
	400,135	EnPro Industries, Inc.		18,982,404
	11,700	Everest Re Group Ltd.		2,056,977
	600	FBL Financial Group, Inc. – Class A		34,224
	30,100	First American Financial Corp.		1,169,686
	4,000	Foot Locker, Inc.		283,160
	98,600	Franklin Resources, Inc.		4,001,188
	42,300	General Mills, Inc.		2,400,948
	37,900	Genuine Parts Co.		3,164,271
	61,716	Google, Inc. – Class A *		39,980,859
	175,421	Google, Inc. – Class C *		108,454,033
	700	Group 1 Automotive, Inc.		61,180
	2,600	Hanover Insurance Group, Inc. (The)		205,140
	99,500	Hartford Financial Services Group, Inc. (The)		4,572,025
	1,060,100	Hawaiian Electric Industries, Inc.		29,969,027
	823,890	Health Net, Inc. *		52,778,393
	9,100	Helen of Troy Ltd. *		774,774
	17,500	Henry Schein, Inc. *		2,394,175
	800	Hibbett Sports, Inc. *		31,600
	76,800	Home Depot, Inc.		8,944,128
	23,200	Honeywell International, Inc.		2,303,064
	2,000	Horace Mann Educators Corp.		66,440
	1,400	HSN, Inc.		85,134
	7,447,219	Hudson City Bancorp, Inc. (b)		69,259,137
	429,563	Humana, Inc.		78,519,821
	6,600	Iconix Brand Group, Inc. *		91,674
	61,636	Illinois Tool Works, Inc.		5,210,091
	800	Insight Enterprises, Inc. *		20,248
	31,228	International Game Technology Plc		530,251
	285,000	International Business Machines Corp.		42,148,650
	29,274	Intuit, Inc.		2,510,245
	38,300	Janus Capital Group, Inc.		569,904
	561,800	Johnson & Johnson		52,797,964
	1,900	Jones Lang LaSalle, Inc.		282,853
	2,800	Kemper Corp.		99,176
	20,100	Laboratory Corp. of America Holdings *		2,367,981
	15,400	Lear Corp.		1,582,966
	69,000	Lincoln National Corp.		3,504,510
	7,500	Maiden Holdings Ltd.		107,475
	5,200	Marriott Vacations Worldwide Corp.		369,252
	200	MasterCard, Inc. – Class A		18,474
	101,100	Mattel, Inc.		2,368,773

Shares		Description	Value ($)
		United States — continued
	35,300	MBIA, Inc. *		247,806
	354,392	Medtronic Plc		25,618,998
	4,700	Mercury General Corp.		239,042
	5,700	Meredith Corp.		269,154
	2,080,100	Microsoft Corp		90,525,952
	56,104	Monsanto Co.		5,478,556
	4,814	Murphy USA, Inc. *		246,044
	9,900	NASDAQ OMX Group, Inc. (The)		506,781
	355,842	National Penn Bancshares, Inc.		4,275,442
	10,600	Navient Corp.		135,574
	800	Navigators Group, Inc. *		60,840
	3,400	Net 1 UEPS Technologies, Inc. *		70,006
	85,152	Nike, Inc. – Class B		9,515,736
	9,240,800	Office Depot, Inc. *(c)		73,279,544
	1,000	OneBeacon Insurance Group Ltd. – Class A		14,450
	1,204,433	Oracle Corp.		44,672,420
	2,594,057	Orbitz Worldwide, Inc. *		29,753,834
	4,500	Paychex, Inc.		200,970
	3,600	PBF Energy, Inc. – Class A		107,712
	18,800	PDL BioPharma, Inc.		106,220
	7,100	Penn National Gaming, Inc. *		128,936
	21,600	PepsiCo, Inc.		2,007,288
	739,800	Pfizer, Inc.		23,836,356
	3,931,686	Philip Morris International, Inc.		313,748,543
	573,700	Pinnacle Entertainment, Inc. *		21,668,649
	2,800	PNC Financial Services Group, Inc. (The)		255,136
	1,200	PRA Group, Inc. *		63,948
	13,296	Precision Castparts Corp.		3,061,404
	464,995	Procter & Gamble Co. (The)		32,861,197
	74,300	Progressive Corp. (The)		2,226,028
	775,710	Puma Biotechnology, Inc. *		71,303,263
	357,978	Qualcomm, Inc.		20,254,395
	1,300	RenaissanceRe Holdings Ltd.		132,535
	11,000	Rent-A-Center, Inc.		295,790
	56	Reynolds American, Inc.		4,690
	1,300	Scholastic Corp.		56,173
	1,100	Select Comfort Corp. *		26,785
	3,800	Selective Insurance Group, Inc.		115,216
	3,900	Six Flags Entertainment Corp.		175,383
	28,800	Starz – Class A *		1,083,168
	73,307	Stryker Corp.		7,231,736
	133,900	Sysco Corp.		5,338,593
	29,500	T. Rowe Price Group, Inc.		2,120,460
	395,285	Teradata Corp. *		11,554,181
	114,600	Terex Corp.		2,673,618
	16,900	Texas Roadhouse, Inc.		608,231
	4,100	Third Point Reinsurance Ltd. *		57,359
	210,278	Time Warner Cable, Inc.		39,115,914

30 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	632,151	TopBuild Corp. *		20,051,830
	68,925	Travelers Cos., Inc. (The)		6,861,484
	569,871	TripAdvisor, Inc. *		39,833,983
	4,600	Tupperware Brands Corp.		235,658
	1,043,032	Ubiquiti Networks, Inc.		36,673,005
	488,981	UnitedHealth Group, Inc.		56,575,102
	40,900	United Technologies Corp.		3,746,849
	2,900	Universal Insurance Holdings, Inc.		71,427
	140,400	Valero Energy Corp.		8,331,336
	6,000	Validus Holdings Ltd.		265,680
	48,059	VF Corp.		3,480,913
	14,200	Vonage Holdings Corp. *		78,810
	19,200	W.R. Berkley Corp.		1,042,176
	594,785	WABCO Holdings, Inc. *		68,590,606
	528,187	Wal-Mart Stores, Inc.		34,189,544
	1,000	WesBanco, Inc.		30,790
	4,200	XL Group Plc		156,618
	24,300	Zimmer Biomet Holdings, Inc.		2,516,508
		Total United States		2,987,126,186
		TOTAL COMMON STOCKS (COST $10,083,021,797)		9,148,826,602
		PREFERRED STOCKS — 1.7%
		Brazil — 0.4%
	725,000	AES Tiete SA		3,000,634
	1,414,100	Banco Bradesco SA		8,987,635
	443,750	Bradespar SA		1,146,495
	168,000	Braskem SA – Class A		651,775
	1,488,500	Centrais Eletricas Brasileiras SA		3,082,358
	14,500	Cia Brasileira de Distribuicao		253,885
	251,081	Companhia de Transmissao de Energia Eletrica Paulista		2,618,362
	3,945,527	Companhia Energetica de Minas Gerais		8,181,204
	994,339	Companhia Energetica de Minas Gerais Sponsored ADR		2,088,112
	615,000	Companhia Energetica de Sao Paulo – Class B		2,735,293
	3,600	Companhia Paranaense de Energia Sponsored ADR		30,168
	310,000	Companhia Paranaense de Energia – Class B		2,649,828
	271,600	Eletropaulo Metropolitana SA *		874,716
	1,500,600	Gerdau SA		2,172,294
	2,029,900	Itau Unibanco Holding SA		14,860,504
	117,500	Metalurgica Gerdau SA		97,521
	1,060,100	Telefonica Brasil SA		11,806,333
	11,400	Telefonica Brasil SA ADR		126,882

Shares / Par Value ($)		Description	Value ($)
		Brazil — continued
	1,200	Tim Participacoes SA ADR		14,508
		Total Brazil		65,378,507
		Germany — 0.2%
	271,308	Porsche Automobil Holding SE		18,840,632
	89,681	Volkswagen AG		16,992,128
		Total Germany		35,832,760
		Russia — 0.6%
	120,320,898	Surgutneftegaz OJSC *		75,329,425
	6,361	Transneft *		15,256,097
		Total Russia		90,585,522
		South Korea — 0.5%
	98,004	Hyundai Motor Co		8,274,893
	58,364	Hyundai Motor Co 2nd Preference		4,778,039
	96,418	Samsung Electronics Co Ltd		70,864,264
		Total South Korea		83,917,196
		TOTAL PREFERRED STOCKS (COST $346,890,822)		275,713,985
		RIGHTS/WARRANTS — 0.0%
		South Africa — 0.0%
	367	Oceana Group Ltd, Expires 09/11/15 *		601
		United States — 0.0%
	2,279,800	Safeway Casa Ley CVR, Expires 01/30/19 *		911,920
	2,279,800	Safeway PDC, LLC CVR, Expires 01/30/17 *		113,990
		Total United States		1,025,910
		TOTAL RIGHTS/WARRANTS (COST $2,425,023)		1,026,511
		DEBT OBLIGATIONS — 16.5%
		Canada — 0.5%
		Corporate Debt — 0.5%
	68,982,800	Nortel Networks Ltd, 0.00%, due 07/15/11 (c)		60,704,864
	27,013,000	Nortel Networks Ltd, 10.13%, due 07/15/13 (c)		24,379,233
	6,918,000	Nortel Networks Ltd, 10.75%, due 07/15/16 (c)		6,243,495
		Total Corporate Debt		91,327,592
		Total Canada		91,327,592

See accompanying notes to the financial statements. 31

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($)		Description	Value ($)
		Denmark — 0.2%
	20,370,169	O.W. Bunker & Trading A/S, Revolver, 2.25%, due 12/19/16		17,009,091
	10,789,446	O.W. Bunker & Trading A/S, Term Loan B, 1.75%, due 12/19/15		9,009,187
		Total Denmark		26,018,278
		Iceland — 0.5%
		Trade Claims — 0.5%
USD	5,000,000	Glitnir Bank Trade Claim 20091127 5394 T1.1.1		1,537,500
USD	5,000,000	Glitnir Bank Trade Claim 20091201 8466 T1.1.1		1,537,500
USD	5,000,000	Glitnir Bank Trade Claim 20091201 8463 T1.1		1,537,500
USD	5,018,268	Glitnir Bank Trade Claim 20091125 3836 T1.2.1		1,543,117
USD	46,876,688	Glitnir Bank Trade Claim 20091130 7866 T1.1		14,414,582
USD	10,000,000	Glitnir Bank Trade Claim 20091127 5294 T1.1		3,075,000
USD	5,000,000	Glitnir Bank Trade Claim 20091201 8476 T1.1		1,537,500
EUR	6,435,000	Glitnir Bank Trade Claim 20091124 2893		2,491,258
EUR	2,820,000	Glitnir Bank Trade Claim 20091117 1120 T1.3.1.1.1.1.		1,091,740
EUR	565,000	Glitnir Bank Trade Claim 20091127 5310		218,735
USD	310,000	Glitnir Bank Trade Claim 20091126 4230 T1.1.4		95,325
USD	280,000	Glitnir Bank Trade Claim 20091126 4230 T1.1.3 .1		86,100
USD	385,000	Glitnir Bank Trade Claim 20091126 4230 T1.1.2 .1		118,388
EUR	10,000,000	Glitnir Bank Trade Claim 20091201 8507 T1.1.1.1		3,871,419
EUR	5,000,000	Glitnir Bank Trade Claim 20091113 848 T1.1.1.1		1,935,710
EUR	8,300,000	Glitnir Bank Trade Claim 20091201 8313 T1 (a)		2,933,723
USD	500,000	Glitnir Bank Trade Claim 20091128 6662 T1.1		153,750
USD	3,756,130	Glitnir Bank Trade Claim 20091022 417 T1.1.1.1		1,155,010
USD	3,308,337	Glitnir Bank Trade Claim 20091022 417 T1.2.1.1		1,017,314
USD	58,117,099	Glitnir Bank Trade Claim 20091122 2011 T1.1.1		17,871,008
EUR	2,097,000	Glitnir Bank Trade Claim 20091130 8179		811,837
EUR	5,000,000	Glitnir Bank Trade Claim 20091125 3965		1,935,710

Par Value ($)		Description	Value ($)
		Iceland — continued
		Trade Claims — continued
USD	3,800,000	Glitnir Bank Trade Claim 20091201 8459 T1.1.1		1,168,500
USD	3,201,000	Glitnir Bank Trade Claim 20091201 8492 T1.1.1		984,307
USD	6,000,000	Glitnir Bank Trade Claim 20091127-5324-T1		1,845,000
USD	2,533,537	Glitnir Bank Trade Claim 20091127-5238-T1.2.1		779,063
USD	10,000,000	Glitnir Bank Trade Claim 20091126-4829		3,075,000
USD	6,000,000	Glitnir Bank Trade Claim 20091127-5318-T1		1,845,000
USD	5,003,000	Glitnir Bank Trade Claim 20091125-3852-T1.1		1,538,422
USD	12,700,000	Glitnir Bank Trade Claim 20091126 4829		3,905,250
USD	5,000,000	Glitnir Bank Trade Claim 20091201 8484 T1.1		1,537,500
USD	5,830,000	Glitnir Bank, Trade Claim 20091125-3742		1,792,725
USD	4,000,000	Glitnir Bank, Trade Claim 20091125-3816		1,230,000
		Total Trade Claims		80,670,493
		Total Iceland		80,670,493
		Mexico — 0.1%
		Foreign Government Obligations — 0.1%
	12,500,000	United Mexican States, 4.00%, due 03/15/2115		11,994,738
		Puerto Rico — 0.1%
		Municipal Obligations — 0.1%
	1,410,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.25%, due 07/01/42		916,500
	3,012,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/38		2,048,160
	6,647,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/44		4,503,343
	10,951,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/47		7,419,302
		Total Municipal Obligations		14,887,305
		Total Puerto Rico		14,887,305
		United Kingdom — 0.3%
		Corporate Debt — 0.3%
	5,600,000	Co-Operative Bank Plc, 5.13%, due 09/20/17		8,410,595

32 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($)		Description	Value ($)
		United Kingdom — continued
		Corporate Debt — continued
	4,137,057	TWRFIN, Reg. S, Variable Rate, 8.50%, due 03/02/20		6,618,118
	21,554,343	TWRFIN, Reg. S, 8.75%, due 04/02/20		30,925,259
		Total Corporate Debt		45,953,972
		Total United Kingdom		45,953,972
		United States — 14.8%
		Asset-Backed Securities — 0.0%
	1,599,399	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.13%, due 11/23/52		1,599
		Total Asset-Backed Securities		1,599
		Bank Loans — 0.3%
	56,373,982	Sears Holding Corporation, Term Loan, 4.77%, due 06/30/18		55,669,308
		Corporate Debt — 0.7%
	16,284,900	Ally Financial, Inc., 8.00%, due 11/01/31		19,280,833
	24,024,000	Apple, Inc., 3.45%, due 02/09/45		20,254,586
	41,228,000	Berkshire Hathaway, Inc., 1.63%, due 03/16/35		38,637,400
	6,184,000	Exxon Mobil Corp., 3.57%, due 03/06/45		5,756,478
	10,116,000	Microsoft Corp., 4.00%, due 02/12/55		9,096,813
	1,212,000	Weatherford International LLC, 6.80%, due 06/15/37		1,007,494
	1,818,000	Weatherford International Ltd., 5.95%, due 04/15/42		1,391,810
	4,228,000	Weatherford International Ltd., 6.50%, due 08/01/36		3,472,486
	7,258,000	Weatherford International Ltd., 6.75%, due 09/15/40		6,069,328
	6,061,000	Weatherford International Ltd., 7.00%, due 03/15/38		5,121,212
		Total Corporate Debt		110,088,440
		U.S. Government — 13.8%
	111,445,500	U.S. Treasury Bond, 2.75%, due 11/15/42		106,749,744
	432,869,600	U.S. Treasury Bond, 3.13%, due 11/15/41 (b)		448,809,157
	95,678,400	U.S. Treasury Bond, 3.13%, due 02/15/42		99,052,020
	84,885,100	U.S. Treasury Bond, 3.63%, due 02/15/44		95,975,423
	41,451,307	U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/23 (d)		40,083,622

Par Value / Principal Amount ($)		Description	Value ($)
		U.S. Government — continued
	209,036,354	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/24 (d)		200,536,099
	305,475,937	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (d)		294,275,051
	215,604,381	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 (d)		211,250,250
	174,794,055	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/24 (d)		174,953,293
	51,899,446	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (d)		57,736,110
	28,993,699	U.S. Treasury Inflation Indexed Bond, 2.00%, due 01/15/26 (d)		32,760,995
	100,759,924	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/25 (d)		116,718,785
	49,480,659	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/27 (d)		58,277,627
	178,401,558	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (d)		215,410,604
	19,452,467	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (d)		26,989,539
	120,412,800	U.S. Treasury Strip Principal, due 11/15/41		54,215,502
	17,182,900	U.S. Treasury Strip Principal, due 02/15/42		7,657,903
	1,505,500	U.S. Treasury Strip Principal, due 11/15/42		650,509
	28,065,900	U.S. Treasury Strip Principal, due 02/15/44		11,694,443
		Total U.S. Government		2,253,796,676
		Total United States		2,419,556,023
		TOTAL DEBT OBLIGATIONS (COST $2,811,042,872)		2,690,408,401
		OPTIONS PURCHASED — 2.1%
		Currency Options — 0.3%
EUR	433,050,000	EUR Put/USD Call, Expires 02/04/16, Strike 1.03, (OTC) (CP-GS)		2,742,686
EUR	18,236,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/24/16, Strike 1.10, (OTC) (CP-DB)		6,292,538
EUR	12,898,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/29/16, Strike 1.10, (OTC) (CP-JPM)		4,450,601
EUR	5,528,000	EUR Put/USD Call, One-Touch Binary Option, Expires 02/29/16, Strike 1.10, (OTC) (CP-JPM)		1,907,499
EUR	355,387,000	EUR Put/USD Call, Expires 03/10/16, Strike 0.98, (OTC) (CP-JPM)		1,228,297
EUR	497,542,000	EUR Put/USD Call, Expires 03/10/16, Strike 1.05, (OTC) (CP-GS)		5,266,605

See accompanying notes to the financial statements. 33

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Principal Amount / Number of Contracts		Description	Value ($)
		Currency Options — continued
EUR	177,266,000	EUR Put/USD Call, Expires 03/14/16, Strike 1.08, (OTC) (CP-JPM)		3,072,903
EUR	354,532,000	EUR Put/USD Call, Expires 03/14/16, Strike 0.99, (OTC) (CP-JPM)		1,563,107
EUR	18,303,000	EUR Put/USD Call, One-Touch Binary Option, Expires 03/31/16, Strike 1.10, (OTC) (CP-JPM)		6,315,657
EUR	18,158,000	EUR Put/USD Call, One-Touch Binary Option, Expires 06/03/16, Strike 1.10, (OTC) (CP-JPM)		6,316,563
USD	100,004,000	USD Put/CHF Call, Expires 03/01/16, Strike 0.93, (OTC) (CP-GS)		1,620,165
USD	51,331,000	USD Call/CHF Put, Expires 03/23/16, Strike 0.94, (OTC) (CP-JPM)		2,211,083
USD	51,331,000	USD Put/CHF Call, Expires 03/23/16, Strike 0.94, (OTC) (CP-JPM)		1,134,723
USD	51,243,000	USD Put/CHF Call, Expires 03/23/16, Strike 0.93, (OTC) (CP-JPM)		1,046,638
USD	51,243,000	USD Call/CHF Put, Expires 03/23/16, Strike 0.93, (OTC) (CP-JPM)		2,344,982
		Total Currency Options		47,514,047
		Equity Options — 0.1%
	1,460	Aetna, Inc., Put, Expires 01/20/17, Strike 115.00		2,168,100
	1,557	Anthem, Inc., Put, Expires 06/17/16, Strike 150.00		2,802,600
	1,975	Avago Technologies Ltd., Put, Expires 01/15/16, Strike 125.00		2,725,500
	4,296	Centene Corp., Put, Expires 12/18/15, Strike 70.00		4,523,688
	1,500	Royal Dutch Shell Plc Put, Expires 10/16/15, Strike 58.00		765,000
	2,937	Royal Dutch Shell Plc Put, Expires 10/16/15, Strike 60.00		2,173,380
	2,981	Royal Dutch Shell Plc Put, Expires 01/15/16, Strike 58.00		2,325,180
		Total Equity Options		17,483,448

34 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Principal Amount

Expiration Date

Description

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Counterparty

Premiums

Value ($)

Options on Interest Rate Swaps — 1.3%

EUR

182,199,000

03/12/2018

PUT-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

1.83%

MSCI

8,544,361

10,701,569

USD

322,570,500

03/11/2016

Call-OTC 30-Year Interest Rate Swap

3 month USD LIBOR

Receive

2.75%

GS

9,733,565

4,274,382

USD

322,570,500

03/11/2016

PUT-OTC 30-Year Interest Rate Swap

3 month USD LIBOR

Pay

2.75%

GS

9,733,565

11,404,480

EUR

685,987,000

03/06/2018

PUT-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

2.05%

GS

28,855,707

32,238,416

GBP

160,476,000

05/19/2017

PUT-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.91%

GS

7,759,824

3,713,457

GBP

33,061,000

03/13/2017

Put-OTC 32-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.39%

MSCI

4,937,823

3,984,246

GBP

33,061,000

03/13/2017

Call-OTC 32-Year Interest Rate Swap

6 month GBP LIBOR

Receive

2.39%

MSCI

4,937,823

5,043,330

GBP

33,061,000

03/11/2016

Put-OTC 31-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.34%

MSCI

3,616,956

2,226,632

GBP

33,061,000

03/11/2016

Call-OTC 31-Year Interest Rate Swap

6 month GBP LIBOR

Receive

2.34%

MSCI

3,616,956

3,329,701

EUR

145,544,000

11/20/2015

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

1.28%

MSCI

5,194,312

16,825,135

GBP

156,652,000

03/20/2017

PUT-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.89%

GS

7,312,997

3,561,988

GBP

163,153,000

02/17/2017

PUT-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.81%

GS

8,025,000

4,187,243

GBP

76,805,000

04/10/2017

PUT-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.58%

GS

4,875,794

2,921,918

EUR

361,314,000

02/22/2016

Put-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

1.56%

GS

12,540,818

32,139,109

USD

83,953,000

09/21/2015

Put-OTC 30-Year Interest Rate Swap

3 month USD LIBOR

Pay

2.40%

JPM

4,789,518

5,845,060

USD

83,953,000

09/21/2015

Call-OTC 30-Year Interest Rate Swap

3 month USD LIBOR

Receive

2.40%

JPM

4,789,519

136,591

USD

42,470,000

09/23/2015

Put-OTC 31-Year Interest Rate Swap

3 month USD LIBOR

Pay

2.39%

JPM

2,420,790

3,122,437

USD

42,470,000

09/23/2015

Call-OTC 31-Year Interest Rate Swap

3 month USD LIBOR

Receive

2.39%

JPM

2,420,790

69,566

GBP

83,484,000

02/09/2017

PUT-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.61%

MSCI

3,811,005

2,918,772

GBP

100,233,000

08/10/2017

PUT-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.68%

MSCI

5,811,167

3,508,043

GBP

66,822,000

08/10/2017

PUT-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

3.00%

MSCI

3,670,211

2,308,856

EUR

207,860,000

06/01/2016

PUT-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

1.93%

GS

15,341,298

7,224,692

EUR

73,602,000

11/24/2015

Call-OTC 30-Month Interest Rate Swap

6 month EURIBOR

Receive

1.31%

MSCI

4,980,205

1,023,652

EUR

73,602,000

11/24/2015

Put-OTC 30-Month Interest Rate Swap

6 month EURIBOR

Pay

1.31%

MSCI

4,980,205

8,197,391

GBP

66,553,000

05/12/2017

PUT-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.81%

MSCI

4,736,496

2,986,356

See accompanying notes to the financial statements. 35

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Principal Amount

Expiration Date

Description

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Counterparty

Premiums

Value ($)

Options on Interest Rate Swaps — continued

GBP

65,613,000

02/17/2017

PUT-OTC 30-Year Interest Rate Swap

6 month GBP LIBOR

Pay

2.95%

MSCI

4,332,620

2,176,971

EUR

179,430,000

08/18/2017

PUT-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

2.05%

MSCI

7,746,987

12,252,195

EUR

179,430,000

11/18/2017

PUT-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

2.05%

MSCI

8,235,875

12,701,200

EUR

179,430,000

05/18/2017

PUT-OTC 30-Year Interest Rate Swap

6 month EURIBOR

Pay

2.05%

MSCI

7,220,493

11,740,370

Total Options on Interest Rate Swaps

212,763,758

Number of Contracts		Description	Value ($)
		Quanto Options — 0.4%
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 01/31/20, Strike 3,000 (a)		1,523,658
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 09/13/19, Strike 3,000 (a)		1,474,426
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 09/06/19, Strike 3,000 (a)		1,470,691
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 01/17/20, Strike 3,000 (a)		1,521,805
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 08/30/19, Strike 3,000 (a)		1,466,840
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 04/30/20, Strike 3,000 (a)		1,540,217
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 03/13/20, Strike 3,000 (a)		1,544,369
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 07/19/19, Strike 3,000 (a)		1,451,271
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 03/27/20, Strike 3,000 (a)		1,549,567
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 11/15/19, Strike 3,000 (a)		1,495,993
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 05/08/20, Strike 3,000 (a)		1,511,540
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 10/25/19, Strike 3,000 (a)		1,490,189
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 09/20/19, Strike 3,000 (a)		1,478,062
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 11/08/19, Strike 3,000 (a)		1,493,343
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 12/06/19, Strike 3,000 (a)		1,501,960
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 08/23/19, Strike 3,000 (a)		1,463,240
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 07/26/19, Strike 3,000 (a)		1,454,687
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 03/06/20, Strike 3,000 (a)		1,540,898
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 03/20/20, Strike 3,000 (a)		1,548,375

Number of Contracts		Description	Value ($)
		Quanto Options — continued
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 08/09/19, Strike 3,000 (a)		1,457,177
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 04/09/20, Strike 3,000 (a)		1,549,915
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 01/10/20, Strike 3,000 (a)		1,517,756
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 08/02/19, Strike 3,000 (a)		1,458,013
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 12/20/19, Strike 3,000 (a)		1,509,931
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 10/04/19, Strike 3,000 (a)		1,481,712
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 12/27/19, Strike 3,000 (a)		1,511,798
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 05/15/20, Strike 3,000 (a)		1,495,822
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 02/07/20, Strike 3,000 (a)		1,526,170
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 04/24/20, Strike 3,000 (a)		1,554,783
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 08/16/19, Strike 3,000 (a)		1,459,356
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 12/13/19, Strike 3,000 (a)		1,505,475
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 04/03/20, Strike 3,000 (a)		1,553,142
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 10/11/19, Strike 3,000 (a)		1,482,715
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 02/21/20, Strike 3,000 (a)		1,533,528
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 02/28/20, Strike 3,000 (a)		1,537,590
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 10/18/19, Strike 3,000 (a)		1,486,426
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 11/29/19, Strike 3,000 (a)		1,499,945
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 11/22/19, Strike 3,000 (a)		1,500,018

36 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Number of Contracts / Shares / Par Value ($)		Description	Value ($)
		Quanto Options — continued
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 01/24/20, Strike 3,000 (a)		1,520,089
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 02/14/20, Strike 3,000 (a)		1,529,247
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 01/03/20, Strike 3,000 (a)		1,515,107
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 09/27/19, Strike 3,000 (a)		1,477,807
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 11/01/19, Strike 3,000 (a)		1,493,573
	3,393	Euro STOXX 50, (OTC) (CP-GS), Expires 04/17/20, Strike 3,000 (a)		1,552,744
		Total Quanto Options		66,230,970
		TOTAL OPTIONS PURCHASED (COST $374,883,665)		343,992,223
		SHORT-TERM INVESTMENTS — 23.6%
		Money Market Funds — 0.1%
	9,231,120	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (e) (f)		9,231,120
		U.S. Government — 23.5%
	55,700,000	U.S. Treasury Bill, 0.00%, due 10/01/15 (g) (h)		55,699,889
	45,000,000	U.S. Treasury Bill, 0.00%, due 10/08/15 (b) (g) (h)		45,000,000
	100,000,000	U.S. Treasury Bill, 0.00%, due 10/29/15 (b) (g) (h)		100,000,200
	59,000,000	U.S. Treasury Bill, 0.00%, due 11/19/15 (e) (g) (h)		58,999,469
	48,990,000	U.S. Treasury Bill, 0.00%, due 11/27/15 (g) (h)		48,989,804
	85,000,000	U.S. Treasury Bill, 0.01%, due 11/12/15 (g)		84,999,150
	224,000,000	U.S. Treasury Bill, 0.02%, due 09/03/15 (g)		223,999,552
	210,000,000	U.S. Treasury Bill, 0.03%, due 12/10/15 (b) (g)		209,982,990
	208,375,000	U.S. Treasury Bill, 0.04%, due 12/17/15 (g)		208,349,995
	225,000,000	U.S. Treasury Bill, 0.12%, due 12/24/15 (g)		224,912,700
	95,000,000	U.S. Treasury Bill, 0.13%, due 12/31/15 (g)		94,959,245
	714,400,000`	U.S. Treasury Bill, 0.13%, due 01/07/16 (c) (g)		714,064,946
	80,000,000	U.S. Treasury Bill, 0.15%, due 01/21/16 (b) (g)		79,952,160
	50,000,000	U.S. Treasury Bill, 0.19%, due 02/11/16 (g)		49,958,250

Par Value ($) / Shares			Description	Value ($)
			U.S. Government — continued
	250,000,000		U.S. Treasury Bill, 0.22%, due 02/18/16 (g)		249,747,000
	60,000,000		U.S. Treasury Note, 0.25%, due 09/15/15		59,996,460
	55,000,000		U.S. Treasury Note, 0.25%, due 10/31/15		55,006,435
	74,000,000		U.S. Treasury Note, 0.25%, due 11/30/15		74,009,620
	175,000,000		U.S. Treasury Note, 0.25%, due 12/15/15		175,027,300
	58,700,000		U.S. Treasury Note, 0.25%, due 12/31/15		58,700,000
	250,000,000		U.S. Treasury Note, 0.38%, due 11/15/15		250,104,250
	70,000,000		U.S. Treasury Note, 0.38%, due 01/31/16		70,035,560
	50,000,000		U.S. Treasury Note, 1.25%, due 09/30/15		50,039,050
	225,000,000		U.S. Treasury Note, 1.38%, due 11/30/15		225,662,175
	75,000,000		U.S. Treasury Note, 2.00%, due 01/31/16		75,533,175
	285,000,000		U.S. Treasury Note, 2.13%, due 12/31/15		286,740,495
			Total U.S. Government		3,830,469,870
			TOTAL SHORT-TERM INVESTMENTS (COST $3,840,021,100)		3,839,700,990
			TOTAL INVESTMENTS — 99.9% (Cost $17,458,285,279)		16,299,668,712
			SECURITIES SOLD SHORT — (2.6)%
			COMMON STOCKS — (2.6)%
			Finland — 0.0%
	(95,274	)	Konecranes Oyj		(3,004,589	)
			Netherlands — (0.2)%
	(1,750,392	)	Koninklijke Ahold NV		(34,522,354	)
			United Kingdom — (0.2)%
	(949,162	)	Royal Dutch Shell Plc – Class B		(24,727,832	)
			United States — (2.3)%
	(129,349	)	ACE Ltd		(13,214,294	)
	(311,635	)	Aetna, Inc.		(35,688,440	)
	(533,000	)	ARRIS Group, Inc.*		(14,081,860	)
	(343,634	)	Ball Corp.		(22,648,917	)

See accompanying notes to the financial statements. 37

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($) / Shares			Description	Value ($)
			United States — continued
	(69,900	)	BB&T Corp.		(2,580,708	)
	(82,059	)	Centene Corp. *		(5,064,681	)
	(113,746	)	Charter Communications, Inc. *		(20,657,411	)
	(1,894	)	Endo International Plc *		(145,838	)
	(115,588	)	Equinix, Inc. (REIT)		(31,182,175	)
	(487,646	)	Gaming and Leisure Properties, Inc.		(15,087,767	)
	(1,393,386	)	Halliburton Co.		(54,829,739	)
	(625,736	)	M&T Bank Corp.		(73,987,025	)
	(127,897	)	NextEra Energy, Inc.		(12,586,344	)
	(246,845	)	Schlumberger Ltd		(19,098,398	)
	(1,730,412	)	Staples, Inc.		(24,589,155	)

Shares			Description	Value ($)
			United States — continued
	(323,468	)	STERIS Corp.		(20,718,125	)
			Total United States		(366,160,877	)
			TOTAL COMMON STOCKS (PROCEEDS $448,526,625)		(428,415,652	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $448,526,625)		(428,415,652	)
			Other Assets and Liabilities (net) — 2.7%		448,339,916
			TOTAL NET ASSETS — 100.0%		$16,319,592,976

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/24/2016	BCLY		BRL	196,762,277		USD	57,691,397	$	6,907,425
10/19/2015	DB		CAD	160,545		USD	121,000		(1,017	)
10/19/2015	GS		CAD	3,698,728		USD	2,828,932		17,837
10/19/2015	MSCI		CAD	314,823		USD	236,000		(3,270	)
02/17/2016	GS		CHF	529,776,347		USD	575,741,364		24,148,235
03/03/2016	GS		CHF	46,312,800		USD	47,335,241		(915,536	)
10/23/2015	JPM		EUR	1,048,699,000		USD	1,130,898,660		(46,818,258	)
10/26/2015	BOA		EUR	21,111,543		USD	23,666,778		(43,212	)
10/26/2015	DB		EUR	22,819,286		USD	25,536,664		(91,261	)
10/26/2015	GS		EUR	21,983,037		USD	24,582,561		(106,188	)
10/26/2015	JPM		EUR	278,232,000		USD	307,757,807		(4,719,493	)
10/26/2015	MSCI		EUR	21,665,248		USD	24,276,402		(55,445	)
10/30/2015	JPM		EUR	143,146,000		USD	164,156,970		3,381,768
11/02/2015	JPM		EUR	131,167,000		USD	149,357,240		2,029,078
11/16/2015	JPM		EUR	782,830,000		USD	903,150,971		23,648,903
02/08/2016	GS		EUR	120,893,000		USD	130,774,466		(5,271,473	)
02/09/2016	DB		EUR	52,091,000		USD	56,388,508		(2,232,844	)
02/17/2016	GS		EUR	50,864,000		USD	55,039,934		(2,209,772	)
03/14/2016	GS		EUR	188,711,000		USD	201,552,784		(10,970,174	)
03/14/2016	JPM		EUR	162,767,000		USD	176,662,419		(6,642,870	)
03/16/2016	JPM		EUR	159,539,000		USD	170,707,527		(8,970,998	)
03/27/2017	DB		EUR	7,250,000		USD	7,953,250		(317,877	)
11/07/2017	GS		EUR	193,938,000		USD	212,934,227		(10,517,720	)
12/22/2017	JPM		EUR	55,095,000		USD	60,857,937		(2,769,629	)
09/28/2015	BCLY		GBP	73,604		USD	114,000		1,072
09/28/2015	BOA		GBP	2,302,611		USD	3,602,887		70,053
09/28/2015	DB		GBP	140,970,117		USD	219,071,726		2,785,052
09/28/2015	GS		GBP	51,797,204		USD	79,918,361		447,298
09/28/2015	JPM		GBP	2,655,967		USD	4,118,286		43,307
09/28/2015	MSCI		GBP	525,015		USD	812,000		6,484
11/18/2015	GS		GBP	203,049,000		USD	296,959,163		(14,488,796	)
12/18/2015	GS		GBP	135,145,000		USD	200,302,381		(6,962,412	)
09/14/2015	BCLY		NOK	6,174,457		USD	756,000		9,785
09/14/2015	BOA		NOK	68,935,778		USD	8,719,000		387,758

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
09/14/2015	DB		NOK	6,106,892		USD	727,000	$	(11,049	)
09/28/2015	BBH		USD	2,419,496		GBP	1,550,265		(40,967	)
09/28/2015	BCLY		USD	78,000		GBP	50,360		(733	)
09/28/2015	BOA		USD	36,204,659		GBP	23,189,068		(626,293	)
09/28/2015	DB		USD	8,605,334		GBP	5,523,495		(130,784	)
09/28/2015	GS		USD	61,183,443		GBP	39,030,000		(1,300,760	)
09/28/2015	JPM		USD	33,141,477		GBP	21,316,000		(436,910	)
09/28/2015	MSCI		USD	2,457,552		GBP	1,578,144		(36,248	)
10/23/2015	JPM		USD	1,159,724,365		EUR	1,059,248,000		29,839,362
10/26/2015	BOA		USD	127,848,307		EUR	114,044,884		233,429
10/26/2015	DB		USD	129,566,755		EUR	115,860,776		554,376
10/26/2015	GS		USD	127,431,181		EUR	114,056,290		663,365
10/26/2015	JPM		USD	276,187,126		EUR	243,012,000		(3,264,767	)
10/26/2015	MSCI		USD	127,803,041		EUR	114,061,993		297,909
10/30/2015	JPM		USD	159,128,428		EUR	143,146,000		1,646,774
11/02/2015	JPM		USD	149,086,249		EUR	131,167,000		(1,758,087	)
11/16/2015	DB		USD	104,594,886		EUR	95,207,000		2,369,274
11/16/2015	JPM		USD	800,463,703		EUR	745,571,000		37,178,233
11/18/2015	GS		USD	300,607,107		GBP	203,049,000		10,840,852
12/18/2015	GS		USD	199,843,210		GBP	135,145,000		7,421,582
02/08/2016	GS		USD	128,690,599		EUR	120,893,000		7,355,341
02/09/2016	DB		USD	4,271,717		EUR	3,952,000		175,723
02/17/2016	GS		USD	438,724,001		CHF	409,310,000		(12,558,158	)
03/14/2016	GS		USD	201,307,459		EUR	188,711,000		11,215,498
03/14/2016	JPM		USD	172,728,340		EUR	162,767,000		10,576,948
03/16/2016	JPM		USD	171,129,508		EUR	159,539,000		8,549,017
03/24/2016	JPM		USD	57,629,760		BRL	196,762,277		(6,845,788	)
03/24/2016	JPM		USD	10,017,164		EUR	9,123,100		259,554
03/29/2016	GS		USD	6,327,627		EUR	5,774,000		177,272
03/29/2016	JPM		USD	6,178,680		EUR	5,601,400		131,769
11/07/2017	GS		USD	214,049,371		EUR	193,938,000		9,402,577
12/22/2017	JPM		USD	61,316,438		EUR	55,095,000		2,311,129
09/02/2015	SSB		ZAR	1,691,723		USD	128,740		1,162
								$	53,966,412

38 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Sales
103	U.S. Treasury Note 10 Yr.	December 2015	$	13,087,438	$	28,968

+ Buys - Fund is long the futures contract. Sales - Fund is short the futures contract.

Written Options

Currency Options

Number of Contracts			Expiration Date	Description	Premiums		Market Value
Call	EUR	12,898,000	02/29/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19% (OTC) (CP-JPM)	$	1,867,373	$	(3,690,742	)
Call	EUR	18,303,000	03/31/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19% (OTC) (CP-JPM)		2,946,531		(5,802,189	)
Call	EUR	5,528,000	02/29/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.19% (OTC) (CP-JPM)		773,566		(1,535,304	)
Call	EUR	18,236,000	02/24/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.21% (OTC) (CP-DB)		6,205,803		(3,632,278	)
Call	EUR	355,387,000	03/10/2016	EUR Call/USD Put, Strike 1.14% (OTC) (CP-JPM)		5,396,838		(9,557,188	)
Call	EUR	354,532,000	03/14/2016	EUR Call/USD Put, Strike 1.15% (OTC) (CP-JPM)		5,113,558		(8,206,608	)
Call	EUR	18,158,000	06/03/2016	EUR Call/USD Put, One-Touch Binary Option, Strike 1.18% (OTC) (CP-JPM)		3,705,828		(6,927,843	)
					$	26,009,497	$	(39,352,152	)

Equity Options

Number of Contracts		Expiration Date	Description	Premiums		Market Value
	4,296	12/18/2015	Centene Corp., Put, Strike 55.00	$	634,335	$	(1,091,184	)
	1,705	09/18/2015	S&P 500 Index Put, Strike 1,890		8,055,135		(3,785,100	)
				$	8,689,470	$	(4,876,284	)

Written Options on Interest Rate Swaps

Principal Amount			Expiration Date		Description	Counterparty	Pay/Receive Floating Rate	Exercise Rate		Floating Rate Index	Premiums		Market Value
	GBP	33,061,000		03/11/2016	Call-OTC 11-Year Interest Rate Swap	MSCI	Receive		2.12%	6 month GBP LIBOR	$	1,501,098	$	(1,137,059	)
	EUR	685,987,000		03/06/2018	Call-OTC 30-Year Interest Rate Swap	GS	Receive		1.05%	6 month EURIBOR		22,849,884		(18,967,397	)
	EUR	179,430,000		08/18/2017	Call-OTC 30-Year Interest Rate Swap	MSCI	Receive		1.05%	6 month EURIBOR		6,687,915		(4,872,206	)
	EUR	179,430,000		11/18/2017	Call-OTC 30-Year Interest Rate Swap	MSCI	Receive		1.05%	6 month EURIBOR		7,035,604		(5,286,982	)
	GBP	65,613,000		02/17/2017	Call-OTC 30-Year Interest Rate Swap	MSCI	Receive		1.95%	6 Month GBP LIBOR		3,587,007		(3,631,038	)
	GBP	66,553,000		05/12/2017	Call-OTC 30-Year Interest Rate Swap	MSCI	Receive		1.81%	6 Month GBP LIBOR		4,070,106		(3,347,064	)
	EUR	364,398,000		03/12/2018	Call-OTC 30-Year Interest Rate Swap	MSCI	Receive		0.83%	6 month EURIBOR		13,610,255		(7,875,596	)

See accompanying notes to the financial statements. 39

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Written Options on Interest Rate Swaps — continued
Principal Amount		Expiration Date		Description	Counterparty	Pay/Receive Floating Rate	Exercise Rate		Floating Rate Index	Premiums		Market Value
EUR	89,715,000		05/18/2017	Call-OTC 30-Year Interest Rate Swap	MSCI	Receive		1.05%	6 month EURIBOR	$	2,905,822	$	(2,263,548	)
EUR	208,280,000		07/07/2016	Call-OTC 30-Year Interest Rate Swap	GS	Receive		0.99%	6 month EURIBOR		5,558,026		(2,479,318	)
EUR	225,263,000		09/01/2016	Call-OTC 30-Year Interest Rate Swap	GS	Receive		0.95%	6 month EURIBOR		3,990,968		(2,959,789	)
EUR	204,410,000		12/16/2016	Call-OTC 30-Year Interest Rate Swap	GS	Receive		0.93%	6 month EURIBOR		5,328,028		(3,202,357	)
GBP	149,901,000		01/27/2017	Call-OTC 30-Year Interest Rate Swap	GS	Receive		1.53%	6 Month GBP LIBOR		6,633,501		(3,954,787	)
GBP	83,484,000		02/09/2017	Call-OTC 30-Year Interest Rate Swap	MSCI	Receive		1.61%	6 Month GBP LIBOR		3,493,421		(2,494,612	)
GBP	163,153,000		02/17/2017	Call-OTC 30-Year Interest Rate Swap	GS	Receive		1.81%	6 Month GBP LIBOR		8,782,022		(6,224,909	)
GBP	156,652,000		03/20/2017	Call-OTC 30-Year Interest Rate Swap	GS	Receive		1.89%	6 Month GBP LIBOR		8,309,087		(6,757,633	)
GBP	76,805,000		04/10/2017	Call-OTC 30-Year Interest Rate Swap	GS	Receive		1.58%	6 Month GBP LIBOR		3,953,523		(2,360,446	)
GBP	160,476,000		05/19/2017	Call-OTC 30-Year Interest Rate Swap	GS	Receive		1.91%	6 Month GBP LIBOR		8,933,718		(7,415,340	)
GBP	100,233,000		08/10/2017	Call-OTC 30-Year Interest Rate Swap	MSCI	Receive		1.68%	6 Month GBP LIBOR		4,939,492		(3,826,424	)
GBP	33,061,000		03/13/2017	Call-OTC 12-Year Interest Rate Swap	MSCI	Receive		2.25%	6 Month GBP LIBOR		2,118,326		(1,881,502	)
EUR	207,860,000		06/01/2016	Call-OTC 30-Year Interest Rate Swap	GS	Receive		0.93%	6 month EURIBOR		6,140,348		(1,993,823	)
EUR	66,822,000		08/10/2017	Call-OTC 30-Year Interest Rate Swap	MSCI	Receive		1.50%	6 Month GBP LIBOR		3,119,679		(2,523,674	)
GBP	133,882,500		12/14/2015	Call-OTC 11-Year Interest Rate Swap	MSCI	Receive		0.69%	6 month EURIBOR		2,772,442		(220,547	)
GBP	33,061,000		03/11/2016	Put-OTC 11-Year Interest Rate Swap	MSCI	Pay		2.12%	6 Month GBP LIBOR		1,501,098		(1,158,468	)
EUR	33,061,000		03/13/2017	Put-OTC 12-Year Interest Rate Swap	MSCI	Pay		2.25%	6 Month GBP LIBOR		2,118,326		(2,044,961	)
EUR	145,544,000		11/20/2015	Put-OTC 10-Year Interest Rate Swap	MSCI	Pay		0.81%	6 month EURIBOR		2,077,725		(5,914,390	)
EUR	133,882,500		12/14/2015	Put-OTC 11-Year Interest Rate Swap	MSCI	Pay		0.69%	6 month EURIBOR		2,772,442		(7,322,969	)
										$	144,789,863	$	(112,116,839	)

Quanto Options

Number of Contracts		Expiration Date	Description	Premiums		Market Value
	2,166	09/18/15	Euro STOXX 50, (OTC) (CP-MSCI), Strike 3,225		$2,072,538	$	(1,750,109	)
	6,631	09/18/15	Euro STOXX 50, (OTC) (CP-MSCI), Strike 3,275		7,380,002		(6,816,465	)
				$	9,452,540	$	(8,566,574	)

40 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Swap Contracts

Basis Swaps

Notional Amount			Expiration Date	Counterparty	Fund Pays	Fund Receives	Net Unrealized Appreciation/ (Depreciation)
	162,468,000	USD	2/13/2025	JPM	SIFMA Municipal Swap	3 Month USD LIBOR	$	1,427,703
	81,876,000	USD	2/23/2025	JPM	SIFMA Municipal Swap	3 Month USD LIBOR		566,904
	87,044,000	USD	3/5/2025	JPM	SIFMA Municipal Swap	3 Month USD LIBOR		483,558
	75,627,000	USD	3/12/2025	JPM	SIFMA Municipal Swap	3 Month USD LIBOR		328,194
	184,405,000	USD	3/23/2025	JPM	SIFMA Municipal Swap	3 Month USD LIBOR		990,279
							$	3,796,638
						Premiums to (Pay) Receive	$	—

Correlation Swaps

Notional Amount			Expiration Date	Description	Net Unrealized Appreciation/ (Depreciation)
	490,488	USD	7/19/2019	If the realized correlation of the Euro STOXX 50 and the EUR/USD FX rate minus the strike price of -30% is positive, Fund receives the difference; if negative, Fund pays the difference. (CP-GS) (a)	$	(4,739,885	)
	193,930	USD	1/6/2020	If the realized correlation of the Euro STOXX 50 and the EUR/USD FX rate minus the strike price of -40% is positive, Fund receives the difference; if negative, Fund pays the difference. (CP-GS) (a)		(49,558	)
					$	(4,789,443	)
				Premiums to (Pay) Receive	$	—

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) ^	Annual Premium	Implied Credit Spread (1)	Reference Entity	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Net Unrealized Appreciation/ (Depreciation)
	41,800,000	USD	9/20/2020	CSS	(Pay)	1.00%	0.79%	MetLife Inc.	NA	$	(490,550	)
	4,000,000	USD	9/20/2020	BOA	(Pay)	1.00%	4.49%	Weatherford International Plc	NA		599,244
	6,000,000	USD	9/20/2020	MSCI	(Pay)	1.00%	4.49%	Weatherford International Plc	NA		898,866
	5,680,000	EUR	9/20/2020	BOA	(Pay)	1.00%	1.05%	Assiurazioni Generali SpA	NA		2,926
	5,680,000	EUR	9/20/2020	BOA	(Pay)	1.00%	1.05%	Assiurazioni Generali SpA	NA		2,926
	6,100,000	USD	9/20/2020	CITI	(Pay)	1.00%	0.80%	Assiurazioni Generali SpA	NA		(71,587	)
	6,340,000	USD	9/20/2020	BCLY	(Pay)	1.00%	0.80%	MetLife Inc.	NA		(74,404	)
	5,680,000	EUR	9/20/2020	BCLY	(Pay)	1.00%	1.05%	Assiurazioni Generali SpA	NA		2,926
										$	870,347
								Premiums to (Pay) Receive		$	(427,743	)

^ Receive - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

See accompanying notes to the financial statements. 41

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

(Pay) - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of August 31, 2015, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e., higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

Forward Starting Cross-Currency Basis Swaps
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays (1)	Fund Receives (2)	Net Unrealized Appreciation/ (Depreciation)
	6,339,331,000	JPY	1/19/2016	1/19/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	18,762
	6,339,287,000	JPY	1/22/2016	1/22/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		18,198
	6,339,287,000	JPY	1/25/2016	1/25/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		18,014
	6,339,287,000	JPY	1/26/2016	1/26/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		17,853
	6,339,287,000	JPY	1/28/2016	1/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		14,040
	6,339,287,000	JPY	2/1/2016	2/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		16,335
	6,339,287,000	JPY	2/2/2016	2/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		16,502
	6,339,287,000	JPY	2/5/2016	2/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		16,030
	6,339,287,000	JPY	2/8/2016	2/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		16,103
	6,339,287,000	JPY	2/9/2016	2/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		16,060
	68,484,166,000	JPY	3/9/2016	3/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(245,961	)
	67,981,538,000	JPY	3/10/2016	3/10/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(474,895	)
	53,486,408,000	JPY	3/11/2016	3/11/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(393,712	)
	111,120,665,000	JPY	3/14/2016	3/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(857,764	)
	10,461,570,000	JPY	11/1/2016	11/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		8,848
	10,461,570,000	JPY	11/2/2016	11/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		8,957
	10,461,570,000	JPY	11/3/2016	11/3/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(3,828	)
	10,461,570,000	JPY	11/7/2016	11/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		8,982
	10,461,570,000	JPY	11/8/2016	11/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		8,407
	6,340,350,000	JPY	11/9/2016	11/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		11,892
	6,340,350,000	JPY	11/10/2016	11/10/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		455
	6,340,350,000	JPY	11/14/2016	11/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		12,326
	6,340,350,000	JPY	11/15/2016	11/15/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		12,108
	6,340,350,000	JPY	11/16/2016	11/16/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		12,104
	9,450,000,000	JPY	11/17/2016	11/17/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(26,653	)
	9,450,000,000	JPY	11/18/2016	11/18/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(21,463	)
	9,450,000,000	JPY	11/21/2016	11/21/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(14,662	)
	9,450,000,000	JPY	11/22/2016	11/22/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(19,212	)
	9,450,000,000	JPY	11/25/2016	11/25/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(20,772	)
	7,875,000,000	JPY	11/28/2016	11/28/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		19,185
	7,875,000,000	JPY	11/29/2016	11/29/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		19,486
	7,875,000,000	JPY	11/30/2016	11/30/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		19,792
	7,875,000,000	JPY	12/1/2016	12/1/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		10,739
	7,875,000,000	JPY	12/2/2016	12/2/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		15,256
	7,875,000,000	JPY	12/5/2016	12/5/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		8,356

42 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays (1)	Fund Receives (2)	Net Unrealized Appreciation/ (Depreciation)
	7,875,000,000	JPY	12/6/2016	12/6/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	8,551
	7,875,000,000	JPY	12/7/2016	12/7/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		8,747
	7,875,000,000	JPY	12/8/2016	12/8/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(584	)
	7,875,000,000	JPY	12/9/2016	12/9/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		3,965
	9,450,000,000	JPY	12/12/2016	12/12/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(10,995	)
	9,450,000,000	JPY	12/13/2016	12/13/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(10,577	)
	9,450,000,000	JPY	12/14/2016	12/14/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(10,314	)
	9,450,000,000	JPY	12/15/2016	12/15/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(21,349	)
	9,450,000,000	JPY	12/16/2016	12/16/2018	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(15,855	)
	6,340,350,000	JPY	1/10/2017	1/10/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		11,928
	6,340,350,000	JPY	1/11/2017	1/11/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		11,783
	6,340,350,000	JPY	1/12/2017	1/12/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		4,107
	6,340,350,000	JPY	1/13/2017	1/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		7,611
	6,340,350,000	JPY	1/17/2017	1/17/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		11,015
	10,461,570,000	JPY	1/18/2017	1/18/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		8,654
	6,290,160,000	JPY	1/18/2017	1/18/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(13,206	)
	10,461,570,000	JPY	1/19/2017	1/19/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(10,778	)
	10,461,570,000	JPY	1/20/2017	1/20/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(4,949	)
	10,461,570,000	JPY	1/23/2017	1/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		7,771
	6,290,160,000	JPY	1/24/2017	1/24/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(13,980	)
	10,461,570,000	JPY	1/24/2017	1/24/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		7,549
	6,290,160,000	JPY	1/25/2017	1/25/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(13,986	)
	6,290,160,000	JPY	1/26/2017	1/26/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(21,817	)
	6,290,160,000	JPY	1/30/2017	1/30/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(14,779	)
	6,349,345,000	JPY	1/31/2017	1/31/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(57,421	)
	6,349,345,000	JPY	2/1/2017	2/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(57,411	)
	6,349,345,000	JPY	2/2/2017	2/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(64,991	)
	6,349,345,000	JPY	2/6/2017	2/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(57,491	)
	6,349,345,000	JPY	2/7/2017	2/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(57,363	)
	6,349,345,000	JPY	2/8/2017	2/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(57,234	)
	6,349,345,000	JPY	2/9/2017	2/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(64,817	)
	6,349,345,000	JPY	2/13/2017	2/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(57,453	)
	6,349,345,000	JPY	2/14/2017	2/14/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(57,310	)
	6,349,345,000	JPY	2/15/2017	2/15/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(57,272	)
	3,439,268,600	JPY	2/21/2017	2/21/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(35,625	)
	3,439,268,600	JPY	2/21/2017	2/21/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(35,625	)
	3,439,268,600	JPY	2/22/2017	2/22/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(35,538	)
	3,439,268,600	JPY	2/22/2017	2/22/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(35,538	)
	3,439,268,600	JPY	2/23/2017	2/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(39,645	)
	3,439,268,600	JPY	2/23/2017	2/23/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(39,645	)
	3,439,268,600	JPY	2/27/2017	2/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(35,586	)
	3,439,268,600	JPY	2/27/2017	2/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(35,586	)
	3,439,268,600	JPY	3/1/2017	3/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(35,395	)
	3,439,268,600	JPY	3/1/2017	3/1/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(35,395	)

See accompanying notes to the financial statements. 43

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays (1)	Fund Receives (2)	Net Unrealized Appreciation/ (Depreciation)
	3,439,268,600	JPY	3/2/2017	3/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(39,627	)
	3,439,268,600	JPY	3/2/2017	3/2/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(39,627	)
	33,334,890,000	JPY	3/3/2017	3/3/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(423,082	)
	58,847,595,000	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(714,529	)
	3,439,268,600	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(34,737	)
	3,439,268,600	JPY	3/6/2017	3/6/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(34,737	)
	3,439,268,600	JPY	3/7/2017	3/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(34,576	)
	3,439,268,600	JPY	3/7/2017	3/7/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(34,576	)
	3,439,268,600	JPY	3/8/2017	3/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(34,419	)
	3,439,268,600	JPY	3/8/2017	3/8/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(34,419	)
	3,439,268,600	JPY	3/9/2017	3/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(38,533	)
	3,439,268,600	JPY	3/9/2017	3/9/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(38,533	)
	5,751,480,600	JPY	3/10/2017	3/10/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(92,520	)
	5,751,480,600	JPY	3/13/2017	3/13/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(88,119	)
	5,751,480,600	JPY	3/14/2017	3/14/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(87,841	)
	5,751,480,600	JPY	3/15/2017	3/15/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(87,565	)
	5,751,480,600	JPY	3/16/2017	3/16/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(94,448	)
	5,751,480,600	JPY	3/27/2017	3/27/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(85,934	)
	5,751,480,600	JPY	3/28/2017	3/28/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(85,945	)
	5,751,480,600	JPY	3/29/2017	3/29/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(85,961	)
	5,751,480,600	JPY	4/3/2017	4/3/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(85,553	)
	5,751,480,600	JPY	4/4/2017	4/4/2019	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(85,552	)
	6,405,594,000	JPY	1/9/2018	1/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(85,709	)
	6,405,594,000	JPY	1/10/2018	1/10/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(85,700	)
	6,405,594,000	JPY	1/16/2018	1/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(84,629	)
	6,405,594,000	JPY	1/17/2018	1/17/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(84,625	)
	6,405,594,000	JPY	1/23/2018	1/23/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(83,807	)
	8,044,436,000	JPY	1/24/2018	1/24/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(143,535	)
	8,044,436,000	JPY	1/25/2018	1/25/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(153,894	)
	8,044,436,000	JPY	1/29/2018	1/29/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(142,951	)
	8,044,436,000	JPY	1/30/2018	1/30/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(142,814	)
	8,044,436,000	JPY	1/31/2018	1/31/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(142,677	)
	8,044,436,000	JPY	2/1/2018	2/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(153,074	)
	8,106,057,000	JPY	2/5/2018	2/5/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(191,038	)
	8,106,057,000	JPY	2/6/2018	2/6/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(190,907	)
	8,106,057,000	JPY	2/7/2018	2/7/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(190,777	)
	8,106,057,000	JPY	2/8/2018	2/8/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(201,417	)
	8,106,057,000	JPY	2/14/2018	2/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(190,419	)
	8,106,057,000	JPY	2/20/2018	2/20/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(190,374	)
	6,405,594,000	JPY	2/21/2018	2/21/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(173,268	)
	6,405,594,000	JPY	2/22/2018	2/22/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(181,837	)
	6,405,594,000	JPY	2/26/2018	2/26/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(173,472	)
	6,405,594,000	JPY	2/27/2018	2/27/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(173,493	)
	6,405,594,000	JPY	2/28/2018	2/28/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(173,738	)

44 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Forward Starting Cross-Currency Basis Swaps — continued
Notional Amount			Starting Date	Expiration Date	Counterparty	Fund Pays (1)	Fund Receives (2)	Net Unrealized Appreciation/ (Depreciation)
	6,405,594,000	JPY	3/1/2018	3/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR	$	(178,071	)
	533,227,500	EUR	3/2/2018	3/2/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(206,924	)
	6,405,594,000	JPY	3/5/2018	3/5/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(173,764	)
	793,835,000	EUR	3/6/2017	3/6/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(844,477	)
	6,405,594,000	JPY	3/6/2018	3/6/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(173,798	)
	6,405,594,000	JPY	3/7/2018	3/7/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(182,423	)
	6,405,594,000	JPY	3/9/2018	3/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(173,955	)
	499,540,000	EUR	3/10/2017	3/10/2020	GS	3 Month USD LIBOR	3 Month EURIBOR		(1,045,218	)
	7,902,772,000	JPY	3/12/2018	3/12/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(183,947	)
	7,902,772,000	JPY	3/13/2018	3/13/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(183,991	)
	7,902,772,000	JPY	3/14/2018	3/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(194,522	)
	7,902,772,000	JPY	3/19/2018	3/19/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(184,186	)
	7,902,772,000	JPY	3/26/2018	3/26/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(184,465	)
	7,902,772,000	JPY	3/27/2018	3/27/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(184,517	)
	7,902,772,000	JPY	3/28/2018	3/28/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(195,505	)
	7,902,772,000	JPY	4/3/2018	4/3/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(184,526	)
	7,902,772,000	JPY	4/9/2018	4/9/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(135,745	)
	7,902,772,000	JPY	4/16/2018	4/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(136,079	)
	7,902,772,000	JPY	4/17/2018	4/17/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(136,271	)
	7,902,772,000	JPY	4/20/2018	4/20/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(136,505	)
	7,902,772,000	JPY	4/23/2018	4/23/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(136,709	)
	7,902,772,000	JPY	4/24/2018	4/24/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(136,772	)
	7,902,772,000	JPY	4/25/2018	4/25/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(147,574	)
	7,604,760,000	JPY	5/11/2018	5/11/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(60,299	)
	7,604,760,000	JPY	5/14/2018	5/14/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(60,619	)
	7,604,760,000	JPY	5/15/2018	5/15/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(60,819	)
	7,604,760,000	JPY	5/16/2018	5/16/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(71,558	)
	7,604,760,000	JPY	5/21/2018	5/21/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(61,534	)
	7,604,760,000	JPY	5/22/2018	5/22/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(61,604	)
	7,604,760,000	JPY	5/29/2018	5/29/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(62,801	)
	7,604,760,000	JPY	6/1/2018	6/1/2020	GS	3 Month JPY LIBOR	3 Month USD LIBOR		(63,193	)
	926,612,000	EUR	1/27/2021	1/27/2024	GS	3 Month USD LIBOR	3 Month EURIBOR		2,323,550
	561,142,000	EUR	1/23/2020	1/23/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		3,066,407
	456,632,000	EUR	1/24/2022	1/24/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		2,273,768
	548,210,000	EUR	1/29/2020	1/29/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		2,228,807
	273,688,000	EUR	1/30/2020	1/30/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		1,319,308
	413,519,000	EUR	2/3/2020	2/3/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		2,235,400
	358,640,000	EUR	2/11/2020	2/11/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		1,650,753
	113,346,000	EUR	3/10/2022	3/10/2025	GS	3 Month USD LIBOR	3 Month EURIBOR		(121,629	)
	41,228,000	EUR	3/16/2015	3/16/2035	GS	3 Month EURIBOR	3 Month USD LIBOR		165,100
	12,500,000	EUR	4/15/2015	4/15/2045	GS	3 Month EURIBOR	3 Month USD LIBOR		(383,179	)
								$	342,965
						Premiums to (Pay) Receive		$	(16,253,164	)

(1) For JPY LIBOR, Fund pays 3 month JPY LIBOR adjusted by a spread. Spreads range from (0.58)% to (0.81)%.

(2) For EURIBOR, Fund receives 3 month EURIBOR adjusted by a spread. Spreads range from (0.16)% to (0.37)%.

See accompanying notes to the financial statements. 45

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Inflation Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	31,046,000	GBP	1/13/2020	GS	Receive	2.72%	U.K. Retail Price Index	$	(690,974	)
	150,000,000	GBP	1/14/2020	GS	Receive	2.76%	U.K. Retail Price Index		(3,788,361	)
	51,275,000	GBP	2/19/2020	GS	Receive	2.69%	U.K. Retail Price Index		(733,475	)
	150,000,000	GBP	1/14/2025	GS	(Pay)	2.93%	U.K. Retail Price Index		1,210,688
	51,275,000	GBP	2/19/2025	GS	(Pay)	2.92%	U.K. Retail Price Index		(32,968	)
								$	(4,035,090	)
							Premiums to (Pay) Receive	$	—

# Receive - Fund receives fixed rate and pays variable rate. (Pay) - Fund pays fixed rate and receives variable rate.

Interest Rate Swaps
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	95,100,000	AUD	11/6/2024	BCI (i)	Receive	4.35%	6 Month AUD BBSW	$	2,376,012
	261,500,000	AUD	11/7/2024	BCI (i)	Receive	4.31%	6 Month AUD BBSW		6,249,858
	57,506,000	AUD	11/11/2024	BCI (i)	Receive	4.33%	6 Month AUD BBSW		1,410,403
	217,000,000	AUD	11/13/2024	BCI (i)	Receive	4.31%	6 Month AUD BBSW		5,141,266
	203,372,000	AUD	5/7/2025	BCI (i)	Receive	3.76%	6 Month AUD BBSW		941,908
	184,419,000	AUD	5/8/2025	BCI (i)	Receive	3.78%	6 Month AUD BBSW		975,645
	91,000,000	AUD	5/8/2025	BCI (i)	Receive	3.80%	6 Month AUD BBSW		528,705
	100,414,000	AUD	5/11/2025	BCI (i)	Receive	3.71%	6 Month AUD BBSW		315,857
	106,281,000	AUD	6/10/2025	BCI (i)	(Pay)	4.01%	6 Month AUD BBSW		(1,252,084	)
	364,272,000	AUD	6/10/2025	BCI (i)	(Pay)	3.99%	6 Month AUD BBSW		(4,054,213	)
	101,476,000	AUD	6/22/2025	BCI (i)	(Pay)	4.01%	6 Month AUD BBSW		(1,157,420	)
	144,107,000	AUD	7/1/2025	BCI (i)	(Pay)	4.00%	6 Month AUD BBSW		(1,604,068	)
	89,117,000	AUD	7/9/2025	JPMF (i)	(Pay)	3.87%	6 Month AUD BBSW		(634,651	)
	84,388,000	AUD	7/10/2025	JPMF (i)	(Pay)	3.80%	6 Month AUD BBSW		(432,066	)
	50,265,000	AUD	7/29/2025	JPMF (i)	(Pay)	3.71%	6 Month AUD BBSW		(107,013	)
	143,920,000	AUD	8/5/2025	JPMF (i)	(Pay)	3.70%	6 Month AUD BBSW		(267,381	)
	143,429,000	AUD	8/13/2025	JPMF (i)	(Pay)	3.69%	6 Month AUD BBSW		(210,963	)
	31,776,000	AUD	12/23/2034	BCI (i)	Receive	4.41%	6 Month AUD BBSW		620,720
	15,878,000	AUD	12/30/2034	CSS (i)	Receive	4.37%	6 Month AUD BBSW		276,439
	15,878,000	AUD	1/7/2035	BCI (i)	Receive	4.11%	6 Month AUD BBSW		85,095
	15,853,000	AUD	1/8/2035	JPMF (i)	Receive	4.00%	6 Month AUD BBSW		9,680
	31,644,000	AUD	1/9/2035	JPMF (i)	Receive	3.96%	6 Month AUD BBSW		(39,286	)
	31,870,000	AUD	1/13/2035	JPMF (i)	Receive	3.95%	6 Month AUD BBSW		(58,044	)
	47,675,000	AUD	1/13/2035	JPMF (i)	Receive	3.96%	6 Month AUD BBSW		(75,795	)
	31,928,000	AUD	1/14/2035	JPMF (i)	Receive	3.91%	6 Month AUD BBSW		(124,607	)
	32,173,000	AUD	1/16/2035	BCI (i)	Receive	3.82%	6 Month AUD BBSW		(259,525	)
	15,830,000	AUD	1/20/2035	BCI (i)	Receive	3.76%	6 Month AUD BBSW		(171,652	)
	31,659,000	AUD	1/21/2035	BCI (i)	Receive	3.75%	6 Month AUD BBSW		(346,829	)

46 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	109,537,000	AUD	3/4/2035	BCI (i)	Receive	3.68%	6 Month AUD BBSW	$	(1,572,160	)
	48,350,000	AUD	3/4/2035	BCI (i)	Receive	3.66%	6 Month AUD BBSW		(734,037	)
	58,552,000	AUD	3/6/2035	BCI (i)	Receive	3.70%	6 Month AUD BBSW		(780,885	)
	87,150,000	AUD	3/10/2035	BCI (i)	Receive	3.75%	6 Month AUD BBSW		(951,409	)
	65,016,000	AUD	3/10/2035	BCI (i)	Receive	3.75%	6 Month AUD BBSW		(717,257	)
	78,399,000	AUD	3/19/2035	BCI (i)	Receive	3.51%	6 Month AUD BBSW		(1,747,067	)
	16,098,000	CHF	1/13/2035	CSS (i)	(Pay)	1.33%	6 Month CHF LIBOR		(345,905	)
	32,055,000	CHF	1/13/2035	CSS (i)	(Pay)	1.22%	6 Month CHF LIBOR		(336,185	)
	16,251,000	CHF	1/15/2035	CSS (i)	(Pay)	1.35%	6 Month CHF LIBOR		(380,028	)
	65,545,000	CHF	1/16/2035	CSS (i)	(Pay)	1.35%	6 Month CHF LIBOR		(1,532,730	)
	31,929,000	CHF	1/22/2035	CSS (i)	(Pay)	1.25%	6 Month CHF LIBOR		(441,468	)
	37,631,000	CHF	1/23/2035	CSS (i)	(Pay)	1.23%	6 Month CHF LIBOR		(439,380	)
	36,004,000	CHF	1/27/2035	CSS (i)	(Pay)	1.22%	6 Month CHF LIBOR		(394,944	)
	13,948,000	CHF	2/3/2035	CSS (i)	(Pay)	1.25%	6 Month CHF LIBOR		(193,030	)
	46,734,000	CHF	2/3/2035	CSS (i)	(Pay)	1.22%	6 Month CHF LIBOR		(490,409	)
	19,532,000	CHF	2/4/2035	CSS (i)	(Pay)	1.12%	6 Month CHF LIBOR		(27,572	)
	32,889,000	CHF	3/4/2035	CSS (i)	(Pay)	1.14%	6 Month CHF LIBOR		(120,300	)
	8,538,000	CHF	3/5/2035	CSS (i)	(Pay)	1.16%	6 Month CHF LIBOR		(44,794	)
	25,329,000	CHF	5/7/2035	CSS (i)	Receive	0.98%	6 Month CHF LIBOR		(311,615	)
	22,618,000	CHF	5/8/2035	CSS (i)	Receive	1.06%	6 Month CHF LIBOR		(95,643	)
	11,186,000	CHF	5/8/2035	CSS (i)	Receive	1.07%	6 Month CHF LIBOR		(41,973	)
	42,119,000	CHF	6/5/2035	CSS (i)	Receive	1.22%	6 Month CHF LIBOR		444,941
	52,331,000	CHF	6/11/2035	CSS (i)	Receive	1.40%	6 Month CHF LIBOR		1,468,287
	21,109,000	CHF	6/24/2035	CSS (i)	Receive	1.33%	6 Month CHF LIBOR		444,466
	23,611,000	CHF	7/15/2035	JPMF (i)	Receive	1.29%	6 Month CHF LIBOR		407,714
	1,081,835,000	DKK	2/25/2020	CSS (i)	Receive	0.39%	6 Month DKK CIBOR		(1,966,592	)
	1,001,081,000	DKK	2/27/2020	CSS (i)	Receive	0.32%	6 Month DKK CIBOR		(2,242,533	)
	1,095,195,000	DKK	3/2/2020	CSS (i)	Receive	0.34%	6 Month DKK CIBOR		(2,315,467	)
	1,120,061,000	DKK	3/2/2020	CSS (i)	Receive	0.33%	6 Month DKK CIBOR		(2,499,173	)
	346,006,000	DKK	3/6/2020	CSS (i)	Receive	0.36%	6 Month DKK CIBOR		(700,253	)
	628,298,000	DKK	3/9/2020	CSS (i)	Receive	0.38%	6 Month DKK CIBOR		(1,205,113	)
	654,788,000	DKK	3/10/2020	CSS (i)	Receive	0.41%	6 Month DKK CIBOR		(1,114,391	)
	696,937,000	DKK	3/20/2020	CSS (i)	Receive	0.37%	6 Month DKK CIBOR		(1,410,495	)
	333,368,000	DKK	6/10/2020	CSS (i)	(Pay)	0.77%	6 Month DKK CIBOR		(178,027	)
	582,512,000	DKK	6/11/2020	CSS (i)	(Pay)	0.81%	6 Month DKK CIBOR		(440,289	)
	1,023,899,000	DKK	6/12/2020	CSS (i)	(Pay)	0.87%	6 Month DKK CIBOR		(1,244,456	)
	590,636,000	DKK	8/13/2020	JPMF (i)	(Pay)	0.70%	6 Month DKK CIBOR		110,411
	52,177,000	EUR	12/16/2020	JPMF (i)	(Pay)	0.45%	6 Month EURIBOR		135,146
	104,984,000	EUR	12/16/2020	JPMF (i)	(Pay)	0.48%	6 Month EURIBOR		113,203
	60,000,000	EUR	12/16/2020	JPMF (i)	Receive	0.54%	6 Month EURIBOR		136,883
	107,640,000	EUR	12/16/2020	JPMF (i)	(Pay)	0.53%	6 Month EURIBOR		(191,323	)
	550,000,000	EUR	12/17/2025	JPMF (i)	(Pay)	1.83%	6 Month EURIBOR		(980,034	)
	60,188,000	EUR	12/17/2025	JPMF (i)	(Pay)	1.65%	6 Month EURIBOR		468,781
	154,594,000	EUR	3/30/2030	CSS (i)	(Pay)	0.74%	6 Month EURIBOR		15,501,593

See accompanying notes to the financial statements. 47

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	47,960,000	EUR	4/14/2030	CSS (i)	(Pay)	0.72%	6 Month EURIBOR	$	5,038,713
	68,951,000	EUR	6/19/2030	CSS (i)	Receive	1.47%	6 Month EURIBOR		672,793
	18,750,000	EUR	7/8/2030	CSS (i)	Receive	1.52%	6 Month EURIBOR		314,587
	12,502,000	EUR	7/13/2030	CSS (i)	Receive	1.46%	6 Month EURIBOR		103,410
	79,962,000	EUR	9/15/2030	CSS (i)	(Pay)	0.78%	6 Month EURIBOR		8,053,634
	7,678,000	EUR	12/18/2030	CSS (i)	Receive	1.54%	6 Month EURIBOR		101,776
	7,343,000	EUR	12/18/2030	CSS (i)	Receive	1.49%	6 Month EURIBOR		44,147
	11,455,000	EUR	12/18/2030	JPMF (i)	Receive	1.51%	6 Month EURIBOR		95,925
	17,491,000	EUR	12/18/2030	JPMF (i)	Receive	1.52%	6 Month EURIBOR		162,997
	12,389,000	EUR	9/17/2031	JPMF (i)	Receive	1.54%	6 Month EURIBOR		(42,940	)
	5,466,000	EUR	12/21/2033	JPMF (i)	Receive	1.83%	6 Month EURIBOR		(8,178	)
	5,466,000	EUR	12/21/2033	JPMF (i)	Receive	1.84%	6 Month EURIBOR		(4,066	)
	41,228,000	EUR	3/16/2035	CSS (i)	(Pay)	1.05%	3 Month EURIBOR		3,525,990
	117,278,000	EUR	3/30/2035	CSS (i)	(Pay)	0.82%	6 Month EURIBOR		16,819,799
	36,060,000	EUR	4/14/2035	CSS (i)	(Pay)	0.80%	6 Month EURIBOR		5,311,735
	72,880,000	EUR	3/14/2036	CSS (i)	(Pay)	0.87%	6 Month EURIBOR		10,642,595
	54,184,200	EUR	12/24/2044	CSS (i)	(Pay)	1.96%	6 Month EURIBOR		(756,071	)
	537,083,800	EUR	2/11/2045	CSS (i)	(Pay)	0.90%	6 Month EURIBOR		62,141,781
	284,523,100	EUR	3/3/2045	CSS (i)	(Pay)	0.94%	6 Month EURIBOR		48,858,059
	126,849,000	EUR	3/11/2045	CSS (i)	(Pay)	1.47%	6 Month EURIBOR		5,783,945
	140,647,000	EUR	3/11/2045	CSS (i)	(Pay)	1.50%	6 Month EURIBOR		5,875,714
	12,500,000	EUR	3/15/2045	CSS (i)	(Pay)	1.57%	6 Month EURIBOR		60,791
	40,782,737	EUR	3/24/2045	CSS (i)	Receive	0.98%	6 Month EURIBOR		(6,803,701	)
	43,225,000	EUR	3/24/2045	CSS (i)	Receive	0.89%	6 Month EURIBOR		(8,400,051	)
	163,478,000	EUR	3/30/2045	CSS (i)	Receive	0.86%	6 Month EURIBOR		(33,064,243	)
	49,763,000	EUR	4/14/2045	CSS (i)	Receive	0.85%	6 Month EURIBOR		(9,944,757	)
	53,308,000	EUR	4/15/2045	CSS (i)	Receive	1.06%	6 Month EURIBOR		(7,845,025	)
	105,834,000	EUR	5/14/2045	CSS (i)	Receive	1.58%	6 Month EURIBOR		(3,284,968	)
	49,443,000	EUR	5/14/2045	CSS (i)	Receive	1.60%	6 Month EURIBOR		(1,420,165	)
	69,824,000	EUR	5/20/2045	CSS (i)	Receive	1.66%	6 Month EURIBOR		(1,457,401	)
	71,509,000	EUR	5/27/2045	JPMF (i)	Receive	1.60%	6 Month EURIBOR		(2,041,221	)
	49,842,000	EUR	5/27/2045	CSS (i)	Receive	1.61%	6 Month EURIBOR		(1,343,806	)
	30,281,000	EUR	5/29/2045	CSS (i)	Receive	1.57%	6 Month EURIBOR		(981,156	)
	101,425,000	EUR	6/3/2045	JPMF (i)	Receive	1.50%	6 Month EURIBOR		(4,092,339	)
	454,114,000	EUR	6/4/2045	CSS (i)	Receive	1.57%	6 Month EURIBOR		(14,386,981	)
	475,632,000	EUR	6/5/2045	JPMF (i)	Receive	1.71%	6 Month EURIBOR		(7,381,093	)
	251,407,000	EUR	6/10/2045	CSS (i)	Receive	1.84%	6 Month EURIBOR		223,051
	78,503,000	EUR	6/10/2045	CSS (i)	Receive	1.80%	6 Month EURIBOR		(310,708	)
	171,539,000	EUR	6/11/2045	CSS (i)	Receive	1.85%	6 Month EURIBOR		290,088
	77,240,000	EUR	6/12/2045	CSS (i)	Receive	1.97%	6 Month EURIBOR		1,248,760
	39,065,000	EUR	6/19/2045	CSS (i)	(Pay)	1.62%	6 Month EURIBOR		(300,808	)
	48,128,000	EUR	6/28/2045	CSS (i)	Receive	2.05%	6 Month EURIBOR		1,287,952
	10,721,000	EUR	7/3/2045	CSS (i)	Receive	2.05%	6 Month EURIBOR		285,863
	71,543,000	EUR	7/8/2045	JPMF (i)	Receive	2.10%	6 Month EURIBOR		2,358,791

48 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	172,488,000	EUR	7/9/2045	JPMF (i)	(Pay)	1.87%	6 Month EURIBOR	$	(789,271	)
	40,403,000	EUR	7/10/2045	JPMF (i)	(Pay)	1.79%	6 Month EURIBOR		220,741
	117,998,000	EUR	7/15/2045	JPMF (i)	Receive	1.90%	6 Month EURIBOR		2,898,499
	26,480,000	EUR	7/15/2045	JPMF (i)	Receive	1.98%	6 Month EURIBOR		475,059
	23,196,000	EUR	7/15/2045	JPMF (i)	Receive	1.90%	6 Month EURIBOR		199,070
	81,873,000	EUR	7/15/2045	JPMF (i)	Receive	2.11%	6 Month EURIBOR		2,808,853
	43,810,000	EUR	7/15/2045	JPMF (i)	Receive	2.10%	6 Month EURIBOR		1,414,250
	71,404,000	EUR	7/15/2045	JPMF (i)	(Pay)	0.98%	6 Month EURIBOR		12,173,280
	50,464,954	EUR	12/15/2045	CSS (i)	Receive	0.86%	6 Month EURIBOR		(10,573,458	)
	62,436,000	EUR	12/15/2045	CSS (i)	Receive	1.20%	6 Month EURIBOR		(7,101,179	)
	74,631,000	EUR	12/15/2045	CSS (i)	Receive	0.76%	6 Month EURIBOR		(17,659,926	)
	9,997,000	EUR	12/16/2045	CSS (i)	Receive	0.85%	6 Month EURIBOR		(2,116,137	)
	56,940,000	EUR	12/20/2045	JPMF (i)	Receive	1.77%	6 Month EURIBOR		(326,598	)
	77,444,000	EUR	12/20/2045	JPMF (i)	Receive	1.59%	6 Month EURIBOR		(2,067,124	)
	69,168,000	EUR	12/20/2045	JPMF (i)	(Pay)	1.89%	6 Month EURIBOR		(594,206	)
	42,578,000	EUR	12/20/2045	JPMF (i)	(Pay)	1.84%	6 Month EURIBOR		(133,337	)
	29,336,000	EUR	12/20/2045	JPMF (i)	(Pay)	1.80%	6 Month EURIBOR		40,853
	26,622,000	EUR	12/20/2045	JPMF (i)	(Pay)	1.87%	6 Month EURIBOR		(170,088	)
	45,389,000	EUR	12/20/2045	JPMF (i)	(Pay)	1.87%	6 Month EURIBOR		(311,894	)
	180,657,000	EUR	2/24/2046	CSS (i)	Receive	1.56%	6 Month EURIBOR		(10,800,698	)
	214,995,000	EUR	3/14/2046	CSS (i)	Receive	0.78%	6 Month EURIBOR		(50,434,396	)
	87,804,000	EUR	3/29/2046	CSS (i)	Receive	0.93%	6 Month EURIBOR		(16,920,931	)
	101,537,000	EUR	6/20/2046	JPMF (i)	(Pay)	1.88%	6 Month EURIBOR		(1,045,455	)
	82,708,000	EUR	9/5/2046	CSS (i)	(Pay)	1.85%	6 Month EURIBOR		(617,874	)
	125,552,018	EUR	9/5/2046	CSS (i)	(Pay)	0.98%	6 Month EURIBOR		12,185,615
	103,621,000	EUR	9/19/2046	JPMF (i)	(Pay)	1.79%	6 Month EURIBOR		(16,426	)
	30,202,000	EUR	10/17/2046	CSS (i)	(Pay)	1.78%	6 Month EURIBOR		21,705
	52,725,000	EUR	12/19/2046	JPMF (i)	(Pay)	1.92%	6 Month EURIBOR		(846,721	)
	51,015,000	EUR	12/19/2046	JPMF (i)	(Pay)	1.85%	6 Month EURIBOR		(389,612	)
	136,991,852	EUR	2/3/2047	CSS (i)	(Pay)	0.98%	6 Month EURIBOR		13,065,572
	111,264,000	EUR	2/3/2047	CSS (i)	(Pay)	1.92%	6 Month EURIBOR		(1,889,724	)
	59,750,000	EUR	2/22/2047	CSS (i)	(Pay)	1.88%	6 Month EURIBOR		97,859
	53,656,000	EUR	3/3/2047	CSS (i)	(Pay)	1.77%	6 Month EURIBOR		23,218
	152,189,000	EUR	3/3/2047	CSS (i)	(Pay)	0.97%	6 Month EURIBOR		14,449,693
	93,354,000	EUR	5/24/2047	CSS (i)	(Pay)	1.79%	6 Month EURIBOR		(255,327	)
	221,255,000	EUR	5/24/2047	CSS(i)	(Pay)	0.97%	6 Month EURIBOR		20,800,234
	204,174,000	EUR	7/26/2047	CSS (i)	(Pay)	0.97%	6 Month EURIBOR		19,053,046
	89,684,000	EUR	7/26/2047	CSS (i)	(Pay)	1.77%	6 Month EURIBOR		(104,588	)
	290,213,500	EUR	8/23/2047	CSS (i)	Receive	0.92%	6 Month EURIBOR		(45,651,869	)
	32,781,890	EUR	11/22/2047	CSS (i)	Receive	1.55%	6 Month EURIBOR		(1,712,498	)
	434,916,900	EUR	3/14/2048	CSS (i)	Receive	0.87%	6 Month EURIBOR		(44,149,299	)
	139,931,000	EUR	6/17/2048	JPMF (i)	(Pay)	1.83%	6 Month EURIBOR		(1,544,096	)
	40,084,000	EUR	12/16/2048	JPMF (i)	(Pay)	1.76%	6 Month EURIBOR		(145,597	)
	40,084,000	EUR	12/16/2048	JPMF (i)	(Pay)	1.77%	6 Month EURIBOR		(214,510	)

See accompanying notes to the financial statements. 49

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	106,258,269	EUR	3/16/2056	CSS (i)	Receive	0.89%	6 Month EURIBOR	$	(26,617,450	)
	77,472,000	GBP	3/20/2019	BCI (i)	Receive	1.18%	6 Month GBP LIBOR		(688,508	)
	26,907,000	GBP	6/12/2020	BCI (i)	Receive	1.59%	6 Month GBP LIBOR		92,516
	31,046,000	GBP	1/13/2025	GS (i)	(Pay)	2.93%	U.K. Retail Price Index		212,187
	148,196,000	GBP	1/21/2025	BCI (i)	(Pay)	1.45%	SONIA Index		6,262,600
	33,061,000	GBP	6/24/2025	BCI (i)	Receive	1.99%	6 Month GBP LIBOR		104,993
	128,846,000	GBP	5/20/2030	JPMF (i)	Receive	2.69%	6 Month GBP LIBOR		1,524,812
	9,744,000	GBP	12/18/2030	JPMF (i)	Receive	2.37%	6 Month GBP LIBOR		393,290
	20,493,000	GBP	3/6/2045	BCI (i)	Receive	2.52%	6 Month GBP LIBOR		927,918
	26,830,000	GBP	5/7/2045	BCI (i)	Receive	2.49%	6 Month GBP LIBOR		1,075,585
	53,661,000	GBP	5/7/2045	BCI (i)	Receive	2.43%	6 Month GBP LIBOR		1,768,983
	62,533,000	GBP	5/8/2045	BCI (i)	Receive	2.35%	6 Month GBP LIBOR		1,246,015
	28,071,000	GBP	5/13/2045	JPMF (i)	Receive	2.47%	6 Month GBP LIBOR		1,065,058
	31,164,000	GBP	5/14/2045	JPMF (i)	Receive	2.49%	6 Month GBP LIBOR		1,270,253
	34,586,000	GBP	6/3/2045	JPMF (i)	Receive	2.50%	6 Month GBP LIBOR		1,474,191
	47,889,000	GBP	6/4/2045	JPMF (i)	Receive	2.53%	6 Month GBP LIBOR		2,254,022
	164,225,000	GBP	6/10/2045	BCI (i)	Receive	2.48%	6 Month GBP LIBOR		6,533,278
	5,775,000	GBP	6/12/2045	BCI (i)	(Pay)	2.34%	6 Month GBP LIBOR		(356,242	)
	33,061,000	GBP	6/24/2045	BCI (i)	(Pay)	2.30%	6 Month GBP LIBOR		(1,520,069	)
	23,392,000	GBP	12/20/2045	JPMF (i)	(Pay)	2.38%	6 Month GBP LIBOR		(635,851	)
	13,300,000	GBP	12/20/2045	JPMF (i)	(Pay)	2.07%	6 Month GBP LIBOR		247,406
	25,777,000	GBP	12/20/2045	JPMF (i)	Receive	2.06%	6 Month GBP LIBOR		(500,274	)
	15,680,000	GBP	12/20/2045	JPMF (i)	Receive	2.23%	6 Month GBP LIBOR		81,629
	46,994,000	GBP	12/20/2045	JPMF (i)	Receive	2.03%	6 Month GBP LIBOR		(1,149,584	)
	30,312,000	GBP	12/20/2045	JPMF (i)	(Pay)	2.24%	6 Month GBP LIBOR		(224,417	)
	25,928,000	GBP	12/20/2045	JPMF (i)	(Pay)	2.28%	6 Month GBP LIBOR		(343,908	)
	48,659,000	GBP	12/20/2045	JPMF (i)	(Pay)	2.30%	6 Month GBP LIBOR		(748,783	)
	37,207,000	GBP	3/23/2046	BCI (i)	(Pay)	2.48%	6 Month GBP LIBOR		(3,670,426	)
	40,439,000	GBP	3/23/2046	BCI (i)	(Pay)	2.52%	6 Month GBP LIBOR		(4,481,005	)
	30,578,000	GBP	3/23/2046	BCI (i)	(Pay)	1.97%	6 Month GBP LIBOR		2,380,424
	4,672,000	GBP	3/23/2046	BCI (i)	Receive	1.94%	6 Month GBP LIBOR		(415,647	)
	3,398,000	GBP	3/23/2046	BCI (i)	(Pay)	2.05%	6 Month GBP LIBOR		172,441
	73,451,000	GBP	12/19/2046	JPMF (i)	(Pay)	2.36%	6 Month GBP LIBOR		(2,088,247	)
	901,298,000	MXN	10/11/2024	BCI (i)	Receive	6.18%	TIIE		(339,241	)
	654,209,000	MXN	10/16/2024	BCI (i)	Receive	6.03%	TIIE		(699,883	)
	1,043,900,000	MXN	10/25/2024	BCI (i)	Receive	6.19%	TIIE		(377,813	)
	785,300,000	MXN	10/28/2024	BCI (i)	Receive	6.13%	TIIE		(499,896	)
	394,543,000	MXN	7/30/2025	JPMF (i)	(Pay)	6.29%	TIIE		127,092
	64,744,000	USD	1/22/2020	CSS (i)	(Pay)	1.46%	3 Month USD LIBOR		192,634
	202,387,000	USD	12/16/2020	JPMF (i)	(Pay)	1.92%	3 Month USD LIBOR		(1,329,981	)
	168,677,000	USD	5/13/2025	CSS (i)	Receive	2.29%	3 Month USD LIBOR		736,141
	12,105,000	USD	6/5/2025	CSS (i)	Receive	2.46%	3 Month USD LIBOR		225,677
	23,665,000	USD	6/8/2025	CSS (i)	Receive	2.43%	3 Month USD LIBOR		378,364
	24,210,000	USD	6/8/2025	CSS (i)	Receive	2.44%	3 Month USD LIBOR		415,401

50 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Interest Rate Swaps — continued
Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	24,210,000	USD	6/8/2025	CSS (i)	Receive	2.45%	3 Month USD LIBOR	$	443,725
	23,665,000	USD	6/8/2025	CSS(i)	Receive	2.41%	3 Month USD LIBOR		349,613
	15,917,000	USD	6/11/2025	CSS (i)	Receive	2.53%	3 Month USD LIBOR		399,288
	40,964,000	USD	9/23/2025	CSS (i)	(Pay)	2.54%	3 Month USD LIBOR		(952,623	)
	66,604,000	USD	9/23/2025	CSS (i)	(Pay)	2.66%	3 Month USD LIBOR		(2,275,870	)
	55,409,000	USD	9/23/2025	CSS (i)	(Pay)	2.62%	3 Month USD LIBOR		(1,702,750	)
	38,618,000	USD	9/23/2025	CSS (i)	(Pay)	2.48%	3 Month USD LIBOR		(676,682	)
	27,036,000	USD	9/23/2025	CSS (i)	(Pay)	2.39%	3 Month USD LIBOR		(262,952	)
	324,286,000	USD	12/17/2025	JPMF (i)	(Pay)	2.43%	3 Month USD LIBOR		(2,408,328	)
	101,610,000	USD	3/17/2031	CSS (i)	(Pay)	2.58%	3 Month USD LIBOR		590,214
	123,344,000	USD	12/19/2035	JPMF (i)	(Pay)	2.72%	3 Month USD LIBOR		(867,255	)
	112,789,000	USD	11/15/2041	CSS (i)	(Pay)	2.51%	3 Month USD LIBOR		4,148,281
	220,303,000	USD	11/15/2041	CSS (i)	(Pay)	2.33%	3 Month USD LIBOR		15,660,101
	64,446,000	USD	11/15/2041	CSS (i)	(Pay)	2.38%	3 Month USD LIBOR		4,060,832
	64,446,000	USD	11/15/2041	CSS (i)	(Pay)	2.32%	3 Month USD LIBOR		4,806,014
	91,298,000	USD	11/15/2041	CSS (i)	(Pay)	2.44%	3 Month USD LIBOR		4,608,830
	112,861,300	USD	2/15/2042	CSS (i)	(Pay)	2.56%	3 Month USD LIBOR		3,015,250
	112,951,000	USD	11/15/2042	CSS (i)	(Pay)	2.61%	3 Month USD LIBOR		2,057,822
	112,951,000	USD	2/15/2044	CSS (i)	(Pay)	2.62%	3 Month USD LIBOR		2,207,479
	24,024,000	USD	2/9/2045	CSS (i)	(Pay)	2.18%	3 Month USD LIBOR		2,762,402
	12,039,000	USD	2/12/2045	CSS (i)	(Pay)	2.46%	3 Month USD LIBOR		649,110
	6,184,000	USD	3/6/2045	CSS (i)	(Pay)	2.61%	3 Month USD LIBOR		142,640
	91,835,000	USD	3/26/2045	JPMF (i)	(Pay)	2.51%	3 Month USD LIBOR		4,105,503
	52,735,000	USD	3/30/2045	CSS (i)	(Pay)	2.63%	3 Month USD LIBOR		1,840,417
	49,031,000	USD	3/31/2045	CSS (i)	Receive	2.37%	3 Month USD LIBOR		(3,649,345	)
	65,642,000	USD	5/6/2045	CSS (i)	Receive	2.96%	3 Month USD LIBOR		(409,210	)
	41,196,000	USD	5/6/2045	CSS (i)	Receive	2.94%	3 Month USD LIBOR		(295,982	)
	29,296,000	USD	5/7/2045	CSS (i)	Receive	3.01%	3 Month USD LIBOR		(184,848	)
	95,127,000	USD	5/15/2045	CSS (i)	Receive	3.20%	3 Month USD LIBOR		1,647,648
	56,626,000	USD	7/6/2045	CSS (i)	Receive	2.98%	3 Month USD LIBOR		3,164,569
	54,005,000	USD	8/6/2045	JPMF (i)	(Pay)	2.96%	3 Month USD LIBOR		299,424
	30,644,000	USD	3/17/2046	CSS (i)	Receive	2.65%	3 Month USD LIBOR		(857,683	)
								$	(17,150,276	)
							Premiums to (Pay) Receive	$	(22,408,465	)

# Receive - Fund receives fixed rate and pays variable rate. (Pay) - Fund pays fixed rate and receives variable rate.

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

See accompanying notes to the financial statements. 51

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Notes to Consolidated Schedule of Investments:

* Non-income producing security.

(a) Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(b) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 2).

(c) Security is in default.

(d) Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2).

(e) All or a portion of this security is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund.

(f) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

(g) The rate shown represents yield-to-maturity.

(h) Rate rounds to 0.00%.

(i) Swap was cleared through the CME Group.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 70.

52 See accompanying notes to the financial statements.

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		95.7	%
Preferred Stocks		1.7
Short-Term Investments		1.3
Investment Funds		0.6
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Other		0.7
		100.0	%
Country/Region Summary**	% of Investments
United Kingdom		20.7	%
Japan		20.1
France		14.0
Germany		9.6
Canada		5.5
Spain		4.0
Italy		3.5
Other Developed***		3.5
Switzerland		2.5
Other Emerging****		1.6
Australia		1.5
Taiwan		1.5
Korea		1.4
Norway		1.4
Sweden		1.4
China		1.3
Netherlands		1.3
India		1.1
Russia		1.1
Belgium		1.0
Brazil		1.0
Hong Kong		1.0
		100.0	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

*** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Investments.

**** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Investments.

^ Rounds to 0.0%.

53

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	12,942,853	GMO Emerging Markets Fund, Class VI		107,555,109
	44,555,664	GMO International Equity Fund, Class IV		968,640,129
		TOTAL MUTUAL FUNDS (COST $1,134,494,172)		1,076,195,238
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	369,656	State Street Eurodollar Time Deposit, 0.01%, due 09/01/2015		369,656
		TOTAL SHORT-TERM INVESTMENTS (COST $369,656)		369,656
		TOTAL INVESTMENTS — 100.0% (Cost $1,134,863,828)		1,076,564,894
		Other Assets and Liabilities (net) — (0.0%)		(32,886	)
		TOTAL NET ASSETS — 100.0%		$1,076,532,008

54 See accompanying notes to the financial statements.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		92.2	%
Preferred Stocks		3.3
Short-Term Investments		2.0
Investment Funds		1.8
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Other		0.7
		100.0	%
Country/Region Summary**	% of Investments
United Kingdom		15.9	%
Japan		15.2
France		10.5
Germany		7.2
Taiwan		4.8
Other Developed***		4.6
Korea		4.5
China		4.3
Canada		4.2
India		3.7
Russia		3.6
Brazil		3.1
Spain		3.1
Turkey		2.8
Italy		2.7
Other Emerging****		2.6
Switzerland		1.9
Australia		1.2
Sweden		1.1
Netherlands		1.0
Norway		1.0
Thailand		1.0
		100.0	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

*** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Investments.

**** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Investments.

^ Rounds to 0.0%.

55

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	53,610,074	GMO Emerging Markets Fund, Class VI		445,499,714
	44,193,574	GMO International Equity Fund, Class IV		960,768,307
		TOTAL MUTUAL FUNDS (COST $1,579,702,169)		1,406,268,021
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	378,895	State Street Eurodollar Time Deposit, 0.01%, due 09/01/2015		378,895
		TOTAL SHORT-TERM INVESTMENTS (COST $378,895)		378,895
		TOTAL INVESTMENTS — 100.0% (Cost $1,580,081,064)		1,406,646,916
		Other Assets and Liabilities (net) — 0.00%		98,477
		TOTAL NET ASSETS — 100.0%		$1,406,745,393

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 70.

56 See accompanying notes to the financial statements.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		55.4	%
Short-Term Investments		33.8
Debt Obligations		10.6
Investment Funds		2.4
Rights/Warrants		2.2
Preferred Stocks		1.7
Futures Contracts**		0.1
Swap Contracts		0.2
Options Purchased		0.1
Written Options		(0.4	)
Forward Currency Contracts		(0.1	)
Other		(6.0	)
		100.0	%
Country Summary***	Debt Obligations as a % of Total Net Assets
United States		17.2	%
Spain		4.1
Iceland		3.9
Puerto Rico		3.1
Canada		1.5
Other Emerging****		1.5
		31.3	%
Country Summary***	Equity Investments as a % of Total Net Assets
United States		35.7	%
United Kingdom		9.4
Romania		5.0
Netherlands		4.3
Canada		2.1
South Korea		2.1
Argentina		1.2
Norway		0.8
		60.6	%
Industry Group Summary	% of Equity Investments*****
Diversified Financials		27.5	%
Software & Services		21.8
Automobiles & Components		16.8
Insurance		7.1
Media		6.1
Utilities		5.4
Technology Hardware & Equipment		4.2
Real Estate		3.9
Capital Goods		3.7
Energy		3.2
Banks		0.2
Telecommunication Services		0.1
		100.0	%

(a) GMO Special Opportunities SPC Ltd. is a 100% owned subsidiary of GMO Special Opportunities Fund. As such, the holdings of GMO Special Opportunities SPC Ltd. have been included with GMO Special Opportunities Fund.

* In the table below, derivative financial instruments, if any, are based on market values and unrealized appreciation/depreciation rather than notional amounts.

** Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments.

*** The table excludes short-term investments. The table excludes exposure through forward currency contracts, and includes exposure through derivative financial instruments, if any. The table takes into account the market values of securities and options and the notional amounts of swap contracts and other derivatives, if any. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

**** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Total Net Assets.

***** Investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, debt obligations, short-term investments and ETFs, if any. For a summary of derivative contract and ETF exposure, if any, see the Consolidated Schedule of Investments.

57

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 55.4%
		Argentina — 1.1%
	74,127	Cresud SA Sponsored ADR *		775,368
	94,900	Empresa Distribuidora Y Comercializadora Norte ADR *		1,244,139
	251,921	Pampa Energia SA Sponsored ADR *		4,015,620
	26,000	Telecom Argentina SA Sponsored ADR		417,560
	516,659	Transportadora de Gas del Sur SA ADR		2,195,801
	38,000	YPF SA Sponsored ADR		818,520
		Total Argentina		9,467,008
		Canada — 2.4%
	350,000	Alignvest Acquisition Corp – Class A *		2,596,534
	577,000	Canadian Natural Resources Ltd		12,965,190
	6,000,000	Jagercor Energy Corp * (a)		159,623
	1,059,500	Uranium Participation Corp *		4,203,854
		Total Canada		19,925,201
		Netherlands — 4.3%
	352,242	Cimpress NV *		24,649,895
	404,700	InterXion Holding NV *		11,104,968
				35,754,863
		Norway — 0.8%
	354,418	Aker ASA		6,375,928
		Romania — 2.6%
	6,657,175	Electrica SA		21,754,154
		South Korea — 0.5%
	30,000	Hyundai Motor Co		3,775,605
		United Kingdom — 9.4%
	535,827	Liberty Global Plc – Class A *		25,783,995
	3,162,689	Telecity Group Plc		52,350,084
				78,134,079
		United States — 34.3%
	2,015,300	Ally Financial, Inc. *		44,054,458
	400,000	American International Group, Inc.		24,136,000
	71,000	Equinix, Inc.		19,153,670
	130,000	Fannie Mae *		308,100
	130,000	Freddie Mac *		293,800
	2,341,580	General Motors Co.		68,936,115
	427,064	Global Eagle Entertainment, Inc. *		5,026,544
	180,000	Harris Corp.		13,827,600
	300,000	Hennessy Capital Acquisition Corp. II *		2,976,000
	1,387,351	Interactive Brokers Group, Inc. – Class A		55,383,052
	68,467	JG Wentworth Co. – Class A *		369,037
	190,000	Keysight Technologies, Inc. *		6,087,600
	500,000	Microsoft Corp.		21,760,000

Shares		Description	Value ($)
		United States — continued
	950,000	Mueller Water Products, Inc. – Class A		8,502,500
	300,000	Quinpario Acquisition Corp. 2 *		2,943,000
	410,667	Vectrus, Inc. *		10,205,075
		Total United States		283,962,551
		TOTAL COMMON STOCKS (COST $445,871,518)		459,149,389
		PREFERRED STOCKS — 1.7%
		Argentina — 0.0%
	11,115	Nortel Inversora SA ADR		181,397
		Total Argentina		181,397
		South Korea — 1.6%
	66,584	Hyundai Motor Co		5,621,970
	71,119	Hyundai Motor Co 2nd Preference		5,822,242
	7,252	Hyundai Motor Co Series 3		544,674
	31,656	Samsung SDI Co Ltd		1,342,422
		Total South Korea		13,331,308
		United States — 0.1%
	15,000	Fannie Mae *		116,250
	34,000	Freddie Mac *		246,500
		Total United States		362,750
		TOTAL PREFERRED STOCKS (COST $25,462,309)		13,875,455
		RIGHTS/WARRANTS — 2.2%
		Argentina — 0.8%
	70,000,000	Republic of Argentina GDP Linked, Expires 12/15/35 (b)		6,323,318
		Canada — 0.0%
	3,000,000	Jagercor Energy Corp Warrants, Expires 11/17/16 *(a)		—
	175,000	Alignvest Acquisition Corp, Expires 06/15/23 *		45,226
		Total Canada		45,226
		United States — 1.4%
	441,238	American International Group, Inc., Warrants, Expires 01/19/21 *		11,820,766
	225,000	General Motors Co. Warrants, Expires 12/31/15 *		13,298
		Total United States		11,834,064
		TOTAL RIGHTS/WARRANTS (COST $18,418,054)		18,202,608

58 See accompanying notes to the consolidated financial statements.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		INVESTMENT FUNDS — 2.4%
		Romania — 2.4%
	102,243,100	Fondul Proprietatea SA Fund		20,014,154
		TOTAL INVESTMENT FUNDS (COST $26,718,663)		20,014,154
		DEBT OBLIGATIONS — 10.6%
		Corporate Debt — 3.0%
		Canada — 1.5%
CAD	8,664,000	Tervita Corp, 144A, 9.00%, due 11/15/18		4,939,191
	8,925,000	Tervita Corp, 144A, 8.00%, due 11/15/18		7,229,250
		Total Canada		12,168,441
		United States — 1.5%
	1,000	Guitar Center, Inc., 144A, 6.50%, due 04/15/19		933
	6,000,000	Key Energy Services, Inc., 6.75%, due 03/01/21		2,520,000
	10,000,000	Newmont Mining Corp., 1.63%, due 07/15/17		9,950,000
		Total United States		12,470,933
		Total Corporate Debt		24,639,374
		Foreign Government Obligations — 0.7%
		Argentina — 0.7%
EUR	10,500,000	Republic of Argentina Par Bond, 2.26%, due 12/31/38(c)		5,861,834
		Municipal Obligations — 3.1%
		Puerto Rico — 3.1%
	1,020,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/22		729,300
	350,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.15%, due 07/01/38		222,250
	225,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.10%, due 07/01/34		145,687
	250,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/21		180,625
	2,135,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.13%, due 07/01/37		1,377,075
	4,520,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.25%, due 07/01/42		2,938,000
	7,190,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/33		4,799,325

Par Value ($)		Description	Value ($)
		Municipal Obligations — continued
		Puerto Rico — continued
	1,200,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.75%, due 07/01/37		804,000
	30,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.35%, due 07/01/27		20,250
	375,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.90%, due 07/01/20		263,437
	55,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, 5.80%, due 07/01/23		38,088
	90,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.50%, due 07/01/27		62,100
	45,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.25%, due 07/01/29		30,825
	10,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.00%, due 07/01/19		7,376
	195,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/23		134,063
	85,000	Puerto Rico Commonwealth Industrial Development Co., 6.70%, due 07/01/21		60,004
	100,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, 5.00%, due 07/01/17		77,005
	60,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, 5.80%, due 07/01/23		41,550
	800,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, 5.50%, due 07/01/28		556,000
	400,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.05%, due 07/01/28		269,000
	125,000	Puerto Rico Commonwealth Industrial Development Co., 5.15%, due 07/01/18		93,153
	7,745,000	Puerto Rico Commonwealth Industrial Development Co., 5.20%, due 07/01/23		5,162,507
	2,225,000	Puerto Rico Commonwealth Industrial Development Co., 5.25%, due 07/01/28		1,332,263
	1,195,000	Puerto Rico Commonwealth Industrial Development Co., (Capital Appreciation), due 07/01/17		877,608
	230,000	Puerto Rico Commonwealth Industrial Development Co., (Capital Appreciation), due 07/01/18		148,426
	685,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/44		464,087
	1,010,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/38		686,800

See accompanying notes to the consolidated financial statements. 59

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($)		Description	Value ($)
		Municipal Obligations — continued
		Puerto Rico — continued
	2,655,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/47		1,798,762
	1,740,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.25%, due 07/01/25		1,209,300
	355,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.00%, due 07/01/19		264,507
	630,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 4.00%, due 07/01/22		447,300
	90,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.10%, due 07/01/34		58,275
	210,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, 6.05%, due 07/01/28		141,225
		Total Puerto Rico		25,440,173
		Total Municipal Obligations		25,440,173
		Trade Claims — 3.8%
		Iceland — 3.8%
EUR	1,750,000	Kaupthing Bank Claim No 20091228-0985		518,041
EUR	1,600,000	Kaupthing Bank Claim No 20100105-0981		473,637
EUR	1,450,000	Kaupthing Bank Claim No 20091229-0244		429,234
EUR	1,400,000	Kaupthing Bank Claim No 20091229-0248		414,433
EUR	1,370,000	Kaupthing Bank Claim No 20100105-0941		405,552
EUR	1,000,000	Kaupthing Bank Claim No 20091230-0286		296,023
EUR	1,108,000	Kaupthing Bank Claim No 20091216-0371		327,994
	205,000	Kaupthing Bank Claim No 20100104 1265		47,663
	690,000	Kaupthing Bank Claim No 20091230 0959		160,425
	210,000	Kaupthing Bank Claim No 20100107 0359		48,825
	210,000	Kaupthing Bank Claim No 20100107 0209		48,825
	220,000	Kaupthing Bank Claim No 20100107 0246		51,150
	220,000	Kaupthing Bank Claim No 20100107 0361		51,150
	220,000	Kaupthing Bank Claim No 20100107 0330		51,150
	230,000	Kaupthing Bank Claim No 20100107 0146		53,475

Par Value ($)		Description	Value ($)
		Trade Claims — continued
		Iceland — continued
	223,000	Kaupthing Bank Claim No 20100106 0002		51,847
	230,000	Kaupthing Bank Claim No 20100107 0570		53,475
	270,000	Kaupthing Bank Claim No 20100107 0299		62,775
	270,000	Kaupthing Bank Claim No 20100107 0313		62,775
	350,000	Kaupthing Bank Claim No 20100107 0228		81,375
	306,000	Kaupthing Bank Claim No 20100107 0422		71,145
	350,000	Kaupthing Bank Claim No 20100107 0505		81,375
	390,000	Kaupthing Bank Claim No 20100107 0449		90,675
	400,000	Kaupthing Bank Claim No 20100107 0596		93,000
	430,000	Kaupthing Bank Claim No 20100107 0438		99,975
EUR	2,757,000	Kaupthing Bank Claim No 20100103 0456		816,136
EUR	5,647,000	Kaupthing Bank Claim No 20100103 0458		1,671,644
EUR	6,000,000	Kaupthing Bank Claim No 20100106 0732		1,776,140
	634,000	Kaupthing Bank Claim No 20091231 0065		147,405
	500,000	Kaupthing Bank Claim No 20100625 0011		116,250
	250,000	Kaupthing Bank Claim No 20100107 0520		58,125
	500,000	Kaupthing Bank Claim No 20100107 0538		116,250
	230,000	Kaupthing Bank Claim No 20100107 0085		53,475
	250,000	Kaupthing Bank Claim No 20100107 0185		58,125
	300,000	Kaupthing Bank Claim No 20100107 0464		69,750
	400,000	Kaupthing Bank Claim No 20100107 0202		93,000
EUR	500,000	Kaupthing Bank Claim No 20100105 0937		148,012
EUR	773,600	Kaupthing Bank Claim No 20091230 0521		229,004
EUR	200,000	Kaupthing Bank Claim No 20091230 0326		59,205
EUR	773,600	Kaupthing Bank Claim No 20091230 0695		229,004
EUR	750,000	Kaupthing Bank Claim No 20100106 0152		222,017
	260,000	Kaupthing Bank Claim No 20100107 0588		60,450

60 See accompanying notes to the consolidated financial statements.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Par Value ($)		Description	Value ($)
		Trade Claims — continued
		Iceland — continued
	250,000	Kaupthing Bank Claim No 20100107 0345		58,125
	260,000	Kaupthing Bank Claim No 20100107 0372		60,450
	260,000	Kaupthing Bank Claim No 20100107 0354		60,450
EUR	1,603,000	Kaupthing Bank Claim No 20100106 1330		474,525
EUR	4,521,250	Kaupthing Bank Claim No 20100104 1696		1,338,395
EUR	1,695,000	Kaupthing Bank Claim No 20100103 0455		501,760
EUR	442,000	Kaupthing Bank Claim No 20091230 0928		130,842
EUR	386,800	Kaupthing Bank Claim No 20091230 0619		114,502
EUR	2,500,000	Kaupthing Bank Claim No 20090918 0077		740,058
EUR	18,000,000	Kaupthing Bank Claim No 20091229 0462		5,328,420
EUR	7,500,000	Kaupthing Bank Claim No 20100106 1040		2,220,175
	12,000,000	Kaupthing Bank Claim No 20091227 0008		2,790,000
EUR	5,000,000	Kaupthing Bank Claim No 20100106 0847		1,480,117
	12,000,000	Kaupthing Bank Claim No 20100106 0246		2,790,000
	5,000,000	Kaupthing Bank Claim No 20091222 0394		1,162,500
	510,000	Kaupthing Bank Claim No 20100107 0499		118,575
	540,000	Kaupthing Bank Claim No 20100107 0339		125,550
	550,000	Kaupthing Bank Claim No 20100107 0396		127,875
	470,000	Kaupthing Bank Claim No 20100107 0713		109,275
	600,000	Kaupthing Bank Claim No 20100107 0542		139,500
	339,000	Kaupthing Bank Claim No 20100625 0003		78,817
	270,800	Kaupthing Bank Claim No 20091228 0770		62,961
	292,000	Kaupthing Bank Claim No 20091228 0998		67,890
	800,000	Kaupthing Bank Claim No 20100104 0298		186,000
	300,000	Kaupthing Bank Claim No 20091227 0450		69,750
	190,000	Kaupthing Bank Claim No 20100107 0495		44,175

Par Value ($) / Number of Contracts		Description	Value ($)
		Trade Claims — continued
		Iceland — continued
	196,000	Kaupthing Bank Claim No 20100106 1074		45,570
	730,000	Kaupthing Bank Claim No 20100107 0508		169,725
	200,000	Kaupthing Bank Claim No 20100107 0104		46,500
	200,000	Kaupthing Bank Claim No 20100107 0215		46,500
	200,000	Kaupthing Bank Claim No 20100107 0067		46,500
	200,000	Kaupthing Bank Claim No 20100107 0163		46,500
	200,000	Kaupthing Bank Claim No 20100107 0433		46,500
	200,000	Kaupthing Bank Claim No 20100107 0399		46,500
	200,000	Kaupthing Bank Claim No 20100107 0456		46,500
	230,000	Kaupthing Bank Claim No 20100107 0174		53,475
	300,000	Kaupthing Bank Claim No 20100107 0251		69,750
	520,000	Kaupthing Bank Claim No 20100105 1277		120,900
EUR	1,554,000	Kaupthing Bank Claim No 20100103 0409		460,020
	500,000	Kaupthing Bank Claim No 20100107 0115		116,250
	506,000	Kaupthing Bank Claim No 20100106 1137		117,645
	510,000	Kaupthing Bank Claim No 20100107 0173		118,575
		Total Iceland		32,028,083
		Total Trade Claims		32,028,083
		TOTAL DEBT OBLIGATIONS (COST $92,581,419)		87,969,464
		OPTIONS PURCHASED — 0.1%
		Equity Options — 0.1%
	500	Pilgrim’s Pride Corp., Call, Expires 01/15/16, Strike 40.00		2,500
	1,600	American International Group, Inc., Put, Expires 01/15/16, Strike 55.00		291,200
	1,000	American International Group, Inc., Put, Expires 01/15/16, Strike 50.00		96,000
		Total Equity Options		389,700
		TOTAL OPTIONS PURCHASED (COST $1,108,850)		389,700

See accompanying notes to the consolidated financial statements. 61

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 33.8%
		Money Market Funds — 1.0%
	7,984,784	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (d) (e)		7,984,784
		U.S. Government — 32.8%
	6,000,000	U.S. Treasury Bill, 0.00%, due 09/24/15 (f) (g)		6,000,012
	15,000,000	U.S. Treasury Bill, 0.01%, due 11/05/15 (f)		14,999,730
	40,000,000	U.S. Treasury Bill, 0.02%, due 09/03/15 (f)		39,999,920
	40,000,000	U.S. Treasury Bill, 0.04%, due 12/03/15 (f)		39,995,840
	83,000,001	U.S. Treasury Bill, 0.04%, due 12/17/15 (d) (f)		82,990,040
	45,000,000	U.S. Treasury Bill, 0.12%, due 12/24/15 (f)		44,982,540

Par Value ($)		Description	Value ($)
		U.S. Government — continued
	8,000,000	U.S. Treasury Bill, 0.13%, due 01/07/16 (f) (h)		7,996,249
	30,000,000	U.S. Treasury Bill, 0.15%, due 01/21/16 (f) (h)		29,982,060
	5,000,000	U.S. Treasury Bill, 0.16%, due 02/04/16 (d) (f) (h)		4,996,495
		Total U.S. Government		271,942,886
		TOTAL SHORT-TERM INVESTMENTS (COST $279,916,991)		279,927,670
		TOTAL INVESTMENTS — 106.2% (Cost $890,077,804)		879,528,440
		Other Assets and Liabilities (net) — (6.2%)		(50,959,234	)
		TOTAL NET ASSETS — 100.0%		$828,569,206

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/19/2015	BOA		CAD	3,200,000		USD	2,409,851	$	(22,202	)
10/19/2015	MSCI		CAD	3,200,000		USD	2,429,380		(2,673	)
10/26/2015	BOA		EUR	7,499,250		USD	8,406,922		(15,350	)
10/26/2015	DB		EUR	7,500,375		USD	8,384,857		(38,678	)
10/26/2015	GS		EUR	7,500,000		USD	8,379,493		(43,621	)
10/26/2015	MSCI		EUR	7,500,375		USD	8,403,945		(19,590	)
10/23/2015	BOA		RON	80,000,000		USD	19,716,088		(516,729	)
								$	(658,843	)

Futures Contracts ^(d)

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
25	Natural Gas	April 2020	$	199,438	$	(61,500	)
25	Natural Gas	March 2020		199,438		(61,500	)
25	Natural Gas	July 2020		204,500		(56,438	)
25	Natural Gas	August 2020		204,188		(56,750	)
25	Natural Gas	February 2020		217,562		(43,375	)
25	Natural Gas	May 2020		201,188		(59,750	)
25	Natural Gas	September 2020		206,188		(54,750	)
25	Natural Gas	November 2020		222,125		(38,813	)
25	Natural Gas	October 2020		211,063		(49,875	)
25	Natural Gas	June 2020		203,000		(57,938	)
25	Natural Gas	December 2019		222,375		(38,562	)
25	Natural Gas	January 2020		221,312		(39,625	)
133	Uranium Futures	January 2017		1,321,687		155,683
133	Uranium Futures	June 2017		1,368,237		202,233
133	Uranium Futures	March 2017		1,339,975		173,971
133	Uranium Futures	February 2017		1,331,662		165,658
133	Uranium Futures	May 2017		1,359,925		193,921
133	Uranium Futures	April 2017		1,349,950		183,946
			$	10,583,813	$	456,536

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

62 See accompanying notes to the consolidated financial statements.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Written Options

Equity Options

Number of Contracts		Expiration Date	Description	Premiums		Market Value
Put	1,600	01/15/2016	American International Group, Inc., Strike 45.00	$	220,254	$	(97,600	)
Put	1,440	01/15/2016	Canadian Natural Resources Ltd., Strike 28.00		679,178		(950,400	)
Put	1,400	01/15/2016	Canadian Natural Resources Ltd., Strike 32.00		535,563		(1,442,000	)
Put	440	01/15/2016	Cimpress NV, Strike 70.00		361,522		(314,600	)
Call	437	01/15/2016	Pilgrim’s Pride Corp., Strike 20.00		409,312		(367,080	)
				$	2,205,829	$	(3,171,680	)

Swap Contracts

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) ^	Annual Premium	Implied Credit Spread (1)	Reference Entity	Maximum Potential Amount of Future Payments by the Fund Under the Contract  (2)		Net Unrealized Appreciation/ (Depreciation)
	35,000,000	USD	12/20/2015	GS	(Pay)	5.00%	0.75%	Ally Financial, Inc.		N/A	$	(452,380	)
	50,000,000	USD	12/20/2016	CSI	(Pay)	1.00%	0.15%	AIG		N/A		(560,856	)
	5,000,000	USD	9/20/2017	BCLY	(Pay)	1.00%	0.64%	Newmont Mining Corp.		N/A		(36,307	)
	5,000,000	USD	9/20/2017	BCLY	(Pay)	1.00%	0.64%	Newmont Mining Corp.		N/A		(36,307	)
	5,000,000	EUR	6/20/2019	JPM	(Pay)	1.00%	1.00%	Abesm		N/A		395
	5,000,000	USD	12/20/2019	CSI	(Pay)	1.00%	0.44%	Tyson Foods		N/A		(118,252	)
	10,000,000	USD	12/20/2019	GS	(Pay)	1.00%	1.02%	GATX Corp.		N/A		9,340
	10,000,000	USD	12/20/2019	GS	(Pay)	1.00%	0.44%	Ryder System		N/A		(236,044	)
	15,000,000	EUR	3/20/2020	BCLY	(Pay)	1.00%	2.11%	Banco Santander S.A.		N/A		816,666
	10,000,000	EUR	3/20/2020	JPM	(Pay)	1.00%	1.08%	Abesm		N/A		38,206
	10,000,000	USD	3/20/2020	JPM	(Pay)	1.00%	1.09%	GATX Corp.		N/A		41,321
											$	(534,218	)
								Premiums to (Pay) Receive			$	2,601,220

^ Receive - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(Pay) - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of August 31, 2015, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e., higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

See accompanying notes to the consolidated financial statements. 63

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Notes to Schedule of Investments:

* Non-income producing security.

(a) Affiliated company (Note 10).

(b) Security is linked to Argentina Republic Gross Domestic Product (GDP). Security does not pay principal over life of security or at expiration. Payments are based on growth of Argentina GDP, subject to certain conditions.

(c) Security is in default.

(d) All or a portion of this security is owned by GMO Special Opportunities SPC Ltd., which is a 100% owned subsidiary of GMO Special Opportunities Fund.

(e) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

(f) The rate shown represents yield-to-maturity.

(g) Rate rounds to 0.00%.

(h) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 70.

64 See accompanying notes to the consolidated financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		62.6	%
Short-Term Investments		17.4
Debt Obligations		16.6
Preferred Stocks		1.8
Investment Funds		1.0
Loan Participations		0.1
Forward Currency Contracts		0.0	^
Loan Assignments		0.0	^
Rights/Warrants		0.0	^
Reverse Repurchase Agreements		(0.1	)
Swap Contracts		(0.1	)
Written/Credit Linked Options		(0.1	)
Other		0.8
		100.0	%
Country Summary**	Debt Obligations as a % of Total Net Assets
United States		9.7	%
Other Emerging***		5.3
		15.0	%
Country Summary**	Equity Investments as a % of Total Net Assets
United States		19.6	%
United Kingdom		7.0
Japan		6.7
France		4.6
Other Developed****		4.5
Germany		3.2
Taiwan		2.7
Korea		2.6
China		2.4
Other Emerging***		2.1
India		2.1
Russia		2.1
Canada		1.8
Brazil		1.8
Euro Region*****		1.7
Turkey		1.6
Spain		1.3
Italy		1.2
		69.0	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values or unrealized appreciation/depreciation rather than notional amounts.

** The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities may represent a

relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The tables are not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

*** The “Emerging” exposure is primarily comprised of: Angola, Argentina, Azerbaijan, Brazil, Chile, China, Colombia, Congo, Costa Rica, Croatia, Czech Republic, Dominican Republic, Ecuador, Egypt, Greece, Hungary, India, Indonesia, Iraq, Korea, Malaysia, Mexico, Morocco, Pakistan, Panama, Peru, Philippines, Poland, Russia, Serbia, South Africa, Sri Lanka, Taiwan, Thailand, Tunisia, Turkey, Ukraine, Uruguay, Venezuela, and Vietnam.

*** “Other Emerging” is comprised of emerging countries that each represents less than 1.0% of Total Net Assets.

**** “Other Developed” is comprised of developed countries that each represents less than 1.0% of Total Net Assets.

***** “Euro Region” is comprised of derivative financial instruments attributed to the eurozone and not a particular country.

^ Rounds to 0.00%.

65

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 90.6%
		Affiliated Issuers — 90.6%
	3,651,217	GMO Debt Opportunities Fund, Class VI		90,696,221
	11,470,954	GMO Emerging Country Debt Fund, Class IV		104,385,685
	49,044,452	GMO Emerging Markets Fund, Class VI		407,559,396
	30,825,154	GMO International Equity Fund, Class IV		670,138,843
	6,505,415	GMO Risk Premium Fund, Class VI		60,630,464
	28,157,460	GMO U.S. Equity Allocation Fund, Class VI		416,167,256
	10,339,306	GMO U.S. Treasury Fund		258,482,639
		TOTAL MUTUAL FUNDS (COST $2,166,113,014)		2,008,060,504
		DEBT OBLIGATIONS — 9.4%
		Asset-Backed Securities — 0.0%
	527,835	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.50%, due 05/28/39		299,506
		U.S. Government — 9.4%
	18,168,773	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/24 (a)		17,429,958
	67,008,541	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 (a)		64,551,539
	26,784,725	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/24 (a)		26,809,126
	31,706,647	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		35,272,408
	1,946,378	U.S. Treasury Inflation Indexed Bond, 2.00%, due 01/15/26 (a)		2,199,280
	3,984,927	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/25 (a)		4,616,080
	2,682,337	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/27 (a)		3,159,219
	29,004,534	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 (a)		35,021,467
	12,626,251	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (a)		17,518,430
		Total U.S. Government		206,577,507
		TOTAL DEBT OBLIGATIONS (COST $208,120,297)		206,877,013

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	168,114	State Street Institutional Treasury Money Market Fund-Premier Class, 0.00% (b)		168,114
		TOTAL SHORT-TERM INVESTMENTS (COST $168,114)		168,114
		TOTAL INVESTMENTS — 100.0% (Cost $2,374,401,425)		2,215,105,631
		Other Assets and Liabilities (net) — 0.00%		844,456
		TOTAL NET ASSETS — 100.0%		$2,215,950,087

Notes to Schedule of Investments:

(a) Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2).

(b) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

66 See accompanying notes to the financial statements.

GMO Systematic Global Macro Opportunity Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

August 31, 2015 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Short-Term Investments		52.7	%
Futures Contracts**		47.0
Forward Currency Contracts		0.2
Debt Obligations		0.1
Swap Contracts		(0.0	)^
		100.0	%

(a) GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO Systematic Global Macro Opportunity Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO Systematic Global Macro Opportunity Fund.

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Futures concentrations use the net notional contract amounts for purposes of computing asset class exposures. See Schedule of Investments for more information.

** Some or all is comprised of commodity exposure. See the Consolidated Schedule of Investments.

^ Rounds to 0.0%.

67

GMO Systematic Global Macro Opportunity Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2015 (Unaudited)

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 39.5%
		Affiliated Issuers — 39.5%
	115,436	GMO Debt Opportunities Fund, Class VI		2,867,419
	22,357,983	GMO U.S. Treasury Fund		558,949,578
		Total United States		561,816,997
		TOTAL MUTUAL FUNDS (COST $562,086,040)		561,816,997
		SHORT-TERM INVESTMENTS — 60.5%
		Money Market Funds — 2.6%
	22,095,993	SSgA USD Liquidity Fund – Class S2 Shares (a)		22,095,993
	14,455,046	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.00% (b)		14,455,046
		Total Money Market Funds		36,551,039
		U.S. Government — 57.9%
	111,288,000	U.S. Treasury Bill, 0.00%, due 10/08/15 (a) (c) (d) (e)		111,288,000
	45,066,000	U.S. Treasury Bill, 0.01%, due 09/10/15 (a) (c) (e)		45,065,820
	65,000,000	U.S. Treasury Bill, 0.13%, due 01/07/16 (a) (c) (e)		64,969,515
	122,000,000	U.S. Treasury Bill, 0.01%, due 11/12/15 (a) (c)		121,998,780
	190,000,000	U.S. Treasury Bill, 0.22%, due 02/18/16 (a) (c)		189,807,720
	20,000,000	U.S. Treasury Bill, 0.12%, due 12/24/15 (c)		19,992,240
	50,000,000	U.S. Treasury Bill, 0.04%, due 12/17/15 (a) (c)		49,994,000
	70,000,000	U.S. Treasury Bill, 0.03%, due 10/22/15 (a) (c)		69,997,340
	42,000,000	U.S. Treasury Bill, 0.00%, due 10/15/15 (a) (c) (d)		42,000,000
	100,000,000	U.S. Treasury Bill, 0.00%, due 09/17/15 (a) (c) (d)		99,999,900
	8,000,000	U.S. Treasury Bill, 0.00%, due 09/24/15 (a) (c) (d)		8,000,016
		Total U.S. Government		823,113,331
		TOTAL SHORT-TERM INVESTMENTS (COST $859,627,947)		859,664,370
		TOTAL INVESTMENTS — 100.0% (Cost $1,421,713,987)		1,421,481,367
		Other Assets and Liabilities (net) — 0.00%		609,584
		TOTAL NET ASSETS — 100.0%		$1,422,090,951

A summary of outstanding financial instruments at August 31, 2015 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
10/09/2015	JPM		USD	1,726,626		AUD	2,353,408	$	(54,996	)
10/09/2015	SSB		AUD	206,288,731		USD	151,228,412		4,701,046
								$	4,646,050

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
1,156	FTSE 100	September 2015	$	109,885,813	$	(8,281,475	)
3,409	U.S. Treasury Note 10 Yr. (CBT)	December 2015		433,156,062		(4,807	)
5,739	Euro STOXX 50 Futures	September 2015		209,786,120		(9,154,918	)
			$	752,827,995	$	(17,441,200	)
Sales
395	S&P TSX 60 Index	September 2015	$	48,338,143	$	1,426,084
347	Japanese Government Bond 10 Yr. (OSE)	September 2015		423,666,960		(3,778,593	)
157	SPI 200	September 2015		14,397,963		47,737
74	S&P 500 E-Mini	September 2015		7,286,040		(85,982	)
159	Gold 100 OZ (a)	December 2015		18,006,750		373,494
			$	511,695,856	$	(2,017,260	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2015, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

68 See accompanying notes to the financial statements.

GMO Systematic Global Macro Opportunity Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Notes to Schedule of Investments:

(a) All or a portion of this security is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO Systematic Global Macro Opportunity Fund.

(b) The rate disclosed is the 7 day net yield as of August 31, 2015. Note: Yield rounds to 0.00%.

(c) The rate shown represents yield-to-maturity.

(d) Rate rounds to 0.00%.

(e) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 70.

See accompanying notes to the financial statements. 69

GMO Trust Funds

Schedule of Investments — (Continued)

August 31, 2015 (Unaudited)

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

ADR - American Depositary Receipt

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

CDO - Collateralized Debt Obligation

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

CP - Counterparty

DKK CIBOR - Copenhagen Interbank Offered Rate denominated in Danish Krone.

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.

GDP - Gross Domestic Product

GDR - Global Depository Receipt

JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen.

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depository Receipt

MSCI - Morgan Stanley Capital International

OJSC - Open Joint-Stock Company

OTC - Over-the-Counter

REIT - Real Estate Investment Trust

SIFMA - Securities Industry and Financial Markets Association

SONIA - Sterling Overnight Interbank Average

TIIE - Tasa de Interes Interbacaria de Equilibrio - 28 - Day Interbank Equilibrium

Interest Rate - Mexico

USD LIBOR - London Interbank Offered Rate denominated in United States

Dollars.

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the current interest rates at August 31,

2015, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman &

Co.

BCI - Barclays Capital Inc.

BCLY - Barclays Bank Plc

BOA - Bank of America, N.A.

CITI - Citibank N.A.

CSI - Credit Suisse International

CSS - Credit Suisse Securities (USA) LLC

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co.

International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

MXN - Mexican Peso

NOK - Norwegian Krone

USD - United States Dollar

ZAR - South African Rand

70 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited)

	Alpha Only Fund			Benchmark-Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	10,006,304		$	20,345,140,357		$	4,258,608,664		$	3,768,277,335
Investments in unaffiliated issuers, at value (Note 2)(b)		1,487,016,868			11,392,705			386,192,086			1,144,264
Foreign currency, at value (Note 2)(c)		397,317			—			—			—
Receivable for investments sold		83,924,052			60,170,301			4,853,958			886,936
Receivable for Fund shares sold		—			430,000			80,870			5,260
Dividends receivable		3,750,064			—			874,339			23,830
Dividend withholding taxes receivable		746,513			—			—			—
Receivable for foreign currency sold		20,338			—			—			—
Receivable for variation margin on open futures contracts (Note 4)		12,950,255			—			—			—
Due from broker (Note 2)		65,344,119			—			—			—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		106,299			2,937,219			18,042			19,003
Miscellaneous receivable		6,304			107,547			8,160			1,436
Total assets		1,664,268,433			20,420,178,129			4,650,636,119			3,770,358,064
Liabilities:
Due to custodian		65,302,262			—			—			—
Payable for investments purchased		6,304			—			78,618			23,725
Payable for Fund shares repurchased		18,104			60,181,558			4,614,069			1,030,984
Payable to affiliate for (Note 5):
Management fee		737,013			11,594,772			—			—
Supplemental support fee – Class MF		—			974,087			—			—
Shareholder service fee		148,141			1,082,815			—			—
Payable to agents unaffiliated with GMO		341			2,232			527			496
Payable to Trustees and related expenses		7,581			31,071			8,733			10,385
Accrued expenses		314,564			298,539			105,607			128,139
Total liabilities		66,534,310			74,165,074			4,807,554			1,193,729
Net assets	$	1,597,734,123		$	20,346,013,055		$	4,645,828,565		$	3,769,164,335
Net assets consist of:
Paid-in capital	$	2,445,075,027		$	21,786,030,150		$	5,219,585,352		$	4,178,358,231
Accumulated undistributed net investment income		19,242,681			—			97,233,757			65,507,351
Distributions in excess of net investment income		—			(9,544,499	)		—			—
Accumulated net realized (loss)		(873,456,622	)		(120,341,242	)		(116,862,792	)		(82,277,464	)
Net unrealized appreciation (depreciation)		6,873,037			(255,640,905	)		(554,127,752	)		(392,423,783	)
Accumulated deconsolidation impact (Note 2)		—			(1,054,490,449	)		—			—
	$	1,597,734,123		$	20,346,013,055		$	4,645,828,565		$	3,769,164,335
Net assets attributable to:
Class III shares	$	11,568,439		$	6,260,635,153		$	4,645,828,565		$	3,769,164,335
Class IV shares	$	1,586,165,684		$	3,024,173,940		$	—		$	—
Class MF shares	$	—		$	11,061,203,962		$	—		$	—
Shares outstanding:
Class III		525,705			253,651,055			256,059,759			379,621,216
Class IV		72,019,911			122,557,742			—			—
Class MF		—			448,019,691			—			—
Net asset value per share:
Class III	$	22.01		$	24.68		$	18.14		$	9.93
Class IV	$	22.02		$	24.68		$	—		$	—
Class MF	$	—		$	24.69		$	—		$	—
(a)      Cost of investments – affiliated issuers:	$	10,006,304		$	20,600,781,262		$	4,810,655,361		$	4,160,675,909
(b)      Cost of investments – unaffiliated issuers:	$	1,558,347,244		$	11,392,705		$	388,273,141		$	1,169,473
(c)      Cost of foreign currency:	$	402,366		$	—		$	—		$	—

See accompanying notes to the financial statements. 71

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Consolidated Implementation Fund		International Developed Equity Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	1,585,628,397	$	3,184,922,084	$	—	$	1,076,195,238
Investments in unaffiliated issuers, at value (Note 2)(b)		544,330		1,055,528		16,299,668,712		369,656
Foreign currency, at value (Note 2)(c)		—		—		42,448,706		—
Receivable for investments sold		—		—		354,387,648		—
Cash		—		—		11,325,957		—
Receivable for Fund shares sold		—		—		—		19,685
Dividends and interest receivable		—		—		31,226,172		—
Dividend withholding taxes receivable		—		—		12,338,440		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		205,085,201		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		107,703		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		—		3,928,395		—
Due from broker (Note 2)		—		—		585,058,490		—
Receivable for open OTC swap contracts (Note 4)		—		—		22,213,778		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		13,051		16,523		666,438		12,400
Miscellaneous receivable		—		—		125,703		14
Total assets		1,586,185,778		3,185,994,135		17,568,581,343		1,076,596,993
Liabilities:
Investments sold short, at value (Note 2)(d)		—		—		428,415,652		—
Payable for investments purchased		—		—		409,659,767		—
Payable for Fund shares repurchased		—		—		60,290,882		2,213
Payable to affiliate for (Note 5):
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		3,855,743		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		151,118,789		—
Interest payable for open OTC swap contracts		—		—		1,213,587		—
Interest and dividend payable for short sales		—		—		1,776,198		—
Payable for open OTC swap contracts (Note 4)		—		—		26,028,361		—
Written options outstanding, at value (Note 4)(e)		—		—		164,911,849		—
Payable to agents unaffiliated with GMO		186		403		1,643		124
Payable to Trustees and related expenses		3,010		6,938		21,308		1,480
Accrued expenses		71,695		99,519		1,694,588		61,168
Total liabilities		74,891		106,860		1,248,988,367		64,985
Net assets	$	1,586,110,887	$	3,185,887,275	$	16,319,592,976	$	1,076,532,008
(a)        Cost of investments – affiliated issuers:	$	1,720,312,351	$	3,742,666,724	$	—	$	1,134,494,172
(b)        Cost of investments – unaffiliated issuers:	$	544,330	$	1,055,528	$	17,458,285,279	$	369,656
(c)        Cost of foreign currency:	$	—	$	—	$	42,729,995	$	—
(d)        Proceeds from securities sold short:	$	—	$	—	$	448,526,625	$	—
(e)        Premiums on options:	$	—	$	—	$	188,941,370	$	—

72 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Net assets consist of:
Paid-in capital	$	1,720,796,587		$	3,731,827,429		$	17,711,873,675		$	1,265,934,139
Accumulated undistributed net investment income		5,586,840			9,983,756			—			4,456,951
Distributions in excess of net Investment income		—			—			(37,281,336	)		—
Accumulated net realized gain (loss)		(5,588,586	)		1,820,730			(193,306,371	)		(135,560,148	)
Net unrealized depreciation		(134,683,954	)		(557,744,640	)		(1,161,692,992	)		(58,298,934	)
	$	1,586,110,887		$	3,185,887,275		$	16,319,592,976		$	1,076,532,008
Net assets attributable to:
Core Class shares	$	—		$	—		$	16,319,592,976		$	—
Class III shares	$	1,586,110,887		$	3,185,887,275		$	—		$	1,076,532,008
Shares outstanding:
Core Class		—			—			1,306,837,224			—
Class III		80,787,880			434,444,281			—			69,904,614
Net asset value per share:
Core Class	$	—		$	—		$	12.49		$	—
Class III	$	19.63		$	7.33		$	—		$	15.40

See accompanying notes to the financial statements. 73

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited) — (Continued)

	International Equity Allocation Fund		Consolidated Special Opportunities Fund		Strategic Opportunities Allocation Fund		Consolidated Systematic Global Macro Opportunity Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	1,406,268,021	$	159,623	$	2,008,060,504	$	561,816,997
Investments in unaffiliated issuers, at value (Note 2)(b)		378,895		879,368,817		207,045,127		859,664,370
Foreign currency, at value (Note 2)(c)		—		118,078		—		—
Receivable for investments sold		5,820,461		6,510,013		—		—
Receivable for Fund shares sold		—		—		12,555,750		—
Dividends and interest receivable		—		1,647,964		453,492		209,079
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		—		4,701,046
Receivable for variation margin on open futures contracts (Note 4)		—		—		—		23,850
Due from broker (Note 2)		—		423		—		—
Receivable for open OTC swap contracts (Note 4)		—		905,928		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		13,020		—		12,896		35,067
Miscellaneous receivable		15,342		8,818		5,428		—
Total assets		1,412,495,739		888,719,664		2,228,133,197		1,426,450,409
Liabilities:
Payable for investments purchased		—		51,014,691		3,424,608		43,720
Payable for Fund shares repurchased		5,682,001		1,763,505		8,661,986		1,014,655
Accrued foreign capital gains tax payable (Note 2)		—		457,299		—		—
Payable to affiliate for (Note 5):
Management fee		—		792,401		—		881,886
Shareholder service fee		—		39,620		—		188,974
Payable for variation margin on open futures contracts (Note 4)		—		23,863		—		939,655
Unrealized depreciation on open forward currency contracts (Note 4)		—		658,843		—		54,996
Interest payable for open OTC swap contracts		—		598,894		—		—
Due to broker (Note 2)		—		—		—		1,091,496
Payable for open OTC swap contracts (Note 4)		—		1,440,146		—		—
Written options outstanding, at value (Note 4)(d)		—		3,171,680		—		—
Payable to agents unaffiliated with GMO		155		93		248		155
Payable to Trustees and related expenses		2,648		1,040		4,312		2,406
Accrued expenses		65,542		188,383		91,956		141,515
Total liabilities		5,750,346		60,150,458		12,183,110		4,359,458
Net assets	$	1,406,745,393	$	828,569,206	$	2,215,950,087	$	1,422,090,951
(a)      Cost of investments – affiliated issuers:	$	1,579,702,169	$	317,181	$	2,166,113,014	$	562,086,040
(b)      Cost of investments – unaffiliated issuers:	$	378,895	$	889,760,623	$	208,288,411	$	859,627,947
(c)      Cost of foreign currency:	$	—	$	124,098	$	—	$	—
(d)      Premiums on options	$	—	$	2,205,829	$	—	$	—

74 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2015 (Unaudited) — (Continued)

	International Equity Allocation Fund			Consolidated Special Opportunities Fund			Strategic Opportunities Allocation Fund			Consolidated Systematic Global Macro Opportunity Fund
Net assets consist of:
Paid-in capital	$	1,617,612,547		$	838,745,988		$	2,373,113,628
Accumulated undistributed net investment income		5,207,073			674,467			41,127,637
Accumulated net realized loss		(42,640,079	)		(896,499	)		(38,995,384	)
Net unrealized depreciation		(173,434,148	)		(9,954,750	)		(159,295,794	)
	$	1,406,745,393		$	828,569,206		$	2,215,950,087
Net assets attributable to:
Class III shares	$	1,406,745,393		$	—		$	2,215,950,087		$	1,422,090,951
Class VI shares	$	—		$	828,569,206		$	—		$	—
Shares outstanding:
Class III		155,396,540			—			116,508,989			42,802,843
Class VI		—			42,356,778			—			—
Net asset value per share:
Class III	$	9.05		$	—		$	19.02		$	33.22
Class VI	$	—		$	19.56		$	—		$	—

See accompanying notes to the financial statements. 75

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2015 (Unaudited)

				Benchmark-Free Allocation Fund
	Alpha Only Fund			Period Ended July 31, 2015*			Period from August 1, 2015 to August 31, 2015			Total Period Ended August 31, 2015			Benchmark- Free Fund			Global Asset Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	6,304		$	56,942,754		$	—		$	56,942,754		$	102,031,991		$	74,315,270
Dividends from unaffiliated issuers (Net of withholding tax)(a)		32,695,259			139,050,345			—			139,050,345			—			—
Interest		106,956			21,507,900			166			21,508,066			245,535			18,925
Total investment income		32,808,519			217,500,999			166			217,501,165			102,277,526			74,334,195
Expenses:
Management fee (Note 5)		6,759,786			60,323,222			11,595,615			71,918,837			—			—
Shareholder service fee – Class III (Note 5)		19,111			4,013,748			819,651			4,833,399			—			—
Shareholder service fee – Class IV (Note 5)		1,339,217			1,511,496			263,291			1,774,787			—			—
Supplemental support fee – Class MF (Note 5)		—			5,093,167			974,087			6,067,254			—			—
Audit and tax fees		52,260			121,883			7,967			129,850			30,331			35,810
Custodian and fund accounting agent fees		514,538			1,878,633			8,184			1,886,817			29,072			34,123
Legal fees		28,152			249,407			27,063			276,470			37,727			36,432
Interest expense (Note 2)		—			538,218			—			538,218			—			—
Dividend expense on short sales		—			4,377,032			—			4,377,032			—			—
Registration fees		2,944			4,131			837			4,968			—			2,760
Transfer agent fees		19,779			—			—			—			—			—
Trustees fees and related expenses (Note 5)		18,584			171,513			20,026			191,539			27,968			27,048
Miscellaneous		23,759			98,559			8,153			106,712			12,696			14,720
Total expenses		8,778,130			78,381,009			13,724,874			92,105,883			137,794			150,893
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(623,745	)		(2,262,870	)		(49,662	)		(2,312,532	)		(106,323	)		(120,901	)
Indirectly incurred fees waived or borne by GMO (Note 5)		—			(12,570,733	)		(2,177,520	)		(14,748,253	)		—			—
Shareholder service fee waived (Note 5)		—			(2,243,179	)		(381,479	)		(2,624,658	)		—			—
Supplemental support fee waived – Class MF (Note 5)		—			(1,826,409	)		(333,958	)		(2,160,367	)		—			—
Net expenses		8,154,385			59,477,818			10,782,255			70,260,073			31,471			29,992
Net investment income (loss)		24,654,134			158,023,181			(10,782,089	)		147,241,092			102,246,055			74,304,203
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		105,444,893			145,285,827			—			145,285,827			—			20,037
Investments in securities sold short		—			(14,418,101	)		—			(14,418,101	)		—			—
Investments in affiliated issuers		—			(49,132,344	)		21,445,934			(27,686,410	)		(129,729,104	)		(23,302,992	)
Realized gain distributions from affiliated issuers (Note 10)		—			—			—			—			33,669,132			29,294,979
Futures contracts		(128,541,042	)		(42,066,606	)		—			(42,066,606	)		—			—
Written options		—			(90,893,529	)		—			(90,893,529	)		—			—
Swap contracts		—			(98,393,961	)		—			(98,393,961	)		—			—
Foreign currency, forward contracts and foreign currency related transactions		(282,196	)		23,473,548			—			23,473,548			—			—
Net realized gain (loss)		(23,378,345	)		(126,145,166	)		21,445,934			(104,699,232	)		(96,059,972	)		6,012,024
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (Net of foreign capital gains tax) (Note 2)(b)		(250,614,212	)		(699,761,100	)		486,757,388			(213,003,712	)		(2,081,055	)		4,336
Investments in affiliated issuers		—			(11,645,639	)		(222,643,474	)		(234,289,113	)		(393,608,861	)		(391,177,684	)
Investments in securities sold short		—			39,166,362			532,568			39,698,930			—			—
Futures contracts		199,388,449			(5,468,290	)		39,974			(5,428,316	)		—			—
Written options		—			10,815,730			(29,940,131	)		(19,124,401	)		—			—
Swap contracts		—			(68,872,915	)		13,397,566			(55,475,349	)		—			—
Foreign currency, forward contracts and foreign currency related transactions		46,777			(14,717,946	)		(31,241,736	)		(45,959,682	)		—			—
Net unrealized gain (loss)		(51,178,986	)		(750,483,798	)		216,902,155			(533,581,643	)		(395,689,916	)		(391,173,348	)
Net realized and unrealized gain (loss)		(74,557,331	)		(876,628,964	)		238,348,089			(638,280,875	)		(491,749,888	)		(385,161,324	)
Net increase (decrease) in net assets resulting from operations	$	(49,903,197	)	$	(718,605,783	)	$	227,566,000		$	(491,039,783	)	$	(389,503,833	)	$	(310,857,121	)
(a) Withholding tax:	$	1,797,215		$	16,609,487		$	—		$	16,609,487		$	—		$	—
(b) Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	(15,729	)	$	(163,704	)	$	—		$	(163,704	)	$	—		$	—
* Amounts are consolidated through July 31, 2015 (Note 2 – Basis of presentation and principles of consolidation).

76 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2015 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	5,981,760		$	12,087,250		$	—		$	4,827,315
Interest		56			89			27,109,042			56
Dividends from unaffiliated issuers (Net of withholding tax)(a)		—			—			156,436,131			—
Total investment income		5,981,816			12,087,339			183,545,173			4,827,371
Expenses:
Interest expense (Note 2)		—			—			572,549			—
Audit and tax fees		29,502			29,502			110,120			29,502
Custodian, fund accounting agent and transfer agent fees		26,498			28,828			2,457,922			28,582
Dividend expense on short sales		—			—			6,153,230			—
Legal fees		12,880			28,432			151,336			8,464
Registration fees		1,104			1,472			—			1,288
Trustees fees and related expenses (Note 5)		9,752			20,976			87,400			6,256
Miscellaneous		7,609			11,592			58,339			5,888
Total expenses		87,345			120,802			9,590,896			79,980
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(76,240	)		(97,154	)		(2,684,967	)		(72,988	)
Net expenses		11,105			23,648			6,905,929			6,992
Net investment income (loss)		5,970,711			12,063,691			176,639,244			4,820,379
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			—			(115,339,251	)		—
Investments in affiliated issuers		6,683,145			(13,884,739	)		—			8,849,972
Realized gain distributions from affiliated issuers (Note 10)		25,817,957			47,304,280			—			—
Futures contracts		—			—			(42,231,173	)		—
Written options		—			—			26,469,155			—
Swap contracts		—			—			(73,049,133	)		—
Foreign currency, forward contracts and foreign currency related transactions		—			—			22,222,287			—
Net realized gain (loss)		32,501,102			33,419,541			(181,928,115	)		8,849,972
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (Net of foreign capital gains tax) (Note 2)(b)		—			—			(1,371,623,958	)		—
Investments in affiliated issuers		(180,000,023	)		(389,061,084	)		—			(117,780,367	)
Investments in securities sold short		—			—			59,809,903			—
Futures contracts		—			—			(5,399,348	)		—
Written options		—			—			4,905,120			—
Swap contracts		—			—			(115,529,580	)		—
Foreign currency, forward contracts and foreign currency related transactions		—			—			(138,817	)		—
Net unrealized gain (loss)		(180,000,023	)		(389,061,084	)		(1,427,976,680	)		(117,780,367	)
Net realized and unrealized gain (loss)		(147,498,921	)		(355,641,543	)		(1,609,904,795	)		(108,930,395	)
Net increase (decrease) in net assets resulting from operations	$	(141,528,210	)	$	(343,577,852	)	$	(1,433,265,551	)	$	(104,110,016	)
(a) Withholding tax:	$	—		$	—		$	17,767,346		$	—
(b) Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	—		$	(163,704	)	$	—

See accompanying notes to the financial statements. 77

GMO Trust Funds

Statements of Operations — Six Months Ended August 31, 2015 (Unaudited) — (Continued)

	International Equity Allocation Fund			Consolidated Special Opportunities Fund			Strategic Opportunities Allocation Fund			Consolidated Systematic Global Macro Opportunity Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	6,000,749		$	—		$	45,717,865		$	233,385
Dividends from unaffiliated issuers (Net of withholding tax)(a)		—			5,856,154			—			—
Interest		45			2,296,226			136,713			409,739
Total investment income		6,000,794			8,152,380			45,854,578			643,124
Expenses:
Management fee (Note 5)		—			4,766,655			—			5,335,991
Shareholder service fee – Class VI (Note 5)		—			238,333			—			1,143,427
Audit and tax fees		29,502			63,738			28,473			40,744
Custodian, fund accounting agent and transfer agent fees		26,773			225,698			26,868			135,568
Legal fees		11,592			362,792			18,032			14,720
Registration fees		2,392			2,760			1,472			—
Trustees fees and related expenses (Note 5)		8,832			4,600			13,616			8,280
Miscellaneous		7,176			21,159			8,832			28,152
Total expenses		86,267			5,685,735			97,293			6,706,882
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(76,515	)		—			(82,205	)		(214,585	)
Indirectly incurred fees waived or borne by GMO (Note 5)		—			—			—			(3,596	)
Shareholder service fee waived (Note 5)		—			—			—			(791	)
Net expenses		9,752			5,685,735			15,088			6,487,910
Net investment income (loss)		5,991,042			2,466,645			45,839,490			(5,844,786	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (Net of foreign capital gains tax) (Note 2)(b)		—			8,751,647			254			94,250
Investments in affiliated issuers		16,390,940			—			(44,053,654	)		—
Realized gain distributions from affiliated issuers (Note 10)		—			—			18,626,313			17,883
Futures contracts		—			—			—			6,228,049
Written options		—			575,348			—			—
Swap contracts		—			(1,904,896	)		—			—
Foreign currency, forward contracts and foreign currency related transactions		—			4,268,823			—			10,306,614
Net realized gain (loss)		16,390,940			11,690,922			(25,427,087	)		16,646,796
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (Net of foreign capital gains tax) (Note 2)(c)		—			(16,582,433	)		(1,032,377	)		6,195
Investments in affiliated issuers		(197,044,476	)		(32,361	)		(235,465,141	)		4,605
Futures contracts		—			(1,102,838	)		—			(41,182,684	)
Written options		—			(1,215,807	)		—			—
Swap contracts		—			1,944,712			—			—
Foreign currency, forward contracts and foreign currency related transactions		—			(4,126,158	)		—			4,349,267
Net unrealized gain (loss)		(197,044,476	)		(21,114,885	)		(236,497,518	)		(36,822,617	)
Net realized and unrealized gain (loss)		(180,653,536	)		(9,423,963	)		(261,924,605	)		(20,175,821	)
Net increase (decrease) in net assets resulting from operations	$	(174,662,494	)	$	(6,957,318	)	$	(216,085,115	)	$	(26,020,607	)
(a) Withholding tax:	$	—		$	325,598		$	—		$	—
(b) Foreign capital gains tax on net realized gain (loss):	$	—		$	143,637		$	—		$	—
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	87,394		$	—		$	—

78 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Alpha Only Fund						Benchmark-Free Allocation Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)*			Year Ended February 28, 2015*
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	24,654,134		$	57,062,963		$	147,241,092		$	252,760,802
Net realized gain (loss)		(23,378,345	)		(248,020,500	)		(104,699,232	)		691,334,870
Change in net unrealized appreciation (depreciation)		(51,178,986	)		76,824,447			(533,581,643	)		(103,212,380	)
Accumulated deconsolidation impact (Note 2)		—			—			(1,054,490,449	)		—
Net increase (decrease) in net assets from operations		(49,903,197	)		(114,133,090	)		(1,545,530,232	)		840,883,292
Distributions to shareholders from:
Net investment income
Class III		(451,284	)		(536,823	)		(85,487,336	)		(95,501,869	)
Class IV		(41,140,456	)		(59,472,040	)		(48,744,018	)		(56,862,283	)
Class MF		—			—			(157,879,410	)		(236,641,323	)
Total distributions from net investment income		(41,591,740	)		(60,008,863	)		(292,110,764	)		(389,005,475	)
Net realized gains
Class III		—			—			(44,107,021	)		(129,017,202	)
Class IV		—			—			(24,797,845	)		(78,349,264	)
Class MF		—			—			(79,692,381	)		(324,179,672	)
Total distributions from net realized gains		—			—			(148,597,247	)		(531,546,138	)
Net share transactions (Note 9):
Class III		(14,144,830	)		(7,192,885	)		812,336,184			2,944,400,540
Class IV		(1,656,708,736	)		(17,492,978	)		(25,180,339	)		845,915,097
Class MF		—			—			(118,559,668	)		3,215,767,859
Increase (decrease) in net assets resulting from net share transactions		(1,670,853,566	)		(24,685,863	)		668,596,177			7,006,083,496
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			1,130,158			1,972,317
Class IV		—			—			618,255			1,280,297
Class MF		—			—			2,125,969			5,175,128
Increase in net assets resulting from purchase premiums and redemption fees		—			—			3,874,382			8,427,742
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(1,670,853,566	)		(24,685,863	)		672,470,559			7,014,511,238
Total increase (decrease) in net assets		(1,762,348,503	)		(198,827,816	)		(1,313,767,684	)		6,934,842,917
Net assets:
Beginning of period		3,360,082,626			3,558,910,442			21,659,780,739			14,724,937,822
End of period	$	1,597,734,123		$	3,360,082,626		$	20,346,013,055		$	21,659,780,739
Accumulated undistributed net investment income	$	19,242,681		$	36,180,287		$	—		$	233,825,925
Distributions in excess of net investment income	$	—		$	—		$	(9,544,999	)	$	—

* Amounts are consolidated through July 31, 2015 (Note 2 – Basis of presentation and principles of consolidation).

See accompanying notes to the financial statements. 79

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Benchmark-Free Fund						Global Asset Allocation Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	102,246,055		$	136,957,451		$	74,304,203		$	144,827,949
Net realized gain (loss)		(96,059,972	)		204,375,535			6,012,024			303,559,531
Change in net unrealized appreciation (depreciation)		(395,689,916	)		(83,722,700	)		(391,173,348	)		(236,107,811	)
Net increase (decrease) in net assets from operations		(389,503,833	)		257,610,286			(310,857,121	)		212,279,669
Distributions to shareholders from:
Net investment income
Class III		(12,250,249	)		(183,147,720	)		(12,867,816	)		(180,749,901	)
Total distributions from net investment income		(12,250,249	)		(183,147,720	)		(12,867,816	)		(180,749,901	)
Net realized gains
Class III		(143,010,501	)		(472,307,625	)		(193,655,005	)		(275,598,727	)
Total distributions from net realized gains		(143,010,501	)		(472,307,625	)		(193,655,005	)		(275,598,727	)
Net share transactions (Note 9):
Class III		138,121,174			1,081,555,538			(583,314,905	)		(251,210,264	)
Increase (decrease) in net assets resulting from net share transactions		138,121,174			1,081,555,538			(583,314,905	)		(251,210,264	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		109,745			993,727			936,785			1,288,222
Increase in net assets resulting from purchase premiums and redemption fees		109,745			993,727			936,785			1,288,222
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		138,230,919			1,082,549,265			(582,378,120	)		(249,922,042	)
Total increase (decrease) in net assets		(406,533,664	)		684,704,206			(1,099,758,062	)		(493,991,001	)
Net assets:
Beginning of period		5,052,362,229			4,367,658,023			4,868,922,397			5,362,913,398
End of period	$	4,645,828,565		$	5,052,362,229		$	3,769,164,335		$	4,868,922,397
Accumulated undistributed net investment income	$	97,233,757		$	7,237,951		$	65,507,351		$	4,070,964

80 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Global Developed Equity Allocation Fund						Global Equity Allocation Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,970,711		$	56,074,526		$	12,063,691		$	123,858,368
Net realized gain (loss)		32,501,102			144,298,665			33,419,541			303,389,449
Change in net unrealized appreciation (depreciation)		(180,000,023	)		(146,557,880	)		(389,061,084	)		(339,474,905	)
Net increase (decrease) in net assets from operations		(141,528,210	)		53,815,311			(343,577,852	)		87,772,912
Distributions to shareholders from:
Net investment income
Class III		(955,641	)		(59,234,772	)		(4,050,836	)		(127,642,887	)
Total distributions from net investment income		(955,641	)		(59,234,772	)		(4,050,836	)		(127,642,887	)
Net realized gains
Class III		(106,834,556	)		(146,463,927	)		(249,228,716	)		(254,855,622	)
Total distributions from net realized gains		(106,834,556	)		(146,463,927	)		(249,228,716	)		(254,855,622	)
Net share transactions (Note 9):
Class III		64,891,765			331,047,449			(17,983,495	)		1,145,075,404
Increase (decrease) in net assets resulting from net share transactions		64,891,765			331,047,449			(17,983,495	)		1,145,075,404
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		82,100			231,233			472,382			1,587,062
Increase in net assets resulting from purchase premiums and redemption fees		82,100			231,233			472,382			1,587,062
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		64,973,865			331,278,682			(17,511,113	)		1,146,662,466
Total increase (decrease) in net assets		(184,344,542	)		179,395,294			(614,368,517	)		851,936,869
Net assets:
Beginning of period		1,770,455,429			1,591,060,135			3,800,255,792			2,948,318,923
End of period	$	1,586,110,887		$	1,770,455,429		$	3,185,887,275		$	3,800,255,792
Accumulated undistributed net investment income	$	5,586,840		$	571,770		$	9,983,756		$	1,970,901

See accompanying notes to the financial statements. 81

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Consolidated Implementation Fund						International Developed Equity Allocation Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	176,639,244		$	250,680,130		$	4,820,379		$	48,822,099
Net realized gain (loss)		(181,928,115	)		695,059,770			8,849,972			48,475,872
Change in net unrealized appreciation (depreciation)		(1,427,976,680	)		(51,854,146	)		(117,780,367	)		(119,670,547	)
Net increase (decrease) in net assets from operations		(1,433,265,551	)		893,885,754			(104,110,016	)		(22,372,576	)
Distributions to shareholders from:
Net investment income
Class III		—			—			(570,780	)		(48,613,157	)
Total distributions from net investment income		—			—			(570,780	)		(48,613,157	)
Net share transactions (Note 9):
Core Class		1,835,094,179			4,861,075,929			—			—
Class III		—			—			586,591			100,846,486
Increase (decrease) in net assets resulting from net share transactions		1,835,094,179			4,861,075,929			586,591			100,846,486
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		1,898,022			—			132,728			141,178
Increase in net assets resulting from redemption fees		1,898,022			—			132,728			141,178
Total increase (decrease) in net assets resulting from net share transactions and redemption fees		1,836,992,201			4,861,075,929			719,319			100,987,664
Total increase (decrease) in net assets		403,726,650			5,754,961,683			(103,961,477	)		30,001,931
Net assets:
Beginning of period		15,915,866,326			10,160,904,643			1,180,493,485			1,150,491,554
End of period	$	16,319,592,976		$	15,915,866,326		$	1,076,532,008		$	1,180,493,485
Accumulated undistributed net investment income	$	—		$	—		$	4,456,951		$	207,352
Distribution in excess of net investment income	$	(37,281,336	)	$	—		$	—		$	—

82 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Equity Allocation Fund						Consolidated Special Opportunities Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,991,042		$	67,648,459		$	2,466,645		$	(965,899	)
Net realized gain (loss)		16,390,940			88,452,447			11,690,922			(9,168,066	)
Change in net unrealized appreciation (depreciation)		(197,044,476	)		(183,827,035	)		(21,114,885	)		11,160,135
Net increase (decrease) in net assets from operations		(174,662,494	)		(27,726,129	)		(6,957,318	)		1,026,170
Distributions to shareholders from:
Net investment income
Class III		(1,569,596	)		(68,362,567	)		—			—
Class VI		—			—			(3,862,961	)		(502,042	)
Total distributions from net investment income		(1,569,596	)		(68,362,567	)		(3,862,961	)		(502,042	)
Net realized gains
Class III		(58,512,714	)		(28,330,310	)		—			—
Total distributions from net realized gains		(58,512,714	)		(28,330,310	)		—			—
Net share transactions (Note 9):
Class III		46,266,467			(71,575,461	)		—			—
Class VI		—			—			(4,665,528	)		839,117,923
Increase (decrease) in net assets resulting from net share transactions		46,266,467			(71,575,461	)		(4,665,528	)		839,117,923
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		184,434			716,254			—			—
Class VI		—			—			191,066			4,221,896
Increase in net assets resulting from purchase premiums and redemption fees		184,434			716,254			191,066			4,221,896
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		46,450,901			(70,859,207	)		(4,474,462	)		843,339,819
Total increase (decrease) in net assets		(188,293,903	)		(195,278,213	)		(15,294,741	)		843,863,947
Net assets:
Beginning of period		1,595,039,296			1,790,317,509			843,863,947			—
End of period	$	1,406,745,393		$	1,595,039,296		$	828,569,206		$	843,863,947
Accumulated undistributed net investment income	$	5,207,073		$	785,627		$	674,467		$	2,070,783

See accompanying notes to the financial statements. 83

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Strategic Opportunities Allocation Fund						Consolidated Systematic Global Macro Opportunity Fund
	Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015			Six Months Ended August 31, 2015 (Unaudited)			Year Ended February 28, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	45,839,490		$	80,327,403		$	(5,844,786	)	$	(11,519,561	)
Net realized gain (loss)		(25,427,087	)		168,923,619			16,646,796			104,907,513
Change in net unrealized appreciation (depreciation)		(236,497,518	)		(121,594,793	)		(36,822,617	)		(23,722,444	)
Net increase (decrease) in net assets from operations		(216,085,115	)		127,656,229			(26,020,607	)		69,665,508
Distributions to shareholders from:
Class III		(6,259,295	)		(92,822,551	)		—			—
Total distributions from net investment income		(6,259,295	)		(92,822,551	)		—			—
Net realized gains
Class III		(106,172,024	)		(193,275,181	)		—			—
Total distributions from net realized gains		(106,172,024	)		(193,275,181	)		—			—
Net share transactions (Note 9):
Class III		95,159,361			151,649,431			(51,331,057	)		(232,411,937	)
Increase (decrease) in net assets resulting from net share transactions		95,159,361			151,649,431			(51,331,057	)		(232,411,937	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		113,617			122,182			—			—
Increase in net assets resulting from purchase premiums and redemption fees		113,617			122,182			—			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		95,272,978			151,771,613			(51,331,057	)		(232,411,937	)
Total increase (decrease) in net assets		(233,243,456	)		(6,669,890	)		(77,351,664	)		(162,746,429	)
Net assets:
Beginning of period		2,449,193,543			2,455,863,433			1,499,442,615			1,662,189,044
End of period	$	2,215,950,087		$	2,449,193,543		$	1,422,090,951		$	1,499,442,615
Accumulated undistributed net investment income	$	41,127,637		$	1,547,442

84 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ALPHA ONLY FUND

	Class III Shares																								Class IV Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,																				Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011(a)								2015				2014				2013				2012				2011(a)
Net asset value, beginning of period		$	22.93			$	23.98			$	24.22			$	24.13			$	23.49			$	24.55			$	22.95			$	23.99			$	24.24			$	24.14			$	23.50			$	24.55
Income (loss) from investment operations:
Net investment income (loss)†			0.20	(b)			0.34				0.53	(b)			0.51	(b)			0.46	(b)			0.30	(b)			0.21	(b)			0.35				0.58	(b)			0.60	(b)			0.47	(b)			0.31	(b)
Net realized and unrealized gain (loss)			(0.74	)			(0.96	)			(0.76	)			(0.35	)			0.52				(1.36	)			(0.76	)			(0.95	)			(0.80	)			(0.42	)			0.52				(1.36	)
Total from investment operations			(0.54	)			(0.62	)			(0.23	)			0.16				0.98				(1.06	)			(0.55	)			(0.60	)			(0.22	)			0.18				0.99				(1.05	)
Less distributions to shareholders:
From net investment income			(0.38	)			(0.43	)			(0.01	)			(0.07	)			(0.34	)			—				(0.38	)			(0.44	)			(0.03	)			(0.08	)			(0.35	)			—
Total distributions			(0.38	)			(0.43	)			(0.01	)			(0.07	)			(0.34	)			—				(0.38	)			(0.44	)			(0.03	)			(0.08	)			(0.35	)			—
Net asset value, end of period		$	22.01			$	22.93			$	23.98			$	24.22			$	24.13			$	23.49			$	22.02			$	22.95			$	23.99			$	24.24			$	24.14			$	23.50
Total Return(c)			(2.37	)%**			(2.60	)%			(0.94	)%			0.67	%			4.13	%			(4.32	)%			(2.41	)%**			(2.51	)%			(0.93	)%			0.73	%			4.19	%			(4.28	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	11,568			$	26,695			$	35,392			$	51,886			$	37,752			$	59,746			$	1,586,166			$	3,333,388			$	3,523,518			$	3,389,131			$	2,086,001			$	1,930,347
Net expenses to average daily net assets			0.65	%*			0.65	%			0.30	%(d)(e)			0.23	%(d)(e)			0.24	%(d)(e)			0.23	%(d)(e)			0.60	%*			0.60	%			0.26	%(d)(e)			0.18	%(d)(e)			0.19	%(d)(e)			0.18	%(d)(e)
Net investment income (loss) to average daily net assets			1.79	%*			1.44	%			2.19	%(b)			2.10	%(b)			1.89	%(b)			1.26	%(b)			1.82	%*			1.46	%			2.42	%(b)			2.47	%(b)			1.91	%(b)			1.27	%(b)
Portfolio turnover rate			60	%**			123	%			66	%			104	%			125	%			89	%			60	%**			123	%			66	%			104	%			125	%			89	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*			0.04	%			0.37	%(f)			0.44	%(f)			0.44	%(f)			0.46	%(f)			0.05	%*			0.04	%			0.36	%(f)			0.44	%(f)			0.43	%(f)			0.46	%(f)

^(a) Per share amounts were adjusted to reflect a 1:5 reverse stock split effective November 15, 2010.

^(b) Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e) The net expense ratio does not include the effect of expense reductions (Note 2).

^(f) Ratios include indirect fees waived or borne by the Fund.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 85

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND

	Class III Shares																		Class IV Shares
	Six Months Ended August 31, 2015 (Unaudited)(a)			Year Ended February 28/29,															Six Months Ended August 31, 2015 (Unaudited)(a)			Year Ended February 28,
				2015(b)			2014(b)			2013(b)			2012(b)			2011(b)						2015(b)			2014(b)			2013(c)
Net asset value, beginning of period	$	27.04		$	27.07		$	25.77		$	24.03		$	22.72		$	21.49		$	27.03		$	27.06		$	25.75		$	24.91
Income (loss) from investment operations:
Net investment income (loss)(d)†		0.17			0.38			0.48			0.30			0.21			0.36			0.19			0.36			0.46			0.03
Net realized and unrealized gain (loss)		(2.02	)		0.86			1.57			1.62			1.44	(e)		1.28			(2.03	)		0.89			1.61			0.96
Total from investment operations		(1.85	)		1.24			2.05			1.92			1.65			1.64			(1.84	)		1.25			2.07			0.99
Less distributions to shareholders:
From net investment income		(0.34	)		(0.52	)		(0.39	)		(0.18	)		(0.34	)		(0.41	)		(0.34	)		(0.53	)		(0.40	)		(0.15	)
From net realized gains		(0.17	)		(0.75	)		(0.36	)		—			—			—			(0.17	)		(0.75	)		(0.36	)		—
Total distributions		(0.51	)		(1.27	)		(0.75	)		(0.18	)		(0.34	)		(0.41	)		(0.51	)		(1.28	)		(0.76	)		(0.15	)
Net asset value, end of period	$	24.68		$	27.04		$	27.07		$	25.77		$	24.03		$	22.72		$	24.68		$	27.03		$	27.06		$	25.75
Total Return(f)		(6.91	)%**		4.71	%		8.03	%		8.03	%		7.36	%		7.69	%		(6.86	)%**		4.75	%		8.12	%		3.99	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	6,260,635		$	6,040,891		$	3,109,509		$	970,749		$	114,452		$	3,170,573		$	3,024,174		$	3,363,711		$	2,511,906		$	705,982
Net operating expenses to average daily net assets(g)		0.65	%*		0.64	%		0.59	%(h)		0.54	%(h)		0.01	%(h)(i)		0.00	%(h)(j)		0.60	%*		0.59	%		0.54	%(h)		0.48	%(h)*
Interest and/or dividend expenses to average daily net assets(k)		0.04	%*		0.05	%		—			—			—			—			0.04	%*		0.05	%		—			—
Total net expenses to average daily net assets		0.69	%*		0.69	%		0.59	%		0.54	%		0.01	%		0.00	%		0.64	%*		0.64	%		0.54	%		0.48	%
Net investment income (loss) to average daily net assets(d)		1.31	%*		1.41	%		1.79	%		1.23	%		0.93	%		1.63	%		1.40	%*		1.32	%		1.73	%		0.60	%*
Portfolio turnover rate(o)		40	%**		84	%		52	%		42	%		33	%		19	%		40	%**		84	%		52	%		42	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(l)		0.18	%*		0.20	%		0.27	%		0.41	%		0.05	%		0.01	%		0.18	%*		0.20	%		0.27	%		0.40	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.01		$	0.01		$	0.03		$	0.07		$	0.00	(m)	$	0.01		$	0.01		$	0.01		$	0.03		$	0.01

^(a)  The amounts shown, where applicable, are consolidated through the period ended July 31, 2015 (Note 2 – Basis of presentation and principles of consolidation).

^(b)  Consolidated financial highlights (Note 2 – Basis of presentation and principles of consolidation).

^(c) Period from December 11, 2012 (commencement of operations) through February 28, 2013.

^(d) Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(e) The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(f) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(g) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(h) The net expense ratio does not include the effect of expense reductions (Note 2).

⁽ⁱ⁾ Effective January 1, 2012, the Fund pays GMO a management fee of 0.65% of the Fund’s average daily net assets (Note 5).

^(j) Ratio is less than 0.01%.

^(k) Interest and dividend expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or cleared swap contracts, if any, is included in the Fund’s net expenses.

^(l) Ratios include indirect fees waived or borne by GMO.

^(m) Purchase premiums and redemption fees were less than $0.01 per share.

^(o)  Had the Fund not been consolidated for the period ended August 31, 2015, the portfolio turnover would have been 12%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

86 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class MF Shares
	Six Months Ended August 31, 2015 (Unaudited)(a)				Year Ended February 28,
					2015(b)				2014(b)				2013(b)(c)
Net asset value, beginning of period		$	27.04			$	27.07			$	25.76			$	24.10
Income (loss) from investment operations:
Net investment income (loss)†(d)			0.18				0.37				0.49				0.33
Net realized and unrealized gain (loss)			(2.01	)			0.88				1.58				1.52
Total from investment operations			(1.83	)			1.25				2.07				1.85
Less distributions to shareholders:
From net investment income			(0.35	)			(0.53	)			(0.40	)			(0.19	)
From net realized gains			(0.17	)			(0.75	)			(0.36	)			—
Total distributions			(0.52	)			(1.28	)			(0.76	)			(0.19	)
Net asset value, end of period		$	24.69			$	27.04			$	27.07			$	25.76
Total Return(e)			(6.85	)%**			4.78	%			8.11	%			7.71	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	11,061,204			$	12,255,179			$	9,103,523			$	2,947,886
Net operating expenses to average daily net assets(f)			0.56	%*			0.55	%			0.53	%(g)			0.49	%(g)
Interest and/or dividend expenses to average daily net assets(h)			0.04	%*			0.05	%			—				—
Total net expenses to average daily net assets			0.60	%*			0.60	%			0.53	%			0.49	%
Net investment income (loss) to average daily net assets(b)			1.32	%*			1.37	%(i)			1.83	%			1.34	%
Portfolio turnover rate(j)			40	%**			84	%			52	%			42	%
Fees and expenses reimbursed by the GMO to average daily net assets:			0.21	%*			0.23	%			0.27	%			0.41	%
Redemption fees consisted of the following per share amounts:†		$	0.01			$	0.01			$	0.03			$	0.06

^(a) The amounts shown, where applicable, are considered consolidated through the period ended July 31, 2015 (Note 2 – Basis of presentation and principles of consolidation).

^(b) Consolidated financial highlights (Note 2 – Basis of presentation and principles of consolidation).

^(c) Period from March 1, 2012 (commencement of operations) through February 28, 2013.

^(d) Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(e) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(f) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(g) The net expense ratio does not include the effect of expense reductions (Note 2).

^(h) Interest and dividend expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or cleared swap contracts, if any, is included in the Fund’s net expenses.

⁽ⁱ⁾ Litigation proceeds received during the fiscal year had a positive impact on total return adding 1.35%.

^(j) Had the Fund not been consolidated for the period ended August 31, 2015, the portfolio turnover would have been 12%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 87

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

BENCHMARK-FREE FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28//29,
					2015				2014				2013				2012(a)
Net asset value, beginning of period		$	20.30			$	22.09			$	21.33			$	20.76			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(b)†			0.41				0.61				0.59				0.52				0.41
Net realized and unrealized gain (loss)			(1.94	)			0.61				1.45				1.34				0.83
Total from investment operations			(1.53	)			1.22				2.04				1.86				1.24
Less distributions to shareholders:
From net investment income			(0.05	)			(0.79	)			(0.74	)			(0.68	)			(0.40	)
From net realized gains			(0.58	)			(2.22	)			(0.54	)			(0.61	)			(0.08	)
Total distributions			(0.63	)			(3.01	)			(1.28	)			(1.29	)			(0.48	)
Net asset value, end of period		$	18.14			$	20.30			$	22.09			$	21.33			$	20.76
Total Return(c)			(7.72	)%**			5.76	%			9.66	%			9.25	%			6.35	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,645,829			$	5,052,362			$	4,367,658			$	3,941,582			$	3,515,321
Net expenses to average daily net assets(d)(e)			0.00	%*			0.00	%			0.00	%(f)			0.00	%(f)			0.00	%*(f)
Net investment income (loss) to average daily net assets(b)			4.13	%*			2.90	%			2.67	%			2.51	%			2.91	%*
Portfolio turnover rate			42	%**			60	%			51	%			31	%			23	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.00	%*(g)			0.00	%(g)			0.00	%(g)			0.01	%			0.02	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†(h)		$	0.00			$	0.00			$	0.00			$	0.00			$	0.00

^(a) Period from June 15, 2011 (commencement of operations) through February 29, 2012.

^(b) Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e) Net expenses to average daily net assets were less than 0.01%.

^(f) The net expense ratio does not include the effect of expense reductions (Note 2).

^(g) Fees and expenses reimbursed by GMO were less than 0.01%.

^(h) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

88 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	11.27			$	11.80			$	10.90			$	10.40			$	10.22			$	9.30
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.18				0.32				0.27				0.29				0.24				0.17
Net realized and unrealized gain (loss)			(0.97	)			0.20				0.91				0.50				0.21				0.94
Total from investment operations			(0.79	)			0.52				1.18				0.79				0.45				1.11
Less distributions to shareholders:
From net investment income			(0.03	)			(0.43	)			(0.28	)			(0.29	)			(0.27	)			(0.19	)
From net realized gains			(0.52	)			(0.62	)			—				—				—				—
Total distributions			(0.55	)			(1.05	)			(0.28	)			(0.29	)			(0.27	)			(0.19	)
Net asset value, end of period		$	9.93			$	11.27			$	11.80			$	10.90			$	10.40			$	10.22
Total Return(b)			(7.25	)%**			4.55	%			10.88	%			7.65	%			4.51	%			11.98	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,769,164			$	4,868,922			$	5,362,913			$	4,764,133			$	3,612,740			$	3,457,703
Net expenses to average daily net assets(c)(d)			0.00	%*			0.00	%			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)
Net investment income (loss) to average daily net assets(a)			3.38	%*			2.75	%			2.33	%			2.70	%			2.37	%			1.73	%
Portfolio turnover rate			8	%**			38	%			46	%			29	%			40	%			32	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):(f)†		$	0.00			$	0.00			$	0.00			$	0.00			$	0.00			$	0.00

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d) Net expenses to average daily net assets were less than 0.01%.

^(e) The net expense ratio does not include the effect of expense reductions (Note 2).

^(f) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 89

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	22.84			$	25.00			$	21.13			$	19.49			$	19.32			$	16.74
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.08				0.80				0.61				0.57				0.40				0.28
Net realized and unrealized gain (loss)			(1.87	)			0.02	(b)			3.96				1.73				0.18				2.59
Total from investment operations			(1.79	)			0.82				4.57				2.30				0.58				2.87
Less distributions to shareholders:
From net investment income			(0.01	)			(0.82	)			(0.70	)			(0.66	)			(0.41	)			(0.29	)
From net realized gains			(1.41	)			(2.16	)			—				—				—				—
Total distributions			(1.42	)			(2.98	)			(0.70	)			(0.66	)			(0.41	)			(0.29	)
Net asset value, end of period		$	19.63			$	22.84			$	25.00			$	21.13			$	19.49			$	19.32
Total Return(c)			(8.28	)%**			3.32	%			21.68	%			11.95	%			3.14	%			17.19	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,586,111			$	1,770,455			$	1,591,060			$	1,531,772			$	1,235,143			$	1,215,043
Net expenses to average daily net assets(d)(e)			0.00	%*			0.00	%			0.00	%(f)			0.00	%(f)			0.00	%(f)			0.00	%(f)
Net investment income (loss) to average daily net assets(a)			0.69	%*			3.34	%			2.62	%			2.86	%			2.11	%			1.61	%
Portfolio turnover rate			6	%**			16	%			36	%			31	%			27	%			20	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(g)		$	0.00	(g)			—				—				—				—

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b) The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(e) Net expenses to average daily net assets were less than 0.01%.

^(f) The net expense ratio does not include the effect of expense reductions (Note 2).

^(g) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

90 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	8.74			$	9.43			$	8.60			$	8.49			$	8.60			$	7.40
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.03				0.32				0.28				0.25				0.19				0.15
Net realized and unrealized gain (loss)			(0.82	)			(0.01	)(b)			1.21				0.57				0.00	(b)			1.17
Total from investment operations			(0.79	)			0.31				1.49				0.82				0.19				1.32
Less distributions to shareholders:
From net investment income			(0.01	)			(0.30	)			(0.29	)			(0.26	)			(0.20	)			(0.12	)
From net realized gains			(0.61	)			(0.70	)			(0.37	)			(0.45	)			(0.10	)			—
Total distributions			(0.62	)			(1.00	)			(0.66	)			(0.71	)			(0.30	)			(0.12	)
Net asset value, end of period		$	7.33			$	8.74			$	9.43			$	8.60			$	8.49			$	8.60
Total Return(c)			(9.62	)%**			3.37	%			17.60	%			10.01	%			2.47	%			17.97	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,185,887			$	3,800,256			$	2,948,319			$	2,220,674			$	1,636,875			$	1,485,712
Net expenses to average daily net assets(e)(f)			0.00	%*			0.00	%			0.00	%(d)			0.00	%(d)			0.00	%(d)			0.00	%(d)
Net investment income (loss) to average daily net assets(a)			0.67	%*			3.54	%			3.02	%			2.90	%			2.27	%			1.96	%
Portfolio turnover rate			6	%**			21	%			51	%			24	%			28	%			6	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(g)		$	0.00	(g)		$	0.00	(g)		$	0.00	(g)		$	0.00	(g)		$	0.01

^(a) Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b) The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) The net expense ratio does not include the effect of expense reductions (Note 2).

^(e) Net expenses to average daily net assets were less than 0.01%.

^(f) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(g) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 91

GMO Trust Funds

Consolidated Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND

	Core Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28,								Period from March 1, 2012 (commencement of operations) through February 28, 2013
					2015				2014
Net asset value, beginning of period		$	13.59			$	12.71			$	11.30			$	10.00
Income (loss) from investment operations:
Net investment income (loss)†			0.14				0.25				0.32				0.24
Net realized and unrealized gain (loss)			(1.24	)			0.63				1.09				1.06
Total from investment operations			(1.10	)			0.88				1.41				1.30
Net asset value, end of period		$	12.49			$	13.59			$	12.71			$	11.30
Total Return(a)			(8.09	)%**			6.92	%			12.48	%			13.00	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	16,319,593			$	15,915,866			$	10,160,905			$	2,471,328
Net operating expenses to average daily net assets(b)			0.00	%*			0.00	%			0.00	%(c)			0.00	%
Interest and/or dividend expenses to average daily net assets			0.08	%*(d)			0.07	%(d)			—				—
Total net expenses to average daily net assets			0.08	%*			0.07	%			—				—
Net investment income (loss) to average daily net assets			2.10	%*			1.89	%			2.61	%			2.21	%
Portfolio turnover rate			60	%**			115	%			65	%			66	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.04	%			0.08	%			0.23	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(e)			—				—				—

^(a) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(b) Ratio is less than 0.01%.

^(c) The net expense ratio does not include the effect of expense reductions (Note 2).

^(d)  Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short and/or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e)  Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

92 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	16.88			$	17.99			$	14.86			$	13.87			$	15.23			$	12.69
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.07				0.74				0.54				0.50				0.36				0.18
Net realized and unrealized gain (loss)			(1.54	)			(1.11	)			3.16				0.97				(1.35	)			2.54
Total from investment operations			(1.47	)			(0.37	)			3.70				1.47				(0.99	)			2.72
Less distributions to shareholders:
From net investment income			(0.01	)			(0.74	)			(0.57	)			(0.48	)			(0.37	)			(0.18	)
Total distributions			(0.01	)			(0.74	)			(0.57	)			(0.48	)			(0.37	)			(0.18	)
Net asset value, end of period		$	15.40			$	16.88			$	17.99			$	14.86			$	13.87			$	15.23
Total Return(b)			(8.72	)%**			(1.86	)%			25.02	%			10.71	%			(6.32	)%			21.53	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,076,532			$	1,180,493			$	1,150,492			$	966,794			$	810,338			$	796,026
Net expenses to average daily net assets(c)(d)			0.00	%*			0.00	%			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)
Net investment income (loss) to average daily net assets(a)			0.81	%*			4.24	%			3.28	%			3.59	%			2.53	%			1.34	%
Portfolio turnover rate			9	%**			7	%			52	%			17	%			26	%			14	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(f)		$	0.00	(f)			—				—				—				—

^(a) Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d) Net expenses to average daily net assets were less than 0.01%.

^(e) The net expense ratio does not include the effect of expense reductions (Note 2).

^(f) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 93

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	10.57			$	11.37			$	10.43			$	9.98			$	10.80			$	8.96
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.04				0.44				0.35				0.32				0.23				0.13
Net realized and unrealized gain (loss)			(1.16	)			(0.61	)			1.32				0.45				(0.81	)			1.87
Total from investment operations			(1.12	)			(0.17	)			1.67				0.77				(0.58	)			2.00
Less distributions to shareholders:
From net investment income			(0.01	)			(0.45	)			(0.34	)			(0.32	)			(0.24	)			(0.16	)
From net realized gains			(0.39	)			(0.18	)			(0.39	)			—				—				—
Total distributions			(0.40	)			(0.63	)			(0.73	)			(0.32	)			(0.24	)			(0.16	)
Net asset value, end of period		$	9.05			$	10.57			$	11.37			$	10.43			$	9.98			$	10.80
Total Return(b)			(10.96	)%**			(1.30	)%			16.22	%			7.79	%			(5.21	)%			22.43	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,406,745			$	1,595,039			$	1,790,318			$	1,385,150			$	1,166,993			$	1,277,551
Net expenses to average daily net assets(c)(d)			0.00	%*			0.00	%			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)
Net investment income (loss) to average daily net assets(a)			0.75	%*			3.94	%			3.15	%			3.26	%			2.33	%			1.39	%
Portfolio turnover rate			8	%**			18	%			40	%			21	%			29	%			13	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(f)		$	0.00	(f)		$	0.00	(f)		$	0.01			$	0.01			$	0.00	(f)

^(a) Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d) Net expenses to average daily net assets were less than 0.01%.

^(e) The net expense ratio does not include the effect of expense reductions (Note 2).

^(f) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

94 See accompanying notes to the financial statements.

GMO Trust Funds

Consolidated Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SPECIAL OPPORTUNITIES FUND

	Class VI Shares
	Six Months Ended August 31, 2015 (Unaudited)				Period from July 28, 2014 (commencement of operations) through February 28, 2015
Net asset value, beginning of period		$	19.81			$	20.00
Income (loss) from investment operations:
Net investment income (loss)†			0.06				(0.03	)
Net realized and unrealized gain (loss)			(0.22	)			(0.15	)(a)
Total from investment operations			(0.16	)			(0.18	)
Less distributions to shareholders:
From net investment income			(0.09	)			(0.01	)
Total distributions			(0.09	)			(0.01	)
Net asset value, end of period		$	19.56			$	19.81
Total Return			(0.82	)%**			(0.89	)%**(b)
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	828,569			$	843,864
Net expenses to average daily net assets			1.31	%*			1.36	%*
Net investment income (loss) to average daily net assets			0.57	%*			(0.25	)%*
Portfolio turnover rate			29	%**			64	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				0.02	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(c)		$	0.13

^(a) The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 95

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	21.89			$	23.43			$	21.47			$	21.26			$	20.78			$	18.54
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.40				0.76				0.68				0.65				0.48				0.33
Net realized and unrealized gain (loss)			(2.27	)			0.44				2.96				1.57				0.51				2.26
Total from investment operations			(1.87	)			1.20				3.64				2.22				0.99				2.59
Less distributions to shareholders:
From net investment income			(0.06	)			(0.87	)			(0.78	)			(0.75	)			(0.51	)			(0.35	)
From net realized gains			(0.94	)			(1.87	)			(0.90	)			(1.26	)			—				—
Total distributions			(1.00	)			(2.74	)			(1.68	)			(2.01	)			(0.51	)			(0.35	)
Net asset value, end of period		$	19.02			$	21.89			$	23.43			$	21.47			$	21.26			$	20.78
Total Return(b)			(8.82	)%**			5.36	%			17.24	%			10.81	%			4.93	%			14.02	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,215,950			$	2,449,194			$	2,455,863			$	2,168,928			$	2,022,555			$	1,752,168
Net expenses to average daily net assets(c)(d)			0.00	%*			0.00	%			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)
Net investment income (loss) to average daily net assets(a)			3.82	%*			3.31	%			2.99	%			3.01	%			2.33	%			1.73	%
Portfolio turnover rate			42	%**			30	%			53	%			34	%			35	%			36	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%*			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(f)		$	0.00	(f)		$	0.00	(f)		$	0.00	(f)			—				—

^(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(d) Net expenses to average daily net assets were less than 0.01%.

^(e) The net expense ratio does not include the effect of expense reductions (Note 2).

^(f) Purchase premiums and redemption fees were less than $0.01 per share.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

96 See accompanying notes to the financial statements.

GMO Trust Funds

Consolidated Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SYSTEMATIC GLOBAL MACRO OPPORTUNITY FUND

	Six Months Ended August 31, 2015 (Unaudited)				Year Ended February 28/29,
					2015				2014				2013				2012				2011
Net asset value, beginning of period		$	33.80			$	32.18			$	30.47			$	30.05			$	32.55			$	27.24
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.13	)			(0.25	)			(0.22	)			(0.18	)			0.00	(b)			0.11
Net realized and unrealized gain (loss)			(0.45	)			1.87	(c)			1.93				0.60				(2.50	)			5.20
Total from investment operations			(0.58	)			1.62				1.71				0.42				(2.50	)			5.31
Net asset value, end of period		$	33.22			$	33.80			$	32.18			$	30.47			$	30.05			$	32.55
Total Return(d)			(1.72	)%**			5.03	%			5.61	%			1.40	%			(7.68	)%			19.49	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,422,091			$	1,499,443			$	1,662,189			$	959,752			$	44,320			$	25,546
Net expenses to average daily net assets(e)			0.85	%*			0.80	%			0.75	%			0.75	%(f)			0.69	%(f)			0.60	%
Net investment income to average daily net assets(a)			(0.77	)%*			(0.76	)%			(0.70	)%			(0.61	)%			(0.01	)%			0.38	%
Portfolio turnover rate			0	%**			45	%			97	%			17	%			48	%			60	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	*			0.08	%			0.13	%			0.17	%			1.64	%			1.15	%

^(a) Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

^(b) Net investment income was less than $0.01 per share

^(c) The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(d) Total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(e) Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).

^(f) The net expense ratio does not include the effect of expense reductions (Note 2).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 97

GMO Trust Funds

Notes to Financial Statements

August 31, 2015 (Unaudited)

1. Organization

Each of Alpha Only Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, Special Opportunities Fund, Strategic Opportunities Allocation Fund and Systematic Global Macro Opportunity Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest primarily in other GMO Funds, and in the case of Implementation Fund in Implementation Fund SPC Ltd., Special Opportunities Fund in Special Opportunities Fund SPC Ltd and Systematic Global Macro Opportunity Fund in Alternative Asset SPC Ltd., (“underlying funds”). As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. As of August 31, 2015, shares of Systematic Global Macro Opportunity Fund were not publicly offered for sale.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Principal Investment Objective
Alpha Only Fund	Citigroup 3-Month Treasury Bill Index	Total return greater than benchmark
Benchmark-Free Allocation Fund	Not Applicable	Positive total return, not “relative” return
Benchmark-Free Fund	Not Applicable	Positive total return
Global Asset Allocation Fund	GMO Global Asset Allocation Index (65% MSCI ACWI, 35% Barclays U.S. Aggregate Index)	Total return greater than benchmark
Global Developed Equity Allocation Fund	MSCI World Index	Total return greater than benchmark
Global Equity Allocation Fund	MSCI ACWI	Total return greater than benchmark
Consolidated Implementation Fund	Not Applicable	Positive total return, not “relative” return
International Developed Equity Allocation Fund	MSCI EAFE Index	Total return greater than benchmark
International Equity Allocation Fund	MSCI ACWI ex USA	Total return greater than benchmark
Special Opportunities Fund	Not Applicable	Positive total return
Strategic Opportunities Allocation Fund	GMO Strategic Opportunities Allocation Index (75% MSCI World Index, 25% Barclays U.S. Aggregate Index)	Total return greater than benchmark
Systematic Global Macro Opportunity Fund	Citigroup 3-Month Treasury Bill Index	Long-term total return

Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, Special Opportunities Fund, Strategic Opportunities Allocation Fund and Systematic Global Macro Opportunity Fund currently limit subscriptions.

Alpha Only Fund, Global Developed Equity Allocation Fund, and Systematic Global Macro Opportunity Fund are currently distributed in Switzerland. The distribution of shares in Switzerland will be exclusively made to, and directed at, qualified investors as defined in the Swiss Collective Investment Schemes Act of 23 June 2006, as amended, and its implementing ordinance.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires

98

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

Basis of presentation and principles of consolidation: Benchmark-Free Allocation Fund, Implementation Fund, Special Opportunities Fund and Systematic Global Macro Opportunity Fund

Implementation Fund, Special Opportunities Fund and Systematic Global Macro Opportunity Fund include the accounts of their wholly-owned subsidiaries Implementation Fund SPC Ltd., Special Opportunities SPC Ltd. and Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively, and the accompanying financial statements have been consolidated for those accounts. The consolidated financial statements include all of the assets and liabilities of each wholly-owned subsidiary. Prior to August 1, 2015, Benchmark-Free Allocation Fund (“BFAF”) included the accounts of its wholly-owned subsidiary, Implementation Fund. Effective August 1, 2015, BFAF was no longer the sole shareholder of Implementation Fund, thus consolidation was no longer required. The accompanying financial statements for BFAF include the accounts of Implementation Fund through July 31, 2015. Accumulated deconsolidation impact shown in BFAF’s Statement of Assets and Liabilities and Statement of Changes resulted from income and gain/loss related to the deconsolidation of Implementation Fund. All interfund accounts and transactions have been eliminated in consolidation.

Portfolio valuation

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available by the time that a Fund calculates its net asset value on any business day, then that derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. OTC derivatives are generally valued at the price determined by an industry standard model. Unlisted securities (including fixed income securities) for which market quotations are readily available are generally valued at the most recent quoted price. If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in pricing, and in particular fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2015, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, that were valued using fair value inputs obtained from that independent pricing service as of August 31, 2015. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) in the table below and as described in the disclosures of the underlying funds.

Typically, the Funds and the underlying funds value each fixed income security based on the most recent quoted price supplied by a single pricing source chosen by GMO. Although GMO normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds, although the prices supplied by those alternative sources do not necessarily align with the prices supplied by primary pricing sources. See the table below for information about securities for which no alternative pricing source was available.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third party pricing source in accordance with the market practice for that security. If an updated quote for a security is not available by the time that a Fund calculates its net asset value on any business day, the Fund will generally use a quoted price from a prior day to value that security.

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In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or short position.

As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees, fair valued using inputs obtained from an independent pricing service or valued using prices for which no alternative pricing source was available. The table below presents securities and/or derivatives on a net basis, based on market values or unrealized appreciation/(depreciation), which will tend to understate the Funds’ exposure. The net aggregate direct and indirect exposure to these valuation methodologies (based on each Fund’s net assets) as of August 31, 2015 is as follows:

Securities and derivatives

Fund Name	Fair valued using methods determined in good faith by or at the direction of the Trustees		Fair valued using inputs obtained from an independent pricing service (Net)		Single source; No alternative pricing source was available
Alpha Only Fund		—		26%		—
Benchmark-Free Allocation Fund		< 1%		25%		< 1%
Benchmark-Free Fund		< 1%		32%		< 1%
Global Asset Allocation Fund		< 1%		35%		< 1%
Global Developed Equity Allocation Fund		< 1%		57%		—
Global Equity Allocation Fund		< 1%		60%		—
Consolidated Implementation Fund		< 1%		43%		—
International Developed Equity Allocation Fund		< 1%		91%		—
International Equity Allocation Fund		< 1%		89%		—
Consolidated Special Opportunities Fund		—		12%		—
Strategic Opportunities Allocation Fund		< 1%		43%		< 1%
Consolidated Systematic Global Macro Opportunity Fund		< 1%		—		< 1%

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the table below). Other than as disclosed in Asset and Liability Valuation Inputs table below, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2015.

The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, certain U.S. government obligations, derivatives actively traded on a national securities exchange (such as some futures and options), and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

Level 2 – Valuations determined using other significant direct or indirect observable inputs.

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using broker quotes; cleared derivatives and certain OTC

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derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

Level 3 – Valuations based primarily on inputs that are unobservable and significant.

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they are valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; and certain securities that are valued using a price from a comparable security related to the same issuer.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2015:

Description	Level 1		Level 2		Level 3		Total
Alpha Only Fund
Asset Valuation Inputs
Common Stocks
Austria	$	—	$	165,306	$	—	$	165,306
Belgium		—		705,107		—		705,107
Brazil		—		361,814		—		361,814
Canada		10,079,663		—		—		10,079,663
Chile		—		171,456		—		171,456
China		14,473,668		35,377,761		250,063		50,101,492
Colombia		102,752		—		—		102,752
Czech Republic		—		738,554		—		738,554
Denmark		—		250,351		—		250,351
France		—		35,978,554		—		35,978,554
Germany		—		12,176,912		—		12,176,912
Greece		—		334,837		—		334,837
India		84,898		1,651,272		—		1,736,170
Indonesia		—		1,546,853		—		1,546,853
Israel		405,028		—		—		405,028
Italy		—		7,546,754		—		7,546,754
Japan		—		49,020,434		—		49,020,434
Mexico		2,245,639		—		—		2,245,639
Netherlands		—		9,644,333		—		9,644,333
Norway		—		2,426,321		—		2,426,321
Philippines		—		231,838		—		231,838
Poland		—		1,393,522		—		1,393,522
Russia		—		21,267,597		—		21,267,597
South Africa		—		6,178,211		—		6,178,211
South Korea		—		38,412,615		—		38,412,615
Spain		—		8,403,432		—		8,403,432
Sweden		—		1,075,772		—		1,075,772
Switzerland		—		26,906,347		—		26,906,347
Taiwan		1,661,968		14,562,624		—		16,224,592
Thailand		—		723,767		—		723,767
Turkey		—		2,433,166		—		2,433,166
United Kingdom		—		124,686,179		—		124,686,179
United States		960,043,758		—		—		960,043,758
TOTAL COMMON STOCKS		989,097,374		404,371,689		250,063		1,393,719,126

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Description	Level 1		Level 2		Level 3		Total
Alpha Only Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	—	$	1,904,013	$	—	$	1,904,013
Germany		—		1,638,664		—		1,638,664
Russia		—		4,840,428		—		4,840,428
South Korea		—		6,266,632		—		6,266,632
TOTAL PREFERRED STOCKS		—		14,649,737		—		14,649,737
Mutual Funds		10,006,304		—		—		10,006,304
Short-Term Investments		78,648,005		—		—		78,648,005
Total Investments		1,077,751,683		419,021,426		250,063		1,497,023,172
Derivatives*
Futures Contracts
Equity Risk		—		78,294,374		—		78,294,374
Total	$	1,077,751,683	$	497,315,800	$	250,063	$	1,575,317,546
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	20,345,140,357	$	—	$	—	$	20,345,140,357
Short-Term Investments		11,392,705		—		—		11,392,705
Total Investments		20,356,533,062		—		—		20,356,533,062
Total	$	20,356,533,062	$	—	$	—	$	20,356,533,062
Benchmark-Free Fund
Asset Valuation Inputs
Mutual Funds	$	4,258,608,664	$	—	$	—	$	4,258,608,664
Debt Obligations
U.S. Government		—		385,959,156		—		385,959,156
TOTAL DEBT OBLIGATIONS				385,959,156				385,959,156
Short-Term Investments		232,930		—		—		232,930
Total Investments		4,258,841,594		385,959,156		—		4,644,800,750
Total	$	4,258,841,594	$	385,959,156	$	—	$	4,644,800,750
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	3,768,277,335	$	—	$	—	$	3,768,277,335
Debt Obligations
Asset-Backed Securities		—		644,954		—		644,954
TOTAL DEBT OBLIGATIONS		—		644,954		—		644,954
Short-Term Investments		499,310		—		—		499,310
Total Investments		3,768,776,645		644,954		—		3,769,421,599
Total	$	3,768,776,645	$	644,954	$	—	$	3,769,421,599

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Description	Level 1		Level 2		Level 3		Total
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,585,628,397	$	—	$	—	$	1,585,628,397
Short-Term Investments		544,330		—		—		544,330
Total Investments		1,586,172,727		—		—		1,586,172,727
Total	$	1,586,172,727	$	—	$	—	$	1,586,172,727
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	3,184,922,084	$	—	$	—	$	3,184,922,084
Short-Term Investments		1,055,528		—		—		1,055,528
Total Investments		3,185,977,612		—		—		3,185,977,612
Total	$	3,185,977,612	$	—	$	—	$	3,185,977,612
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	20,934,140	$	—	$	20,934,140
Austria		—		9,526,937		—		9,526,937
Belgium		—		39,973,669		—		39,973,669
Brazil		1,127,319		27,377,915		—		28,505,234
Canada		517,545,655		—		—		517,545,655
Chile		941,064		6,491,794		—		7,432,858
China		595,053,023		478,700,219		9,611,365		1,083,364,607
Colombia		2,365,152		—		—		2,365,152
Czech Republic		—		16,238,764		—		16,238,764
Denmark		—		18,121,550		—		18,121,550
Egypt		—		720,012		—		720,012
Finland		—		6,154,682		—		6,154,682
France		—		456,140,768		—		456,140,768
Germany		—		217,033,646		—		217,033,646
Greece		—		4,008,712		—		4,008,712
Hong Kong		—		15,189,683		—		15,189,683
Hungary		—		8,722,926		—		8,722,926
India		3,836,341		38,611,618		—		42,447,959
Indonesia		1,186,195		34,587,486		—		35,773,681
Israel		1,443,185		771,733		—		2,214,918
Italy		—		104,494,535		—		104,494,535
Japan		—		544,237,236		—		544,237,236
Malaysia		—		2,527,330		—		2,527,330
Mexico		30,756,809		—		—		30,756,809
Netherlands		7,600,633		101,057,921		—		108,658,554
New Zealand		—		64,149		—		64,149
Norway		—		43,822,730		—		43,822,730
Philippines		—		6,765,216		—		6,765,216
Poland		—		41,192,464		—		41,192,464
Portugal		—		3,994,833		—		3,994,833
Russia		—		368,100,383		—		368,100,383
Singapore		—		4,241,770		—		4,241,770
South Africa		—		112,044,996		203		112,045,199
South Korea		22,740		650,154,176		—		650,176,916
Spain		—		122,600,545		—		122,600,545

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Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Sri Lanka	$	—	$	33,168	$	—	$	33,168
Sweden		—		38,048,870		—		38,048,870
Switzerland		—		54,096,166		—		54,096,166
Taiwan		39,103,960		287,758,361		—		326,862,321
Thailand		—		39,203,236		—		39,203,236
Turkey		11,712		60,257,464		—		60,269,176
United Kingdom		—		958,213,706		8,879,551		967,093,257
United States		2,987,126,186		—		—		2,987,126,186
TOTAL COMMON STOCKS		4,188,119,974		4,942,215,509		18,491,119		9,148,826,602
Preferred Stocks
Brazil		2,259,670		63,118,837		—		65,378,507
Germany		—		35,832,760		—		35,832,760
Russia		—		90,585,522		—		90,585,522
South Korea		—		83,917,196		—		83,917,196
TOTAL PREFERRED STOCKS		2,259,670		273,454,315		—		275,713,985
Rights/Warrants
South Africa		601		—		—		601
United States		—		—		1,025,910		1,025,910
TOTAL RIGHTS/WARRANTS		601		—		1,025,910		1,026,511
Debt Obligations
Canada		—		91,327,592		—		91,327,592
Denmark		—		—		26,018,278		26,018,278
Iceland		—		—		80,670,493		80,670,493
Mexico		—		11,994,738		—		11,994,738
Puerto Rico		—		14,887,305		—		14,887,305
United Kingdom		—		45,953,972		—		45,953,972
United States		750,586,344		1,613,298,772		55,670,907		2,419,556,023
TOTAL DEBT OBLIGATIONS		750,586,344		1,777,462,379		162,359,678		2,690,408,401
Options Purchased		—		277,761,253		66,230,970		343,992,223
Short-Term Investments		3,839,700,990		—		—		3,839,700,990
Total Investments		8,780,667,579		7,270,893,456		248,107,677		16,299,668,712
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—		205,085,201		—		205,085,201
Futures Contracts
Interest Rate Risk		28,968		—		—		28,968
Swap Contracts
Inflation Risk		—		1,210,688		—		1,210,688
Credit Risk		—		1,506,888		—		1,506,888
Interest Rate Risk		—		425,011,730		—		425,011,730
Total	$	8,780,696,547	$	7,903,707,963	$	248,107,677	$	16,932,512,187

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Description	Level 1			Level 2			Level 3			Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs
Common Stocks
Finland	$	—		$	(3,004,589	)	$	—		$	(3,004,589	)
Netherlands		—			(34,522,354	)		—			(34,522,354	)
United Kingdom		—			(24,727,832	)		—			(24,727,832	)
United States		(366,160,877	)		—			—			(366,160,877	)
TOTAL COMMON STOCKS		(366,160,877	)		(62,254,775	)		—			(428,415,652	)
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			(151,118,789	)		—			(151,118,789	)
Written Options
Equity Risk		(3,785,100	)		(1,091,184	)		(8,566,574	)		(13,442,858	)
Foreign Currency Risk		—			(39,352,152	)		—			(39,352,152	)
Interest Rate Risk		—			(112,116,839	)		—			(112,116,839	)
Swap Contracts
Inflation Risk		—			(5,245,778	)		—			(5,245,778	)
Credit Risk		—			(636,541	)		—			(636,541	)
Equity Risk**		—			—			(4,789,443	)		(4,789,443	)
Interest Rate Risk		—			(438,022,403	)		—			(438,022,403	)
Total	$	(369,945,977	)	$	(809,838,461	)	$	(13,356,017	)	$	(1,193,140,455	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,076,195,238		$	—		$	—		$	1,076,195,238
Short-Term Investments		369,656			—			—			369,656
Total Investments		1,076,564,894			—			—			1,076,564,894
Total	$	1,076,564,894		$	—		$	—		$	1,076,564,894
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,406,268,021		$	—		$	—		$	1,406,268,021
Short-Term Investments		378,895			—			—			378,895
Total Investments		1,406,646,916			—			—			1,406,646,916
Total	$	1,406,646,916		$	—		$	—		$	1,406,646,916
Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	9,467,008		$	—		$	—		$	9,467,008
Canada		19,925,201			—			—			19,925,201
Netherlands		35,754,863			—			—			35,754,863
Norway		—			6,375,928			—			6,375,928
Romania		—			21,754,154			—			21,754,154
South Korea		—			3,775,605			—			3,775,605
United Kingdom		25,783,995			52,350,084			—			78,134,079
United States		281,019,551			—			2,943,000			283,962,551
TOTAL COMMON STOCKS	$	371,950,618		$	84,255,771		$	2,943,000		$	459,149,389

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Description	Level 1			Level 2			Level 3		Total
Consolidated Special Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Argentina	$	181,397		$	—		$	—	$	181,397
South Korea		—			13,331,308			—		13,331,308
United States		362,750			—			—		362,750
TOTAL PREFERRED STOCKS		544,147			13,331,308			—		13,875,455
Rights/Warrants
Argentina		—			6,323,318			—		6,323,318
Canada		45,226			—			—		45,226
United States		11,834,064			—			—		11,834,064
TOTAL RIGHTS/WARRANTS		11,879,290			6,323,318			—		18,202,608
Investment Funds
Romania		—			20,014,154			—		20,014,154
TOTAL INVESTMENT FUNDS		—			20,014,154			—		20,014,154
Debt Obligations
Argentina		—			5,861,834			—		5,861,834
Canada		—			12,168,441			—		12,168,441
Iceland		—			—			32,028,083		32,028,083
Puerto Rico		—			25,440,173			—		25,440,173
United States		—			12,470,933			—		12,470,933
TOTAL DEBT OBLIGATIONS		—			55,941,381			32,028,083		87,969,464
Options Purchased		293,700			96,000			—		389,700
Short-Term Investments		279,927,670			—			—		279,927,670
Total Investments		664,595,425			179,961,932			34,971,083		879,528,440
Derivatives*
Futures Contracts
Physical Commodity Contract Risk		1,075,412			—			—		1,075,412
Swap Contracts
Credit Risk		—			905,928			—		905,928
Total	$	665,670,837		$	180,867,860		$	34,971,083	$	881,509,780
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(658,843	)	$	—	$	(658,843	)
Futures Contracts
Physical Commodity Contract Risk		(618,876	)		—			—		(618,876	)
Written Options
Equity Risk		—			(3,171,680	)		—		(3,171,680	)
Swap Contracts
Credit Risk		—			(1,440,146	)		—		(1,440,146	)
Total	$	(618,876	)	$	(5,270,669	)	$	—	$	(5,889,545	)

106

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August 31, 2015 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,008,060,504		$	—		$	—	$	2,008,060,504
Debt Obligations
Asset-Backed Securities		—			—			299,506		299,506
U.S. Government		—			206,577,507			—		206,577,507
TOTAL DEBT OBLIGATIONS		—			206,577,507			299,506		206,877,013
Short-Term Investments		168,114			—			—		168,114
Total Investments		2,008,228,618			206,577,507			299,506		2,215,105,631
Total	$	2,008,228,618		$	206,577,507		$	299,506	$	2,215,105,631
Consolidated Systematic Global Macro Opportunity Fund
Asset Valuation Inputs
Mutual Funds	$	561,816,997		$	—		$	—	$	561,816,997
Short-Term Investments		859,664,370			—			—		859,664,370
Total Investments		1,421,481,367			—			—		1,421,481,367
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—			4,701,046			—		4,701,046
Futures Contracts
Equity Risk		1,426,084			47,737			—		1,473,821
Physical Commodity Contract Risk		373,494			—			—		373,494
Total	$	1,423,280,945		$	4,748,783		$	—	$	1,428,029,728
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(54,996	)	$	—	$	(54,996	)
Futures Contracts
Equity Risk		(85,982	)		(17,436,393	)		—		(17,522,375	)
Interest Rate Risk		(4,807	)		(3,778,593	)		—		(3,783,400	)
Total	$	(90,789	)	$	(21,269,982	)	$	—	$	(21,360,771	)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

* The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Funds’ net asset values than the uncertainties surrounding inputs for a non-derivative security with the same market value.

** Risk is the correlation between equity risk and foreign currency risk.

The underlying funds held at year end are classified above as Level 1. For the summary of valuation inputs of the underlying funds, please refer to the underlying funds’ summary of levels above.

For all Funds for the period ended August 31, 2015, there were no significant transfers between Level 1 and Level 2.

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August 31, 2015 (Unaudited)

The following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2015			Purchases			Sales				Accrued Discounts/ Premiums				Total Realized Gain/ (Loss)				Change in Unrealized Appreciation (Depreciation)				Transfer into Level 3*				Transfer out of Level 3*				Balances as of August 31, 2015			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2015
Alpha Only Fund
Common Stocks
China		$	—		$	—		$	—			$	—			$	—			$	—			$	250,063	**		$	—			$	250,063		$	—
Total		$	—		$	—		$	—			$	—			$	—			$	—			$	250,063			$	—			$	250,063		$	—
Benchmark-Free Allocation Fund
Common Stocks
China		$	—		$	—		$	—			$	—			$	—			$	—			$	3,914,059	**		$	(3,914,059	)***		$	—		$	—
South Africa			231			—			—				—				—				(18	)			—				(213	)***			—			—
United Kingdom			—			5,801,986			(1,170,217	)							24,664				1,426,741				—				(6,083,174	)***			—			—
Rights/Warrants
United States			1,139,900			—			—				—				—				—				—				(1,139,900	)***			—			—
Debt Obligations
Trade Claims																																	—
Iceland			2,776,975			69,899,532			—				—				—				(305,818	)			—				(72,370,689	)***			—			—
Asset-Backed Securities
United States			1,599			—			—				740				—				(739	)			—				(1,600	)***			—			—
Bank Loans
Canada			28,341,000			—			(28,200,000	)			12,813				263,106				(416,919	)			—				—	***			—			—
Denmark			—			25,979,406			—				308,385				—				(581,109	)			—				(25,706,682	)***			—			—
Netherlands			8,181,637			—			(8,102,079	)			—				(149,649	)			70,091				—				—	***			—			—
United States			39,323,460			38,758,433			(21,944,457	)			42,680				157,626				(231,632	)			—				(56,106,110	)***			—			—
Purchased Options																																	—
United States			84,282,587			—			—				—				—				7,897,929				—				(92,180,516	)***			—			—
Total Investments		$	164,047,389		$	140,439,357		$	(59,416,753	)		$	364,618			$	295,747			$	7,858,526			$	3,914,059			$	(257,502,943	)		$	—		$	—
Derivatives
Swap Contracts		$	2,645,708		$	—		$	—			$	—			$	—			$	(5,537,823	)		$	—			$	2,892,115	***		$	—		$	—
Total		$	2,645,708		$	—		$	—			$	—			$	—			$	(5,537,823	)		$	—			$	2,892,115			$	—		$	—
Global Asset Allocation Fund
Debt Obligations
Asset-Backed Securities		$	1,095,857		$	—		$	(492,701	)		$	(1,174	)		$	38,546			$	4,426			$	—			$	(21,373	)		$	623,581		$	31,010
Total		$	1,095,857		$	—		$	(492,701	)#		$	(1,174	)		$	38,546			$	4,426			$	—			$	(21,373	)		$	623,581		$	31,010
Consolidated Implementation Fund
Common Stocks
China		$	—		$	—		$	—			$	—			$	—			$	—			$	9,611,365	**		$	—			$	9,611,365		$	—
South Africa			231			—			—				—				—				(28	)			—				—				203			(28	)
United Kingdom			—			11,331,964			(1,170,217	)			—				24,664				(1,306,860	)			—				—				8,879,551			(1,306,860	)

108

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Balances as of February 28, 2015			Purchases			Sales				Accrued Discounts/ Premiums			Total Realized Gain/ (Loss)				Change in Unrealized Appreciation (Depreciation)				Transfer into level 3*			Transfer out of level 3*			Balances as of August 31, 2015				Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2015
Consolidated Implementation Fund (continued)
Rights/Warrants
United States		$	1,139,900		$	—		$	—			$	—		$	—			$	(113,990	)		$	—		$	—		$	1,025,910			$	(113,990	)
Debt Obligations
Trade Claims Iceland			2,776,975			84,774,092			(8,582,296	)			211			—				1,701,511				—			—			80,670,493				1,701,722
Asset-Backed Securities
United States			1,599			—			—				164			—				(164	)			—			—			1,599				(203	)
Bank Loans
Canada			28,341,000			—			(28,200,000	)			—			282,000				(423,000	)			—			—			—				—
Denmark			—			25,979,407			—				540,860			—				(501,989	)			—			—			26,018,278				(501,989	)
Netherlands			8,181,637			—			(8,102,079	)			—			(149,649	)			70,091				—			—			—				—
United States			39,323,460			38,679,818			(22,022,044	)			49,402			168,066				(529,394	)			—			—			55,669,308				(255,644	)
Purchased Options
United States			84,282,587			—			—				—			—				(18,051,617	)			—			—			66,230,970				(18,051,617	)
Total Investments		$	164,047,389		$	160,765,281		$	(68,076,636	)		$	590,637		$	325,081			$	(19,155,440	)		$	9,611,365		$	—		$	248,107,677			$	(18,528,609	)
Derivatives
Options		$	—		$	—		$	(9,452,561	)		$	—		$	—			$	885,967			$	—		$	—		$	(8,566,574	)		$	885,967
Swap Contracts			2,645,708			—			—				—			—				(7,435,151	)			—			—			(4,789,443	)			(7,435,151	)
Total		$	2,645,708		$	—		$	(9,452,561	)		$	—		$	—			$	(6,549,184	)		$	—		$	—		$	(13,356,017	)		$	(6,549,184	)
Consolidated Special Opportunities Fund
Common Stocks
United States		$	—		$	2,976,000		$	—			$	—		$	—			$	(33,000	)		$	—		$	—		$	2,943,000			$	(33,000	)
Debt Obligations
Trade Claims			29,661,174			1,648,771			(4,704,653	)			—			(1,488,427	)			6,911,218				—			—			32,028,083				6,911,218
Total		$	29,661,174		$	4,624,771		$	(4,704,653	)		$	—		$	(1,488,427	)		$	6,878,218			$	—		$	—		$	34,971,083			$	6,878,218
Strategic Opportunities Allocation Fund
Debt Obligations
Asset-Backed Securities		$	228,255		$	—		$	(13,190	)		$	1,411		$	3,305			$	79,725			$	—		$	—		$	299,506			$	80,879
Total		$	228,255		$	—		$	(13,190	)##		$	1,411		$	3,305			$	79,725			$	—		$	—		$	299,506			$	80,879

* The Funds account for securities and derivatives, if any, transferred into and out of Level 3 at the value at the end of the period.

** Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs.

*** Amounts shown represents adjustments due to deconsolidation at July 31, 2015 (Note 2 — Basis of presentation and principles of consolidation).

# Includes $66,685 of proceeds received from principal paydowns.

## Includes $12,821 of proceeds received from principal paydowns.

109

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

The net aggregate direct and indirect exposure to investments in securities and/or derivatives using Level 3 inputs and presented on a net basis, which will tend to understate the Funds’ exposure (based on each Fund’s net assets) as of August 31, 2015 were as follows:

Fund Name	Level 3 securities and derivatives
Alpha Only Fund		< 1%
Benchmark-Free Allocation Fund		5%
Benchmark-Free Fund		4%
Global Asset Allocation Fund		4%
Global Developed Equity Allocation Fund		< 1%
Global Equity Allocation Fund		< 1%
Consolidated Implementation Fund		1%
International Developed Equity Allocation Fund		< 1%
International Equity Allocation Fund		< 1%
Consolidated Special Opportunities Fund		4%
Strategic Opportunities Allocation Fund		4%
Consolidated Systematic Global Macro Opportunity Fund		< 1%

Cash

Cash and foreign currency, if any, on the Statements of Assets and Liabilities consists of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include mark-to-market amounts related to foreign currency.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Loan assignments and participations

Certain Funds may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of good or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Repurchase agreements

The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency

110

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August 31, 2015 (Unaudited)

proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Inflation-indexed bonds

Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation into the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are reflected as a liability on the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Municipal obligations

Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: “general obligation” bonds and “revenue” bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer’s pledge of its full faith, credit, and taxing power for the payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is generally the net revenues derived from a particular facility or group of facilities or, in some cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Trade claims

Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to the underlying transaction giving rise to the trade claim. Trade claims outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

111

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Taxes and distributions

Each Fund, except Systematic Global Macro Opportunity Fund (see below), has elected or intends to elect to be treated and intends to qualify each tax year as a regulated investment company (each a “RIC Fund”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each RIC Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each RIC Fund makes no provision for U.S. federal income or excise taxes.

Systematic Global Macro Opportunity Fund (the “Partnership Fund”) has elected to be treated as a partnership for U.S. federal income tax purposes and each shareholder is responsible for their tax liabilities, if any, related to their allocable share of Partnership Fund taxable income, gains, losses, deductions, credits and items of tax preference. The Partnership Fund’s activities do not generally constitute those of a U.S. trade or business. Accordingly, the Partnership Fund is generally not subject to U.S. federal, state and/or other income-based U.S. taxes (other than certain withholding taxes). Dividends and other income may be subject to withholding or similar taxes imposed by the country in which such dividends or other income originate.

Effective July 1, 2015, Implementation Fund elected, for federal income tax purposes to be treated as a corporation, and, as noted above, Implementation Fund intends to qualify as a regulated investment company, also effective as of that date. Prior to July 1, 2015, Implementation Fund was disregarded as an entity separate from its sole shareholder, Benchmark-Free Allocation Fund (“BFAF”) for U.S. federal income tax purposes. BFAF was treated as owning Implementation Fund’s assets directly for U.S. federal income tax purposes. As such, any income, gain, loss, deduction or other tax items arising in respect of Implementation Fund’s assets were treated as if they were realized or incurred, as applicable, directly by BFAF. As of the above effective date, Implementation Fund’s assets and gains and losses will be evaluated on their own and the Fund will make distributions accordingly.

Alternative Asset SPC Ltd., Implementation SPC Ltd. and Special Opportunities SPC Ltd. are wholly-owned subsidiaries of Systematic Global Macro Opportunity Fund, Implementation Fund and Special Opportunities Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.

The policy of each RIC Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the RIC Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each RIC Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each RIC Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a RIC Fund. Typically all distributions are reinvested in additional shares of each RIC Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each RIC Fund on the ex-dividend date.

Because the Partnership Fund has elected to be treated as a partnership for U.S. federal income tax purposes, it is not required to make distributions to its shareholders. It is the policy of the Partnership Fund to declare and pay non-redeeming distributions in the sole discretion of the Trustees (or their delegates). Distributions made by the Partnership Fund, if any, other than distributions made in partial or complete redemption of shareholders’ interests in the Partnership Fund, are reported in the Partnership Fund’s Statement of Changes in Net Assets as Partnership Fund distributions to shareholders.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to each RIC Fund’s investments in certain jurisdictions may be higher if a significant portion of each RIC Fund is held by non-U.S. shareholders and/or if certain investments are made by a Fund’s wholly-owned subsidiary. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2015, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

Certain Funds have filed for additional reclaims related to foreign taxes withheld in prior years, based on interpretations of European Union tax principals. Generally, to the extent a Fund reasonably determines that such additional tax reclaims are collectible and free from significant contingencies, the amounts are reflected as Dividends from unaffiliated issuers in the Statement of Operations.

Foreign taxes paid by each RIC Fund may be treated, to the extent permissible under the Code and if that RIC Fund so elects, as if paid by U.S. shareholders of that RIC Fund.

Income and capital gain distributions for each RIC Fund are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing

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August 31, 2015 (Unaudited)

certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of a RIC Fund’s tax basis earnings and profits, if significant, are reported in the RIC Funds’ financial statements as a return of capital.

As of February 28, 2015, certain RIC Funds elected to defer to March 1, 2015 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

RIC Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Losses ($)
Alpha Only Fund		—		(134,807,482)
Consolidated Benchmark-Free Allocation Fund		—		—
Benchmark-Free Fund		—		—
Global Asset Allocation Fund		—		—
Global Developed Equity Allocation Fund		(3,131)		—
Global Equity Allocation Fund		(7,969)		—
Consolidated Implementation Fund		—		—
International Developed Equity Allocation Fund		(1,876)		—
International Equity Allocation Fund		(2,746)		—
Consolidated Special Opportunities Fund		—		(4,916,408)
Strategic Opportunities Allocation Fund		(2,286)		—

As of February 28, 2015, certain RIC Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses recognized in taxable years beginning on or after March 1, 2011 are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. In addition, such losses should be utilized prior to losses scheduled to expire on or before February 28, 2019. As a result of this ordering rule, losses that are subject to expiration may expire unused. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses and losses realized subsequent to February 28, 2015, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The RIC Funds’ capital loss carryforwards are as follows:

	Short-Term ($)						Total Short-Term ($)		Long- Term ($)
RIC Fund Name	Expiration Date 2/28/2018		Expiration Date 2/28/2019		No Expiration Date				No Expiration Date
Alpha Only Fund		(403,439,253)		(95,046,616)		(188,353,678)		(686,839,547)		(132,207,408)
Consolidated Benchmark-Free Allocation Fund		(22,323,321)		(7,441,107)		—		(29,764,428)		—
Benchmark-Free Fund		—		—		—		—		—
Global Asset Allocation Fund		—		—		—		—		—
Global Developed Equity Allocation Fund		—		—		—		—		—
Global Equity Allocation Fund		—		—		—		—		—
Consolidated Implementation Fund		—		—		—		—		—
International Developed Equity Allocation Fund		(16,454,737)		(22,515,333)		—		(38,970,070)		—
International Equity Allocation Fund		—		—		—		—		—
Consolidated Special Opportunities Fund		—		—		(3,054,252)		(3,054,252)		—
Strategic Opportunities Allocation Fund		—		—		—		—		—

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August 31, 2015 (Unaudited)

As of August 31, 2015, the approximate cost for U.S. federal income tax purposes and the aggregate investment-level gross and net unrealized appreciation (depreciation) in the value of investments were as follows:

Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Alpha Only Fund		1,584,142,881		48,199,525		(135,319,234)		(87,119,709)
Benchmark-Free Allocation Fund		21,398,676,874		16,294,749		(1,058,438,561)		(1,042,143,812)
Benchmark-Free Fund		5,214,612,332		11,100,426		(580,912,008)		(569,811,582)
Global Asset Allocation Fund		4,256,693,476		2,236,733		(489,508,610)		(487,271,877)
Global Developed Equity Allocation Fund		1,752,399,568		—		(166,226,841)		(166,226,841)
Global Equity Allocation Fund		3,791,977,806		—		(606,000,194)		(606,000,194)
Consolidated Implementation Fund		17,549,532,264		319,513,838		(1,569,377,390)		(1,249,863,552)
International Developed Equity Allocation Fund		1,232,642,913		—		(156,078,019)		(156,078,019)
International Equity Allocation Fund		1,638,344,272		—		(231,697,356)		(231,697,356)
Consolidated Special Opportunities Fund		892,757,703		41,867,743		(55,137,357)		(13,269,614)
Strategic Opportunities Allocation Fund		2,385,041,556		4,831,767		(174,767,692)		(169,935,925)
Consolidated Systematic Global Macro Opportunity Fund		1,417,787,376		17,305,603		(13,611,612)		3,693,991

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., guidance pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees and supplemental support fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (See Note 5).

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August 31, 2015 (Unaudited)

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent for all Funds except Alpha Only Fund. For Alpha Only Fund, Brown Brothers Harriman & Co. (“BBH”) serves as the custodian and fund accounting agent and State Street serves as the transfer agent. Prior to December 31, 2013, State Street’s transfer agent fees may have been reduced by an earnings allowance calculated on the average daily cash balances each Fund maintained in a State Street transfer agent account. Effective January 1, 2014, any cash balances maintained at the transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations. Prior to December 31, 2012, State Street’s custodian fees may have been reduced by an earnings allowance calculated on the average daily cash balance each Fund maintained in a State Street custodial account. Earnings allowances were reported as a reduction of expenses in the Statements of Operations. Effective January 1, 2013, any cash balances maintained at the custodian are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds or a wholly-owned subsidiary) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and/or redemption fee or modify an existing fee at any time.

Each of the Funds may charge purchase premiums and redemption fees. Purchase premiums and redemption fees for the Funds are typically reassessed annually by GMO based on the weighted average of (i) the estimated transaction costs for directly held assets and (ii) the purchase premiums and/or redemption fees, if any, imposed by the underlying funds in which the Funds invest. If that weighted average is less than 0.05%, the Funds usually will not charge a purchase premium or redemption fee.

Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion. GMO also may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

GMO will waive or reduce the purchase premium when securities are used to purchase a Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with its acquisition of those securities. GMO may waive or reduce redemption fees when a Fund uses portfolio securities to redeem its shares. However, when a substantial portion of a Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with the Trust to transmit orders for purchases and redemptions the day after those orders are received.

GMO may consider known cash flows out of or into underlying funds when placing orders for the cash purchase or redemption of underlying fund shares by accounts over which it has investment discretion, including the Funds and other pooled investment vehicles. Consequently, participants in those accounts will tend to benefit more from waivers of the underlying funds’ purchase premiums and redemption fees than other underlying fund shareholders.

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August 31, 2015 (Unaudited)

As of August 31, 2015, the premium on cash purchases and the fee on cash redemptions were as follows:

	Alpha Only	Benchmark-Free Allocation Fund(1)	Benchmark-Free Fund(2)	Global Asset Allocation Fund(3)	Global Developed Equity Allocation Fund(4)	Global Equity Allocation Fund(5)	Consolidated Implementation Fund(6)	International Developed Equity Allocation Fund(7)	International Equity Allocation Fund(8)	Special Opportunities Fund	Strategic Opportunities Allocation Fund(9)	Sytematic Global Macro Opportunity Fund
Purchase Premium	—	0.18%	0.18%	0.14%	0.08%	0.19%	0.20%	0.08%	0.27%	0.50%	0.14%	—
Redemption Fee	—	0.18%	0.18%	0.14%	0.08%	0.19%	0.20%	0.08%	0.27%	0.50%	0.14%	—

⁽¹⁾  For the periods from June 30, 2014 to June 30, 2015 and June 30, 2013 to June 30, 2014, the premium on cash purchases and the fee on cash redemptions were each 0.13% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.12% of the amount invested or redeemed.

⁽²⁾  For the periods from June 30, 2014 to June 30, 2015 and June 30, 2013 to June 30, 2014, , the premium on cash purchases and the fee on cash redemptions were each 0.13% and 0.14% of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.13% of the amount invested or redeemed.

⁽³⁾  For the period from June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.11% of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.10% of the amount invested or redeemed.

⁽⁴⁾  Prior to March 10, 2014, there was no premium on cash purchases or fee on cash redemptions.

⁽⁵⁾  For the period from June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.11% of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.12% of the amount invested or redeemed.

⁽⁶⁾  Prior to June 30, 2015, there was no premium on cash purchases or fee on cash redemptions.

⁽⁷⁾  Prior to March 10, 2014, there was no premium on cash purchases or fee on cash redemptions.

⁽⁸⁾  For the period from June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.21% of the amount invested or redeemed.

⁽⁹⁾  For the period from June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.06% of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.07% of the amount invested or redeemed

Recently-issued accounting guidance

In June 2014, the Financial Accounting Standards Board (“FASB”) issued Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for annual financial statements with fiscal years beginning on or after December 15, 2014. GMO is evaluating the impact, if any, of this guidance on the Funds’ financial statements.

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August 31, 2015 (Unaudited)

3. Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

Alpha Only Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

Special Opportunities Fund

Strategic Opportunities Allocation Fund

Systematic Global Macro Fund

Market Risk – Equities

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Fixed Income Investments

X

X

X

X

X

X

X

X

X

X

X

X

Market Risk – Asset-Backed Securities

X

X

X

X

X

X

X

X

X

X

X

Credit Risk

X

X

X

X

X

X

X

X

X

X

X

X

Illiquidity Risk

X

X

X

X

X

X

X

X

X

X

X

X

Smaller Company Risk

X

X

X

X

X

X

X

X

X

X

X

Derivatives and Short Sales Risk

X

X

X

X

X

X

X

X

X

X

X

X

Non-U.S. Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

Currency Risk

X

X

X

X

X

X

X

X

X

X

X

X

Focused Investment Risk

X

X

X

X

X

X

X

X

X

X

X

Leveraging Risk

X

X

X

X

X

X

X

X

X

X

X

X

Counterparty Risk

X

X

X

X

X

X

X

X

X

X

X

X

Commodities Risk

X

X

X

X

X

X

X

Merger Arbitrage Risk

X

X

X

X

X

X

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

Large Shareholder Risk

X

X

X

X

X

X

X

X

X

X

X

X

Management and Operational Risk

X

X

X

X

X

X

X

X

X

X

X

X

Fund of Funds Risk

X

X

X

X

X

X

X

X

X

X

X

Non-Diversified Funds

X

X

X

X

X

X

X

X

X

X

X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds and other investment companies (collectively, “Underlying Funds”) or in a wholly-owned subsidiary is exposed to the risks to which the Underlying Funds or wholly-owned subsidiary in which it invests are exposed as well as the risk that the Underlying Funds or wholly-owned subsidiary will not perform as expected. Therefore, unless otherwise noted, the risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through its Underlying Funds or a wholly-owned subsidiary.

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GMO Trust Funds

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August 31, 2015 (Unaudited)

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Equities — Funds that invest in equities run the risk that the market prices of equities will decline. That decline may be attributable to factors affecting the issuing company, such as poor performance by the company’s management or reduced demand for its goods or services, or to factors affecting a particular industry, such as a decline in demand, labor or raw material shortages, or increased production costs. A decline also may result from general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equities generally have significant price volatility, and their market prices can decline in a rapid or unpredictable manner. If a Fund purchases equities for less than their value as determined by GMO, the Fund runs the risk that their market price will not appreciate or will decline for a variety of reasons, one of which may be GMO’s incorrect assessment of their intrinsic value. The market prices of equities trading at high multiples of current earnings often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples.

To the extent a Fund invests in GMO Risk Premium Fund (“Risk Premium Fund”), the Fund is exposed to Risk Premium Fund’s market risk with respect to equities. Because of Risk Premium Fund’s emphasis on selling put options on stock indices, its net asset value is expected to decline when those indices decline in value. Also, Risk Premium Fund’s investment strategy of writing put options on stock indices can be expected to cause the Fund to underperform the equity markets on which its puts were written when those markets rise sharply because of the Fund’s lack of exposure to the upside of those markets.

Fixed Income Investments — Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments, and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities, and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. Some fixed income securities also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the fixed income security. When interest rates rise, these securities also may be repaid more slowly than anticipated, and the market price of the Fund’s investment may decrease. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often below investment grade securities are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. See “Credit Risk” and “Illiquidity Risk” below for more information about these risks.

A risk run by each Fund with a significant investment in fixed income securities is that an increase in prevailing interest rates will cause the market price of those securities to decline. The risk associated with increases in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income securities with longer durations. In addition, in managing some Funds, GMO may seek to evaluate potential investments in part by considering the volatility of interest rates. The value of a Fund’s investments may be significantly reduced if GMO’s assessment proves incorrect.

The extent to which a fixed income security’s price changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because the investment’s fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate securities, however, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate securities have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate securities when interest rates rise but outperform them when interest rates decline. Fixed income securities paying no interest, such as zero coupon and principal-only securities, are subject to additional interest rate risk.

The market price of inflation-indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) typically declines during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increases during periods of declining real interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the market price of inflation-indexed bonds may decline more than the price of non-inflation-indexed (or nominal) fixed income bonds with similar maturities.

Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless GMO waives or reduces its management fees.

Fixed income securities denominated in foreign currencies also are subject to currency risk. See “Currency Risk” below.

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

In response to government intervention, economic or market developments, or other factors, fixed income markets may experience periods of high volatility, reduced liquidity or both. During those periods, a Fund could have unusually high shareholder redemptions, requiring it to generate cash by selling securities when it would otherwise not do so, including at unfavorable prices. Fixed income investments may be difficult to value during such periods. In recent periods, central banks and governmental financial regulators, including the U.S. Federal Reserve, have maintained historically low interest rates by purchasing bonds. Steps to curtail or “taper” such activities and other actions by central banks or regulators (such as intervention in foreign currency markets or currency controls) could have a material adverse effect on the Funds.

Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described above for fixed income securities but to other market risks as well.

A Fund’s investments in asset-backed securities are exposed to greater risk of severe credit downgrades, illiquidity, and defaults than many other types of fixed income investments. These risks are particularly acute during periods of adverse market conditions, such as those that occurred in 2008. Asset-backed securities may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, and credit-card receivables. They also may be backed by pools of corporate or sovereign bonds, bank loans to corporations, or a combination of bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees payable to service providers.

As described under “Market Risk — Fixed Income Investments” above, the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a variety of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive at the time the Fund purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. Asset-backed securities backed by sub-prime mortgage loans, in particular, may expose a Fund to significantly greater declines in value due to defaults because sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that were once rated investment grade are now rated below investment grade. See “Credit Risk” below for more information about credit risk.

With the deterioration of worldwide economic and liquidity conditions that occurred and became acute in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed and other fixed income securities. These conditions may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.

The market price of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of documentation for underlying assets also may affect the rights of holders of those underlying assets. The insolvency of an entity that generated the assets underlying an asset-backed security is likely to result in a decline in the market price of that security, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security. When interest rates rise, these obligations also may be repaid more slowly than anticipated, and the market price of the Fund’s investment may decrease.

In addition, the existence of insurance on an asset-backed security does not guarantee that the principal and interest will be paid because the insurer could default on its obligations.

The risk of investing in asset-backed securities has increased since the deterioration in worldwide economic and liquidity conditions referred to above because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” below for more information about risks of investing in correlated sectors. A single financial institution may serve as a trustee for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on many investments.

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• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s, guarantor’s, or obligor’s failure to meet its payment obligations or the downgrading of its credit rating. This risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

All fixed income securities are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation, government or government entity, whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the term of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s ability and willingness to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for fixed income securities issued or guaranteed by emerging countries.

In many cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that the investment’s rating will be downgraded.

Securities issued by the U.S. government historically have presented minimal credit risk. However, recent events have led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and have introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a default in the payment of principal or interest on U.S. government securities would decrease, the value of a Fund’s investments and could increase the volatility of a Fund’s portfolio.

As described under “Market Risk — Asset-Backed Securities” above, asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described under “Market Risk — Asset-Backed Securities” above.

The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives and Short Sales Risk” below for more information regarding risks associated with the use of credit default swaps.

The extent to which the market price of a fixed income security changes in response to a credit event depends on many factors and can be difficult to predict. For example, even though the effective duration of a long-term floating rate security is very short, an adverse credit event or a change in the perceived creditworthiness of its issuer could cause its market price to decline much more than its effective duration would suggest.

Credit risk is particularly pronounced for below investment grade securities (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade securities have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. Investments in distressed or defaulted debt securities generally are considered speculative and may involve substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that can lead to payment defaults and insolvency proceedings on the part of their issuers. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses to seek recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt security proves incorrect, a Fund may lose a substantial portion or all of its investment or may be required to accept cash or instruments worth less than its original investment. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the issuer.

• ILLIQUIDITY RISK. Illiquidity risk is the risk that low trading volume, lack of a market maker, large position size, or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or closing derivative positions at desirable prices. In addition to these risks, a Fund is exposed to illiquidity risk when it has an obligation to purchase particular

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securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). To the extent a Fund’s investments include asset-backed securities, distressed or defaulted debt securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float adjusted market capitalizations, or emerging market securities, it is subject to increased illiquidity risk. These types of investments can be difficult to value, exposing a Fund to the risk that the price at which it sells them will be less than the price at which they were valued when held by the Fund. Illiquidity risk also may be greater in times of financial stress. For example, TIPS have experienced periods of greatly reduced liquidity during disruptions in fixed income markets, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when market prices decline generally.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

To the extent a Fund invests in Risk Premium Fund, the Fund is exposed to the risk that Risk Premium Fund’s ability to use options as part of its investment program depends on the liquidity of the options market. In addition, that market may not be liquid when Risk Premium Fund seeks to close out an option position. Also, the hours of trading for options on an exchange may not conform to the hours during which the securities held by Risk Premium Fund are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the markets for underlying securities that are not immediately reflected in the options markets. If Risk Premium Fund receives a redemption request and is unable to close out an option it has sold, the Fund may temporarily be leveraged in relation to its assets.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, may have inexperienced managers or may depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. Market risk and illiquidity risk are particularly pronounced for securities of these companies.

• DERIVATIVES AND SHORT SALES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives involve the risk that their value may not change as expected relative to changes in the value of the assets, rates, or indices they are designed to track. Derivatives include futures contracts, forward contracts, foreign currency contracts, swap contracts, contracts for differences, options on securities and indices, options on futures contracts, options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other over-the-counter (“OTC”) contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks of investing directly in securities and other more traditional assets. In particular, a Fund’s use of OTC derivatives exposes it to the risk that the counterparties will be unable or unwilling to make timely settlement payments or otherwise honor their obligations. An OTC derivatives contract typically can be closed only with the consent of the other party to the contract. If the counterparty defaults, the Fund will still have contractual remedies but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund, and if it does, the Fund may decide not to pursue its claims against the counterparty to avoid the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments GMO believes are owed to it under OTC derivatives contracts, or those payments may be delayed or made only after the Fund has incurred the cost of litigation.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., foreign currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs a greater risk of being unable to recover what it is owed if the counterparty defaults. Even when derivatives are required by contract to be collateralized, a Fund typically will not receive the collateral for one or more days after the collateral is required to be posted.

The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives in which it has invested.

Derivatives also present other risks described in this section, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result,

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incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

A Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of a Fund, the Funds will not be permitted to trade with that counterparty. In addition, GMO may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures, potentially resulting in losses for the Fund.

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk” above) and counterparty risk (see “Counterparty Risk” below). These derivatives are also subject to documentation risk, which is the risk that ambiguities, inconsistencies or errors in the documentation relating to a derivative transaction may lead to a dispute with the counterparty or unintended investment results. In addition, see “Commodities Risk” below for a discussion of risks specific to commodity-related derivatives. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. See “Leveraging Risk” below.

A Fund’s use of derivatives may be subject to special tax rules and could generate additional taxable income for shareholders. In addition, the tax treatment of a Fund’s use of derivatives may be unclear because there is little case or other law interpreting the terms of most derivatives or determining their tax treatment.

Derivatives Regulation. The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union (and some other countries) are implementing similar requirements, which will affect a Fund when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear.

Transactions in some types of swaps (including interest rate swaps and credit default swaps on North American and European indices) are required to be centrally cleared. In a transaction involving those swaps (“cleared derivatives”), a Fund’s counterparty is a clearing house, rather than a bank or broker. Since the Funds are not members of clearing houses and only members of a clearing house (“clearing members”) can participate directly in the clearing house, the Funds hold cleared derivatives through accounts at clearing members. In cleared derivatives positions, the Funds make payments (including margin payments) to and receive payments from a clearing house through their accounts at clearing members. Clearing members guarantee performance of their clients’ obligations to the clearing house.

In some ways, cleared derivative arrangements are less favorable to mutual funds than bilateral arrangements, for example, by requiring that funds provide more margin for their cleared derivatives positions. Also, as a general matter, in contrast to a bilateral derivatives position, following a period of notice to a Fund, a clearing member at any time can require termination of an existing cleared derivatives position or an increase in margin requirements above those required at the outset of a transaction. Clearing houses also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy. Further, any increase in margin requirements by a clearing member could expose a Fund to greater credit risk to its clearing member because margin for cleared derivatives positions in excess of a clearing house’s margin requirements typically is held by the clearing member (see “Counterparty Risk” below). Also, a Fund is subject to risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. While the documentation in place between the Funds and their clearing members generally provides that the clearing members will accept for clearing all cleared derivatives transactions that are within credit limits (specified in advance) for each Fund, the Funds are still subject to the risk that no clearing member will be willing or able to clear a transaction. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and loss of hedging protection. In addition, the documentation governing the relationship between the Funds and clearing members is drafted by the clearing members and generally is less favorable to the Funds than typical bilateral derivatives documentation. For example, documentation relating to cleared derivatives generally includes a one-way indemnity by the Funds in favor of the clearing member for losses the clearing member incurs as the Funds’ clearing member and typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks likely are more pronounced for cleared derivatives due to their more limited liquidity and market history.

Some types of cleared derivatives are required to be executed on an exchange or on a swap execution facility. A swap execution facility is a trading platform where multiple market participants can execute derivatives by accepting bids and offers made by multiple other participants in the platform. While this execution requirement is designed to increase transparency and liquidity in the cleared derivatives market, trading on a swap execution facility can create additional costs and risks for the Funds. For example, swap execution facilities typically charge fees, and if a Fund executes derivatives on a swap execution facility through a broker intermediary, the intermediary may impose fees as well. Also, a Fund

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may indemnify a swap execution facility, or a broker intermediary who executes cleared derivatives on a swap execution facility on the Fund’s behalf, against any losses or costs that may be incurred as a result of the Fund’s transactions on the swap execution facility. If a Fund wishes to execute a package of transactions that include a swap that is required to be executed on a swap execution facility as well as other transactions (for example, a transaction that includes both a security and an interest rate swap that hedges interest rate exposure with respect to such security), the Fund may be unable to execute all components of the package on the swap execution facility. In that case, the Fund would need to trade some components of the package on the swap execution facility and other components in another manner, which could subject the Fund to the risk that some components would be executed successfully and others would not, or that the components would be executed at different times, leaving the Fund with an unhedged position for a period of time.

The U.S. government and the European Union have proposed mandatory minimum margin requirements for bilateral derivatives. Such requirements could increase the amount of margin required to be provided by a Fund in connection with its derivatives transactions and, therefore, make derivatives transactions more expensive.

These and other new rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. The implementation of the clearing requirement has increased the costs of derivatives transactions for the Funds, since the Funds have to pay fees to their clearing members and are typically required to post more margin for cleared derivatives than they have historically posted for bilateral derivatives. The costs of derivatives transactions are expected to increase further as clearing members raise their fees as to cover the costs of additional capital requirements and other regulatory changes applicable to the clearing members, and when rules imposing mandatory minimum margin requirements on bilateral swaps become effective. These rules and regulations are new and evolving, so their potential impact on the Funds and the financial system are not yet known. While the new rules and regulations and central clearing of some derivatives transactions are designed to reduce systemic risk (i.e., the risk that the interdependence of large derivatives dealers could cause them to suffer liquidity, solvency or other challenges simultaneously), there is no assurance that they will achieve that result, and in the meantime, as noted above, central clearing and related requirements expose the Funds to new kinds of costs and risks.

Options. Some Funds are permitted to write options. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant stock market and underlying securities. The market price of an option also may be adversely affected if the market for the option becomes less liquid. In addition, since an American-style option allows the holder to exercise its rights any time before the option’s expiration, the writer of an American-style option has no control over when it will be required to fulfill its obligations as a writer of the option. (The writer of a European-style option is not subject to this risk because the holder may only exercise the option on its expiration date.) If a Fund writes a call option and does not hold the underlying security or instrument, the Fund’s potential loss is theoretically unlimited.

National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, GMO, and other funds advised by GMO will likely constitute such a group. If applicable, these limits restrict a Fund’s ability to purchase or write options on a particular security.

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (i.e., options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While a Fund has greater flexibility to tailor an OTC option, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary market risks.

Special tax rules apply to a Fund’s transactions in options, which could increase the taxes payable by shareholders. In particular, a Fund’s options transactions potentially could cause a substantial portion of the Fund’s income to consist of net short-term capital gain, which, when distributed, is taxable to shareholders subject to U.S. income tax at ordinary income tax rates.

Short Investment Exposure. Some Funds may sell securities or currencies short as part of their investment programs in an attempt to increase their returns or for hedging purposes. Short sales expose a Fund to the risk that it will be required to acquire, convert, or exchange a security or currency to replace the borrowed security or currency when the security or currency sold short has appreciated in value, thus resulting in a loss to the Fund. Purchasing a security or currency to close out a short position can itself cause the price of the security or currency to rise further, thereby exacerbating any losses. A Fund that sells short a security or currency it does not own also may have to pay borrowing fees to a broker and may be required to pay the broker any dividends or interest it receives on a borrowed security.

A Fund also may create short investment exposure by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying investment, pool of investments, index or currency. Short sales of securities or currencies a Fund does not own and “short” derivative positions involve forms of investment leverage, and the amount of the Fund’s potential loss is theoretically

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unlimited. A Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own or takes “short” derivative positions.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds that only invest in U.S. securities. Non-U.S. securities markets often include securities of only a small number of companies in a limited number of industries. As a result, the market prices of many of the securities traded on those markets fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject as much regulation as U.S. issuers, and the reporting, accounting, custody, and auditing standards to which those issuers are subject differ, in some cases significantly, from U.S. standards. Transactions in non-U.S. securities generally involve higher commission rates, transfer taxes and custodial costs. In addition, some jurisdictions may limit a Fund’s ability to profit from short-term trading (as defined in the relevant jurisdiction).

A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments, (ii) transactions in those investments, and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. A Fund may seek a refund of taxes paid, but its efforts may not be successful, in which case the Fund will have incurred additional expenses for no economic benefit. A Fund’s decision to seek a refund is in its sole discretion, and, particularly in light of the cost involved, it may decide not to seek a refund, even if eligible. The outcome of a Fund’s efforts to obtain a refund is not predictable, and some refunds may not be reflected in a Fund’s net asset value.

A Fund’s investment either directly or indirectly through a wholly-owned subsidiary could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investment, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation, or confiscatory taxation of assets of their issuers, other government involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises), adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments, including the imposition of economic sanctions.

In some non-U.S. securities markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. securities markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the United States with respect to brokers, custodians, clearing banks or other clearing agents, escrow agents, and issuers. Fluctuations in foreign currency exchange rates also affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).

The Funds need a license to invest directly in many non-U.S. securities markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license to invest in a particular market is terminated or suspended, to obtain exposure to that market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of GMO’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of a GMO client could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy or in the affairs of specific companies or industries (including in the case of wholly or partially state-owned enterprises); less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and enforcing legal judgments; and significantly smaller market capitalizations of issuers. In addition, the economies of emerging countries may be predominantly based on only a few industries or dependent on revenues from particular commodities.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the foreign currencies in which a Fund’s investments are traded, in which a Fund receives income, or in which

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a Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event the Fund may realize a loss on both the hedging instrument and the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons. See “Market Disruption and Geopolitical Risk” below.

Many of the Funds use derivatives to take currency positions that are under- or over-weighted (in some cases significantly) relative to the currency exposure of their portfolios and their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money on both its holdings of a particular currency and the derivative. See also “Non-U.S. Investment Risk” above.

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case GMO may decide to purchase U.S. dollars in a parallel market with an unfavorable exchange rate. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in foreign currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).

• FOCUSED INVESTMENT RISK. Funds with investments that are focused in particular countries, regions, sectors, industries or issuers that are subject to the same or similar risk factors and funds with investments whose prices are strongly correlated are subject to greater overall risk than funds with investments that are more diversified.

A Fund that invests in the securities of a small number of issuers has greater exposure to adverse developments affecting those issuers and to a decline in the market price of particular securities than Funds investing in the securities of a larger number of issuers. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments.

Similarly, Funds having a significant portion of their assets in investments tied economically (or related) to a particular geographic region, country (e.g., Taiwan or Japan) or market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in the value of the currency of one country can spread to other countries. Furthermore, companies in a particular geographic region or country are vulnerable to events affecting other companies in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. In addition, a Fund may suffer losses if a counterparty fails to comply with applicable laws or other requirements. The Funds are not subject to any limits on their exposure to any one counterparty nor to a requirement that counterparties with whom they enter into contracts maintain a specific rating by a nationally recognized rating organization. Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives.

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A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If a counterparty defaults, the Fund will have contractual remedies (whether or not the obligation is collateralized), but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the longer time during which events may occur that prevent settlement. Counterparty risk also is greater when a Fund has entered into derivatives contracts with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Funds that use swap contracts are subject, in particular, to the creditworthiness of the counterparties because some types of swap contracts have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required. To the extent that GMO’s view with respect to a particular counterparty changes adversely (whether due to external events or otherwise), a Fund’s existing transactions with that counterparty will not necessarily be terminated or modified. In addition, a Fund may enter into new transactions with a counterparty that GMO no longer considers a desirable counterparty if the transaction is primarily designed to reduce the Fund’s overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lower notional amount).

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.

Counterparty risk with respect to derivatives has been and will continue to be affected by new rules and regulations relating to the derivatives market. As described under “Derivatives and Short Sales Risk” above, some derivatives transactions are required to be centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position. Credit risk of market participants with respect to derivatives that are centrally cleared is concentrated in a few clearing houses, and it is not clear how an insolvency proceeding of a clearing house would be conducted and what impact an insolvency of a clearing house would have on the financial system.

• COMMODITIES RISK. Commodity prices can be extremely volatile and are affected by many factors. Exposure to commodities can cause the net asset value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner. The value of commodity-related derivatives or indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” above for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• MERGER ARBITRAGE RISK. Some Funds may engage in transactions in which a Fund purchases securities at prices below the value of the consideration GMO expects to be paid for them upon consummation of a proposed merger, exchange offer, tender offer, or other similar transaction (“merger arbitrage transactions”). The purchase price may substantially exceed the market price of the securities before the announcement of the transaction.

If a Fund engages in a merger arbitrage transaction and that transaction later appears unlikely to be consummated or, in fact, is not consummated or is delayed, the market prices of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of merger arbitrage strategies typically is asymmetric – the losses in failed transactions often far exceeding the gains in successful transactions. A merger arbitrage transaction can fail for many reasons, including regulatory and antitrust restrictions, political motivations, industry weakness, stock specific events, failed financings, and general market declines.

Merger arbitrage strategies depend for success on the overall volume of merger activity, which has historically been cyclical. When merger activity is low, GMO may be unable to identify enough opportunities to provide sufficient diversification. Merger arbitrage strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated. A Fund’s investments in derivatives or short sales of securities to hedge or otherwise adjust long or short investment exposure in connection with a merger arbitrage transaction may not perform as expected or may otherwise reduce the Fund’s gains or increase its losses. Also, a Fund may be unable to hedge against market fluctuations or other risks. In addition, a Fund that sells securities short that GMO expects it to receive upon consummation of a transaction but it does not actually receive (and thus has an unintended ‘naked” short position) may be required to cover its short position at a time when the securities sold short have appreciated in value, thus resulting in a loss.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of the Funds’ investments. Sudden or significant changes in the supply or prices of commodities or other economic inputs (e.g., the marked decline in oil prices in late 2014) may have material and unexpected effects on both global securities markets and individual countries, regions, sectors, companies, or industries, which could significantly reduce the value of a Fund’s investments. Terrorism in the United States and around the world has increased geopolitical risk. The

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terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. Securities markets may be susceptible to market manipulation (e.g., the manipulation of the London Interbank Offered Rate (LIBOR)) or other fraudulent trade practices, which could disrupt the orderly functioning of these markets or reduce the value of investments traded in them, including investments of the Funds. While the U.S. government has always honored its credit obligations, a default by the U.S. government (as has been threatened in recent years) would be highly disruptive to the U.S. and global securities markets and could significantly reduce the value of the Funds’ investments. Similarly, political events within the United States at times have resulted, and may in the future result, in a shutdown of government services, which could adversely affect the U.S. economy, decrease the value of many Fund investments, and increase uncertainty in or impair the operation of the U.S. or other securities markets. Uncertainty surrounding the sovereign debt of several European Union countries, as well as the continued existence of the European Union itself, has disrupted and may continue to disrupt markets in the United States and around the world. If one or more country changes its currency or leaves the European Union or if the European Union dissolves, the world’s securities markets likely will be significantly disrupted. Substantial government interventions (e.g., currency controls) also could adversely affect the Funds. War, terrorism, economic uncertainty, and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs and achieving their investment objectives. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis. To the extent a Fund has focused its investments in the stock index of a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund.

• LARGE SHAREHOLDER RISK. To the extent a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance by forcing the Fund to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, the Funds and other accounts over which GMO has investment discretion that invest in the Funds are not limited in how often they may purchase or sell Fund shares. The Asset Allocation Funds and separate accounts managed by GMO for its clients hold substantial percentages of the shares of many Funds, and asset allocation decisions by GMO may result in substantial redemptions from (or investments in) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for Fund shareholders. Additionally, in the case of Funds that are regulated investment companies for U.S. federal income tax purposes, they also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization. In addition, to the extent a Fund invests in other GMO Funds subject to large shareholder risk, the Fund is indirectly subject to this risk.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on GMO to achieve its investment objective. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results and cause the Fund to incur significant losses. GMO also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds, GMO uses quantitative analyses and models as part of its investment process. GMO’s models support portfolio decisions but are not necessarily predictive of future market events. These analyses and models also make simplifying assumptions that may limit their effectiveness. The data available and utilized for analysis or manipulation by the models is subject to limitations (e.g. inaccuracies, staleness). Any of those assumptions and/or limitations could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment may be wrong.

GMO relies more heavily on quantitative models in making investment decisions for GMO Systematic Global Macro Opportunity Fund. The usefulness of those models may be diminished by the faulty incorporation of mathematical models into computer code, by reliance on proprietary and third party technology that may include bugs or viruses, and by the retrieval of imperfect data for processing by the model. These aspects are present in the ordinary course of business and are more likely to occur at times of rapidly changing models. Any of these aspects could adversely affect GMO Systematic Global Macro Opportunity Fund’s performance.

There can be no assurance that key GMO personnel will continue to be employed by GMO. The loss of their services could have an adverse impact on GMO’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to the risk of loss as a result of other services provided by GMO and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency, and other services. Operational risk includes the possibility of loss caused by

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inadequate procedures and controls, human error, and system failures by a service provider. For example, trading delays or errors could prevent a Fund from benefiting from potential investment gains or avoiding losses. GMO is not contractually liable to the Funds for losses associated with operational risk absent its willful misfeasance, bad faith, gross negligence, or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have contractual limitations on their liability to the Funds for losses resulting from their errors.

The Funds and their service providers (including GMO) are susceptible to cyber-attacks and technological malfunctions that may have effects that are similar to those of a cyber-attack. Cyber-attacks include, among others, stealing or corrupting data maintained online or digitally, preventing legitimate users from accessing information or services on a website, releasing confidential information without authorization, and causing operational disruption. Successful cyber-attacks against, or security breakdowns of, a Fund, GMO, a sub-adviser, or a custodian, transfer agent, or other service provider may adversely affect the Fund or its shareholders. For instance, cyber-attacks may interfere with the processing of shareholder transactions, affect a Fund’s ability to calculate its net asset value, cause the release of private shareholder information or confidential Fund information, impede trading, cause reputational damage, and subject the Fund to regulatory fines, penalties or financial losses, reimbursement or other compensation costs, and additional compliance costs. While GMO has established business continuity plans and systems designed to prevent cyber-attacks, such plans and systems are subject to inherent limitations. Similar types of cyber security risks also are present for issuers of securities in which the Funds invest, which could result in material adverse consequences for such issuers, and may cause a Fund’s investment in such securities to lose value.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in Underlying Funds, including other GMO Funds, closed-end funds, money market funds, ETFs and other investment companies, or in a wholly-owned subsidiary are exposed to the risk that the Underlying Funds or wholly-owned subsidiary will not perform as expected. The Funds are also indirectly exposed to all of the risks of an investment in the Underlying Funds or a wholly-owned subsidiary.

Because a Fund bears the fees and expenses of any Underlying Fund or wholly-owned subsidiary in which it invests (absent reimbursement of those fees and expenses), the Fund will incur additional expenses when investing in an Underlying Fund or wholly-owned subsidiary. In addition, total Fund expenses will increase if a Fund makes a new or further investment in Underlying Funds with higher fees or expenses than the average fees and expenses of the Underlying Funds then in the Fund’s portfolio, or invests through a new wholly-owned subsidiary. Because some Underlying Funds invest a substantial portion of their assets in other GMO Funds (pursuant to an exemptive order obtained from the SEC), the Asset Allocation Funds have more tiers of investments than funds in many other groups of investment companies and therefore may be subject to greater fund of funds risk. In addition, to the extent a Fund invests in shares of other GMO Funds, it is indirectly subject to Large Shareholder Risk because those other GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.

Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.

A Fund’s investments through one or more Underlying Funds or a wholly-owned subsidiary could affect the amount, timing and character of its distributions and could cause the Fund to recognize taxable income in excess of the cash generated by such investments, requiring the Fund in turn to liquidate investments at disadvantageous times to generate cash needed to make required distributions.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of relatively few issuers. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”

In addition, each of the Funds may invest a portion of its assets in shares of one or more other GMO Funds that are not diversified investment companies under the 1940 Act. Each of the Funds may invest without limitation in other GMO Funds that are not diversified.

The following Funds are not diversified investment companies within the meaning of the 1940 Act:

• Alpha Only Fund

• Implementation Fund

• Special Opportunities Fund

• Systematic Global Macro Opportunity Fund

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in attempting to respond to adverse market, economic, political, or other conditions. The Funds (other than Benchmark-Free Allocation Fund, Benchmark-Free Fund, Implementation Fund and Systematic Global Macro Opportunity Fund) normally do not take temporary defensive positions. Benchmark- Free Allocation Fund, Benchmark-Free Fund, Implementation Fund and Systematic Global Macro Opportunity Fund may take temporary defensive positions if deemed prudent by GMO.

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To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

4. Derivative financial instruments

At August 31, 2015, only Alpha Only Fund, Implementation Fund, Special Opportunities Fund and Systematic Global Macro Opportunity Fund, held derivative financial instruments directly. For a listing of derivative financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, Special Opportunities Fund and Systematic Global Macro Opportunity Fund.

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

Use of Derivatives by Alpha Only Fund and Special Opportunities Fund

Alpha Only Fund’s investment program involves having both long and short investment exposures. Alpha Only Fund seeks to construct a portfolio in which it has long investment exposure to asset classes and sub-asset classes that GMO expects will outperform relative to the asset classes and sub-asset classes to which it has short investment exposure.

The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts, and options) to gain exposure to a given currency. In addition, Special Opportunities Fund may use derivatives to gain investment exposure to commodities, including the use of exchange-traded futures and foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies (and in the case of Special Opportunities Fund, commodities) without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

Special Opportunities Fund may have investment exposures in excess of its net assets (i.e., it may be leveraged). Alpha Only Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, Alpha Only Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. Alpha Only Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.

Use of Derivatives by Benchmark-Free Fund and Implementation Fund

The Funds may use derivatives to gain long investment exposure to securities, commodities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use exchange-traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets and may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Funds may use derivatives such as futures, related options, and swap contracts, in an attempt to reduce its investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero)

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some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. Implementation Fund uses exchange-traded futures and forward contracts as an integral part of its investment program.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of those stocks) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In adjusting investment exposures, each Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio. Each Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

The Fund may use derivatives to effect transactions intended as substitutes for securities lending.

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Fund may have gross investment exposures in excess of their net assets (i.e., the Funds may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

Use of Derivatives by Systematic Global Macro Opportunity Fund

The Fund invests in a range of global equity, bond, currency, and commodity markets using exchange-traded futures and forward non-U.S. exchange contracts as well as making other investments.

The Fund may use derivatives to gain long and/or short investment exposure to global equities, bonds, currencies, commodities, or other assets. In particular, the Fund may use exchange traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Fund may use derivatives in an attempt to adjust its investment exposures. For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

The Fund may use derivatives, such as futures, related options, and swap contracts, in an attempt to adjust elements of its investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In addition, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposure, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.

The Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

***

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to

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bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.

For Funds that held derivatives during the period ended August 31, 2015, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Alpha Only Fund		Benchmark-Free Allocation Fund*		Consolidated Implementation Fund		Consolidated Special Opportunities Fund**		Consolidated Systematic Global Macro Opportunity Fund***
Forward currency contracts
Adjust currency exchange rate risk										X
Adjust exposure to foreign currencies				X		X		X		X
Manage against anticipated currency exchange rate changes				X		X
Futures contracts
Adjust exposure to certain securities markets										X
Substitute for direct investment								X		X
Adjust interest rate exposure				X		X				X
Maintain the diversity and liquidity of the portfolio				X		X				X
Hedge some or all of the broad market exposure of the assets in which the Fund invests		X
Options (Purchased)
Achieve returns from the decline in an equity investment								X
Substitute for direct equity investment				X		X
Adjust currency exchange rate risk				X		X
Adjust exposure to foreign currencies				X		X
Adjust interest rate exposure				X		X
Options (Written)
Substitute for direct equity investment				X		X		X
Adjust currency exchange rate risk				X		X
Adjust exposure to foreign currencies				X		X
Adjust interest rate exposure				X		X
Swap contracts
Achieve exposure to a reference entity’s credit				X		X		X
Adjust interest rate exposure				X		X
Adjust exposure to foreign currencies				X		X
Rights and/or warrants
Received as a result of corporate actions		X		X		X		X

* Benchmark-Free Allocation Fund held no derivatives directly during the period ended August 31, 2015. The table shows how Implementation Fund used these derivatives during the period ended July 31, 2015 (See Note 2 — Basis of presentation and principles of consolidation).

** Certain derivatives are held by Special Opportunities Fund’s wholly-owned subsidiary.

*** Certain derivatives are held by Systematic Global Macro Opportunity Fund’s wholly-owned subsidiary.

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Forward currency contracts

The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.

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For the period ended August 31, 2015, investment activity in options contracts written by the Funds was as follows:

	Puts									Calls
	Principal Amount of Contracts			Number of Contracts			Premiums			Principal Amount of Contracts			Number of Contracts			Premiums
Benchmark-Free Allocation Fund
Outstanding, beginning of period		72,772,000			—		$	1,573,407			10,729,386,357			—		$	178,226,879
Options written		2,558,058,500			4,296			96,413,376			4,473,073,500			7,337			163,247,192
Options bought back		(2,285,282,000	)		—			(88,882,857	)		(10,423,274,357	)		(7,337	)		(174,045,102	)
Options expired		—			—			—			(361,674,000	)		—			(5,099,201	)
Options exercised*		(345,548,500	)		(4,296	)		(9,103,926	)		(4,417,511,500	)					(162,329,768	)
Outstanding, end of period		—			—		$	—			—			—		$	—
Consolidated Implementation Fund
Outstanding, beginning of period		72,772,000			—		$	1,573,407			10,729,386,357			—		$	178,226,880
Options written		2,558,058,500			14,798			113,921,052			4,652,503,500			7,337			169,486,026
Options bought back		(2,285,282,000	)		—			(88,882,857	)		(10,602,704,357	)		(7,337	)		(180,283,935	)
Options expired		—			—			—			(361,674,000	)		—			(5,099,202	)
Options exercised		—			—			—			—			—			—
Outstanding, end of period		345,548,500			14,798		$	26,611,602			4,417,511,500			—		$	162,329,769
Consolidated Special Opportunities Fund
Outstanding, beginning of period		743,000			7,430		$	2,275,055			214,600			2,146		$	841,681
Options written		184,000			1,840			897,085			—			—			—
Options bought back		(439,000	)		(4,390	)		(1,375,623	)		—			(1,600	)		(242,653	)
Options expired		—			—			—			—			—			—
Options exercised		—			—			—			—			(109	)		(189,716	)
Outstanding, end of period		488,000			4,880		$	1,796,517			214,600			437		$	409,312

* Amount shown represents adjustment due to deconsolidation at July 31, 2015 (Note 2 — Basis of presentation and principles of consolidation).

In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (and if the market of the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using industry models and inputs provided by primary pricing sources.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract

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and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.

Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if the Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.

Future swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if a Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates

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its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the valuations of derivative instruments categorized by risk exposure:

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2015 and the Statements of Operations for the period ended August 31, 2015 ^:

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts		Inflation Contracts		Interest Rate Contracts		Other Contracts		Total
Alpha Only Fund
Assets:
Unrealized Appreciation on Futures Contracts*	$	—	$	—	$	78,294,374		$	—	$	—	$	—	$	—	$	78,294,374
Total	$	—	$	—	$	78,294,374		$	—	$	—	$	—	$	—	$	78,294,374
Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—	$	—	$	—	$	—	$	—
Total subject to Master Agreements	$	—	$	—	$	78,294,374		$	—	$	—	$	—	$	—	$	78,294,374
Net Realized Gain (Loss) on:
Futures Contracts	$	—	$	—	$	(128,541,042	)	$	—	$	—	$	—	$	—	$	(128,541,042	)
Total	$	—	$	—	$	(128,541,042	)	$	—	$	—	$	—	$	—	$	(128,541,042	)
Change in Net Unrealized Appreciation (Depreciation) on:
Futures Contracts	$	—	$	—	$	199,388,449		$	—	$	—	$	—	$	—	$	199,388,449
Total	$	—	$	—	$	199,388,449		$	—	$	—	$	—	$	—	$	199,388,449

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	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Inflation Contracts			Interest Rate Contracts			Other Contracts		Total
Benchmark-Free Allocation Fund
Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	22,982		$	—		$	—		$	—		$	—	$	22,982
Investments (purchased options)		—		602,605			71,727,669			—			(210,082,136	)		—		(137,751,862	)
Forward Currency Contracts		—		—			(6,120,380	)		—			—			—		(6,120,380	)
Futures Contracts		—		—			—			—			(42,066,606	)		—		(42,066,606	)
Written Options		—		1,078,488			26,246,698			—			(118,218,715	)		—		(90,893,529	)
Swap Contracts		—		—			(7,767,405	)		(1,878,830	)		(88,747,726	)		—		(98,393,961	)
Total	$	—	$	1,704,075		$	84,086,582		$	(1,878,830	)	$	(459,115,183	)	$	—	$	(375,203,356	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	1,252,678		$	—		$	—		$	—		$	—	$	1,252,678
Investments (purchased options)		—		(19,671,367	)		(7,656,436	)		—			77,451,512			—		50,123,709
Forward Currency Contracts		—		—			(42,720,320	)		—			—			—		(42,720,320	)
Futures Contracts		—		—			—			—			(5,428,316	)		—		(5,428,316	)
Written Options		—		—			(9,531,413	)		—			(9,592,988	)		—		(19,124,401	)
Swap Contracts		—		(2,645,708	)**		—			1,447,260			(54,276,901	)		—		(55,475,349	)
Total	$	—	$	(21,064,397	)	$	(59,908,169	)	$	1,447,260		$	8,153,307		$	—	$	(71,371,999	)

	Credit Contracts			Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Inflation Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated Implementation Fund
Assets:
Investments, at value (rights and/or warrants)	$	—		$	—	$	1,026,511		$	—		$	—		$	—		$	—	$	1,026,511
Investments, at value (purchased options)		—			—		83,714,418			47,514,047			—			212,763,758			—		343,992,223
Unrealized Appreciation on Forward Currency Contracts		—			—		—			205,085,201			—			—			—		205,085,201
Unrealized Appreciation on Futures Contracts*		—			—		—			—			—			28,968			—		28,968
Unrealized Appreciation on Swap Contracts*		1,506,888			—		—			—			1,210,688			425,011,730			—		427,729,306
Total	$	1,506,888		$	—	$	84,740,929		$	252,599,248		$	1,210,688		$	637,804,456		$	—	$	977,862,209
Derivatives not subject to Master Agreements	$	—		$	—	$	1,026,511		$	—		$	—		$	—		$	—	$	1,026,511
Total subject to Master Agreements	$	1,506,888		$	—	$	83,714,418		$	252,599,248		$	1,210,688		$	637,804,456		$	—	$	976,835,698
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—		$	(151,118,789	)	$	—		$	—		$	—	$	(151,118,789	)
Written Options, at value		—			—		(13,442,858	)		(39,352,152	)		—			(112,116,839	)		—		(164,911,849	)
Unrealized Depreciation on Swap Contracts*		(636,541	)		—		(4,789,443	)**		—			(5,245,778	)		(438,022,403	)		—		(448,694,165	)
Total	$	(636,541	)	$	—	$	(18,232,301	)	$	(190,470,941	)	$	(5,245,778	)	$	(550,139,242	)	$	—	$	(764,724,803	)
Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	(636,541	)	$	—	$	(18,232,301	)	$	(190,470,941	)	$	(5,245,778	)	$	(550,139,242	)	$	—	$	(764,724,803	)

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August 31, 2015 (Unaudited)

	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Inflation Contracts			Interest Rate Contracts			Other Contracts		Total
Consolidated Implementation Fund (continued)
Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—		$	—		$	22,981		$	—		$	—		$	—		$	—	$	22,981
Investments (purchased options)		—			—			714,019			65,443,630			—			(209,210,444	)		—		(143,052,795	)
Forward Currency Contracts		—			—			—			(7,683,615	)		—			—			—		(7,683,615	)
Futures Contracts		—			—			—			—			—			(42,231,173	)		—		(42,231,173	)
Written Options		—			—			1,080,228			26,246,698			—			(857,771	)		—		26,469,155
Swap Contracts		—			—			—			—			(2,499,740	)		(70,549,393	)		—		(73,049,133	)
Total	$	—		$	—		$	1,817,228		$	84,006,713		$	(2,499,740	)	$	(322,848,781	)	$	—	$	(239,524,580	)
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—		$	—		$	(113,389	)	$	—		$	—		$	—		$	—	$	(113,389	)
Investments (purchased options)		—			—			(12,372,354	)		53,637,968			—			85,242,590			—		126,508,204
Forward Currency Contracts		—			—			—			11,246,092			—			—			—		11,246,092
Futures Contracts		—			—			—			—			—			(5,399,348	)		—		(5,399,348	)
Written Options		—			—			4,699,152			(22,874,068	)		—			23,080,036			—		4,905,120
Swap Contracts		442,604			—			(7,435,151	)		—			(2,587,830	)		(105,949,203	)		—		(115,529,580	)
Total	$	442,604		$	—		$	(15,221,742	)	$	42,009,992		$	(2,587,830	)	$	(3,025,925	)	$	—	$	21,617,099
Consolidated Special Opportunities Fund
Assets:
Investments, at value (rights and/or warrants)	$	—		$	—		$	18,202,608		$	—		$	—		$	—		$	—	$	18,202,608
Investments, at value (purchased options)		—			—			389,700			—			—			—			—		389,700
Unrealized Appreciation on Futures Contracts*		—			1,075,412			—			—			—			—			—		1,075,412
Unrealized Appreciation on Swap Contracts*		905,928			—			—			—			—			—			—		905,928
Total	$	905,928		$	1,075,412		$	18,592,308		$	—		$	—		$	—		$	—	$	20,573,648
Derivatives not subject to Master Agreements	$	—		$	—		$	18,202,608		$	—		$	—		$	—		$	—	$	18,202,608
Total subject to Master Agreements	$	905,928		$	1,075,412		$	389,700		$	—		$	—		$	—		$	—	$	2,371,040
Liabilities:
Unrealized Depreciation on Forward Currency Contracts*	$	—		$	—		$	—		$	(658,843	)	$	—		$	—		$	—	$	(658,843	)
Unrealized Depreciation on Futures Contracts*		—			(618,876	)		—			—			—			—			—		(618,876	)
Written Options, at value		—			—			(3,171,680	)		—			—			—			—		(3,171,680	)
Unrealized Depreciation on Swap Contracts*		(1,440,146	)		—			—			—			—			—			—		(1,440,146	)
Total	$	(1,440,146	)	$	(618,876	)	$	(3,171,680	)	$	(658,843	)	$	—		$	—		$	—	$	(5,889,545	)
Derivatives not subject to Master Agreements	$	—		$	—		$	—		$	—		$	—		$	—		$	—	$	—
Total subject to Master Agreements	$	(1,440,146	)	$	(618,876	)	$	(3,171,680	)	$	(658,843	)	$	—		$	—		$	—	$	(5,889,545	)

137

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Inflation Contracts		Interest Rate Contracts			Other Contracts		Total
Consolidated Special Opportunities Fund (continued)
Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—		$	—		$	(22,485	)	$	—		$	—	$	—		$	—	$	(22,485	)
Investments (purchased options)		—			—			2,666,129			—			—		—			—		2,666,129
Forward Currency Contracts		—			—			—			1,211,698			—		—			—		1,211,698
Written Options		—			—			575,348			—			—		—			—		575,348
Swap Contracts		(1,904,896	)		—			—			—			—		—			—		(1,904,896	)
Total	$	(1,904,896	)	$	—		$	3,218,992		$	1,211,698		$	—	$	—		$	—	$	2,525,794
Change in Net Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—		$	—		$	(2,635,722	)	$	—		$	—	$	—		$	—	$	(2,635,722	)
Investments (purchased options)		—			—			(2,312,468	)		—			—		—			—		(2,312,468	)
Forward Currency Contracts		—			—			—			(1,474,003	)		—		—			—		(1,474,003	)
Futures Contracts		—			(1,102,838	)		—			—			—		—			—		(1,102,838	)
Written Options		—			—			(1,215,807	)		—			—		—			—		(1,215,807	)
Swap Contracts		1,944,712			—			—			—			—		—			—		1,944,712
Total	$	1,944,712		$	(1,102,838	)	$	(6,163,997	)	$	(1,474,003	)	$	—	$	—		$	—	$	(6,796,126	)
Consolidated Systematic Global Macro Opportunity Fund
Assets:
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	4,701,046		$	—	$	—		$	—	$	4,701,046
Unrealized Appreciation on Futures Contracts*		—			373,494			1,473,821			—			—		—			—		1,847,315
Total	$	—		$	373,494		$	1,473,821		$	4,701,046		$	—	$	—		$	—	$	6,548,361
Derivatives not subject to Master Agreements	$	—		$	—		$	—		$	—		$	—	$	—		$	—	$	—
Total subject to Master Agreements	$	—		$	373,494		$	1,473,821		$	4,701,046		$	—	$	—		$	—	$	6,548,361
Liabilities:
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(54,996	)	$	—	$	—		$	—	$	(54,996	)
Unrealized Depreciation on Futures Contracts*		—			—			(17,522,375	)		—			—		(3,783,400	)		—		(21,305,775	)
Total	$	—		$	—		$	(17,522,375	)	$	(54,996	)	$	—	$	(3,783,400	)	$	—	$	(21,360,771	)
Derivatives not subject to Master Agreements	$	—		$	—		$	—		$	—		$	—	$	—		$	—	$	—
Total subject to Master Agreements	$	—		$	—		$	(17,522,375	)	$	(54,996	)	$	—	$	(3,783,400	)	$	—	$	(21,360,771	)
Net Realized Gain (Loss) on:
Forward Currency Contracts	$	—		$	—		$	—		$	10,821,874		$	—	$	—		$	—	$	10,821,874
Futures Contracts		—			1,729,366			(173,127	)		—			—		4,671,810			—		6,228,049
Total	$	—		$	1,729,366		$	(173,127	)	$	10,821,874		$	—	$	4,671,810		$	—	$	17,049,923

138

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts		Inflation Contracts		Interest Rate Contracts		Other Contracts		Total
Consolidated Systematic Global Macro Opportunity Fund (continued)
Change in Net Unrealized Appreciation (Depreciation) on:
Forward Currency Contracts	$	—	$	—		$	—		$	4,347,956	$	—	$	—	$	—	$	4,347,956
Futures Contracts		—		(580,989	)		(41,308,064	)		—		—		706,369		—		(41,182,684	)
Total	$	—	$	(580,989	)	$	(41,308,064	)	$	4,347,956	$	—	$	706,369	$	—	$	(36,834,728	)

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

* The table includes cumulative appreciation/depreciation of futures and cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

** Risk is the correlation between equity risk and foreign currency risk.

The Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of some OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and netting provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset obligations. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be made by a Fund in such an event is represented by the unrealized amounts in the tables below. For more information about other uncertainties and risks, see “Investment and other risks” above.

For financial reporting purposes, on the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from Broker and any cash collateral received from the counterparty is reported as Due to Broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2015, if any.

139

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2015:

Implementation Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Bank of America, N.A.	$	1,296,336	$	—		$	(669,505	)	$	626,831
Barclays Bank plc		6,921,208		—			(75,137	)		6,846,071
Deutsche Bank AG		12,176,963		(4,609,000	)		(6,417,110	)		1,150,853
Goldman Sachs International		266,126,220		(84,970,000	)		(147,008,608	)		34,147,612
JPMorgan Chase Bank, N.A.		164,158,187		—			(117,946,674	)		46,211,513
Morgan Stanley & Co. International PLC		103,127,678		(27,400,000	)		(64,462,577	)		15,847,429
State Street Bank and Trust Company		1,162		—			—			1,162
Total	$	553,807,754	$	(116,979,000	)	$	(336,579,611	)	$	104,831,471
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	669,505	$	—		$	669,505		$	—
Barclays Bank plc		75,137		—			75,137			—
Brown Brothers Harriman & Co.		40,967		—			—			40,967
Citibank N.A.		71,587		—			—			71,587
Credit Suisse International		490,550		—			—			490,550
Deutsche Bank AG		6,417,110		—			6,417,110			—
Goldman Sachs International		147,008,608		—			147,008,608			—
JPMorgan Chase Bank, N.A.		117,946,674		—			117,946,674			—
Morgan Stanley & Co. International PLC		64,462,577		—			64,462,577			—
Total	$	337,182,715	$	—		$	336,579,611		$	603,104

Consolidated Special Opportunities Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
Barclays Bank plc	$	816,666	$	(744,052	)	$	(72,614	)	$	—	*
Goldman Sachs International		9,340		—			9,340			—
JPMorgan Chase Bank, N.A.		79,922		—			—			79,922
Total	$	905,928	$	(744,052	)	$	(63,274	)	$	79,922

140

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Consolidated Special Opportunities Fund (continued)

Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.	$	554,281	$	—		$	—		$	554,281
Barclays Bank plc		72,614		—			72,614			—
Credit Suisse International		679,108		(679,108	)		—			—	*
Deutsche Bank AG		38,678		(38,678	)		—			—	*
Goldman Sachs International		732,045		—			(9,340	)		722,705
Morgan Stanley & Co. International PLC		22,263		—			—			22,263
Total	$	2,098,989	$	(717,786	)	$	(63,274	)	$	1,299,249

Consolidated Systematic Global Macro Opportunity Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received		Derivative Assets/(Liabilities) Available for Offset		Net Amount of Derivative Assets
State Street Bank and Trust Company	$	4,701,046	$	—	$	—	$	4,701,046
Total	$	4,701,046	$	—	$	—	$	4,701,046
Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
JPMorgan Chase Bank, N.A.	$	54,996	$	—	$	—	$	54,996
Total	$	54,996	$	—	$	—	$	54,996

* In some instances, the actual collateral received and/or pledged may be more than the amount above.

The average derivative activity, based on notional amounts (forward currency contracts, futures contracts, swap contracts), market values (rights and/or warrants), and or principal amounts or number of contracts (options) outstanding, based on absolute values at each month-end was as follows for the period ended August 31, 2015:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options ($)		Options (Contracts)		Rights and/or Warrants ($)
Alpha Only Fund		—		2,150,061,929		—		—		—		23,960
Benchmark-Free Allocation Fund*		12,264,544,969		387,071,239		38,302,286,488		16,634,830,035		131,612		801,870
Benchmark-Free Fund		—		—		—		—		—		—
Global Asset Allocation Fund		—		—		—		—		—		—
Global Developed Equity Allocation Fund		—		—		—		—		—		—
Global Equity Allocation Fund		—		—		—		—		—		—
Consolidated Implementation Fund		14,060,981,324		389,252,478		44,850,446,898		18,862,208,517		161,745		1,233,232
International Developed Equity Allocation Fund		—		—		—		—		—		—
International Equity Allocation Fund		—		—		—		—		—		—
Consolidated Special Opportunities Fund		53,921,490		10,755,819		166,209,254		1,149,767		—		20,372,638

141

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options ($)		Options (Contracts)		Rights and/or Warrants ($)
Strategic Opportunities Allocation Fund		—		—		—		—		—		—
Consolidated Systematic Global Macro Opportunity Fund		782,589,896		1,632,224,508		—		—		—		—

* Represents GMO Implementation Fund’s average derivative activity through July 31, 2015 (Note 2 — Basis of presentation and principles of consolidation).

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to certain Funds. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Alpha Only Fund		Benchmark-Free Allocation Fund		Benchmark-Free Fund		Global Asset Allocation Fund		Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Implementation Fund		International Developed Equity Allocation Fund		International Equity Allocation Fund		Special Opportunities Fund		Strategic Opportunities Allocation Fund		Systematic Global Macro Opportunity Fund
Management Fee		0.50%		0.65%		—		—		—		—		—		—		—		1.10%		—		0.70%

For certain Funds above, GMO does not charge the Fund a management fee or shareholder service fee, but it receives management and/or shareholder service fees from the underlying funds in which the Fund invests. Because those fees vary from fund to fund, the levels of indirect net expenses set forth below are affected by GMO’s asset allocation decisions.

In addition, for certain Funds each class of shares pays GMO directly or indirectly a shareholder service or supplemental support fee. Shareholder service fees are paid to GMO for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class MF shares of Benchmark-Free Allocation Fund are subject to a supplemental support fee payable to GMO for providing supplemental support services to Class MF shareholders and their investment advisers. These supplemental support services include without limitation, (1) provision and presentation of educational and explanatory information about the Fund and its asset allocation strategy as requested or directed by an investor or its investment adviser, (2) provision and presentation of similar educational and explanatory information about the strategies of the GMO Funds in which the Fund invests, (3) provision and presentation of information for inclusion in the quarterly or other periodic reports of the investor, (4) provision of responses to information requests relating to oversight functions of an investors’s board of directors including pricing, compliance, and taxation, (5) access to and meetings with GMO’s Chief Investment Strategist and Head of GMO’s Asset Allocation Team and other investment professionals of GMO, (6) assistance with services provided by an investor’s investment adviser, and (7) such other assistance as may be requested from time to time by an investor or its agents, provided that such assistance is not primarily intended to result in the sale of Fund shares.

Shareholder service and/or supplemental support fees are paid monthly equal to the percentage of each applicable Fund’s average daily net assets set forth in the table below:

Fund Name	Class III		Class IV		Class V	Class VI	Class MF
Alpha Only Fund		0.15%		0.10%
Benchmark-Free Allocation Fund		0.15%		0.10%				0.10%

142

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Fund Name	Class III			Class IV			Class V			Class VI		Class MF
Benchmark-Free Fund		0.00%
Global Asset Allocation Fund		0.00%
Global Developed Equity Allocation Fund		0.00%
Global Equity Allocation Fund		0.00%
Implementation Fund		0.00%
International Developed Equity Allocation Fund		0.00%
International Equity Allocation Fund		0.00%
Special Opportunities Fund		0.15%	*		0.10%	*		0.085%	*		0.055%
Strategic Opportunities Allocation Fund		0.00%
Systematic Global Macro Opportunity Fund		0.15%

* Class is offered but has no shareholders as of August 31, 2015.

For each Fund, other than Special Opportunities Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO. For Special Opportunities Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets.

“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses, expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

For each Fund, other than Benchmark-Free Allocation Fund, that pays GMO a management fee, GMO has contractually agreed to waive or reduce that fee, but not below zero, to the extent necessary to offset the management fees paid to GMO that are directly or indirectly borne by the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

For each Fund, other than Benchmark-Free Allocation Fund, that charges a shareholder service fee, GMO has contractually agreed to waive or reduce the shareholder service fee charged to holders of each class of shares of the Fund, but not below zero, to the extent necessary to offset the shareholder service fees directly or indirectly borne by the class of shares of the Fund as a result of the Fund’s direct or indirect investments in other GMO Funds.

These contractual waivers and reimbursements will continue through at least June 30, 2016 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination, or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplement support agreement.

For Benchmark-Free Allocation Fund only, the fees payable to GMO under its management contract and servicing and supplemental support agreement are reduced by amounts equal to the management fees and shareholder service fees, respectively, that GMO receives as a result of the Fund’s investment in underlying GMO Funds. In addition, effective March 1, 2014, GMO has contractually agreed to reduce the rate of the supplemental support fees charged to the Fund’s Class MF shares to a rate to be charged in any month (starting on the first business day of the month) based on the net assets attributable to Class MF shares as of the last business day of the preceding month based on the following schedule: 0.10% on the first $6 billion of net assets, 0.05% on the next $2 billion, 0.03% on the next $2 billion, and 0.01% thereafter; provided, however, that the effective rate charged at any time will not be reduced to less than 0.06% of Class MF’s average daily net assets. The rate will be calculated before giving effect to any reduction or waiver described above, and any applicable reduction or waiver will serve to further reduce the supplemental support fee paid to GMO. This reduction will continue through at least June 30, 2016, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.

143

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

The Funds’ portion of the gross fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2015 is shown in the table below and included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Alpha Only Fund		18,584		2,024
Benchmark-Free Allocation Fund		191,539		21,357
Benchmark-Free Fund		27,968		3,128
Global Asset Allocation Fund		27,048		2,944
Global Developed Equity Allocation Fund		9,752		1,104
Global Equity Allocation Fund		20,976		2,392
Consolidated Implementation Fund		87,400		9,752
International Developed Equity Allocation Fund		6,256		736
International Equity Allocation Fund		8,832		920
Consolidated Special Opportunities Fund		4,600		552
Strategic Opportunities Allocation Fund		13,616		1,472
Consolidated Systematic Global Macro Opportunity Fund		8,280		920

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2015 these indirect fees and expenses expressed as an annualized percentage of each Fund’s average daily net assets were as follows:

Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense		Total Indirect Expenses
Alpha Only Fund		0.000%		0.000%		0.000%		0.000%
Benchmark-Free Allocation Fund		0.140%		0.024%		0.016%		0.180%
Benchmark-Free Fund		0.464%		0.066%		0.006%		0.536%
Global Asset Allocation Fund		0.424%		0.068%		0.006%		0.499%
Global Developed Equity Allocation Fund		0.464%		0.073%		0.000%		0.537%
Global Equity Allocation Fund		0.510%		0.071%		0.000%		0.581%
Consolidated Implementation Fund		0.001%		0.000%		0.000%		0.001%
International Developed Equity Allocation Fund		0.535%		0.086%		0.000%		0.621%
International Equity Allocation Fund		0.606%		0.079%		0.000%		0.685%
Consolidated Special Opportunities Fund		0.000%		0.000%		0.000%		0.000%
Strategic Opportunities Allocation Fund		0.441%		0.066%		0.006%		0.513%
Consolidated Systematic Global Macro Opportunity Fund		0.001%		0.000%		0.000%		0.001%

144

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2015 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Alpha Only Fund		—		1,439,358,365		—		3,131,761,761
Benchmark-Free Allocation Fund*		—		7,671,397,088		—		7,610,115,578
Benchmark-Free Fund		387,868,049		1,809,049,117		—		2,078,960,674
Global Asset Allocation Fund		—		370,050,728		—		1,055,390,170
Global Developed Equity Allocation Fund		—		97,503,353		—		108,497,241
Global Equity Allocation Fund		—		223,820,370		—		435,068,029
Consolidated Implementation Fund		—		9,753,697,445		—		6,863,290,538
International Developed Equity Allocation Fund		—		113,300,485		—		108,284,941
International Equity Allocation Fund		—		123,464,495		—		131,103,315
Consolidated Special Opportunities Fund		—		222,696,597		—		166,225,860
Strategic Opportunities Allocation Fund		207,597,497		837,277,131		—		998,431,309
Consolidated Systematic Global Macro Opportunity Fund		—		251,268		—		—

* For the period ended July 31, 2015, Consolidated Benchmark-Free Allocation Fund’s purchases in U.S. government securities, purchases in investments, sales in U.S. government securities and sales in investments were $0, $7,445,787,211, $0, and $6,874,337,797 respectively (Note 2).

Cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, in accordance with U.S. GAAP for the period ended August 31, 2015 are noted in the table below:

Fund Name	Purchases ($)		Sales ($)
Benchmark-Free Allocation Fund		—		544,189,416

For the period ended August 31, 2015, the Funds had the following net realized gain attributed to redemption in-kind transactions:

Fund Name	Net realized gains/(losses) attributed to redemption in-kind transactions ($)
Benchmark-Free Allocation Fund		77,470,785

7. Guarantees

In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

145

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August 31, 2015 (Unaudited)

8. Principal shareholders and related parties as of August 31, 2015

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund			Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund		Percentage of the shares of the Fund held by senior management of GMO and GMO Trust officers		Percentage of the Fund’s shares held by accounts for which GMO has investment discretion
Alpha Only Fund		2	*		90.14%		0.04%		99.87%
Benchmark-Free Allocation Fund		1			54.36%		0.80%		1.40%
Benchmark-Free Fund		—			—		—		100.00%
Global Asset Allocation Fund		—			—		0.16%		9.24%
Global Developed Equity Allocation Fund		3			42.30%		< 0.01%		—
Global Equity Allocation Fund		—			—		0.01%		0.48%
International Developed Equity Allocation Fund		3			38.20%		< 0.01%		0.86%
Consolidated Implementation Fund		1	**		97.36%		—		100.00%
International Equity Allocation Fund		2	***		35.76%		1.68%		16.90%
Consolidated Special Opportunites Fund		2	*		97.89%		0.07%		99.93%
Strategic Opportunities Allocation Fund		1			29.73%		0.02%		99.96%
Consolidated Systematic Global Macro Opportunity Fund		2	*		86.41%		—		100.00%

* Two of the shareholders are other funds of the Trust.

** One of the shareholders is another fund of the Trust.

*** One of the shareholders is another fund managed by GMO.

146

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

9. Share transactions

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:

	Six Months Ended August 31, 2015 (Unaudited)						Year Ended February 28, 2015
	Shares			Amount			Shares			Amount
Alpha Only Fund
Class III:
Shares sold		31,503	(a)	$	714,181	(a)		423,608		$	10,154,067
Shares issued to shareholders in reinvestment of distributions		20,374			451,284			21,258			486,800
Shares repurchased		(690,397	)(a)		(15,310,295	)(a)		(756,813	)		(17,833,752	)
Net increase (decrease)		(638,520	)	$	(14,144,830	)		(311,947	)	$	(7,192,885	)
Class IV:
Shares sold		6,124,467		$	139,130,919			94,560,979		$	2,263,569,661
Shares issued to shareholders in reinvestment of distributions		1,855,347			41,133,047			2,595,775			59,469,197
Shares repurchased		(81,230,858	)		(1,836,972,702	)		(98,739,679	)		(2,340,531,836	)
Net increase (decrease)		(73,251,044	)	$	(1,656,708,736	)		(1,582,925	)	$	(17,492,978	)
Benchmark-Free Allocation Fund
Class III:
Shares sold		44,922,033		$	1,193,404,172			115,103,110		$	3,128,916,906
Shares issued to shareholders in reinvestment of distributions		4,651,398			120,052,586			7,889,460			209,264,286
Shares repurchased		(19,366,322	)		(501,120,574	)		(14,398,699	)		(393,780,652	)
Purchase premiums		—			663,031			—			1,783,687
Redemption fees		—			467,127			—			188,630
Net increase (decrease)		30,207,109		$	813,466,342			108,593,871		$	2,946,372,857
Class IV:
Shares sold		22,458,292		$	598,409,352			45,482,596		$	1,229,682,859
Shares issued to shareholders in reinvestment of distributions		2,795,335			72,119,639			4,913,704			130,585,901
Shares repurchased		(27,150,036	)		(695,709,330	)		(18,765,777	)		(514,353,663	)
Purchase premiums		—			375,961			—			1,167,509
Redemption fees		—			242,294			—			112,788
Net increase (decrease)		(1,896,409	)	$	(24,562,084	)		31,630,523		$	847,195,394
Class MF:
Shares sold		14,275,256		$	379,178,724			117,778,639		$	3,234,566,653
Shares issued to shareholders in reinvestment of distributions		9,204,641			237,571,791			21,099,584			560,820,995
Shares repurchased		(28,677,163	)		(735,310,183	)		(21,929,846	)		(579,619,789	)
Purchase premiums		—			1,276,027			—			4,706,421
Redemption fees		—			849,942			—			468,707
Net increase (decrease)		(5,197,266	)	$	(116,433,699	)		116,948,377		$	3,220,942,987

147

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Six Months Ended August 31, 2015 (Unaudited)						Year Ended February 28, 2015
	Shares			Amount			Shares			Amount
Benchmark-Free Fund
Class III:
Shares sold		6,690,109		$	132,343,805			32,061,935		$	705,240,591
Shares issued to shareholders in reinvestment of distributions		8,096,923			154,894,128			31,448,807			644,970,313
Shares repurchased		(7,562,337	)		(149,116,759	)		(12,425,993	)		(268,655,366	)
Purchase premiums		—			42,443			—			749,577
Redemption fees		—			67,302			—			244,150
Net increase (decrease)		7,224,695		$	138,230,919			51,084,749		$	1,082,549,265
Global Asset Allocation Fund
Class III:
Shares sold		5,490,866		$	60,385,337			32,814,104		$	384,281,713
Shares issued to shareholders in reinvestment of distributions		19,241,231			201,070,868			38,450,707			435,610,035
Shares repurchased		(77,190,802	)		(844,771,110	)		(93,773,316	)		(1,071,102,012	)
Purchase premiums		—			35,057			—			441,132
Redemption fees		—			901,728			—			847,090
Net increase (decrease)		(52,458,705	)	$	(582,378,120	)		(22,508,505	)	$	(249,922,042	)
Global Developed Equity Allocation Fund
Class III:
Shares sold		1,389,280		$	31,354,278			8,756,117		$	212,849,065
Shares issued to shareholders in reinvestment of distributions		5,098,552			107,783,398			8,758,680			205,022,208
Shares repurchased		(3,227,685	)		(74,245,911	)		(3,631,312	)		(86,823,824	)
Purchase premiums		—			23,916			—			166,093
Redemption fees		—			58,184			—			65,140
Net increase (decrease)		3,260,147		$	64,973,865			13,883,485		$	331,278,682
Global Equity Allocation Fund
Class III:
Shares sold		6,201,527		$	50,899,836			127,350,249		$	1,190,079,440
Shares issued to shareholders in reinvestment of distributions		31,597,152			251,829,300			41,053,705			366,102,860
Shares repurchased		(38,385,183	)		(320,712,631	)		(45,993,735	)		(411,106,896	)
Purchase premiums		—			65,570			—			1,173,392
Redemption fees		—			406,812			—			413,670
Net increase (decrease)		(586,504	)	$	(17,511,113	)		122,410,219		$	1,146,662,466
Consolidated Implementation Fund
Core Class:
Shares sold		222,530,197	(b)	$	2,958,297,203	(b)		468,302,467		$	6,131,651,226
Shares repurchased		(86,544,485	)(b)		(1,123,203,024	)(b)		(96,645,921	)		(1,270,575,297	)
Purchase premiums		—			1,102,739			—			—
Redemption fees		—			795,283			—			—
Net increase (decrease)		135,985,712		$	1,836,992,201			371,656,546		$	4,861,075,929

148

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

	Six Months Ended August 31, 2015 (Unaudited)						Year Ended February 28, 2015
	Shares			Amount			Shares			Amount
International Developed Equity Allocation Fund
Class III:
Shares sold		6,238,819		$	104,607,010			7,909,608		$	139,068,397
Shares issued to shareholders in reinvestment of distributions		30,803			513,493			2,710,351			43,513,839
Shares repurchased		(6,312,397	)		(104,533,912	)		(4,610,812	)		(81,735,750	)
Purchase premiums		—			51,262			—			86,286
Redemption fees		—			81,466			—			54,892
Net increase (decrease)		(42,775	)	$	719,319			6,009,147		$	100,987,664
International Equity Allocation Fund
Class III:
Shares sold		3,752,077		$	39,770,445			10,395,250		$	114,414,945
Shares issued to shareholders in reinvestment of distributions		5,999,828			59,758,285			9,159,148			95,905,045
Shares repurchased		(5,286,439	)		(53,262,263	)		(26,102,279	)		(281,895,451	)
Purchase premiums		—			72,225			—			160,756
Redemption fees		—			112,209			—			555,498
Net increase (decrease)		4,465,466		$	46,450,901			(6,547,881	)	$	(70,859,207	)
Consolidated Special Opportunities Fund
Class VI:
Shares sold		1,598,686	(c)	$	32,220,382	(c)		42,613,601		$	839,388,542
Shares issued to shareholders in reinvestment of distributions		192,187			3,862,961			25,654			502,042
Shares repurchased		(2,032,748	)(c)		(40,748,871	)(c)		(40,602	)		(772,661	)
Purchase premium fees		—			74,398			—			4,218,033
Redemption fees		—			116,668			—			3,863
Net increase (decrease)		(241,875	)	$	(4,474,462	)		42,598,653		$	843,339,819
Strategic Opportunities Allocation Fund
Class III:
Shares sold		3,758,247		$	79,355,602			3,720,734		$	80,872,662
Shares issued to shareholders in reinvestment of distributions		5,536,057			112,105,166			12,804,205			283,429,611
Shares repurchased		(4,672,297	)		(96,301,407	)		(9,463,281	)		(212,652,842	)
Purchase premiums		—			35,759			—			21,277
Redemption fees		—			77,858			—			100,905
Net increase (decrease)		4,622,007		$	95,272,978			7,061,658		$	151,771,613
Consolidated Systematic Global Macro Opportunity Fund
Class III:
Shares sold		2,434,810		$	82,687,469			6,802,372		$	222,768,348
Shares repurchased		(3,994,429	)		(134,018,526	)		(14,092,094	)		(455,180,285	)
Net increase (decrease)		(1,559,619	)	$	(51,331,057	)		(7,289,722	)	$	(232,411,937	)

^(a)  1,532,411 shares and $34,065,494 were purchased in-kind and redeemed in-kind.

^(b)  34,102,823 shares and $444,018,756 were purchased in-kind and redeemed in-kind.

^(c)  864,281 shares and $17,415,262 were purchased in-kind and redeemed in-kind.

149

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

10. Investments in affiliated issuers

An affiliated company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities. A summary of the Fund’s transactions involving companies that are or were affiliates during the period ended August 31, 2015 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Value, end of period
Consolidated Special Opportunities Fund
Jagercor Energy Corp	$	191,984	$	—	$	—	$	—	$	159,623
Totals	$	191,984	$	—	$	—	$	—	$	159,623

A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the period ended August 31, 2015 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds			Dividend Income*		Distributions of Realized Gains*		Value, end of period
Alpha Only Fund
GMO U.S. Treasury Fund	$	—	$	267,006,304	$	257,000,000		$	6,304	$	—	$	10,006,304
Benchmark-Free Allocation Fund
GMO Alpha Only Fund, Class IV	$	2,169,494,954	$	122,187,841	$	1,229,209,539	(a)	$	26,143,257	$	—	$	1,005,176,089
GMO Debt Opportunities Fund, Class VI		855,272,046		40,749,276		22,542,401	(b)		5,181,544		—		874,819,971
GMO Emerging Country Debt Fund, Class IV		984,029,503		56,384,620		67,903,418	(c)		22,617,586		—		930,503,977
GMO Implementation Fund**		—		2,509,982,294		1,122,407,741	(d)		—		—		15,891,291,157
GMO Special Opportunities Fund, Class VI		652,657,803		17,449,885		36,419,403	(e)		3,000,367		—		625,668,691
GMO Systematic Global Macro Opportunity Fund, Class III		1,081,318,142		52,923,953		97,414,791			—		—		1,017,680,472
Totals	$	5,742,772,448	$	2,799,677,869	$	2,575,897,293		$	56,942,754	$	—	$	20,345,140,357
Benchmark-Free Fund
GMO Alpha Only Fund, Class IV	$	88,736,337	$	2,001,483	$	87,811,380		$	1,372,304	$	—	$	—
GMO Asset Allocation Bond Fund, Class VI		1,300,653,948		167,149,616		1,272,330,907			84,022,971		—		—
GMO Debt Opportunities Fund, Class VI		210,219,653		1,261,318		11,974,569			1,261,318		—		199,851,301
GMO Emerging Country Debt Fund, Class IV		280,085,788		6,185,075		4,414,842			6,185,075		—		270,702,111
GMO Emerging Markets Fund, Class VI		729,347,361		172,531,133		—			2,377,869		—		756,159,274
GMO International Equity Fund, Class IV		1,036,395,804		31,534,771		61,039,833			4,026,645		—		927,515,806
GMO Risk Premium Fund, Class VI		126,154,567		56,418,237		—			—		6,095,779		174,928,667
GMO Special Opportunities Fund, Class VI		191,068,608		859,959		4,212,799			859,959		—		185,351,188
GMO Systematic Global Macro Opportunity Fund, Class III		215,731,480		40,540		1,014,655			—		—		211,054,302
GMO U.S. Equity Allocation Fund, Class VI		806,364,529		29,383,301		126,624,556			1,813,784		27,569,517		633,799,355
GMO U.S. Treasury Fund		67,100,110		1,341,683,684		509,537,133			112,066		3,836		899,246,660
Totals	$	5,051,858,185	$	1,809,049,117	$	2,078,960,674		$	102,031,991	$	33,669,132	$	4,258,608,664

^(a)  $34,065,494 was redeemed in-kind.

^(b)  $22,542,400 was redeemed in-kind.

^(c)  $26,147,504 was redeemed in-kind.

^(d)  $444,018,756 was redeemed in-kind.

^(e)  $17,415,262 was redeemed in-kind.

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2015 through August 31, 2015. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2016.

** Prior to August 1, 2015, GMO Implementation Fund was consolidated with GMO Benchmark-Free Allocation Fund (Note 2 — Basis of presentation and principles of consolidation).

150

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	331,939,406	$	8,058,017	$	143,517,321	$	4,854,967	$	—	$	185,372,714
GMO Asset Allocation Bond Fund, Class VI		1,021,502,076		107,792,833		229,137,956		56,592,342		—		753,129,397
GMO Debt Opportunities Fund, Class VI		211,459,613		1,114,538		45,389,053		1,114,538		—		167,558,895
GMO Emerging Country Debt Fund, Class IV		218,274,412		4,176,695		44,406,842		4,176,695		—		170,911,836
GMO Emerging Markets Fund, Class VI		563,948,638		61,844,938		51,853,696		1,635,236		—		477,526,518
GMO International Equity Fund, Class IV		1,230,449,649		12,947,560		211,223,339		4,234,607		—		952,098,517
GMO Risk Premium Fund, Class VI		125,576,661		41,217,507		25,429,415		—		4,870,823		135,877,044
GMO Systematic Global Macro Opportunity Fund, Class III		144,436,175		580,359		31,207,362		—		—		111,951,521
GMO U.S. Equity Allocation Fund, Class VI		783,135,117		26,645,130		190,919,636		1,606,349		24,416,507		553,107,584
GMO U.S. Treasury Fund		236,883,004		105,673,151		81,812,847		100,536		7,649		260,743,309
Totals	$	4,867,604,751	$	370,050,728	$	1,054,897,467	$	74,315,270	$	29,294,979	$	3,768,277,335
Global Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	174,346,545	$	20,131,046	$	9,352,900	$	520,022	$	—	$	153,542,368
GMO International Equity Fund, Class IV		925,275,298		29,367,654		39,983,797		3,763,188		—		841,854,742
GMO U.S. Equity Allocation Fund, Class VI		670,317,319		48,004,653		59,160,544		1,698,550		25,817,957		590,231,287
Totals	$	1,769,939,162	$	97,503,353	$	108,497,241	$	5,981,760	$	25,817,957	$	1,585,628,397
Global Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	737,807,672	$	142,847,220	$	39,265,612	$	2,343,387	$	—	$	697,140,267
GMO International Equity Fund, Class IV		1,761,501,355		21,324,235		209,914,995		6,631,739		—		1,442,007,389
GMO U.S. Equity Allocation Fund, Class VI		1,299,806,538		59,648,915		185,887,422		3,112,124		47,304,280		1,045,774,428
Totals	$	3,799,115,565	$	223,820,370	$	435,068,029	$	12,087,250	$	47,304,280	$	3,184,922,084
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	116,415,639	$	24,935,829	$	11,417,626	$	362,490	$	—	$	107,555,109
GMO International Equity Fund, Class IV		1,063,694,450		88,364,656		96,867,315		4,464,825		—		968,640,129
Totals	$	1,180,110,089	$	113,300,485	$	108,284,941	$	4,827,315	$	—	$	1,076,195,238
International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	449,343,904	$	101,355,782	$	11,039,062	$	1,547,904	$	—	$	445,499,714
GMO International Equity Fund, Class IV		1,145,216,475		22,108,713		120,064,253		4,452,845		—		960,768,307
Totals	$	1,594,560,379	$	123,464,495	$	131,103,315	$	6,000,749	$	—	$	1,406,268,021
Strategic Opportunities Allocation Fund
GMO Asset Allocation Bond Fund, Class VI	$	570,644,317	$	81,096,390	$	565,611,224	$	37,173,745	$	—	$	—
GMO Debt Opportunities Fund, Class VI		91,220,086		547,321		1,219,246		547,321		—		90,696,221
GMO Emerging Country Debt Fund, Class IV		109,098,171		2,407,958		2,784,631		2,407,958		—		104,385,685
GMO Emerging Markets Fund, Class VI		395,900,795		92,525,011		—		1,327,773		—		407,559,396
GMO International Equity Fund, Class IV		757,737,909		21,113,486		49,783,496		3,002,782		—		670,138,843
GMO Risk Premium Fund, Class VI		—		60,070,028		—		—		—		60,630,464
GMO U.S. Equity Allocation Fund, Class VI		524,119,008		20,875,920		78,861,143		1,225,366		18,625,554		416,167,256
GMO U.S. Treasury Fund		—		558,641,017		300,158,378		32,920		759		258,482,639
Totals	$	2,448,720,286	$	837,277,131	$	998,418,118	$	45,717,865	$	18,626,313	$	2,008,060,504

151

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Notes to Financial Statements — (Continued)

August 31, 2015 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
Consolidated Systematic Global Macro Opportunity Fund
GMO Debt Opportunities Fund, Class VI	$	2,845,741	$	17,075	$	—	$	17,075	$	—	$	2,867,419
GMO U.S. Treasury Fund		558,715,385		234,193		—		216,310		17,883		558,949,578
Totals	$	561,561,126	$	251,268	$	—	$	233,385	$	17,883	$	561,816,997

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2015 through August 31, 2015. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2016.

11. Subsequent event

Subsequent to August 31, 2015, GMO Alpha Only Fund received redemption requests in the amount of $656,166,342.

152

GMO Trust Funds

Board Review of Management Agreements

August 31, 2015 (Unaudited)

GMO Alpha Only Fund

Approval of renewal of management agreement for GMO Alpha Only Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

153

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

GMO Benchmark-Free Allocation Fund

Approval of renewal of management agreement for GMO Benchmark-Free Allocation Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing and supplemental support fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to the Fund’s management agreement and shareholder servicing and supplemental support agreement. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

154

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Benchmark-Free Fund

Approval of renewal of management agreement for GMO Benchmark-Free Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved renewal of the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

155

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Asset Allocation Fund

Approval of renewal of management agreement for GMO Global Asset Allocation Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved renewal of the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the

156

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Developed Equity Allocation Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved renewal of the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the

157

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Equity Allocation Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. In considering the Fund’s performance, the Trustees satisfied themselves that GMO continued to believe that the Fund’s investment strategies continued to have a reasonable prospect of producing favorable long term results. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees also considered the management fees indirectly paid by the Fund as a result of its investing in other GMO funds as compared to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees noted that they had approved renewal of the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

158

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Implementation Fund

Approval of renewal of management agreement for GMO Implementation Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management agreement or any shareholder servicing and supplemental support agreement.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

159

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the nature, extent and quality of services to be provided supported the approval of the agreement.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO International Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO International Developed Equity Allocation Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved renewal of the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

160

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO International Equity Allocation Fund

Approval of renewal of management agreement for GMO International Equity Allocation Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. In considering the Fund’s performance, the Trustees satisfied themselves that GMO continued to believe that the Fund’s investment strategies continued to have a reasonable prospect of producing favorable long-term results. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved renewal of the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

161

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Special Opportunities Fund

Approval of renewal of management agreement for GMO Special Opportunities Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance both of a composite of accounts with similar objectives managed by the Manager and of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

162

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Strategic Opportunities Allocation Fund

Approval of renewal of management agreement for GMO Strategic Opportunities Allocation Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement. In deciding whether to renew the management agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds managed by the investment division that manages the Fund. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees noted that the Fund is not a standalone investment and its investment strategies are intended to complement the strategies pursued by the Manager in other GMO funds or accounts. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees considered the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing and supplemental support agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other GMO funds in which the Fund invests. The Trustees noted that they had approved renewal of the Manager’s management and shareholder servicing and supplemental support agreements with the other GMO funds in which the Fund may invest and had concluded that the advisory fees to be paid by those funds to the Manager were within the range of fees that would be established through arm’s-length bargaining.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

163

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement, that the fees charged to the Fund under the management agreement were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Systematic Global Macro Opportunity Fund

Approval of renewal of management agreement and sub-advisory agreement for GMO Systematic Global Macro Opportunity Fund. At a meeting on June 4, 2015, the Trustees of GMO Trust (the “Trust”) approved the renewal of the management agreement between Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) and the Trust, on behalf of the Fund, and the sub-advisory agreement among the Manager, GMO Singapore Pte. Limited (“GMO Singapore”), and the Trust, on behalf of the Fund, in each case for an additional twelve-month period beginning on June 30, 2015. In approving the renewal, the Trustees considered information they believed, in light of the legal advice furnished to them, to be relevant, including information relating specifically to the Fund as well as to the Trust generally and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees met with representatives of the Manager and also met separately. Before, at and after those meetings they considered information relevant to renewal of the Fund’s management agreement and sub-advisory agreement. In deciding whether to renew the management and sub-advisory agreements of the Fund and the other GMO funds, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 21, 2015, the Trustees met with representatives of the Manager to discuss the investment performance of the Fund and the other GMO funds and various ways to judge their investment performance. Following that meeting the Independent Trustees, their independent legal counsel and their independent compliance consultant met privately to discuss the extensive materials the Manager had provided them at their request. At that meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, which they received before and at a meeting of the Trustees on June 4, 2015. At the June meeting, representatives of the Manager answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

The Trustees considered the Fund’s investment performance. The Trustees discussed how funds with various investment styles were expected to perform in different market conditions and considered the Fund’s performance in light of market conditions in recent years. The Trustees also considered the Fund’s performance relative to various risk and performance measures and as compared to the performance of funds and accounts managed by other managers that were determined by third-party data services to have similar investment characteristics.

The Trustees considered the Fund’s total expense ratio (i.e., total annual operating expenses per share as a percentage of net asset value per share) as compared to the total expense ratios of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics. In considering the Fund’s total expense ratio, the Trustees took into account the Manager’s undertaking to reimburse specified operating expenses of the Fund.

The Trustees also reviewed the fees payable to the Manager under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees considered the management fees payable by the Fund as compared to the management fees of funds managed by other managers that were determined by a third-party data service to have similar investment characteristics and to the Manager’s fee schedule for its separately managed accounts. The Trustees considered differences in the services that the Manager provides to the Fund and to those accounts. The Trustees also considered the shareholder servicing fees charged to different share classes of the Fund in light of the services provided by the Manager. In addition, the Trustees reviewed the fees payable by the Manager to GMO Singapore under the Fund’s sub-advisory agreement and considered the level of service that GMO Singapore provided the Fund. The Trustees considered that GMO Singapore’s sub-advisory fees were paid by the Manager out of the Manager’s management fees, not directly by the Fund.

The Trustees also reviewed information prepared by the Manager regarding the Manager’s profitability overall and by investment division and by fund. The Trustees reviewed the Manager’s methodology in preparing that information, including its allocation of expenses among the GMO funds, and considered the effect of various approaches that had been taken by the Manager and that might have been taken in calculating profitability. The Trustees took note of various “fallout benefits” to the Manager resulting from its management of the Fund. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not charge any advisory fees. The Trustees also noted that, with respect to all other underlying GMO funds, the Manager in effect reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying GMO funds, all of which the Fund would otherwise bear as a result of its investments in them, pursuant to a contractual expense reimbursement arrangement in place with the Fund. The Trustees considered possible economies of scale to the Manager at the Fund’s recent asset levels and whether the fees payable by the Fund to the Manager reflected these economies of scale. The

164

GMO Trust Funds

Board Review of Management Agreements — (Continued)

August 31, 2015 (Unaudited)

Trustees observed that the Fund’s management fee did not have any breakpoints and considered the extent to which breakpoints were embedded in the Fund’s fee structure.

The Trustees considered the fact that Fund shares are principally owned by institutional and other sophisticated investors. The Trustees also considered the experience and sophistication of the Manager (including management and investment management personnel, as well as members of the legal, compliance and risk-management departments) and the resources the Manager employed in managing the Fund. In addition, the Trustees considered the depth of the Manager’s personnel resources, its relationship with Fund shareholders and other matters relating to its business and organization and the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the Fund’s management agreement and sub-advisory agreement, that the fees charged to the Fund under these agreements were within the range of fees that would be established through arm’s-length bargaining.

In their deliberations, the Trustees considered all factors they deemed relevant, with each Trustee weighting individual factors as he thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement and sub-advisory agreement for another year.

165

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

August 31, 2015 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six-month period ended August 31, 2015.

As a shareholder of the Funds, you may incur two types of costs: (1) transactions costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and /or indirect management fees, direct and/or indirect shareholder services fees, and distribution (12b-1) and/or administration fees for Funds with Class M shares, if applicable, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2015 through August 31, 2015.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premium and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value March 1, 2015		Ending Account Value August 31, 2015		Expenses Paid During the Period*		Beginning Account Value March 1, 2015		Ending Account Value August 31, 2015		Expenses Paid During the Period*		Annualized Expense Ratio
Alpha Only Fund
Class III	$	1,000.00	$	976.30	$	3.23	$	1,000.00	$	1,021.87	$	3.30		0.65%
Class IV	$	1,000.00	$	975.90	$	2.98	$	1,000.00	$	1,022.12	$	3.05		0.60%
Benchmark-Free Allocation Fund
Class III	$	1,000.00	$	930.90	$	4.22	$	1,000.00	$	1,020,76	$	4.42		0.87%
Class IV	$	1,000.00	$	931.40	$	3.98	$	1,000.00	$	1,021.01	$	4.17		0.82%
Class M	$	1,000.00	$	931.50	$	3.79	$	1,000.00	$	1,021.22	$	3.96		0.78%
Benchmark-Free Fund
Class III	$	1,000.00	$	922.80	$	2.61	$	1,000.00	$	1,022.42	$	2.75		0.54%
Global Asset Allocation Fund
Class III	$	1,000.00	$	927.50	$	2.42	$	1,000.00	$	1,022.62	$	2.54		0.50%
Global Developed Equity Allocation Fund
Class III	$	1,000.00	$	917.20	$	2.60	$	1,000.00	$	1,022.42	$	2.75		0.54%
Global Equity Allocation Fund
Class III	$	1,000.00	$	903.80	$	2.78	$	1,000.00	$	1,022.22	$	2.95		0.58%
Implementation Fund
Core	$	1,000.00	$	919.10	$	0.39	$	1,000.00	$	1,024.73	$	0.41		0.08%
International Developed Equity Allocation Fund
Class III	$	1,000.00	$	912.80	$	2.98	$	1,000.00	$	1,022.02	$	3.15		0.62%
International Equity Allocation Fund
Class III	$	1,000.00	$	890.40	$	3.28	$	1,000.00	$	1,021.67	$	3.51		0.69%
Special Opportunities Fund
Class VI	$	1,000.00	$	991.80	$	6.56	$	1,000.00	$	1,018.55	$	6.65		1.31%

166

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses — (Continued)

August 31, 2015 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2015		Ending Account Value August 31, 2015		Expenses Paid During the Period*		Beginning Account Value March 1, 2015		Ending Account Value August 31, 2015		Expenses Paid During the Period*		Annualized Expense Ratio
Strategic Opportunities Allocation Fund
Class III	$	1,000.00	$	911.80	$	2.45	$	1,000.00	$	1,022.57	$	2.59		0.51%
Systematic Global Macro Opportunity Fund
Class III	$	1,000.00	$	982.8	$	4.24	$	1,000.00	$	1,020.86	$	4.32		0.85%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2015, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

167

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

The complete schedule of investments for each series of the registrant is included as part of the semi-annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a)	The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.
(b)(1)	Grantham, Mayo, Van Otterloo & Co. LLC’s Trading and Trade Operations teams enhanced their procedures and controls surrounding the review, processing and recording of trade claims purchased by each applicable series of the registrant.
(b)(2)	Except as described in the prior paragraph, there were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not applicable to this filing.

(a)(2) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX-99.CERT.

(a)(3) Not applicable to this registrant.

(b) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Chief Executive Officer
	Date: November 2, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Principal Executive Officer
	Date: November 2, 2015
By (Signature and Title):	/s/ Carly Cushman
	Carly Cushman, Principal Financial Officer
	Date: November 2, 2015