GMO Trust

N-CSR 1 d333398dncsr.htm GMO TRUST GMO Trust

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: 02/28/17

Date of reporting period: 02/28/17

Item 1. Reports to Stockholders.

The annual reports for each series of the registrant for the period ended February 28, 2017 are filed herewith.

GMO Trust

Annual Report

February 28, 2017

Asset Allocation Bond Fund

Core Plus Bond Fund

Currency Hedged International Bond Fund

Emerging Country Debt Fund

Opportunistic Income Fund (formerly Debt Opportunities Fund)

U.S. Treasury 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 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 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-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
Management Discussion and Analysis of Fund Performance			2
Performance Graph			3
Investment Concentration Summary			4
Schedule of Investments			5
Core Plus Bond Fund
Management Discussion and Analysis of Fund Performance			8
Performance Graph			9
Investment Concentration Summary			10
Schedule of Investments			11
Currency Hedged International Bond Fund
Management Discussion and Analysis of Fund Performance			14
Performance Graph			15
Investment Concentration Summary			16
Schedule of Investments			17
Emerging Country Debt Fund
Management Discussion and Analysis of Fund Performance			20
Performance Graph			21
Investment Concentration Summary			22
Schedule of Investments			23
Opportunistic Income Fund (formerly Debt Opportunities Fund)
Management Discussion and Analysis of Fund Performance			34
Performance Graph			35
Investment Concentration Summary			36
Schedule of Investments			37
U.S. Treasury Fund
Management Discussion and Analysis of Fund Performance			48
Performance Graph			49
Investment Concentration Summary			50
Schedule of Investments			51
Portfolio, Counterparty and Currency Abbreviations			52
Fund Financial Statements:
Statements of Assets and Liabilities			53
Statements of Operations			57
Statements of Changes in Net Assets			59
Financial Highlights			62
Notes to Financial Statements			68
Report of Independent Registered Public Accounting Firm			111
Board Review of Management Agreement			112
Fund Expenses			113
Tax Information			114
Trustees and Officers			115

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Developed Fixed Income and Asset Allocation teams at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Asset Allocation Bond Fund returned -0.05% (net) for the fiscal year ended February 28, 2017, as compared with +0.32% for the Citigroup 3-Month Treasury Bill Index.

The Fund underperformed the benchmark during the period by -0.36%. Developed markets interest-rate positioning detracted during the fiscal year. The Fund’s early year Eurozone steepener position drove losses, followed by losses from active positions in the U.K., Mexico, and New Zealand. These rates positions were implemented primarily using interest-rate swaps and options on interest-rate swaps. Gains from the Fund’s position in TIPS partly offset losses. In opportunistic strategies, cross-currency basis swap positions added value, as gains from yen cross-currency basis swap positions more than offset losses from euro cross-currency basis swap positions.

The Fund’s positions in developed market currencies added value, particularly its short positions in yen. These positions were implemented using both currency forwards and options.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Asset Allocation Bond Fund Class III Shares and the Citigroup 3-Month Treasury Bill Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2017. All information is unaudited. Performance for classes may vary due to different fees.

For the period from March 18, 2009 to March 27, 2009, no Class III shares were outstanding. Performance for that period is that of Class VI, which has lower expenses. Therefore, the performance shown is higher than it would have been if Class III expenses had been applied throughout.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Debt Obligations		90.0	%
Short-Term Investments		9.6
Options Purchased		0.0	^
Forward Currency Contracts		(0.1	)
Swap Contracts		(0.4	)
Other		0.9

		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%.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Par Value† / Principal Amount		Description	Value ($)
		DEBT OBLIGATIONS — 90.0%

		U.S. Government — 90.0%
	211,246,935	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25^(a)		210,648,683
	169,209,342	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25^(a)		170,649,991
	94,073,247	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26^(a)		96,385,192
	5,237,492	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26^(a)		5,145,558
	65,158,392	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28^(a)		74,270,012
	147,627,734	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29^(a)		182,100,728
	12,189,463	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29^(a)		17,020,610
	50,000,000	U.S. Treasury Note, 1.00%, due 12/15/17		50,058,600
	80,000,000	U.S. Treasury Note, 0.75%, due 02/28/18		79,837,520
	45,000,000	U.S. Treasury Note, 0.75%, due 04/15/18		44,876,970
	20,000,000	U.S. Treasury Note, 2.63%, due 04/30/18		20,372,660
	12,500,000	U.S. Treasury Note, 1.00%, due 05/31/18		12,497,075
	12,500,000	U.S. Treasury Note, 1.38%, due 07/31/18		12,553,713
	20,000,000	U.S. Treasury Note, 1.38%, due 09/30/18		20,077,340
	40,000,000	U.S. Treasury Note, 0.75%, due 10/31/18		39,729,680
	12,500,000	U.S. Treasury Note, 1.00%, due 11/30/18		12,463,375
	25,000,000	U.S. Treasury Note, 1.25%, due 12/31/18		25,020,500
	35,000,000	U.S. Treasury Note, 1.13%, due 01/31/19 ^(b)		34,934,375
	60,000,000	U.S. Treasury Note, 1.50%, due 01/31/19		60,304,680
	20,000,000	U.S. Treasury Note, 0.75%, due 02/15/19		19,811,720
	25,000,000	U.S. Treasury Note, 1.13%, due 02/28/19		24,947,275
	20,000,000	U.S. Treasury Note, 1.50%, due 02/28/19		20,098,440
	20,000,000	U.S. Treasury Note, 3.13%, due 05/15/19 ^(c)		20,784,380
	50,000,000	U.S. Treasury Note, 3.63%, due 08/15/19		52,726,550
	35,000,000	U.S. Treasury Note, USBM + 0.19%, 0.97%, due 04/30/18		35,059,990

		Total U.S. Government		1,342,375,617


		TOTAL DEBT OBLIGATIONS (COST $1,328,482,486)		1,342,375,617


		OPTIONS PURCHASED — 0.0%

		Currency Options — 0.0%
EUR	17,893,000	EUR Call/USD Put, Expires 03/06/17, Strike 1.15, (OTC) (CP-GS)		—
USD	19,881,000	USD Call/CHF Put, Expires 03/06/17, Strike 1.00, (OTC) (CP-GS)		188,293
EUR	17,897,000	EUR Call/USD Put, Expires 03/06/17, Strike 1.15, (OTC) (CP-GS)		—
USD	19,886,000	USD Call/CHF Put, Expires 03/06/17, Strike 1.00, (OTC) (CP-BCLY)		188,340

		Total Currency Options		376,633


		TOTAL OPTIONS PURCHASED (COST $1,276,456)		376,633


Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 9.6%

		Money Market Funds — 0.3%
	3,929,477	State Street Institutional Treasury Money Market Fund-Premier Class, 0.42% ^(d)		3,929,477


		Repurchase Agreements — 9.3%
	138,689,018	Nomura Securities International Inc. Repurchase Agreement, dated 02/28/17, maturing on 03/01/17 with a maturity value of $138,691,021 and an effective yield of 0.52%, collateralized by a U.S. Treasury Note with maturity date 8/15/24 and a market value of $141,263,220.		138,689,018


		TOTAL REPURCHASE AGREEMENTS (COST $138,689,018)		138,689,018


		TOTAL SHORT-TERM INVESTMENTS (COST $142,618,495)		142,618,495


		TOTAL INVESTMENTS — 99.6% (Cost $1,472,377,437)		1,485,370,745
		Other Assets and Liabilities (net) — 0.4%		6,622,847


		TOTAL NET ASSETS — 100.0%		$1,491,993,592

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Forward Currency Contracts


Settlement Date	Counter party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/09/2017	MSCI		CHF	21,590,746		USD	21,502,800	$	(1,499	)
03/20/2017	MSCI		EUR	11,873,315		USD	12,672,864		84,250
11/07/2017	GS		EUR	238,995,000		USD	262,404,560		5,921,451
12/22/2017	JPM		EUR	62,184,000		USD	68,688,446		1,771,868
03/13/2017	BOA		JPY	1,651,106,537		USD	14,520,711		(181,147	)
03/09/2017	BOA		USD	2,500,000		CHF	2,519,193		9,106
03/09/2017	GS		USD	6,422,063		CHF	6,400,000		(47,688	)
03/09/2017	MSCI		USD	11,517,000		CHF	11,802,391		238,135
03/13/2017	JPM		USD	2,792,082		JPY	316,000,000		21,660
03/13/2017	MSCI		USD	1,000,000		JPY	114,823,600		22,417
03/13/2017	MSCI		USD	4,786,569		NZD	6,870,000		160,142
03/20/2017	BCLY		USD	2,756,164		EUR	2,580,000		(20,734	)
11/07/2017	GS		USD	263,778,782		EUR	238,995,000		(7,295,672	)
12/22/2017	JPM		USD	69,205,942		EUR	62,184,000		(2,289,363	)

								$	(1,607,074	)


		See accompanying notes to the financial statements.		5

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2017

Reverse Repurchase Agreements ^(e)


Face Value		Description	Market Value
USD	34,939,753	Nomura Securities International Inc, (0.25%), dated 02/15/17 (collateral: U.S. Treasury Note, 1.13%, due 01/31/19), to be repurchased on demand at face value plus accrued interest.	$	(34,936,599	)

		Average balance outstanding	$	(34,973,109	)
		Average interest rate		(0.58	)%
		Maximum balance outstanding	$	(76,916,001	)

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

Swap Contracts

Interest Rate Swaps

Notional
Amount

Expiration
Date

Counterparty

Receive
(Pay) #

Fixed
Rate

Variable Rate

Net

Unrealized
Appreciation/

(Depreciation)

54,130,000

MXN

1/22/2027

JPMF ^(f)

Receive

7.90%

TIIE

$14,753

204,400,000

MXN

1/26/2027

JPMF ^(f)

Receive

7.87%

TIIE

33,447

191,400,000

MXN

1/26/2027

JPMF ^(f)

Receive

7.89%

TIIE

45,279

446,543,000

MXN

1/27/2027

JPMF ^(f)

Receive

7.91%

TIIE

138,208

32,618,000

CAD

3/17/2027

JPMF ^(g)

(Pay)

1.86%

3 Month CAD LIBOR

40,820

6,007,000

CAD

3/17/2027

JPMF ^(g)

(Pay)

2.00%

3 Month CAD LIBOR

(52,335)

15,757,000

CAD

3/17/2027

JPMF ^(g)

Receive

1.97%

3 Month CAD LIBOR

100,938

18,053,000

CHF

3/17/2027

JPMF ^(g)

(Pay)

0.17%

6 Month CHF LIBOR

(250,407)

20,835,000

EUR

3/17/2027

JPMF ^(g)

(Pay)

0.77%

6 Month EURIBOR

(203,279)

15,126,000

GBP

3/17/2027

JPMF ^(g)

(Pay)

1.38%

6 Month GBP LIBOR

(408,281)

10,407,000

GBP

3/17/2027

JPMF ^(g)

(Pay)

1.42%

6 Month GBP LIBOR

(336,035)

9,597,000

GBP

3/17/2027

JPMF ^(g)

(Pay)

1.35%

6 Month GBP LIBOR

(224,380)

42,912,000

GBP

3/17/2027

JPMF ^(g)

(Pay)

1.43%

6 Month GBP LIBOR

(1,416,598)

10,140,000

GBP

3/17/2027

JPMF ^(g)

(Pay)

1.40%

6 Month GBP LIBOR

(298,115)

47,079,000

NZD

3/17/2027

JPMF ^(g)

Receive

2.68%

3 Month NZD Bank Bill Rate

(2,296,990)

3,974,000

NZD

3/17/2027

JPMF ^(g)

Receive

2.94%

3 Month NZD Bank Bill Rate

(130,478)

16,672,000

NZD

3/17/2027

JPMF ^(g)

Receive

2.93%

3 Month NZD Bank Bill Rate

(556,343)

8,746,000

NZD

3/17/2027

JPMF ^(g)

Receive

2.91%

3 Month NZD Bank Bill Rate

(301,113)

9,047,000

NZD

3/17/2027

JPMF ^(g)

Receive

3.47%

3 Month NZD Bank Bill Rate

(5,532)

8,113,000

NZD

3/17/2027

JPMF ^(g)

Receive

3.67%

3 Month NZD Bank Bill Rate

94,625

27,827,000

SEK

3/17/2027

JPMF ^(g)

Receive

0.90%

3 Month SEK STIBOR

(52,722)

86,550,000

SEK

3/17/2027

JPMF ^(g)

Receive

1.17%

3 Month SEK STIBOR

88,621

98,458,000

SEK

3/17/2027

JPMF ^(g)

Receive

1.18%

3 Month SEK STIBOR

114,023

100,519,000

SEK

3/17/2027

JPMF ^(g)

Receive

1.18%

3 Month SEK STIBOR

113,712

174,020,000

SEK

3/17/2027

JPMF ^(g)

Receive

1.14%

3 Month SEK STIBOR

123,403

73,434,000

SEK

3/17/2027

JPMF ^(g)

(Pay)

1.14%

3 Month SEK STIBOR

(49,576)

64,704,000

SEK

3/17/2027

JPMF ^(g)

(Pay)

1.14%

3 Month SEK STIBOR

(47,155)

24,515,000

USD

3/17/2027

JPMF ^(g)

Receive

2.22%

3 Month USD LIBOR

(274,584)

12,092,000

USD

3/17/2027

JPMF ^(g)

(Pay)

2.26%

3 Month USD LIBOR

86,266

17,078,000

USD

3/17/2027

JPMF ^(g)

Receive

2.49%

3 Month USD LIBOR

240,232

19,579,000

USD

3/17/2027

JPMF ^(g)

(Pay)

2.35%

3 Month USD LIBOR

(16,875)

4,985,000

USD

3/17/2027

JPMF ^(g)

(Pay)

2.32%

3 Month USD LIBOR

6,864

13,819,000

USD

3/17/2027

JPMF ^(g)

(Pay)

2.29%

3 Month USD LIBOR

68,279

$(5,611,328)

Premiums Paid (Received)

$ (54,773)

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

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


6		See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2017

As of February 28, 2017, 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:

†	Denominated in U.S. Dollar, unless otherwise indicated.

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

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

(c)	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).

(d)	The rate disclosed is the 7 day net yield as of February 28, 2017.

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

(f)	Swap was cleared through the CME Group Inc.

(g)	Swap was cleared through the LCH.Clearnet Group Ltd.

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 52.


		See accompanying notes to the financial statements.		7

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Developed Fixed Income team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Core Plus Bond Fund returned +2.44% (net) for the fiscal year ended February 28, 2017, as compared with +1.42% for the Barclays U.S. Aggregate Index. The Fund outperformed its benchmark during the fiscal year by +1.02%.

The Fund’s investment exposure was achieved directly through bonds, swaps, and futures and indirectly through investment in underlying GMO Trust mutual funds, including GMO Opportunistic Income Fund (OIF), GMO Emerging Country Debt Fund (ECDF), and GMO U.S. Treasury Fund (USTF).

Exposure to asset-backed securities contributed positively to performance, given tighter spreads across structured products in general.

A small exposure to emerging debt added value during the fiscal year, thanks to spread tightening on the asset class and positive contributions from both country selection and security selection.

Developed markets interest-rate positioning contributed positively during the fiscal year. The Fund’s duration positions in the U.S., Australia, and Sweden added value, while losses from active duration positions in Mexico, the U.K., and New Zealand partly offset gains. In opportunistic strategies, swap spread strategies added value as long end swap spreads in the U.S. went less negative.

The currency strategy contributed positively during the fiscal year. The Fund’s active short positions in the yen and Swiss franc were successful during the year, while positions in euros detracted.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Core Plus Bond Fund Class III Shares and the Barclays U.S. Aggregate Index

As of February 28, 2017

LOGO

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary†	% of Total Net Assets
Debt Obligations		81.9	%
Short-Term Investments		16.4
Mutual Funds		15.1
Swap Contracts		0.1
Loan Participations		0.1
Rights/Warrants		0.1
Futures Contracts		0.1
Options Purchased		0.0	^
Loan Assignments		0.0	^
Forward Currency Contracts		0.0	^
Securities Sold Short		(0.0	)^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Other		(13.8	)

		100.0	%


Country/Region Summary‡	% of Investments
United States		96.0	%
Other Emerging		4.8	¥
New Zealand		4.0
Mexico		3.0
Sweden		2.3
Canada		(1.0	)
Switzerland		(1.0	)
Euro Region		(1.3	)§
United Kingdom		(6.8	)

		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.

¥	“Other Emerging” is associated with investments in GMO Emerging Country Debt Fund and is comprised of emerging countries that each represents between (1.0)% and 1.0% of Investments.

§	“Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^	Rounds to 0.00%.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 58.9%

		United States
		U.S. Government — 44.3%
	3,468,000	U.S. Treasury Bond, 6.25%, due 05/15/30		4,937,159
	35,339,000	U.S. Treasury Bond, 3.38%, due 05/15/44^(a)		38,066,747
	79,956,000	U.S. Treasury Note, 1.50%, due 02/28/19		80,349,543
	68,400,000	U.S. Treasury Note, 2.00%, due 02/28/21		69,057,256
	39,004,000	U.S. Treasury Note, 2.00%, due 02/15/23		38,848,608
	30,344,000	U.S. Treasury Note, 2.00%, due 08/15/25		29,566,435

				260,825,748


		U.S. Government Agency — 14.6%
	13,090,000	Federal Home Loan Mortgage Corp., TBA, 3.50%, due 03/13/47		13,413,159
	22,550,000	Federal National Mortgage Association, TBA, 2.50%, due 03/16/47		22,602,853
	8,830,000	Federal National Mortgage Association, TBA, 3.00%, due 03/13/47		8,770,524
	18,830,000	Federal National Mortgage Association, TBA, 4.00%, due 03/13/47		19,785,698
	20,690,000	Government National Mortgage Association, TBA, 3.50%, due 03/21/47		21,505,478

				86,077,712


		TOTAL DEBT OBLIGATIONS (COST $345,436,276)		346,903,460


		MUTUAL FUNDS — 54.4%

		United States — 39.3%
		Affiliated Issuers — 39.3%
	992,130	GMO Emerging Country Debt Fund, Class IV		28,722,150
	4,418,935	GMO Opportunistic Income Fund, Class VI		113,920,146
	3,545,790	GMO U.S. Treasury Fund		88,644,748

				231,287,044


		Exchange-Traded Funds — 15.1%
	749,650	iShares iBoxx $ Investment Grade Corporate Bond ETF		88,893,497


		TOTAL MUTUAL FUNDS (COST $318,860,603)		320,180,541


		SHORT-TERM INVESTMENTS — 0.6%

		Money Market Funds
	3,598,275	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.41%^(b)		3,598,275


		TOTAL SHORT-TERM INVESTMENTS (COST $3,598,275)		3,598,275


		TOTAL INVESTMENTS — 113.9% (Cost $667,895,154)		670,682,276
		Other Assets and Liabilities (net) — (13.9%)		(82,076,697	)


		TOTAL NET ASSETS — 100.0%		$588,605,579

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Forward Currency Contracts


Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/09/2017	GS		CHF	5,000,000		USD	5,017,237	$	37,256
03/09/2017	MSCI		CHF	1,331,916		USD	1,326,491		(93	)
03/20/2017	BCLY		EUR	3,210,000		USD	3,429,181		25,797
03/20/2017	MSCI		EUR	320,023		USD	341,573		2,271
11/07/2017	GS		EUR	4,716,000		USD	5,177,932		116,846
03/13/2017	BOA		JPY	52,851,246		USD	464,802		(5,798	)
03/13/2017	JPM		JPY	428,000,000		USD	3,781,681		(29,336	)
03/09/2017	MSCI		USD	661,477		CHF	661,906		(2,221	)
03/13/2017	MSCI		USD	125,412		NZD	180,000		4,196
11/07/2017	GS		USD	5,205,049		EUR	4,716,000		(143,963	)

								$	4,955

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
102	U.S. Long Bond (CBT)	June 2017	$	15,468,937	$	154,122
349	U.S. Treasury Note 10 Yr. (CBT)	June 2017		43,477,766		122,168
24	U.S. Treasury Note 2 Yr. (CBT)	June 2017		5,193,750		2,598
39	U.S. Treasury Note 5 Yr. (CBT)	June 2017		4,590,422		5,126

			$	68,730,875	$	284,014

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.


		See accompanying notes to the financial statements.		11

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2017

Swap Contracts

Interest Rate Swaps



Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	330,867,000	MXN	1/22/2027	CSS ^(c)	Receive	7.90%	TIIE	$	90,164
	430,000	CAD	3/17/2027	CSS ^(d)	Receive	1.97%	3 Month CAD LIBOR		2,755
	7,680,000	CAD	3/17/2027	CSS ^(d)	(Pay)	2.00%	3 Month CAD LIBOR		(66,911	)
	962,000	CAD	3/17/2027	CSS ^(d)	(Pay)	1.86%	3 Month CAD LIBOR		1,204
	6,351,000	CHF	3/17/2027	CSS ^(d)	(Pay)	0.17%	6 Month CHF LIBOR		(88,093	)
	7,311,000	EUR	3/17/2027	CSS ^(d)	(Pay)	0.77%	6 Month EURIBOR		(71,331	)
	28,396,000	GBP	3/17/2027	CSS ^(d)	(Pay)	1.30%	6 Month GBP LIBOR		(499,806	)
	1,335,000	GBP	3/17/2027	CSS ^(d)	(Pay)	1.40%	6 Month GBP LIBOR		(39,249	)
	875,000	GBP	3/17/2027	CSS ^(d)	(Pay)	1.43%	6 Month GBP LIBOR		(28,885	)
	445,000	GBP	3/17/2027	CSS ^(d)	(Pay)	1.38%	6 Month GBP LIBOR		(12,011	)
	804,000	GBP	3/17/2027	CSS ^(d)	(Pay)	1.41%	6 Month GBP LIBOR		(24,702	)
	29,223,000	NZD	3/17/2027	CSS ^(d)	Receive	3.67%	3 Month NZD Bank Bill Rate		340,837
	2,213,000	NZD	3/17/2027	CSS ^(d)	Receive	2.68%	3 Month NZD Bank Bill Rate		(107,973	)
	987,000	NZD	3/17/2027	CSS ^(d)	Receive	2.94%	3 Month NZD Bank Bill Rate		(32,406	)
	50,697,000	SEK	3/17/2027	CSS ^(d)	(Pay)	1.14%	3 Month SEK STIBOR		(34,226	)
	173,460,000	SEK	3/17/2027	CSS ^(d)	Receive	1.17%	3 Month SEK STIBOR		177,610
	422,000	USD	3/17/2027	CSS ^(d)	(Pay)	2.29%	3 Month USD LIBOR		2,085
	9,544,000	USD	3/17/2027	CSS ^(d)	(Pay)	2.32%	3 Month USD LIBOR		13,142
	559,000	USD	3/17/2027	CSS ^(d)	(Pay)	2.35%	3 Month USD LIBOR		(482	)
	6,964,000	USD	3/17/2027	CSS ^(d)	Receive	2.49%	3 Month USD LIBOR		97,961
	721,000	USD	3/17/2027	CSS ^(d)	Receive	2.22%	3 Month USD LIBOR		(8,076	)
	368,000	USD	3/17/2027	CSS ^(d)	(Pay)	2.26%	3 Month USD LIBOR		2,625

								$	(285,768	)

						Premiums Paid (Received)		$	(191,458	)

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

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

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

(a)	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).

(b)	The rate disclosed is the 7 day net yield as of February 28, 2017.

(c)	Swap was cleared through the CME Group Inc.

(d)	Swap was cleared through the LCH.Clearnet Group Ltd.


12		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Developed Fixed Income team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO Currency Hedged International Bond Fund returned +2.79% (net) for the fiscal year ended February 28, 2017, as compared with +1.77% for the J.P. Morgan GBI Global ex Japan ex-U.S. (Hedged). The Fund outperformed its benchmark during the fiscal year by +1.02%.

A small exposure to emerging debt added value during the fiscal year, thanks to spread tightening on the asset class and positive contributions from both country selection and security selection.

Exposure to asset-backed securities also contributed positively to performance, given tighter spreads across structured products in general.

Developed markets interest-rate positioning detracted during the fiscal year. The Fund’s duration positions in Mexico, the U.K., and New Zealand, and an early year Eurozone steepener position detracted, while gains from duration positions in the U.S., Australia, and Sweden partly offset losses. In opportunistic strategies, cross-currency basis swap positions added value, as gains from yen cross-currency basis swap positions more than offset losses from euro cross-currency basis swap positions.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Currency Hedged International Bond Fund Class III Shares and the

J.P. Morgan GBI Global ex Japan ex U.S. (Hedged)

As of February 28, 2017

LOGO

For J.P. Morgan disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary†	% of Total Net Assets
Debt Obligations		66.7	%
Short-Term Investments		31.6
Futures Contracts		0.4
Forward Currency Contracts		0.4
Loan Participations		0.1
Rights/Warrants		0.1
Loan Assignments		0.0	^
Options Purchased		0.0	^
Securities Sold Short		(0.0	)^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Swap Contracts		(0.4	)
Other		1.1

		100.0	%

Country/Region Summary‡	% of Investments
Germany		20.8	%
France		15.2
Italy		13.0
United Kingdom		11.9
Spain		7.4
New Zealand		7.3
Other Emerging		5.9	^¥
Belgium		4.3
Australia		3.7
Netherlands		3.3
Sweden		3.3
Mexico		2.9
Canada		1.9
Other Developed		0.5	^☐
Euro Region		0.4	^§
Switzerland		(1.8	)

		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.

‡

¥	“Other Emerging” is associated with investments in GMO Emerging Country Debt Fund and is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^☐	“Other Developed” is comprised of developed countries that each represent less than(1.0)% and 1.0% of Investments.

§	“Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^	Rounds to 0.00%.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 53.4%

		Belgium — 4.2%
		Foreign Government Obligations
EUR	1,130,000	Belgium Government Bond, Reg S, 4.25%, due 09/28/21		1,455,209
EUR	590,000	Belgium Government Bond, Reg S, 5.00%, due 03/28/35		1,019,757

		Total Belgium		2,474,966


		France — 3.4%
		Foreign Government Obligations
EUR	1,230,000	France Government Bond OAT, Reg S, 4.50%, due 04/25/41		2,018,703


		Germany — 4.5%
		Foreign Government Obligations
EUR	1,500,000	Bundesrepublik Deutschland, Reg S, 4.75%, due 07/04/34		2,675,646


		Italy — 15.3%
		Foreign Government Obligations
EUR	5,610,000	Buoni Poliennali Del Tesoro, 3.75%, due 05/01/21		6,689,130
EUR	1,920,000	Buoni Poliennali Del Tesoro, Reg S, 4.00%, due 02/01/37		2,389,281

		Total Italy		9,078,411


		Netherlands — 3.0%
		Foreign Government Obligations
EUR	1,050,000	Netherlands Government Bond, 5.50%, due 01/15/28		1,711,139
EUR	70,000	Netherlands Government Bond, Reg S, 4.00%, due 07/15/19		82,636

		Total Netherlands		1,793,775


		Spain — 9.6%
		Foreign Government Obligations
EUR	380,000	Government of Spain, 2.10%, due 04/30/17		404,142
EUR	3,040,000	Government of Spain, Reg S, 5.50%, due 04/30/21		3,929,693
EUR	1,010,000	Government of Spain, Reg S, 4.20%, due 01/31/37		1,358,143

		Total Spain		5,691,978


		United Kingdom — 13.4%
		Foreign Government Obligations
GBP	510,000	United Kingdom Gilt, Reg S, 1.25%, due 07/22/18		643,156
GBP	2,160,000	United Kingdom Gilt, Reg S, 1.75%, due 07/22/19		2,786,447


Par Value† / Shares		Description	Value ($)
		United Kingdom — continued
		Foreign Government Obligations — continued
GBP	2,630,000	United Kingdom Gilt, Reg S, 3.50%, due 01/22/45		4,481,396

		Total United Kingdom		7,910,999


		TOTAL DEBT OBLIGATIONS (COST $34,481,686)		31,644,478


		MUTUAL FUNDS — 43.6%

		United States — 43.6%
		Affiliated Issuers — 43.6%
	127,032	GMO Emerging Country Debt Fund, Class IV		3,677,564
	111,902	GMO Opportunistic Income Fund, Class VI		2,884,836
	769,947	GMO U.S. Treasury Fund		19,248,680


		TOTAL MUTUAL FUNDS (COST $24,686,959)		25,811,080


		SHORT-TERM INVESTMENTS — 1.6%

		Money Market Funds — 0.5%
	320,956	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.41%^(a)		320,956


		U.S. Government — 1.1%
	650,000	U.S. Treasury Bill, 0.55%, due 06/01/17^(b) (c)		649,086


		TOTAL SHORT-TERM INVESTMENTS (COST $969,990)		970,042


		TOTAL INVESTMENTS — 98.6% (Cost $60,138,635)		58,425,600
		Other Assets and Liabilities (net) — 1.4%		807,023


		TOTAL NET ASSETS — 100.0%		$59,232,623

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Forward Currency Contracts


Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)
03/09/2017	MSCI	CHF	1,229,012	USD	1,224,006	$	(85	)
03/20/2017	MSCI	EUR	22,673,748	USD	24,200,598		160,887
11/07/2017	GS	EUR	1,404,000	USD	1,541,522		34,786
03/20/2017	GS	GBP	6,303,000	USD	7,882,942		58,520
03/13/2017	BOA	JPY	48,835,500	USD	429,485		(5,358	)
03/09/2017	MSCI	USD	649,506	CHF	649,535		(2,572	)
03/13/2017	MSCI	USD	118,445	NZD	170,000		3,963
11/07/2017	GS	USD	1,549,595	EUR	1,404,000		(42,859	)

						$	207,282


		See accompanying notes to the financial statements.		17

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2017

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
14	Australian Government Bond 10 Yr.	March 2017	$	1,376,566	$	11,563
15	Australian Government Bond 3 Yr.	March 2017		1,283,708		(1,092	)
18	Canadian Government Bond 10 Yr.	June 2017		1,861,391		14,197
31	Euro BOBL	March 2017		4,424,720		62,974
11	Euro Bund	March 2017		1,935,046		54,761
7	Euro BUXL Bond 30 Yr.	March 2017		1,287,530		26,712
29	Euro OATs	March 2017		4,606,852		8,883
4	Short-term Euro-BTP	March 2017		477,450		3,683
23	UK Gilt Long Bond	June 2017		3,631,088		45,072

			$	20,884,351	$	226,753

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Interest Rate Swaps


Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	10,113,000	EUR	3/21/2018	CSS ^(d)	Receive	(0.22)%	3 Month EURIBOR	$	9,008
	665,000	USD	12/16/2020	CSS ^(d)	(Pay)	1.92%	3 Month USD LIBOR		(1,102	)
	1,066,000	USD	12/17/2025	CSS ^(d)	(Pay)	2.43%	3 Month USD LIBOR		(11,705	)
	33,320,000	MXN	1/22/2027	CSS ^(d)	Receive	7.90%	TIIE		9,082
	883,000	CAD	3/17/2027	CSS ^(e)	(Pay)	1.86%	3 Month CAD LIBOR		1,105
	420,000	CAD	3/17/2027	CSS ^(e)	(Pay)	2.00%	3 Month CAD LIBOR		(3,659	)
	430,000	CAD	3/17/2027	CSS ^(e)	Receive	1.97%	3 Month CAD LIBOR		2,755
	598,000	CHF	3/17/2027	CSS ^(e)	(Pay)	0.17%	6 Month CHF LIBOR		(8,295	)
	848,000	EUR	3/17/2027	CSS ^(e)	(Pay)	0.77%	6 Month EURIBOR		(8,274	)
	266,000	GBP	3/17/2027	CSS ^(e)	(Pay)	1.30%	6 Month GBP LIBOR		(4,682	)
	805,000	GBP	3/17/2027	CSS ^(e)	(Pay)	1.43%	6 Month GBP LIBOR		(26,574	)
	1,067,000	GBP	3/17/2027	CSS ^(e)	(Pay)	1.40%	6 Month GBP LIBOR		(31,370	)
	412,000	GBP	3/17/2027	CSS ^(e)	(Pay)	1.38%	6 Month GBP LIBOR		(11,121	)
	727,000	GBP	3/17/2027	CSS ^(e)	(Pay)	1.41%	6 Month GBP LIBOR		(22,337	)
	2,067,000	NZD	3/17/2027	CSS ^(e)	Receive	2.68%	3 Month NZD Bank Bill Rate		(100,849	)
	875,000	NZD	3/17/2027	CSS ^(e)	Receive	2.94%	3 Month NZD Bank Bill Rate		(28,729	)
	870,000	NZD	3/17/2027	CSS ^(e)	Receive	3.67%	3 Month NZD Bank Bill Rate		10,147


18		See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2017

Interest Rate Swaps — continued


Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	5,590,000	SEK	3/17/2027	CSS ^(e)	(Pay)	1.14%	3 Month SEK STIBOR	$	(3,774	)
	18,050,000	SEK	3/17/2027	CSS ^(e)	Receive	1.17%	3 Month SEK STIBOR		18,482
	701,000	USD	3/17/2027	CSS ^(e)	Receive	2.49%	3 Month USD LIBOR		9,861
	513,000	USD	3/17/2027	CSS ^(e)	(Pay)	2.34%	3 Month USD LIBOR		(442	)
	327,000	USD	3/17/2027	CSS ^(e)	(Pay)	2.32%	3 Month USD LIBOR		450
	353,000	USD	3/17/2027	CSS ^(e)	(Pay)	2.29%	3 Month USD LIBOR		1,744
	333,000	USD	3/17/2027	CSS ^(e)	(Pay)	2.26%	3 Month USD LIBOR		2,376
	668,000	USD	3/17/2027	CSS ^(e)	Receive	2.22%	3 Month USD LIBOR		(7,482	)
	405,000	USD	12/19/2035	CSS ^(d)	(Pay)	2.72%	3 Month USD LIBOR		(8,649	)

								$	(214,034	)

						Premiums Paid (Received)		$	(4,679	)

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

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

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

(a)	The rate disclosed is the 7 day net yield as of February 28, 2017.

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

(c)	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).

(d)	Swap was cleared through the CME Group Inc.

(e)	Swap was cleared through the LCH.Clearnet Group Ltd.


		See accompanying notes to the financial statements.		19

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Country Debt team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Emerging Country Debt Fund returned +19.47% (net) for the fiscal year ended February 28, 2017, as compared with +12.06% for the J.P. Morgan EMBI Global (EMBIG). The Fund outperformed its benchmark during the fiscal year by +7.41%.

EMBIG spreads over U.S. Treasuries narrowed 149 basis points to 334 basis points, while the yield on the 10-year U.S. Treasury bond rose by 62 basis points to 2.36%.

The EMBIG index’s biggest gainers of the fiscal year were concentrated in low credit quality, commodity-reliant sovereigns, led by Venezuela (+75.2%), Zambia (+50.8%), and Ecuador (+49.3%). The worst performing countries featured two sovereigns in debt distress, namely Mozambique (-4.3%) and Belize (-3.0%). Slovak Republic, a high quality credit with very low yields, was the third worst performer on a total return basis.

Country selection added meaningfully to the Fund’s relative performance. Overweighting Venezuela had the largest positive impact, while overweight positions in Brazil, Angola, Iraq, Tunisia, and Pakistan also contributed. Underweight positions in China and the Philippines were also meaningful contributors to relative performance. A significant negative contribution from country selection came from overweighting Mexico.

Security selection also added to relative performance during the year. The Fund’s choice of holdings in Venezuela, Argentina, Colombia, Russia, and Brazil were meaningful contributors. These were partially offset by negative contributions from the Fund’s choice of holdings in Mexico and Tunisia.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Emerging Country Debt Fund Class III Shares and the J.P. Morgan EMBI Global

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of 0.75% on the purchase and 0.75% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

For J.P. Morgan disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary†	% of Total Net Assets
Debt Obligations		89.8	%
Short-Term Investments		7.2
Loan Participations		1.6
Rights/Warrants		1.1
Loan Assignments		0.1
Forward Currency Contracts		0.0	^
Options Purchased		0.0	^
Securities Sold Short		(0.0	)^
Written Options/Credit Linked Options		(0.1	)
Reverse Repurchase Agreements		(0.8	)
Swap Contracts		(0.9	)
Other		2.0

		100.0	%


Country/Region Summary‡	% of Investments
Other Emerging		14.6	%•
Mexico		12.4
Russia		7.1
Venezuela		6.8
Brazil		6.5
Turkey		6.0
Argentina		5.1
Indonesia		4.9
China		3.5
Philippines		2.7
Pakistan		2.1
Dominican Republic		2.0
Kazakhstan		2.0
Colombia		1.9
Tunisia		1.9
Malaysia		1.8
South Africa		1.8
Costa Rica		1.6
Peru		1.6
Sri Lanka		1.6
Israel		1.5
Ukraine		1.4
Uruguay		1.4
Bahrain		1.3
Panama		1.1
Angola		1.0
Chile		1.0
Congo		1.0
Morocco		1.0
Hungary		0.8
Other Developed		0.6	^☐

		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/depreciaton 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.

•	“Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^☐	“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^	Rounds to 0.0%.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)

		DEBT OBLIGATIONS — 89.3%

		Albania — 0.9%
		Foreign Government Obligations
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 ^(a) (b)		36,318,756


		Angola — 0.6%
		Foreign Government Obligations
	23,000,000	Republic of Angola, Reg S, 9.50%, due 11/12/25		23,230,000


		Argentina — 4.4%
		Foreign Government Obligations
	1,200,000	Province of Buenos Aires, Reg S, Step Up, 4.00%, due 05/15/35		855,000
	11,100,000	Republic of Argentina, Reg S, 7.63%, due 04/22/46 ^(c)		11,155,500
EUR	8,008,646	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		8,717,675
	40,308,593	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		41,820,165
	10,786,557	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		11,390,604
EUR	67,050,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		43,152,386
EUR	96,430,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		61,294,734

		Total Argentina		178,386,064


		Armenia — 0.5%
		Foreign Government Obligations
	21,300,000	Republic of Armenia, Reg S, 7.15%, due 03/26/25		22,269,150


		Azerbaijan — 0.4%
		Foreign Government Agency — 0.3%
	4,750,000	Southern Gas Corridor CJSC, Reg S, 6.88%, due 03/24/26		5,230,938
	7,500,000	State Oil Company of the Azerbaijan Republic, Reg S, 6.95%, due 03/18/30		8,043,750

				13,274,688


		Foreign Government Obligations — 0.1%
	4,000,000	Republic of Azerbaijan International Bond, Reg S, 4.75%, due 03/18/24		4,060,000

		Total Azerbaijan		17,334,688


		Bahrain — 0.9%
		Foreign Government Obligations
	40,750,000	Bahrain Government International Bond, Reg S, 6.00%, due 09/19/44		35,248,750


Par Value†		Description	Value ($)
		Belize — 0.3%
		Foreign Government Obligations
	32,486,300	Republic of Belize, Reg S, Step Up, 4.94%, due 02/20/34		13,969,109


		Bosnia & Herzegovina — 0.0%
		Foreign Government Obligations
DEM	2,694,160	Bosnia & Herzegovina, Series A, Variable Rate, 0.56%, due 12/11/17		1,400,594


		Brazil — 3.2%
		Foreign Government Agency — 2.2%
GBP	3,795,000	Petrobras Global Finance BV, 6.25%, due 12/14/26		4,744,344
GBP	12,225,000	Petrobras Global Finance BV, 6.63%, due 01/16/34		14,638,466
	81,900,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		70,855,785

				90,238,595


		Foreign Government Obligations — 1.0%
	4,435,000	Republic of Brazil, 8.25%, due 01/20/34		5,421,788
	21,897,000	Republic of Brazil, 7.13%, due 01/20/37		24,469,897
	10,000,000	Republic of Brazil, 5.63%, due 02/21/47		9,525,000

				39,416,685

		Total Brazil		129,655,280


		Cameroon — 0.7%
		Foreign Government Obligations
	24,000,000	Republic of Cameroon International Bond, Reg S, 9.50%, due 11/19/25		26,640,000


		Chile — 0.9%
		Corporate Debt — 0.5%
	17,000,000	Empresa Nacional de Electricidad SA, 8.13%, due 02/01/97		20,060,000


		Foreign Government Agency — 0.4%
	16,500,000	Corp Nacional del Cobre de Chile, Reg S, 4.50%, due 09/16/25		17,469,375

		Total Chile		37,529,375


		China — 0.8%
		Foreign Government Agency
	33,000,000	Export-Import Bank of China via Avi Funding Co. Ltd. (The), Reg S, 3.80%, due 09/16/25		33,866,250


		Colombia — 1.7%
		Foreign Government Agency — 0.9%
	36,500,000	Ecopetrol SA, 7.38%, due 09/18/43		38,817,750


		See accompanying notes to the financial statements.		23

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		Colombia — continued
		Foreign Government Obligations — 0.8%
	25,000,000	Colombia Government International Bond, 5.63%, due 02/26/44		27,025,000
	3,800,000	Republic of Colombia, 11.85%, due 03/09/28 ^(a)		5,677,043

				32,702,043

		Total Colombia		71,519,793


		Congo Republic (Brazzaville) — 1.5%
		Foreign Government Obligations
	88,901,798	Republic of Congo, Reg S, Step Up, 4.00%, due 06/30/29		60,008,714


		Costa Rica — 1.2%
		Foreign Government Agency — 0.3%
	15,045,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		12,731,831


		Foreign Government Obligations — 0.9%
	37,000,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		36,815,000

		Total Costa Rica		49,546,831


		Croatia — 0.6%
		Foreign Government Obligations
	21,000,000	Croatia Government International Bond, Reg S, 5.50%, due 04/04/23		22,554,000


		Dominican Republic — 3.0%
		Asset-Backed Securities — 0.5%
	22,246,187	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24 ^(a)		22,085,437


		Foreign Government Agency — 0.2%
	7,370,000	Banco de Reservas de la Republica Dominicana, Reg S, 7.00%, due 02/01/23		7,440,199


		Foreign Government Obligations — 2.3%
	38,607,000	Dominican Republic Discount Bond, Variable Rate, 2.13%, due 08/30/24		36,087,893
	15,200,000	Dominican Republic International Bond, Reg S, 8.63%, due 04/20/27		17,784,000
	10,000,000	Dominican Republic International Bond, Reg S, 7.45%, due 04/30/44		10,925,000
	28,000,000	Dominican Republic International Bond, Reg S, 6.85%, due 01/27/45		28,910,000

				93,706,893

		Total Dominican Republic		123,232,529


Par Value†		Description	Value ($)
		Ecuador — 0.6%
		Foreign Government Obligations
	17,500,000	Ecuador Government International Bond, Reg S, 7.95%, due 06/20/24		17,500,000
	7,000,000	Ecuador Government International Bond, Reg S, 9.65%, due 12/13/26		7,595,000

		Total Ecuador		25,095,000


		Egypt — 0.2%
		Foreign Government Obligations
	7,100,000	Egypt Government International Bond, Reg S, 8.50%, due 01/31/47 ^(c)		7,696,400


		El Salvador — 0.6%
		Foreign Government Obligations
	14,000,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35		12,862,500
	13,203,000	El Salvador Government International Bond, Reg S, 7.63%, due 02/01/41		11,981,722

		Total El Salvador		24,844,222


		Ethiopia — 0.3%
		Foreign Government Obligations
	14,000,000	Federal Democratic Republic of Ethiopia, Reg S, 6.63%, due 12/11/24		13,212,500


		Gabon — 1.0%
		Foreign Government Obligations
	37,500,000	Gabonese Republic, Reg S, 6.38%, due 12/12/24		35,906,250
	4,500,000	Gabonese Republic, Reg S, 6.95%, due 06/16/25		4,342,500

		Total Gabon		40,248,750


		Ghana — 0.9%
		Foreign Government Agency — 0.4%
	15,761,356	Saderea, Ltd., Reg S, 12.50%, due 11/30/26		15,918,969


		Foreign Government Obligations — 0.5%
	16,800,000	Republic of Ghana, Reg S, 10.75%, due 10/14/30		19,698,000

		Total Ghana		35,616,969


		Greece — 0.5%
		Foreign Government Obligations
EUR	28,882,000	Hellenic Republic Government Bond, Reg S, Step Up, 3.00%, due 02/24/36		19,257,747


24		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)

February 28, 2017


Par Value†		Description	Value ($)
		Grenada — 0.2%
		Foreign Government Obligations
	12,043,610	Grenada Government International Bond, Reg S, Step Up, 7.00%, due 05/12/30		6,486,267


		Guatemala — 0.5%
		Foreign Government Obligations
	15,500,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		19,491,250


		Honduras — 0.6%
		Foreign Government Obligations
	20,875,000	Honduras Government International Bond, Reg S, 7.50%, due 03/15/24		22,962,500
	3,500,000	Honduras Government International Bond, Reg S, 6.25%, due 01/19/27		3,539,375

		Total Honduras		26,501,875


		Hungary — 0.4%
		Foreign Government Obligations
	11,792,000	Hungary Government International Bond, 7.63%, due 03/29/41		16,877,300


		Iceland — 0.2%
		Foreign Government Obligations
	8,000,000	Iceland Government International Bond, Reg S, 5.88%, due 05/11/22		9,055,552


		Indonesia — 3.5%
		Foreign Government Agency — 1.3%
	28,200,000	Majapahit Holding BV, Reg S, 7.88%, due 06/29/37		35,770,045
	14,400,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		15,912,000

				51,682,045


		Foreign Government Obligations — 2.2%
	43,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		53,109,657
	35,780,000	Indonesia Government International Bond, Reg S, 5.25%, due 01/17/42		37,926,800

				91,036,457

		Total Indonesia		142,718,502


		Iraq — 0.3%
		Foreign Government Obligations
	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		13,245,000


Par Value†		Description	Value ($)
		Israel — 1.1%
		Foreign Government Agency
	7,243,000	Israel Electric Corp., Ltd., Reg S, 7.88%, due 12/15/26		8,777,031
JPY	2,500,000,000	Israel Electric Corp., Ltd., 4.10%, due 01/14/32		22,733,544
	12,143,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		14,465,349

		Total Israel		45,975,924


		Ivory Coast — 0.8%
		Foreign Government Obligations
	32,599,700	Ivory Coast Government International Bond, Reg S, Step Up, 5.75%, due 12/31/32		30,725,217


		Jamaica — 0.5%
		Foreign Government Agency — 0.1%
	4,000,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24		4,720,000


		Foreign Government Obligations — 0.4%
	12,500,000	Jamaica Government International Bond, 7.88%, due 07/28/45		14,312,500

		Total Jamaica		19,032,500


		Jordan — 0.2%
		Foreign Government Obligations
	10,000,000	Jordan Government International Bond, Reg S, 5.75%, due 01/31/27		9,675,000


		Kazakhstan — 1.2%
		Foreign Government Obligations
	43,400,000	Kazakhstan Government International Bond, Reg S, 6.50%, due 07/21/45		50,886,500


		Kenya — 0.4%
		Foreign Government Obligations
	17,000,000	Kenya Government International Bond, Reg S, 6.88%, due 06/24/24		16,745,000


		Macedonia — 0.5%
		Foreign Government Obligations
EUR	11,000,000	FYR Macedonia, Reg S, 3.98%, due 07/24/21		11,842,762
EUR	8,600,000	Macedonia Government International Bond, Reg S, 5.63%, due 07/26/23		9,608,697

		Total Macedonia		21,451,459


		See accompanying notes to the financial statements.		25

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		Malaysia — 0.7%
		Foreign Government Agency
	25,000,000	Petronas Capital, Ltd., Reg S, 4.50%, due 03/18/45		26,766,400


		Mexico — 9.1%
		Foreign Government Agency — 3.2%
	51,000,000	Pemex Project Funding Master Trust, 6.63%, due 06/15/35		51,382,500
	9,000,000	Petroleos Mexicanos, 6.50%, due 06/02/41		8,661,600
	10,500,000	Petroleos Mexicanos, 6.38%, due 01/23/45		9,914,100
	46,900,000	Petroleos Mexicanos, 5.63%, due 01/23/46		40,390,280
	21,000,000	Petroleos Mexicanos, 6.75%, due 09/21/47		20,685,000

				131,033,480

		Foreign Government Obligations — 5.9%
	189,848,000	United Mexican States, 5.75%, due 10/12/2110		183,488,092
GBP	46,503,000	United Mexican States, 5.63%, due 03/19/2114		55,395,130

				238,883,222

		Total Mexico		369,916,702


		Mongolia — 0.3%
		Foreign Government Obligations
	14,100,000	Mongolia Government International Bond, Reg S, 5.13%, due 12/05/22		13,095,375


		Morocco — 0.8%
		Foreign Government Agency
	30,000,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		31,837,500


		Mozambique — 0.1%
		Foreign Government Obligations
	4,500,000	Mozambique International Bond, Reg S, 10.50%, due 01/18/23^(c) (d)		2,958,750


		Nigeria — 0.1%
		Foreign Government Obligations
	5,400,000	Nigeria Government International Bond, Reg S, 6.38%, due 07/12/23		5,548,500


		Oman — 0.2%
		Foreign Government Obligations
	10,000,000	Oman Government International Bond, Reg S, 4.75%, due 06/15/26		9,800,000


Par Value†		Description	Value ($)
		Pakistan — 1.0%
		Foreign Government Obligations
	40,500,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		40,950,283


		Panama — 1.0%
		Foreign Government Agency — 0.3%
	13,600,000	AES Panama SRL, Reg S, 6.00%, due 06/25/22		13,957,000

		Foreign Government Obligations — 0.7%
	7,295,000	Panama Government International Bond, 8.13%, due 04/28/34		9,702,350
	18,908,000	Panama Government International Bond, 4.30%, due 04/29/53		17,915,330

				27,617,680

		Total Panama		41,574,680


		Paraguay — 0.2%
		Foreign Government Obligations
	8,000,000	Republic of Paraguay, Reg S, 6.10%, due 08/11/44		8,270,000


		Peru — 1.5%
		Foreign Government Agency — 0.2%
	12,452,000	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25		10,087,739


		Foreign Government Obligations — 1.3%
	5,000,000	Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27^(a)		4,950,000
	39,120,000	Republic of Peru, 5.63%, due 11/18/50		46,112,700

				51,062,700

		Total Peru		61,150,439


		Philippines — 3.2%
		Foreign Government Agency — 2.4%
	25,651,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		35,861,894
	40,550,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		61,380,133

				97,242,027


		Foreign Government Obligations — 0.8%
	27,354,000	Republic of Philippines, 6.38%, due 01/15/32		35,560,200

		Total Philippines		132,802,227


26		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)

February 28, 2017


Par Value†		Description	Value ($)
		Romania — 0.4%
		Foreign Government Obligations
	13,594,000	Romanian Government International Bond, Reg S, 6.13%, due 01/22/44		16,465,733


		Russia — 4.7%
		Foreign Government Agency — 2.4%
	30,000,000	Gazprom Neft OAO Via GPN Capital SA, Reg S, 4.38%, due 09/19/22		30,300,000
	38,800,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		50,556,400
	15,700,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.13%, due 10/29/22		16,072,875

				96,929,275


		Foreign Government Obligations — 2.3%
	21,600,000	Russian Foreign Bond, Reg S, 5.63%, due 04/04/42		23,544,000
	62,200,000	Russian Foreign Bond, Reg S, 5.88%, due 09/16/43		70,286,000

				93,830,000

		Total Russia		190,759,275


		Rwanda — 0.1%
		Foreign Government Obligations
	5,000,000	Rwanda International Government Bond, Reg S, 6.63%, due 05/02/23		5,037,500


		Serbia — 0.1%
		Foreign Government Obligations
	2,718,803	Republic of Serbia, Reg S, Step Up, 6.75%, due 11/01/24		2,746,603


		South Africa — 0.6%
		Foreign Government Agency
	21,000,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		21,735,000
ZAR	163,000,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		1,879,455
ZAR	20,000,000	Transnet, Ltd., 13.50%, due 04/18/28		1,708,085

		Total South Africa		25,322,540


		Sri Lanka — 1.2%
		Foreign Government Obligations
	19,000,000	Sri Lanka Government International Bond, Reg S, 6.13%, due 06/03/25		19,190,000
	17,000,000	Sri Lanka Government International Bond, Reg S, 6.85%, due 11/03/25		17,722,500
	13,500,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26		14,056,875

		Total Sri Lanka		50,969,375


Par Value†		Description	Value ($)
		Suriname — 0.4%
		Foreign Government Obligations
	15,496,000	Republic of Suriname, 144A, 9.25%, due 10/26/26		15,399,150


		Thailand — 0.2%
		Foreign Government Agency
	7,000,000	PTT PCL, Reg S, 4.50%, due 10/25/42		6,746,250


		Trinidad And Tobago — 0.6%
		Foreign Government Agency — 0.3%
	6,000,000	Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19		6,442,500
	7,000,000	Trinidad Generation UnLtd, 144A, 5.25%, due 11/04/27		6,956,250

				13,398,750


		Foreign Government Obligations — 0.3%
	10,000,000	Trinidad & Tobago Government International Bond, Reg S, 4.50%, due 08/04/26		10,075,000

		Total Trinidad And Tobago		23,473,750


		Tunisia — 1.6%
		Foreign Government Agency
JPY	7,000,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30		47,354,133
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31		16,689,661

		Total Tunisia		64,043,794


		Turkey — 4.3%
		Foreign Government Agency — 0.3%
	12,800,000	Export Credit Bank of Turkey, 144A, 5.38%, due 10/24/23		12,528,000


		Foreign Government Obligations — 4.0%
	69,302,000	Republic of Turkey, 6.75%, due 05/30/40		72,767,100
	87,891,000	Republic of Turkey, 6.00%, due 01/14/41		84,814,815
	3,700,000	Turkey Government International Bond, 6.63%, due 02/17/45		3,861,875

				161,443,790

		Total Turkey		173,971,790


		Ukraine — 1.3%
		Foreign Government Agency — 0.3%
	7,900,000	Oschadbank Via SSB #1 Plc, Reg S, Step Up, 9.63%, due 03/20/25		7,718,300
	3,700,000	Ukreximbank Via Biz Finance Plc, Reg S, 9.75%, due 01/22/25		3,622,300

				11,340,600


		See accompanying notes to the financial statements.		27

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		Ukraine — continued
		Foreign Government Obligations — 1.0%
	2,957,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/19		2,971,785
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/21		5,892,601
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/22		5,820,373
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/23		5,748,145
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/24		5,666,888
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25 ^(c)		5,612,718
	6,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26 ^(c)		5,579,613
	6,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27 ^(c)		6,340,087

				43,632,210

		Total Ukraine		54,972,810


		United States — 9.2%
		Asset-Backed Securities — 0.6%
	1,939,177	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .48%, 1.25%, due 05/15/24		378,140
	6,892,864	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + .24%, 1.01%, due 12/15/35 ^◆		6,475,956
	3,395,875	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + .24%, 1.01%, due 12/15/35 ^◆		2,997,700
	2,791,856	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, A, Variable Rate, 1 mo. LIBOR + .20%, 0.97%, due 05/15/36 ^◆		2,420,706
	11,121,231	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 0.92%, due 11/25/36 ^◆		5,354,269
	11,269,514	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + .22%, 0.99%, due 11/25/36 ^◆		5,474,134
	6,069,197	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + .36%, 1.13%, due 04/25/37 ^◆		2,929,467

				26,030,372


		U.S. Government — 8.6%
	74,668,300	U.S. Treasury Inflation Indexed Note, 0.13%, due 01/15/22 ^(e)		75,501,748
	30,000,000	U.S. Treasury Note, 0.63%, due 06/30/17		29,998,830


Par Value†		Description	Value ($)
		United States — continued
		U.S. Government — continued
	17,000,000	U.S. Treasury Note, 0.63%, due 11/30/17		16,973,446
	58,000,000	U.S. Treasury Note, 1.00%, due 12/15/17		58,067,976
	170,000,000	U.S. Treasury Note, 0.75%, due 02/28/18 ^(c) (f)		169,654,730

				350,196,730

		Total United States		376,227,102


		Uruguay — 1.2%
		Foreign Government Obligations
	51,000,000	Uruguay Government International Bond, 5.10%, due 06/18/50		48,067,500


		Venezuela — 7.8%
		Foreign Government Agency — 4.7%
	131,893,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18		100,403,546
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24		68,640,000
	54,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26		20,166,300

				189,209,846


		Foreign Government Obligations — 3.1%
	20,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19		13,018,200
	63,611,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20		35,145,078
	152,093,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23		79,468,592

				127,631,870

		Total Venezuela		316,841,716


		Vietnam — 0.4%
		Foreign Government Agency — 0.3%
	23,804,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		13,842,026


		Foreign Government Obligations — 0.1%
	5,000,000	Socialist Republic of Vietnam, Series 30 Yr., Variable Rate, 2.06%, due 03/13/28		4,212,500

		Total Vietnam		18,054,526


		Zambia — 0.9%
		Foreign Government Obligations
	26,560,000	Zambia Government International Bond, Reg S, 8.50%, due 04/14/24		27,622,400
	7,700,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27		8,085,000

		Total Zambia		35,707,400


		TOTAL DEBT OBLIGATIONS (COST $3,527,506,847)		3,647,026,487


28		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)

February 28, 2017


Par Value†		Description	Value ($)
		LOAN ASSIGNMENTS — 0.1%

		Indonesia
	3,744,000	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + 0.88%, 1.19%, due 12/14/19		3,514,867
	816,140	Republic of Indonesia Loan Agreement, dated September 14, 1994, 6 mo. LIBOR + 0.75%, 1.25%, due 12/16/19		746,769
EUR	758,538	Republic of Indonesia, Indonesia Paris Club Debt, 4.00%, due 06/01/21		646,894


		TOTAL LOAN ASSIGNMENTS (COST $4,947,129)		4,908,530


		LOAN PARTICIPATIONS — 1.6%

		Angola — 0.9%
	24,325,000	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/13/23		20,980,312
	15,750,000	Republic of Angola Loan Agreement (Participation with Development Bank of Southern Africa), 6 mo. LIBOR + 6.25%, 6.60%, due 12/20/23		13,584,375

		Total Angola		34,564,687


		Egypt — 0.0%
CHF	101,538	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 ^(a)		88,657


		Indonesia — 0.1%
	4,693,433	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR + .88%, 2.12%, due 09/29/19		4,294,491


		Iraq — 0.5%
JPY	3,187,851,941	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), Variable Rate, due 01/01/28		18,481,126
JPY	416,530,877	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), Variable Rate, due 01/01/28		2,415,141

		Total Iraq		20,896,267


		Russia — 0.0%
EUR	57,042,402	Russian Foreign Trade Obligations (Participation with GML International Ltd.) ^(d)		2


Par Value† / Shares		Description	Value ($)
		Vietnam — 0.1%
JPY	532,049,391	Socialist Republic of Vietnam Loan Agreement (Participation with Deutsche Bank), 6 mo. JPY LIBOR + .60%, 0.60%, due 09/01/17		4,351,302


		TOTAL LOAN PARTICIPATIONS (COST $87,094,169)		64,195,406


		MUTUAL FUNDS — 2.5%

		United States — 2.5%
		Affiliated Issuers — 2.5%
	568,012	GMO Opportunistic Income Fund, Class VI		14,643,342
	3,491,101	GMO U.S. Treasury Fund		87,277,534


		TOTAL MUTUAL FUNDS (COST $99,161,727)		101,920,876


		RIGHTS/WARRANTS — 1.1%

		Argentina — 0.8%
EUR	298,220,524	Republic of Argentina GDP Linked, Expires 12/15/35		31,277,532


		Nigeria — 0.1%
	27,000	Central Bank of Nigeria Oil Warrants, Expires 11/15/20		2,076,250


		Ukraine — 0.1%
	13,276,000	Government of Ukraine GDP Linked, Expires 05/31/40		4,029,266


		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21^* ^(a)		—


		Venezuela — 0.1%
	959,065	Republic of Venezuela Oil Warrants, Expires 04/15/20		5,994,156


		TOTAL RIGHTS/WARRANTS (COST $50,169,932)		43,377,204


		SHORT-TERM INVESTMENTS — 5.2%

		Money Market Funds — 0.1%
	4,113,742	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.41 ^(g)		4,113,742


		See accompanying notes to the financial statements.		29

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		U.S. Government — 5.1%
	25,000,000	U.S. Treasury Note, 1.00%, due 03/31/17		25,012,325
	30,000,000	U.S. Treasury Note, 0.88%, due 05/15/17		30,023,820
	14,500,000	U.S. Treasury Note, 0.63%, due 05/31/17		14,504,089
	10,000,000	U.S. Treasury Note, 0.88%, due 07/15/17		10,007,810
	50,000,000	U.S. Treasury Note, 1.88%, due 09/30/17 ^(f)		50,328,100
	20,000,000	U.S. Treasury Note, 0.88%, due 10/15/17		20,010,940
	10,000,000	U.S. Treasury Note, 0.75%, due 10/31/17		9,996,880
	10,000,000	U.S. Treasury Note, 2.25%, due 11/30/17		10,104,690
	40,000,000	U.S. Treasury Note, 0.88%, due 01/15/18		39,992,200

		Total U.S. Government		209,980,854


		TOTAL SHORT-TERM INVESTMENTS (COST $214,136,869)		214,094,596


		TOTAL INVESTMENTS —99.8% (Cost $3,983,016,673)		4,075,523,099
		Other Assets and Liabilities (net) — 0.2%		9,721,988


		TOTAL NET ASSETS — 100.0%		$4,085,245,087

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Forward Currency Contracts

Settlement
Date

Counter-
party

Currency
Sold

Currency
Purchased

Net
Unrealized
Appreciation
(Depreciation)

03/20/2017

BOA

EUR

31,000,000

USD

33,069,033

201,461

Reverse Repurchase Agreements ^(h)



Face Value		Description	Value ($)
USD	5,970,071	JP Morgan Securities, Inc., 0.35%, dated 01/09/17, (collateral: Ukraine Government International Bond, Reg S, 7.75%, due 09/01/27), to be repurchased on demand at face value plus accrued interest.	$	(5,970,071	)
USD	10,381,723	JP Morgan Securities, Inc., 0.50%, dated 02/02/17, (collateral: Republic of Argentina, Reg S, 7.63%, due 04/22/46), to be repurchased on demand at face value plus accrued interest.		(10,381,723	)
USD	2,725,977	JP Morgan Securities, Inc., 0.25%, dated 01/04/17, (collateral: Mozambique International Bond, Reg S, 10.50%, due 01/18/23), to be repurchased on demand at face value plus accrued interest.		(2,725,977	)
USD	5,879,903	JP Morgan Securities, Inc., 0.25%, dated 01/24/17 (collateral Ukraine Government International Bond, Reg S, 7.75%, due 09/01/25), to be repurchased on demand at face value plus accrued interest.		(5,879,903	)
USD	5,900,898	JP Morgan Securities, Inc., 0.25%, dated 01/24/17 (collateral Ukraine Government International Bond, Reg S, 7.75%, due 09/01/26), to be repurchased on demand at face value plus accrued interest.		(5,900,898	)
USD	1,734,064	JP Morgan Securities, Inc., 0.25%, dated 01/27/17, (collateral: Egypt Government International Bond, Reg S, 8.50%, due 01/31/47), to be repurchased on demand at face value plus accrued interest.		(1,734,064	)

			$	(32,592,636	)

		Average balance outstanding	$	(25,472,827	)
		Average interest rate		0.32	%
		Maximum balance outstanding	$	(48,171,581	)

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


30		See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2017

Credit Linked Options



Principal Amount			Expiration Date		Description	Premiums		Value ($)
Put Sold	USD	62,000,000		03/21/2017	Lebanese Republic Credit Linked Put Option, Fund receives premium of 0.50% (OTC) (CP-DB)^(a)	$	1,258,083	$	65,339
Put Sold	USD	70,000,000		07/14/2017	Turkiye Is Bankasi A.S. Credit Linked Put Option, Fund receives premium of 0.40% (OTC) (CP-DB) ^(a)		1,147,222		51,495
Put Sold	USD	70,000,000		04/03/2018	Turkiye Cumhuriyeti Ziraat Bankasi A.S. Credit Linked Put Option, Fund receives premium of 0.40% (OTC) (CP-DB) ^(a)		1,136,333		114,889
Put Sold	USD	45,000,000		01/20/2021	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) ^(a)		302,188		61,310
Put Sold	USD	43,000,000		04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) ^(a)		450,784		(286,302	)
Put Sold	USD	100,000,000		04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB) ^(a)		1,932,333		(2,063,503	)

						$	6,226,943	$	(2,056,772	)

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)
	19,500,000	USD	3/20/2017	DB	Receive	5.00%	36.47%	Bolivarian Republic of Venezuela	19,500,000	USD	$	(338,966	)
	2,500,000	USD	5/20/2017	DB	(Pay)	1.05%	0.29%	Republic of Peru	NA			(4,191	)
	32,000,000	PEN	5/20/2017	DB	Receive	0.79%	0.12%	Republic of Peru	32,000,000	PEN		14,514
	4,500,000	USD	7/20/2017	JPM	Receive	3.30%	2.24%	Republic of Jamaica	4,500,000	USD		18,079
	5,400,000	EUR	3/20/2018	DB	Receive	1.00%	3.66%	Republic of Macedonia	5,400,000	EUR		(159,188	)
	50,000,000	USD	6/20/2019	JPM	(Pay)	1.00%	1.19%	Republic of Brazil	NA			220,633
	44,000,000	USD	6/20/2019	JPM	(Pay)	1.00%	1.00%	Republic of Croatia	NA			746
	6,000,000	USD	6/20/2020	DB	Receive	1.00%	2.19%	Commonwealth of Bahamas	6,000,000	USD		(221,846	)
	42,000,000	EUR	12/20/2020	DB	(Pay)	1.00%	2.09%	Commonwealth of Bahamas	NA			1,788,964
	57,000,000	USD	12/20/2020	DB	Receive	1.00%	2.39%	Commonwealth of Bahamas	57,000,000	USD		(2,793,278	)
	10,000,000	USD	12/20/2022	JPM	Receive	1.00%	1.27%	Republic of Malaysia	10,000,000	USD		(142,237	)
	15,000,000	USD	12/20/2022	JPM	Receive	1.00%	1.47%	Indonesia	15,000,000	USD		(374,616	)
	6,000,000	USD	6/20/2023	DB	Receive	1.00%	3.29%	Commonwealth of Bahamas	6,000,000	USD		(723,971	)
	200,000,000	USD	6/20/2023	DB	(Pay)	1.00%	2.17%	Republic of Croatia	NA			13,241,501
	160,000,000	EUR	6/20/2023	DB	Receive	1.00%	2.17%	Republic of Croatia	160,000,000	EUR		(11,882,635	)
	3,000,000	USD	6/20/2023	DB	Receive	1.00%	3.29%	Commonwealth of Bahamas	3,000,000	USD		(361,986	)
	40,000,000	USD	6/20/2023	JPM	Receive	1.00%	2.17%	Republic of Croatia	40,000,000	USD		(2,648,300	)
	20,000,000	USD	3/20/2024	JPM	Receive	1.00%	1.42%	Republic of Malaysia	20,000,000	USD		(529,943	)
	22,750,000	USD	6/20/2024	JPM	Receive	1.00%	2.84%	Republic of Brazil	22,750,000	USD		(2,606,329	)
	60,000,000	USD	6/20/2024	JPM	Receive	1.00%	1.23%	Peoples Republic of China	60,000,000	USD		(931,526	)
	27,250,000	USD	6/20/2024	JPM	Receive	1.00%	2.84%	Republic of Brazil	27,250,000	USD		(3,121,867	)
	25,000,000	USD	3/20/2025	GS	Receive	1.00%	1.29%	Republic of China	25,000,000	USD		(517,545	)
	91,000,000	USD	6/20/2025	DB	Receive	1.00%	5.94%	Commonwealth of Bahamas	91,000,000	USD		(7,934,678	)
	68,000,000	EUR	6/20/2025	DB	(Pay)	1.00%	5.56%	Commonwealth of Bahamas	NA			5,832,673


		See accompanying notes to the financial statements.		31

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2017

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)
	10,000,000	USD	6/20/2025	GS	Receive	1.00%	1.73%	Indonesia	10,000,000	USD	$	(519,831	)
	25,000,000	USD	6/20/2025	GS	Receive	1.00%	1.73%	Indonesia	25,000,000	USD		(1,299,577	)
	20,000,000	USD	6/20/2025	GS	Receive	1.00%	1.31%	Republic of China	20,000,000	USD		(449,043	)
	21,000,000	USD	6/20/2026	GS	Receive	1.00%	2.71%	Republic of South Africa	21,000,000	USD		(2,732,346	)
	8,000,000	USD	12/20/2026	GS	Receive	1.00%	2.49%	Republic of Russia	8,000,000	USD		(946,819	)
	10,000,000	USD	12/20/2026	JPM	Receive	1.00%	2.76%	Republic of South Africa	10,000,000	USD		(1,383,832	)
	15,000,000	USD	12/20/2026	JPM	Receive	1.00%	2.76%	Republic of South Africa	15,000,000	USD		(2,075,748	)
	10,000,000	USD	12/22/2026	GS	Receive	1.00%	2.76%	Republic of South Africa	10,000,000	USD		(1,383,832	)
	40,000,000	USD	3/20/2030	JPM	Receive	1.00%	3.06%	Republic of Brazil	40,000,000	USD		(7,580,654	)
	20,000,000	USD	9/20/2031	GS	(Pay)	1.00%	2.17%	United Mexican States	NA			2,469,151

											$	(30,078,523	)

								Premiums Paid (Received)			$	43,187,264

(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 February 28, 2017, 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)

120,000,000

EUR

9/11/2020

JPM

3 Month EURIBOR plus a spread of (0.35)%

3 Month USD LIBOR

2,157,337

Premiums Paid (Received)

—

Cross-Currency Interest Rate Swaps



Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	14,000,000,000	JPY	4/28/2025	GS	(Pay)	(0.22)%	3 Month USD LIBOR	$	(7,526,450	)
	50,000,000	GBP	3/10/2026	JPM	(Pay)	1.17%	3 Month USD LIBOR		43,291

								$	(7,483,159	)

							Premiums Paid (Received)	$	—

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

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


32		See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2017

Interest Rate Swaps



Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	70,000,000	USD	9/1/2045	JPMF ⁽ⁱ⁾	(Pay)	2.69%	3 Month USD LIBOR	$	(929,507	)

								$	(929,507	)

							Premiums Paid (Received)	$	—

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

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

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

*	Non-income producing security.

◆	These securities are primarily backed by subprime mortgages.

(a)	Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

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

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

(d)	Security is in default.

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

(f)	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).

(g)	The rate disclosed is the 7 day net yield as of February 28, 2017.

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

(i)	Swap was cleared through the CME Group Inc.


		See accompanying notes to the financial statements.		33

GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund)

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Developed Fixed Income team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to Barclays U.S. Securitized + Index is included for comparative purposes.

Class VI shares of GMO Opportunistic Income Fund returned +7.62% (net) for the fiscal year ended February 28, 2017, as compared with +1.43% for the Barclays U.S. Securitized + Index. The Fund outperformed its benchmark during the fiscal year by +6.19%, with allocation to longer duration mortgage-backed products contributing to outperformance.

More specifically outperformance was driven by sector allocation assets, such as residential and commercial mortgage-backed securities (RMBS & CMBS), which despite some market volatility, were top performers on the year. In asset-backed products, such as auto ABS, esoteric ABS, and student loan ABS deals, the Fund added additional performance in less volatile markets. Securitizations related to corporate debt markets, such as collateralized loan obligations (CLO), outperformed, adding additional alpha throughout the year. At fiscal year-end, approximately 26% of the portfolio was rated AAA (including cash and cash equivalents), 40% of the portfolio was rated single-A or better, and 51% of the portfolio was rated below BBB.

Effective January 1, 2017, the Fund’s investment objective changed from “positive total return” to “capital appreciation and current income” and, in conjunction with a change in the Fund’s name from “GMO Debt Opportunities Fund” to “GMO Opportunistic Income Fund,” the Fund eliminated its name policy that required the Fund to invest at least 80% of its assets in debt investments. Also effective January 1, 2017, the Fund’s investment management fee increased from 0.25% to 0.40% of the Fund’s average daily net assets. Performance of the Fund for periods prior to January 1, 2017 reflects the Fund’s annual operating expenses during those periods, and would have been lower if the current management fee were in effect. Effective January 1, 2017, the Fund changed its benchmark from the J.P. Morgan U.S. 3-Month Cash Index to the Barclays U.S. Securitized Index because GMO believes the Barclays U.S. Securitized Index is more representative of the Fund’s investment strategy.

*The Barclays U.S. Securitized + is an internally maintained benchmark computed by GMO, comprised of the J.P. Morgan U.S. 3 Month Cash index through 12/30/2016 and the Bloomberg Barclays U.S. Securitized: MBS, ABS, CMBS Index thereafter.

GMO Opportunistic Income Fund (Formerly GMO Debt Opportunities Fund)

(A Series of GMO Trust)

Comparison of Change in Value of a $300,000,000 Investment in GMO Opportunistic Income Fund (Formerly GMO Debt Opportunities Fund^) Class VI Shares and the Barclays U.S. Securitized + As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .40% on the purchase and .40% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

Beginning December 21, 2015 the pricing source for certain fixed income assets of the Fund changed, which may have had a material impact on the Fund’s performance for the period shown.

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 that the combined entity adopted the historical financial reporting and performance history of the Acquired Fund. The information shown prior to February 12, 2014 is that of the Acquired Fund and reflects the Acquired Fund’s performance.

GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund)

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Debt Obligations		89.7	%
Short-Term Investments		5.9
Mutual Funds		4.8
Swap Contracts		1.1
Options Purchased		0.1
Forward Currency Contracts		0.0	^
Written Options		(0.1	)
Securities Sold Short		(2.3	)
Other		0.8

		100.0	%


Industry Sector Summary	% of Debt Obligations
Student Loans		21.9	%
Collateralized Loan Obligations		14.4
Commercial Mortgage-Backed Securities		13.4
Small Balance Commercial Mortgages		9.8
U.S. Government Agency		9.4
Residential Mortgage-Backed Securities – Other		9.3
Auto Retail Subprime		7.2
Residential Mortgage-Backed Securities – Prime		4.7
Residential Mortgage-Backed Securities – Alt-A		3.3
Residential Mortgage-Backed Securities – Subprime		1.9
Collateralized Debt Obligations		1.5
Time Share		1.2
Auto Retail Prime		1.0
Business Equipment Loans		0.8
Other		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.

^	Rounds to 0.0%.

GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 89.7%

		Asset-Backed Securities — 81.2%
		Auto Retail Prime — 0.9%
	13,120,000	California Republic Auto Receivables Trust, Series 13-1, Class C, 144A, 3.25%, due 03/16/20		13,211,800
	985,600	California Republic Auto Receivables Trust, Series 14-1, Class C, 3.40%, due 12/15/20		999,651

		Total Auto Retail Prime		14,211,451


		Auto Retail Subprime — 6.5%
	3,500,000	AmeriCredit Automobile Receivables Trust, Series 13-1, Class E, 144A, 2.64%, due 07/08/20		3,516,647
	13,720,000	AmeriCredit Automobile Receivables Trust, Series 14-2, Class E, 3.37%, due 11/08/21		13,899,143
	2,804,000	CarFinance Capital Auto Trust, Series 13-1A, Class D, 144A, 4.68%, due 11/15/19		2,828,898
	2,651,300	CarFinance Capital Auto Trust, Series 13-2A, Class D, 144A, 5.93%, due 08/15/19		2,691,139
	1,073,840	CarFinance Capital Auto Trust, Series 13-2A, Class E, 144A, 7.86%, due 10/15/20		1,097,303
	2,592,000	CarFinance Capital Auto Trust, Series 14-1A, Class C, 144A, 3.45%, due 04/15/20		2,632,871
	1,524,850	CarFinance Capital Auto Trust, Series 14-1A, Class D, 144A, 4.90%, due 04/15/20		1,566,609
	4,130,000	CFC LLC, Series 14-2A, Class E, 144A, 5.36%, due 11/15/21		4,154,150
	276,397	CPS Auto Receivables Trust, Series 13-A, Class D, 144A, 4.41%, due 06/15/20		276,560
	52,931	CPS Auto Receivables Trust, Series 13-A, Class E, 144A, 6.41%, due 06/15/20		53,088
	1,161,267	CPS Auto Receivables Trust, Series 13-B, Class D, 144A, 4.66%, due 09/15/20		1,162,027
	51,150	CPS Auto Receivables Trust, Series 13-B, Class E, 144A, 6.41%, due 09/15/20		51,224
	4,000,000	CPS Auto Receivables Trust, Series 14-A, Class C, 144A, 3.29%, due 02/18/20		4,023,000
	1,500,000	CPS Auto Receivables Trust, Series 14-A, Class D, 144A, 5.11%, due 02/18/20		1,518,639
	1,302,800	CPS Auto Receivables Trust, Series 14-B, Class D, 144A, 4.62%, due 05/15/20		1,308,870
	1,049,647	CPS Auto Receivables Trust, Series 15-C, Class D, 144A, 4.63%, due 08/16/21		1,057,519
	323,916	CPS Auto Trust, Series 12-D, Class D, 144A, 4.82%, due 03/16/20		323,767
	3,606,187	DT Auto Owner Trust, Series 13-1A, Class D, 144A, 3.74%, due 05/15/20		3,610,178
	4,309,088	DT Auto Owner Trust, Series 13-2A, Class D, 144A, 4.18%, due 06/15/20		4,335,164
	4,390,500	DT Auto Owner Trust, Series 14-2A, Class D, 144A, 3.68%, due 04/15/21		4,442,449


Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Auto Retail Subprime — continued
	5,847,188	DT Auto Owner Trust, Series 15-2A, Class D, 144A, 4.25%, due 02/15/22		5,903,790
	6,000,000	Exeter Automobile Receivables Trust, Series 13-2A, Class D, 144A, 6.81%, due 08/17/20		6,208,172
	6,000,000	Exeter Automobile Receivables Trust, Series 14-1A, Class C, 144A, 3.57%, due 07/15/19		6,040,387
	6,000,000	Exeter Automobile Receivables Trust, Series 14-1A, Class D, 144A, 5.53%, due 02/16/21		6,196,025
	5,000,000	Exeter Automobile Receivables Trust, Series 14-2A, Class C, 144A, 3.26%, due 12/16/19		5,037,843
	4,875,000	Exeter Automobile Receivables Trust, Series 14-2A, Class D, 144A, 4.93%, due 12/15/20		4,989,811
	1,938,500	Flagship Credit Auto Trust, Series 13-1, Class D, 144A, 5.38%, due 07/15/20		1,951,779
	1,144,000	Flagship Credit Auto Trust, Series 13-2, Class C, 144A, 4.42%, due 12/16/19		1,156,904
	3,000,000	Flagship Credit Auto Trust, Series 14-1, Class C, 144A, 3.34%, due 04/15/20		3,007,774
	1,629,900	Flagship Credit Auto Trust, Series 14-1, Class D, 144A, 4.83%, due 06/15/20		1,670,279
	1,400,000	Flagship Credit Auto Trust, Series 14-1, Class E, 144A, 5.71%, due 08/16/21		1,441,624

		Total Auto Retail Subprime		98,153,633


		Business Equipment Loans — 0.7%
	127,390	LEAF Receivables Funding 9 LLC, Series 13-1, Class B, 144A, 2.80%, due 09/15/21		127,422
	2,841,000	LEAF Receivables Funding 9 LLC, Series 13-1, Class D, 144A, 5.11%, due 09/15/21		2,869,410
	5,700,000	LEAF Receivables Funding 9 LLC, Series 13-1, Class E1, 144A, 6.00%, due 09/15/21		5,764,085
	2,282,000	LEAF Receivables Funding 9 LLC, Series 13-1, Class E2, 144A, 6.00%, due 09/15/21		2,316,559

		Total Business Equipment Loans		11,077,476


		Collateralized Debt Obligations — 1.3%
	16,702,121	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.45%, due 03/21/46		12,777,123
	7,620,559	Nomura CRE CDO, Series 07-2A, Class B, 144A, 3 mo. LIBOR + .33%, 1.38%, due 05/21/42		7,239,531

		Total Collateralized Debt Obligations		20,016,654


		See accompanying notes to the financial statements.		37

GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — 12.9%
	1,043,954	Acis CLO Ltd., Series 13-2A, Class C1, 144A, 3 mo. LIBOR + 2.82%, 3.84%, due 10/14/22		1,044,345
	7,000,000	Ares IIIR/IVR CLO Ltd., Series 07-3RA, Class E, 144A, 3 mo. LIBOR + 3.50%, 4.52%, due 04/16/21		6,999,769
	1,368,000	Ares IIIR/IVR CLO Ltd., Series 07-3RX, Class E, Reg S, 3 mo. LIBOR + 3.50%, 4.52%, due 04/16/21		1,367,955
	37,276,500	Arrowpoint CLO Ltd., Series 15-4A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 2.57%, due 04/18/27		37,377,072
	3,480,000	Atrium XI, Series 11A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 2.15%, 3.19%, due 10/23/25		3,482,707
	1,566,000	Carlyle Daytona CLO Ltd., Series 07-1A, Class B1L, 144A, 3 mo. LIBOR + 1.35%, 2.39%, due 04/27/21		1,559,501
	5,603,000	CIFC Funding Ltd., Series 13A-4A, Class C2R, 144A, 3 mo. LIBOR + 2.25%, due 11/27/24		5,603,000
	1,522,500	CIFC Funding Ltd., Series 07-3X, Class C, Reg S, Variable Rate, 3 mo. LIBOR + 2.60%, 3.63%, due 07/26/21		1,523,983
	7,327,000	CIFC Funding Ltd., Series 13A-4A, Class C1R, 144A, 3 mo. LIBOR + 2.25%, due 11/27/24		7,327,000
	3,750,000	CIFC Funding Ltd., Series 15-5A, Class D, 144A, Variable Rate, 3 mo. LIBOR + 6.30%, 7.34%, due 10/25/27		3,721,710
	4,968,000	Cumberland Park CLO Ltd., Series 15-2A, Class C, 144A, 3 mo. LIBOR + 2.85%, 3.88%, due 07/20/26		4,976,436
	4,350,000	Dorchester Park CLO Ltd., Series 15-1A, Class E, 144A, Variable Rate, 3 mo. LIBOR + 5.25%, 6.28%, due 01/20/27		4,353,502
	5,418,252	Franklin CLO VI Ltd., Series 6A, Class A,144A, Variable Rate, 3 mo. LIBOR + .23%, 1.27%, due 08/09/19		5,394,292
	3,520,000	GoldenTree Loan Opportunities III Ltd., Series 07-3A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 2.28%, due 05/01/22		3,522,612
	28,020,000	Jamestown CLO VI Ltd., Series 15-6A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 2.65%, due 02/20/27		28,028,546
	9,592,000	Kingsland IV Ltd., Series 07-4X, Class B, Reg S, Variable Rate, 3 mo. LIBOR + .40%, 1.42%, due 04/16/21		9,488,282
	1,740,000	Octagon Investment Partners XII Ltd., Series 12-1A, Class DR, 144A, 3 mo. LIBOR + 3.80%, 4.83%, due 05/05/23		1,741,375
	6,330,393	Rockwall CDO II Ltd., Series 07-1A, Class A1LA, 144A, Variable Rate, 3 mo. LIBOR + .25%, 1.28%, due 08/01/24		6,320,087


Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	7,334,234	San Gabriel CLO Ltd., Series 07-1A, Class B2L, 144A, 3 mo. LIBOR + 4.25%, 5.20%, due 09/10/21		7,354,411
	36,880,000	West CLO Ltd., Series 15-2A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.55%, 2.57%, due 01/16/27		36,884,204
	16,954,584	Zais Investment Grade Ltd., Series 9A, Class B, 144A, Variable Rate, 3 mo. LIBOR +.85%, 1.89%, due 04/27/52		16,785,038

		Total Collateralized Loan Obligations		194,855,827


		Commercial Mortgage-Backed Securities — 12.0%
	4,406,000	Bear Stearns Commercial Mortgage Securities Trust, Series 05-PWR9, Class E, Variable Rate, 5.14%, due 09/11/42		4,389,226
	3,074,400	Citigroup Commercial Mortgage Trust, Series 04-C2, Class H, 144A, Variable Rate, 6.27%, due 10/15/41		2,710,084
	21,690,500	Commercial Mortgage Trust, Series 07-GG9, Class AJ, Variable Rate, 5.51%, due 03/10/39		21,045,084
	23,260,500	Core Industrial Trust, Series 15-WEST, Class E, 144A, Variable Rate, 4.23%, due 02/10/37		22,705,681
	1,473,491	Credit Suisse First Boston Mortgage Securities Corp., Series 04-C1, Class G, 144A, Variable Rate, 5.31%, due 01/15/37		1,525,905
	4,769,114	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + .25%, 1.02%, due 04/15/37		4,054,152
	2,047,991	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		1,904,822
	2,942,718	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C6, Class G, 144A, Variable Rate, 5.10%, due 12/15/40		2,941,441
	21,631,488	Credit Suisse Mortgage Capital Certificates, Series 06-C4, Class AJ, Variable Rate, 5.54%, due 09/15/39		21,847,803
	8,715,587	Credit Suisse Mortgage Capital Certificates, Series 14-USA, Class A2, 144A, 3.95%, due 09/15/37		8,943,256
	18,530,720	CSMC Trust, Series 14-USA, Class E, 144A, 4.37%, due 09/15/37		16,004,129
	8,360,000	GS Mortgage Securities Corp., Series 16-GS2, Class D, 144A, 2.75%, due 05/10/49		6,233,712
	11,025,000	GS Mortgage Securities Corp., Series 16-RENT, Class E, 144A, Variable Rate, 4.07%, due 02/10/29		10,827,317
	8,801,500	GS Mortgage Securities Trust, Series 11-GC3, Class D, 144A, Variable Rate, 5.63%, due 03/10/44		8,945,043


38		See accompanying notes to the financial statements.

GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	9,793,333	Hilton USA Trust, Series 16-SFP, Class E, 144A, 5.52%, due 11/05/35		9,674,394
	6,267,875	Hyatt Hotel Portfolio Trust, Series 15-HYT, Class F, 144A, Variable Rate, 1 mo. LIBOR + 3.49%, 4.26%, due 11/15/29		6,142,182
	8,946,915	JP Morgan Chase Commercial Mortgage Securities Corp., Series 05-CB13, Class AJ, Variable Rate, 5.50%, due 01/12/43		9,034,529
	3,000,000	JP Morgan Chase Commercial Mortgage Securities Trust, Series 04-C3, Class H, 144A, Variable Rate, 5.50%, due 01/15/42		2,580,258
	2,797,935	LB-UBS Commercial Mortgage Trust, Series 04-C1, Class A4, 4.57%, due 01/15/31		2,797,724
	838,416	ML-CFC Commercial Mortgage Trust, Series 06-4, Class AJ, 5.24%, due 12/12/49		843,003
	6,888,920	Motel 6 Trust, Series 15-MTL6, Class F, 144A, 5.00%, due 02/05/30		6,784,089
	9,436,663	Wachovia Bank Commercial Mortgage Trust, Series 06-C29, Class AJ, Variable Rate, 5.37%, due 11/15/48		9,501,776

		Total Commercial Mortgage-Backed Securities		181,435,610


		Other — 0.1%
	10,423,078	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, Variable Rate,, 1 mo. LIBOR + .48%, 1.25%, due 05/15/24		2,032,500


		Residential Mortgage-Backed Securities — Other — 8.3%
	1,701,544	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 1.06%, due 02/25/36 ^◆		1,009,438
	22,259,329	American Home Mortgage Investment Trust, Series 06-2, Class 4A, 1 mo. LIBOR + .36%, 1.14%, due 02/25/36		5,337,366
	12,117,316	American Home Mortgage Investment Trust, Series 06-3, Class 4A, Variable Rate, 1 mo. LIBOR + .38%, 1.16%, due 11/25/35		3,655,416
	2,346,974	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		1,198,954
	3,072,800	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		2,604,071
	7,484,389	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		3,434,225
	1,037,444	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + .32%, 1.10%, due 02/25/37		1,826,842
	2,671,287	Carrington Mortgage Loan Trust, Series 06-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 0.93%, due 05/25/36		2,634,504


Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	3,270,619	Conseco Financial Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,991,225
	3,957,005	Countrywide Home Equity Loan Trust, Series 07-E, Class A, FSA, Variable Rate, 1 mo. LIBOR + .15%, 0.92%, due 06/15/37		3,488,025
	1,253,442	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 1.28%, due 10/25/34 ^◆		1,171,972
	9,466,587	Greenpoint Manufactured Housing, Series 98-1, Class 2A, Variable Rate, 1 mo. LIBOR + .57%, 1.34%, due 05/15/28		8,760,678
	33,343,965	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .26%, 1.04%, due 06/25/36		6,177,093
	4,665,938	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + .32%, 1.10%, due 03/25/36		1,200,713
	1,039,604	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 1.03%, due 02/26/34		932,120
	3,754,557	Meritage Mortgage Loan Trust, Series 05-2, Class M2, Variable Rate, 1 mo. LIBOR + .75%, 1.53%, due 11/25/35		3,681,926
	4,691,778	Merrill Lynch Mortgage Investors Trust, Series 05-SL2, Class M2, Variable Rate, 1 mo. LIBOR + 1.20%, 1.98%, due 12/25/35		4,734,653
	5,939,329	Morgan Stanley Resecuritization Trust, Series 14-R8, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + .16%, 0.93%, due 06/26/47		5,824,532
	8,428,463	New Century Home Equity Loan Trust, Series 06-S1, Class A1, 1 mo. LIBOR + .34%, 1.12%, due 03/25/36		927,766
	14,775,878	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, 1 mo. LIBOR + .20%, 0.98%, due 03/25/36		1,626,517
	22,471,211	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, 1 mo. LIBOR + .40%, 1.18%, due 03/25/36		2,473,487
	9,748,202	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, 7.40%, due 07/15/30		6,162,206
	2,885,060	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		2,949,672
	10,864,079	Oakwood Mortgage Investors, Inc., Series 99-C, Class A2, 7.48%, due 08/15/27		10,718,722
	6,534,742	PHH Mortgage Trust, Series 07-1SL, Class M2, 144A, 7.00%, due 12/25/27		6,894,069
	2,302,812	RBSSP Resecuritization Trust, Series 13-1, Class 1A2, 144A, 1 mo. LIBOR + .29%, 1.06%, due 01/26/37		2,257,548


		See accompanying notes to the financial statements.		39

GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	25,377,696	Residential Funding Mortgage Securities II, Series 06-HI4, Class A4, 5.72%, due 09/25/36		21,095,324
	14,952,986	Soundview Home Loan Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .38%, 1.16%, due 11/25/35		2,348,094
	26,188,662	Terwin Mortgage Trust, Series 07-1SL, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .11%, 0.68%, due 01/25/38		4,325,631
	2,896,835	Wells Fargo Mortgage Backed Securities Trust, Series 05-AR14, Class A4, Variable Rate, 3.01%, due 08/25/35		2,895,440

		Total Residential Mortgage-Backed Securities — Other		125,338,229

		Residential Mortgage-Backed Securities — Prime — 4.2%
	9,385,130	Adjustable Rate Mortgage Trust, Series 05-4, Class 6A1, Variable Rate, 3.30%, due 08/25/35		8,466,835
	5,720,484	BCAP LLC Trust, Series 09-RR13, Class 16A2, 144A, Variable Rate, 3.42%, due 09/26/35		5,429,554
	2,632,645	Chase Mortgage Finance Trust, Series 05-A1, Class 3A1, Variable Rate, 3.17%, due 12/25/35		2,520,665
	4,693,091	Chase Mortgage Finance Trust, Series 07-A1, Class 11M1, Variable Rate, 3.07%, due 03/25/37		4,339,998
	10,825,789	Citigroup Mortgage Loan Trust, Inc., Series 06-AR2, Class 1A2, Variable Rate, 3.44%, due 03/25/36		10,328,232
	4,353,391	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.44%, due 12/25/36		3,954,044
	3,924,097	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.48%, due 03/25/37		3,746,339
	5,266,829	Merrill Lynch Mortgage Backed Securities Trust, Series 07-1, Class 1A1, Variable Rate, 3.38%, due 04/25/37		4,846,797
	5,983,397	RBSSP Resecuritization Trust, Series 09-6, Class 3A2, 144A, Variable Rate, 1 mo. LIBOR + .17%, 2.94%, due 01/26/36		5,732,724
	3,511,515	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 2.77%, due 09/25/35		3,414,974
	2,448,692	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, 1.85%, due 01/25/47		2,288,050
	4,562,017	WaMu Mortgage Pass-Through Certificates, Series 07-HY2, Class 2A1, Variable Rate, 2.98%, due 11/25/36		4,246,498


Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	4,480,979	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 07-5, Class A6, 6.00%, due 06/25/37		4,280,995

		Total Residential Mortgage-Backed Securities — Prime		63,595,705


		Residential Mortgage-Backed Securities — Subprime — 1.7%
	296,265	Argent Securities Inc. Asset-Backed Pass-Through Certificates, Series 04-W8, Class A5, Variable Rate, 1 mo. LIBOR + 1.04%, 1.82%, due 05/25/34		295,875
	7,210,201	Bear Stearns Asset-Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + .11%, 0.89%, due 04/25/31		7,588,832
	4,022,987	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, Variable Rate, 1 mo. LIBOR + .14%, 0.92%, due 02/25/37		3,981,409
	1,547,495	First NLC Trust, Series 05-4, Class A3, Variable Rate, 1 mo. LIBOR + .27%, 1.05%, due 02/25/36		1,542,029
	953,060	Home Equity Asset Trust, Series 07-3, Class 2A2, Variable Rate, 1 mo. LIBOR + .18%, 0.96%, due 08/25/37		951,043
	255,211	JP Morgan Mortgage Acquisition Trust, Series 07-CH3, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 0.93%, due 03/25/37		254,520
	2,120,746	Nationstar Home Equity Loan Trust, Series 07-B, Class 2AV2, Variable Rate, 1 mo. LIBOR + .18%, 0.96%, due 04/25/37		2,116,217
	3,795,230	Ownit Mortgage Loan Trust, Series 06-3, Class A2C, Variable Rate, 1 mo. LIBOR + .17%, 0.95%, due 03/25/37		3,735,405
	4,513,754	RAMP Trust, Series 07-RZ1, Class A2, Variable Rate, 1 mo. LIBOR + .16%, 0.94%, due 02/25/37		4,425,468
	1,062,100	Structured Asset Investment Loan Trust, Series 06-1, Class A3, Variable Rate, 1 mo. LIBOR + .20%, 0.98%, due 01/25/36		1,053,665

		Total Residential Mortgage-Backed Securities — Subprime		25,944,463


		Residential Mortgage-Backed Securities — Alt-A — 3.0%
	3,333,818	Adjustable Rate Mortgage Trust, Series 05-1, Class 5M1, Variable Rate, 1 mo. LIBOR + 1.05%, 1.83%, due 05/25/35		3,170,345
	2,250,485	Alternative Loan Trust, Series 03-18CB, Class 1A1, 5.25%, due 09/25/33		2,267,027


40		See accompanying notes to the financial statements.

GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Alt-A — continued
	3,080,116	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + .70%, 1.48%, due 10/25/36		1,756,346
	3,103,445	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + .70%, 1.48%, due 05/25/36		1,668,622
	4,574,149	BCAP LLC Trust, Series 12-RR2, Class 1A2, 144A, Variable Rate, 1 mo. LIBOR + .17%, 0.94%, due 08/26/36		4,478,661
	2,292,981	BCAP LLC Trust, Series 12-RR7, Class 1A2, 144A, Variable Rate, 1 mo. LIBOR + .17%, 0.94%, due 08/26/36		2,243,041
	7,175,294	Bear Stearns Alt-A Trust, Series 05-7, Class 21A1, Variable Rate, 3.31%, due 09/25/35		6,662,486
	3,164,769	Bear Stearns ARM Trust, Series 07-1, Class 2A1, Variable Rate, 3.37%, due 02/25/47		2,646,131
	9,823,107	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.15%, due 07/25/36		7,032,183
	3,558,760	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 05-7, Class 2CB1, 5.50%, due 08/25/35		3,528,129
	11,612,438	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 06-AR10, Class A2A, Variable Rate, 1 mo. LIBOR + .17%, 0.95%, due 12/25/36		9,454,062

		Total Residential Mortgage-Backed Securities — Alt-A		44,907,033


		Small Balance Commercial Mortgages — 8.8%
	6,413,651	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .54%, 1.14%, due 04/25/34		6,098,092
	901,229	Bayview Commercial Asset Trust, Series 04-1, Class B, 144A, 1 mo. LIBOR + 2.85%, 2.68%, due 04/25/34		876,187
	929,985	Bayview Commercial Asset Trust, Series 04-1, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .84%, 1.34%, due 04/25/34		872,493
	517,183	Bayview Commercial Asset Trust, Series 04-1, Class M2, 144A, Variable Rate, 1 mo. LIBOR + 1.80%, 1.98%, due 04/25/34		494,849
	4,467,345	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 1.15%, due 01/25/35		4,283,940
	7,833,793	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 1.09%, due 08/25/35		6,890,338


Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	9,735,714	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 1.17%, due 01/25/36		8,496,869
	2,483,124	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, 1 mo. LIBOR + .38%, 1.16%, due 04/25/36		2,118,398
	9,893,821	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .28%, 1.06%, due 07/25/36		8,701,702
	2,334,834	Bayview Commercial Asset Trust, Series 06-2A, Class M3, 144A, 1 mo. LIBOR + .35%, 1.13%, due 07/25/36		1,912,598
	3,863,922	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, 1 mo. LIBOR + .25%, 1.03%, due 10/25/36		3,268,908
	1,148,268	Bayview Commercial Asset Trust, Series 06-3A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .30%, 1.08%, due 10/25/36		973,886
	19,365,634	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .27%, 1.04%, due 07/25/37		16,768,572
	6,139,143	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .24%, 1.01%, due 07/25/37		5,271,417
	7,235,259	Bayview Commercial Asset Trust, Series 07-4A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .45%, 1.23%, due 09/25/37		6,313,571
	282,125	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 1.30%, 2.08%, due 12/25/37		357,400
	4,771,231	Bayview Financial Revolving Asset Trust, Series 04-B, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .50%, 1.78%, due 05/28/39		3,278,556
	5,011,270	Bayview Financial Revolving Asset Trust, Series 04-B, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .65%, 2.08%, due 05/28/39		2,449,215
	9,900,589	Bayview Financial Revolving Asset Trust, Series 05-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .50%, 1.78%, due 02/28/40		8,283,746
	1,180,619	GE Business Loan Trust, Series 05-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .24%, 1.01%, due 11/15/33		1,129,684
	3,617,349	GE Business Loan Trust, Series 06-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .18%, 0.95%, due 11/15/34		3,429,516
	9,115,827	GE Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .17%, 0.94%, due 04/16/35		8,529,261
	7,389,066	GE Business Loan Trust, Series 07-1A, Class D, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 1.77%, due 04/16/35		6,431,329
	8,866,799	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 1.03%, due 02/25/30		8,308,210


		See accompanying notes to the financial statements.		41

GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	984,606	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 1.03%, due 09/25/30		938,006
	5,250,849	Lehman Brothers Small Balance Commercial, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + .31%, 1.09%, due 04/25/31		4,911,078
	2,592,000	Lehman Brothers Small Balance Commercial, Series 06-2A, Class M1, 144A, 1 mo. LIBOR + .29%, 1.07%, due 09/25/36		2,288,269
	6,789,882	Lehman Brothers Small Balance Commercial, Series 06-3A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .20%, 0.98%, due 12/25/36		6,173,413
	2,517,146	Velocity Commercial Capital Loan Trust, Series 16-2, Class AFL, 1 mo. LIBOR + 1.80%, 2.58%, due 10/25/46		2,519,990

		Total Small Balance Commercial Mortgages		132,369,493


		Student Loans — 19.7%
	2,577,642	Access Group, Inc., Series 05-A, Class A3, Variable Rate, 3 mo. LIBOR + .40%, 1.44%, due 07/25/34		2,397,437
	4,269,363	Access Group, Inc., Series 03-A, Class A2, Variable Rate, 1.71%, due 07/01/38		4,277,410
	7,381,828	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .80%, 1.84%, due 07/25/34		6,661,616
	6,603,567	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .32%, 1.32%, due 03/28/35		5,885,429
	25,090,320	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + .48%, 1.48%, due 12/27/41		23,026,021
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, 3 mo. LIBOR + 1.25%, 2.29%, due 07/28/42		3,565,195
	18,250,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 4.05%, due 03/31/38		7,756,250
	5,962,500	National Collegiate II Commutation Trust, Series 07-4, Class A3R3, Variable Rate, due 03/25/38		2,698,031
	3,750,000	National Collegiate II Commutation Trust, Series 07-3, Class A3R3, Variable Rate, 4.12%, due 03/25/38		1,696,875
	3,525,000	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + .31%, 1.09%, due 05/25/32		2,871,501
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 4.06%, due 03/25/38		58,875
	12,960,000	National Collegiate Student Loan Trust, Series 06-1, Class A5, 1 mo. LIBOR + .35%, 1.13%, due 03/25/33		10,947,241


Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — continued
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, due 03/25/38		19,625
	43,117,829	National Collegiate Student Loan Trust, Series 07-1, Class A3, Variable Rate, 1 mo. LIBOR + .24%, 1.02%, due 07/25/30		42,291,338
	4,797,489	National Collegiate Student Loan Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .21%, 0.99%, due 11/25/27		4,693,829
	17,969,943	National Collegiate Student Loan Trust, Series 06-1, Class A4, Variable Rate, 1 mo. LIBOR + .25%, 1.03%, due 03/27/28		17,805,419
	1,367,700	National Collegiate Student Loan Trust, Series 05-3, Class A4, Variable Rate, 1 mo. LIBOR + .28%, 1.06%, due 04/25/29		1,364,346
	2,449,966	National Collegiate Student Loan Trust, Series 06-3, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 1.05%, due 03/26/29		2,408,438
	8,786,333	National Collegiate Student Loan Trust, Series 05-2, Class A4, Variable Rate, 1 mo. LIBOR + .27%, 1.05%, due 09/25/29		8,683,004
	31,664,880	SLC Private Student Loan Trust, Series 06-A, Class C, Variable Rate, 3 mo. LIBOR + .45%, 1.47%, due 07/15/36		28,431,183
	34,715,000	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + .29%, 1.25%, due 06/15/39		32,101,488
	6,301,422	SLM Private Credit Student Loan Trust, Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + .28%, 1.24%, due 12/15/38		6,035,121
	6,688,054	SLM Private Credit Student Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + .40%, 1.36%, due 06/15/39		6,347,095
	3,746,402	SLM Private Credit Student Loan Trust, Series 03-C, Class C, 3 mo. LIBOR + 1.60%, 2.56%, due 09/15/32		1,085,789
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, 3 mo. LIBOR + .39%, 1.35%, due 12/15/39		1,973,424
	16,372,000	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + .33%, 1.29%, due 06/15/39		15,163,391
	2,524,783	SLM Private Credit Student Loan Trust, Series 04-A, Class B, Variable Rate, 3 mo. LIBOR + .58%, 1.54%, due 06/15/33		2,473,686
	10,289,600	SLM Private Credit Student Loan Trust, Series 04-B, Class A3, Variable Rate, 3 mo. LIBOR + .33%, 1.29%, due 03/15/24		10,040,791
	9,000,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + .43%, 1.39%, due 09/15/33		8,110,706
	2,892,922	SLM Private Credit Student Loan Trust, Series 04-B, Class B, Variable Rate, 3 mo. LIBOR + .47%, 1.43%, due 09/15/33		2,806,003


42		See accompanying notes to the financial statements.

GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — continued
	11,001,344	SLM Private Credit Student Loan Trust, Series 05-A, Class A3, Variable Rate, 3 mo. LIBOR + .20%, 1.16%, due 06/15/23		10,709,920
	9,282,591	SLM Private Education Loan Trust, Series 10-A, Class 2A, 144A, Variable Rate, 1 mo. LIBOR + 3.25%, 4.02%, due 05/16/44		9,651,470
	7,000,000	SLM Private Education Loan Trust, Series 14-A, Class B, 144A, 3.50%, due 11/15/44		6,969,626
	6,000,000	SLM Private Education Loan Trust, Series 11-B, Class A3, 144A, Variable Rate, 1 mo. LIBOR + 2.25%, 3.02%, due 06/16/42		6,258,865

		Total Student Loans		297,266,438


		Time Share — 1.1%
	325,652	BXG Receivables Note Trust, Series 10-A, Class B, 144A, 7.50%, due 03/02/26		325,925
	2,948,557	BXG Receivables Note Trust, Series 13-A, Class B, 144A, 4.00%, due 12/04/28		2,984,291
	1,256,863	Diamond Resorts Owner Trust, Series 13-2, Class A, 144A, 2.27%, due 05/20/26		1,246,285
	1,039,168	Diamond Resorts Owner Trust, Series 13-2, Class B, 144A, 2.62%, due 05/20/26		1,034,668
	2,183,426	Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, 3.50%, due 05/20/30		2,208,374
	453,866	Orange Lake Timeshare Trust, Series 12-AA, Class B, 144A, 4.87%, due 03/10/27		462,055
	522,002	Sierra Timeshare Receivables Funding LLC, Series 12-3A, Class B, 144A, 2.66%, due 08/20/29		521,443
	1,976,655	Sierra Timeshare Receivables Funding LLC, Series 13-2A, Class B, 144A, 2.92%, due 11/20/25		1,974,862
	418,175	Sierra Timeshare Receivables Funding LLC, Series 13-2A, Class C, 144A, 4.75%, due 11/20/25		410,554
	1,640,663	Silverleaf Finance XV LLC, Series 12-D, Class B, 144A, 4.45%, due 03/17/25		1,641,843
	2,312,521	Silverleaf Finance XVII LLC, Series 13-A, Class B, 144A, 3.67%, due 03/16/26		2,307,278
	680,800	Westgate Resorts LLC, Series 13-1A, Class B, 144A, 3.75%, due 08/20/25		679,355

		Total Time Share		15,796,933

		Total Asset-Backed Securities		1,227,001,445


		U.S. Government Agency — 8.5%
	387,151	Agency for International Development Floater (Support of Jamaica), Variable Rate, 3 mo. LIBOR + .30%, 1.35%, due 10/01/18^(a)		384,103


Par Value† Shares / Number of Contracts		Description	Value ($)
		U.S. Government Agency — continued
	7,900,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR - .02%, 1.35%, due 02/01/25^(a)		7,600,652
	7,500,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR, 1.51%, due 10/29/26^(a)		7,173,550
	4,582,500	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR, 1.36%, due 07/01/23^(a)		4,444,485
	16,000,000	Federal Home Loan Bank Discount Notes, Variable Rate, 0.81%, due 02/01/19		15,999,888
	500,000	Federal Home Loan Banks, Variable Rate, 0.79%, due 04/06/18		500,858
	35,000,000	Federal Home Loan Banks, Variable Rate, 0.80%, due 08/15/18		34,986,910
	25,000,000	Federal Home Loan Banks, Variable Rate, 0.73%, due 08/15/18		24,995,075
	33,250,000	Federal National Mortgage Association, TBA, 2.50%, due 03/15/47		31,649,598

		Total U.S. Government Agency		127,735,119


		TOTAL DEBT OBLIGATIONS (COST $1,338,810,329)		1,354,736,564


		MUTUAL FUNDS — 4.8%

		United States — 4.8%
		Affiliated Issuers — 4.8%
	2,913,505	GMO U.S. Treasury Fund		72,837,633


		TOTAL MUTUAL FUNDS (COST $72,857,962)		72,837,633


		OPTIONS PURCHASED — 0.1%

		Equity Options — 0.0%
	7,900	iShares iBoxx $ High Yield Corporate Bond, Expires 06/16/17, Strike 84.00		560,900


		See accompanying notes to the financial statements.		43

GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017

Principal
Amount

Expiration
Date

Description

Floating Rate
Index

Pay/Receive
Floating Rate

Exercise
Rate

Counterparty

Value ($)

Options on Credit Default Swaps — 0.1%

USD

34,480,000

03/15/2017

CDX.NA.HY.27.V1-5Y

Fixed Spread

Pay

107.00%

BOA

45,652

EUR

86,200,000

03/15/2017

ITRAXX-EUROPES26V1-5Y

Fixed Spread

Pay

72.50%

CITI

111,747

USD

17,240,000

03/15/2017

CDX.NA.HYS.27.V2-5Y

Fixed Spread

Pay

107.00%

BOA

22,826

EUR

86,400,000

04/19/2017

ITRAXX-EUROPES26V1-5Y

Fixed Spread

Pay

70.00%

BOA

294,394

USD

43,250,000

06/21/2017

CDX.NA.HYS.27.V1-5Y

Fixed Spread

Pay

103.00%

JPM

264,261

738,880

TOTAL OPTIONS PURCHASED (COST $2,813,864)

1,299,780


Shares / Par Value†			Description	Value ($)
			SHORT-TERM INVESTMENTS — 5.9%

			Money Market Funds — 0.6%
	9,643,521		State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.41%^(b)		9,643,521


			U.S. Government — 5.3%
	20,000,000		U.S. Treasury Note, 0.88%, due 08/15/17		20,012,500
	25,000,000		U.S. Treasury Bill, 0.70%, due 08/24/17^(c)		24,914,675
	10,000,000		U.S. Treasury Note, 0.75%, due 10/31/17		9,996,880
	18,000,000		U.S. Treasury Note, 1.00%, due 12/15/17		18,021,096
	7,000,000		U.S. Treasury Note, 0.88%, due 01/15/18^(d)		6,998,635

			Total U.S. Government		79,943,786


			TOTAL SHORT-TERM INVESTMENTS (COST $89,606,170)		89,587,307


			TOTAL INVESTMENTS — 100.5% (Cost $1,504,088,325)		1,518,461,284

			SECURITIES SOLD SHORT — (2.3)%

			Debt Obligations — (2.3)%
			U.S. Government Agency — (2.3)%
	(35,000,000	)	Federal National Mortgage Association, TBA, 3.00%, due 03/13/47		(34,769,723	)

			Total U.S. Government Agency		(34,769,723	)


			TOTAL DEBT OBLIGATIONS (PROCEEDS $34,606,250)		(34,769,723	)


			TOTAL SECURITIES SOLD SHORT (PROCEEDS $34,606,250)		(34,769,723	)

			Other Assets and Liabilities (net) — 1.8%		27,202,273


			TOTAL NET ASSETS — 100.0%		$1,510,893,834

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/20/2017	MSCI		EUR	10,933,031		USD	11,669,261	$	77,578
03/20/2017	MSCI		USD	344,256		EUR	322,536		(2,289	)

								$	75,289

Written Options

Equity Options



Number of Contracts		Expiration Date		Description	Premiums		Value ($)
Put	7,900		06/16/2017	iShares iBoxx $ High Yield Corporate Bond	$	463,398	$	(237,000	)


44		See accompanying notes to the financial statements.

GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2017

Written Options on Credit Default Swaps



Principal Amount		Expiration Date		Description	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate		Counterparty	Premiums		Value ($)
EUR	86,200,000		05/17/2017	Put, ITRAXX-EUROPES26V1-5Y	Fixed Spread	Pay		92.50%	CITI	$	174,378	$	(147,882	)
EUR	86,400,000		06/21/2017	Put, ITRAXX-EUROPES26V1-5Y	Fixed Spread	Pay		105.00%	BOA		144,524		(129,988	)
USD	34,480,000		05/17/2017	Put, CDX.NA.HY.27.V1-5Y	Fixed Spread	Pay		103.50%	BOA		167,263		(94,197	)
USD	17,240,000		05/17/2017	Put, CDX.NA.HYS.27.V2-5Y	Fixed Spread	Pay		103.50%	BOA		66,564		(47,098	)
USD	43,250,000		06/21/2017	Put, CDX.NA.HYS.27V1-5Y	Fixed Spread	Pay		98.00%	JPM		324,375		(80,631	)

										$	877,104	$	(499,796	)

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)
	26,040,000	USD	6/20/2017	GS	(Pay)	5.00%	0.26%	MBIA, Inc.	NA		$	(378,716	)
	21,650,000	USD	12/20/2017	GS	(Pay)	5.00%	0.35%	MBIA, Inc.	NA			(815,105	)
	88,035,000	EUR	12/20/2020	JPM	Receive	1.00%	1.06%	ITRAXX-EUROPE24V1-5Y	88,035,000	EUR		2,619,155
	4,400,000	USD	12/22/2020	BOA	(Pay)	5.00%	1.00%	CDX.NA.HYS25.V1-5Y	NA			(270,061	)
	4,343,000	USD	12/22/2020	JPM	(Pay)	5.00%	1.00%	CDX.NA.HYS25.V1-5Y	NA			(266,563	)
	17,300,000	USD	12/22/2020	CITI	Receive	5.00%	1.00%	CDX.NA.HYS25.V2-5Y	17,300,000	USD		2,418,075
	4,400,000	USD	12/22/2020	BOA	(Pay)	1.00%	1.00%	CDX.NA.IGS25.V1-5Y	NA			117,220
	4,300,000	USD	12/22/2020	CITI	(Pay)	1.00%	1.00%	CDX.NA.IGS25.V1-5Y	NA			114,556
	17,550,000	EUR	12/22/2020	BOA	(Pay)	1.00%	1.06%	ITRAXX-EUROPES24V1-5Y	NA			(151,833	)
	8,775,000	EUR	12/22/2020	BOA	(Pay)	1.00%	1.06%	ITRAXX-EUROPES24V1-5Y	NA			433,224
	28,672,500	EUR	12/22/2020	BOA	Receive	1.00%	1.06%	ITRAXX-EUROPES24V1-5Y	28,672,500	EUR		853,044
	3,290,625	EUR	12/22/2020	GS	(Pay)	1.00%	1.06%	ITRAXX-EUROPES24V1-5Y	NA			162,459
	43,875,000	EUR	12/22/2020	GS	Receive	1.00%	1.06%	ITRAXX-EUROPES24V1-5Y	43,875,000	EUR		1,305,338
	6,581,250	EUR	12/22/2020	GS	(Pay)	1.00%	1.06%	ITRAXX-EUROPES24V1-5Y	NA			(56,938	)
	18,513,000	EUR	6/20/2021	CSS ^(e)	(Pay)	1.00%	0.73%	ITRAXX-EUROPES25V1-5Y	NA			(289,600	)
	8,640,000	EUR	12/20/2021	BOA	Receive	1.00%	0.36%	ITRAXX-EUROPES26V1-5Y	8,640,000	EUR		277,424
	16,270,650	USD	12/20/2021	CSS ^(e)	(Pay)	5.00%	3.90%	CDX-NAHYS27V1-5Y	NA			(1,256,631	)
	17,433,000	USD	12/20/2021	GS	(Pay)	1.00%	1.00%	CDX-NAIGS27V1-5Y	NA			(241,845	)
	8,814,564	USD	12/20/2021	CSS ^(e)	(Pay)	5.00%	3.92%	CDX.NA.HYS27.V1-5Y	NA			(680,775	)
	22,155,000	USD	12/20/2021	CSS ^(e)	(Pay)	1.00%	0.67%	CDX.NA.IGS27.V1-5Y	NA			(380,446	)
	25,980,000	USD	12/21/2021	MSCS	(Pay)	1.00%	1.00%	CDX.NA.IGS27.V1-5Y	NA			(360,416	)
	173,400,000	EUR	12/21/2021	BOA	Receive	1.00%	1.06%	ITRAXX-EUROPES26V1-5Y	173,400,000	EUR		5,570,099
	86,700,000	EUR	12/20/2021	CSS ^(e)	(Pay)	1.00%	0.8%	ITRAXX-EUROPES26V1-5Y	NA			(1,181,002	)
	43,200,000	EUR	12/21/2021	BOA	Receive	1.00%	0.36%	ITRAXX-EUROPES26V1-5Y	43,200,000	EUR		1,387,087
	4,400,000	USD	1/17/2047	GS	(Pay)	1.00%	1.00%	CMBX.NA.AS.7	NA			10,555
	13,270,000	USD	1/17/2047	MSCS	(Pay)	1.00%	1.00%	CMBX.NA.AS.7	NA			31,832
	4,505,000	USD	1/17/2047	BOA	(Pay)	1.00%	1.00%	CMBX.NA.AS.7	NA			10,807
	21,462,000	USD	1/17/2047	CSI	(Pay)	1.65%	1.00%	CMBX.NA.AS.7	NA			51,483
	26,609,000	USD	1/17/2047	DB	(Pay)	1.00%	1.00%	CMBX.NA.AS.7	NA			63,830
	3,384,000	USD	10/17/2057	MSCS	(Pay)	1.00%	1.00%	CMBX.NA.AS.8	NA			22,775
	8,650,000	USD	10/17/2057	GS	(Pay)	0.30%	0.3%	CMBX.NA.BBB-8	NA			1,318,987


		See accompanying notes to the financial statements.		45

GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2017

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)

874,200

USD

9/17/2058

(Pay)

0.50%

CMBX.NA.AAA.9

21,537

4,400,000

USD

9/17/2058

(Pay)

3.00%

CMBX.NA.BBB-.9

550,537

1,760,000

USD

9/17/2058

(Pay)

3.00%

CMBX.NA.BBB-.9

220,215

4,325,000

USD

5/11/2063

CSI

(Pay)

3.00%

4.18%

CMBX.NA.BBB-.6

560,214

8,715,000

USD

5/11/2063

(Pay)

3.00%

CMBX.NA.BBB-.6

1,128,847

5,184,000

USD

5/11/2063

CSI

(Pay)

3.00%

1.00%

CMBX.NA.BBB-.6

671,479

13,590,848

Premiums Paid (Received)

(17,921,812

)

⁽¹⁾

⁽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)

52,107,000

USD

3/20/2019

CSS ^(f)

Receive

1.56%

3 Month USD LIBOR

(34,741

)

34,756,000

USD

3/20/2019

CSS ^(f)

Receive

1.63%

3 Month USD LIBOR

23,045

10,495,000

USD

3/10/2021

CSS ^(g)

(Pay)

1.27%

3 Month USD LIBOR

259,549

7,392,000

USD

3/16/2021

CSS ^(g)

(Pay)

1.75%

3 Month USD LIBOR

44,809

1,591,000

USD

3/15/2022

CSS ^(f)

(Pay)

1.50%

3 Month USD LIBOR

38,784

21,503,000

USD

3/16/2022

CSS ^(f)

Receive

2.02%

3 Month USD LIBOR

16,099

8,919,000

USD

11/20/2023

CSS ^(f)

(Pay)

1.90%

3 Month USD LIBOR

138,707

19,668,000

USD

4/16/2025

CSS ^(g)

(Pay)

2.00%

3 Month USD LIBOR

379,136

4,092,000

USD

5/19/2026

CSS ^(g)

(Pay)

1.65%

3 Month USD LIBOR

232,401

1,069,000

USD

6/10/2026

CSS ^(g)

(Pay)

1.60%

3 Month USD LIBOR

65,944

8,168,000

USD

7/18/2026

CSS ^(g)

(Pay)

1.42%

3 Month USD LIBOR

638,057

13,794,000

USD

8/15/2026

CSS ^(g)

(Pay)

1.46%

3 Month USD LIBOR

1,041,155

11,320,000

USD

3/17/2027

CSS ^(f)

Receive

2.38%

3 Month USD LIBOR

37,170

2,880,115

Premiums Paid (Received)

(427,902

)

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

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


46		See accompanying notes to the financial statements.

GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2017

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

◆	These securities are primarily backed by subprime mortgages.

(a)	Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

(b)	The rate disclosed is the 7 day net yield as of February 28, 2017.

(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).

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

(f)	Swap was cleared through the LCH.Clearnet Group Ltd.

(g)	Swap was cleared through the CME Group Inc.


		See accompanying notes to the financial statements.		47

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Developed Fixed Income team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO U.S. Treasury Fund returned +0.54% (net) for the fiscal year ended February 28, 2017, as compared with +0.32% for the Citigroup 3-Month Treasury Bill Index.

The Fund outperformed the benchmark during the fiscal year by +0.22%, with contributions coming from security selection in Treasury Bills.

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in GMO U.S. Treasury Fund and the Citigroup 3-Month Treasury Bill Index As of February 28, 2017

LOGO

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


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

		100.0	%

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 99.9%

		U.S. Government — 99.7%
	160,200,000	U.S. Treasury Bill, 0.46%, due 03/09/17^(a)		160,183,660
	75,000,000	U.S. Treasury Bill, 0.41%, due 03/15/17^(a)		74,988,150
	90,000,000	U.S. Treasury Bill, 0.48%, due 04/13/17^(a)		89,948,250
	100,000,000	U.S. Treasury Bill, 0.52%, due 04/27/17^(a)		99,918,700
	114,060,000	U.S. Treasury Bill, 0.62%, due 07/13/17^(a)		113,797,890
	41,000,000	U.S. Treasury Bill, 0.63%, due 07/20/17^(a)		40,899,509
	119,000,000	U.S. Treasury Bill, 0.70%, due 08/24/17^(a)		118,593,853
	45,000,000	U.S. Treasury Bill, 0.82%, due 01/04/18^(a)		44,687,115
	30,000,000	U.S. Treasury Note, 0.75%, due 03/15/17		30,004,290
	50,000,000	U.S. Treasury Note, 0.50%, due 03/31/17		50,004,100
	75,000,000	U.S. Treasury Note, 1.00%, due 03/31/17		75,036,975
	115,000,000	U.S. Treasury Note, 0.88%, due 05/15/17		115,091,310
	216,000,000	U.S. Treasury Note, 0.63%, due 05/31/17		216,060,912
	50,000,000	U.S. Treasury Note, 0.88%, due 06/15/17		50,042,900
	35,000,000	U.S. Treasury Note, 0.75%, due 06/30/17		35,019,110
	55,000,000	U.S. Treasury Note, 2.50%, due 06/30/17		55,347,985
	100,000,000	U.S. Treasury Note, 0.50%, due 07/31/17		99,921,900
	120,000,000	U.S. Treasury Note, 0.88%, due 08/15/17		120,075,000
	70,000,000	U.S. Treasury Note, 4.75%, due 08/15/17		71,296,050
	9,000,000	U.S. Treasury Note, 0.63%, due 08/31/17		8,993,673
	25,000,000	U.S. Treasury Note, 1.88%, due 08/31/17		25,139,650
	82,000,000	U.S. Treasury Note, 1.00%, due 09/15/17		82,108,896
	65,000,000	U.S. Treasury Note, 0.63%, due 09/30/17		64,944,165
	50,000,000	U.S. Treasury Note, 1.88%, due 09/30/17		50,328,100
	20,000,000	U.S. Treasury Note, 0.88%, due 10/15/17		20,010,940
	144,000,000	U.S. Treasury Note, 0.88%, due 11/15/17		144,067,536
	101,000,000	U.S. Treasury Note, 0.88%, due 11/30/17		101,039,491
	90,000,000	U.S. Treasury Note, 2.25%, due 11/30/17		90,942,210
	180,000,000	U.S. Treasury Note, 1.00%, due 12/15/17		180,210,960
	65,000,000	U.S. Treasury Note, 0.88%, due 01/15/18		64,987,325
	15,000,000	U.S. Treasury Note, 1.00%, due 02/15/18		15,008,205
	20,000,000	U.S. Treasury Note, 0.75%, due 02/28/18		19,959,380
	55,000,000	U.S. Treasury Variable Rate Note, 0.68%, due 10/31/17		55,057,200
	75,000,000	U.S. Treasury Variable Rate Note, 0.79%, due 01/31/18		75,175,575

		Total U.S. Government		2,658,890,965


		Money Market Funds — 0.2%
	3,888,540	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.41%^(b)		3,888,540


		TOTAL SHORT-TERM INVESTMENTS (COST $2,662,846,947)		2,662,779,505


		TOTAL INVESTMENTS — 99.9% (Cost $2,662,846,947)		2,662,779,505
		Other Assets and Liabilities (net) — 0.1%		3,917,634


		TOTAL NET ASSETS — 100.0%		$2,666,697,139

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

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

(b)	The rate disclosed is the 7 day net yield as of February 28, 2017.


		See accompanying notes to the financial statements.		51

GMO Trust Funds

Schedule of Investments — (Continued)

February 28, 2017

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.

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

CAD LIBOR - London Interbank Offered Rate denominated in Canadian Dollar.

CDO - Collateralized Debt Obligation

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

CJSC - Closed Joint-Stock Company

CLO - Collateralized Loan Obligation

CP - Counterparty

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.

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.

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona

TBA - To Be Announced-Delayed Delivery Security

TIIE - Tasa de Interes Interbacaria de Equilibrio - 28 - Day Interbank Equilibrium

Interest Rate - Mexico

USBM - U.S. Treasury 3 Month Bill Money Market Yield.

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

VRRB - Variable Rate Reduction Bond

The rates shown on variable rate notes are the current interest rates at February 28, 2017, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

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

MSCS - Morgan Stanley Capital

Services LLC

Currency Abbreviations:

CAD - Canadian Dollar

CHF - Swiss Franc

DEM - Deutsche Mark

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

MXN - Mexican Peso

NZD - New Zealand Dollar

PEN - Peruvian Sol

SEK - Swedish Krona

USD - United States Dollar

ZAR - South African Rand


52		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017


	Asset Allocation Bond Fund		Core Plus Bond Fund		Currency Hedged International Bond Fund		Emerging Country Debt Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	—	$	231,287,044	$	25,811,080	$	101,920,876
Investments in unaffiliated issuers, at value (Note 2)^(b)		1,485,370,745		439,395,232		32,614,520		3,973,602,223
Foreign currency, at value (Note 2)^(c)		—		9		—		917,953
Cash		34,936,675		—		—		—
Receivable for investments sold		—		—		—		3,014,714
Dividends and interest receivable		2,136,289		502,521		425,021		67,600,122
Unrealized appreciation on open forward currency contracts (Note 4)		8,229,029		186,366		258,156		201,461
Receivable for variation margin on open futures contracts (Note 4)		—		19,510		—		—
Due from broker (Note 2)		9,505,268		3,458,135		276,191		6,058,380
Receivable for open OTC swap contracts (Note 4)		—		—		—		25,786,889
Interest receivable for open OTC swap contracts		—		—		—		2,192,756
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		—		41,539		15,006		5,093
Miscellaneous receivable		—		—		—		2,815,563
Receivable for options (Note 4)^(d)		—		—		—		293,033

Total assets		1,540,178,006		674,890,356		59,399,974		4,184,409,063

Liabilities:
Payable for investments purchased		322		—		—		—
Payable for Fund shares repurchased		2,143,635		—		—		32,324
Payable for purchases of delayed delivery securities		—		85,788,866		—		—
Payable to affiliate for (Note 5):
Management fee		320,418		55,422		11,233		1,092,771
Shareholder service fee		94,674		22,659		6,741		349,188
Payable for variation margin on open futures contracts (Note 4)		—		—		744		—
Payable for variation margin on open cleared swap contracts (Note 4)		372,356		130,804		13,477		260,821
Payable for swap premiums		277,730		—		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		9,836,103		181,411		50,874		—
Interest payable for open swap contracts		—		—		—		856,750
Payable for open OTC swap contracts (Note 4)		—		—		—		61,191,234
Payable for reverse repurchase agreements (Note 2)		34,936,599		—		—		32,592,636
Payable for options (Note 4)^(d)		—		—		—		2,349,805
Payable to agents unaffiliated with GMO		252		—		28		588
Payable to Trustees and related expenses		3,149		100		116		6,598
Accrued expenses		199,176		105,515		84,138		431,261

Total liabilities		48,184,414		86,284,777		167,351		99,163,976

Net assets	$	1,491,993,592	$	588,605,579	$	59,232,623	$	4,085,245,087

^(a) Cost of investments – affiliated issuers:	$	—	$	230,267,973	$	24,686,959	$	99,161,727
^(b) Cost of investments – unaffiliated issuers:	$	1,472,377,437	$	437,627,181	$	35,451,676	$	3,883,854,946
^(c) Cost of foreign currency:	$	—	$	9	$	—	$	916,918
^(d) Premiums on options:	$	—	$	—	$	—	$	6,226,943


		See accompanying notes to the financial statements.		53

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017 — (Continued)


	Asset Allocation Bond Fund			Core Plus Bond Fund			Currency Hedged International Bond Fund			Emerging Country Debt Fund
Net assets consist of:
Paid-in capital	$	1,549,492,325		$	616,220,179		$	67,536,983		$	4,169,404,787
Accumulated undistributed net investment income		1,181,698			1,128,597			596,010			34,037,148
Accumulated net realized gain (loss)		(64,400,243	)		(31,342,063	)		(7,391,660	)		(221,705,644	)
Net unrealized appreciation (depreciation)		5,719,812			2,598,866			(1,508,710	)		103,508,796

	$	1,491,993,592		$	588,605,579		$	59,232,623		$	4,085,245,087

Net assets attributable to:
Class III	$	282,272,480		$	22,172,253		$	59,232,623		$	1,067,086,401

Class IV	$	—		$	566,433,326		$	—		$	3,018,158,686

Class VI	$	1,209,721,112		$	—		$	—		$	—

Shares outstanding:
Class III		12,741,416			1,050,889			2,235,062			36,808,556

Class IV		—			26,783,881			—			104,255,133

Class VI		54,423,599			—			—			—

Net asset value per share:
Class III	$	22.15		$	21.10		$	26.50		$	28.99

Class IV	$	—		$	21.15		$	—		$	28.95

Class VI	$	22.23		$	—		$	—		$	—


54		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017 — (Continued)


	Opportunistic Income Fund (formerly Debt Opportunities Fund)		U.S. Treasury Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	72,837,633	$	—
Investments in unaffiliated issuers, at value (Note 2)^(b)		1,445,623,651		2,662,779,505
Cash		714,626		—
Receivable for investments sold		582,177		—
Dividends and interest receivable		3,445,104		4,360,554
Unrealized appreciation on open forward currency contracts (Note 4)		77,578		—
Due from broker (Note 2)		3,424,239		—
Receivable for open OTC swap contracts (Note 4)		19,920,779		—
Receivable for purchases of delayed delivery securities		34,606,250		—
Interest receivable for open OTC swap contracts		979,159		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		54,941		144,813

Total assets		1,582,266,137		2,667,284,872

Liabilities:
Investments sold short, at value (Note 2)^(c)		34,769,723		—
Payable for investments purchased		260,449		—
Payable for purchases of delayed securities		31,514,766		—
Payable to affiliate for (Note 5):
Management fee		456,342		157,555
Shareholder service fee		62,748		—
Payable for variation margin on open cleared swap contracts (Note 4)		98,836		—
Dividend payable		—		266,278
Unrealized depreciation on open forward currency contracts (Note 4)		2,289		—
Interest payable for open swap contracts		754,369		—
Payable for open OTC swap contracts (Note 4)		2,541,477		—
Written options outstanding, at value (Note 4)^(d)		736,796		—
Payable to agents unaffiliated with GMO		196		394
Payable to Trustees and related expenses		2,430		4,674
Accrued expenses		171,882		158,832

Total liabilities		71,372,303		587,733

Net assets	$	1,510,893,834	$	2,666,697,139

^(a) Cost of investments – affiliated issuers:	$	72,857,962	$	—
^(b) Cost of investments – unaffiliated issuers:	$	1,431,230,363	$	2,662,846,947
^(c) Proceeds from securities sold short:	$	34,606,250	$	—
^(d) Premiums on written options:	$	1,340,502	$	—


		See accompanying notes to the financial statements.		55

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017 — (Continued)


	Opportunistic Income Fund (formerly Debt Opportunities Fund)			U.S. Treasury Fund
Net assets consist of:
Paid-in capital	$	1,616,785,775		$	2,666,813,030
Accumulated undistributed net investment income		4,399,215			—
Accumulated net realized gain (loss)		(123,300,886	)		(48,449	)
Net unrealized appreciation (depreciation)		13,009,730			(67,442	)

	$	1,510,893,834		$	2,666,697,139

Net assets attributable to:
Core Class	$	—		$	2,666,697,139

Class VI	$	1,510,893,834		$	—

Shares outstanding:
Core Class		—			106,673,130

Class VI		58,611,319			—

Net asset value per share:
Core Class	$	—		$	25.00

Class VI	$	25.78		$	—


56		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2017


	Asset Allocation Bond Fund			Core Plus Bond Fund			Currency Hedged International Bond Fund			Emerging Country Debt Fund
Investment Income:
Interest	$	22,399,338		$	613,434		$	560,561		$	298,724,904
Dividends from unaffiliated issuers		1,648,728			186,970			1,105			1,244,977
Dividends from affiliated issuers (Note 10)		1,152,553			746,111			408,012			818,783

Total investment income		25,200,619			1,546,515			969,678			300,788,664

Expenses:
Management fee (Note 5)		5,063,894			274,717			154,826			14,416,089
Shareholder service fee – Class III (Note 5)		560,767			12,277			92,896			1,358,454
Shareholder service fee – Class IV (Note 5)		—			101,702			—			3,213,247
Shareholder service fee – Class VI (Note 5)		908,442			—			—			—
Audit and tax fees		105,090			109,197			99,920			178,487
Custodian, fund accounting agent and transfer agent fees		279,661			84,744			51,497			1,197,674
Legal fees		56,023			21,672			21,672			104,539
Registration fees		5,235			5,750			3,025			35,036
Trustees’ fees and related expenses (Note 5)		34,271			1,516			1,087			70,885
Interest expense (Note 2)		64,190			2,748			1,791			—
Miscellaneous		28,053			5,901			8,361			79,078

Total expenses		7,105,626			620,224			435,075			20,653,489
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(442,031	)		(207,766	)		(164,263	)		—
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			(68,562	)		(20,486	)		(39,365	)
Indirectly incurred shareholder service fee waived or borne by GMO (Note 5)		—			(14,626	)		(5,191	)		(7,887	)

Net expenses		6,663,595			329,270			245,135			20,606,237

Net investment income (loss)		18,537,024			1,217,245			724,543			280,182,427

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(149,280,380	)		(235,319	)		(974,122	)		99,035,329
Investments in affiliated issuers		235,105			6,018,640			1,543,855			37,508
Realized gain distributions from affiliated issuers (Note 10)		13,727			9,565			10,811			46,787
Futures contracts		6,339,183			(361,770	)		273,643			—
Options		(31,823,476	)		(391,981	)		(120,552	)		—
Swap contracts		108,482,529			(3,084,400	)		499,118			10,438,250
Foreign currency, forward contracts and foreign currency related transactions		29,219,763			22,717			1,945,157			3,620,097

Net realized gain (loss)		(36,813,549	)		1,977,452			3,177,910			113,177,971

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		126,539,996			(94,674	)		(849,271	)		279,657,824
Investments in affiliated issuers		63,423			(3,852,031	)		(934,518	)		652,383
Futures contracts		(12,973,233	)		278,484			(188,355	)		—
Options		39,392,236			748,804			222,199			5,043,111
Swap contracts		(120,857,680	)		6,198,080			(688,308	)		48,592,057
Foreign currency, forward contracts and foreign currency related transactions		(14,067,309	)		(98,318	)		232,293			(1,918,066	)

Net change in unrealized appreciation (depreciation)		18,097,433			3,180,345			(2,205,960	)		332,027,309

Net realized and unrealized gain (loss)		(18,716,116	)		5,157,797			971,950			445,205,280

Net increase (decrease) in net assets resulting from operations	$	(179,092	)	$	6,375,042		$	1,696,493		$	725,387,707


		See accompanying notes to the financial statements.		57

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2017 — (Continued)


	Opportunistic Income Fund (formerly Debt Opportunities Fund)			U.S. Treasury Fund
Investment Income:
Interest	$	64,467,615		$	15,442,193
Dividends from affiliated issuers (Note 10)		336,929			—
Dividends from unaffiliated issuers		19,550			—

Total investment income		64,824,094			15,442,193

Expenses:
Management fee (Note 5)		4,264,569			2,594,865
Shareholder service fee – Class VI (Note 5)		859,319			—
Audit and tax fees		180,009			50,558
Custodian, fund accounting agent and transfer agent fees		264,026			373,934
Legal fees		83,116			88,624
Registration fees		460			515
Trustees’ fees and related expenses (Note 5)		26,711			56,589
Interest expense (Note 2)		231			—
Miscellaneous		57,350			20,362

Total expenses		5,735,791			3,185,447
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(555,010	)		(3,104,114	)

Net expenses		5,180,781			81,333

Net investment income (loss)		59,643,313			15,360,860

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(1,375,019	)		1,442,520
Investments in affiliated issuers		25,475			—
Investments in securities sold short		(34,180	)		—
Realized gain distributions from affiliated issuers (Note 10)		33,490			—
Written options		2,367,050			—
Swap contracts		(7,469,708	)		—
Foreign currency, forward contracts and foreign currency related transactions		615,030			—

Net realized gain (loss)		(5,837,862	)		1,442,520

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		59,839,383			162,701
Investments in affiliated issuers		(29,466	)		—
Investments in securities sold short		(163,473	)		—
Written options		281,874			—
Swap contracts		(1,190,201	)		—
Foreign currency, forward contracts and foreign currency related transactions		42,412			—

Net change in unrealized appreciation (depreciation)		58,780,529			162,701

Net realized and unrealized gain (loss)		52,942,667			1,605,221

Net increase (decrease) in net assets resulting from operations	$	112,585,980		$	16,966,081


58		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets


	Asset Allocation Bond Fund						Core Plus Bond Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	18,537,024		$	8,396,115		$	1,217,245		$	2,984,582
Net realized gain (loss)		(36,813,549	)		(421,725,486	)		1,977,452			(5,184,506	)
Change in net unrealized appreciation (depreciation)		18,097,433			(58,678,738	)		3,180,345			(7,494,375	)


Net increase (decrease) in net assets from operations		(179,092	)		(472,008,109	)		6,375,042			(9,694,299	)

Distributions to shareholders from:
Net investment income
Class III		—			(26,485,630	)		(240,429	)		(2,771,556	)
Class IV		—			—			(3,760,584	)		(9,179,274	)
Class VI		—			(286,205,734	)		—			—

Total distributions from net investment income		—			(312,691,364	)		(4,001,013	)		(11,950,830	)

Net share transactions (Note 9):
Class III		(70,279,130	)		(1,399,770	)		(30,050,465	)		5,926,234
Class IV		—			—			349,034,173			40,867,382
Class VI		(678,881,916	)		(2,046,673,477	)		—			—

Increase (decrease) in net assets resulting from net share transactions		(749,161,046	)		(2,048,073,247	)		318,983,708			46,793,616

Total increase (decrease) in net assets		(749,340,138	)		(2,832,772,720	)		321,357,737			25,148,487

Net assets:
Beginning of period		2,241,333,730			5,074,106,450			267,247,842			242,099,355

End of period	$	1,491,993,592		$	2,241,333,730		$	588,605,579		$	267,247,842

Accumulated undistributed net investment income	$	1,181,698		$	—		$	1,128,597		$	341,183

Distributions in excess of net investment income	$	—		$	(49,400,874	)	$	—		$	—


		See accompanying notes to the financial statements.		59

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Currency Hedged International Bond Fund						Emerging Country Debt Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	724,543		$	683,786		$	280,182,427		$	222,709,081
Net realized gain (loss)		3,177,910			368,668			113,177,971			(15,576,974	)
Change in net unrealized appreciation (depreciation)		(2,205,960	)		(2,133,644	)		332,027,309			(288,895,476	)


Net increase (decrease) in net assets from operations		1,696,493			(1,081,190	)		725,387,707			(81,763,369	)

Distributions to shareholders from:
Net investment income
Class III		(2,050,085	)		(6,260,770	)		(62,354,207	)		(60,444,445	)
Class IV		—			—			(215,087,917	)		(216,009,314	)

Total distributions from net investment income		(2,050,085	)		(6,260,770	)		(277,442,124	)		(276,453,759	)

Net share transactions (Note 9):
Class III		(1,932,534	)		(3,029,814	)		142,444,973			158,036,105
Class IV		—			—			(438,892,230	)		113,254,771

Increase (decrease) in net assets resulting from net share transactions		(1,932,534	)		(3,029,814	)		(296,447,257	)		271,290,876

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			1,373,509			1,308,961
Class IV		—			—			4,896,963			4,807,531

Increase in net assets resulting from purchase premiums and redemption fees		—			—			6,270,472			6,116,492

Total increase (decrease) in net assets resulting from net share transactions		(1,932,534	)		(3,029,814	)		(290,176,785	)		277,407,368

Total increase (decrease) in net assets		(2,286,126	)		(10,371,774	)		157,768,798			(80,809,760	)

Net assets:
Beginning of period		61,518,749			71,890,523			3,927,476,289			4,008,286,049

End of period	$	59,232,623		$	61,518,749		$	4,085,245,087		$	3,927,476,289

Accumulated undistributed net investment income	$	596,010		$	274,607		$	34,037,148		$	—

Distributions in excess of net investment income	$	—		$	—		$	—		$	(11,084,718	)


60		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Opportunistic Income Fund (formerly Debt Opportunities Fund)						U.S. Treasury Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	59,643,313		$	36,619,443		$	15,360,860		$	5,710,896
Net realized gain (loss)		(5,837,862	)		(23,713,454	)		1,442,520			1,739,205
Change in net unrealized appreciation (depreciation)		58,780,529			(1,468,755	)		162,701			(316,810	)


Net increase (decrease) in net assets from operations		112,585,980			11,437,234			16,966,081			7,133,291

Distributions to shareholders from:
Net investment income
Core Class		—			—			(15,360,860	)		(5,710,896	)
Class VI		(37,550,318	)		(28,535,302	)		—			—

Total distributions from net investment income		(37,550,318	)		(28,535,302	)		(15,360,860	)		(5,710,896	)

Net realized gains
Core Class		—			—			(1,586,333	)		(1,739,695	)

Total distributions from net realized gains		—			—			(1,586,333	)		(1,739,695	)

Net share transactions (Note 9):
Core Class		—			—			(1,366,825,724	)		1,789,890,628
Class VI		(213,820,554	)		(128,174,824	)		—			—

Increase (decrease) in net assets resulting from net share transactions		(213,820,554	)		(128,174,824	)		(1,366,825,724	)		1,789,890,628

Purchase premiums and redemption fees (Notes 2 and 9):
Class VI		1,659,519			2,486,765			—			—

Increase in net assets resulting from purchase premiums and redemption fees		1,659,519			2,486,765			—			—

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(212,161,035	)		(125,688,059	)		(1,366,825,724	)		—

Total increase (decrease) in net assets		(137,125,373	)		(142,786,127	)		(1,366,806,836	)		1,789,573,328

Net assets:
Beginning of period		1,648,019,207			1,790,805,334			4,033,503,975			2,243,930,647

End of period	$	1,510,893,834		$	1,648,019,207		$	2,666,697,139		$	4,033,503,975

Accumulated undistributed net investment income	$	4,399,215		$	6,227,235		$	—		$	—


		See accompanying notes to the financial statements.		61

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

ASSET ALLOCATION BOND FUND


	Class III Shares																				Class VI Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017				2016				2015				2014				2013				2017				2016				2015				2014				2013
Net asset value, beginning of period		$	22.16			$	26.36			$	24.57			$	24.43			$	24.60			$	22.21			$	26.40			$	24.60			$	24.46			$	24.61

Income (loss) from investment operations:
Net investment income (loss)†^(a)			0.18				0.01				0.38				0.00	^(b)			(0.02	)			0.21				0.06				0.22				0.03				0.01
Net realized and unrealized gain (loss)			(0.19	)			(2.58	)			2.48				0.17				0.12				(0.19	)			(2.61	)			2.68				0.16				0.11

Total from investment operations			(0.01	)			(2.57	)			2.86				0.17				0.10				0.02				(2.55	)			2.90				0.19				0.12

Less distributions to shareholders:
From net investment income			—				(1.63	)			(0.67	)			(0.03	)			(0.01	)			—				(1.64	)			(0.70	)			(0.05	)			(0.01	)
From net realized gains			—				—				(0.40	)			—				(0.26	)			—				—				(0.40	)			—				(0.26	)

Total distributions			—				(1.63	)			(1.07	)			(0.03	)			(0.27	)			—				(1.64	)			(1.10	)			(0.05	)			(0.27	)

Net asset value, end of period		$	22.15			$	22.16			$	26.36			$	24.57			$	24.43			$	22.23			$	22.21			$	26.40			$	24.60			$	24.46

Total Return^(c)			(0.05	)%			(9.88	)%			11.92	%			0.72	%			0.42	%			0.09	%			(9.79	)%			12.05	%			0.79	%			0.52	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	282,272			$	352,828			$	421,910			$	260,775			$	91,186			$	1,209,721			$	1,888,505			$	4,652,197			$	2,849,433			$	88,029
Net operating expenses to average daily net assets^(e)			0.41	%			0.40	%			0.40	%			0.40	%^(d)			0.40	%			0.31	%			0.31	%			0.31	%			0.31	%^(d)			0.31	%
Interest and/or dividend expenses to average daily net assets^(f)			0.00	%^(g)			0.02	%			0.01	%			0.00	%^(g)			0.00	%			0.00	%^(g)			0.02	%			0.01	%			0.00	%^(g)			—
Total net expenses to average daily net assets^(e)			0.41	%			0.42	%			0.41	%			0.40	%			0.40	%			0.31	%			0.33	%			0.32	%			0.31	%			0.31	%
Net investment income (loss) to average daily net assets^(a)			0.81	%			0.03	%			1.49	%			0.01	%			(0.08	)%			0.94	%			0.27	%			0.84	%			0.13	%			0.02	%
Portfolio turnover rate			130	%^(h)			177	%			177	%			32	%			233	%			130	%^(h)			177	%			177	%			32	%			233	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%			0.03	%			0.02	%			0.02	%			0.08	%			0.02	%			0.03	%			0.02	%			0.02	%			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, if any.

^(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 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%.

^(h)

The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate during the year ended February 28, 2017, including transactions in USTF, was 126% of the average value of its portfolio.

†	Calculated using average shares outstanding throughout the period.


62		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CORE PLUS BOND FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)				2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)
Net asset value, beginning of period		$	21.39			$	23.43			$	22.35			$	22.23			$	21.39			$	21.45			$	23.49			$	22.41			$	22.29			$	21.42

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.26				0.24				0.21				0.21				0.21				0.24				0.27				0.21				0.21				0.24
Net realized and unrealized gain (loss)			0.25				(1.14	)			1.83				0.24				1.62				0.29				(1.17	)			1.83				0.27				1.62

Total from investment operations			0.51				(0.90	)			2.04				0.45				1.83				0.53				(0.90	)			2.04				0.48				1.86

Less distributions to shareholders:
From net investment income			(0.80	)			(1.14	)			(0.96	)			(0.33	)			(0.99	)			(0.83	)			(1.14	)			(0.96	)			(0.36	)			(0.99	)

Total distributions			(0.80	)			(1.14	)			(0.96	)			(0.33	)			(0.99	)			(0.83	)			(1.14	)			(0.96	)			(0.36	)			(0.99	)

Net asset value, end of period		$	21.10			$	21.39			$	23.43			$	22.35			$	22.23			$	21.15			$	21.45			$	23.49			$	22.41			$	22.29

Total Return^(c)			2.44	%			(3.93	)%			9.25	%			2.15	%			8.67	%			2.55	%			(3.91	)%			9.32	%			2.15	%			8.85	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	22,172			$	52,187			$	51,045			$	48,632			$	48,831			$	566,433			$	215,060			$	191,054			$	191,571			$	190,527
Net operating expenses to average daily net assets^(d)			0.35	%			0.35	%			0.37	%			0.38	%			0.38	%^(e)			0.30	%			0.30	%			0.32	%			0.33	%			0.33	%^(e)
Interest and/or dividend expenses to average daily net assets^(g)			0.00	%^(f)			0.01	%			0.00	%^(f)			0.00	%^(f)			—				0.00	%^(f)			0.01	%			0.00	%^(f)			0.00	%^(f)			—
Total net expenses to average daily net assets^(d)			0.35	%			0.36	%			0.37	%			0.38	%			0.38	%^(e)			0.30	%			0.31	%			0.32	%			0.33	%			0.33	%^(e)
Net investment income (loss) to average daily net assets^(b)			1.21	%			1.14	%			0.89	%			0.95	%			1.02	%			1.10	%			1.17	%			0.94	%			0.99	%			1.07	%
Portfolio turnover rate			216	%^(h)			21	%			128	%			87	%			135	%			216	%^(h)			21	%			128	%			87	%			135	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:⁽ⁱ⁾			0.30	%			0.21	%			0.15	%			0.12	%			0.13	%			0.26	%			0.21	%			0.15	%			0.12	%			0.13	%

^(a)	Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

^(c)

^(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)	Ratio is less than 0.01%.

^(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)

⁽ⁱ⁾	Ratios include indirect fees waived or borne by GMO.

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		63

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CURRENCY HEDGED INTERNATIONAL BOND FUND


	Class III Shares
	Year Ended February 28/29,
	2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)
Net asset value, beginning of period		$	26.67			$	29.70			$	26.70			$	26.28			$	25.05

Income (loss) from investment operations:
Net investment income (loss)†^(b)			0.32				0.27				0.33				0.36				0.42
Net realized and unrealized gain (loss)			0.42				(0.72	)			4.14				0.42				1.92

Total from investment operations			0.74				(0.45	)			4.47				0.78				2.34

Less distributions to shareholders:
From net investment income			(0.91	)			(2.58	)			(1.47	)			(0.33	)			(1.11	)
Return of capital			—				—				—				(0.03	)			—

Total distributions			(0.91	)			(2.58	)			(1.47	)			(0.36	)			(1.11	)

Net asset value, end of period		$	26.50			$	26.67			$	29.70			$	26.70			$	26.28

Total Return^(c)			2.79	%			(1.17	)%			17.02	%			3.04	%			9.43	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	59,233			$	61,519			$	71,891			$	71,837			$	69,527
Net operating expenses to average daily net assets^(d)			0.40	%			0.38	%			0.36	%			0.39	%			0.40	%
Interest and/or dividend expenses to average daily net assets^(f)			0.00	%^(e)			0.01	%			0.00	%^(e)			0.00	%^(e)			—
Total net expenses to average daily net assets^(d)			0.40	%			0.39	%			0.36	%			0.39	%			0.40	%
Net investment income (loss) to average daily net assets^(b)			1.17	%			1.03	%			1.19	%			1.41	%			1.61	%
Portfolio turnover rate			—	^(g)			69	%			117	%			13	%			34	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:^(h)			0.31	%			0.58	%			0.27	%			0.24	%			0.27	%

^(a)	Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

^(c)

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

^(e)	Ratio is less than 0.01%.

^(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)

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

†	Calculated using average shares outstanding throughout the period.


64		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
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)				2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)
Net asset value, beginning of period		$	26.01			$	28.47			$	29.31			$	31.02			$	28.77			$	25.98			$	28.44			$	29.28			$	30.99			$	28.74

Income (loss) from investment operations:
Net investment income (loss)^(b)†			1.94				1.53				1.77	^(c)			1.80				2.31				1.95				1.53				1.80	^(c)			1.80				2.37
Net realized and unrealized gain (loss)			3.01	^(d)			(2.04	)			(0.03	)			(1.77	)			2.46				3.01	^(d)			(2.01	)			(0.06	)			(1.74	)			2.43

Total from investment operations			4.95				(0.51	)			1.74				0.03				4.77				4.96				(0.48	)			1.74				0.06				4.80

Less distributions to shareholders:
From net investment income			(1.97	)			(1.95	)			(2.58	)			(1.74	)			(2.52	)			(1.99	)			(1.98	)			(2.58	)			(1.77	)			(2.55	)

Total distributions			(1.97	)			(1.95	)			(2.58	)			(1.74	)			(2.52	)			(1.99	)			(1.98	)			(2.58	)			(1.77	)			(2.55	)

Net asset value, end of period		$	28.99			$	26.01			$	28.47			$	29.31			$	31.02			$	28.95			$	25.98			$	28.44			$	29.28			$	30.99

Total Return^(e)			19.47	%			(1.77	)%			6.03	%			0.27	%			17.04	%			19.50	%			(1.73	)%			6.07	%			0.33	%			17.14	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,067,086			$	827,667			$	746,182			$	582,639			$	427,339			$	3,018,159			$	3,099,809			$	3,262,104			$	2,465,331			$	1,908,041
Net operating expenses to average daily net assets^(f)			0.54	%			0.54	%			0.56	%			0.56	%^(g)			0.60	%^(g)			0.49	%			0.49	%			0.51	%			0.51	%^(g)			0.55	%^(g)
Interest and/or dividend expenses to average daily net assets^(h)			—				0.00	%⁽ⁱ⁾			—				—				0.02	%			—				0.00	%⁽ⁱ⁾			—				—				0.02	%
Total net expenses to average daily net assets^(f)			0.54	%			0.54	%^(h)			0.56	%			0.56	%^(g)			0.62	%^(g)			0.49	%			0.49	%^(f)			0.51	%			0.51	%^(g)			0.57	%^(g)
Net investment income (loss) to average daily net assets^(b)			6.76	%			5.58	%			5.86	%^(j)			5.99	%			7.75	%			6.81	%			5.60	%			5.93	%^(j)			6.02	%			7.84	%
Portfolio turnover rate			21	%^(k)			20	%			18	%			27	%			36	%			21	%^(k)			20	%			18	%			27	%			36	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:^(l)			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			—				0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			—				0.00	%⁽ⁱ⁾
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.04	^(a)		$	0.04	^(a)		$	0.06	^(a)		$	0.05	^(a)		$	0.08	^(a)		$	0.04	^(a)		$	0.04	^(a)		$	0.06	^(a)		$	0.05	^(a)		$	0.08	^(a)

^(a)	Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

^(c)

Includes income per share of $0.06 and $0.09, respectively, as a result of litigation on certain sovereign debt. Excluding this income, the Fund’s net investment income per share would have been $1.71 and $1.71, respectively. These per share amounts have been adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

^(d)	Includes realized gain per share of $0.23 and $0.23, respectively, as a result of litigation on Argentinian sovereign debt. Excluding this income, the Fund’s realized gain per share would have been $2.78 and $2.78, respectively.

^(e)

^(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 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⁾	Ratio is less than 0.01%.

^(j)	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.

^(k)

^(l)	Ratios include indirect fees waived or borne by GMO.

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		65

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (FORMERLY DEBT OPPORTUNITIES FUND)


	Class VI Shares
	Year Ended February 28/29,
	2017				2016				2015^(a)				2014^(a)(b)				2013^(a)
Net asset value, beginning of period		$	24.57			$	24.80			$	24.22			$	24.22			$	22.54

Income (loss) from investment operations:
Net investment income (loss)^(c)†			0.96				0.53				0.54				0.84				1.05
Net realized and unrealized gain (loss)			0.89				(0.34	)			0.42				0.14				1.54

Total from investment operations			1.85				0.19				0.96				0.98				2.59

Less distributions to shareholders:
From net investment income			(0.64	)			(0.42	)			(0.38	)			(0.56	)			(0.35	)
From net realized gains			—				—				—				(0.42	)			(0.56	)

Total distributions			(0.64	)			(0.42	)			(0.38	)			(0.98	)			(0.91	)

Net asset value, end of period		$	25.78			$	24.57	^(d)		$	24.80			$	24.22			$	24.22

Total Return^(e)			7.62	%			0.77	%			3.98	%			4.27	%			11.62	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,510,894			$	1,648,019			$	1,790,805			$	2,111,080			$	812,020
Net expenses to average daily net assets^(f)			0.33	%			0.31	%			0.31	%			0.31	%^(g)			0.31	%^(g)
Interest and/or dividend expenses to average daily net assets⁽ⁱ⁾			0.00	%^(h)			0.00	%^(h)			0.00	%^(h)			—				—
Total net expenses to average daily net assets^(f)			0.33	%			0.31	%			0.31	%			0.31	%^(g)			0.31	%^(g)
Net investment income (loss) to average daily net assets^(c)			3.82	%			2.13	%			2.18	%			3.51	%			4.36	%
Portfolio turnover rate			66	%^(j)			66	%			37	%			30	%			39	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets			0.04	%			0.03	%			0.03	%			0.02	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.03			$	0.04			$	0.03	^(a)		$	0.05	^(a)		$	0.11	^(a)

^(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, if any.

^(d)	Beginning December 21, 2015 the pricing source for certain fixed income assets of the Fund changed, which resulted in an increase in the December 21, 2015 net asset value of the Fund by $0.04 per share.

^(e)

^(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)	Ratio is less than 0.01%.

⁽ⁱ⁾	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.

^(j)

†	Calculated using average shares outstanding throughout the period.


66		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

U.S. TREASURY FUND


	Core Shares
	Year Ended February 28/29,
	2017				2016				2015				2014				2013
Net asset value, beginning of period		$	25.00			$	25.00			$	25.00			$	25.00			$	25.00

Income (loss) from investment operations:
Net investment income (loss)†			0.12				0.04				0.01				0.02				0.03
Net realized and unrealized gain (loss)			0.01				0.00				0.00	^(a)			0.01				(0.00	)^(a)

Total from investment operations			0.13				0.04				0.01				0.03				0.03

Less distributions to shareholders:
From net investment income			(0.12	)			(0.03	)			(0.01	)			(0.02	)			(0.03	)
From net realized gains			(0.01	)			(0.01	)			(0.00	)^(b)			(0.01	)			—

Total distributions			(0.13	)			(0.04	)			(0.01	)			(0.03	)			(0.03	)

Net asset value, end of period		$	25.00			$	25.00			$	25.00			$	25.00			$	25.00

Total Return^(c)			0.54	%			0.19	%			0.06	%			0.11	%			0.11	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,666,697			$	4,033,504			$	2,243,931			$	1,909,864			$	2,912,203
Net expenses to average daily net assets			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)(e)			0.00	%^(d)(e)
Net investment income (loss) to average daily net assets			0.47	%			0.16	%			0.05	%			0.08	%			0.10	%
Portfolio turnover rate^(f)			0	%			0	%			0	%			0	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.10	%			0.10	%			0.10	%			0.10	%			0.10	%

^(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)

^(d)	Ratio is less than 0.01%.

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

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

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		67

GMO Trust Funds

Notes to Financial Statements

February 28, 2017

1.	Organization

Each of Asset Allocation Bond Fund, Core Plus Bond Fund, Currency Hedged International Bond Fund, Emerging Country Debt Fund, Opportunistic Income Fund (formerly Debt Opportunities Fund) and U.S. Treasury 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 Emerging Country Debt Fund, Opportunistic Income Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements.

The following table provides information about the Funds’ principal 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
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
Emerging Country Debt Fund	J.P. Morgan EMBI Global	Total return in excess of benchmark
Opportunistic Income Fund (formerly Debt Opportunities Fund)	Not Applicable	Capital appreciation and current income
U.S. Treasury Fund	Not Applicable	Liquidity and safety of principal with current income as a secondary objective

Asset Allocation Bond Fund, Currency Hedged International Bond Fund and U.S. Treasury Fund currently limit subscriptions.

Emerging Country Debt Fund is 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 fixed income securities at the most recent price supplied by a specific relevant pricing source determined 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. See the table below for information about securities for which no alternative pricing source was available.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted 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 year ended February 28, 2017, the Funds did not reduce the value of any of their 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 which 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, if any, that were valued using fair value inputs obtained from that independent pricing service as of February 28, 2017. 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 quoted price 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 the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

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 a 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 February 28, 2017 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		—			—
Core Plus Bond Fund		<1	%		2%
Currency Hedged International Bond Fund		<1	%		1%
Emerging Country Debt Fund		2	%†		3%
Opportunistic Income Fund (formerly Debt Opportunities Fund)		1	%‡		7%
U.S. Treasury Fund		—			—

†

Includes the Republic of Albania Par Bond, due 08/31/25 which represents 0.9% of the Fund’s total net assets and is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 08/15/25.

††

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 Funds with investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes) or 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 February 28, 2017.

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 vendor prices or broker quotes; 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 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; 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; 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; and certain derivatives for which GMO acts as intermediary between the third-party pricing vendor and the pricing agent.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 28, 2017:



Description	Level 1		Level 2		Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	586,154,843	$	756,220,774	$	—	$	1,342,375,617

TOTAL DEBT OBLIGATIONS		586,154,843		756,220,774		—		1,342,375,617

Options Purchased		—		376,633		—		376,633
Short-Term Investments		3,929,477		138,689,018		—		142,618,495

Total Investments	$	590,084,320	$	895,286,425	$	—	$	1,485,370,745

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1		Level 2			Level 3		Total
Asset Allocation Bond Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	8,229,029		$	—	$	8,229,029
Swap Contracts
Interest Rate Risk		—		1,309,470			—		1,309,470

Total	$	590,084,320	$	904,824,924		$	—	$	1,494,909,244


Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(9,836,103	)	$	—	$	(9,836,103	)
Swap Contracts
Interest Rate Risk		—		(6,920,798	)		—		(6,920,798	)

Total	$	—	$	(16,756,901	)	$	—	$	(16,756,901	)


Core Plus Bond Fund
Asset Valuation Inputs
DEBT OBLIGATIONS
U.S. Government	$	260,825,748	$	—		$	—	$	260,825,748
U.S. Government Agency		—		86,077,712			—		86,077,712

TOTAL DEBT OBLIGATIONS		260,825,748		86,077,712			—		346,903,460

Mutual Funds		320,180,541		—			—		320,180,541
Short-Term Investments		3,598,275		—			—		3,598,275

Total Investments		584,604,564		86,077,712			—		670,682,276

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		186,366			—		186,366
Futures Contracts
Interest Rate Risk		284,014		—			—		284,014
Swap Contracts
Interest Rate Risk		—		728,383			—		728,383

Total	$	584,888,578	$	86,992,461		$	—	$	671,881,039

Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(181,411	)	$	—	$	(181,411	)
Swap Contracts
Interest Rate Risk		—		(1,014,151	)		—		(1,014,151	)

Total	$	—	$	(1,195,562	)	$	—	$	(1,195,562	)

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1			Level 2			Level 3		Total
Currency Hedged International Bond Fund
Asset Valuation Inputs
Debt Obligations
Foreign Government Obligations	$	—		$	31,644,478		$	—	$	31,644,478

TOTAL DEBT OBLIGATIONS		—			31,644,478			—		31,644,478

Mutual Funds		25,811,080			—			—		25,811,080
Short-Term Investments		970,042			—			—		970,042

Total Investments		26,781,122			31,644,478			—		58,425,600

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			258,156			—		258,156
Futures Contracts
Interest Rate Risk		227,845			—			—		227,845
Swap Contracts
Interest Rate Risk		—			65,010			—		65,010

Total	$	27,008,967		$	31,967,644		$	—	$	58,976,611


Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(50,874	)	$	—	$	(50,874	)
Futures Contracts
Interest Rate Risk		(1,092	)		—			—		(1,092	)
Swap Contracts
Interest Rate Risk		—			(279,044	)		—		(279,044	)

Total	$	(1,092	)	$	(329,918	)	$	—	$	(331,010	)


Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	26,030,372		$	22,085,437	$	48,115,809
Corporate Debt		—			—			20,060,000		20,060,000
Foreign Government Agency		—			974,835,776			101,585,077		1,076,420,853
Foreign Government Obligations		—			2,101,074,796			51,158,299		2,152,233,095
U.S. Government		274,694,982			75,501,748			—		350,196,730

TOTAL DEBT OBLIGATIONS		274,694,982			3,177,442,692			194,888,813		3,647,026,487

Loan Assignments		—			—			4,908,530		4,908,530
Loan Participations		—			—			64,195,406		64,195,406
Mutual Funds		101,920,876			—			—		101,920,876
Rights/Warrants		—			35,306,798			8,070,406		43,377,204
Short-Term Investments		214,094,596			—			—		214,094,596

Total Investments		590,710,454			3,212,749,490			272,063,155		4,075,523,099

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			201,461			—		201,461
Options
Credit Risk		—			—			293,033		293,033
Swap Contracts
Credit Risk		—			23,586,261			—		23,586,261
Interest Rate Risk		—			2,200,628			—		2,200,628

Total	$	590,710,454		$	3,238,737,840		$	272,356,188	$	4,101,804,482

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1			Level 2			Level 3			Total
Emerging Country Debt Fund (continued)
Liability Valuation Inputs
Derivatives^
Options
Credit Risk	$	—		$	—		$	(2,349,805	)	$	(2,349,805	)
Swap Contracts
Credit Risk		—			(53,664,784	)		—			(53,664,784	)
Interest Rate Risk		—			(8,455,957	)		—			(8,455,957	)

Total	$	—		$	(62,120,741	)	$	(2,349,805	)	$	(64,470,546	)


Opportunistic Income Fund (formerly Debt Opportunities Fund)
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	1,173,501,244		$	53,500,201		$	1,227,001,445
U.S. Government Agency		76,482,731			31,649,598			19,602,790			127,735,119

TOTAL DEBT OBLIGATIONS		76,482,731			1,205,150,842			73,102,991			1,354,736,564

Mutual Funds		72,837,633			—			—			72,837,633
Options Purchased		560,900			738,880			—			1,299,780
Short-Term Investments		89,587,307			—			—			89,587,307

Total Investments		239,468,571			1,205,889,722			73,102,991			1,518,461,284

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			77,578			—			77,578
Swap Contracts
Credit Risk		—			19,920,779			—			19,920,779
Interest Rate Risk		—			2,914,856			—			2,914,856

Total	$	239,468,571		$	1,228,802,935		$	73,102,991		$	1,541,374,497

Liability Valuation Inputs
Debt Obligations
U.S. Government Agency	$	—		$	(34,769,723	)	$	—		$	(34,769,723	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(2,289	)		—			(2,289	)
Written Options
Credit Risk		—			(499,796	)		—			(499,796	)
Interest Rate Risk		(237,000	)		—			—			(237,000	)
Swap Contracts
Credit Risk		—			(6,329,931	)		—			(6,329,931	)
Interest Rate Risk		—			(34,741	)		—			(34,741	)

Total	$	(237,000	)	$	(41,636,480	)	$	—		$	(41,873,480	)


U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	2,662,779,505		$	—		$	—		$	2,662,779,505

Total Investments		2,662,779,505			—			—			2,662,779,505

Total	$	2,622,779,505		$	—		$	—		$	2,662,779,505

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. Excludes purchased options, if any, which are included in investments.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 year ended February 28, 2017, 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 29, 2016			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 February 28, 2017			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2017
Asset Allocation Bond Fund
Options purchased
Quanto options	$	45,987,627		$	—	$	(40,853,375	)	$	—		$	(20,349,237	)	$	15,214,985		$	—		$	—		$	—		$	—
Derivatives
Swap Contracts		(11,702,625	)		—		(5,433,680	)		—			(5,433,680	)		22,569,985			—			—			—			—

Total	$	34,285,002		$	—	$	(46,287,055	)	$	—		$	(25,782,917	)	$	37,784,970		$	—		$	—		$	—		$	—


Core Plus Bond Fund
Derivatives
Swap Contracts	$	(45,734	)	$	—	$	53,455		$	—		$	(53,455	)	$	45,734		$	—		$	—		$	—		$	—

Total	$	(45,734	)	$	—	$	53,455		$	—		$	(53,455	)	$	45,734		$	—		$	—		$	—		$	—


Currency Hedged International Bond Fund
Derivatives
Swap Contracts	$	(13,707	)	$	—	$	15,124		$	—		$	(15,124	)	$	13,707		$	—		$	—		$	—		$	—

Total	$	(13,707	)	$	—	$	15,124		$	—		$	(15,124	)	$	13,707		$	—		$	—		$	—		$	—


Emerging Country Debt Fund
Debt Obligations
Asset-Backed Securities	$	22,096,944		$	—	$	(1,449,196	)	$	96,395		$	—		$	1,341,294		$	—		$	—		$	22,085,437		$	1,341,294
Corporate Debt		21,661,400			—		—			(667	)		—			(1,600,733	)		—			—			20,060,000			(1,600,733	)
Foreign Government Agency		71,588,911			—		—			683,299			—			2,535,467			26,777,400	‡		—			101,585,077			2,535,467
Foreign Government Obligations		14,341,239			—		—			171,929			—			326,375			36,318,756	‡		—			51,158,299			326,375
Judgments		45,684,000			—		(70,500,000	)		163,871			33,658,452			(9,006,323	)		—			—			—			—

Total Debt Obligations		175,372,494			—		(71,949,196	)		1,114,827			33,658,452			(6,403,920	)		63,096,156			—			194,888,813			2,602,403

Loan Assignments		6,481,913			—		(1,730,601	)		394,760			—			(237,542	)		—			—			4,908,530			(237,542	)
Loan Participations		69,224,829			—		(14,456,514	)		2,377,919			—			7,049,172			—			—			64,195,406			7,049,172
Rights/Warrants		4,766,873			169,500		—			—			—			3,134,033			—			—			8,070,406			3,134,033

Total Investments		255,846,109			169,500		(88,136,311	)		3,887,506			33,658,452			3,541,743			63,096,156			—			272,063,155			12,548,066

Derivatives
Options		(5,519,531	)		—		—			—			—			3,462,759			—			—			(2,056,772	)		3,462,759

Total	$	250,326,578		$	169,500	$	(88,136,311	)#	$	3,887,506		$	33,658,452		$	7,004,502		$	63,096,156		$	—		$	270,006,383		$	16,010,825


Opportunistic Income Fund (formerly Debt Opportunities Fund)
Debt Obligations
Asset-Backed Securities	$	26,579,832		$	55,601,982	$	(27,501,714	)	$	921,776		$	(7,033,820	)	$	8,872,061		$	—		$	(3,939,916	)‡	$	53,500,201		$	189,603
U.S. Government Agency		22,266,906			—		(2,841,092	)		(5,554	)		26,109			156,421			—			—			19,602,790			178,949

Total	$	48,846,738		$	55,601,982	$	(30,342,806	)##	$	916,222		$	(7,007,711	)	$	9,028,482		$	—		$	(3,939,916	)	$	73,102,991		$	368,552

†

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

‡

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

Includes $17,636,311 of proceeds received from principal payups and paydowns.

Includes $19,962,190 of 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 February 28, 2017 were as follows:



Fund Name	Level 3 securities and derivatives
Asset Allocation Bond Fund		—
Core Plus Bond Fund		1%
Currency Hedged International Bond Fund		1%
Emerging Country Debt Fund		7%
Opportunistic Income Fund (formerly Debt Opportunities Fund)		5%
U.S. Treasury Fund		—

Cash

Cash and foreign currency, if any, on the Statements of Assets and Liabilities consist 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 marked-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 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.

Indexed investments

Each Fund may invest in various transactions and instruments that are designed to track the performance of an index (including, but not limited to, securities indices and credit default indices). Indexed securities are securities the redemption values and/or coupons of which are indexed to a specific instrument, group of instruments, index, or other statistic. Indexed securities typically, but not always, are debt securities or deposits whose value at maturity or coupon rate is determined by reference to other securities, securities or inflation indices, currencies, precious metals or other commodities, or other financial indicators. For example, the maturity value of gold-indexed securities depends on the price of gold and, therefore, their price tends to rise and fall with gold prices.

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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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. As of February 28, 2017, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker listed below exceeds the value of the repurchase agreements at the year end.

Fund Name

Counterparty

Gross Value

Net Value (with

related collateral)

Weighted Average

Maturity (days)

Asset Allocation Bond Fund

Nomura Securities
International Inc.

$138,689,018

$141,263,220

1.0

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 February 28, 2017, the Funds listed below had entered into reverse repurchase agreements.



Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
Asset Allocation Bond Fund		34,939,753		34,936,599
Emerging Country Debt Fund		32,592,636		32,369,346

As of February 28, 2017, Asset Allocation Bond Fund and Emerging Country Debt Fund had investments in reverse repurchase agreements with Nomura Securities International Inc. and JP Morgan Securities, Inc. with a gross value of $34,939,753 and $32,592,636, respectively. The value of related collateral on reverse repurchase agreements was undercollateralized for Asset Allocation Bond Fund and exceeded the value on Emerging Country Debt Fund, respectively at year end. As of February 28, 2017, the reverse repurchase agreement held by Asset Allocation Bond Fund and Emerging Country Debt Fund had open maturity dates. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The following is a summary of the gross value of reverse repurchase agreements categorized by class of collateral pledged and maturity date:



			February 28, 2017

			Remaining Contractual Maturity of the Agreements

	Overnight and Continuous		Up to 30 days		Between 30-90 days		Greater Than 90 days		Demand		Total
Asset Allocation Bond Fund
Reverse Repurchase Agreements
Non-U.S.Government Debt Obligations	$	—	$	—	$	—	$	—	$	34,939,753	$	34,939,753

Total borrowings	$	—	$	—	$	—	$	—	$	34,939,753	$	34,939,753

Emerging Country Debt Fund
Reverse Repurchase Agreements
Non-U.S. Government Debt Obligations	$	—	$	—	$	—	$	—	$	32,592,636	$	32,592,636

Total borrowings	$	—	$	—	$	—	$	—	$	32,592,636	$	32,592,636

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

Inflation-indexed bonds

The 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/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes. 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/decrease 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 year, 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. Investments in when-issued securities also present the risk that the security will not be issued or delivered. Delayed delivery commitments outstanding at the end of the year, 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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

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.

With the exception of U.S. Treasury Fund, 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. 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 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 year ended February 28, 2017, 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 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

U.S. GAAP and tax accounting differences for each Fund primarily relate to reasons described in the following table:

Differences related to:

Asset Allocation Bond Fund

Core Plus Bond Fund

Currency Hedged International Bond Fund

Emerging Country Debt Fund

Opportunistic Income Fund (formerly Debt Opportunities Fund)

U.S. Treasury Fund

Interest, accretion and amortization

Capital loss carry forwards

Defaulted bonds

Derivative contract transactions

Foreign currency transactions

Late-year ordinary losses

Litigation proceeds received

Losses on wash sale transactions

Losses related to debt obligations

Net operating losses

Partnership interest tax allocations

Post-October capital losses

There are no significant differences

The tax character of distributions declared by each Fund to shareholders is as follows:



	Tax year ended February 28, 2017				Tax year ended February 29, 2016

Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Total Distributions ($)
Asset Allocation Bond Fund		—		—		312,691,364		312,691,364
Core Plus Bond Fund		4,001,013		4,001,013		11,950,830		11,950,830
Currency Hedged International Bond Fund		2,050,085		2,050,085		6,260,770		6,260,770
Emerging Country Debt Fund		277,442,124		277,442,124		276,453,759		276,453,759
Opportunistic Income Fund (formerly Debt Opportunities Fund)		37,550,318		37,550,318		28,535,302		28,535,302
U.S. Treasury Fund		16,947,193		16,947,193		7,450,591		7,450,591

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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, 2017, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:



Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)			Post-October Capital Losses ($)
Asset Allocation Bond Fund		—		(425,377)		(64,261,592	)		—
Core Plus Bond Fund		1,133,552		—		(29,765,984	)		(1,288,064)
Currency Hedged International Bond Fund		803,292		—		(5,430,508	)		—
Emerging Country Debt Fund		69,921,870		—		(215,210,195	)		—
Opportunistic Income Fund (formerly Debt Opportunities Fund)		4,715,281		—		(118,674,464	)		—
U.S. Treasury Fund		—		—		—			(48,449)

As of February 28, 2017, 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, 2017, 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	Expiration Date 2/28/2018		Expiration Date 2/28/2019		No Expiration Date		Total Short- Term ($)		No Expiration Date
GMO Asset Allocation Bond Fund		—		—		(23,385,098)		(23,385,098)		(40,876,494)
GMO Core Plus Bond Fund		—		—		(291,118)		(291,118)		(29,474,866)
GMO Currency Hedged International Bond Fund		(2,064,718)		—		—		(2,064,718)		(3,365,790)
GMO Emerging Country Debt Fund		—		(66,474,254)		(58,028,833)		(124,503,087)		(90,707,108)
GMO Opportunistic Income Fund (formerly Debt Opportunities Fund)		—		—		—		—		(118,674,464)
U.S. Treasury Fund		—		—		—		—		—

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

As of February 28, 2017, 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		1,472,516,091		16,206,487		(3,351,833)		12,854,654
Core Plus Bond Fund		667,899,154		2,783,122		—		2,783,122
Currency Hedged International Bond Fund		61,897,702		1,635,116		(5,107,218)		(3,472,102)
Emerging Country Debt Fund		4,013,464,208		196,619,770		(134,560,879)		62,058,891
Opportunistic Income Fund (formerly Debt Opportunities Fund)		1,504,768,382		38,560,146		(24,867,244)		13,692,902
U.S. Treasury Fund		2,662,846,947		215,274		(282,716)		(67,442)

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 tax legislation/initiatives 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. Generally, 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 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 February 28, 2017, the premium on cash purchases and the fee on cash redemptions were as follows:



	Asset Allocation Bond Fund	Core Plus Bond Fund	Currency Hedged International Bond Fund	Emerging Country Debt Fund⁽¹⁾	Opportunistic Income Fund (formerly Debt Opportunities Fund)	U.S. Treasury Fund
Purchase Premium	—	—	—	0.75%	0.40%	—
Redemption Fee	—	—	—	0.75%	0.40%	—

⁽¹⁾

Prior to February 1, 2016, the premiums on purchases and the fee on redemptions were each 0.50% of the amount invested or redeemed.

Recently-issued accounting guidance

In August 2016, Financial Accounting Standards Board (“FASB”) issued a new Accounting Standards Update No. 2016-15, “Statement of Cash Flows (Topic 230), Classification of Certain Cash Receipts and Cash Payments, a consensus of the FASB’s Emerging Issues Task Force” (“ASU 2016-15”). ASU 2016-15 is intended to reduce diversity in practice in how certain transactions are classified in the statement of cash flows. The issues addressed in ASU 2016-15 are: debt prepayment or debt extinguishment costs, settlement of zero-coupon debt instruments, contingent consideration payments made after a business combination, proceeds from the settlement of insurance claims, proceeds from the settlement of corporate-owned life insurance policies, including bank-owned life insurance policies, distributions received from equity method investments, beneficial interests in securitization transactions; and, separately identifiable cash flows and application of the predominance principle. ASU

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

2016-15 is effective for interim and annual reporting periods beginning after December 15, 2017. GMO is currently evaluating the impact, if any, of this guidance on the Funds’ financial statements and disclosures.

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

Core Plus Bond Fund

Currency Hedged International Bond Fund

Emerging Country Debt Fund

Opportunistic Income Fund (formerly Debt Opportunities Fund)

U.S. Treasury Fund

Commodities Risk

Counterparty Risk

Credit Risk

Currency Risk

Derivatives and Short Sales Risk

Focused Investment Risk

Fund of Funds Risk

Illiquidity Risk

Large Shareholder Risk

Leveraging Risk

Management and Operational Risk

Market Disruption and Geopolitical Risk

Market Risk – Asset-Backed Securities

Market Risk – Equities

Market Risk – Fixed Income Investments

Non-Diversified Funds

Non-U.S. Investment Risk

Small Company Risk

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.

• 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” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• 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 terms 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. GMO’s view with respect to a particular counterparty is subject to change. The fact, however, that it changes adversely (whether due to external events or otherwise) does not mean a Fund’s existing transactions with that counterparty will 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 or entering into a countervailing trade with the same counterparty).

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,” 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. Also, in the event of a counterparty’s (or its affiliate’s) insolvency, the Funds’ ability to exercise remedies, such as the termination of transactions, netting of obligations and realization on collateral, could be stayed or eliminated under new special resolution regimes adopted in the United States, the European Union and various other jurisdictions. Such regimes provide governmental authorities with broad authority to intervene when a financial institution is experiencing financial difficulty. In particular, with respect to counterparties who are subject to such proceedings in the European Union, the liabilities of such counterparties to the Funds could be reduced, eliminated, or converted to equity in such counterparties (sometimes referred to as a “bail in”).

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 in anticipation of such failure, or the downgrade of the credit rating of the investment. 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 or quasi-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, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and 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 increase the volatility of a Fund’s portfolio.

As described under “Market Risk — Asset-Backed Securities,” 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.”

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” 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 or other low quality 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 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.

• 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 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 currency in which the Fund is denominated. 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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.”

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.”

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 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”).

• 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 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 fundamental fair (or 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 not being able 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.

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Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). 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” 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.”

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. In addition, the SEC recently proposed a rule under the 1940 Act, regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.

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”). 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. Also, such documentation typically does not provide the Funds any remedies if the clearing member defaults or becomes insolvent. While futures contracts entail similar risks, the risks may be 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.

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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 adopted mandatory minimum margin requirements for bilateral derivatives. GMO expects that the Funds’ transactions will become subject to variation margin requirements under such rules in 2017 and initial margin requirements under such rules in 2020. Such requirements could increase the amount of margin a Fund needs to provide 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 to cover the costs of additional capital requirements and other regulatory changes applicable to the clearing members, which will take effect when rules imposing mandatory minimum margin requirements on bilateral swaps, as described above, 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. When 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 distributions to consist of amounts taxable to shareholders subject to U.S. income tax at ordinary income tax rates. See the Funds’ Prospectus and Statement of Additional Information for more information.

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.

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• 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 closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.

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), or to sectors within a region, country, or market (e.g., Russian oil) 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”.

• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) 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 to which the Underlying Funds are exposed.

In addition, to the extent a Fund invests in shares of underlying GMO Funds, it is indirectly subject to Large Shareholder Risk because those underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

Investments in ETFs involve the risk that an 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 in “Derivatives and Short Sales Risk”.

A Fund’s investments in 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.

• 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, defaulted or other low quality 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, Inflation-Protected Securities issued by the U.S. Treasury (“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.

A Fund may buy securities that are less liquid than those in its benchmark.

A 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 a 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 a 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 a 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.

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• 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, potentially at disadvantageous prices, 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 and/or purchases of shares by a large shareholder and/or a group of shareholders over time potentially limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. Large shareholders may limit or prevent a Fund’s use of tax equalization for U.S. federal tax purposes. 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.

• 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.

• 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 many Funds, GMO often uses quantitative models as part of its investment process. GMO’s models are not necessarily predictive of future market events and use simplifying assumptions that can limit their effectiveness. In addition, the data on which the models are based is subject to limitations (e.g. inaccuracies, staleness) that could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) 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. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. 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 or misappropriation 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.

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• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) 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 that began 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 trading practices, which could disrupt the orderly functioning of markets or reduce the value of investments traded in them, including investments of the Funds. Instances of fraud and other deceptive practices committed by senior management of certain companies in which a Fund invests may undermine GMO’s due diligence efforts with respect to such companies, and if such fraud is discovered, negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively impact a Fund’s investment program. Financial fraud also may impact the rates or indices underlying a Fund’s investments.

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 a 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.

• 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:

Asset-Backed Securities — Investments in asset-backed securities not only are subject to all of the market risks described under “Market Risk – Fixed Income Investments,” but to other market risks as well.

Asset-backed securities are often 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, sovereign or quasi-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,” 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

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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” 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” 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 Opportunistic Income 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 Opportunistic Income Fund.

Equities — Funds that invest in equities run the risk that the market price of an equity will decline. That decline may be attributable to factors affecting the issuer, 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 an equity for less than its fundamental fair (or intrinsic) value as determined by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment of the equity’s fundamental fair (or 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 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” 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

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Notes to Financial Statements — (Continued)

February 28, 2017

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 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”.

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.

• NON-DIVERSIFIED FUNDS. All of the Funds (except U.S. Treasury Fund) 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 (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.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only 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 may be unpredictable. Accordingly, a refund is not typically reflected in a Fund’s net asset value until it is received or until the Fund determines there is a high likelihood the refund will be received. In some cases, the amount of a refund could be material to a Fund’s net assets. Absent a determination that a refund is collectible and free from significant contingencies, such amount is not typically reflected in a Fund’s net assets.

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.

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Notes to Financial Statements — (Continued)

February 28, 2017

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”).

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.

• SMALL COMPANY RISK. Companies with smaller market capitalizations 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 smaller group of key employees as compared to larger companies. 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.

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

The Funds (other than Emerging Country Debt Fund and U.S. Treasury Fund) may take temporary defensive positions if deemed prudent by GMO. Many of the Funds have previously taken 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 that are used 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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 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 Opportunistic Income 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 Opportunistic Income Fund and U.S. Treasury Fund) leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than Opportunistic Income 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.

For Funds that held derivatives during the year ended February 28, 2017, 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

Core Plus
Bond Fund

Currency
Hedged
International
Bond Fund

Emerging
Country
Debt Fund

Opportunistic
Income Fund
(formerly Debt
Opportunities
Fund)

Forward currency contracts

Adjust currency exchange rate risk

Adjust exposure to foreign currencies

Futures contracts

Adjust exposure to certain markets

Adjust interest rate exposure

Maintain the diversity and liquidity of the portfolio

Options (Purchased)

Adjust currency exchange rate risk

Adjust exposure to foreign currencies

Adjust interest rate exposure

Adjust exposure to a reference entity’s credit

Adjust exposure to equity markets

Provide a measure of protection against default loss

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

Type of Derivative and Objective for Use

Asset
Allocation
Bond Fund

Core Plus
Bond Fund

Currency
Hedged
International
Bond Fund

Emerging
Country
Debt Fund

Opportunistic
Income Fund
(formerly Debt
Opportunities
Fund)

Options (Written)

Adjust exposure to a reference entity’s credit

Adjust currency exchange rate risk

Adjust exposure to foreign currencies

Adjust interest rate exposure

Provide a measure of protection against default loss

Options (Credit linked)

Adjust exposure to a reference entity’s credit

Swap contracts

Adjust exposure to a reference entity’s credit

Adjust exposure to certain markets

Adjust interest rate exposure

Provide a measure of protection against default loss

Provide exposure to the Fund’s benchmark

Adjust exposure to foreign currencies

Rights and/or warrants

Achieve exposure to a reference commodity/economic statistic

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 year, 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 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 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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 year, 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 year, 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.

For the year ended February 28, 2017, 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		74,764,000			—	$	4,092,476			2,793,243,600			—	$	103,898,119
Options written		—			—		—			407,298,000			—		15,212,569
Options bought back		(37,382,000	)		—		(2,395,187	)		(3,200,541,600	)		—		(119,110,688	)
Options expired		(37,382,000	)		—		(1,697,289	)		—			—		—
Options exercised		—			—		—			—			—		—

Outstanding, end of period		—			—	$	—			—			—	$	—


Core Plus Bond Fund
Outstanding, beginning of period		—			—	$	—			40,895,000			—	$	1,721,643
Options written		—			—		—			—			—		—
Options bought back		—			—		—			(40,895,000	)		—		(1,721,643	)
Options expired		—			—		—			—			—		—
Options exercised		—			—		—			—			—		—

Outstanding, end of period		—			—	$	—			—			—	$	—

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017


	Puts								Calls

	Principal Amount of Contracts			Number of Contracts		Premiums			Principal Amount of Contracts			Number of Contracts		Premiums
Currency Hedged International Bond Fund
Outstanding, beginning of period		—			—	$	—			12,158,000			—	$	510,173
Options written		—			—		—			—			—		—
Options bought back		—			—		—			(12,158,000	)		—		(510,173	)
Options expired		—			—		—			—			—		—
Options exercised		—			—		—			—			—		—

Outstanding, end of period		—			—	$	—			—			—	$	—


Opportunistic Income Fund (formerly Debt Opportunities Fund)
Outstanding, beginning of period		110,108,000			—	$	432,812			—			—	$	—
Options written		1,353,158,000			7,900		4,377,004			113,751,000			—		204,669
Options bought back		(822,804,500	)		—		(2,574,244	)		(113,751,000	)		—		(204,669	)
Options expired		(372,891,500	)		—		(895,070	)		—			—		—
Options exercised		—			—		—			—			—		—

Outstanding, end of period		267,570,000			7,900	$	1,340,502			—			—	$	—

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.

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.

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 year, 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 year, 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 February 28, 2017 and the Statements of Operations for the year ended February 28, 2017^:

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			Interest Rate Contracts			Other Contracts		Total
Asset Allocation Bond Fund
Asset Derivatives
Investments, at value (purchased options)	$	—	$	—	$	—		$	376,633		$	—		$	—	$	376,633
Unrealized Appreciation on Forward Currency Contracts		—		—		—			8,229,029			—			—		8,229,029
Unrealized Appreciation on Swap Contracts¤		—		—		—			—			1,309,470			—		1,309,470

Total	$		$		$			$	8,605,662		$	1,309,470		$		$	9,915,132

Derivatives not subject to Master Agreements	$		$		$			$			$			$		$

Total subject to Master Agreements	$	—	$	—	$	—		$	8,605,662		$	1,309,470		$	—	$	9,915,132

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—		$	(9,836,103	)	$	—		$	—	$	(9,836,103	)
Unrealized Depreciation on Swap Contracts¤		—		—		—			—			(6,920,798	)		—		(6,920,798	)

Total	$		$		$			$	(9,836,103	)	$	(6,920,798	)	$		$	(16,756,901	)

Derivatives not subject to Master Agreements	$		$		$			$			$			$		$

Total subject to Master Agreements	$	—	$	—	$	—		$	(9,836,103	)	$	(6,920,798	)	$	—	$	(16,756,901	)

Net Realized Gain (Loss) on
Investments (purchased options)	$	—	$	—	$	(20,349,237	)	$	(47,609,826	)	$	(102,039,268	)	$	—	$	(169,998,331	)
Forward Currency Contracts		—		—		—			16,405,248			—			—		16,405,248
Futures Contracts		—		—		6,339,183			—			—			—		6,339,183
Written Options		—		—		—			2,242,588			(34,066,064	)		—		(31,823,476	)
Swap Contracts		—		—		—			—			108,482,529			—		108,482,529

Total	$	—	$	—	$	(14,010,054	)	$	(28,961,990	)	$	(27,622,803	)	$	—	$	(70,594,847	)

Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—	$	—	$	15,214,985		$	41,749,594		$	80,393,894		$	—	$	137,358,473
Forward Currency Contracts		—		—		—			(7,803,500	)		—			—		(7,803,500	)
Futures Contracts		—		—		(12,973,233	)		—			—			—		(12,973,233	)
Written Options		—		—		—			(2,734,765	)		42,127,001			—		39,392,236
Swap Contracts		—		—		—			—			(120,857,680	)		—		(120,857,680	)

Total	$	—	$	—	$	2,241,752		$	31,211,329		$	1,663,215		$	—	$	35,116,296

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



	Credit Contracts		Commodity Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Core Plus Bond Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	—	$	186,366		$	—		$	—	$	186,366
Unrealized Appreciation on Futures Contracts¤		—		—		—		—			284,014			—		284,014
Unrealized Appreciation on Swap Contracts¤		—		—		—		—			728,383			—		728,383

Total	$		$		$		$	186,366		$	1,012,397		$		$	1,198,763

Derivatives not subject to Master Agreements	$		$		$		$			$			$		$

Total subject to Master Agreements	$	—	$	—	$	—	$	186,366		$	1,012,397		$	—	$	1,198,763

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—	$	(181,411	)	$	—		$	—	$	(181,411	)
Unrealized Depreciation on Swap Contracts¤		—		—		—		—			(1,014,151	)		—		(1,014,151	)

Total	$		$		$		$	(181,411	)	$	(1,014,151	)	$		$	(1,195,562	)

Derivatives not subject to Master Agreements	$		$		$		$			$			$		$

Total subject to Master Agreements	$	—	$	—	$	—	$	(181,411	)	$	(1,014,151	)	$	—	$	(1,195,562	)

Net Realized Gain (Loss) on
Investments (purchased options)	$	—	$	—	$	—	$	(1,001,647	)	$	(1,468,240	)	$	—	$	(2,469,887	)
Forward Currency Contracts		—		—		—		(380,844	)		—			—		(380,844	)
Futures Contracts		—		—		—		—			(361,770	)		—		(361,770	)
Written Options		—		—		—		61,707			(453,688	)		—		(391,981	)
Swap Contracts		—		—		—		—			(3,084,400	)		—		(3,084,400	)

Total	$	—	$	—	$	—	$	(1,320,784	)	$	(5,368,098	)	$	—	$	(6,688,882	)

Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—	$	—	$	—	$	646,837		$	1,950,839		$	—	$	2,597,676
Forward Currency Contracts		—		—		—		20,845			—			—		20,845
Futures Contracts		—		—		—		—			278,484			—		278,484
Written Options		—		—		—		(58,223	)		807,027			—		748,804
Swap Contracts		—		—		—		—			6,198,080			—		6,198,080

Total	$	—	$	—	$	—	$	609,459		$	9,234,430		$	—	$	9,843,889


Currency Hedged International Bond Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	—	$	258,156		$	—		$	—	$	258,156
Unrealized Appreciation on Futures Contracts¤		—		—		—		—			227,845			—		227,845
Unrealized Appreciation on Swap Contracts¤		—		—		—		—			65,010			—		65,010

Total	$		$		$		$	258,156		$	292,855		$		$	551,011

Derivatives not subject to Master Agreements	$		$		$		$			$			$		$

Total subject to Master Agreements	$	—	$	—	$	—	$	258,156		$	292,855		$	—	$	551,011

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	—	$	(50,874	)	$	—		$	—	$	(50,874	)
Unrealized Depreciation on Futures Contracts¤		—		—		—		—			(1,092	)		—		(1,092	)
Unrealized Depreciation on Swap Contracts¤		—		—		—		—			(279,044	)		—		(279,044	)

Total	$		$		$		$	(50,874	)	$	(280,136	)	$		$	(331,010	)

Derivatives not subject to Master Agreements	$		$		$		$			$			$		$

Total subject to Master Agreements	$	—	$	—	$	—	$	(50,874	)	$	(280,136	)	$	—	$	(331,010	)

100

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



	Credit Contracts			Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts			Other Contracts			Total
Currency Hedged International Bond Fund (continued)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—	$	(198,159	)	$	(702,441	)	$	—		$	(900,600	)
Forward Currency Contracts		—			—		1,793,655			—			—			1,793,655
Futures Contracts		—			—		—			273,643			—			273,643
Written Options		—			—		14,239			(134,791	)		—			(120,552	)
Swap Contracts		—			—		—			499,118			—			499,118

Total	$	—		$	—	$	1,609,735		$	(64,471	)	$	—		$	1,545,264

Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—	$	194,466		$	579,037		$	—		$	773,503
Forward Currency Contracts		—			—		275,240			—			—			275,240
Futures Contracts		—			—		—			(188,355	)		—			(188,355	)
Written Options		—			—		(17,313	)		239,512			—			222,199
Swap Contracts		—			—		—			(688,308	)		—			(688,308	)

Total	$	—		$	—	$	452,393		$	(58,114	)	$	—		$	394,279


Emerging Country Debt Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—		$	—	$	—		$	—		$	43,377,204		$	43,377,204
Unrealized Appreciation on Forward Currency Contracts		—			—		201,461			—			—			201,461
Options		293,033			—		—			—			—			293,033
Unrealized Appreciation on Swap Contracts¤		23,586,261			—		—			2,200,628			—			25,786,889

Total	$	23,879,294		$	—	$	201,461		$	2,200,628		$	43,377,204		$	69,658,587

Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	43,377,204		$	43,377,204

Total subject to Master Agreements	$	23,879,294		$	—	$	201,461		$	2,200,628		$	—		$	26,281,383

Liability Derivatives
Options	$	(2,349,805	)	$	—	$	—		$	—		$	—		$	(2,349,805	)
Unrealized Depreciation on Swap Contracts¤		(53,664,784	)		—		—			(8,455,957	)		—			(62,120,741	)

Total	$	(56,014,589	)	$	—	$	—		$	(8,455,957	)	$	—		$	(64,470,546	)

Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—

Total subject to Master Agreements	$	(56,014,589	)	$	—	$	—		$	(8,455,957	)	$	—		$	(64,470,546	)

Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—	$	3,986,993		$	—		$	—		$	3,986,993
Swap Contracts		3,941,709			—		—			6,496,541			—			10,438,250

Total	$	3,941,709		$	—	$	3,986,993		$	6,496,541		$	—		$	14,425,243

Change in Net Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—		$	—	$	—		$	—		$	(757,537	)	$	(757,537	)
Forward Currency Contracts		—			—		(1,834,075	)		—			—			(1,834,075	)
Options		5,043,111			—		—			—			—			5,043,111
Swap Contracts		31,820,023			—		—			16,772,034			—			48,592,057

Total	$	36,863,134		$	—	$	(1,834,075	)	$	16,772,034		$	(757,537	)	$	51,043,556


Opportunistic Income Fund (formerly Debt Opportunities Fund)
Asset Derivatives
Investments, at value (purchased options)	$	738,880		$	—	$	—		$	560,900		$	—		$	1,299,780
Unrealized Appreciation on Forward Currency Contracts		—			—		77,578			—			—			77,578
Unrealized Appreciation on Swap Contracts¤		19,920,779			—		—			2,914,856			—			22,835,635

Total	$	20,659,659		$	—	$	77,578		$	3,475,756		$	—		$	24,212,993

Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—		$	—

Total subject to Master Agreements	$	20,659,659		$	—	$	77,578		$	3,475,756		$	—		$	24,212,993

101

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



	Credit Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts		Total
Opportunistic Income Fund (formerly Debt Opportunities Fund) (continued)
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	(2,289	)	$	—		$	—	$	(2,289	)
Unrealized Depreciation on Swap Contracts¤		(6,329,931	)		—			—			(34,741	)		—		(6,364,672	)
Written Options, at value	$	(499,796	)	$	—		$	—		$	(237,000	)	$	—	$	(736,796	)

Total	$	(6,829,727	)	$	—		$	(2,289	)	$	(271,741	)	$		$	(7,103,757	)

Derivatives not subject to Master Agreements	$	—		$	—		$	—		$	—		$	—	$	—

Total subject to Master Agreements	$	(6,829,727	)	$	—		$	(2,289	)	$	(271,741	)	$	—	$	(7,103,757	)

Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	(112,791	)	$	—		$	(3,728,082	)	$	—	$	(3,840,873	)
Forward Currency Contracts		—			—			597,792			—			—		597,792
Written Options		—			—			—			2,367,050			—		2,367,050
Swap Contracts		(5,102,863	)		—			—			(2,366,845	)		—		(7,469,708	)

Total	$	(5,102,863	)	$	(112,791	)	$	597,792		$	(3,727,877	)	$	—	$	(8,345,739	)

Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	(792,492	)	$	2,751		$	—		$	(721,592	)	$	—	$	(1,511,333	)
Forward Currency Contracts		—			—			42,412			—			—		42,412
Written Options		55,476			—			—			226,398			—		281,874
Swap Contracts		(10,137,727	)		—			—			8,947,526			—		(1,190,201	)

Total	$	(10,874,743	)	$	2,751		$	42,412		$	8,452,332		$	—	$	(2,377,248	)

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 unrealized appreciation/depreciation of futures and cleared swap contracts, if any, as reported in the Schedule of Investments. Year end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

Certain 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. 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. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. 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 “Investments 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 February 28, 2017, if any.

102

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 February 28, 2017:

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.	$	9,106	$	—		$	9,106		$	—
Barclays Bank plc		188,340		(167,606	)		(20,734	)		—	*
Goldman Sachs International		6,109,744		—			6,109,744			—
JPMorgan Chase Bank, N.A.		1,793,528		—			1,793,528			—
Morgan Stanley & Co. International PLC		504,944		(503,445	)		(1,499	)		—	*

Total	$	8,605,662	$	(671,051	)	$	7,890,145		$	—



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.	$	181,147	$	—		$	(9,106	)	$	172,041
Barclays Bank plc		20,734		—			20,734			—
Goldman Sachs International		7,343,360		(1,233,616	)		(6,109,744	)		—	*
JPMorgan Chase Bank, N.A.		2,289,363		(495,835	)		(1,793,528	)		—	*
Morgan Stanley & Co. International PLC		1,499		—			1,499			—

Total	$	9,836,103	$	(1,729,451	)	$	(7,890,145	)	$	172,041

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	$	25,797	$	—	$	—		$	25,797
Goldman Sachs International		154,102		—		(143,963	)		10,139
Morgan Stanley & Co. International PLC		6,467		—		(2,314	)		4,153

Total	$	186,366	$	—	$	(146,277	)	$	40,089



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.	$	5,798	$	—	$	—		$	5,798
Goldman Sachs International		143,963		—		143,963			—
JPMorgan Chase Bank, N.A.		29,336		—		—			29,336
Morgan Stanley & Co. International PLC		2,314		—		2,314			—

Total	$	181,411	$	—	$	146,277		$	35,134

103

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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
Goldman Sachs International	$	93,306	$	—		$	(42,859	)	$	50,447
Morgan Stanley & Co. International PLC		164,850		(162,193	)		(2,657	)		—	*

Total	$	258,156	$	(162,193	)	$	(45,516	)	$	50,447



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.	$	5,358	$	—		$	—		$	5,358
Goldman Sachs International		42,859		—			42,859			—
Morgan Stanley & Co. International PLC		2,657		—			2,657			—

Total	$	50,874	$	—		$	45,516		$	5,358

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
Bank of America, N.A.	$	201,461	$	—		$	—		$	201,461
Deutsche Bank AG		21,170,685		—			21,170,685			—
Goldman Sachs International		2,469,151		—			2,469,151			—
JPMorgan Chase Bank, N.A.		2,863,948		—			2,863,948			—

Total	$	26,705,245	$	—		$	26,503,784		$	201,461



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Deutsche Bank AG	$	26,770,544	$	(5,599,859	)	$	(21,170,685	)	$	—	*
Goldman Sachs International		15,251,352		(12,482,596	)		(2,469,151	)		299,605
JPMorgan Chase Bank, N.A.		21,395,052		(18,531,104	)		(2,863,948	)		—	*

Total	$	63,416,948	$	(36,613,559	)	$	(26,503,784	)	$	299,605

104

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

Opportunistic Income Fund (formerly 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.	$	9,011,777	$	(8,200,000	)	$	(693,177	)	$	118,600
Citibank N.A.		2,644,378		(2,496,496	)		(147,882	)		—	*
Credit Suisse International		1,283,176		(1,182,466	)		—			100,710
Deutsche Bank AG		1,743,214		(1,560,000	)		—			183,214
Goldman Sachs International		3,039,091		(1,000,000	)		(1,492,604	)		546,487
JPMorgan Chase Bank, N.A.		2,883,416		(2,536,222	)		(347,194	)		—	*
Morgan Stanley & Co. International PLC		77,578		—			(2,289	)		75,289
Morgan Stanley & Co. LLC		560,900		—			(237,000	)		323,900
Morgan Stanley Capital Services LLC		54,607		—			54,607			—

Total	$	21,298,137	$	(16,975,184	)	$	(2,865,539	)	$	1,348,200



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.	$	693,177	$	—		$	693,177		$	—
Citibank N.A.		147,882		—			147,882			—
Goldman Sachs International		1,492,604		—			1,492,604			—
JPMorgan Chase Bank, N.A.		347,194		—			347,194			—
Morgan Stanley & Co. International PLC		2,289		—			2,289			—	*
Morgan Stanley & Co. LLC		237,000		—			237,000			—
Morgan Stanley Capital Services LLC		360,416		(269,947	)		(54,607	)		35,862

Total	$	3,280,562	$	(269,947	)	$	2,865,539		$	35,862

The actual collateral received and/or pledged is more than the amount shown.

The average derivative activity of notional amounts (forward currency contracts, futures contracts and 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 year ended February 28, 2017:



Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options (Principal)		Options (Contracts)		Rights and/or Warrants ($)
Asset Allocation Bond Fund		1,030,099,056		14,620,654		13,627,164,952		1,100,710,639		21,450		—
Core Plus Bond Fund		27,613,729		17,040,505		121,100,831		8,929,963		—		—
Currency Hedged International Bond Fund		44,232,413		19,466,678		101,094,631		8,292,690		—		—
Emerging Country Debt Fund		84,672,454		—		1,627,467,828		390,000,000		—		40,643,956
Opportunistic Income Fund (formerly Debt Opportunities Fund)		11,021,982		—		1,348,229,586		347,487,086		3,092		—

105

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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:

Asset Allocation Bond Fund

Core Plus Bond Fund

Currency Hedged International Bond Fund

Emerging Country Debt Fund

Opportunistic Income Fund (formerly Debt
Opportunities Fund)

U.S. Treasury Fund

Management Fee

0.25%

0.35%

0.40%^(a)

0.08%^(b)

(a)

Prior to January 1, 2017, the management fee was 0.25%

(b)

GMO has voluntarily waived the Fund’s entire 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 VI
Asset Allocation Bond Fund		0.15%					0.055%
Core Plus Bond Fund		0.15%			0.10%
Currency Hedged International Bond Fund		0.15%
Emerging Country Debt Fund		0.15%			0.10%
Opportunistic Income Fund (formerly Debt Opportunities Fund)		0.15%	*				0.055%

Class is offered but has no shareholders as of February 28, 2017.

For each Fund other than Emerging Country Debt Fund, GMO has contractually agreed to reimburse each 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 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.

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, 2017 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.

106

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 year ended February 28, 2017 is shown in the table below and is included in the Statements of Operations.



Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Asset Allocation Bond Fund		34,271		3,593
Core Plus Bond Fund		1,516		158
Currency Hedged International Bond Fund		1,087		32
Emerging Country Debt Fund		70,885		7,022
Opportunistic Income Fund (formerly Debt Opportunities Fund)		26,711		2,617
U.S. Treasury Fund		56,589		5,998

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2017 these indirect fees and expenses expressed as a 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
Asset Allocation Bond Fund		< 0.001%		0.000%		0.000%		< 0.001%
Core Plus Bond Fund		0.061%		0.014%		0.000%		0.075%
Currency Hedged International Bond Fund		0.035%		0.009%		0.000%		0.044%
Emerging Country Debt Fund		0.001%		< 0.001%		0.000%		0.001%
Opportunistic Income Fund (formerly Debt Opportunities Fund)		< 0.001%		0.000%		0.000%		< 0.001%
U.S. Treasury Fund		0.000%		0.000%		0.000%		0.000%

The Funds are permitted to purchase or sell securities from or to certain other GMO funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2017, the Funds did not engage in these transactions.

6.	Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, for the year ended February 28, 2017 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		1,823,088,803		306,288,930		1,790,271,726		1,175,424,871
Core Plus Bond Fund		431,006,296		451,573,629		143,255,383		329,352,674
Currency Hedged International Bond Fund		—		13,400,000		—		12,619,083
Emerging Country Debt Fund		297,199,357		591,278,111		122,432,084		937,107,710
Opportunistic Income Fund (formerly Debt Opportunities Fund)		139,552,211		992,378,687		31,805,219		1,346,235,631

107

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 February 28, 2017



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	‡		71.95%		—		99.99%
Core Plus Bond Fund		3	‡		62.62%		< 0.01%		97.61%
Currency Hedged International Bond Fund		1			94.07%		—		94.07%
Emerging Country Debt Fund		1	‡		15.20%		0.04%		33.04%
Opportunistic Income Fund (formerly Debt Opportunities Fund)		2	#		62.78%		0.44%		99.29%
U.S. Treasury Fund		2	#		42.66%		0.13%		97.67%

‡

One of the shareholders is another fund of the Trust.

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:



	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		2,214,990		$	48,861,899			3,486,285		$	80,557,647
Shares issued to shareholders in reinvestment of distributions		—			—			1,170,894			26,485,630
Shares repurchased		(5,396,762	)		(119,141,029	)		(4,741,953	)		(108,443,047	)

Net increase (decrease)		(3,181,772	)	$	(70,279,130	)		(84,774	)	$	(1,399,770	)

Class VI:
Shares sold		1,080,206		$	23,894,585			13,228,053		$	325,062,565
Shares issued to shareholders in reinvestment of distributions		—			—			12,325,878			279,304,399
Shares repurchased		(31,684,438	)		(702,776,501	)		(116,764,298	)		(2,651,040,441	)

Net increase (decrease)		(30,604,232	)	$	(678,881,916	)		(91,210,367	)	$	(2,046,673,477	)

108

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
Core Plus Bond Fund
Class III:#
Shares sold		767,574		$	16,125,848			304,701		$	6,869,966
Shares issued to shareholders in reinvestment of distributions		11,511			240,429			16,726			359,773
Shares repurchased		(2,168,606	)		(46,416,742	)		(60,416	)		(1,303,505	)

Net increase (decrease)		(1,389,521	)	$	(30,050,465	)		261,011		$	5,926,234

Class IV:#
Shares sold		23,983,698		$	504,551,462			1,683,291		$	36,361,097
Shares issued to shareholders in reinvestment of distributions		177,829			3,760,584			425,557			9,179,274
Shares repurchased		(7,405,907	)		(159,277,873	)		(218,356	)		(4,672,989	)

Net increase (decrease)		16,755,620		$	349,034,173			1,890,492		$	40,867,382


Currency Hedged International Bond Fund
Class III:#
Shares sold		—		$	—			17,696		$	489,111
Shares issued to shareholders in reinvestment of distributions		73,631			1,933,541			228,727			5,839,409
Shares repurchased		(144,981	)		(3,866,075	)		(360,750	)		(9,358,334	)

Net increase (decrease)		(71,350	)	$	(1,932,534	)		(114,327	)	$	(3,029,814	)


Emerging Country Debt Fund
Class III:#
Shares sold		8,275,889		$	239,701,434			8,465,858		$	237,263,300
Shares issued to shareholders in reinvestment of distributions		1,985,567			55,168,020			2,045,947			54,000,564
Shares repurchased		(5,267,885	)		(152,424,481	)		(4,898,972	)		(133,227,759	)
Purchase premiums		—			242,030			—			637,766
Redemption fees		—			1,131,479			—			671,195

Net increase (decrease)		4,993,571		$	143,818,482			5,612,833		$	159,345,066

Class IV:#
Shares sold		5,763,893		$	159,047,268			17,150,361	^(a)	$	456,814,315	^(a)
Shares issued to shareholders in reinvestment of distributions		6,895,496			191,536,760			7,111,245			187,694,457
Shares repurchased		(27,719,432	)		(789,476,258	)		(19,631,458	)^(b)		(531,254,001	)^(b)
Purchase premiums		—			861,411			—			2,387,167
Redemption fees		—			4,035,552			—			2,420,364

Net increase (decrease)		(15,060,043	)	$	(433,995,267	)		4,630,148		$	118,062,302


Opportunistic Income Fund (formerly Debt Opportunities Fund)
Class VI:
Shares sold		6,762,681		$	171,348,377			13,193,822	^(c)	$	327,076,787	^(c)
Shares issued to shareholders in reinvestment of distributions		1,438,264			36,271,611			1,110,191			27,443,611
Shares repurchased		(16,653,463	)		(421,440,542	)		(19,452,966	)^(d)		(482,695,222	)^(d)
Purchase premiums		—			330,391			—			934,339
Redemption fees		—			1,329,128			—			1,552,426

Net increase (decrease)		(8,452,518	)	$	(212,161,035	)		(5,148,953	)	$	(125,688,059	)

109

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
U.S. Treasury Fund
Core Class:
Shares sold		368,440,068		$	9,213,633,291			712,256,180		$	17,806,570,597
Shares issued to shareholders in reinvestment of distributions		549,319			13,735,786			237,043			5,925,398
Shares repurchased		(423,663,112	)		(10,594,194,801	)		(640,904,840	)		(16,022,605,367	)

Net increase (decrease)		(54,673,725	)	$	(1,366,825,724	)		71,588,383		$	1,789,890,628

^(a)

5,969,578 shares and $53,279,922 were purchased in-kind.

^(b)

2,832,882 shares and $26,147,504 were redeemed in-kind.

^(c)

907,139 shares and $22,542,400 were purchased in-kind.

^(d)

907,139 shares and $22,542,400 were redeemed in-kind.

Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

10.

Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the year ended February 28, 2017 is set forth below:



Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
Asset Allocation Bond Fund
GMO U.S. Treasury Fund	$	651,060,734	$	289,659,556	$	941,018,818	$	1,152,553	$	13,727	$	—


Core Plus Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	13,799,995	$	24,970,000	$	11,132,000	$	240,190	$	—	$	28,722,150
GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund), Class VI		27,023,784		106,811,000		20,626,000		310,357		—		113,920,146
GMO U.S. Treasury Fund		113,058,921		231,200,000		255,650,000		195,564		9,565		88,644,748
GMO World Opportunity Overlay Fund		26,355,861		—		26,691,126		—		—		—

Totals	$	180,238,561	$	362,981,000	$	314,099,126	$	746,111	$	9,565	$	231,287,044


Currency Hedged International Bond Fund
GMO Emerging Country Debt Fund, Class IV	$	3,300,280	$	—	$	—	$	252,285	$	—	$	3,677,564
GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund), Class VI		2,749,434		—		—		72,087		—		2,884,836
GMO U.S. Treasury Fund		11,851,979		13,400,000		6,000,000		83,640		10,811		19,248,680
GMO World Opportunity Overlay Fund		6,312,879		—		6,412,829		—		—		—

Totals	$	24,214,572	$	13,400,000	$	12,412,829	$	408,012	$	10,811	$	25,811,080


Emerging Country Debt Fund
GMO Opportunistic Income Fund (formerly Debt Opportunities Fund), Class VI	$	13,956,048	$	—	$	—	$	365,913	$	—	$	14,643,342
GMO U.S. Treasury Fund		84,774,937		101,500,000		99,000,000		452,870		46,787		87,277,534

Totals	$	98,730,985	$	101,500,000	$	99,000,000	$	818,783	$	46,787	$	101,920,876


Opportunistic Income Fund (formerly Debt Opportunities Fund)
GMO U.S. Treasury Fund	$	77,841,624	$	189,500,000	$	194,500,000	$	336,929	$	33,490	$	72,837,633

110

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and Shareholders of GMO Asset Allocation Bond Fund, GMO Core Plus Bond Fund, GMO Currency Hedged International Bond Fund, GMO Emerging Country Debt Fund, GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund) and GMO U.S. Treasury Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the GMO Asset Allocation Bond Fund, GMO Core Plus Bond Fund, GMO Currency Hedged International Bond Fund, GMO Emerging Country Debt Fund, GMO Opportunistic Income Fund (formerly GMO Debt Opportunities Fund), and GMO U.S. Treasury Fund (the “Funds”) as of February 28, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2017 by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

April 26, 2017

111

GMO Trust Funds

Board Review of Investment Management Agreement

February 28, 2017

GMO Opportunistic Income Fund (formerly known as GMO Debt Opportunities Fund)

Approval of new amended and restated management agreement for GMO Opportunistic Income Fund

At in-person meetings of the Board of Trustees (the “Board” or the “Trustees”) of GMO Trust (the “Trust”) held on September 30, 2016 and December 1, 2016, the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) considered the terms of a proposed new amended and restated management agreement between the Trust, on behalf of GMO Opportunistic Income Fund (the “Fund”), and Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) that will implement a new management fee for the Fund effective on or about January 1, 2017 (the “New Management Contract”), and at the December 1, 2016 meeting determined to recommend its approval to the full Board. Also at the December 1, 2016 meeting, the Board, including all of the Independent Trustees, approved the New Management Contract and recommended its approval to Fund shareholders. Holders of a majority of the Fund’s outstanding shares approved the New Management Contract at a special meeting of the Fund’s shareholders held on December 21, 2016.

In connection with its consideration of the New Management Contract, the Board met privately with its independent legal counsel. In addition to the information the Board took into account in June 2016 in connection with its renewal of the Fund’s then current management agreement for an additional twelve month period commencing June 30, 2016, as described in the Fund’s semi-annual report dated August 31, 2016, the Board also considered the following factors, among others:

•

The Fund is not currently offered to external investors and its principal shareholders are other funds and separate account clients managed by GMO. GMO advised the Board that it is seeking to offer the Fund directly to external investors as a standalone investment option.

•

The Fund’s management fee and current estimated total expenses under the New Management Contract compared favorably with a group of mutual funds identified by GMO as having strategies similar to those of the Fund to be effective as of the effective date of the New Management Contract.

•

GMO advised the Board that, in connection with the Fund’s external offering, GMO believes that the then pending changes to the Fund’s investment objective and name and elimination of the name-related investment policy, combined with the management fee under the New Management Contract, would better position the Fund to compete for external investor allocations to a securitized credit strategy without affecting the Fund’s role as an asset allocation vehicle for its current shareholders.

•

Non-portfolio management-related services provided by GMO under the Current Management Contract (which would continue under the New Management Contract), including valuation, legal and compliance, board governance, accounting and operational services.

•

GMO advised the Board that GMO believes that the proposed fee is fair and reasonable in relation to the management services provided to the Fund.

After reviewing these and other factors, the Trustees concluded, in the context of their overall review of the New Management Contract, that the fees charged to the Fund under the New Management Contract were within the range of fees that would be established through arm’slength 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 New Management Contract for an initial period ending on the first anniversary of the agreement’s execution.

112

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

February 28, 2017 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2017.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction 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, September 1, 2016 through February 28, 2017.

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 September 1, 2016		Ending Account Value February 28, 2017		Expenses Paid During the Period*		Beginning Account Value September 1, 2016		Ending Account Value February 28, 2017		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class III		$1,000.00		$994.20		$1.98		$1,000.00		$1,022.81		$2.01		0.40%
Class VI		$1,000.00		$994.60		$1.53		$1,000.00		$1,023.26		$1.56		0.31%
Core Plus Bond Fund
Class III		$1,000.00		$982.00		$2.11		$1,000.00		$1,022.66		$2.16		0.43%
Class IV		$1,000.00		$982.40		$1.82		$1,000.00		$1,022.96		$1.86		0.37%
Currency Hedged International Bond Fund
Class III		$1,000.00		$972.10		$2.15		$1,000.00		$1,022.61		$2.21		0.44%
Emerging Country Debt Fund
Class III		$1,000.00		$1,015.50		$2.70		$1,000.00		$1,022.12		$2.71		0.54%
Class IV		$1,000.00		$1,015.80		$2.45		$1,000.00		$1,022.36		$2.46		0.49%
Opportunistic Income Fund (formerly Debt Opportunities Fund)
Class VI		$1,000.00		$1,038.10		$1.82		$1,000.00		$1,023.01		$1.81		0.36%
U.S. Treasury Fund
Core		$1,000.00		$1,002.80		$0.00		$1,000.00		$1,024.79		$0.00		0.00%

Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2017, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

113

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2017 (Unaudited)

The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.

With respect to distributions paid, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year ended February 28, 2017:



Fund Name	U.S. Government Obligation Income^(a)(b)		Interest- Related Dividend Income^(c) ($)		Short-Term Capital Gain Dividends^(c) ($)
Asset Allocation Bond Fund		—		—		—
Core Plus Bond Fund		36.10%		609,328		—
Currency Hedged International Bond Fund		20.27%		—		—
Emerging Country Debt Fund		1.55%		—		—
Opportunistic Income Fund (formerly Debt Opportunities Fund)		1.19%		32,229,139		—
U.S. Treasury Fund		90.32%		15,360,860		1,586,333

^(a)

Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

^(b)

All or a portion of these amounts may be exempt from taxation at the state level.

^(c)

These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds’ shareholders. If applicable, interest related dividend amounts could include short-term capital gain dividends received from underlying funds.

In early 2018, the Funds will notify applicable shareholders of amounts for use in preparing 2017 U.S. federal income tax forms.

114

Trustees and Officers (Unaudited)

The following tables present information regarding each Trustee and officer of the Trust as of February 28, 2017. Each Trustee’s and officer’s year of birth (“YOB”) is set forth after his or her name. Unless otherwise noted, (i) each Trustee and officer has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity, and (ii) the address of each Trustee and officer is c/o GMO Trust, 40 Rowes Wharf, Boston, MA 02110. Each Trustee serves in office until the earlier of (a) the election and qualification of a successor at the next meeting of shareholders called to elect Trustees or (b) the Trustee dies, resigns, or is removed as provided in the Trust’s governing documents. Each of the Trustees of the Trust, other than Mr. Kittredge, is not an “interested person” of the Trust, as such term is used in the 1940 Act (each, an “Independent Trustee”). Because the Funds do not hold annual meetings of shareholders, each Trustee will hold office for an indeterminate period. Each officer serves in office until his or her successor is elected and determined to be qualified to carry out the duties and responsibilities of the office, or until the officer resigns or is removed from office.

Management of the Trust

Independent Trustees

Name and
Year of Birth

Position(s)
Held with the Trust

Length of

Time Served

Principal Occupation(s)

During Past
5 Years

Number of
Portfolios in
Fund Complex¹
Overseen

Other

Directorships Held
in the Past
Five Years

Donald W. Glazer

YOB: 1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Law and Business²; Author of Legal Treatises.

Director, BeiGene Ltd. (biotech research).

Peter Tufano

YOB: 1957

Trustee

Since December 2008.

Peter Moores Dean and Professor of Finance, University of Oxford Saïd Business School (as of July 1, 2011); Sylvan C. Coleman Professor of Financial Management, Harvard Business School (1989 – 2011).

Trustee of State Street Navigator Securities Lending Trust (5 Portfolios).

Paul Braverman

YOB: 1949

Trustee

Since March 2010.

Director of Claren Road Asset Management, LLC (hedge fund) (January 2011 – present); Director of Leerink Swann Holdings, LLC (investment bank) (October 2013 – present); Director of Aesir Capital Management (investment advisor) (November 2012 – present); Director of Kieger (US) Ltd. (investment advisor) (January 2015 – present).

Trustee of HIMCO Variable Insurance Trust (27 Portfolios).

Interested Trustee and Officer

Name and

Year of Birth

Position(s)

Held with the Trust

Length of

Time Served

Principal Occupation(s)

During Past
5 Years

Number of
Portfolios in
Fund Complex¹
Overseen

Other

Directorships Held
in the Past
Five Years

Joseph B. Kittredge, Jr.³

YOB: 1954

Trustee;

President of the Trust

Trustee since March 2010; President since March 2009; Chief Executive Officer, March 2009 – June 2015.

General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – present); Partner, Ropes & Gray, LLP (1988 – 2005).

None.

¹	The Fund Complex includes series of each of GMO Trust and GMO Series Trust. Mr. Kittredge also serves as a Trustee of GMO Series Trust.

As part of Mr. Glazer’s work as a consultant, he provides part-time consulting services to Goodwin Procter LLP (“Goodwin”). Goodwin has provided legal services to Renewable Resources, LLC, an affiliate of GMO; GMO, in connection with its relationship with Renewable Resources; and funds managed by Renewable Resources. Mr. Glazer has represented that he has no financial interest in, and is not involved in the provision of, such legal services. These entities did not pay any legal fees or disbursements to Goodwin during the calendar years ended December 31, 2015 and December 31, 2016. In correspondence with the staff of the SEC (the “Staff”) beginning in August 2006, the Independent Trustees’ legal counsel provided the Staff with information regarding Mr. Glazer’s relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees’ legal counsel that Mr. Glazer is not an “interested person” of the Trust.

³	Mr. Kittredge is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of his positions with the Trust and GMO indicated in the table above and his interest as a member of GMO.

115


Officers
Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Joseph B. Kittredge, Jr. YOB: 1954	Trustee and President	Trustee since March 2010; President since March 2009; Chief Executive Officer, March 2009 – June 2015.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – present); Partner, Ropes & Gray LLP (1988 – 2005).
Sheppard N. Burnett YOB: 1968	Chief Executive Officer	Chief Executive Officer since June 2015; Chief Financial Officer, March 2007 – June 2015; Treasurer, November 2006 – June 2015; Assistant Treasurer, September 2004 – November 2006.	Head of Fund Treasury and Tax, Grantham, Mayo, Van Otterloo & Co. LLC (December 2006 – present).

Carly Cushman YOB: 1984	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer and Chief Financial Officer since June 2015; Chief Accounting Officer since May 2014; Assistant Treasurer, September 2013 – June 2015.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (December 2009 – present); Senior Accountant, Renaissance HealthCare (February 2009 – December 2009); Auditor/Senior Auditor, Deloitte & Touche (September 2006 – February 2009).

John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).

Betty Maganzini YOB: 1972	Assistant Treasurer	Since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present); Assistant Treasurer (June 2009 – July 2010), Manager, Fund Administration and Regulatory Affairs (2006 – 2009), Hambrecht & Quist Capital Management LLC.

Mahmoodur Rahman YOB: 1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2007 – present).

Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present)

Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).

Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).

Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).

Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present); Associate, Dechert LLP (October 2010 – February 2015).

Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present); Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (March 2000 – May 2015).

Claire Wilkinson YOB: 1965	Anti-Money Laundering Officer	Since February 2016.	Compliance Associate, GMO UK Limited (April 2013 – present); General Counsel, MVision Private Equity Advisers Limited (November 2009 – January 2013).

Each officer of the Trust may also serve as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser. With the exception of Mr. Kittredge, each officer listed in the table above also serves as an officer of GMO Series Trust.

116

GMO Trust

Annual Report

February 28, 2017

Foreign Fund

Foreign Small Companies Fund

International Small Companies Fund

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, small 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
Management Discussion and Analysis of Fund Performance			2
Performance Graph			3
Investment Concentration Summary			4
Schedule of Investments			5
Foreign Small Companies Fund
Management Discussion and Analysis of Fund Performance			8
Performance Graph			9
Investment Concentration Summary			10
Schedule of Investments			11
International Small Companies Fund
Management Discussion and Analysis of Fund Performance			14
Performance Graph			15
Investment Concentration Summary			16
Schedule of Investments			17
Portfolio, Counterparty and Currency Abbreviations			20
Fund Financial Statements:
Statements of Assets and Liabilities			21
Statements of Operations			23
Statements of Changes in Net Assets			24
Financial Highlights			26
Notes to Financial Statements			29
Report of Independent Registered Public Accounting Firm			57
Fund Expenses			58
Tax Information			59
Trustees and Officers			60

GMO Foreign Fund

(A Series of GMO Trust)

Portfolio Managers

Day-to-day management of the Fund’s portfolio is the responsibility of the International Active team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Foreign Fund returned +15.81% (net) for the fiscal year ended February 28, 2017, as compared with +15.75% for the MSCI EAFE Index.

Stock selection added to relative performance. Holdings in Japan, France, and emerging markets contributed positively to relative returns. Positions in Melrose Industries in the United Kingdom, Takeuchi Manufacturing and NGK Spark in Japan, and Samsung Electronics in South Korea were the largest positive contributors to performance. On the negative side, Essentra and Imperial Brands in the United Kingdom detracted from returns.

Country allocation detracted from relative performance. An underweight position in the recovering Australian market hurt relative returns.

Because some of the securities and instruments held directly or indirectly by the Fund had positive fair value adjustments at the beginning or end of the fiscal year (and the performance of indices are not fair valued), the Fund’s absolute and relative performance is higher than it otherwise would have been in the absence of such fair value adjustments.

GMO Foreign Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $35,000,000 Investment in

GMO Foreign Fund Class III Shares and the MSCI EAFE Index

As of February 28, 2017

LOGO

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Foreign Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		97.3	%
Mutual Funds		0.0	^
Short-Term Investments		2.5
Forward Currency Contracts		0.0	^
Other		0.2

		100.0	%


Country Summary^¤	% of Investments
Japan		29.9	%
United Kingdom		23.0
France		13.0
Hong Kong		5.9
Germany		5.9
Switzerland		3.5
South Korea		2.8
Taiwan		2.6
Australia		2.6
Netherlands		2.1
Sweden		2.1
Russia		2.0
Israel		1.4
Italy		1.3
Other Developed		1.0	‡
Other Emerging		0.9	†

		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 represent between (1.0)% and 1.0% of Investments.

†	“Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^	Rounds to 0.0%.


Industry Group Summary	% of Equity Investments^#
Banks		15.8	%
Insurance		12.0
Automobiles & Components		9.0
Pharmaceuticals, Biotechnology & Life Sciences		8.3
Materials		7.8
Telecommunication Services		6.7
Capital Goods		6.7
Technology Hardware & Equipment		5.3
Food, Beverage & Tobacco		4.7
Diversified Financials		4.1
Real Estate		3.7
Media		2.8
Semiconductors & Semiconductor Equipment		2.7
Energy		2.4
Commercial & Professional Services		1.9
Utilities		1.9
Software & Services		1.9
Retailing		1.2
Transportation		1.1

		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, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

GMO Foreign Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 97.3%

		Australia — 2.6%
	362,232	Incitec Pivot Ltd		1,018,441
	724,466	Telstra Corp Ltd		2,675,784

		Total Australia		3,694,225


		France — 12.6%
	11,557	Arkema SA		1,120,335
	111,262	AXA SA		2,627,788
	62,492	BNP Paribas SA		3,656,435
	16,277	Capgemini SA		1,394,159
	16,974	Cie Generale des Etablissements Michelin		1,911,175
	13,113	Nexity SA ^*		632,774
	62,421	SCOR SE		2,256,597
	36,235	Societe Generale SA		1,610,558
	65,620	Technicolor SA (Registered)		273,956
	24,422	Teleperformance		2,703,516

		Total France		18,187,293


		Germany — 5.7%
	17,926	Allianz SE (Registered)		3,122,123
	129,752	Deutsche Telekom AG (Registered)		2,240,471
	15,010	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		2,835,346

		Total Germany		8,197,940


		Hong Kong — 5.7%
	607,500	BOC Hong Kong Holdings Ltd		2,399,878
	438,000	Cheung Kong Property Holding Ltd		2,978,100
	146,488	Power Assets Holdings Ltd		1,314,159
	904,000	Sino Land Co Ltd		1,573,438

		Total Hong Kong		8,265,575


		India — 0.6%
	104,300	ICICI Bank Ltd Sponsored ADR		855,260


		Israel — 1.4%
	321,102	Bank Hapoalim BM		1,979,302


		Italy — 1.2%
	109,960	Tenaris SA		1,800,555


		Japan — 29.1%
	432,915	Aozora Bank Ltd		1,623,723
	190,000	Asahi Kasei Corp		1,851,506
	99,400	Astellas Pharma Inc		1,338,951
	57,463	Bridgestone Corp		2,293,084
	77,783	Brother Industries Ltd		1,464,894
	107,000	Fuji Heavy Industries Ltd		4,003,656
	139,778	Isuzu Motors Ltd		1,868,066
	46,300	Japan Airlines Co Ltd		1,513,049


Shares		Description	Value ($)
		Japan — continued
	97,380	K’s Holdings Corp		1,732,813
	242,600	Mitsubishi Chemical Holdings Corp		1,865,404
	110,700	Mitsubishi Electric Corp		1,622,961
	266,044	Mitsubishi UFJ Financial Group Inc		1,760,087
	29,600	Mixi Inc		1,284,739
	110,700	NGK Spark Plug Co Ltd		2,507,813
	102,200	Nippon Steel & Sumitomo Metal Corp		2,512,243
	73,249	Nippon Telegraph & Telephone Corp		3,098,383
	149,300	NSK Ltd		2,128,607
	59,400	NTT DOCOMO Inc		1,411,222
	88,500	Seiko Epson Corp		1,979,467
	167,100	T&D Holdings Inc		2,562,605
	33,138	Tokio Marine Holdings Inc		1,452,206

		Total Japan		41,875,479


		Netherlands — 2.1%
	214,801	ING Groep NV		2,959,226


		Russia — 1.9%
	1,323,170	Moscow Exchange MICEX-RTS PJSC		2,796,903


		South Africa — 0.3%
	18,909	Anglo American Platinum Ltd ^*		436,648


		South Korea — 2.7%
	1,378	Samsung Electronics Co Ltd		2,341,819
	37,873	SK Hynix Inc		1,560,554

		Total South Korea		3,902,373


		Spain — 1.0%
	206,744	Iberdrola SA		1,372,734


		Sweden — 2.0%
	35,941	Investor AB – B Shares		1,423,280
	59,003	Swedbank AB – A Shares		1,453,806

		Total Sweden		2,877,086


		Switzerland — 3.4%
	15,316	Baloise Holding AG (Registered)		1,993,348
	11,778	Roche Holding AG		2,866,818

		Total Switzerland		4,860,166


		Taiwan — 2.6%
	535,000	Hon Hai Precision Industry Co Ltd		1,556,831
	91,000	MediaTek Inc		663,152
	243,379	Taiwan Semiconductor Manufacturing Co Ltd		1,491,070

		Total Taiwan		3,711,053


		United Kingdom — 22.4%
	23,432	AstraZeneca Plc		1,350,387
	64,660	BHP Billiton Plc		1,042,186


		See accompanying notes to the financial statements.		5

GMO Foreign Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares / Par Value†		Description	Value ($)
		United Kingdom — continued
	47,771	British American Tobacco Plc		3,017,433
	59,776	Euromoney Institutional Investor Plc		805,110
	164,670	GlaxoSmithKline Plc		3,369,629
	471,551	HSBC Holdings Plc		3,787,537
	108,564	IMI Plc		1,672,445
	76,557	Imperial Brands Plc		3,603,940
	167,864	John Wood Group Plc		1,575,486
	40,787	Lonmin Plc ^*		61,196
	1,143,232	Melrose Industries Plc		3,023,133
	23,415	Rio Tinto Plc		959,692
	55,886	Schroders Plc (Non Voting)		1,550,647
	43,649	Shire Plc		2,631,974
	276,485	Tyman Plc		948,325
	121,751	WPP Plc		2,864,364

		Total United Kingdom		32,263,484


		TOTAL COMMON STOCKS (COST $131,439,796)		140,035,302


		MUTUAL FUNDS — 0.0%

		United States — 0.0%
		Affiliated Issuers — 0.0%
	769	GMO U.S. Treasury Fund		19,226


		TOTAL MUTUAL FUNDS (COST $19,232)		19,226


		SHORT-TERM INVESTMENTS — 2.5%

		Time Deposits — 2.5%
	720,591	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.36%, due 03/01/17		720,591
	621,727	BNP Paribas (Paris) Time Deposit, 0.36%, due 03/01/17		621,727
HKD	767,440	BNP Paribas (Paris) Time Deposit, 0.01%, due 03/01/17		98,869
	720,591	Citibank (New York) Time Deposit, 0.36%, due 03/01/17		720,591


Par Value†		Description	Value ($)
		Time Deposits — continued
	640,815	DnB Nor Bank (Oslo) Time Deposit, 0.36%, due 03/01/17		640,815
	720,591	Standard Chartered Bank (London) Time Deposit, 0.36%, due 03/01/17		720,591

		Total Time Deposits		3,523,184


		TOTAL SHORT-TERM INVESTMENTS (COST $3,523,184)		3,523,184


		TOTAL INVESTMENTS — 99.8% (Cost $134,982,212)		143,577,712
		Other Assets and Liabilities (net) — 0.2%		343,591


		TOTAL NET ASSETS — 100.0%		$143,921,303

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Forward Currency Contracts


Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/13/2017	CITI		JPY	619,170,478		USD	5,453,517	$	(59,826	)
03/13/2017	GS		USD	2,191,520		JPY	254,584,924		75,407

								$	15,581

Notes to Schedule of Investments:

*	Non-income producing security.

†	Denominated in U.S. Dollar, unless otherwise indicated.


6		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Portfolio Managers

Day-to-day management of the Fund’s portfolio is the responsibility of the International Active team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Foreign Small Companies Fund returned +14.25% (net) for the fiscal year ended February 28, 2017, as compared with +18.33% for the S&P Developed ex-U.S. Small Cap Index.

Stock selection detracted from relative performance. Holdings in the United Kingdom, Germany, and Canada detracted from relative returns. The largest negative impacts came from Howden Joinery Group, Essentra, and Travis Perkins in the United Kingdom, and Technicolor in France. Holdings that contributed positively to relative performance were Downer in Australia, Melrose in the United Kingdom, and Calsonic Kansei in Japan.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Foreign Small Companies Fund Class III Shares and the S&P Developed ex-U.S. Small Cap Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .50% on the purchase and .50% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

For the period from March 16, 2009 to August 12, 2009, no Class IV shares were outstanding. Performance for that period is that of Class III shares, which have higher expenses. Therefore, the performance shown is lower than it would have been if Class IV expenses had been applied throughout.

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		96.7	%
Short-Term Investments		2.3
Mutual Funds		0.9
Forward Currency Contracts		0.0	^
Other		0.1

		100.0	%


Country Summary^¤	% of Investments
Japan		26.7	%
United Kingdom		14.8
France		13.0
Switzerland		9.2
Canada		6.7
Australia		4.7
Other Developed		4.6	‡
Germany		3.8
Other Emerging		3.5	†
Italy		3.2
Netherlands		2.1
Finland		1.6
Israel		1.6
Brazil		1.6
Taiwan		1.5
Russia		1.4

		100.0	%


Industry Group Summary	% of Equity Investments^#
Capital Goods		14.7	%
Real Estate		8.4
Commercial & Professional Services		8.1
Materials		7.8
Diversified Financials		7.6
Banks		6.9
Software & Services		6.6
Automobiles & Components		5.8
Insurance		5.3
Retailing		4.0
Consumer Durables & Apparel		3.6
Health Care Equipment & Services		3.4
Utilities		3.1
Media		2.6
Energy		2.0
Consumer Services		2.0
Telecommunication Services		1.6
Semiconductors & Semiconductor Equipment		1.6
Transportation		1.4
Technology Hardware & Equipment		1.3
Food, Beverage & Tobacco		1.2
Pharmaceuticals, Biotechnology & Life Sciences		1.0

		100.0	%

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

‡	“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

†	“Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^	Rounds to 0.0%.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 96.7%

		Argentina — 0.5%
	281,729	Grupo Supervielle SA Sponsored ADR ^*		4,321,723


		Australia — 4.6%
	185,012	Ansell Ltd		3,017,947
	2,433,495	Downer EDI Ltd		13,085,035
	2,062,201	Incitec Pivot Ltd		5,798,026
	8,826,145	Spotless Group Holdings Ltd		5,547,273
	1,067,806	Tox Free Solutions Ltd		1,817,879
	3,796,172	Vicinity Centres (REIT)		8,407,153

		Total Australia		37,673,313


		Brazil — 1.6%
	812,700	FPC Par Corretora de Seguros SA		4,099,425
	1,219,000	Transmissora Alianca de Energia Eletrica SA		8,616,732

		Total Brazil		12,716,157


		Canada — 6.6%
	626,500	ATS Automation Tooling Systems Inc ^*		6,367,829
	804,900	Computer Modelling Group Ltd		6,260,064
	1,239,450	DHX Media Ltd (Variable Voting)		5,365,786
	282,900	Dorel Industries Inc – Class B		7,452,696
	358,500	Medical Facilities Corp		4,904,340
	1,004,700	Precision Drilling Corp ^*		5,136,209
	73,500	Stella-Jones Inc		2,271,627
	886,600	Superior Plus Corp		8,223,846
	226,000	Uni-Select Inc		5,730,824
	1,060,600	Western Energy Services Corp ^*		2,124,075

		Total Canada		53,837,296


		China — 0.4%
	4,707,100	Yuexiu Transport Infrastructure Ltd		3,265,004


		Finland — 1.6%
	230,628	Tieto Oyj		6,418,892
	330,830	Tikkurila Oyj		6,625,413

		Total Finland		13,044,305


		France — 12.7%
	94,198	Alten SA		6,514,974
	65,511	Arkema SA		6,350,635
	53,123	BioMerieux		8,169,271
	98,134	Cie Generale des Etablissements Michelin		11,049,326
	441,418	Elior Group		9,910,302
	99,936	Euler Hermes Group		8,813,097
	149,295	Nexity SA ^*		7,204,302
	208,265	SCOR SE		7,529,037
	62,628	Sopra Steria Group		7,912,625
	1,476,120	Technicolor SA (Registered)		6,162,631


Shares		Description	Value ($)
		France — continued
	141,856	Teleperformance		15,703,460
	131,365	Vicat SA		8,308,842

		Total France		103,628,502


		Germany — 3.7%
	99,998	Gerresheimer AG		7,836,199
	441,641	Grand City Properties SA		8,406,278
	89,405	LEG Immobilien AG ^*		7,362,759
	471,876	TAG Immobilien AG		6,442,972

		Total Germany		30,048,208


		Hong Kong — 0.7%
	4,394,910	HKT Trust & HKT Ltd – Class SS		5,862,615


		Ireland — 0.5%
	55,421	Kerry Group Plc – Class A		4,255,244


		Israel — 1.6%
	5,765,806	Israel Discount Bank Ltd – Class A ^*		12,761,786


		Italy — 3.1%
	1,024,733	Amplifon SPA		10,967,085
	952,512	Cerved Information Solutions SPA		8,502,283
	755,216	Enav SPA ^*		2,693,669
	308,234	ERG SPA		3,587,204

		Total Italy		25,750,241


		Japan — 26.0%
	218,400	Asahi Holdings Inc		3,779,895
	324,100	Chugoku Marine Paints Ltd		2,441,545
	427,000	COMSYS Holdings Corp		7,572,849
	290,600	Fuji Seal International Inc		5,831,869
	299,600	Fujitsu General Ltd		5,864,852
	962,300	Gunma Bank Ltd (The)		5,583,557
	209,800	HIS Co Ltd		5,567,987
	318,500	Hokuhoku Financial Group Inc		5,585,780
	1,169,000	Keiyo Bank Ltd (The)		5,390,768
	1,252	Kenedix Office Investment Corp (REIT)		7,444,398
	538,900	Kitz Corp		3,675,096
	444,050	Komori Corp		5,913,396
	1,346,700	Mitsubishi UFJ Lease & Finance Co Ltd		7,445,595
	169,800	Mixi Inc		7,369,885
	123,000	Musashino Bank Ltd (The)		3,963,382
	758,000	NHK Spring Co Ltd		8,668,228
	352,200	Nippon Seiki Co Ltd		7,342,289
	99,100	Nippon Shokubai Co Ltd		6,560,170
	1,564,000	Nippon Soda Co Ltd		9,131,951
	424,300	Nitto Kogyo Corp		5,952,246
	3,909	Nomura Real Estate Master Fund Inc (REIT)		5,858,662
	1,361,800	North Pacific Bank Ltd		5,649,436


		See accompanying notes to the financial statements.		11

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Japan — continued
	279,500	OSG Corp		5,866,344
	620,100	San-In Godo Bank Ltd (The)		5,555,193
	1,886,600	Sanden Holdings Corp		6,535,762
	843,200	Sanwa Holdings Corp		7,962,655
	392,500	Sumitomo Rubber Industries Ltd		6,473,942
	272,400	Suruga Bank Ltd		6,042,475
	474,000	Tadano Ltd		6,090,999
	999,700	Takara Leben Co Ltd		5,297,217
	218,700	Tokyo Century Corp		7,384,330
	228,500	TS Tech Co Ltd		5,976,055
	977,300	Tsubakimoto Chain Co		8,370,648
	270,700	United Arrows Ltd		8,531,845

		Total Japan		212,681,301


		Mexico — 0.6%
	2,764,929	Grupo Herdez SAB de CV		5,148,246


		Netherlands — 2.1%
	306,909	Aalberts Industries NV		10,585,649
	132,527	Flow Traders		4,587,740
	438,404	PostNL NV ^*		1,914,564

		Total Netherlands		17,087,953


		New Zealand — 0.5%
	2,009,100	Infratil Ltd		4,172,760


		Russia — 1.3%
	5,198,830	Moscow Exchange MICEX-RTS PJSC		10,989,232


		Singapore — 1.0%
	9,245,024	Keppel DC (REIT)		7,782,003


		South Africa — 0.5%
	915,864	Northam Platinum Ltd ^*		3,795,988


		South Korea — 0.5%
	546,998	Macquarie Korea Infrastructure Fund		3,986,558


		Sweden — 0.9%
	242,416	Loomis AB – Class B		7,516,571


		Switzerland — 8.9%
	248,849	Ascom Holding AG (Registered)		4,324,177
	87,239	Baloise Holding AG (Registered)		11,353,988
	112,615	Cembra Money Bank AG ^*		9,134,175
	10,746	dormakaba Holding AG ^*		8,878,444
	99,786	Dufry AG (Registered) ^*		14,390,760
	17,420	Flughafen Zuerich AG (Registered)		3,517,125
	8,522	Forbo Holdings AG (Registered) ^*		11,621,705
	17,503	Helvetia Holding AG (Registered)		9,822,581

		Total Switzerland		73,042,955


Shares / Par Value†		Description	Value ($)
		Taiwan — 1.5%
	7,978,000	Chipbond Technology Corp		12,357,522


		Thailand — 0.9%
	21,576,300	Jasmine Broadband Internet Infrastructure Fund		7,101,263


		United Kingdom — 14.4%
	1,901,141	Auto Trader Group Plc		9,320,766
	398,396	Bovis Homes Group Plc		3,859,456
	645,955	Euromoney Institutional Investor Plc		8,700,230
	614,793	IMI Plc		9,470,980
	945,225	John Wood Group Plc		8,871,401
	1,585,148	Jupiter Fund Management Plc		8,247,532
	529,915	Lonmin Plc ^*		795,073
	7,584,664	Melrose Industries Plc		20,056,689
	313,725	Micro Focus International Plc		8,502,274
	199,598	Savills Plc		2,119,509
	2,205,677	Spirent Communications Plc		2,888,055
	1,580,094	SThree Plc		6,112,913
	2,838,091	Topps Tiles Plc		2,962,242
	2,731,156	Tyman Plc		9,367,684
	2,382,381	Wilmington Plc		7,945,758
	327,234	WS Atkins Plc		5,900,949
	605,158	Xaar Plc		2,758,351

		Total United Kingdom		117,879,862


		TOTAL COMMON STOCKS (COST $723,458,770)		790,706,608


		MUTUAL FUNDS — 0.9%

		United States — 0.9%
		Affiliated Issuers — 0.9%
	281,215	GMO U.S. Treasury Fund		7,030,375


		TOTAL MUTUAL FUNDS (COST $7,033,163)		7,030,375


		SHORT-TERM INVESTMENTS — 2.3%

		Time Deposits — 2.3%
	4,092,266	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.36%, due 03/01/17		4,092,266
	4,092,266	BNP Paribas (Paris) Time Deposit, 0.36%, due 03/01/17		4,092,266
SGD	255,539	HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 03/01/17		182,345
	2,688,270	National Australia Bank (Melbourne) Time Deposit, 0.36%, due 03/01/17		2,688,270
	4,092,266	Standard Chartered Bank (London) Time Deposit, 0.36%, due 03/01/17		4,092,266


12		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)

February 28, 2017


Par Value†		Description	Value ($)
		Time Deposits — continued
	4,092,266	Sumitomo (Tokyo) Time Deposit, 0.36%, due 03/01/17		4,092,266

		Total Time Deposits		19,239,679


		TOTAL SHORT-TERM INVESTMENTS (COST $19,239,679)		19,239,679


		TOTAL INVESTMENTS — 99.9% (Cost $749,731,612)		816,976,662
		Other Assets and Liabilities (net) — 0.1%		1,003,941


		TOTAL NET ASSETS — 100.0%		$817,980,603

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Forward Currency Contracts


Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/13/2017	CITI		JPY	1,592,131,875		USD	14,023,146	$	(153,836	)
03/13/2017	GS		JPY	558,048,207		USD	4,803,443		(165,642	)
03/13/2017	MSCI		USD	2,235,488		JPY	253,012,258		17,435

								$	(302,043	)

Notes to Schedule of Investments:

*	Non-income producing security.

†	Denominated in U.S. Dollar, unless otherwise indicated.


		See accompanying notes to the financial statements.		13

GMO International Small Companies Fund

(A Series of GMO Trust)

Portfolio Managers

Day-to-day management of the Fund’s portfolio was the responsibility of the Global Equity team and Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC until May 1, 2016, at which point the International Active team began managing the Fund.

Management Discussion and Analysis of Fund Performance

GMO International Small Companies Fund returned +14.35% (net) for the fiscal year ended February 28, 2017, as compared with +16.87% for the S&P Developed ex-U.S. Small Cap + Index.

Stock selection detracted from relative performance. Holdings in the United Kingdom, Germany, and Canada detracted from relative returns. The largest negative impacts came from Howden Joinery Group, Essentra, and Travis Perkins in the United Kingdom, and Technicolor in France. Alternatively, holdings that contributed positively to relative performance were Downer in Australia, Melrose in the United Kingdom, and Calsonic Kansei in Japan.

GMO International Small Companies Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO International Small Companies Fund Class III Shares and the

S&P Developed ex-U.S. Small Cap + Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .50% on the purchase and .50% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

The S&P Developed ex-U.S. Small Cap + Index represents the S&P Developed ex-U.S. Small Cap Index prior to May 30, 2008, the MSCI EAFE Small Cap Index from May 31, 2008 to April 30, 2016, and the S&P Developed ex-U.S. Small Cap Index thereafter.

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO International Small Companies Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		97.0	%
Short-Term Investments		1.8
Mutual Funds		1.2
Forward Currency Contracts		0.0	^
Other		0.0	^

		100.0	%


Country Summary^¤	% of Investments
Japan		26.5	%
United Kingdom		14.8
France		13.0
Switzerland		9.1
Canada		6.7
Australia		4.7
Germany		3.8
Other Developed		3.7	‡
Other Emerging		3.5	†
Italy		3.2
Netherlands		2.1
Finland		1.6
Brazil		1.6
Israel		1.6
Taiwan		1.5
Russia		1.4
United States		1.2

		100.0	%

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

‡	“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

†	“Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^	Rounds to 0.0%.


Industry Group Summary	% of Equity Investments^#
Capital Goods		14.7	%
Real Estate		8.4
Commercial & Professional Services		8.1
Materials		7.8
Diversified Financials		7.6
Banks		6.9
Software & Services		6.6
Automobiles & Components		5.8
Insurance		5.3
Retailing		4.0
Consumer Durables & Apparel		3.6
Health Care Equipment & Services		3.4
Utilities		3.1
Media		2.6
Energy		2.0
Consumer Services		2.0
Telecommunication Services		1.6
Semiconductors & Semiconductor Equipment		1.6
Transportation		1.4
Technology Hardware & Equipment		1.3
Food, Beverage & Tobacco		1.2
Pharmaceuticals, Biotechnology & Life Sciences		1.0

		100.0	%

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 97.0%

		Argentina — 0.5%
	43,969	Grupo Supervielle SA Sponsored ADR ^*		674,484


		Australia — 4.6%
	28,889	Ansell Ltd		471,242
	379,840	Downer EDI Ltd		2,042,420
	322,267	Incitec Pivot Ltd		906,077
	1,377,665	Spotless Group Holdings Ltd		865,869
	168,060	Tox Free Solutions Ltd		286,113
	592,545	Vicinity Centres (REIT)		1,312,274

		Total Australia		5,883,995


		Austria — 0.0%
	1,761,602	Immofinanz AG (Entitlement Shares) ^{* (a)}		—


		Brazil — 1.6%
	127,700	FPC Par Corretora de Seguros SA		644,145
	190,400	Transmissora Alianca de Energia Eletrica SA		1,345,878

		Total Brazil		1,990,023


		Canada — 6.6%
	97,700	ATS Automation Tooling Systems Inc ^*		993,036
	125,577	Computer Modelling Group Ltd		976,668
	193,400	DHX Media Ltd (Variable Voting)		837,261
	44,100	Dorel Industries Inc – Class B		1,161,767
	55,900	Medical Facilities Corp		764,721
	156,700	Precision Drilling Corp ^*		801,079
	11,500	Stella-Jones Inc		355,425
	138,300	Superior Plus Corp		1,282,831
	35,100	Uni-Select Inc		890,053
	165,500	Western Energy Services Corp ^*		331,448

		Total Canada		8,394,289


		China — 0.4%
	586,000	China Shanshui Cement Group Ltd ^{* (a)}		—
	736,000	Yuexiu Transport Infrastructure Ltd		510,515

		Total China		510,515


		Finland — 1.6%
	35,972	Tieto Oyj		1,001,181
	51,596	Tikkurila Oyj		1,033,295

		Total Finland		2,034,476


		France — 12.7%
	14,688	Alten SA		1,015,860
	10,218	Arkema SA		990,533
	8,510	BioMerieux		1,308,670
	15,305	Cie Generale des Etablissements Michelin		1,723,255
	68,853	Elior Group		1,545,823
	15,588	Euler Hermes Group		1,374,665


Shares		Description	Value ($)
		France — continued
	23,292	Nexity SA ^*		1,123,967
	32,489	SCOR SE		1,174,517
	9,770	Sopra Steria Group		1,234,374
	230,236	Technicolor SA (Registered)		961,209
	22,075	Teleperformance		2,443,702
	20,477	Vicat SA		1,295,171

		Total France		16,191,746


		Germany — 3.7%
	15,598	Gerresheimer AG		1,222,315
	68,900	Grand City Properties SA		1,311,455
	13,946	LEG Immobilien AG ^*		1,148,493
	73,620	TAG Immobilien AG		1,005,204

		Total Germany		4,687,467


		Hong Kong — 0.7%
	687,000	HKT Trust & HKT Ltd – Class SS		916,428


		Indonesia — 0.0%
	22,410,700	Bakrie & Brothers Tbk PT ^*		58,816


		Ireland — 0.5%
	8,647	Kerry Group Plc – Class A		663,920


		Israel — 1.6%
	896,369	Israel Discount Bank Ltd – Class A ^*		1,983,984


		Italy — 3.2%
	159,836	Amplifon SPA		1,710,626
	148,574	Cerved Information Solutions SPA		1,326,196
	117,795	Enav SPA ^*		420,146
	48,082	ERG SPA		559,575

		Total Italy		4,016,543


		Japan — 26.0%
	34,000	Asahi Holdings Inc		588,445
	50,500	Chugoku Marine Paints Ltd		380,432
	66,100	COMSYS Holdings Corp		1,172,284
	44,900	Fuji Seal International Inc		901,070
	46,000	Fujitsu General Ltd		900,478
	150,200	Gunma Bank Ltd (The)		871,506
	32,800	HIS Co Ltd		870,496
	47,600	Hokuhoku Financial Group Inc		834,798
	182,000	Keiyo Bank Ltd (The)		839,281
	201	Kenedix Office Investment Corp (REIT)		1,195,147
	77,800	Kitz Corp		530,567
	69,400	Komori Corp		924,197
	210,700	Mitsubishi UFJ Lease & Finance Co Ltd		1,164,912
	26,500	Mixi Inc		1,150,188
	18,900	Musashino Bank Ltd (The)		609,008
	118,600	NHK Spring Co Ltd		1,356,269


		See accompanying notes to the financial statements.		17

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Japan — continued
	55,000	Nippon Seiki Co Ltd		1,146,581
	15,500	Nippon Shokubai Co Ltd		1,026,061
	244,000	Nippon Soda Co Ltd		1,424,678
	66,300	Nitto Kogyo Corp		930,082
	607	Nomura Real Estate Master Fund Inc (REIT)		909,749
	203,500	North Pacific Bank Ltd		844,221
	43,700	OSG Corp		917,206
	97,100	San-In Godo Bank Ltd (The)		869,875
	295,000	Sanden Holdings Corp		1,021,971
	131,900	Sanwa Holdings Corp		1,245,581
	60,600	Sumitomo Rubber Industries Ltd		999,544
	42,600	Suruga Bank Ltd		944,969
	74,200	Tadano Ltd		953,485
	156,400	Takara Leben Co Ltd		828,733
	34,200	Tokyo Century Corp		1,154,751
	35,700	TS Tech Co Ltd		933,677
	152,000	Tsubakimoto Chain Co		1,301,891
	42,200	United Arrows Ltd		1,330,047

		Total Japan		33,072,180


		Mexico — 0.6%
	438,306	Grupo Herdez SAB de CV		816,118


		Netherlands — 2.1%
	47,870	Aalberts Industries NV		1,651,092
	20,672	Flow Traders		715,611
	68,301	PostNL NV ^*		298,279

		Total Netherlands		2,664,982


		New Zealand — 0.5%
	312,650	Infratil Ltd		649,352


		Russia — 1.3%
	813,880	Moscow Exchange MICEX-RTS PJSC		1,720,371


		Singapore — 1.0%
	1,446,634	Keppel DC (REIT)		1,217,705


		South Africa — 0.5%
	143,203	Northam Platinum Ltd ^*		593,534


		South Korea — 0.5%
	85,612	Macquarie Korea Infrastructure Fund		623,946


		Sweden — 0.9%
	37,877	Loomis AB – Class B		1,174,449


		Switzerland — 9.0%
	38,916	Ascom Holding AG (Registered)		676,232
	13,637	Baloise Holding AG (Registered)		1,774,830
	17,605	Cembra Money Bank AG		1,427,937


Shares		Description	Value ($)
		Switzerland — continued
	1,674	dormakaba Holding AG ^*		1,383,074
	15,600	Dufry AG (Registered) ^*		2,249,773
	2,720	Flughafen Zuerich AG (Registered)		549,172
	1,331	Forbo Holdings AG (Registered) ^*		1,815,125
	2,736	Helvetia Holding AG (Registered)		1,535,427

		Total Switzerland		11,411,570


		Taiwan — 1.5%
	1,249,000	Chipbond Technology Corp		1,934,638
	430,000	ProMOS Technologies Inc ^{* (a) (b)}		—

		Total Taiwan		1,934,638


		Thailand — 0.9%
	3,374,200	Jasmine Broadband Internet Infrastructure Fund		1,110,528


		United Kingdom — 14.5%
	298,465	Auto Trader Group Plc		1,463,291
	62,327	Bovis Homes Group Plc		603,792
	102,392	Euromoney Institutional Investor Plc		1,379,096
	96,140	IMI Plc		1,481,051
	148,271	John Wood Group Plc		1,391,596
	248,689	Jupiter Fund Management Plc		1,293,930
	83,184	Lonmin Plc ^*		124,807
	1,190,721	Melrose Industries Plc		3,148,712
	49,245	Micro Focus International Plc		1,334,591
	30,889	Savills Plc		328,007
	346,262	Spirent Communications Plc		453,386
	248,064	SThree Plc		959,686
	445,556	Topps Tiles Plc		465,047
	428,768	Tyman Plc		1,470,646
	374,010	Wilmington Plc		1,247,405
	51,338	WS Atkins Plc		925,768
	95,007	Xaar Plc		433,048

		Total United Kingdom		18,503,859


		TOTAL COMMON STOCKS (COST $117,803,167)		123,499,918


		MUTUAL FUNDS — 1.2%

		United States — 1.2%
		Affiliated Issuers — 1.2%
	62,003	GMO U.S. Treasury Fund		1,550,077


		TOTAL MUTUAL FUNDS (COST $1,550,697)		1,550,077


18		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)

February 28, 2017


Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.8%

		Time Deposits — 1.8%
	366,795	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.36%, due 03/01/17		366,795
	637,313	BNP Paribas (Paris) Time Deposit, 0.36%, due 03/01/17		637,313
CAD	11,508	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 03/01/17		8,664
SGD	38,235	HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 03/01/17		27,286
	637,313	Standard Chartered Bank (London) Time Deposit, 0.36%, due 03/01/17		637,313
	637,313	Sumitomo (Tokyo) Time Deposit, 0.36%, due 03/01/17		637,313

		Total Time Deposits		2,314,684


		TOTAL SHORT-TERM INVESTMENTS (COST $2,314,684)		2,314,684


		TOTAL INVESTMENTS — 100.0% (Cost $121,668,548)		127,364,679
		Other Assets and Liabilities (net) — 0.0%		35,976


		TOTAL NET ASSETS — 100.0%		$127,400,655

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Forward Currency Contracts


Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/13/2017	CITI		JPY	212,573,620		USD	1,872,301	$	(20,539	)
03/13/2017	GS		JPY	66,213,044		USD	569,934		(19,654	)

								$	(40,193	)

Notes to Schedule of Investments:

*	Non-income producing security.

†	Denominated in U.S. Dollar, unless otherwise indicated.

(a)	Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

(b)	Bankrupt issuer.


		See accompanying notes to the financial statements.		19

GMO Trust Funds

Schedule of Investments — (Continued)

February 28, 2017

Portfolio Abbreviations:

ADR - American Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

Counterparty Abbreviations:

CITI - Citibank N.A.

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

CAD - Canadian Dollar

HKD - Hong Kong Dollar

JPY - Japanese Yen

SGD - Singapore Dollar

USD - United States Dollar


20		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017


	Foreign Fund			Foreign Small Companies Fund		International Small Companies Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	19,226		$	7,030,375	$	1,550,077
Investments in unaffiliated issuers, at value (Note 2)^(b)		143,558,486			809,946,287		125,814,602
Foreign currency, at value (Note 2)^(c)		—			203,601		26,546
Receivable for investments sold		—			2,513,936		351,488
Dividends receivable		394,129			936,707		136,005
Dividend withholding tax receivable		150,703			537,432		115,241
Foreign capital gains tax refund receivable		10,698			3,263		10,550
Unrealized appreciation on open forward currency contracts (Note 4)		75,407			17,435		—
Receivable for foreign currency sold		—			301		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		35,924			43,000		20,888
Miscellaneous receivable		9			3,397		749

Total assets		144,244,582			821,235,734		128,026,146

Liabilities:
Foreign currency due to custodian^(c)		11			—		—
Payable for investments purchased		9			2,037,760		329,478
Accrued foreign capital gains tax payable (Note 2)		—			199,807		27,490
Payable to affiliate for (Note 5):
Management fee		67,868			447,918		58,666
Shareholder service fee		20,423			72,100		14,666
Payable for foreign currency purchased		—			—		55
Unrealized depreciation on open forward currency contracts (Note 4)		59,826			319,478		40,193
Payable to agents unaffiliated with GMO		—			140		28
Payable to Trustees and related expenses		302			1,977		253
Accrued expenses		174,840			175,951		154,662

Total liabilities		323,279			3,255,131		625,491

Net assets	$	143,921,303		$	817,980,603	$	127,400,655

^(a) Cost of investments – affiliated issuers:	$	19,232		$	7,033,163	$	1,550,697
^(b) Cost of investments – unaffiliated issuers:	$	134,962,980		$	742,698,449	$	120,117,851
^(c) Cost of foreign currency:	$	(4	)	$	204,033	$	26,610


		See accompanying notes to the financial statements.		21

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017 — (Continued)


	Foreign Fund			Foreign Small Companies Fund			International Small Companies Fund
Net assets consist of:
Paid-in capital	$	167,385,333		$	767,887,004		$	141,620,005
Accumulated undistributed net investment income		480,737			—			—
Distributions in excess of net investment income		—			(7,947,837	)		(796,362	)
Accumulated net realized gain (loss)		(32,496,952	)		(8,632,830	)		(19,012,891	)
Net unrealized appreciation (depreciation)		8,552,185			66,674,266			5,589,903

	$	143,921,303		$	817,980,603		$	127,400,655

Net assets attributable to:
Class II	$	64,148,787		$	—		$	—

Class III	$	76,325,345		$	246,851,750		$	127,400,655

Class IV	$	3,447,171		$	571,128,853		$	—

Shares outstanding:
Class II		5,453,762			—			—

Class III		6,443,189			17,132,260			5,917,258

Class IV		282,772			39,725,471			—

Net asset value per share:
Class II	$	11.76		$	—		$	—

Class III	$	11.85		$	14.41		$	21.53

Class IV	$	12.19		$	14.38		$	—


22		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2017


	Foreign Fund			Foreign Small Companies Fund			International Small Companies Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)^(a)	$	4,675,323		$	24,545,183		$	5,566,267
Dividends from affiliated issuers (Note 10)		11,980			114,815			13,964
Interest		4,255			22,041			4,858

Total investment income		4,691,558			24,682,039			5,585,089

Expenses:
Management fee (Note 5)		901,284			6,532,926			1,151,646
Shareholder service fee – Class II (Note 5)		150,098			—			—
Shareholder service fee – Class III (Note 5)		117,742			477,579			287,912
Shareholder service fee – Class IV (Note 5)		3,144			614,889			—
Audit and tax fees		118,092			118,314			132,541
Custodian and fund accounting agent fees		151,133			475,577			237,824
Legal fees		7,691			28,629			15,722
Registration fees		24,012			3,588			3,868
Transfer agent fees		58,399			44,667			29,752
Trustees’ fees and related expenses (Note 5)		2,476			16,162			3,187
Miscellaneous		10,500			21,708			32,078

Total expenses		1,544,571			8,334,039			1,894,530
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(344,906	)		(648,400	)		(403,143	)

Net expenses		1,199,665			7,685,639			1,491,387

Net investment income (loss)		3,491,893			16,996,400			4,093,702

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)		(5,793,764	)		18,300,494			(11,284,015	)
Investments in affiliated issuers		2,591			14,871			60
Realized gain distributions from affiliated issuers (Note 10)		665			12,350			945
Foreign currency, forward contracts and foreign currency related transactions (Note 2)		176,084			374,340			(184,868	)

Net realized gain (loss)		(5,614,424	)		18,702,055			(11,467,878	)

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(c)		23,990,935			88,374,307			36,079,988
Investments in affiliated issuers		(395	)		(7,301	)		(1,151	)
Foreign currency, forward contracts and foreign currency related transactions		16,286			(314,775	)		(55,508	)

Net change in unrealized appreciation (depreciation)		24,006,826			88,052,231			36,023,329

Net realized and unrealized gain (loss)		18,392,402			106,754,286			24,555,451

Net increase (decrease) in net assets resulting from operations	$	21,884,295		$	123,750,686		$	28,649,153

(a) Withholding tax:	$	458,269		$	2,099,076		$	465,482
(b) Foreign capital gains tax on net realized gain (loss):	$	—		$	374,760		$	10,367
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	199,808		$	27,492


		See accompanying notes to the financial statements.		23

GMO Trust Funds

Statements of Changes in Net Assets


	Foreign Fund						Foreign Small Companies Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,491,893		$	6,165,918		$	16,996,400		$	18,765,230
Net realized gain (loss)		(5,614,424	)		(763,887	)		18,702,055			19,398,085
Change in net unrealized appreciation (depreciation)		24,006,826			(23,646,550	)		88,052,231			(151,990,302	)


Net increase (decrease) in net assets from operations		21,884,295			(18,244,519	)		123,750,686			(113,826,987	)

Distributions to shareholders from:
Net investment income
Class II		(1,783,633	)		(3,078,855	)		—			—
Class III		(2,090,462	)		(3,291,815	)		(8,085,286	)		(5,563,761	)
Class IV		(96,361	)		(786,711	)		(15,561,235	)		(13,945,012	)

Total distributions from net investment income		(3,970,456	)		(7,157,381	)		(23,646,521	)		(19,508,773	)

Net realized gains
Class II		—			—			—			—
Class III		—			—			—			(9,686,581	)
Class IV		—			—			—			(23,728,618	)

Total distributions from net realized gains		—			—			—			(33,415,199	)

Net share transactions (Note 9):
Class II		(15,015,496	)		(25,438,691	)		—			—
Class III		(14,573,751	)		(59,807,577	)		(103,344,633	)		11,586,510
Class IV		322,645			(19,372,725	)		(102,922,984	)		(36,885,233	)

Increase (decrease) in net assets resulting from net share transactions		(29,266,602	)		(104,618,993	)		(206,267,617	)		(25,298,723	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			332,346			115,825
Class IV		—			—			843,880			273,609

Increase in net assets resulting from purchase premiums and redemption fees		—			—			1,176,226			389,434

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(29,266,602	)		(104,618,993	)		(205,091,391	)		(24,909,289	)

Total increase (decrease) in net assets		(11,352,763	)		(130,020,893	)		(104,987,226	)		(191,660,248	)

Net assets:
Beginning of period		155,274,066			285,294,959			922,967,829			1,114,628,077

End of period	$	143,921,303		$	155,274,066		$	817,980,603		$	922,967,829

Accumulated undistributed net investment income	$	480,737		$	248,112		$	—		$	—

Distributions in excess of net investment income	$	—		$	—		$	(7,947,837	)	$	(7,125,253	)


24		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	International Small Companies Fund
	Year Ended February 28/29,
	2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,093,702		$	5,596,802
Net realized gain (loss)		(11,467,878	)		(1,482,496	)
Change in net unrealized appreciation (depreciation)		36,023,329			(37,006,716	)


Net increase (decrease) in net assets from operations		28,649,153			(32,892,410	)

Distributions to shareholders from:
Net investment income
Class III		(5,876,532	)		(6,197,734	)

Total distributions from net investment income		(5,876,532	)		(6,197,734	)

Net share transactions (Note 9):
Class III		(141,975,040	)		1,195,773

Increase (decrease) in net assets resulting from net share transactions		(141,975,040	)		1,195,773

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		869,026			182,910

Increase in net assets resulting from purchase premiums and redemption fees		869,026			182,910

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(141,106,014	)		1,378,683

Total increase (decrease) in net assets		(118,333,393	)		(37,711,461	)

Net assets:
Beginning of period		245,734,048			283,445,509

End of period	$	127,400,655		$	245,734,048

Distributions in excess of net investment income	$	(796,362	)	$	(457,014	)


		See accompanying notes to the financial statements.		25

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

FOREIGN FUND


	Class II Shares																				Class III Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017				2016				2015				2014				2013				2017				2016				2015				2014				2013
Net asset value, beginning of period		$	10.45			$	12.12			$	13.58			$	11.57			$	11.21			$	10.52			$	12.20			$	13.66			$	11.64			$	11.27

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.25				0.30				0.26				0.30				0.29				0.27				0.32				0.26				0.32				0.30
Net realized and unrealized gain (loss)			1.37				(1.51	)			(0.93	)			2.04				0.43				1.37				(1.53	)			(0.92	)			2.04				0.44

Total from investment operations			1.62				(1.21	)			(0.67	)			2.34				0.72				1.64				(1.21	)			(0.66	)			2.36				0.74

Less distributions to shareholders:
From net investment income			(0.31	)			(0.46	)			(0.39	)			(0.33	)			(0.36	)			(0.31	)			(0.47	)			(0.40	)			(0.34	)			(0.37	)
From net realized gains			—				—				(0.40	)			—				—				—				—				(0.40	)			—				—

Total distributions			(0.31	)			(0.46	)			(0.79	)			(0.33	)			(0.36	)			(0.31	)			(0.47	)			(0.80	)			(0.34	)			(0.37	)

Net asset value, end of period		$	11.76			$	10.45			$	12.12			$	13.58			$	11.57			$	11.85			$	10.52			$	12.20			$	13.66			$	11.64

Total Return^(b)			15.62	%			(10.30	)%			(4.75	)%			20.39	%			6.65	%			15.81	%			(10.29	)%			(4.64	)%			20.42	%			6.75	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	64,149			$	70,865			$	108,343			$	165,028			$	217,052			$	76,325			$	81,645			$	152,047			$	197,489			$	222,262
Net expenses to average daily net assets^(c)			0.84	%			0.83	%			0.83	%			0.83	%^(d)			0.84	%^(d)			0.77	%			0.76	%			0.76	%			0.76	%^(d)			0.77	%^(d)
Net investment income (loss) to average daily net assets^(a)			2.25	%			2.54	%			2.04	%			2.37	%			2.65	%			2.39	%			2.61	%			2.02	%			2.53	%			2.78	%
Portfolio turnover rate			77	%^(e)			113	%			113	%			98	%			91	%			77	%^(e)			113	%			113	%			98	%			91	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.23	%			0.18	%			0.13	%			0.11	%			0.07	%			0.23	%			0.17	%			0.13	%			0.12	%			0.07	%


	Class IV Shares
	Year Ended February 28/29,
	2017				2016				2015				2014				2013
Net asset value, beginning of period		$	10.81			$	12.53			$	14.00			$	11.92			$	11.55

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.27				0.40				0.40				0.35				0.33
Net realized and unrealized gain (loss)			1.43				(1.64	)			(1.07	)			2.08				0.42

Total from investment operations			1.70				(1.24	)			(0.67	)			2.43				0.75

Less distributions to shareholders:
From net investment income			(0.32	)			(0.48	)			(0.40	)			(0.35	)			(0.38	)
From net realized gains			—				—				(0.40	)			—				—

Total distributions			(0.32	)			(0.48	)			(0.80	)			(0.35	)			(0.38	)

Net asset value, end of period		$	12.19			$	10.81			$	12.53			$	14.00			$	11.92

Total Return^(b)			15.84	%			(10.24	)%			(4.59	)%			20.54	%			6.68	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,447			$	2,763			$	24,905			$	67,628			$	88,992
Net expenses to average daily net assets^(c)			0.71	%			0.70	%			0.70	%			0.70	%^(d)			0.70	%^(d)
Net investment income (loss) to average daily net assets^(a)			2.35	%			3.25	%			2.96	%			2.71	%			3.02	%
Portfolio turnover rate			77	%^(e)			113	%			113	%			98	%			91	%
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.23	%			0.18	%			0.13	%			0.11	%			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, if any.

^(b)

^(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)

†	Calculated using average shares outstanding throughout the period.


26		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

FOREIGN SMALL COMPANIES FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017				2016				2015				2014				2013				2017				2016				2015				2014				2013
Net asset value, beginning of period		$	12.94			$	15.31			$	17.29			$	14.40			$	12.91			$	12.91			$	15.28			$	17.25			$	14.37			$	12.90

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.26				0.26				0.20				0.27				0.23				0.25				0.27				0.21				0.25				0.12
Net realized and unrealized gain (loss)			1.56				(1.86	)			(1.34	)			3.62				1.43				1.58				(1.86	)			(1.34	)			3.64				1.54

Total from investment operations			1.82				(1.60	)			(1.14	)			3.89				1.66				1.83				(1.59	)			(1.13	)			3.89				1.66

Less distributions to shareholders:
From net investment income			(0.35	)			(0.28	)			(0.23	)			(0.48	)			(0.17	)			(0.36	)			(0.29	)			(0.23	)			(0.49	)			(0.19	)
From net realized gains			—				(0.49	)			(0.61	)			(0.52	)			—				—				(0.49	)			(0.61	)			(0.52	)			—

Total distributions			(0.35	)			(0.77	)			(0.84	)			(1.00	)			(0.17	)			(0.36	)			(0.78	)			(0.84	)			(1.01	)			(0.19	)

Net asset value, end of period		$	14.41			$	12.94			$	15.31			$	17.29			$	14.40			$	14.38			$	12.91			$	15.28			$	17.25			$	14.37

Total Return^(b)			14.25	%			(10.82	)%			(6.34	)%			27.54	%			12.93	%			14.34	%			(10.80	)%			(6.25	)%			27.61	%			12.96	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	246,852			$	316,303			$	353,778			$	236,393			$	314,389			$	571,129			$	606,665			$	760,850			$	851,384			$	471,628
Net expenses to average daily net assets^(c)			0.86	%			0.86	%			0.85	%			0.86	%^(d)			0.85	%^(d)			0.81	%			0.81	%			0.80	%			0.81	%^(d)			0.80	%^(d)
Net investment income (loss) to average daily net assets^(a)			1.84	%			1.73	%			1.26	%			1.73	%			1.83	%			1.81	%			1.79	%			1.32	%			1.56	%			0.90	%
Portfolio turnover rate			49	%^(e)			60	%			58	%			57	%			56	%			49	%^(e)			60	%			58	%			57	%			56	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.07	%			0.07	%			0.07	%			0.07	%			0.09	%			0.07	%			0.07	%			0.07	%			0.07	%			0.10	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.01			$	0.01			$	0.00	^(f)		$	0.02			$	0.02			$	0.01			$	0.01			$	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, if any.

^(b)

^(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)

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

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		27

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL SMALL COMPANIES FUND


	Class III Shares
	Year Ended February 28/29,
	2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)
Net asset value, beginning of period		$	19.77			$	22.95			$	30.69			$	25.02			$	22.32

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.45				0.45				0.57				0.45				0.54
Net realized and unrealized gain (loss)			2.33				(3.12	)			(2.19	)			7.11				3.06

Total from investment operations			2.78				(2.67	)			(1.62	)			7.56				3.60

Less distributions to shareholders:
From net investment income			(1.02	)			(0.51	)			(0.66	)			(1.35	)			(0.90	)
From net realized gains			—				—				(5.46	)			(0.54	)			—

Total distributions			(1.02	)			(0.51	)			(6.12	)			(1.89	)			(0.90	)

Net asset value, end of period		$	21.53			$	19.77			$	22.95			$	30.69			$	25.02

Total Return^(c)			14.35	%			(11.83	)%			(4.87	)%			31.30	%			16.75	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	127,401			$	245,734			$	283,446			$	382,688			$	313,557
Net expenses to average daily net assets^(d)			0.78	%			0.76	%			0.77	%			0.77	%^(e)			0.76	%^(e)
Net investment income (loss) to average daily net assets^(b)			2.13	%			2.04	%			2.15	%			1.63	%			2.50	%
Portfolio turnover rate			159	%^(f)			64	%			83	%			79	%			76	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.21	%			0.18	%			0.17	%			0.15	%			0.17	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):^†		$	0.10			$	0.01	^(a)		$	0.03	^(a)		$	0.02	^(a)		$	0.01	^(a)

^(a)	Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

^(c)

^(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)

†	Calculated using average shares outstanding throughout the period.


28		See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

February 28, 2017

1.	Organization

Each of Foreign Fund, Foreign Small Companies Fund and International Small Companies 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	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
International Small Companies Fund	S&P Developed ex-U.S. Small Cap Index	Total return in excess of benchmark

Foreign Small Companies Fund and International Small Companies Fund currently limit subscriptions.

2.	Significant accounting policies

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. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted 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 year ended February 28, 2017, the Funds did not reduce the value of any of their 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 a 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 February 28, 2017 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)
Foreign Fund	—	97%
Foreign Small Companies Fund	—	89%
International Small Companies Fund	0%^§	88%

§ Represents the interest in securities that were determined to have a value of zero at February 28, 2017.

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 February 28, 2017, 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.

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 February 28, 2017:



Description	Level 1		Level 2			Level 3		Total
Foreign Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	3,694,225		$	—	$	3,694,225
France		—		18,187,293			—		18,187,293
Germany		—		8,197,940			—		8,197,940
Hong Kong		—		8,265,575			—		8,265,575
India		855,260		—			—		855,260
Israel		—		1,979,302			—		1,979,302
Italy		—		1,800,555			—		1,800,555
Japan		—		41,875,479			—		41,875,479
Netherlands		—		2,959,226			—		2,959,226
Russia		—		2,796,903			—		2,796,903
South Africa		—		436,648			—		436,648
South Korea		—		3,902,373			—		3,902,373
Spain		—		1,372,734			—		1,372,734
Sweden		—		2,877,086			—		2,877,086
Switzerland		—		4,860,166			—		4,860,166
Taiwan		—		3,711,053			—		3,711,053
United Kingdom		—		32,263,484			—		32,263,484

TOTAL COMMON STOCKS		855,260		139,180,042			—		140,035,302

Mutual Funds
United States		19,226		—			—		19,226

TOTAL MUTUAL FUNDS		19,226		—			—		19,226

Short-Term Investments		3,523,184		—			—		3,523,184

Total Investments		4,397,670		139,180,042			—		143,577,712

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		75,407			—		75,407

Total	$	4,397,670	$	139,255,449		$	—	$	143,653,119

Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(59,826	)	$	—	$	(59,826	)


Foreign Small Companies Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	4,321,723	$	—		$	—	$	4,321,723
Australia		—		37,673,313			—		37,673,313
Brazil		—		12,716,157			—		12,716,157

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1		Level 2			Level 3			Total
Foreign Small Companies Fund (continued)
Asset Valuation Inputs (continued)
Canada	$	53,837,296	$	—		$	—		$	53,837,296
China		—		3,265,004			—			3,265,004
Finland		—		13,044,305			—			13,044,305
France		—		103,628,502			—			103,628,502
Germany		—		30,048,208			—			30,048,208
Hong Kong		—		5,862,615			—			5,862,615
Ireland		—		4,255,244			—			4,255,244
Israel		—		12,761,786			—			12,761,786
Italy		—		25,750,241			—			25,750,241
Japan		—		212,681,301			—			212,681,301
Mexico		5,148,246		—			—			5,148,246
Netherlands		—		17,087,953			—			17,087,953
New Zealand		—		4,172,760			—			4,172,760
Russia		—		10,989,232			—			10,989,232
Singapore		—		7,782,003			—			7,782,003
South Africa		—		3,795,988			—			3,795,988
South Korea		—		3,986,558			—			3,986,558
Sweden		—		7,516,571			—			7,516,571
Switzerland		—		73,042,955			—			73,042,955
Taiwan		—		12,357,522			—			12,357,522
Thailand		—		7,101,263			—			7,101,263
United Kingdom		—		117,879,862			—			117,879,862

TOTAL COMMON STOCKS		63,307,265		727,399,343			—			790,706,608

Mutual Funds
United States		7,030,375		—			—			7,030,375

TOTAL MUTUAL FUNDS		7,030,375		—			—			7,030,375

Short-Term Investments		19,239,679		—			—			19,239,679

Total Investments		89,577,319		727,399,343			—			816,976,662

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		17,435			—			17,435

Total	$	89,577,319	$	727,416,778		$	—		$	816,994,097

Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(319,478	)	$	—		$	(319,478	)


International Small Companies Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	674,484	$	—		$	—		$	674,484
Australia		—		5,883,995			—			5,883,995
Austria		—		—			0	^§		0	^§
Brazil		—		1,990,023			—			1,990,023
Canada		8,394,289		—			—			8,394,289
China		—		510,515			0	^§		510,515
Finland		—		2,034,476			—			2,034,476
France		—		16,191,746			—			16,191,746
Germany		—		4,687,467			—			4,687,467
Hong Kong		—		916,428			—			916,428
Indonesia		—		58,816			—			58,816

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1		Level 2			Level 3			Total
International Small Companies Fund (continued)
Asset Valuation Inputs (continued)
Ireland	$	—	$	663,920		$	—		$	663,920
Israel		—		1,983,984			—			1,983,984
Italy		—		4,016,543			—			4,016,543
Japan		—		33,072,180			—			33,072,180
Mexico		816,118		—			—			816,118
Netherlands		—		2,664,982			—			2,664,982
New Zealand		—		649,352			—			649,352
Russia		—		1,720,371			—			1,720,371
Singapore		—		1,217,705			—			1,217,705
South Africa		—		593,534			—			593,534
South Korea		—		623,946			—			623,946
Sweden		—		1,174,449			—			1,174,449
Switzerland		—		11,411,570			—			11,411,570
Taiwan		—		1,934,638			0	^§		1,934,638
Thailand		—		1,110,528			—			1,110,528
United Kingdom		—		18,503,859			—			18,503,859

TOTAL COMMON STOCKS		9,884,891		113,615,027			0	^§		123,499,918

Mutual Funds
United States		1,550,077		—			—			1,550,077

TOTAL MUTUAL FUNDS		1,550,077		—			—			1,550,077

Short-Term Investments		2,314,684		—			—			2,314,684

Total Investments		13,749,652		113,615,027			—			127,364,679

Total	$	13,749,652	$	113,615,027		$	0	^§	$	127,364,679

Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(40,193	)	$	—		$	(40,193	)

Represents the interest in securities that were determined to have a value of zero at February 28, 2017.

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’ Notes to Financial Statements.

For all Funds for the year ended February 28, 2017, there were no significant transfers between Level 1 and Level 2.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

The net aggregate direct and indirect exposure to investments in securities using Level 3 inputs (based on each Fund’s net assets) as of February 28, 2017 were as follows:



Fund Name	Level 3 securities and derivatives
Foreign Fund		—
Foreign Small Companies Fund		—
International Small Companies Fund		0%^§

Represents the interest in securities that were determined to have a value of zero at February 28, 2017.

Cash

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

Due to/from broker

Foreign currency translation

Taxes and distributions

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.

Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by certain countries. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes and interest charges.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

U.S. GAAP and tax accounting differences for each Fund primarily relate to reasons described in the following table:



Differences related to:	Foreign Fund	Foreign Small Companies Fund	International Small Companies Fund
Capital loss carryforwards	X	X	X
Dividend income and withholding tax reclaim reserves	X		X
Dividends received from underlying investments	X
Foreign currency transactions	X		X
Losses on wash sale transactions	X	X	X
Passive foreign investment company transactions	X	X	X
Post-October capital losses	X	X	X

The tax character of distributions declared by each Fund to shareholders is as follows:



	Tax year ended February 28, 2017				Tax year ended February 29, 2016

Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long- Term Capital Gain ($)		Total Distributions ($)
Foreign Fund		3,970,456		3,970,456		7,157,381		—		7,157,381
Foreign Small Companies Fund		23,646,521		23,646,521		19,514,671		33,409,301		52,923,972
International Small Companies Fund		5,876,532		5,876,532		6,197,734		—		6,197,734

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

As of February 28, 2017, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:



Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post- October Capital Losses ($)
Foreign Fund		960,437		—		(31,279,532)		(272,630)
Foreign Small Companies Fund		—		(96,018)		(7,421,251)		—
International Small Companies Fund		2,466		—		(18,511,741)		(36,711)



	Short-Term ($)						Long-Term ($)

Fund Name	Expiration Date 2/28/2018		No Expiration Date		Total Short-Term ($)		No Expiration Date
Foreign Fund		(12,719,749)		(10,959,702)		(23,679,451)		(7,600,081)
Foreign Small Companies Fund		—		(7,421,251)		(7,421,251)		—
International Small Companies Fund		—		(12,770,746)		(12,770,746)		(5,740,995)



Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Foreign Fund		136,084,655		11,037,810		(3,544,753)		7,493,057
Foreign Small Companies Fund		758,690,849		93,864,714		(35,578,901)		58,285,813
International Small Companies Fund		122,751,221		9,476,825		(4,863,367)		4,613,458

Security transactions and related investment income

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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

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 were reported as a reduction of expenses in the Statements 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

or modify an existing fee at any time.

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 Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

As of February 28, 2017, the premium on cash purchases and the fee on cash redemptions were as follows:



	Foreign Fund	Foreign Small Companies Fund		International Small Companies Fund
Purchase Premium	—		0.50%		0.50%
Redemption Fee	—		0.50%		0.50%

Recently-issued accounting guidance

In August 2016, Financial Accounting Standards Board (“FASB”) issued a new Accounting Standards Update No. 2016-15, “Statement of Cash Flows (Topic 230), Classification of Certain Cash Receipts and Cash Payments, a consensus of the FASB’s Emerging Issues Task Force” (“ASU 2016-15”). ASU 2016-15 is intended to reduce diversity in practice in how certain transactions are classified in the statement of cash flows. The issues addressed in ASU 2016-15 are: debt prepayment or debt extinguishment costs, settlement of zero-coupon debt instruments, contingent consideration payments made after a business combination, proceeds from the settlement of insurance claims, proceeds from the settlement of corporate-owned life insurance policies, including bank-owned life insurance policies, distributions received from equity method investments, beneficial interests in securitization transactions; and, separately identifiable cash flows and application of the predominance principle. ASU 2016-15 is effective for interim and annual reporting periods beginning after December 15, 2017. GMO is currently evaluating the impact, if any, of this guidance on the Funds’ financial statements and disclosures.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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	International Small Companies Fund
Counterparty Risk	X	X	X
Currency Risk	X	X	X
Derivatives and Short Sales Risk	X	X	X
Focused Investment Risk	X	X	X
Illiquidity Risk	X	X	X
Large Shareholder Risk	X	X	X
Leveraging Risk	X	X	X
Management and Operational Risk	X	X	X
Market Disruption and Geopolitical Risk	X	X	X
Market Risk – Equities	X	X	X
Non-Diversified Funds	X
Non-U.S. Investment Risk	X	X	X
Small Company Risk	X	X	X

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.

• 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

• 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 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 currency in which the Fund is denominated. 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.”

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

options on swap contracts, interest rate caps, floors and collars, reverse repurchase agreements, and other OTC contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). 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. 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.”

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. In addition, the Securities and Exchange Commission recently proposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.

• 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 closely correlated are subject to greater overall risk than funds with investments that are more diversified or whose prices are not as closely correlated.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

investments include asset-backed securities, distressed, defaulted or other low quality 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, Inflation-Protected Securities issued by the U.S. Treasury (“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.

A Fund may buy securities that are less liquid than those in its benchmark.

• 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, potentially at disadvantageous prices, 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 and/or purchases of shares by a large shareholder and/or a group of shareholders over time potentially limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. Large shareholders may limit or prevent a Fund’s use of tax equalization for U.S. federal tax purposes. 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.

• 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

Fund from benefiting from potential investment gains or avoiding losses. In addition, a service provider may be unable to provide a net asset value (“NAV”) for a Fund or share class on a timely basis. 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.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events (e.g., wars and terrorism) 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 that began 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 trading practices, which could disrupt the orderly functioning of markets or reduce the value of investments traded in them, including investments of the Funds. Instances of fraud and other deceptive practices committed by senior management of certain companies in which a Fund invests may undermine GMO’s due diligence efforts with respect to such companies, and if such fraud is discovered, negatively affect the value of the Fund’s investments. In addition, when discovered, financial fraud may contribute to overall market volatility, which can negatively impact a Fund’s investment program. Financial fraud also may impact the rates or indices underlying a Fund’s investments.

• 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:

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 an equity for less than its fundamental fair (or intrinsic) value as determined by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline due to GMO’s incorrect assessment of the equity’s fundamental fair (or 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.

• 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 Fund is not a diversified investment company within the meaning of the 1940 Act:

• Foreign Fund

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to more risks than Funds that invest only 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).

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.

• SMALL COMPANY RISK. Companies with smaller market capitalizations 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 smaller group of key employees as compared to larger companies. 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.

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response 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 that are used, 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 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, if any, 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

For Funds that held derivatives during the year ended February 28, 2017, 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

International Small
Companies Fund

Forward currency contracts

Adjust exposure to foreign currencies

Rights and/or warrants

Received as a result of corporate actions

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.

Futures contracts

Options

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

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

transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

gain or loss in the Statements of Operations.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.

Rights and warrants

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 February 28, 2017 and the Statements of Operations for the year ended February 28, 2017^:



	Credit Contracts		Equity Contracts		Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Foreign Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—	$	75,407		$	—	$	—	$	75,407

Total	$	—	$	—	$	75,407		$	—	$	—	$	75,407

Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	—	$	75,407		$	—	$	—	$	75,407

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—	$	(59,826	)	$	—	$	—	$	(59,826	)

Total	$	—	$	—	$	(59,826	)	$	—	$	—	$	(59,826	)

Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	—	$	(59,826	)	$	—	$	—	$	(59,826	)

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Foreign Fund (continued)
Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—		$	250,809		$	—	$	—	$	250,809

Total	$	—	$	—		$	250,809		$	—	$	—	$	250,809

Change in Net Unrealized Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	15,581		$	—	$	—	$	15,581

Total	$	—	$	—		$	15,581		$	—	$	—	$	15,581


Foreign Small Companies Fund
Asset Derivatives
Forward Currency Contracts	$	—	$	—		$	17,435		$	—	$	—	$	17,435

Total	$	—	$	—		$	17,435		$	—	$	—	$	17,435

Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	—		$	17,435		$	—	$	—	$	17,435

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(319,478	)	$	—	$	—	$	(319,478	)

Total	$	—	$	—		$	(319,478	)	$	—	$	—	$	(319,478	)

Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	—		$	(319,478	)	$	—	$	—	$	(319,478	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	(125,063	)	$	—		$	—	$	—	$	(125,063	)
Forward Currency Contracts		—		—			415,637			—		—		415,637

Total	$	—	$	(125,063	)	$	415,637		$	—	$	—	$	290,574

Change in Net Unrealized Appreciation (Depreciation) on
Forward Currency Contracts	$	—	$	—		$	(302,043	)	$	—	$	—	$	(302,043	)

Total	$	—	$	—		$	(302,043	)	$	—	$	—	$	(302,043	)


International Small Companies Fund
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(40,193	)	$	—	$	—	$	(40,193	)

Total	$	—	$	—		$	(40,193	)	$	—	$	—	$	(40,193	)

Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	—		$	(40,193	)	$	—	$	—	$	(40,193	)


Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	25,952		$	—		$	—	$	—	$	25,952
Forward Currency Contracts		—		—			209,220			—		—		209,220

Total	$	—	$	25,952		$	209,220		$	—	$	—	$	235,172

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
International Small Companies Fund (continued)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	(169	)	$	—		$	—	$	—	$	(169	)
Forward Currency Contracts		—		—			(40,193	)		—		—		(40,193	)

Total	$	—	$	(169	)	$	(40,193	)	$	—	$	—	$	(40,362	)

Certain 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. 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. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off, and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. 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 “Investments and other risks” above.

Foreign 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	$	75,407	$	—	$	—	$	75,407

Total	$	75,407	$	—	$	—	$	75,407



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Citibank N.A.	$	59,826	$	—	$	—	$	59,826

Total	$	59,826	$	—	$	—	$	59,826

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

Foreign Small Companies 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	$	17,435	$	—	$	—	$	17,435

Total	$	17,435	$	—	$	—	$	17,435



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Citibank N.A.	$	153,836	$	—	$	—	$	153,836
Goldman Sachs International		165,642		—		—		165,642

Total	$	319,478	$	—	$	—	$	319,478

International Small Companies Fund



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged		Derivative (Assets)/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Citibank N.A.	$	20,539	$	—	$	—	$	20,539
Goldman Sachs International		19,654		—		—		19,654

Total	$	40,193	$	—	$	—	$	40,193

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 year ended February 28, 2017:



Fund Name	Forward Currency Contracts ($)		Rights and/or Warrants ($)
Foreign Fund		3,468,014		23,924	*
Foreign Small Companies Fund		9,483,976		13,435
International Small Companies Fund		1,381,019		41,386

During the year ended February 28, 2017, 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



	Foreign Fund		Foreign Small Companies Fund		International Small Companies 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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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%
International Small Companies Fund				0.15%

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 GMO.



Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Foreign Fund		2,476		337
Foreign Small Companies Fund		16,162		1,550
International Small Companies Fund		3,187		303

Fund Name

Indirect Net Expenses
(excluding shareholder
service fees)

Indirect Shareholder
Service Fees

Total Indirect
Expenses

Foreign Fund

<0.001%

0.000%

<0.001%

Foreign Small Companies Fund

<0.001%

0.000%

<0.001%

International Small Companies Fund

<0.001%

0.000%

<0.001%

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

6.	Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, for the year ended February 28, 2017 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		—		119,359,649		—		151,319,568
Foreign Small Companies Fund		—		462,587,150		—		687,582,892
International Small Companies Fund		—		315,371,817		—		462,261,586

7.	Guarantees

8.	Principal shareholders and related parties as of February 28, 2017



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		66.25%		1.21%		—
Foreign Small Companies Fund		2		69.60%		<0.01%		—
International Small Companies Fund		2		85.27%		0.09%		—

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:


	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
Foreign Fund
Class II:
Shares sold		374,261		$	4,198,496			67,258		$	775,061
Shares issued to shareholders in reinvestment of distributions		158,890			1,778,511			266,995			3,069,952
Shares repurchased		(1,862,117	)		(20,992,503	)		(2,489,243	)		(29,283,704	)

Net increase (decrease)		(1,328,966	)	$	(15,015,496	)		(2,154,990	)	$	(25,438,691	)

Class III:
Shares sold		—		$	—			2,643,774		$	29,943,507
Shares issued to shareholders in reinvestment of distributions		185,880			2,088,090			30,052			358,824
Shares repurchased		(1,501,867	)		(16,661,841	)		(7,377,328	)		(90,109,908	)

Net increase (decrease)		(1,315,987	)	$	(14,573,751	)		(4,703,502	)	$	(59,807,577	)

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017


	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
Foreign Fund (continued)
Class IV:
Shares sold		94,069		$	1,100,024			117,380		$	1,442,285
Shares issued to shareholders in reinvestment of distributions		7,652			88,611			65,209			775,219
Shares repurchased		(74,523	)		(865,990	)		(1,914,868	)		(21,590,229	)

Net increase (decrease)		27,198		$	322,645			(1,732,279	)	$	(19,372,725	)


Foreign Small Companies Fund
Class III:
Shares sold		4,911,945		$	70,841,467			3,746,746		$	48,707,693
Shares issued to shareholders in reinvestment of distributions		529,271			7,195,678			1,083,586			15,250,342
Shares repurchased		(12,753,958	)		(181,381,778	)		(3,493,135	)		(52,371,525	)
Purchase premiums		—			4,090			—			538
Redemption fees		—			328,256			—			115,287

Net increase (decrease)		(7,312,742	)	$	(103,012,287	)		1,337,197		$	11,702,335

Class IV:
Shares sold		8,926		$	123,290			29,565		$	413,561
Shares issued to shareholders in reinvestment of distributions		1,147,196			15,561,235			2,608,099			36,602,731
Shares repurchased		(8,423,117	)		(118,607,509	)		(5,448,901	)		(73,901,525	)
Purchase premiums		—			11,501			—			1,305
Redemption fees		—			832,379			—			272,304

Net increase (decrease)		(7,266,995	)	$	(102,079,104	)		(2,811,237	)	$	(36,611,624	)


International Small Companies Fund
Class III:#
Shares sold		725,241		$	15,784,750			674,669		$	15,897,693
Shares issued to shareholders in reinvestment of distributions		284,728			5,807,368			275,878			5,902,470
Shares repurchased		(7,515,899	)		(163,567,158	)		(872,262	)		(20,604,390	)
Purchase premiums		—			65,250			—			79,888
Redemption fees		—			803,776			—			103,022

Net increase (decrease)		(6,505,930	)	$	(141,106,014	)		78,285		$	1,378,683

Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

10.

Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the year ended February 28, 2017 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	$	2,474,385	$	7,512,646	$	9,970,000	$	11,980	$	665	$	19,226

Foreign Small Companies Fund
GMO U.S. Treasury Fund	$	28,295,639	$	30,127,166	$	51,400,000	$	114,815	$	12,350	$	7,030,375

International Small Companies Fund
GMO U.S. Treasury Fund	$	3,326,167	$	20,500,000	$	22,275,000	$	13,964	$	945	$	1,550,077

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and Shareholders of

GMO Foreign Fund, GMO Foreign Small Companies Fund, and GMO International Small Companies Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the GMO Foreign Fund, GMO Foreign Small Companies Fund, and GMO International Small Companies Fund (the “Funds”) as of February 28, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2017 by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

April 26, 2017

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

February 28, 2017 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2017.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2016 through February 28, 2017.

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual						Hypothetical
	Beginning Account Value September 1, 2016		Ending Account Value February 28, 2017		Expenses Paid During the Period*		Beginning Account Value September 1, 2016		Ending Account Value February 28, 2017		Expenses Paid During the Period*		Annualized Expense Ratio
Foreign Fund
Class II	$	1,000.00	$	1,060.70	$	4.24	$	1,000.00	$	1,020.68	$	4.16		0.83%
Class III	$	1,000.00	$	1,061.50	$	3.88	$	1,000.00	$	1,021.03	$	3.81		0.76%
Class IV	$	1,000.00	$	1,061.90	$	3.58	$	1,000.00	$	1,021.32	$	3.51		0.70%
Foreign Small Companies Fund
Class III	$	1,000.00	$	1,032.40	$	4.33	$	1,000.00	$	1,020.53	$	4.31		0.86%
Class IV	$	1,000.00	$	1,032.80	$	4.08	$	1,000.00	$	1,020.78	$	4.06		0.81%
International Small Companies Fund
Class III	$	1,000.00	$	1,037.00	$	4.04	$	1,000.00	$	1,020.83	$	4.01		0.80%

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2017 (Unaudited)

The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.



Fund Name	Qualified Dividend Income (non-corporate shareholders)⁽¹⁾		Foreign Taxes Paid⁽²⁾ ($)		Foreign Source Income⁽²⁾ ($)
Foreign Fund		100.00%		—		—
Foreign Small Companies Fund		91.09%		2,355,398		26,687,085
International Small Companies Fund		82.78%		431,283		6,029,107

⁽¹⁾

Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

⁽²⁾

The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders.

In early 2018, the Funds will notify applicable shareholders of amounts for use in preparing 2017 U.S. federal income tax forms.

Trustees and Officers (Unaudited)

Management of the Trust

Independent Trustees

Name and
Year of Birth

Position(s) Held

with the Trust

Length of

Time Served

Principal Occupation(s)

During Past
5 Years

Number of
Portfolios in
Fund Complex¹
Overseen

Other

Directorships Held
in the Past Five
Years

Donald W. Glazer

YOB: 1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Law and Business²; Author of Legal Treatises.

Director, BeiGene Ltd. (biotech research).

Peter Tufano

YOB: 1957

Trustee

Since December 2008.

Trustee of State Street Navigator Securities Lending Trust (5 Portfolios).

Paul Braverman

YOB: 1949

Trustee

Since March 2010.

Trustee of HIMCO Variable Insurance Trust (27 Portfolios).

Interested Trustee and Officer

Joseph B. Kittredge, Jr.³

YOB: 1954

Trustee;

President of the Trust

Trustee since March 2010; President since March 2009; Chief Executive Officer, March 2009 –June 2015.

General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – present); Partner, Ropes & Gray, LLP (1988 –2005).

None.

¹	The Fund Complex includes series of each of GMO Trust and GMO Series Trust. Mr. Kittredge also serves as a Trustee of GMO Series Trust.

³	Mr. Kittredge is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of his positions with the Trust and GMO indicated in the table above and his interest as a member of GMO.


Officers

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Joseph B. Kittredge, Jr. YOB: 1954	Trustee and President	Trustee since March 2010; President since March 2009; Chief Executive Officer, March 2009 – June 2015.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – present); Partner, Ropes & Gray LLP (1988 – 2005).

Sheppard N. Burnett YOB: 1968	Chief Executive Officer	Chief Executive Officer since June 2015; Chief Financial Officer, March 2007 – June 2015; Treasurer, November 2006-June 2015; Assistant Treasurer, September 2004 – November 2006.	Head of Fund Treasury and Tax, Grantham, Mayo, Van Otterloo & Co. LLC (December 2006 – present).

Carly Cushman YOB: 1984	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer and Chief Financial Officer since June 2015; Chief Accounting Officer since May 2014; Assistant Treasurer, September 2013 – June 2015.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (December 2009-present); Senior Accountant, Renaissance HealthCare (February 2009 – December 2009); Auditor/Senior Auditor, Deloitte & Touche (September 2006 – February 2009).

John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).

Betty Maganzini YOB: 1972	Assistant Treasurer	Since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010-present); Assistant Treasurer (June 2009 – July 2010), Manager, Fund Administration and Regulatory Affairs (2006 – 2009), Hambrecht & Quist Capital Management LLC.

Mahmoodur Rahman YOB: 1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2007 – present).

Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present)

Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).

Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 –present); Associate, K&L Gates LLP (September 2007 – July 2015).

Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006-present).

Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present); Associate, Dechert LLP (October 2010 – February 2015).

Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 –November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present); Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (March 2000 – May 2015).

Claire Wilkinson YOB: 1965	Anti-Money Laundering Officer	Since February 2016.	Compliance Associate, GMO UK Limited (April 2013 – present); General Counsel, MVision Private Equity Advisers Limited (November 2009 – January 2013).

GMO Trust

Annual Report

February 28, 2017

International Equity Fund

International Large/Mid Cap Equity Fund

Quality Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Allocation Fund

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, small company risk and derivatives risk.

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

TABLE OF CONTENTS


International Equity Fund
Management Discussion and Analysis of Fund Performance			2
Performance Graph			3
Investment Concentration Summary			4
Schedule of Investments			5
International Large/Mid Cap Equity Fund
Management Discussion and Analysis of Fund Performance			12
Performance Graph			13
Investment Concentration Summary			14
Schedule of Investments			15
Quality Fund
Management Discussion and Analysis of Fund Performance			20
Performance Graph			21
Investment Concentration Summary			22
Schedule of Investments			23
Resources Fund
Management Discussion and Analysis of Fund Performance			26
Performance Graph			27
Investment Concentration Summary			28
Schedule of Investments			29
Risk Premium Fund
Management Discussion and Analysis of Fund Performance			32
Performance Graph			33
Investment Concentration Summary			34
Schedule of Investments			35
Tax-Managed International Equities Fund
Management Discussion and Analysis of Fund Performance			36
Performance Graph			37
Investment Concentration Summary			38
Schedule of Investments			39
U.S. Equity Allocation Fund
Management Discussion and Analysis of Fund Performance			48
Performance Graph			49
Investment Concentration Summary			50
Schedule of Investments			51
Portfolio and Currency Abbreviations			54
Fund Financial Statements:
Statements of Assets and Liabilities			55
Statements of Operations			59
Statements of Changes in Net Assets			61
Financial Highlights			65
Notes to Financial Statements			72
Report of Independent Registered Public Accounting Firm			109
Fund Expenses			110
Tax Information			112
Trustees and Officers			113

GMO International Equity Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI EAFE Index is included for comparative purposes.

Class III shares of GMO International Equity Fund returned +15.53% (net) for the fiscal year ended February 28, 2017, as compared with +15.75% for the MSCI EAFE Index.

The Fund’s country allocation produced modestly positive returns relative to the benchmark. An underweight position in Australia and an overweight position in Israel made the largest negative impacts on performance, but these were offset by underweight positions in Denmark and Switzerland. The Fund’s modest cash holdings were a drag on relative performance given the strong returns generated by equities.

Sector allocation proved modestly negative relative to the benchmark. The largest negative contribution was from being overweight Telecommunication Services. A positive contribution resulted from an underweight position in Health Care, but the majority of sectors had small losses. Underperformance in Information Technology and Consumer Discretionary was more than offset by good relative returns in other sectors, with Health Care of particular note.

Stock selection was a strong contributor to relative performance. Top stock contributors included overweight positions in Sumitomo Mitsui Financial Group and BASF, as well as having no exposure to Novo Nordisk (a Danish Pharmaceutical company). Top stock detractors included overweight positions in Nippon Telegraph and Telephone Corporation, KDDI Corporation (a Japanese telecoms company), and a lack of exposure to HSBC.

GMO International Equity Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $35,000,000 Investment in

GMO International Equity Fund Class III Shares and the MSCI EAFE Index

As of February 28, 2017

LOGO

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		98.2	%
Preferred Stocks		0.8
Short-Term Investments		0.5
Mutual Funds		0.4
Other		0.1

		100.0	%


Country Summary*	% of Investments
Japan		27.5	%
United Kingdom		16.6
France		9.6
Germany		9.3
Australia		6.6
Switzerland		5.6
Hong Kong		4.8
Spain		3.7
Other Developed		3.1	‡
Netherlands		2.9
Canada		2.6
Norway		2.1
Italy		1.9
Israel		1.4
Finland		1.3
Austria		1.0

		100.0	%

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

‡	“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.


Industry Group Summary	% of Equity Investments^#
Insurance		9.0	%
Banks		8.6
Energy		8.0
Capital Goods		7.8
Automobiles & Components		7.3
Telecommunication Services		7.2
Pharmaceuticals, Biotechnology & Life Sciences		7.1
Real Estate		6.6
Materials		6.4
Transportation		5.1
Food, Beverage & Tobacco		4.4
Consumer Durables & Apparel		4.0
Utilities		3.1
Retailing		2.5
Media		2.4
Food & Staples Retailing		2.1
Commercial & Professional Services		1.9
Household & Personal Products		1.6
Software & Services		1.4
Technology Hardware & Equipment		1.3
Health Care Equipment & Services		0.9
Diversified Financials		0.8
Consumer Services		0.4
Semiconductors & Semiconductor Equipment		0.1

		100.0	%

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 98.2%

		Australia — 6.6%
	321,081	Abacus Property Group (REIT)		762,733
	3,122,357	Adelaide Brighton Ltd		12,851,752
	340,848	BHP Billiton Ltd		6,451,603
	2,967,618	BlueScope Steel Ltd		27,754,878
	192,289	BT Investment Management Ltd		1,426,027
	128,589	Credit Corp Group Ltd		1,620,862
	4,078,560	CSR Ltd		13,061,021
	5,044,091	Dexus Property Group (REIT)		36,489,784
	3,879,911	Downer EDI Ltd		20,862,493
	125,824	Elders Ltd ^*		419,530
	8,607,991	Fairfax Media Ltd		6,229,012
	1,108,220	Fortescue Metals Group Ltd		5,610,446
	3,986,251	GPT Group (The) (REIT)		15,056,645
	1,643,877	Investa Office Fund (REIT)		5,885,490
	430,924	LendLease Group		5,027,725
	1,485,829	Metcash Ltd ^*		2,461,284
	19,191,567	Mirvac Group (REIT)		31,606,486
	1,518,586	Nine Entertainment Co Holdings Ltd		1,222,481
	3,293,937	OZ Minerals Ltd		23,437,395
	581,223	Pact Group Holdings Ltd		2,969,948
	1,976,373	Primary Health Care Ltd		4,996,865
	10,273,615	Scentre Group (REIT)		34,333,443
	1,176,271	Shopping Centres Australasia Property Group (REIT)		2,010,266
	394,187	Sigma Pharmaceuticals Ltd		355,020
	176,301	Sonic Healthcare Ltd		2,906,719
	288,481	Southern Cross Media Group Ltd		286,619
	241,293	Star Entertainment Grp Ltd (The)		901,701
	2,441,415	Stockland (REIT)		8,830,457
	75,035	Tabcorp Holdings Ltd		245,001
	364,680	Tassal Group Ltd		1,335,573
	26,566,007	Telstra Corp Ltd		98,120,395
	69,894	Vicinity Centres (REIT)		154,790
	19,738	Virtus Health Ltd		81,876
	30,282	Woodside Petroleum Ltd		726,373
	657,300	WorleyParsons Ltd ^*		5,352,566

		Total Australia		381,845,259


		Austria — 1.0%
	1,167,625	Immofinanz AG (Entitlement Shares) ^* (a)		—
	79,093	Oesterreichische Post AG ^*		2,875,902
	908,093	OMV AG		34,712,142
	493,211	voestalpine AG		20,722,944

		Total Austria		58,310,988


		Belgium — 0.3%
	615,191	AGFA-Gevaert NV ^*		2,513,481
	1,134	Barco NV		101,694
	499,600	bpost SA		12,406,088


Shares		Description	Value ($)
		Belgium — continued
	46,444	D’ieteren SA/NV		2,071,354
	7,450	Elia System Operator SA/NV		381,928
	90,674	Orange Belgium SA ^*		2,057,683

		Total Belgium		19,532,228


		Canada — 2.5%
	66,000	AGF Management Ltd – Class B		300,632
	777,810	Air Canada ^*		7,835,490
	4,200	BRP Inc ^*		82,311
	95,500	Canadian Imperial Bank of Commerce		8,384,472
	227,700	Canadian Tire Corp Ltd – Class A		26,109,554
	115,500	Cascades Inc		1,152,217
	370,300	Celestica Inc ^*		4,892,911
	322,800	CGI Group Inc – Class A ^*		14,839,759
	60,400	Chorus Aviation Inc		325,147
	35,400	CI Financial Corp		721,753
	69,700	Cogeco Communications Inc		3,767,851
	195,500	Corus Entertainment Inc – B Shares		1,870,806
	1,825,200	IAMGOLD Corp ^*		7,200,759
	68,800	Industrial Alliance Insurance & Financial Services Inc		2,855,702
	22,300	Linamar Corp		990,253
	47,100	Martinrea International Inc		292,558
	9,300	Medical Facilities Corp		127,226
	1,673,200	Metro Inc		48,790,119
	98,577	North West Co Inc (The)		2,176,086
	6,000	Open Text Corp		197,771
	163,200	Toromont Industries Ltd		5,692,709
	484,700	Transcontinental Inc – Class A		7,382,534
	7,980	Uranium Participation Corp ^*		26,256
	139,300	WestJet Airlines Ltd		2,286,358

		Total Canada		148,301,234


		Denmark — 0.4%
	14,104	AP Moeller – Maersk A/S – Class B		22,933,345
	22,829	Dfds A/S		1,253,953
	12,564	Per Aarsleff Holding A/S		292,973
	8,571	Schouw & Co AB		672,728

		Total Denmark		25,152,999


		Finland — 1.3%
	24,585	Kesko Oyj – B Shares		1,127,204
	138,312	Metso Oyj		4,078,429
	595,750	Neste Oyj		20,736,153
	11,899	Orion Oyj – Class B		586,414
	233,537	Sponda Oyj		977,285
	27,313	Tieto Oyj		760,182
	1,894,505	UPM-Kymmene Oyj		44,931,370

		Total Finland		73,197,037


		See accompanying notes to the financial statements.		5

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		France — 9.6%
	1,135,355	Air France-KLM ^*		8,001,200
	22,894	APERAM SA		1,163,798
	6,000,903	AXA SA		141,729,426
	723,081	BNP Paribas SA		42,307,796
	254,886	Christian Dior SE		54,040,992
	311,658	Cie Generale des Etablissements Michelin		35,090,904
	378,043	CNP Assurances		7,005,433
	12,889	Ipsen SA		1,145,028
	17,255	IPSOS		555,826
	4,612	Legrand SA		260,412
	238,372	M6-Metropole Television SA		5,050,158
	181,187	Rexel SA		2,931,530
	466,796	SCOR SE		16,875,253
	52,625	Societe BIC SA		6,512,653
	950,106	Societe Generale SA		42,229,914
	175,100	STMicroelectronics NV – NY Shares		2,672,026
	3,775,354	TOTAL SA		188,374,951

		Total France		555,947,300


		Germany — 8.4%
	284,910	ADVA Optical Networking SE ^*		2,995,843
	734,489	Allianz SE (Registered)		127,923,968
	960,180	Bayerische Motoren Werke AG		85,740,331
	46,024	Bechtle AG		4,793,813
	5,852	Cewe Stiftung & Co KGAA		493,762
	2,200,132	Daimler AG (Registered)		159,832,955
	2,659,587	Deutsche Lufthansa AG (Registered)		38,939,135
	9,759	Diebold Nixdorf AG		710,232
	5,773	Duerr AG		478,339
	20,395	Evonik Industries AG		654,057
	7,958	Fraport AG Frankfurt Airport Services Worldwide		497,864
	99,204	Hannover Rueck SE		11,191,755
	175,179	HeidelbergCement AG		16,355,255
	10,674	Henkel AG & Co KGaA		1,151,786
	6,881	Indus Holding AG		423,851
	57,696	Jenoptik AG		1,284,188
	2,151	Koenig & Bauer AG ^*		121,321
	21,181	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		4,001,030
	215,662	RHOEN-KLINIKUM AG		5,425,210
	1,293	RTL Group SA		99,410
	81,942	RWE AG ^*		1,166,962
	6,606	Salzgitter AG		241,050
	303,766	Software AG		11,260,874
	226,070	STADA Arzneimittel AG		13,671,317
	24,977	Talanx AG		892,332

		Total Germany		490,346,640


Shares		Description	Value ($)
		Hong Kong — 4.7%
	7,764,100	BOC Hong Kong Holdings Ltd		30,671,424
	2,881,600	Champion (REIT)		1,655,153
	2,361,100	Dah Sing Banking Group Ltd		4,594,551
	469,800	Dah Sing Financial Holdings Ltd		3,460,726
	5,255,990	Esprit Holdings Ltd ^*		4,976,742
	4,350,000	Global Brands Group Holding Ltd ^*		509,808
	1,431,530	Henderson Land Development Co Ltd		8,313,496
	5,727,000	HKT Trust & HKT Ltd – Class SS		7,639,564
	2,921,100	Hongkong Land Holdings Ltd		19,933,911
	2,478,900	Hysan Development Co Ltd		11,557,978
	4,375,700	Kerry Properties Ltd		13,409,073
	7,560,791	Link (REIT)		52,135,613
	917,200	Luk Fook Holdings International Ltd		2,663,218
	3,770,000	Man Wah Holdings Ltd		2,479,277
	1,621,000	Pacific Textiles Holdings Ltd		1,808,439
	3,106,700	PCCW Ltd		1,894,006
	17,447,100	SJM Holdings Ltd		14,315,461
	1,526,200	SmarTone Telecommunications Holdings Ltd		2,070,995
	404,000	Swire Pacific Ltd – Class A		4,158,635
	162,400	Swire Properties Ltd		488,333
	135,500	Techtronic Industries Co Ltd		484,862
	435,800	Television Broadcasts Ltd		1,905,938
	1,193,200	Value Partners Group Ltd		1,206,069
	2,029,000	WH Group Ltd		1,584,106
	5,719,900	Wharf Holdings Ltd (The)		45,315,438
	2,207,500	Wheelock & Co Ltd		14,337,217
	829,075	Xinyi Automobile Glass Hong Kong Enterprises Ltd ^*		157,944
	10,760,600	Xinyi Glass Holdings Ltd		9,756,178
	3,383,800	Yue Yuen Industrial Holdings Ltd		12,590,692

		Total Hong Kong		276,074,847


		Ireland — 0.2%
	384,710	Smurfit Kappa Group Plc		10,217,778


		Israel — 1.4%
	3,778,947	Bank Hapoalim BM		23,293,776
	4,636,661	Bank Leumi Le-Israel BM ^*		20,329,156
	149,100	Check Point Software Technologies Ltd ^*		14,747,481
	274,626	El Al Israel Airlines		195,606
	8,104,575	Israel Discount Bank Ltd – Class A ^*		17,938,316
	116,840	Mizrahi Tefahot Bank Ltd		1,950,543
	10,496	Teva Pharmaceutical Industries Ltd		369,217

		Total Israel		78,824,095


		Italy — 1.9%
	474,840	A2A SPA		659,035
	324,423	Amplifon SPA		3,472,099
	1,800,866	Banca Mediolanum SPA		11,752,195
	78,636	De’ Longhi SPA		2,040,897


6		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)

February 28, 2017


Shares		Description	Value ($)
		Italy — continued
	6,787,484	Enel SPA		29,129,790
	1,655,969	Eni SPA		25,547,044
	14,389	EXOR SPA		681,468
	3,381,140	Hera SPA		8,374,131
	1,899,842	Iren SPA		3,267,753
	51,526	La Doria SPA		461,145
	711,078	Recordati SPA		22,565,451
	2,430	Reply SPA		323,681
	441,225	Societa Cattolica di Assicurazioni SCRL		2,764,591
	595,147	Telecom Italia SPA ^*		480,292
	1,378,987	Telecom Italia SPA-RSP ^*		914,214

		Total Italy		112,433,786


		Japan — 27.3%
	19,600	ADEKA Corp		274,516
	7,000	Aichi Corp		54,605
	47,800	Ain Holdings Inc		3,432,624
	236,800	Alfresa Holdings Corp		4,265,888
	140,800	Alpine Electronics Inc		2,041,047
	83,700	AOKI Holdings Inc		1,029,486
	268,400	Aoyama Trading Co Ltd		10,061,618
	136,113	Asahi Glass Co Ltd		1,111,035
	118,500	Asatsu-DK Inc		3,127,226
	127,800	Autobacs Seven Co Ltd		2,024,501
	154,900	Brother Industries Ltd		2,917,246
	1,691,900	Calsonic Kansei Corp		19,376,667
	52,100	Cawachi Ltd		1,395,115
	321,600	Central Japan Railway Co		52,645,833
	584,700	Coca-Cola West Co Ltd		17,377,633
	6,200	Computer Engineering & Consulting Ltd		99,563
	199,500	Concordia Financial Group Ltd		1,062,191
	439,600	Cosmo Energy Holdings Co Ltd		7,545,096
	21,200	Credit Saison Co Ltd		402,739
	295,800	Daikyo Inc		619,042
	263,500	Daito Trust Construction Co Ltd		36,863,148
	556,100	Daiwa House Industry Co Ltd		15,261,195
	711,000	Daiwabo Holdings Co Ltd		1,916,767
	809,700	DCM Holdings Co Ltd		7,201,399
	2,290,200	Denka Co Ltd		11,925,811
	144,700	DIC Corp		5,286,764
	70,600	Doutor Nichires Holdings Co Ltd		1,360,568
	17,300	DTS Corp		399,072
	7,500	Ehime Bank Ltd (The)		92,622
	116,000	Fuji Electric Co Ltd		640,706
	309,500	Fuji Oil Holdings Inc		6,981,616
	716,140	FUJIFILM Holdings Corp		27,702,052
	280,700	Fujitsu General Ltd		5,494,873
	34,400	Fuyo General Lease Co Ltd		1,644,457
	170,000	Geo Holdings Corp		2,051,980
	232,500	Gunze Ltd		853,831


Shares		Description	Value ($)
		Japan — continued
	1,236,700	Hanwa Co Ltd		8,868,752
	332,900	Haseko Corp		3,939,480
	213,600	Hiroshima Bank Ltd (The)		1,009,256
	13,600	Hitachi Capital Corp		351,434
	279,400	Hitachi Chemical Co Ltd		7,883,832
	31,800	Hitachi High-Technologies Corp		1,324,616
	7,200	Hitachi Transport System Ltd		147,478
	2,300	Hokuetsu Bank Ltd (The)		55,479
	123,600	Horiba Ltd		6,848,261
	143,000	Idemitsu Kosan Co Ltd		4,607,685
	26,700	Isuzu Motors Ltd		356,833
	9,570,200	ITOCHU Corp		138,590,470
	28,500	Jafco Co Ltd		973,370
	1,140,200	Japan Airlines Co Ltd		37,260,862
	748,100	K’s Holdings Corp		13,311,951
	762,600	Kaneka Corp		5,965,330
	923,000	Kanematsu Corp		1,601,782
	5,293,900	KDDI Corp		138,342,959
	261,400	Keihin Corp		4,375,482
	135,600	Kewpie Corp		3,614,412
	61,200	Kohnan Shoji Co Ltd		1,166,302
	9,900	Koito Manufacturing Co Ltd		510,518
	68,100	Kokuyo Co Ltd		897,813
	48,900	Kuraray Co Ltd		742,923
	8,200	Kyowa Exeo Corp		113,736
	28,900	Mandom Corp		1,362,336
	5,707,800	Marubeni Corp		36,951,560
	2,400	Maruwa Co Ltd		78,034
	914,100	Medipal Holdings Corp		15,084,572
	2,749,500	Mitsubishi Chemical Holdings Corp		21,141,506
	341,800	Mitsubishi Electric Corp		7,715,850
	191,100	Mitsubishi Tanabe Pharma Corp		3,934,086
	14,611,000	Mitsubishi UFJ Financial Group Inc		96,663,047
	821,500	Mitsubishi UFJ Lease & Finance Co Ltd		4,541,885
	3,855,800	Mitsui & Co Ltd		59,022,807
	5,111,000	Mitsui Engineering & Shipbuilding Co Ltd		8,411,585
	3,600	Mitsui Sugar Co Ltd		86,947
	87,000	Namura Shipbuilding Co Ltd		581,301
	112,600	NET One Systems Co Ltd		862,179
	14,000	Nichias Corp		131,249
	5,400	Nichiha Corp		151,335
	9,900	Nifco Inc		506,418
	127,000	Nippon Corp		2,409,986
	136,781	Nippon Electric Glass Co Ltd		849,736
	1,021,200	Nippon Light Metal Holdings Co Ltd		2,509,681
	21,800	Nippon Paper Industries Co Ltd		396,190
	77,900	Nippon Signal Co Ltd		738,721
	3,103,200	Nippon Telegraph & Telephone Corp		131,263,259
	9,160	Nippon Television Holdings Inc		163,080
	81,013	Nipro Corp		1,047,793


		See accompanying notes to the financial statements.		7

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Japan — continued
	119,300	Nishi-Nippon Financial Holdings Inc ^*		1,294,973
	2,768,200	Nissan Motor Co Ltd		27,237,468
	414,900	Nisshinbo Holdings Inc		4,233,056
	40,200	Nissin Electric Co Ltd		472,565
	88,500	Nomura Holdings Inc		571,942
	1,078,200	NTT DOCOMO Inc		25,615,819
	800	NuFlare Technology Inc		45,773
	10,500	Okamura Corp		95,476
	111,600	Okinawa Electric Power Co (The)		2,578,748
	205,800	Onward Holdings Co Ltd		1,524,389
	86,400	Open House Co Ltd		2,053,459
	452,200	Orient Corp ^*		837,546
	2,958,500	Osaka Gas Co Ltd		11,425,839
	12,000	Osaki Electric Co Ltd		116,279
	969,500	Otsuka Holdings Co Ltd		44,188,471
	124,500	PanaHome Corp		1,158,810
	72,000	Pola Orbis Holdings Inc		6,881,546
	108,200	Press Kogyo Co Ltd		549,242
	26,000	Prima Meat Packers Ltd		104,756
	3,200	Relo Group Inc		463,783
	297,500	Rengo Co Ltd		1,727,686
	43,300	San-A Co Ltd		1,984,540
	34,000	Sankyu Inc		217,468
	178,000	Sanwa Holdings Corp		1,680,921
	1,313,700	Sekisui Chemical Co Ltd		21,700,387
	1,508,100	Sekisui House Ltd		24,116,302
	89,000	Showa Shell Sekiyu KK		897,472
	19,100	Softbank Technology Corp		678,643
	14,496,700	Sojitz Corp		37,569,501
	85,700	Sumitomo Dainippon Pharma Co Ltd		1,513,848
	715,600	Sumitomo Forestry Co Ltd		10,424,001
	1,355,800	Sumitomo Heavy Industries Ltd		9,582,286
	3,789,800	Sumitomo Mitsui Financial Group Inc		147,640,001
	1,356,000	Sumitomo Osaka Cement Co Ltd		5,634,500
	1,044,000	Sumitomo Rubber Industries Ltd		17,219,861
	165,900	Sundrug Co Ltd		10,922,482
	152,300	Suzuken Co Ltd		5,155,549
	162,300	T-Gaia Corp		2,772,255
	531,000	TIS Inc		12,911,019
	244,000	Toho Holdings Co Ltd		5,276,799
	9,330	Tokyo Electric Power Co Holdings Inc ^*		35,832
	11,600	Tokyo Seimitsu Co Ltd		377,544
	56,000	Toppan Printing Co Ltd		564,550
	8,800	Toshiba Plant Systems & Services Corp		123,572
	3,458,000	Tosoh Corp		30,083,374
	55,500	Towa Pharmaceutical Co Ltd		2,646,420
	23,100	Toyoda Gosei Co Ltd		589,248
	962,400	Toyota Tsusho Corp		28,699,575
	31,900	TPR Co Ltd		1,085,428
	222,300	TS Tech Co Ltd		5,813,903


Shares		Description	Value ($)
		Japan — continued
	87,400	TSI Holdings Co Ltd		607,688
	362,000	Tsubakimoto Chain Co		3,100,557
	17,000	Tsumura & Co		504,315
	31,900	Tsuruha Holdings Inc		2,951,401
	3,827,100	Ube Industries Ltd		9,570,490
	6,800	UKC Holdings Corp		132,228
	225,800	Valor Holdings Co Ltd		5,602,888
	26,600	Warabeya Nichiyo Holdings Co Ltd		596,681
	30,500	Yahagi Construction Co Ltd		275,936
	438,600	Yamada Denki Co Ltd		2,239,097
	147,600	Yamaguchi Financial Group Inc		1,703,182
	406,000	Zeon Corp		4,463,137

		Total Japan		1,588,849,198


		Malta — 0.0%
	15,984,486	BGP Holdings Plc ^{* (a)}		248,929


		Netherlands — 2.9%
	115,769	Aalberts Industries NV		3,993,008
	102,900	AerCap Holdings NV ^*		4,661,370
	84,116	AVG Technologies NV ^*		2,077,665
	104,679	BinckBank NV		587,745
	56,536	Corbion NV		1,456,109
	210,719	Heineken Holding NV		16,014,157
	2,900,106	ING Groep NV		39,953,581
	926,284	Koninklijke Ahold Delhaize NV		19,717,906
	56,093	Philips Lighting NV ^*		1,553,388
	4,157,178	PostNL NV ^*		18,154,900
	1,509,213	Wolters Kluwer NV		61,857,325

		Total Netherlands		170,027,154


		New Zealand — 0.5%
	550,314	Air New Zealand Ltd		937,283
	237,499	Chorus Ltd		707,676
	878,078	Fletcher Building Ltd		6,100,262
	1,746,432	Fletcher Building Ltd		12,046,852
	1,281,609	SKY Network Television Ltd		3,505,916
	2,533,240	Spark New Zealand Ltd		6,546,696

		Total New Zealand		29,844,685


		Norway — 2.1%
	11,876	Austevoll Seafood ASA		104,845
	256,236	Bakkafrost P/F		9,535,805
	499,824	BW LPG Ltd		2,442,577
	614,388	DNB ASA		10,073,251
	3,267,275	Orkla ASA		28,722,017
	98,941	Salmar ASA		2,499,931
	12,295	SpareBank 1 Nord Norge		86,561
	2,334,239	Statoil ASA		41,155,438
	1,191,299	Storebrand ASA ^*		8,043,912


8		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)

February 28, 2017


Shares		Description	Value ($)
		Norway — continued
	1,136,300	Subsea 7 SA ^*		16,050,704
	45,524	Telenor ASA		742,287
	16,108	Yara International ASA		611,519

		Total Norway		120,068,847


		Portugal — 0.2%
	148,834	Altri SGPS SA		679,512
	1,104,709	CTT-Correios de Portugal SA		5,932,970
	1,016,279	EDP – Energias de Portugal SA		3,141,858
	178,954	Navigator Co SA (The)		676,847
	730,139	REN-Redes Energeticas Nacionais SGPS SA		2,032,437

		Total Portugal		12,463,624


		Singapore — 0.7%
	7,968,600	CapitaLand Commercial Trust (REIT)		8,862,955
	9,300	CapitaLand Mall Trust (REIT)		13,062
	333,000	Fortune Real Estate Investment Trust		373,567
	54,868,400	Golden Agri-Resources Ltd		14,851,506
	1,380,400	Mapletree Greater China Commercial Trust (REIT)		969,885
	706,500	Mapletree Industrial Trust (REIT)		839,161
	980,400	Mapletree Logistics Trust (REIT)		751,842
	170,600	Venture Corp Ltd		1,308,206
	17,437,600	Yangzijiang Shipbuilding Holdings Ltd		11,502,856
	93,000	Yanlord Land Group Ltd		96,540

		Total Singapore		39,569,580


		Spain — 3.7%
	734,404	Ebro Foods SA		14,906,487
	3,625,616	Endesa SA		77,114,515
	4,780,856	Mapfre SA		14,773,010
	7,134,416	Repsol SA		105,541,597
	11,674	Viscofan SA		610,551

		Total Spain		212,946,160


		Sweden — 0.4%
	484,951	Axfood AB		7,408,555
	18,290	Bilia AB – A Shares		408,883
	63,284	Castellum AB		856,657
	6,511	Granges AB		59,262
	32,183	Industrivarden AB – C Shares		636,256
	95,027	Intrum Justitia AB		3,435,588
	60,408	Klovern AB – B Shares		62,548
	146,125	NCC AB – B Shares		3,471,982
	262,331	Sandvik AB		3,560,995
	35,435	Securitas AB – B Shares		539,875
	13,261	Skanska AB – B Shares		315,627
	23,199	Swedish Match AB		721,744
	53,861	Wihlborgs Fastigheter AB		1,069,721

		Total Sweden		22,547,693


Shares		Description	Value ($)
		Switzerland — 5.6%
	82,222	Adecco Group AG (Registered)		5,912,306
	58,679	Ascom Holding AG (Registered)		1,019,648
	13,484	Autoneum Holding AG		3,587,699
	1,774	Banque Cantonale Vaudoise (Registered)		1,213,410
	5,696	BKW AG		290,026
	343	Bobst Group SA (Registered)		26,097
	40,951	Cembra Money Bank AG		3,321,526
	10,277	dormakaba Holding AG ^*		8,490,952
	3,408	Emmi AG (Registered) ^*		2,165,021
	28,015	EMS-Chemie Holding AG (Registered)		15,940,316
	14,817	Flughafen Zuerich AG (Registered)		2,991,576
	2,467	Forbo Holdings AG (Registered) ^*		3,364,321
	16,750	Georg Fischer AG (Registered)		14,517,987
	42	Gurit Holding AG ^*		35,368
	6,240	Helvetia Holding AG (Registered)		3,501,851
	12,324	Implenia AG (Registered)		920,366
	9,576	Kardex AG (Registered) ^*		966,198
	5,439	Komax Holding AG (Registered)		1,416,937
	279,667	Kuehne & Nagel International AG (Registered)		39,818,017
	403,528	Logitech International SA (Registered)		11,665,138
	10,546	Mobilezone Holding AG (Registered)		152,625
	4,840	Sika AG		27,238,239
	16,291	Swatch Group AG (The) (Registered)		1,055,475
	92,903	Swiss Life Holding AG (Registered) ^*		29,225,257
	1,596,286	Swiss Re AG		142,781,046
	1,640	Valora Holding AG (Registered)		545,634
	61,457	Vontobel Holding AG (Registered)		3,359,269
	5,161	Zehnder Group AG – Class RG ^*		180,351

		Total Switzerland		325,702,656


		United Kingdom — 16.5%
	2,714,919	AstraZeneca Plc		156,460,887
	3,785,540	Balfour Beatty Plc		12,972,808
	67,753	Bellway Plc		2,191,495
	874,079	Berkeley Group Holdings Plc (The)		31,945,661
	67,143	Bovis Homes Group Plc		650,447
	1,501,128	British American Tobacco Plc		94,818,067
	776,174	Cairn Energy Plc ^*		2,141,417
	2,311,119	Carillion Plc		6,281,005
	12,970,799	Centrica Plc		36,538,594
	434,180	Compass Group Plc		8,066,181
	587,425	Crest Nicholson Holdings Plc		3,944,355
	4,316,811	Debenhams Plc		2,874,156
	1,712,745	Direct Line Insurance Group Plc		7,299,852
	28,644	Fenner Plc		98,779
	7,495,818	Firstgroup Plc ^*		11,186,331
	277,549	Galliford Try Plc		5,225,790
	7,290,716	GlaxoSmithKline Plc		149,189,337
	133,725	Halfords Group Plc		563,531


		See accompanying notes to the financial statements.		9

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		United Kingdom — continued
	335,928	Hunting Plc		2,211,600
	229,089	IG Group Holdings Plc		1,520,863
	717,660	Imperial Brands Plc		33,784,025
	1,895,212	Inchcape Plc		17,652,100
	2,242,357	Indivior Plc		9,731,088
	567,034	Intermediate Capital Group Plc		4,989,504
	2,376,448	J Sainsbury Plc		7,888,603
	1,058,444	Jupiter Fund Management Plc		5,507,089
	8,660,720	Kingfisher Plc		35,326,089
	154,003	Mitie Group Plc		395,576
	406,874	National Express Group Plc		1,835,106
	30,089	Pearson Plc		251,353
	1,587,403	Persimmon Plc		40,592,658
	57,252	Playtech Plc		634,283
	915,297	Reckitt Benckiser Group Plc		83,108,649
	5,177,335	Royal Mail Plc		26,646,450
	1,856,569	Sage Group Plc (The)		14,878,933
	70,646	Savills Plc		750,182
	263,438	Spectris Plc		7,938,505
	99,119	Victrex Plc		2,350,679
	424,573	WH Smith Plc		8,914,375
	2,511,170	WM Morrison Supermarkets Plc		7,546,252
	4,735,789	WPP Plc		111,416,118

		Total United Kingdom		958,318,773


		TOTAL COMMON STOCKS (COST $5,540,297,155)		5,710,771,490


		PREFERRED STOCKS — 0.8%

		Germany — 0.8%
	164,043	Jungheinrich AG		4,961,804
	803,420	Porsche Automobil Holding SE		44,339,513

		Total Germany		49,301,317


		TOTAL PREFERRED STOCKS (COST $79,162,336)		49,301,317


		MUTUAL FUNDS — 0.4%

		United States — 0.4%
		Affiliated Issuers — 0.4%
	870,715	GMO U.S. Treasury Fund		21,767,868


		TOTAL MUTUAL FUNDS (COST $21,767,868)		21,767,868


Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.5%

		Time Deposits — 0.5%
AUD	4,567,469	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.74%, due 03/01/17		3,501,878
CAD	15,734	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 03/01/17		11,846
DKK	34,345	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.45)%, due 03/01/17		4,895
NZD	30	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.05%, due 03/01/17		21
EUR	1,501,132	DnB Nor Bank (Oslo) Time Deposit, (0.58)%, due 03/01/17		1,590,299
SGD	373,742	HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 03/01/17		266,692
	21,433,922	Sumitomo (Tokyo) Time Deposit, 0.36%, due 03/01/17		21,433,922

		Total Time Deposits		26,809,553


		TOTAL SHORT-TERM INVESTMENTS (COST $26,809,553)		26,809,553


		TOTAL INVESTMENTS — 99.9% (Cost $5,668,036,912)		5,808,650,228
		Other Assets and Liabilities (net) — 0.1%		4,735,519


		TOTAL NET ASSETS — 100.0%		$5,813,385,747

Notes to Schedule of Investments:

*	Non-income producing security.

†	Denominated in U.S. Dollar, unless otherwise indicated.

(a)	Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).


10		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Portfolio Managers

Day-to-day management of the Fund’s portfolio is the responsibility of the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI EAFE Index is included for comparative purposes.

Class III shares of GMO International Large/Mid Cap Equity Fund returned +14.70% (net) for the fiscal year ended February 28, 2017, as compared with +15.75% for the MSCI EAFE Index.

The Fund’s allocation among countries was broadly neutral for returns relative to the benchmark. An underweight position in Australia and an overweight position in Israel had the largest negative impact on performance, but these were offset by small gains in other areas of the portfolio. The Fund’s modest cash holdings were a drag on relative performance given the strong returns generated by equities.

Sector allocation proved negative relative to the benchmark. The largest negative contributions were from being overweight Telecommunication Services and an underweight position in Materials. Stock selection was a strong contributor to relative performance. Underperformance in Information Technology, Consumer Discretionary, and Industrials was more than offset by good relative returns in Financials, Health Care, and Telecommunication Services.

Top stock detractors included overweight positions in Royal Ahold (a Dutch retailer), Nippon Telegraph and Telephone Corporation, and Kingfisher Plc (a British multinational retailer). Top stock contributors included overweight positions in Mitsubishi UFJ Financial Group, Sumitomo Mitsui Financial Group, as well as having no exposure to Novo Nordisk (a Danish Pharmaceutical company).

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO International Large/Mid Cap Equity Fund Class III Shares and the MSCI EAFE Index

As of February 28, 2017

LOGO

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		96.2	%
Mutual Funds		1.3
Preferred Stocks		1.2
Short-Term Investments		0.3
Futures Contracts		0.0	^
Other		1.0

		100.0	%


Country Summary*	% of Investments
Japan		27.3	%
United Kingdom		18.6
France		10.3
Germany		9.0
Switzerland		5.7
Hong Kong		5.5
Netherlands		3.4
Australia		3.2
Spain		3.1
Other Developed		2.8	‡
United States		2.4
Israel		2.2
Norway		1.8
Canada		1.7
Austria		1.5
Finland		1.5

		100.0	%

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

‡	“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.


Industry Group Summary	% of Equity Investments^#
Insurance		9.1	%
Banks		9.0
Energy		7.8
Pharmaceuticals, Biotechnology & Life Sciences		7.8
Automobiles & Components		7.7
Capital Goods		6.9
Real Estate		6.1
Telecommunication Services		6.0
Materials		5.8
Transportation		5.6
Food, Beverage & Tobacco		5.1
Consumer Durables & Apparel		4.7
Food & Staples Retailing		2.6
Software & Services		2.5
Utilities		2.4
Media		2.3
Commercial & Professional Services		2.2
Retailing		2.1
Household & Personal Products		1.9
Technology Hardware & Equipment		1.6
Diversified Financials		0.4
Consumer Services		0.3
Health Care Equipment & Services		0.1
Semiconductors & Semiconductor Equipment		0.0	^

		100.0	%

^	Rounds to 0.0%.

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 96.2%

		Australia — 3.2%
	6,555	Adelaide Brighton Ltd		26,981
	1,652	Australia & New Zealand Banking Group Ltd		39,100
	27,208	BHP Billiton Ltd		514,996
	49,236	BlueScope Steel Ltd		460,484
	7,843	CIMIC Group Ltd		227,061
	54,050	Dexus Property Group (REIT)		391,007
	9,064	Downer EDI Ltd		48,738
	5,949	Fairfax Media Ltd		4,305
	68,181	Fortescue Metals Group Ltd		345,171
	66,306	GPT Group (The) (REIT)		250,447
	15,077	LendLease Group		175,908
	311	Macquarie Group Ltd		20,623
	51,854	Mirvac Group (REIT)		85,398
	867	National Australia Bank Ltd		21,266
	8,623	OZ Minerals Ltd		61,355
	408	Rio Tinto Ltd		19,343
	283,632	Scentre Group (REIT)		947,871
	1,299	Shopping Centres Australasia Property Group (REIT)		2,220
	2,537	Sonic Healthcare Ltd		41,828
	62,586	Stockland (REIT)		226,370
	8,572	Suncorp Group Ltd		87,090
	431,020	Telstra Corp Ltd		1,591,954
	2,642	Wesfarmers Ltd		86,475
	10,396	Woodside Petroleum Ltd		249,368

		Total Australia		5,925,359


		Austria — 1.5%
	1,376	Oesterreichische Post AG ^*		50,033
	46,497	OMV AG		1,777,362
	23,936	voestalpine AG		1,005,704

		Total Austria		2,833,099


		Belgium — 0.2%
	84	Ageas		3,193
	11,494	bpost SA		285,420

		Total Belgium		288,613


		Canada — 1.7%
	24,200	Air Canada ^*		243,786
	3,100	Canadian Tire Corp Ltd – Class A		355,466
	9,000	CGI Group Inc – Class A ^*		413,748
	8,700	CI Financial Corp		177,380
	1,200	IGM Financial Inc		36,781
	62,500	Metro Inc		1,822,485
	200	Open Text Corp		6,592
	1,700	Saputo Inc		58,377


Shares		Description	Value ($)
		Canada — continued
	4,500	Transcontinental Inc – Class A		68,540

		Total Canada		3,183,155


		Denmark — 0.8%
	858	AP Moeller – Maersk A/S – Class B		1,395,123


		Finland — 1.5%
	22,638	Neste Oyj		787,957
	84,430	UPM – Kymmene Oyj		2,002,399

		Total Finland		2,790,356


		France — 10.3%
	106	Atos SE		12,539
	197,503	AXA SA		4,664,629
	34,597	BNP Paribas SA		2,024,286
	11,522	Christian Dior SE		2,442,897
	8,688	Cie Generale des Etablissements Michelin		978,219
	1,081	CNP Assurances		20,032
	3,950	Renault SA		350,613
	1,667	Rexel SA		26,971
	18,560	SCOR SE		670,967
	365	Societe BIC SA		45,171
	41,034	Societe Generale		1,823,862
	121,341	TOTAL SA		6,054,427
	584	Valeo SA		35,965

		Total France		19,150,578


		Germany — 7.8%
	26,856	Allianz SE (Registered)		4,677,437
	5,977	Aurubis AG		344,507
	36,917	Bayerische Motoren Werke AG		3,296,544
	84	Bechtle AG		8,749
	483	Covestro AG		36,346
	65,491	Daimler AG (Registered)		4,757,724
	83,627	Deutsche Lufthansa AG (Registered)		1,224,387
	244	Duerr AG		20,217
	253	Hannover Rueck SE		28,542
	372	HeidelbergCement AG		34,731
	349	Henkel AG & Co KGaA		37,659
	1,863	RWE AG ^*		26,532

		Total Germany		14,493,375


		Hong Kong — 5.5%
	407,000	BOC Hong Kong Holdings Ltd		1,607,819
	34,500	CK Hutchison Holdings Ltd		426,131
	34,000	Dah Sing Banking Group Ltd		66,162
	47,000	Henderson Land Development Co Ltd		272,949
	74,000	HKT Trust & HKT Ltd – Class SS		98,713
	91,600	Hongkong Land Holdings Ltd		625,089


		See accompanying notes to the financial statements.		15

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Hong Kong — continued
	50,000	Hysan Development Co Ltd		233,127
	51,500	Kerry Properties Ltd		157,819
	309,500	Link (REIT)		2,134,165
	35,000	Pacific Textiles Holdings Ltd		39,047
	12,000	Sino Land Co Ltd		20,886
	678,000	SJM Holdings Ltd		556,303
	65,500	Swire Pacific Ltd – Class A		674,234
	2,500	Techtronic Industries Co Ltd		8,946
	14,000	WH Group Ltd		10,930
	230,000	Wharf Holdings Ltd (The)		1,822,156
	99,000	Wheelock & Co Ltd		642,983
	626,000	Xinyi Glass Holdings Ltd		567,568
	51,500	Yue Yuen Industrial Holdings Ltd		191,625

		Total Hong Kong		10,156,652


		Ireland — 0.1%
	8,302	Smurfit Kappa Group Plc		220,498


		Israel — 2.2%
	133,737	Bank Hapoalim BM		824,367
	30,184	Bank Leumi Le-Israel BM ^*		132,340
	14,548	Bezeq Israeli Telecommunication Corp Ltd		25,982
	29,100	Check Point Software Technologies Ltd ^*		2,878,281
	29,401	Israel Discount Bank Ltd – Class A ^*		65,075
	3,665	Teva Pharmaceutical Industries Ltd		128,923
	400	Teva Pharmaceutical Industries Ltd Sponsored ADR		14,008

		Total Israel		4,068,976


		Italy — 0.4%
	34,779	Banca Mediolanum SPA		226,963
	477	De’ Longhi SPA		12,380
	12,035	Enel SPA		51,650
	27,021	Eni SPA		416,860
	787	EXOR SPA		37,273
	2,386	Hera SPA		5,909
	1,271	Recordati SPA		40,334

		Total Italy		791,369


		Japan — 27.3%
	100	Aoyama Trading Co Ltd		3,749
	5,000	Asahi Glass Co Ltd		40,813
	1,000	Asahi Group Holdings Ltd		35,352
	15,000	Asahi Kasei Corp		146,171
	1,300	Bandai Namco Holdings Inc		37,448
	7,000	Calsonic Kansei Corp		80,168
	16,300	Central Japan Railway Co		2,668,306
	23,000	Chiba Bank Ltd (The)		160,792
	2,200	Coca-Cola West Co Ltd		65,385
	4,700	Daicel Corp		57,054


Shares		Description	Value ($)
		Japan — continued
	30,100	Daiichi Sankyo Co Ltd		686,374
	7,601	Daito Trust Construction Co Ltd		1,063,365
	38,300	Daiwa House Industry Co Ltd		1,051,077
	8,900	DCM Holdings Co Ltd		79,156
	2,200	Fuji Heavy Industries Ltd		82,318
	68,000	FUJIFILM Holdings Corp		2,630,407
	6,000	Fujitsu Ltd		34,847
	36,574	Haseko Corp		432,810
	340,500	ITOCHU Corp		4,930,937
	42,900	Japan Airlines Co Ltd		1,401,939
	28,240	K’s Holdings Corp		502,512
	5,000	Kajima Corp		32,588
	172,124	KDDI Corp		4,498,034
	20,700	Konica Minolta Inc		199,655
	238,400	Marubeni Corp		1,543,371
	164,100	Mitsubishi Chemical Holdings Corp		1,261,801
	5,200	Mitsubishi Electric Corp		117,386
	16,300	Mitsubishi Tanabe Pharma Corp		335,560
	637,400	Mitsubishi UFJ Financial Group Inc		4,216,893
	110,800	Mitsui & Co Ltd		1,696,075
	102,600	Nippon Telegraph & Telephone Corp		4,339,911
	10,208	Nipro Corp		132,027
	150,000	Nissan Motor Co Ltd		1,475,912
	3,800	Obayashi Corp		35,355
	153,000	Osaka Gas Co Ltd		590,892
	78,200	Otsuka Holdings Co Ltd		3,564,248
	1,200	Resona Holdings Inc		6,702
	59,600	Sekisui Chemical Co Ltd		984,504
	81,300	Sekisui House Ltd		1,300,083
	449,000	Sojitz Corp		1,163,624
	68,000	Sumitomo Chemical Co Ltd		379,336
	1,100	Sumitomo Dainippon Pharma Co Ltd		19,431
	132,200	Sumitomo Mitsui Financial Group Inc		5,150,142
	1,700	Toho Holdings Co Ltd		36,765
	200	Tokyo Electron Ltd		19,953
	46,400	Toyota Tsusho Corp		1,383,687
	2,400	TS Tech Co Ltd		62,768

		Total Japan		50,737,683


		Malta — 0.1%
	15,998,662	BGP Holdings Plc ^{* (a)}		249,150


		Netherlands — 3.4%
	7,600	AerCap Holdings NV ^*		344,280
	9,793	Heineken Holding NV		744,245
	9,431	ING Groep NV		129,927
	99,714	Koninklijke Ahold Delhaize NV		2,122,623
	116,005	PostNL NV ^*		506,608
	2,196	Randstad Holdings NV		127,896
	57,450	Wolters Kluwer NV		2,354,673

		Total Netherlands		6,330,252


16		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)

February 28, 2017


Shares		Description	Value ($)
		New Zealand — 0.6%
	110,523	Fletcher Building Ltd		767,835
	151,515	Spark New Zealand Ltd		391,563

		Total New Zealand		1,159,398


		Norway — 1.8%
	1,913	Bakkafrost P/F		71,192
	117,163	Orkla ASA		1,029,958
	71,181	Statoil ASA		1,255,007
	27,060	Yara International ASA		1,027,297

		Total Norway		3,383,454


		Portugal — 0.0%
	5,802	CTT-Correios de Portugal SA		31,160
	12,569	EDP – Energias de Portugal SA		38,858

		Total Portugal		70,018


		Singapore — 0.4%
	2,533,400	Golden Agri-Resources Ltd		685,728
	135,800	Yangzijiang Shipbuilding Holdings Ltd		89,582

		Total Singapore		775,310


		Spain — 3.1%
	90,158	Endesa SA		1,917,603
	38,710	Mapfre SA		119,615
	246,232	Repsol SA		3,642,585

		Total Spain		5,679,803


		Sweden — 0.1%
	1,119	Atlas Copco AB – A Shares		36,554
	1,224	Boliden AB		37,272
	9,980	Sandvik AB		135,473
	580	Swedish Match AB		18,044

		Total Sweden		227,343


		Switzerland — 5.7%
	17,691	Adecco Group AG (Registered)		1,272,100
	1,138	EMS-Chemie Holding AG (Registered)		647,513
	68	Forbo Holdings AG (Registered) ^*		92,734
	9,484	Kuehne & Nagel International AG (Registered)		1,350,299
	174	LafargeHolcim Ltd (Registered) ^*		9,897
	175	Sika AG		984,854
	89	Swatch Group AG (The) (Registered)		5,766
	4,909	Swiss Life Holding AG (Registered) ^*		1,544,264
	51,614	Swiss Re AG		4,616,654

		Total Switzerland		10,524,081


		United Kingdom — 18.5%
	6,038	3i Group Plc		51,593
	86,220	AstraZeneca Plc		4,968,862


Shares		Description	Value ($)
		United Kingdom — continued
	4,928	Bellway Plc		159,398
	30,250	Berkeley Group Holdings Plc (The)		1,105,571
	6,072	Bovis Homes Group Plc		58,822
	84,807	British American Tobacco Plc		5,356,796
	26,900	Carillion Plc		73,107
	597,994	Centrica Plc		1,684,542
	8,056	Crest Nicholson Holdings Plc		54,093
	16,988	Direct Line Insurance Group Plc		72,404
	3,301	Galliford Try Plc		62,152
	210,649	GlaxoSmithKline Plc		4,310,494
	2,198	Hammerson Plc (REIT)		16,047
	30,983	Henderson Group Plc		85,835
	3,748	IG Group Holdings Plc		24,882
	23,748	Imperial Brands Plc		1,117,943
	29,206	Inchcape Plc		272,026
	25,363	Indivior Plc		110,067
	6,704	Intermediate Capital Group Plc		58,991
	155,213	J Sainsbury Plc		515,228
	870	Johnson Matthey Plc		33,082
	5,996	Jupiter Fund Management Plc		31,197
	538,442	Kingfisher Plc		2,196,244
	5,410	Mondi Plc		126,094
	61,318	Persimmon Plc		1,568,008
	36,848	Reckitt Benckiser Group Plc		3,345,786
	207,001	Royal Mail Plc		1,065,382
	133,847	Sage Group Plc (The)		1,072,678
	1,885	Smiths Group Plc		34,978
	22,567	WH Smith Plc		473,819
	54,110	WM Morrison Supermarkets Plc		162,605
	176,731	WPP Plc		4,157,846

		Total United Kingdom		34,426,572


		TOTAL COMMON STOCKS (COST $170,485,486)		178,860,217


		PREFERRED STOCKS — 1.2%

		Germany — 1.2%
	2,437	Jungheinrich AG		73,712
	39,437	Porsche Automobil Holding SE		2,176,467

		Total Germany		2,250,179


		TOTAL PREFERRED STOCKS (COST $3,493,034)		2,250,179


		MUTUAL FUNDS — 1.3%

		United States — 1.3%
		Affiliated Issuers — 1.3%
	96,320	GMO U.S. Treasury Fund		2,408,002


		TOTAL MUTUAL FUNDS (COST $2,407,998)		2,408,002


		See accompanying notes to the financial statements.		17

GMO International Large/Mid Cap Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.3%

		Time Deposits — 0.3%
AUD	150,617	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.74%, due 03/01/17		115,479
CAD	850	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 03/01/17		640
	363,862	Sumitomo (Tokyo) Time Deposit, 0.36%, due 03/01/17		363,862

		Total Time Deposits		479,981


		TOTAL SHORT-TERM INVESTMENTS (COST $479,981)		479,981


		TOTAL INVESTMENTS — 99.0% (Cost $176,866,499)		183,998,379
		Other Assets and Liabilities (net) — 1.0%		1,851,849


		TOTAL NET ASSETS — 100.0%		$185,850,228

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Futures Contracts

Number
of
Contracts +

Type

Expiration
Date

Notional
Amount

Net
Unrealized
Appreciation
(Depreciation)

Buys

Mini MSCI Emerging Markets

March 2017

2,007,325

18,330

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

Notes to Schedule of Investments:

*	Non-income producing security.

†	Denominated in U.S. Dollar, unless otherwise indicated.

(a)	Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).


18		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Quality Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Focused Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any index or securities benchmark, a discussion of the Fund’s performance relative to the S&P 500 Index is included for comparative purposes. Please note that there are significant differences between the Fund’s portfolio holdings and those companies held in the S&P 500.

Class III shares of GMO Quality Fund returned +20.25% (net) for the fiscal year ended February 28, 2017, as compared with +24.98 for the S&P 500 Index.

Stock selection had a negative impact on returns relative to the S&P 500 Index. Stock selections in Information Technology and Consumer Discretionary were among the detractors, while selections in Health Care had a positive impact. Overweight positions in Coca-Cola and Nestle, as well as a lack of exposure to Bank of America and JP Morgan detracted from relative returns. Overweight positions in American Express and UnitedHealth, as well as not owning Exxon added to relative returns.

Sector selection detracted from returns relative to the S&P 500 Index. An underweight position in Financials and an overweight position in Consumer Staples had a negative impact on relative performance. Sector weightings adding to relative performance included an overweight position in Information Technology and an underweight position in Consumer Discretionary.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC Management as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments.

GMO Quality Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Quality Fund Class III Shares and the S&P 500 Index

As of February 28, 2017

LOGO

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		97.5	%
Mutual Funds		2.8
Short-Term Investments		0.2
Other		(0.5	)

		100.0	%


Country Summary*	% of Investments
United States		86.0	%
United Kingdom		6.5
Switzerland		2.4
Netherlands		2.1
Other Developed		1.5	‡
Taiwan		1.5

		100.0	%

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

‡	“ Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.


Industry Group Summary	% of Equity Investments^#
Software & Services		26.6	%
Health Care Equipment & Services		13.7
Food, Beverage & Tobacco		9.9
Capital Goods		9.4
Technology Hardware & Equipment		8.5
Pharmaceuticals, Biotechnology & Life Sciences		6.3
Household & Personal Products		5.7
Semiconductors & Semiconductor Equipment		5.5
Diversified Financials		3.2
Food & Staples Retailing		2.6
Consumer Durables & Apparel		2.4
Consumer Services		2.3
Materials		1.8
Energy		1.2
Retailing		0.9

		100.0	%

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 97.5%

		Capital Goods — 9.2%
	1,419,439	3M Co.		264,512,458
	1,845,525	Emerson Electric Co.		110,916,052
	528,619	Honeywell International, Inc.		65,813,066
	920,708	Illinois Tool Works, Inc.		121,542,663
	330,599	Rockwell Automation, Inc.		49,953,509
	1,324,293	United Technologies Corp.		149,049,177
	132,466	WW Grainger, Inc.		32,846,269

		Total Capital Goods		794,633,194


		Consumer Durables & Apparel — 2.3%
	414,192	LVMH Moet Hennessy Louis Vuitton SE		83,203,075
	1,270,628	Nike, Inc. – Class B		72,629,097
	859,911	VF Corp.		45,102,332

		Total Consumer Durables & Apparel		200,934,504


		Consumer Services — 2.3%
	4,298,708	Compass Group Plc		79,861,202
	905,036	McDonald’s Corp.		115,527,845

		Total Consumer Services		195,389,047


		Diversified Financials — 3.1%
	3,331,693	American Express Co.		266,735,342


		Energy — 1.2%
	1,285,906	Schlumberger Ltd.		103,335,406


		Food & Staples Retailing — 2.5%
	885,081	Costco Wholesale Corp.		156,818,652
	758,673	CVS Health Corp.		61,133,870

		Total Food & Staples Retailing		217,952,522


		Food, Beverage & Tobacco — 9.6%
	2,937,026	British American Tobacco Plc		185,515,901
	4,240,021	Coca-Cola Co. (The)		177,911,281
	2,202,373	Nestle SA (Registered)		162,531,051
	506,108	PepsiCo, Inc.		55,864,201
	2,270,530	Philip Morris International, Inc.		248,282,456

		Total Food, Beverage & Tobacco		830,104,890


		Health Care Equipment & Services — 13.4%
	3,516,455	Abbott Laboratories		158,521,791
	246,846	Anthem, Inc.		40,685,158
	392,999	Becton Dickinson and Co.		71,938,467
	865,650	Cerner Corp.^*		47,645,376
	344,300	Humana, Inc.		72,733,375
	34,415	Intuitive Surgical, Inc.^*		25,363,855
	2,881,435	Medtronic Plc		233,136,906
	814,245	Stryker Corp.		104,679,337
	2,107,896	UnitedHealth Group, Inc.		348,603,841


Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	456,267	Zimmer Biomet Holdings, Inc.		53,419,740

		Total Health Care Equipment & Services		1,156,727,846


		Household & Personal Products — 5.6%
	1,101,611	Reckitt Benckiser Group Plc		100,025,911
	3,895,234	Unilever NV CVA		184,392,914
	4,090,368	Unilever Plc		194,053,298

		Total Household & Personal Products		478,472,123


		Materials — 1.8%
	1,352,515	Monsanto Co.		153,956,782


		Pharmaceuticals, Biotechnology & Life Sciences — 6.1%
	728,953	Eli Lilly & Co.		60,364,598
	2,928,340	Johnson & Johnson		357,872,432
	580,728	Novartis AG (Registered)^*		45,350,150
	1,929,243	Pfizer, Inc.		65,825,771

		Total Pharmaceuticals, Biotechnology & Life Sciences		529,412,951


		Retailing — 0.8%
	295,462	Genuine Parts Co.		28,278,668
	556,449	TJX Cos, Inc. (The)		43,653,424

		Total Retailing		71,932,092


		Semiconductors & Semiconductor Equipment — 5.3%
	755,664	Analog Devices, Inc.		61,911,552
	3,729,349	QUALCOMM, Inc.		210,633,631
	20,700,577	Taiwan Semiconductor Manufacturing Co., Ltd.		126,822,745
	778,537	Texas Instruments, Inc.		59,651,505

		Total Semiconductors & Semiconductor Equipment		459,019,433


		Software & Services — 26.0%
	1,693,033	Accenture Plc – Class A		207,396,543
	418,365	Alphabet, Inc. – Class A^*		353,489,140
	299,407	Alphabet, Inc. – Class C^*		246,474,837
	205,400	Automatic Data Processing, Inc.		21,078,148
	2,815,779	Cognizant Technology Solutions Corp. – Class A^*		166,891,221
	293,169	Intuit, Inc.		36,775,119
	708,807	MasterCard, Inc. – Class A		78,294,821
	9,317,787	Microsoft Corp.		596,152,012
	10,225,399	Oracle Corp.		435,499,743
	546,576	SAP SE		50,914,804
	1,544,500	Teradata Corp.^*		48,033,950

		Total Software & Services		2,241,000,338


		Technology Hardware & Equipment — 8.3%
	542,979	Amphenol Corp. – Class A		37,579,577
	3,147,117	Apple, Inc.		431,123,558


		See accompanying notes to the financial statements.		23

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	7,259,296	Cisco Systems, Inc.		248,122,737

		Total Technology Hardware & Equipment		716,825,872


		TOTAL COMMON STOCKS (COST $6,713,021,525)		8,416,432,342


		MUTUAL FUNDS — 2.8%

		Affiliated Issuers — 2.8%
	9,617,981	GMO U.S. Treasury Fund		240,449,520


		TOTAL MUTUAL FUNDS (COST $240,432,540)		240,449,520


		SHORT-TERM INVESTMENTS — 0.2%

		Money Market Funds — 0.2%
	18,256,935	State Street Institutional Treasury Money Market Fund-Premier Class, 0.42% ^(a)		18,256,935


		TOTAL SHORT-TERM INVESTMENTS (COST $18,256,935)		18,256,935


		TOTAL INVESTMENTS — 100.5% (Cost $6,971,711,000)		8,675,138,797
		Other Assets and Liabilities (net) — (0.5%)		(42,936,840	)


		TOTAL NET ASSETS — 100.0%		$8,632,201,957

Notes to Schedule of Investments:

*	Non-income producing security.

(a)	The rate disclosed is the 7 day net yield as of February 28, 2017.


24		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Resources Fund

(A Series of GMO Trust)

Portfolio Managers

Day-to-day management of the Fund’s portfolio is the responsibility of the Focused Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI ACWI Commodity Producers Index is included for comparative purposes.

Class III shares of GMO Resources Fund returned +51.75% (net) for the period ended February 28, 2017, as compared with +32.75% for the MSCI ACWI Commodity Producers Index.

Sector allocation was positive for the period. Positive contributions from the Fund’s overweight position in Industrial Metals and underweight position in Energy more than offset the negative impact from an overweight position in Agriculture.

Country allocation had a positive impact on performance relative to the benchmark. The Fund’s overweight in Emerging Markets and underweight in the United States were among the top contributors to relative returns.

Stock selection also added to relative returns. Contributors include overweight positions in mining companies Anglo American and Teck Resources. Detractors from relative performance included overweight positions in agriculture companies Ros Agro and Adecoagro.

GMO Resources Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Resources Fund Class III Shares and the MSCI ACWI Commodity Producers

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .30% on the purchase and .30% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		86.1	%
Preferred Stocks		10.5
Mutual Funds		2.9
Short-Term Investments		0.3
Other		0.2

		100.0	%


Country Summary*	% of Equity Investments
United Kingdom		24.2	%
United States		15.4
Russia		12.5
Norway		6.6
Brazil		4.9
Chile		4.7
Other Emerging		4.0	†
Canada		3.9
Japan		2.9
Poland		2.1
Other Developed		2.0	‡
Spain		1.9
France		1.8
Australia		1.8
Argentina		1.6
Israel		1.6
South Africa		1.5
Thailand		1.4
Germany		1.4
Singapore		1.4
Italy		1.2
Ukraine		1.2

		100.0	%

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

†	“Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡	“ Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.


Industry Group Summary	% of Equity Investments^#
Materials		46.7	%
Energy		37.5
Food, Beverage & Tobacco		8.6
Utilities		2.9
Semiconductors & Semiconductor Equipment		2.5
Capital Goods		1.8

		100.0	%

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 86.1%

		Argentina — 1.6%
	282,100	Adecoagro SA ^*		3,306,212


		Australia — 1.8%
	633,685	Beach Energy Ltd		341,473
	153,655	Sandfire Resources NL		756,594
	186,798	Santos Ltd ^*		543,021
	31,863	Woodside Petroleum Ltd		764,297
	162,650	WorleyParsons Ltd ^*		1,324,501

		Total Australia		3,729,886


		Austria — 1.0%
	53,239	OMV AG		2,035,078


		Brazil — 0.7%
	80,000	Cosan SA Industria e Comercio		1,022,635
	85,800	Sao Martinho SA		524,086

		Total Brazil		1,546,721


		Canada — 3.8%
	5,751	Agrium Inc		554,446
	35,400	Ensign Energy Services Inc		211,622
	244,834	First Quantum Minerals Ltd		2,547,512
	49,800	Potash Corp of Saskatchewan Inc		863,870
	198,998	Teck Resources Ltd – Class B		3,977,863

		Total Canada		8,155,313


		China — 0.5%
	3,550,000	Century Sunshine Group Holdings Ltd		155,255
	892,000	China Oilfield Services Ltd – Class H		888,460

		Total China		1,043,715


		Colombia — 0.4%
	2,045,784	Ecopetrol SA ^*		922,154


		Czech Republic — 0.9%
	108,880	CEZ AS		1,921,592


		France — 1.8%
	106,406	Electricite de France SA		1,043,203
	56,443	TOTAL SA		2,816,278

		Total France		3,859,481


		Germany — 1.4%
	6,636	Aurubis AG ^*		382,491
	106,723	K+S AG (Registered)		2,492,434

		Total Germany		2,874,925


		Greece — 0.1%
	34,741	Mytilineos Holdings SA ^*		260,744


Shares		Description	Value ($)
		Hungary — 0.6%
	18,126	MOL Hungarian Oil & Gas Plc		1,242,706


		India — 0.7%
	179,307	Cairn India Ltd		762,239
	268,072	Oil & Natural Gas Corp Ltd		776,810

		Total India		1,539,049


		Indonesia — 0.0%
	27,969,700	Energi Mega Persada Tbk PT ^*		104,846


		Israel — 1.6%
	495,874	Israel Chemicals Ltd		2,112,887
	6,568	Israel Corp Ltd (The) ^*		1,188,592

		Total Israel		3,301,479


		Italy — 1.3%
	248,608	CNH Industrial NV		2,302,419
	945,797	Saipem SPA ^*		431,778

		Total Italy		2,734,197


		Japan — 2.9%
	22,400	Asahi Holdings Inc		387,682
	80,000	Dowa Holdings Co Ltd		647,219
	53,200	Inpex Corp		528,978
	18,700	Japan Petroleum Exploration Co Ltd		451,344
	65,300	Mitsubishi Materials Corp		2,168,011
	308,000	Mitsui Mining & Smelting Co Ltd		1,015,075
	900	Nittetsu Mining Co Ltd		46,361
	61,000	Sumitomo Metal Mining Co Ltd		847,439

		Total Japan		6,092,109


		Kazakhstan — 0.0%
	8,156	KazMunaiGas Exploration Production JSC GDR (Registered Shares) ^*		84,203


		Netherlands — 0.7%
	28,099	Fugro NV CVA ^*		448,333
	65,361	SBM Offshore NV		1,006,061

		Total Netherlands		1,454,394


		Norway — 6.5%
	173,731	Austevoll Seafood ASA		1,533,753
	9,553	Bakkafrost P/F		355,514
	68,983	Fred Olsen Energy ASA ^*		188,218
	138,585	Grieg Seafood ASA		1,281,513
	8,577	Leroy Seafood Group ASA		452,885
	43,631	Ocean Yield ASA		312,162
	146,717	Petroleum Geo-Services ASA ^*		411,802
	7,209	Prosafe SE ^*		33,376
	24,942	Salmar ASA		630,207


		See accompanying notes to the financial statements.		29

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Norway — continued
	151,222	Statoil ASA		2,666,226
	112,133	Subsea 7 SA ^*		1,583,925
	53,311	TGS Nopec Geophysical Co ASA		1,169,539
	86,917	Yara International ASA		3,299,688

		Total Norway		13,918,808


		Poland — 2.1%
	140,406	KGHM Polska Miedz SA		4,445,383


		Russia — 10.7%
	1,086,830	Gazprom Neft PJSC		4,260,893
	209,251	Gazprom PJSC Sponsored ADR		934,006
	95,638	Lukoil PJSC Sponsored ADR		5,071,127
	26,344	Novatek PJSC Sponsored GDR (Registered)		3,414,724
	55,325	PhosAgro PJSC GDR (Registered)		762,395
	302,262	Ros Agro Plc GDR (Registered)		4,230,303
	356,158	Rosneft Oil Co PJSC GDR (Registered)		2,020,687
	9	Surgutneftegas OJSC		4
	53,906	Tatneft PJSC Sponsored ADR		1,890,322
	55,853	TMK PJSC GDR (Registered)		290,250

		Total Russia		22,874,711


		Singapore — 1.3%
	956,800	Ezion Holdings Ltd ^*		252,091
	2,725,600	Ezra Holdings Ltd ^*		36,930
	428,200	First Resources Ltd		574,575
	6,613,600	Golden Agri-Resources Ltd		1,790,137
	569,600	Indofood Agri Resources Ltd		210,956

		Total Singapore		2,864,689


		South Africa — 1.5%
	117,091	African Rainbow Minerals Ltd		904,018
	69,060	Sasol Ltd		1,964,479
	39,531	Tongaat Hulett Ltd		381,744

		Total South Africa		3,250,241


		South Korea — 0.3%
	16,023	Poongsan Corp		579,724
	466	Poongsan Holdings Corp		20,010

		Total South Korea		599,734


		Spain — 1.9%
	102,385	Endesa SA		2,177,663
	120,482	Iberdrola SA		799,974
	66,188	Repsol SA		979,139

		Total Spain		3,956,776


		Sweden — 0.3%
	11,273	Boliden AB		343,272


Shares		Description	Value ($)
		Sweden — continued
	42,212	Tethys Oil AB		331,377

		Total Sweden		674,649


		Thailand — 1.5%
	438,464	PTT Exploration & Production Pcl (Foreign Registered)		1,166,785
	174,494	PTT Pcl (Foreign Registered)		1,984,293

		Total Thailand		3,151,078


		Turkey — 0.3%
	295,694	Gubre Fabrikalari TAS		400,256
	544,724	Koza Anadolu Metal Madencilik Isletmeleri AS ^*		309,860

		Total Turkey		710,116


		Ukraine — 1.2%
	127,223	Kernel Holding SA		2,454,785


		United Arab Emirates — 0.1%
	1,300,490	Dana Gas PJSC ^*		162,805


		United Kingdom — 24.1%
	85,496	Amec Foster Wheeler Plc		467,386
	542,762	Anglo American Plc ^*		8,522,153
	454,583	BHP Billiton Plc		7,326,942
	348,817	BP Plc		1,966,864
	672,167	EnQuest Plc ^*		403,278
	2,446,711	Glencore Plc ^*		9,753,971
	35,690	Hunting Plc		234,967
	20,148	John Wood Group Plc		189,099
	75,585	Petrofac Ltd		837,264
	309,350	Premier Oil Plc ^*		267,270
	268,578	Rio Tinto Plc		11,007,988
	209,261	Royal Dutch Shell Plc A Shares (London)		5,415,210
	169,999	Royal Dutch Shell Plc B Shares (London)		4,601,634
	10,375	TechnipFMC Plc ^*		334,629

		Total United Kingdom		51,328,655


		United States — 12.5%
	8,932	Apache Corp.		469,734
	36,700	Atwood Oceanics, Inc. ^*		385,717
	133,047	Chesapeake Energy Corp. ^*		725,106
	5,409	ConocoPhillips		257,306
	236,808	Denbury Resources, Inc. ^*		641,750
	13,700	Devon Energy Corp.		594,032
	60,100	Diamond Offshore Drilling, Inc. ^*		1,012,084
	184,900	Ensco Plc – Class A		1,800,926
	30,300	First Solar, Inc. ^*		1,096,557
	363,944	Freeport-McMoRan, Inc. ^*		4,876,849
	42,000	Joy Global, Inc.		1,183,980


30		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)

February 28, 2017


Shares		Description	Value ($)
		United States — continued
	87,204	Mosaic Co. (The)		2,719,893
	16,800	Murphy Oil Corp.		475,272
	45,700	Nabors Industries Ltd.		669,048
	29,200	National Oilwell Varco, Inc.		1,180,264
	208,600	Noble Corp Plc		1,393,448
	43,500	Northern Oil and Gas, Inc. ^*		130,500
	24,000	Oasis Petroleum, Inc. ^*		339,840
	71,800	Rowan Cos., Plc – Class A ^*		1,301,016
	24,258	SM Energy Co.		597,960
	276,455	SolarEdge Technologies, Inc. ^*		4,050,066
	14,600	Southwestern Energy Co. ^*		109,646
	28,400	Tidewater, Inc. ^*		38,624
	22,400	Unit Corp. ^*		607,936

		Total United States		26,657,554


		TOTAL COMMON STOCKS (COST $146,200,779)		183,258,788


		PREFERRED STOCKS — 10.5%

		Brazil — 4.1%
	1,170,300	Bradespar SA		8,778,656


		Chile — 4.7%
	27,714	Sociedad Quimica y Minera de Chile SA – Class B		870,344
	287,378	Sociedad Quimica y Minera de Chile SA Sponsored ADR		9,052,407

		Total Chile		9,922,751


		Russia — 1.7%
	21,740	Bashneft PJSC		479,873
	4,491,384	Surgutneftegas OJSC		2,448,817
	201,481	Tatneft PJSC		731,515

		Total Russia		3,660,205


		TOTAL PREFERRED STOCKS (COST $11,909,647)		22,361,612


		MUTUAL FUNDS — 2.9%

		United States — 2.9%
		Affiliated Issuers — 2.9%
	246,003	GMO U.S. Treasury Fund		6,150,081


		TOTAL MUTUAL FUNDS (COST $6,149,300)		6,150,081


Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.3%

		Time Deposits — 0.3%
	546,928	Barclays (London) Time Deposit, 0.36%, due 03/01/17		546,928
CAD	5,815	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 03/01/17		4,378
NOK	49,184	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 03/01/17		5,867

		Total Time Deposits		557,173


		TOTAL SHORT-TERM INVESTMENTS (COST $557,173)		557,173


		TOTAL INVESTMENTS — 99.8% (Cost $164,816,899)		212,327,654
		Other Assets and Liabilities (net) — 0.2%		493,714


		TOTAL NET ASSETS — 100.0%		$212,821,368

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

*	Non-income producing security.


		See accompanying notes to the financial statements.		31

GMO Risk Premium Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI World Index is included for comparative purposes.

Class III shares of GMO Risk Premium Fund returned +19.50% (net) for the fiscal year ended February 28, 2017, as compared with +21.26% for the MSCI World Index.

Because the Fund gains its investment exposure by writing (selling) options on equity indices, the Fund typically benefits (relative to equity markets) when there is depreciation, or modest growth, in equity markets. During periods when equity markets increase sharply, such as during the Fund’s fiscal period, the Fund may tend to underperform the equity markets. The Fund’s geographic exposure during the fiscal year was mainly in the U.S. and Europe, with positions in Europe making the largest positive contribution to performance.

GMO Risk Premium Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Risk Premium Fund Class III Shares and the MSCI World Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .15% on the purchase and .15% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

For the period from November 15, 2012 to December 14, 2012, no Class III shares were outstanding. Performance for that period is that of Class VI, which has lower expenses. Therefore, the performance shown is higher than it would have been if Class III expenses had been applied throughout.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Risk Premium Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Short-Term Investments		98.5	%
Written Options		(0.7	)
Other		2.2

		100.0	%

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

GMO Risk Premium Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 98.5%

		U.S. Government — 98.5%
	45,800,000	U.S. Treasury Bill, 0.40%, due 03/16/17^(a)(b)		45,791,939
	10,400,000	U.S. Treasury Bill, 0.41%, due 03/23/17^(a)		10,397,338
	35,400,000	U.S. Treasury Bill, 0.63%, due 07/20/17^(a)(b)		35,313,234
	7,000,000	U.S. Treasury Bill, 0.71%, due 08/24/17^(a)		6,976,109
	20,000,000	U.S. Treasury Bill, 0.81%, due 12/07/17^(a)(b)		19,875,780
	20,000,000	U.S. Treasury Bill, 0.82%, due 01/04/18^(a)(b)		19,860,940
	20,000,000	U.S. Treasury Bill, 0.82%, due 02/01/18^(a)(b)		19,848,820

		Total U.S. Government		158,064,160


Shares		Description	Value ($)
		Money Market Funds — 0.0%
	19,234	State Street Institutional Treasury Money Market Fund-Premier Class, 0.42%^(c)		19,234


		TOTAL SHORT-TERM INVESTMENTS (COST $158,099,801)		158,083,394


		TOTAL INVESTMENTS — 98.5% (Cost $158,099,801)		158,083,394
		Other Assets and Liabilities (net) — 1.5%		2,340,333


		TOTAL NET ASSETS — 100.0%		$160,423,727

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Written Options

Index Options



Number of Contracts		Expiration Date	Description	Premiums		Value
Put	3,046	03/17/2017	Euro STOXX 50, Strike 3,275	$	1,290,100	$	(768,911	)
Put	223	03/17/2017	S&P 500 Index, Strike 2,345		523,147		(343,420	)

				$	1,813,247	$	(1,112,331	)

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

(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)	The rate disclosed is the 7 day net yield as of February 28, 2017.


		See accompanying notes to the financial statements.		35

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Portfolio Managers

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team and the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI EAFE Index is included for comparative purposes.

GMO Tax-Managed International Equities Fund returned +15.05% (net) for the fiscal year ended February 28, 2017, as compared with +15.75% for the MSCI EAFE Index. The MSCI EAFE Index (after tax) returned +14.12% for the same period.

The Fund’s exposure to emerging markets was the largest positive contributor to performance relative to the benchmark. Among developed countries, an underweight position in Australia and an overweight position in Israel had the largest negative impacts on performance, but these were largely offset by underweight positions in Denmark and Switzerland. The Fund’s modest cash holdings were a drag on relative performance, given the strong returns generated by equities.

Allocation between sectors proved modestly positive relative to the benchmark, driven by a strong contribution from an underweight position in Health Care. Stock selection was also a modestly positive contributor to relative performance. Underperformance in Information Technology, Consumer Staples, and Consumer Discretionary was countered by strong relative returns in Financials and Materials.

Top stock detractors included overweight positions in KDDI Corporation (a Japanese telecom company), Teva Pharmaceutical Industries Ltd (an Israeli headquartered generics producer), and Next plc (a British multinational retailer). Top stock contributors included overweight positions in Tosoh Corporation (a Japanese chemical company) and Bluescope Steel limited (primarily located in Australasia), as well as having no exposure to BT Group plc (a British telecom company).

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $5,000,000 Investment in

GMO Tax-Managed International Equities Fund Class III Shares and the MSCI EAFE After Tax Index

As of February 28, 2017

LOGO

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		97.0	%
Preferred Stocks		1.9
Mutual Funds		0.4
Short-Term Investments		0.2
Rights/Warrants		0.0	^
Futures Contracts		(0.0	)^
Other		0.5

		100.0	%


Country Summary*	% of Investments
Japan		19.8	%
United Kingdom		15.1
Germany		10.4
France		8.6
Australia		7.2
Switzerland		5.5
Other Developed		3.9	‡
Italy		3.2
Other Emerging		3.0	†
Hong Kong		2.8
China		2.8
Netherlands		2.7
Canada		1.9
Spain		1.9
South Korea		1.8
Norway		1.5
Finland		1.5
Taiwan		1.5
Singapore		1.4
Israel		1.2
Sweden		1.2
Brazil		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.

‡	“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

†	“Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.


Industry Group Summary	% of Equity Investments^#
Materials		10.7	%
Banks		10.0
Capital Goods		9.3
Automobiles & Components		7.7
Insurance		6.9
Real Estate		6.1
Energy		6.0
Pharmaceuticals, Biotechnology & Life Sciences		5.8
Telecommunication Services		4.8
Food, Beverage & Tobacco		4.0
Transportation		3.5
Diversified Financials		2.9
Software & Services		2.8
Utilities		2.7
Technology Hardware & Equipment		2.6
Consumer Durables & Apparel		2.3
Household & Personal Products		2.0
Food & Staples Retailing		1.9
Media		1.8
Retailing		1.6
Health Care Equipment & Services		1.3
Commercial & Professional Services		1.3
Consumer Services		1.1
Semiconductors & Semiconductor Equipment		0.9

		100.0	%

^	Rounds to 0.0%.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 97.0%

		Australia — 7.2%
	20,206	Adelaide Brighton Ltd		83,169
	3,595	ASX Ltd		141,069
	8,317	Australia & New Zealand Banking Group Ltd		196,848
	43,210	BHP Billiton Ltd		817,883
	66,140	BlueScope Steel Ltd		618,580
	5,751	BT Investment Management Ltd		42,650
	14,851	BWP Trust (REIT)		32,439
	4,944	Caltex Australia Ltd		106,629
	12,692	Challenger Ltd		111,201
	6,452	CIMIC Group Ltd		186,791
	1,982	CSL Ltd		179,003
	34,056	CSR Ltd		109,060
	43,941	Dexus Property Group (REIT)		317,876
	25,601	Fortescue Metals Group Ltd		129,607
	21,637	Genworth Mortgage Insurance Australia Ltd		46,575
	77,239	GPT Group (The) (REIT)		291,743
	56,225	Incitec Pivot Ltd		158,081
	30,400	Investa Office Fund (REIT)		108,840
	19,962	LendLease Group		232,903
	3,180	Macquarie Group Ltd		210,870
	208,710	Mirvac Group (REIT)		343,723
	53,267	Orora Ltd		121,260
	29,645	OZ Minerals Ltd		210,933
	31,324	Primary Health Care Ltd		79,196
	9,739	Rio Tinto Ltd		461,731
	134,648	Scentre Group (REIT)		449,981
	20,186	Sonic Healthcare Ltd		332,812
	67,505	South32 Ltd		128,521
	64,473	Spotless Group Holdings Ltd		40,522
	21,251	Star Entertainment Grp Ltd (The)		79,414
	63,221	Stockland (REIT)		228,667
	108,218	Telstra Corp Ltd		399,698
	38,966	Vicinity Centres (REIT)		86,296
	17,067	Wesfarmers Ltd		558,621
	16,176	Westfield Corp (REIT)		109,088
	17,834	Woodside Petroleum Ltd		427,784
	14,510	WorleyParsons Ltd ^*		118,159

		Total Australia		8,298,223


		Austria — 0.8%
	88,088	Immofinanz AG (Entitlement Shares) ^{* (a)}		—
	7,133	OMV AG		272,661
	6,670	Raiffeisen Bank International AG ^*		147,926
	10,830	voestalpine AG		455,038

		Total Austria		875,625


		Belgium — 0.4%
	4,398	Ageas		167,199


Shares		Description	Value ($)
		Belgium — continued
	2,642	Groupe Bruxelles Lambert SA		223,883
	3,798	Proximus SADP		111,664

		Total Belgium		502,746


		Brazil — 0.4%
	7,100	Ambev SA		40,624
	7,400	Banco do Brasil SA		78,368
	4,000	BB Seguridade Participacoes SA		36,659
	12,200	BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros		74,327
	9,400	JBS SA		35,289
	9,100	Kroton Educacional SA		39,881
	10,400	MRV Engenharia e Participacoes SA		47,578
	6,200	Transmissora Alianca de Energia Eletrica SA		43,826
	2,400	Vale SA		25,073

		Total Brazil		421,625


		Canada — 1.9%
	4,300	Alimentation Couche-Tard Inc – Class B		191,205
	1,600	Canadian Tire Corp Ltd – Class A		183,466
	900	CCL Industries Inc – Class B		191,296
	7,400	CGI Group Inc – Class A ^*		340,193
	12,900	CI Financial Corp		263,011
	3,200	Great-West Lifeco Inc		87,312
	12,020	Metro Inc		350,500
	4,700	Power Corp of Canada		109,343
	2,900	Russel Metals Inc		57,926
	7,200	Sun Life Financial Inc		261,286
	2,200	Toromont Industries Ltd		76,740
	3,600	Transcontinental Inc – Class A		54,832
	2,500	Westshore Terminals Investment Corp		50,821

		Total Canada		2,217,931


		China — 2.8%
	4,500	AAC Technologies Holdings Inc		47,340
	18,500	Anhui Conch Cement Co Ltd – Class H		64,408
	13,000	ANTA Sports Products Ltd		39,331
	46,000	Beijing Capital International Airport Co Ltd – Class H		49,294
	107,000	Belle International Holdings Ltd		73,670
	31,000	China Communications Construction Co Ltd – Class H		40,000
	90,000	China Communications Services Corp Ltd – Class H		60,096
	9,000	China Galaxy Securities Co Ltd – Class H		8,818
	26,000	China Mengniu Dairy Co Ltd		51,118
	14,500	China Mobile Ltd		159,936
	88,000	China National Building Material Co Ltd – Class H		64,170
	8,000	China Overseas Land & Investment Ltd		24,604


		See accompanying notes to the financial statements.		39

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		China — continued
	262,000	China Petroleum & Chemical Corp – Class H		203,088
	15,000	China Railway Construction Corp Ltd – Class H		21,208
	13,000	China Railway Group Ltd – Class H		11,356
	90,000	China Resources Cement Holdings Ltd		46,799
	20,000	China Resources Land Ltd		54,566
	24,000	China Resources Power Holdings Co Ltd		43,435
	38,000	China Shenhua Energy Co Ltd – Class H		79,513
	48,000	China Southern Airlines Co Ltd – Class H		31,209
	184,000	China Telecom Corp Ltd – Class H		86,533
	118,000	China Travel International Investment Hong Kong Ltd		34,951
	98,000	CNOOC Ltd		115,933
	16,000	Country Garden Holdings Co Ltd		11,457
	122,000	Datang International Power Generation Co Ltd – Class H		35,680
	44,000	Dongfeng Motor Group Co Ltd – Class H		52,174
	85,000	Geely Automobile Holdings Ltd		115,543
	52,000	Great Wall Motor Co Ltd – Class H		63,858
	34,000	Guangdong Investment Ltd		46,320
	23,200	Guangzhou R&F Properties Co Ltd – Class H		32,032
	12,000	Haitian International Holdings Ltd		25,248
	39,000	Huabao International Holdings Ltd ^*		20,951
	58,000	Huadian Power International Corp Ltd – Class H		25,467
	32,000	Huaneng Power International Inc – Class H		21,833
	36,000	Jiangsu Expressway Co Ltd – Class H		47,490
	24,500	Kingboard Chemical Holdings Ltd		86,623
	32,000	Kingboard Laminates Holdings Ltd		35,844
	28,000	Kunlun Energy Co Ltd		24,326
	43,000	Lee & Man Paper Manufacturing Ltd		38,959
	16,000	Lenovo Group Ltd		9,596
	10,000	Minth Group Ltd		31,821
	400	NetEase Inc ADR		122,024
	70,000	People’s Insurance Co Group of China Ltd (The) – Class H		28,747
	17,000	Ping An Insurance Group Co of China Ltd – Class H		90,558
	13,000	Shanghai Industrial Holdings Ltd		36,277
	17,800	Shanghai Pharmaceuticals Holding Co Ltd – Class H		45,829
	36,000	Shenzhen Expressway Co Ltd – Class H		33,248
	30,000	Shenzhen International Holdings Ltd		43,013
	29,000	Shimao Property Holdings Ltd		41,624
	200	SINA Corp ^*		13,906
	25,000	Sino Biopharmaceutical Ltd		21,546
	43,500	Sinopec Engineering Group Co Ltd – Class H		39,544
	11,200	Sinopharm Group Co Ltd – Class H		51,793
	78,000	Skyworth Digital Holdings Ltd		50,605
	400	Sohu.com Inc ^*		15,932
	2,000	Sunny Optical Technology Group Co Ltd		12,880


Shares		Description	Value ($)
		China — continued
	12,300	Tencent Holdings Ltd		326,405
	34,000	TravelSky Technology Ltd – Class H		74,143
	48,000	Zhejiang Expressway Co Ltd – Class H		53,984

		Total China		3,238,656


		Czech Republic — 0.1%
	1,996	CEZ AS		35,227
	1,007	Komercni Banka as		36,199

		Total Czech Republic		71,426


		Denmark — 0.7%
	223	AP Moeller – Maersk A/S – Class B		362,602
	3,900	Danske Bank A/S		129,991
	7,996	Novo Nordisk A/S – Class B		283,114

		Total Denmark		775,707


		Finland — 1.5%
	2,834	Amer Sports Oyj		67,239
	11,148	Fortum Oyj		170,941
	6,666	Neste Oyj		232,022
	26,852	Nokia Oyj		137,481
	7,065	Nokian Renkaat Oyj		277,679
	3,416	Sampo Oyj – A Shares		155,499
	29,504	UPM-Kymmene Oyj		699,737

		Total Finland		1,740,598


		France — 8.5%
	55,739	Air France-KLM ^*		392,810
	3,891	Atos SE		460,284
	53,454	AXA SA		1,262,478
	9,845	BNP Paribas SA		576,035
	9,672	Bouygues SA		373,066
	3,431	Capgemini SA		293,872
	2,075	Christian Dior SE		439,942
	5,074	Cie Generale des Etablissements Michelin		571,303
	16,002	GDF Suez Strip – VVPR ^{* (a)}		—
	988	Gecina SA (REIT)		125,703
	1,013	IPSOS		32,631
	1,162	L’Oreal SA		216,334
	1,307	Nexity SA		63,070
	18,104	Peugeot SA ^*		345,075
	1,978	Plastic Omnium SA		66,814
	6,094	Renault SA		540,920
	2,326	Sanofi		200,636
	4,961	Schneider Electric SE		336,134
	477	SEB SA		62,925
	23,786	Societe Generale SA		1,057,230
	5,997	STMicroelectronics NV		91,460
	42,029	TOTAL SA		2,097,078


40		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)

February 28, 2017


Shares		Description	Value ($)
		France — continued
	3,079	Valeo SA		189,616
	5,325	Veolia Environnement SA		87,266

		Total France		9,882,682

		Germany — 9.5%
	9,847	Allianz SE (Registered)		1,715,026
	1,759	Axel Springer SE		91,926
	4,765	BASF SE		443,306
	4,667	Bayer AG		513,687
	11,111	Bayerische Motoren Werke AG		992,169
	1,465	Continental AG		296,931
	20,147	Daimler AG (Registered)		1,463,619
	21,417	Deutsche Lufthansa AG (Registered)		313,567
	6,303	Deutsche Post AG (Registered)		216,012
	13,216	Deutsche Telekom AG (Registered)		228,205
	4,913	Duerr AG		407,082
	689	Fielmann AG		51,001
	8,079	Freenet AG		240,810
	3,254	Fresenius SE & Co KGaA		258,346
	919	Grammer AG		54,845
	1,909	Hannover Rueck SE		215,365
	4,841	HeidelbergCement AG		451,971
	7,457	K+S AG (Registered)		174,153
	5,614	Leoni AG		225,105
	5,077	METRO AG		157,339
	3,573	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		674,929
	4,401	ProSiebenSat.1 Media SE		176,290
	1,776	RTL Group SA		136,545
	9,783	Siemens AG (Registered)		1,271,798
	1,476	Volkswagen AG		223,566

		Total Germany		10,993,593


		Hong Kong — 2.8%
	111,000	BOC Hong Kong Holdings Ltd		438,496
	31,000	CK Hutchison Holdings Ltd		382,901
	11,000	CLP Holdings Ltd		111,881
	21,600	Dah Sing Banking Group Ltd		42,032
	46,000	First Pacific Co Ltd		33,687
	25,600	Henderson Land Development Co Ltd		148,670
	33,500	Hongkong Land Holdings Ltd		228,608
	16,000	Hysan Development Co Ltd		74,601
	29,000	Kerry Properties Ltd		88,869
	91,500	Link (REIT)		630,940
	80,000	Sino Land Co Ltd		139,242
	24,500	Swire Pacific Ltd – Class A		252,195
	116,000	WH Group Ltd		90,565
	58,000	Wharf Holdings Ltd (The)		459,500
	25,000	Wheelock & Co Ltd		162,369

		Total Hong Kong		3,284,556


Shares		Description	Value ($)
		Hungary — 0.1%
	684	MOL Hungarian Oil & Gas Plc		46,895
	1,732	OTP Bank Plc		50,283
	1,622	Richter Gedeon Nyrt		35,967

		Total Hungary		133,145


		India — 0.6%
	822	Bharat Petroleum Corp Ltd		8,239
	9,646	Cairn India Ltd		41,005
	6,091	HCL Technologies Ltd		76,592
	173	Hero MotoCorp Ltd		8,113
	7,074	Hindalco Industries Ltd		19,499
	1,057	Hindustan Petroleum Corp Ltd		8,526
	4,652	Indiabulls Housing Finance Ltd		60,559
	10,700	Infosys Ltd Sponsored ADR		161,998
	2,163	ITC Ltd		8,463
	124	Maruti Suzuki India Ltd		11,002
	2,846	Oil & Natural Gas Corp Ltd		8,247
	1,206	Reliance Industries Ltd		22,346
	3,141	Tata Consultancy Services Ltd		115,728
	8,879	Tata Motors Ltd		60,669
	3,623	UPL Ltd		38,833
	2,481	Vedanta Ltd		9,603
	4,536	Wipro Ltd		33,087
	723	Yes Bank Ltd		15,710

		Total India		708,219


		Ireland — 0.3%
	13,207	Smurfit Kappa Group Plc		350,774


		Israel — 1.2%
	42,763	Bank Hapoalim BM		263,595
	55,586	Bank Leumi Le-Israel BM ^*		243,714
	74,084	Bezeq The Israeli Telecommunication Corp Ltd		132,311
	3,100	Check Point Software Technologies Ltd ^*		306,621
	959	Frutarom Industries Ltd		54,391
	11,928	Teva Pharmaceutical Industries Ltd		419,590

		Total Israel		1,420,222


		Italy — 3.3%
	289,745	A2A SPA		402,140
	13,107	Azimut Holding SPA		219,798
	37,018	Banca Mediolanum SPA		241,574
	1,351	Brembo SPA		90,783
	638	Danieli & C Officine Meccaniche SPA – RSP		10,553
	132,123	Enel SPA		567,031
	8,565	Eni SPA		132,134
	9,740	EXOR SPA		461,290
	4,099	Ferrari NV		267,357
	13,208	Fiat Chrysler Automobiles NV ^*		144,441


		See accompanying notes to the financial statements.		41

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Italy — continued
	34,764	Leonardo SPA ^*		478,036
	87,850	Mediaset SPA		360,981
	369,578	Telecom Italia SPA-RSP ^*		245,016
	35,684	Unipol Gruppo Finanziario SPA		135,413

		Total Italy		3,756,547


		Japan — 19.8%
	21,100	Acom Co Ltd ^*		88,223
	46,900	Aiful Corp ^*		144,003
	9,500	Asahi Group Holdings Ltd		335,842
	2,700	Asatsu-DK Inc		71,253
	8,900	Astellas Pharma Inc		119,886
	7,700	Bridgestone Corp		307,272
	9,300	Canon Inc		271,239
	4,400	Central Japan Railway Co		720,279
	25,300	Concordia Financial Group Ltd		134,704
	13,100	Daicel Corp		159,022
	16,700	Daiichi Sankyo Co Ltd		380,812
	4,100	Daito Trust Construction Co Ltd		573,582
	12,700	Daiwa House Industry Co Ltd		348,529
	4,100	East Japan Railway Co		370,919
	11,200	Fuji Heavy Industries Ltd		419,074
	12,500	FUJIFILM Holdings Corp		483,531
	13,000	Hanwa Co Ltd		93,227
	35,800	Haseko Corp		423,651
	6,300	Hoya Corp		285,234
	4,400	Idemitsu Kosan Co Ltd		141,775
	97,500	ITOCHU Corp		1,411,942
	9,200	Japan Airlines Co Ltd		300,649
	10,700	Japan Tobacco Inc		357,971
	13,020	K’s Holdings Corp		231,682
	3,900	Kao Corp		201,454
	54,900	KDDI Corp		1,434,676
	27,800	Kenedix Inc		109,331
	17,100	Konica Minolta Inc		164,933
	12,700	Kuraray Co Ltd		192,947
	1,900	Lawson Inc		131,130
	50,700	Leopalace21 Corp		266,068
	77,200	Marubeni Corp		499,783
	9,800	Medipal Holdings Corp		161,721
	58,900	Mitsubishi Chemical Holdings Corp		452,895
	20,100	Mitsubishi Electric Corp		453,741
	35,000	Mitsubishi Electric Corp		513,131
	4,200	Mitsubishi Materials Corp		139,443
	40,600	Mitsubishi UFJ Financial Group Inc		268,600
	26,300	Mitsui & Co Ltd		402,588
	87,000	Mitsui OSK Lines Ltd		286,778
	178,300	Mizuho Financial Group Inc		332,730
	3,100	Nagase & Co Ltd		45,072
	6,100	Nexon Co Ltd		101,384


Shares		Description	Value ($)
		Japan — continued
	23,600	Nippon Telegraph & Telephone Corp		998,264
	5,100	Nissan Chemical Industries Ltd		164,463
	70,600	Nissan Motor Co Ltd		694,663
	5,300	Nomura Real Estate Holdings Inc		89,903
	24,800	NTT DOCOMO Inc		589,197
	14,800	ORIX Corp		230,289
	13,800	Otsuka Holdings Co Ltd		628,985
	75,300	Resona Holdings Inc		420,535
	19,700	Sekisui House Ltd		315,026
	1,000	Shimamura Co Ltd		129,484
	1,100	Shin-Etsu Chemical Co Ltd		93,167
	156,600	Sojitz Corp		405,843
	42,000	Sumitomo Chemical Co Ltd		234,296
	30,600	Sumitomo Corp		411,301
	23,800	Sumitomo Mitsui Financial Group Inc		927,181
	6,000	Sumitomo Mitsui Trust Holdings Inc		215,312
	5,820	Suzuken Co Ltd		197,014
	44,200	Tokyo Electric Power Co Holdings Inc ^*		169,751
	1,500	Tokyo Electron Ltd		149,647
	80,000	Toshiba Corp ^*		146,964
	78,000	Tosoh Corp		678,572
	15,500	Toyota Tsusho Corp		462,223
	13,560	USS Co Ltd		232,399

		Total Japan		22,917,185


		Malta — 0.0%
	1,718,063	BGP Holdings Plc ^{* (a)}		26,756


		Mexico — 0.3%
	65,500	America Movil SAB de CV – Class L		41,664
	5,700	Arca Continental SAB de CV		31,987
	16,800	Gentera SAB de CV		22,217
	2,625	Gruma SAB de CV – Class B		34,482
	4,200	Grupo Aeroportuario del Pacifico SAB de CV – Class B		36,395
	2,330	Grupo Aeroportuario del Sureste SAB de CV – Class B		36,878
	7,900	Grupo Financiero Banorte SAB de CV – Class O		39,312
	20,200	OHL Mexico SAB de CV		21,194
	40,700	Wal-Mart de Mexico SAB de CV		79,206

		Total Mexico		343,335


		Netherlands — 2.7%
	3,070	Heineken Holding NV		253,543
	77,877	ING Groep NV		1,072,880
	15,331	Koninklijke Ahold Delhaize NV		326,353
	13,566	RELX NV		240,220
	10,191	TomTom NV ^*		88,536
	11,507	Unilever NV CVA		544,719


42		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)

February 28, 2017


Shares		Description	Value ($)
		Netherlands — continued
	14,998	Wolters Kluwer NV		614,715

		Total Netherlands		3,140,966


		New Zealand — 0.5%
	10,112	Fisher & Paykel Healthcare Corp Ltd		66,282
	42,712	Fletcher Building Ltd		296,733
	17,565	SKYCITY Entertainment Group Ltd		52,089
	81,592	Spark New Zealand Ltd		210,859

		Total New Zealand		625,963


		Norway — 1.5%
	14,800	DNB ASA		242,655
	62,932	Seadrill Ltd ^*		107,971
	25,510	Statoil ASA		449,772
	18,080	Subsea 7 SA ^*		255,387
	19,010	Telenor ASA		309,965
	10,327	Yara International ASA		392,051

		Total Norway		1,757,801


		Peru — 0.0%
	200	Credicorp Ltd		32,924


		Poland — 0.2%
	1,935	KGHM Polska Miedz SA		61,264
	10,534	PGE Polska Grupa Energetyczna SA		30,740
	2,146	Polski Koncern Naftowy ORLEN SA		49,693
	23,236	Polskie Gornictwo Naftowe i Gazownictwo SA		35,697
	34,693	Tauron Polska Energia SA ^*		25,585

		Total Poland		202,979


		Portugal — 0.3%
	103,463	EDP – Energias de Portugal SA		319,859


		Russia — 0.3%
	18,065	Gazprom PJSC Sponsored ADR		80,634
	2,428	Lukoil PJSC Sponsored ADR		128,743
	3,125	MMC Norilsk Nickel PJSC ADR		49,759
	2,666	Tatneft PJSC Sponsored ADR		93,489

		Total Russia		352,625


		Singapore — 1.4%
	107,000	Ascendas Real Estate Investment Trust		190,742
	61,900	CapitaLand Commercial Trust (REIT)		68,847
	55,600	CapitaLand Ltd		144,203
	66,000	CapitaLand Mall Trust (REIT)		92,698
	31,500	DBS Group Holdings Ltd		420,684
	77,400	Global Logistic Properties Ltd		146,756
	370,600	Golden Agri-Resources Ltd		100,312
	29,800	Oversea-Chinese Banking Corp Ltd		200,981


Shares		Description	Value ($)
		Singapore — continued
	11,100	Singapore Exchange Ltd		59,352
	11,643	United Overseas Bank Ltd		178,400

		Total Singapore		1,602,975


		South Africa — 0.9%
	6,241	AVI Ltd		45,285
	4,915	Barclays Africa Group Ltd		56,880
	4,867	Barloworld Ltd		42,997
	4,345	Bidvest Group Ltd (The)		51,332
	5,385	Clicks Group Ltd		52,707
	897	EOH Holdings Ltd		9,624
	7,272	FirstRand Ltd		27,505
	3,124	Hyprop Investments Ltd (REIT)		29,848
	3,269	Imperial Holdings Ltd		41,632
	3,144	Liberty Holdings Ltd		26,580
	26,440	MMI Holdings Ltd		49,539
	1,534	Mondi Ltd		35,193
	5,498	MTN Group Ltd		50,165
	3,153	Nedbank Group Ltd		58,791
	7,086	Rand Merchant Investment Holdings Ltd		21,701
	66,258	Redefine Properties Ltd (REIT)		54,887
	3,145	Resilient REIT Ltd		28,781
	10,186	RMB Holdings Ltd		49,189
	2,571	Sanlam Ltd		13,274
	3,430	Sasol Ltd		97,570
	1,201	Shoprite Holdings Ltd		17,331
	14,288	Sibanye Gold Ltd		29,274
	2,434	SPAR Group Ltd (The)		33,104
	8,140	Standard Bank Group Ltd		88,711
	6,567	Super Group Ltd ^*		17,448

		Total South Africa		1,029,348


		South Korea — 1.5%
	2,236	BNK Financial Group Inc		17,159
	357	Coway Co Ltd		28,225
	833	Dongbu Insurance Co Ltd		44,975
	135	E-MART Inc		24,810
	1,794	Hana Financial Group Inc		55,886
	952	Hankook Tire Co Ltd		50,285
	5,862	Hanwha Life Insurance Co Ltd		33,735
	303	Hyundai Department Store Co Ltd		26,634
	973	Hyundai Marine & Fire Insurance Co Ltd		27,881
	503	Hyundai Mobis Co Ltd		113,376
	716	Hyundai Motor Co		94,537
	3,479	Industrial Bank of Korea		37,978
	2,455	KB Financial Group Inc		101,342
	1,177	KB Insurance Co Ltd		27,421
	2,254	Kia Motors Corp		76,191
	298	Korea Investment Holdings Co Ltd		12,473
	1,362	Korean Reinsurance Co		13,489


		See accompanying notes to the financial statements.		43

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		South Korea — continued
	464	KT&G Corp		42,009
	2,509	LG Display Co Ltd		60,781
	154	Lotte Shopping Co Ltd		31,461
	783	Meritz Fire & Marine Insurance Co Ltd		10,662
	3,358	Mirae Asset Daewoo Co Ltd		26,477
	50	NAVER Corp		34,280
	97	NCSoft Corp		23,485
	238	POSCO		59,514
	429	Samsung Card Co Ltd		16,046
	192	Samsung Electronics Co Ltd		326,291
	246	Samsung Life Insurance Co Ltd		23,272
	2,470	Shinhan Financial Group Co Ltd		101,618
	213	Shinsegae Inc		37,571
	2,193	SK Hynix Inc		90,362
	4,761	Woori Bank		55,961

		Total South Korea		1,726,187


		Spain — 1.9%
	9,360	ACS Actividades de Construccion y Servicios SA		293,434
	7,027	Amadeus IT Group SA		326,340
	7,211	Ferrovial SA		136,607
	11,644	Gas Natural SDG SA		226,322
	9,768	Grifols SA		213,460
	59,312	Iberdrola SA		393,818
	28,805	Repsol SA		426,121
	15,924	Telefonica SA		162,106

		Total Spain		2,178,208


		Sweden — 1.2%
	3,329	Atlas Copco AB – A Shares		108,747
	3,360	JM AB		105,466
	2,808	Modern Times Group MTG AB – B Shares		90,791
	25,489	Nordea Bank AB		298,016
	6,322	Sandvik AB		85,818
	9,857	Svenska Cellulosa AB SCA – Class B		302,354
	56,073	Telefonaktiebolaget LM Ericsson – B Shares		363,821

		Total Sweden		1,355,013


		Switzerland — 5.5%
	15,133	ABB Ltd (Registered)		341,859
	632	Actelion Ltd (Registered) ^*		170,059
	5,114	Adecco Group AG (Registered)		367,730
	2,119	Baloise Holding AG (Registered)		275,784
	104	dormakaba Holding AG ^*		85,926
	228	EMS-Chemie Holding AG (Registered)		129,730
	190	Georg Fischer AG (Registered)		164,682
	158	Givaudan SA (Registered)		286,924
	212	Helvetia Holding AG (Registered)		118,973
	76	Komax Holding AG (Registered)		19,799


Shares		Description	Value ($)
		Switzerland — continued
	2,884	Kuehne & Nagel International AG (Registered)		410,614
	6,904	Logitech International SA (Registered)		199,580
	1,026	Mobilezone Holding AG (Registered)		14,849
	8,122	Nestle SA (Registered)		599,389
	1,277	Pargesa Holding SA		84,178
	868	Roche Holding AG		211,275
	455	Schindler Holding AG		87,990
	75	SGS SA (Registered)		159,349
	83	Sika AG		467,102
	1,040	Swatch Group AG (The) (Registered)		67,380
	1,804	Swiss Life Holding AG (Registered) ^*		567,499
	11,304	Swiss Re AG		1,011,095
	1,840	Zurich Insurance Group AG ^*		507,791

		Total Switzerland		6,349,557


		Taiwan — 1.5%
	38,000	Advanced Semiconductor Engineering Inc		47,410
	4,000	Asustek Computer Inc		36,092
	39,360	Chang Hwa Commercial Bank Ltd		23,509
	86,000	China Development Financial Holding Corp		22,655
	17,480	China Life Insurance Co Ltd		17,146
	8,000	Chunghwa Telecom Co Ltd		26,526
	71,000	Compal Electronics Inc		44,449
	48,800	CTBC Financial Holding Co Ltd		29,123
	69,635	First Financial Holding Co Ltd		41,106
	8,290	Foxconn Technology Co Ltd		24,748
	33,000	Fubon Financial Holding Co Ltd		53,477
	87,200	Hon Hai Precision Industry Co Ltd		253,749
	58,564	Hua Nan Financial Holdings Co Ltd – Class C		32,211
	62,000	Inventec Corp		46,052
	37,249	Lite-On Technology Corp		62,382
	65,000	Mega Financial Holding Co Ltd		50,592
	8,000	Novatek Microelectronics Corp		29,958
	8,000	Pegatron Corp		21,065
	32,000	Pou Chen Corp		43,427
	122,000	Shin Kong Financial Holding Co Ltd ^*		32,920
	21,000	Siliconware Precision Industries Co Ltd		33,082
	112,999	Taishin Financial Holding Co Ltd		44,690
	32,000	Taiwan Cement Corp		39,179
	15,600	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		490,932
	21,000	Uni-President Enterprises Corp		37,294
	154,000	United Microelectronics Corp		63,849
	86,000	Yuanta Financial Holding Co Ltd		36,380

		Total Taiwan		1,684,003


		Thailand — 0.2%
	6,500	Kasikornbank Pcl (Foreign Registered) ^(b)		35,200
	153,300	Krung Thai Bank Pcl (Foreign Registered)		85,981


44		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)

February 28, 2017


Shares		Description	Value ($)
		Thailand — continued
	8,100	PTT Pcl (Foreign Registered)		92,111

		Total Thailand		213,292


		Turkey — 0.2%
	11,009	Akbank TAS		26,229
	3,162	Arcelik AS		18,116
	28,711	Eregli Demir ve Celik Fabrikalari TAS		46,746
	9,799	Haci Omer Sabanci Holding AS		27,037
	10,322	KOC Holding AS		41,960
	995	Tupras-Turkiye Petrol Rafineriler AS		23,241
	11,485	Turkcell Iletisim Hizmetleri AS ^*		37,482
	20,383	Turkiye Is Bankasi – Class C		35,377
	20,914	Turkiye Sise ve Cam Fabrikalari AS		22,476

		Total Turkey		278,664


		United Kingdom — 15.0%
	30,536	3i Group Plc		260,920
	14,557	Anglo American Plc ^*		228,566
	19,418	AstraZeneca Plc		1,119,060
	55,298	Balfour Beatty Plc		189,503
	10,342	Berkeley Group Holdings Plc (The)		377,977
	68,857	BHP Billiton Plc		1,109,833
	26,171	BP Plc		147,570
	28,023	British American Tobacco Plc		1,770,060
	12,422	British Land Co Plc (The) (REIT)		95,137
	10,193	Bunzl Plc		285,289
	93,366	Cobham Plc		138,882
	30,058	Compass Group Plc		558,416
	2,445	CYBG Plc CDI ^*		7,938
	7,663	Diageo Plc		216,057
	26,902	Direct Line Insurance Group Plc		114,658
	28,612	DS Smith Plc		158,208
	107,656	GlaxoSmithKline Plc		2,202,956
	14,276	Halfords Group Plc		60,161
	219,074	HSBC Holdings Plc		1,759,620
	12,591	Imperial Brands Plc		592,725
	31,597	Inchcape Plc		294,296
	86,813	Kingfisher Plc		354,100
	65,970	Man Group Plc		119,865
	11,280	National Grid Plc		137,034
	3,340	Next Plc		158,681
	16,923	Persimmon Plc		432,751
	6,917	Reckitt Benckiser Group Plc		628,061
	11,408	Rio Tinto Plc		467,570
	22,138	Royal Dutch Shell Plc A Shares (London)		572,882
	10,272	Royal Dutch Shell Plc B Shares (London)		278,049
	41,424	Royal Mail Plc		213,199
	41,207	Sage Group Plc (The)		330,242
	131,645	Thomas Cook Group Plc ^*		142,636
	13,516	TUI AG		190,821


Shares		Description	Value ($)
		United Kingdom — continued
	4,951	Unilever Plc		234,883
	41,227	William Hill Plc		134,988
	71,626	WM Morrison Supermarkets Plc		215,241
	47,012	WPP Plc		1,106,024

		Total United Kingdom		17,404,859


		TOTAL COMMON STOCKS (COST $92,868,634)		112,214,774


		PREFERRED STOCKS — 1.9%

		Brazil — 0.7%
	17,980	Banco Bradesco SA		192,265
	10,300	Bradespar SA		77,263
	8,000	Centrais Eletricas Brasileiras SA – Class B ^*		63,087
	7,000	Cia Energetica de Sao Paulo – Class B		40,110
	22,900	Companhia Energetica de Minas Gerais		78,298
	10,180	Itau Unibanco Holding SA		130,363
	44,240	Itausa-Investimentos Itau SA		142,243
	10,900	Vale SA		110,027

		Total Brazil		833,656


		Germany — 0.8%
	1,092	Bayerische Motoren Werke AG		81,373
	1,185	Henkel AG & Co KGaA		148,043
	9,790	Porsche Automobil Holding SE		540,295
	1,662	Volkswagen AG		245,638

		Total Germany		1,015,349


		Russia — 0.1%
	139,020	Surgutneftegas OJSC		75,797


		South Korea — 0.3%
	322	Hyundai Motor Co		27,862
	534	Hyundai Motor Co 2nd Preference		48,125
	199	Samsung Electronics Co Ltd		263,395

		Total South Korea		339,382


		TOTAL PREFERRED STOCKS (COST $1,571,653)		2,264,184


		RIGHTS/WARRANTS — 0.0%

		Brazil — 0.0%
	782	Itausa – Investimentos Itau SA Rights, Expires 03/31/17^*		990


		TOTAL RIGHTS/WARRANTS (COST $0)		990


		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)

February 28, 2017


Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.4%

		United States — 0.4%
		Affiliated Issuers — 0.4%
	17,103	GMO U.S. Treasury Fund		427,587


		TOTAL MUTUAL FUNDS (COST $427,584)		427,587


		SHORT-TERM INVESTMENTS — 0.2%

		Time Deposits — 0.2%
AUD	56,882	Australia and New Zealand Banking Group Ltd. (Melbourne) Time Deposit, 0.74%, due 03/01/17		43,611
CAD	3,428	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.05%, due 03/01/17		2,581
NZD	840	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.05%, due 03/01/17		605
SGD	14,989	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 03/01/17		10,696
	231,275	Sumitomo (Tokyo) Time Deposit, 0.36%, due 03/01/17		231,275

		Total Time Deposits		288,768


		TOTAL SHORT-TERM INVESTMENTS (COST $288,768)		288,768


		TOTAL INVESTMENTS — 99.5% (Cost $95,156,639)		115,196,303
		Other Assets and Liabilities (net) — 0.5%		536,346


		TOTAL NET ASSETS — 100.0%		$115,732,649

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
7	Mini MSCI Emerging Markets	March 2017	$	610,925	$	(1,260	)

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

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

*	Non-income producing security.

(a)	Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

(b)	Security valued at the local price and adjusted by applying a premium or discount since holding exceeds foreign ownership limits.


46		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the S&P 500 Index is included for comparative purposes.

Class III shares of GMO U.S. Equity Allocation Fund returned +23.59% (net) for the fiscal year ended February 28, 2017, as compared with +24.98% for the S&P 500 Index.

Allocation between sectors proved positive relative to the benchmark. The largest relative contributions were from being underweight Consumer Staples, Real Estate, and Utilities. Stock selection was positive in the majority of sectors, but the magnitude of the wins was small compared to the losses and, in aggregate, stock selection was a significant detractor from relative performance. In terms of stock selection, relative performance in Information Technology and Financials was particularly detrimental, with stock selection within the Health Care sector being the largest positive contributor.

Top stock detractors included having no exposure to the strongly performing Bank of America, an overweight position in Verizon Communications, and an underweight position in Apple Inc. Top stock contributors included overweight positions in JP Morgan Chase & Co, Assured Guaranty Ltd, and Delta Air Lines.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO U.S. Equity Allocation Fund Class III Shares and the S&P 500 Index

As of February 28, 2017

LOGO

For the period from July 31, 2014 to August 8, 2016, no Class V shares were outstanding. Performance for that period is that of Class IV shares, which have higher expenses. Therefore, the performance shown is lower than it would have been if Class V expenses had been applied throughout.

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		99.2	%
Mutual Funds		0.6
Short-Term Investments		0.2
Other		0.0	^

		100.0	%


Industry Group Summary	% of Equity Investments^#
Capital Goods		10.0	%
Technology Hardware & Equipment		8.8
Software & Services		8.5
Pharmaceuticals, Biotechnology & Life Sciences		8.2
Insurance		6.7
Energy		6.4
Retailing		6.2
Health Care Equipment & Services		5.8
Semiconductors & Semiconductor Equipment		5.8
Diversified Financials		5.0
Materials		4.8
Food, Beverage & Tobacco		4.6
Banks		4.4
Automobiles & Components		3.7
Telecommunication Services		2.7
Food & Staples Retailing		2.0
Media		1.6
Commercial & Professional Services		1.5
Transportation		1.1
Consumer Durables & Apparel		1.0
Utilities		0.6
Real Estate		0.3
Consumer Services		0.2
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.

^	Rounds to 0.0%.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 99.2%

		Automobiles & Components — 3.7%
	28,800	Cooper-Standard Holding, Inc. ^*		3,225,600
	1,600	Dana, Inc.		30,224
	444,500	General Motors Co.		16,375,380
	194,600	Gentex Corp.		4,092,438
	135,700	Goodyear Tire & Rubber Co. (The)		4,756,285
	42,321	LCI Industries		4,557,972
	120,680	Lear Corp.		17,135,353
	17,100	Standard Motor Products, Inc.		820,287
	27,284	Superior Industries International, Inc.		611,161
	107,185	Thor Industries, Inc.		11,878,242
	46,265	Tower International, Inc.		1,279,227

		Total Automobiles & Components		64,762,169


		Banks — 4.4%
	4,236	American National Bankshares, Inc.		154,826
	4,500	CNB Financial Corp.		108,135
	147,746	Essent Group Ltd. ^*		5,143,038
	11,400	Federal Agricultural Mortgage Corp. – Class C		656,412
	8,800	Fifth Third Bancorp		241,472
	3,200	First Bancorp, Inc.		86,752
	3,700	German American Bancorp, Inc.		175,565
	749,863	JPMorgan Chase & Co.		67,952,585
	29,750	PennyMac Financial Services, Inc. – Class A ^*		531,037
	4,900	Territorial Bancorp, Inc.		157,878
	48,041	Walker & Dunlop, Inc. ^*		1,952,867

		Total Banks		77,160,567


		Capital Goods — 9.9%
	239,520	3M Co.		44,634,552
	42,344	AGCO Corp.		2,579,596
	24,100	Carlisle Cos, Inc.		2,489,530
	62,700	Cummins, Inc.		9,310,323
	17,551	Douglas Dynamics, Inc.		585,326
	56,600	EMCOR Group, Inc.		3,479,768
	697,671	Emerson Electric Co.		41,930,027
	52,100	General Dynamics Corp.		9,889,101
	309,400	Honeywell International, Inc.		38,520,300
	90,500	Illinois Tool Works, Inc.		11,946,905
	36,400	Parker-Hannifin Corp.		5,636,176
	115,500	Wabash National Corp.		2,442,825
	22,400	WESCO International, Inc. ^*		1,556,800

		Total Capital Goods		175,001,229


		Commercial & Professional Services — 1.5%
	265,429	ACCO Brands Corp. ^*		3,556,749
	94,308	Cintas Corp.		11,129,287
	86,242	Deluxe Corp.		6,346,549


Shares		Description	Value ($)
		Commercial & Professional Services — continued
	6,700	Heidrick & Struggles International, Inc.		163,815
	21,400	ICF International, Inc. ^*		919,130
	39,880	Korn/Ferry International		1,232,691
	64,512	Navigant Consulting, Inc. ^*		1,503,130
	15,541	TRC Cos., Inc. ^*		159,295
	51,073	TrueBlue, Inc. ^*		1,325,344
	2,700	Waste Management, Inc.		197,964

		Total Commercial & Professional Services		26,533,954


		Consumer Durables & Apparel — 1.0%
	6,400	Bassett Furniture Industries, Inc.		175,040
	130,600	Coach, Inc.		4,974,554
	4,100	CSS Industries, Inc.		100,778
	6,700	Culp, Inc.		227,800
	4,295	Flexsteel Industries, Inc.		215,953
	34,473	Helen of Troy Ltd. ^*		3,368,012
	71,700	Michael Kors Holdings Ltd ^*		2,617,050
	28,727	Tupperware Brands Corp.		1,734,823
	20,800	Whirlpool Corp.		3,714,672

		Total Consumer Durables & Apparel		17,128,682


		Consumer Services — 0.2%
	12,300	Bridgepoint Education, Inc. ^*		114,759
	18,480	Drive Shack, Inc.		77,431
	32,750	Wyndham Worldwide Corp.		2,726,110

		Total Consumer Services		2,918,300


		Diversified Financials — 5.0%
	5,221	Ares Commercial Real Estate Corp. REIT		70,588
	150,088	BlackRock Capital Investment Corp.		1,163,182
	307,537	Capital One Financial Corp.		28,865,423
	204,751	Chimera Investment Corp. REIT		3,939,409
	193,100	Discover Financial Services		13,737,134
	4,104	Encore Capital Group, Inc. ^*		136,663
	38,459	FirstCash, Inc.		1,705,657
	65,600	Franklin Resources, Inc.		2,823,424
	216,900	MFA Financial, Inc. REIT		1,739,538
	89,866	Nasdaq, Inc.		6,390,371
	120,300	New Residential Investment Corp. REIT		2,029,461
	6,573	OneMain Holdings, Inc. ^*		184,176
	65,764	PRA Group, Inc. ^*		2,683,171
	43,900	Raymond James Financial, Inc.		3,448,784
	26,212	Regional Management Corp. ^*		550,190
	256,305	T. Rowe Price Group, Inc.		18,251,479

		Total Diversified Financials		87,718,650


		Energy — 6.4%
	249,793	Chevron Corp.		28,101,712
	332,776	Denbury Resources, Inc. ^*		901,823
	35,178	Exterran Corp. ^*		1,070,818


		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)

February 28, 2017


Shares		Description	Value ($)
		Energy — continued
	9,571	Marathon Petroleum Corp.		474,722
	1,196,124	Marathon Oil Corp.		19,137,984
	210,450	McDermott International, Inc. ^*		1,548,912
	49,500	Murphy Oil Corp.		1,400,355
	166,305	Tesoro Corp.		14,167,523
	46,000	Unit Corp. ^*		1,248,440
	655,186	Valero Energy Corp.		44,519,889

		Total Energy		112,572,178


		Food & Staples Retailing — 2.0%
	496,200	Wal-Mart Stores, Inc.		35,195,466


		Food, Beverage & Tobacco — 4.6%
	237,908	Dr Pepper Snapple Group, Inc.		22,230,124
	181,113	Hormel Foods Corp.		6,384,233
	117,045	Ingredion, Inc.		14,149,570
	9,700	John B. Sanfilippo & Son, Inc.		595,580
	13,200	Omega Protein Corp.		335,940
	333,300	PepsiCo, Inc.		36,789,654

		Total Food, Beverage & Tobacco		80,485,101


		Health Care Equipment & Services — 5.8%
	239,169	Anthem, Inc.		39,419,835
	2,900	Baxter International, Inc.		147,668
	27,777	Chemed Corp.		4,959,584
	8,821	Exactech, Inc. ^*		214,350
	71,300	HCA Holdings, Inc. ^*		6,220,212
	10,100	Triple-S Management Corp. – Class B ^*		188,567
	305,643	UnitedHealth Group, Inc.		50,547,239

		Total Health Care Equipment & Services		101,697,455


		Household & Personal Products — 0.1%
	25,200	Central Garden & Pet Co. ^*		850,500
	5,600	Nutraceutical International Corp.		188,720

		Total Household & Personal Products		1,039,220


		Insurance — 6.6%
	337,499	Aflac, Inc.		24,418,053
	11,992	American Equity Investment Life Holding Co.		322,705
	9,100	American National Insurance Co.		1,092,910
	254,476	Assured Guaranty Ltd.		10,461,508
	59,804	Everest Re Group Ltd.		14,062,313
	169,076	First American Financial Corp.		6,605,799
	57,989	Hanover Insurance Group, Inc. (The)		5,220,170
	4,128	Lincoln National Corp.		289,620
	241,166	MBIA, Inc. ^*		2,488,833
	43,414	Navigators Group, Inc. (The)		2,389,941
	182,900	Principal Financial Group, Inc.		11,438,566
	4,412	Selective Insurance Group, Inc.		195,452


Shares		Description	Value ($)
		Insurance — continued
	305,472	Travelers Cos., Inc. (The)		37,340,897
	2,198	Unum Group		107,328
	2,372	W.R. Berkley Corp.		168,459

		Total Insurance		116,602,554


		Materials — 4.8%
	108,547	Avery Dennison Corp.		8,760,829
	230,100	Dow Chemical Co. (The)		14,326,026
	22,800	Greif, Inc. – Class A		1,300,284
	206,500	International Paper Co.		10,882,550
	23,600	Koppers Holdings, Inc. ^*		1,034,860
	409,080	LyondellBasell Industries NV – Class A		37,324,459
	2,700	Nucor Corp.		168,939
	49,000	Packaging Corp. of America		4,529,070
	42,000	Reliance Steel & Aluminum Co.		3,555,300
	43,100	Sonoco Products Co.		2,298,092

		Total Materials		84,180,409


		Media — 1.6%
	22,185	Meredith Corp.		1,391,000
	276,405	Omnicom Group, Inc.		23,522,065
	42,075	Scripps Networks Interactive, Inc. – Class A		3,398,398

		Total Media		28,311,463


		Pharmaceuticals, Biotechnology & Life Sciences — 8.1%
	440,818	Gilead Sciences, Inc.		31,068,853
	491,247	Johnson & Johnson		60,035,296
	206,837	PDL BioPharma, Inc.		442,631
	1,496,138	Pfizer, Inc.		51,048,228

		Total Pharmaceuticals, Biotechnology & Life Sciences		142,595,008


		Real Estate — 0.2%
	38,043	Jones Lang LaSalle, Inc.		4,363,532


		Retailing — 6.1%
	93,800	American Eagle Outfitters, Inc.		1,486,730
	162,086	Bed Bath & Beyond, Inc.		6,548,275
	260,600	Best Buy Co., Inc.		11,500,278
	33,400	Big Lots, Inc.		1,714,756
	213,195	Foot Locker, Inc.		16,132,466
	30,800	Genuine Parts Co.		2,947,868
	75,202	Guess?, Inc.		955,065
	383,075	Home Depot, Inc. (The)		55,511,398
	209,700	Macy’s, Inc.		6,966,234
	62,469	Murphy USA, Inc. ^*		3,979,275

		Total Retailing		107,742,345


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)

February 28, 2017


Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — 5.7%
	178,100	Applied Materials, Inc.		6,450,782
	1,272,816	Intel Corp.		46,075,939
	298,500	Micron Technology, Inc. ^*		6,996,840
	424,481	QUALCOMM, Inc.		23,974,687
	226,500	Texas Instruments, Inc.		17,354,430

		Total Semiconductors & Semiconductor Equipment		100,852,678


		Software & Services — 8.4%
	104,274	Accenture Plc – Class A		12,773,565
	112,873	Activision Blizzard, Inc.		5,093,958
	211,355	Amdocs Ltd.		12,818,681
	164,580	CA, Inc.		5,310,997
	3,000	Citrix Systems, Inc. ^*		236,850
	142,525	Convergys Corp.		3,118,447
	23,551	CSG Systems International, Inc.		928,145
	190,300	eBay, Inc. ^*		6,451,170
	202,264	Fiserv, Inc. ^*		23,341,266
	275,099	International Business Machines Corp.		49,468,302
	122,641	Net 1 UEPS Technologies, Inc. ^*		1,631,125
	368,758	Paychex, Inc.		22,649,116
	59,180	Sykes Enterprises, Inc. ^*		1,610,880
	30,000	Synopsys, Inc. ^*		2,143,200
	56,128	Western Union Co. (The)		1,102,354

		Total Software & Services		148,678,056


		Technology Hardware & Equipment — 8.7%
	143,065	Apple, Inc.		19,598,474
	125,207	Arrow Electronics, Inc. ^*		9,039,946
	119,564	Avnet, Inc.		5,509,509
	1,596,729	Cisco Systems, Inc.		54,576,197
	11,300	Coherent, Inc. ^*		2,063,154
	254,800	Corning, Inc.		7,035,028
	15,741	ePlus, Inc. ^*		1,998,320
	59,314	F5 Networks, Inc. ^*		8,497,917
	1,055,200	HP, Inc.		18,328,824
	26,402	Insight Enterprises, Inc. ^*		1,118,389
	26,800	NETGEAR, Inc. ^*		1,468,640
	146,193	Sanmina Corp. ^*		5,701,527
	127,300	Seagate Technology Plc		6,134,587
	58,738	Tech Data Corp. ^*		5,110,206
	91,700	Western Digital Corp.		7,049,896

		Total Technology Hardware & Equipment		153,230,614


		Telecommunication Services — 2.7%
	2,800	FairPoint Communications, Inc. ^*		44,380
	956,217	Verizon Communications, Inc.		47,457,050
	13,175	Vonage Holdings Corp. ^*		79,313

		Total Telecommunication Services		47,580,743


Shares		Description	Value ($)
		Transportation — 1.1%
	197,171	Delta Air Lines, Inc.		9,844,748
	21,366	SkyWest, Inc.		751,015
	87,700	United Parcel Service, Inc. – Class B		9,275,152

		Total Transportation		19,870,915


		Utilities — 0.6%
	17,765	Avista Corp.		708,290
	293,800	CenterPoint Energy, Inc.		8,026,616
	1,489	DTE Energy Co.		150,955
	16,200	Pinnacle West Capital Corp.		1,331,478
	900	SCANA Corp.		62,415

		Total Utilities		10,279,754


		TOTAL COMMON STOCKS (COST $1,569,945,394)		1,746,501,042


		MUTUAL FUNDS — 0.6%

		Affiliated Issuers — 0.6%
	447,204	GMO U.S. Treasury Fund		11,180,107


		TOTAL MUTUAL FUNDS (COST $11,180,107)		11,180,107


		SHORT-TERM INVESTMENTS — 0.2%

		Money Market Funds — 0.2%
	3,560,695	State Street Institutional Treasury Money Market Fund-Premier Class, 0.42%^(a)		3,560,695


		TOTAL SHORT-TERM INVESTMENTS (COST $3,560,695)		3,560,695


		TOTAL INVESTMENTS — 100.0% (Cost $1,584,686,196)		1,761,241,844
		Other Assets and Liabilities (net) — (0.0%)		(221,624	)


		TOTAL NET ASSETS — 100.0%		$1,761,020,220

Notes to Schedule of Investments:

*	Non-income producing security.

(a)	The rate disclosed is the 7 day net yield as of February 28, 2017.


		See accompanying notes to the financial statements.		53

GMO Trust Funds

Schedule of Investments — (Continued)

February 28, 2017

Portfolio Abbreviations:

ADR - American Depositary Receipt

CDI - Certificado de Deposito Interbancario

CVA - Certificaaten van aandelen (Share Certificates)

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depository Receipt

JSC - Joint-Stock Company

OJSC - Open Joint-Stock Company

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SGD - Singapore Dollar

USD - United States Dollar


54		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017


	International Equity Fund		International Large/Mid Cap Equity Fund		Quality Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	21,767,868	$	2,408,002	$	240,449,520
Investments in unaffiliated issuers, at value (Note 2)^(b)		5,786,882,360		181,590,377		8,434,689,277
Foreign currency, at value (Note 2)^(c)		430		—		17
Receivable for investments sold		34,796,428		—		—
Receivable for Fund shares sold		147,615		2,294		1,201,175
Dividends receivable		19,163,856		390,318		14,198,309
Dividend withholding tax receivable		10,755,012		1,625,451		5,596,738
Receivable for foreign currency sold		41,353		—		—
Due from broker (Note 2)		—		126,320		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		39,708		25,044		193,964
Miscellaneous receivable		17,819		855		—

Total assets		5,873,612,449		186,168,661		8,696,329,000

Liabilities:
Due to custodian		—		21,320		—
Payable for investments purchased		2,040,148		—		—
Payable for Fund shares repurchased		54,757,772		—		60,793,768
Payable to affiliate for (Note 5):
Management fee		2,319,399		54,154		2,187,890
Shareholder service fee		452,531		14,609		671,896
Payable for variation margin on open futures contracts (Note 4)		—		2,990		—
Payable to agents unaffiliated with GMO		980		—		1,260
Payable to Trustees and related expenses		13,322		1,386		13,869
Accrued expenses		642,550		223,974		458,360

Total liabilities		60,226,702		318,433		64,127,043

Net assets	$	5,813,385,747	$	185,850,228	$	8,632,201,957

^(a) Cost of investments – affiliated issuers:	$	21,767,868	$	2,407,998	$	240,432,540
^(b) Cost of investments – unaffiliated issuers:	$	5,646,269,044	$	174,458,501	$	6,731,278,460
^(c) Cost of foreign currency:	$	15,126	$	—	$	16


		See accompanying notes to the financial statements.		55

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017 — (Continued)


	International Equity Fund			International Large/Mid Cap Equity Fund			Quality Fund
Net assets consist of:
Paid-in capital	$	7,115,732,797		$	182,841,219		$	6,854,796,726
Accumulated undistributed net investment income		—			—			12,124,473
Distributions in excess of net investment income		(1,659,043	)		(801,660	)		—
Accumulated net realized gain (loss)		(1,439,917,785	)		(3,037,402	)		62,366,961
Net unrealized appreciation (depreciation)		139,229,778			6,848,071			1,702,913,797

	$	5,813,385,747		$	185,850,228		$	8,632,201,957

Net assets attributable to:
Class II	$	10,301,983		$	—		$	—

Class III	$	731,059,802		$	39,140,566		$	3,587,626,506

Class IV	$	5,072,023,962		$	146,112,404		$	1,222,873,632

Class V	$	—		$	—		$	462,677,097

Class VI	$	—		$	597,258		$	3,359,024,722

Shares outstanding:
Class II		510,582			—			—

Class III		35,813,992			1,538,603			162,719,961

Class IV		248,882,206			5,752,610			55,392,050

Class V		—			—			20,959,311

Class VI		—			23,527			152,346,830

Net asset value per share:
Class II	$	20.18		$	—		$	—

Class III	$	20.41		$	25.44		$	22.05

Class IV	$	20.38		$	25.40		$	22.08

Class V	$	—		$	—		$	22.08

Class VI	$	—			25.39			22.05


56		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017 — (Continued)


	Resources Fund		Risk Premium Fund		Tax-Managed International Equities Fund		U.S. Equity Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	6,150,081	$	—	$	427,587	$	11,180,107
Investments in unaffiliated issuers, at value (Note 2)^(b)		206,177,573		158,083,394		114,768,716		1,750,061,737
Foreign currency, at value (Note 2)^(c)		81,391		—		27,693		—
Cash		—		—		350		—
Receivable for investments sold		—		—		2,629,611		—
Dividends receivable		645,502		233		312,741		4,330,762
Dividend withholding tax receivable		27,852		—		228,534		—
Receivable for foreign currency sold		—		—		3,233		—
Due from broker (Note 2)		—		3,568,203		39,650		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		994		11,956		15,052		7,792
Miscellaneous receivable		2,210		—		398		—

Total assets		213,085,603		161,663,786		118,453,565		1,765,580,398

Liabilities:
Payable for Fund shares repurchased		55,576		—		2,510,000		3,890,735
Payable to affiliate for (Note 5):
Management fee		84,047		55,762		46,426		413,096
Shareholder service fee		17,690		7,290		13,928		85,398
Payable for variation margin on open futures contracts (Note 4)		—		—		910		—
Written options outstanding, at value (Note 4)^(d)		—		1,112,331		—		—
Payable to agents unaffiliated with GMO		28		28		28		280
Payable to Trustees and related expenses		439		307		259		3,021
Accrued expenses		106,455		64,341		149,365		167,648

Total liabilities		264,235		1,240,059		2,720,916		4,560,178

Net assets	$	212,821,368	$	160,423,727	$	115,732,649	$	1,761,020,220

^(a) Cost of investments – affiliated issuers:	$	6,149,300	$	—	$	427,584	$	11,180,107
^(b) Cost of investments – unaffiliated issuers:	$	158,667,599	$	158,099,801	$	94,729,055	$	1,573,506,089
^(c) Cost of foreign currency:	$	80,654	$	—	$	27,833	$	—
^(d) Premiums on written options:	$	—	$	1,813,247	$	—	$	—


		See accompanying notes to the financial statements.		57

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017 — (Continued)


	Resources Fund			Risk Premium Fund			Tax-Managed International Equities Fund			U.S. Equity Allocation Fund
Net assets consist of:
Paid-in capital	$	226,677,516		$	148,743,772		$	137,007,509		$	1,549,428,126
Accumulated undistributed net investment income		—			—			—			1,744,705
Distributions in excess of net investment income		(1,125,547	)		(8,343	)		(375,725	)		—
Accumulated net realized gain (loss)		(60,234,652	)		11,003,789			(40,892,988	)		33,291,741
Net unrealized appreciation (depreciation)		47,504,051			684,509			19,993,853			176,555,648

	$	212,821,368		$	160,423,727		$	115,732,649		$	1,761,020,220

Net assets attributable to:
Class III	$	22,561,741		$	5,049,216		$	115,732,649		$	109,726,387

Class IV	$	190,259,627		$	—		$	—		$	16,707,185

Class V	$	—		$	—		$	—		$	164,651,512

Class VI	$	—		$	155,374,511		$	—		$	1,469,935,136

Shares outstanding:
Class III		1,303,659			168,712			8,102,468			7,247,779

Class IV		11,027,754			—			—			1,102,339

Class V		—			—			—			10,910,819

Class VI		—			5,167,795			—			97,631,890

Net asset value per share:
Class III	$	17.31		$	29.93		$	14.28		$	15.14

Class IV	$	17.25		$	—		$	—		$	15.16

Class V	$	—		$	—		$	—		$	15.09

Class VI	$	—		$	30.07		$	—		$	15.06


58		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2017


	International Equity Fund			International Large/Mid Cap Equity Fund			Quality Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)	$	278,220,664		$	39,790,568		$	180,176,572
Dividends from affiliated issuers (Note 10)		497,582			73,394			831,750
Interest		—			3,444			—

Total investment income		278,718,246			39,867,406			181,008,322

Expenses:
Management fee (Note 5)		36,735,770			3,434,658			27,519,416
Shareholder service fee – Class II (Note 5)		119,281			—			—
Shareholder service fee – Class III (Note 5)		1,284,078			430,138			5,561,758
Shareholder service fee – Class IV (Note 5)		5,793,195			352,030			1,398,188
Shareholder service fee – Class V (Note 5)		—			—			334,093
Shareholder service fee – Class VI (Note 5)		—			124,275			1,598,695
Audit and tax fees		164,040			160,123			88,507
Custodian and fund accounting agent fees		2,578,429			516,816			1,108,072
Legal fees		140,526			28,034			171,867
Registration fees		14,622			19,877			25,278
Transfer agent fees		62,497			58,301			—
Trustees’ fees and related expenses (Note 5)		124,109			15,759			142,096
Miscellaneous		55,284			18,639			35,449

Total expenses		47,071,831			5,158,650			37,983,419
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(2,942,961	)		(734,449	)		(1,405,696	)

Net expenses		44,128,870			4,424,201			36,577,723

Net investment income (loss)		234,589,376			35,443,205			144,430,599

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(388,132,310	)		(98,821,311	)		124,346,476
Investments in affiliated issuers		144,978			16,407			(91,835	)
Realized gain distributions from affiliated issuers (Note 10)		11,487			5,414			106,967
Futures contracts		16,527,985			1,784,887			—
Foreign currency, forward contracts and foreign currency related transactions		2,020,324			(850,406	)		(174,671	)

Net realized gain (loss)		(369,427,536	)		(97,865,009	)		124,186,937

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		1,247,904,645			197,109,768			1,215,439,021
Investments in affiliated issuers		(75,879	)		4			16,980
Futures contracts		(3,066,601	)		(31,335	)		—
Foreign currency, forward contracts and foreign currency related transactions		(541,051	)		(69,220	)		51,371

Net change in unrealized appreciation (depreciation)		1,244,221,114			197,009,217			1,215,507,372

Net realized and unrealized gain (loss)		874,793,578			99,144,208			1,339,694,309

Net increase (decrease) in net assets resulting from operations	$	1,109,382,954		$	134,587,413		$	1,484,124,908

^(a)Withholding tax:	$	30,645,686		$	4,472,361		$	1,988,425


		See accompanying notes to the financial statements.		59

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2017 — (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)	$	5,717,492		$	2,856		$	6,050,418		$	64,526,560
Dividends from affiliated issuers (Note 10)		11,897			—			10,132			174,881
Interest		3,024			894,877			—			10,346

Total investment income		5,732,413			897,733			6,060,550			64,711,787

Expenses:
Management fee (Note 5)		967,286			916,981			835,283			8,966,326
Shareholder service fee – Class III (Note 5)		24,524			10,933			250,585			226,734
Shareholder service fee – Class IV (Note 5)		177,108			—			—			170,734
Shareholder service fee – Class V (Note 5)		—			—			—			74,626
Shareholder service fee – Class VI (Note 5)		—			108,067			—			1,365,473
Audit and tax fees		91,031			59,220			122,709			89,323
Custodian and fund accounting agent fees		253,188			37,706			251,895			439,173
Legal fees		11,476			13,633			9,633			51,289
Registration fees		3,953			2,622			2,830			22,273
Transfer agent fees		44,703			—			31,203			—
Trustees’ fees and related expenses (Note 5)		3,288			3,483			2,735			48,880
Miscellaneous		10,495			11,946			7,477			24,695

Total expenses		1,587,052			1,164,591			1,514,350			11,479,526
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(190,668	)		(117,778	)		(383,695	)		(611,889	)

Net expenses		1,396,384			1,046,813			1,130,655			10,867,637

Net investment income (loss)		4,336,029			(149,080	)		4,929,895			53,844,150

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(15,701,677	)		14,479			11,531,320			303,526,923
Investments in affiliated issuers		(700	)		—			2,178			20,734
Realized gain distributions from affiliated issuers (Note 10)		997			—			1,041			5,540
Futures contracts		—			79,262			1,016,633			3,180,746
Written options		—			38,536,036			—			—
Swap contracts		—			—			—			2,130,834
Foreign currency, forward contracts and foreign currency related transactions		54,668			(5,975	)		(7,219	)		(43,458	)

Net realized gain (loss)		(15,646,712	)		38,623,802			12,543,953			308,821,319	*

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		92,768,126			(10,319	)		7,389,142			274,241,286
Investments in affiliated issuers		781			—			(640	)		—
Futures contracts		—			—			(26,590	)		27,300
Written options		—			(1,966,096	)		—			—
Swap contracts		—			—			—			137,535
Foreign currency, forward contracts and foreign currency related transactions		(2,484	)		—			(15,592	)		73,685

Net change in unrealized appreciation (depreciation)		92,766,423			(1,976,415	)		7,346,320			274,479,806

Net realized and unrealized gain (loss)		77,119,711			36,647,387			19,890,273			583,301,125

Net increase (decrease) in net assets resulting from operations	$	81,455,740		$	36,498,307		$	24,820,168		$	637,145,275

^(a) Withholding tax:	$	670,861		$	—		$	672,100		$	—

*	For the details related to in-kind redemption realized gain (loss) please refer to Note 6.


60		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets


	International Equity Fund
	Year Ended February 28/29,
	2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	234,589,376		$	299,318,899
Net realized gain (loss)		(369,427,536	)		(924,763,345	)
Change in net unrealized appreciation (depreciation)		1,244,221,114			(1,542,419,667	)


Net increase (decrease) in net assets from operations		1,109,382,954			(2,167,864,113	)

Distributions to shareholders from:
Net investment income
Class II		(1,695,696	)		(2,783,157	)
Class III		(29,374,478	)		(32,069,436	)
Class IV		(231,403,335	)		(262,231,822	)

Total distributions from net investment income		(262,473,509	)		(297,084,415	)

Net share transactions (Note 9):
Class II		(77,406,799	)		(14,840,408	)
Class III		(418,557,020	)		(208,885,684	)
Class IV		(2,713,470,910	)		(2,151,296,529	)

Increase (decrease) in net assets resulting from net share transactions		(3,209,434,729	)		(2,375,022,621	)

Total increase (decrease) in net assets		(2,362,525,284	)		(4,839,971,149	)

Net assets:
Beginning of period		8,175,911,031			13,015,882,180

End of period	$	5,813,385,747		$	8,175,911,031

Accumulated undistributed net investment income	$	—		$	8,828,912

Distributions in excess of net investment income	$	(1,659,043	)	$	—


		See accompanying notes to the financial statements.		61

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	International Large/Mid Cap Equity Fund						Quality Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	35,443,205		$	52,557,744		$	144,430,599		$	158,368,071
Net realized gain (loss)		(97,865,009	)		(190,591,148	)		124,186,937			663,866,296
Change in net unrealized appreciation (depreciation)		197,009,217			(247,937,218	)		1,215,507,372			(1,095,864,748	)


Net increase (decrease) in net assets from operations		134,587,413			(385,970,622	)		1,484,124,908			(273,630,381	)

Distributions to shareholders from:
Net investment income
Class III		(8,124,692	)		(15,313,801	)		(57,275,158	)		(79,292,453	)
Class IV		(17,599,928	)		(29,419,761	)		(22,564,133	)		(35,006,780	)
Class V		—			—			(7,845,378	)		(4,512,211	)
Class VI		(14,995,054	)		(8,537,349	)		(60,728,903	)		(43,526,160	)

Total distributions from net investment income		(40,719,674	)		(53,270,911	)		(148,413,572	)		(162,337,604	)

Net realized gains
Class III		—			—			(70,068,944	)		(566,483,770	)
Class IV		—			—			(20,077,057	)		(243,748,776	)
Class V		—			—			(7,430,364	)		(29,840,319	)
Class VI		—			—			(57,344,795	)		(288,130,004	)

Total distributions from net realized gains		—			—			(154,921,160	)		(1,128,202,869	)

Net share transactions (Note 9):
Class III		(454,115,817	)		(2,029,751	)		(947,621,009	)		(568,842,100	)
Class IV		(549,754,619	)		(472,949,903	)		(265,229,455	)		(575,289,746	)
Class V		—			—			132,591,501			50,179,833
Class VI		(285,325,217	)		355,695,906			1,259,875,418			(372,760,331	)

Increase (decrease) in net assets resulting from net share transactions		(1,289,195,653	)		(119,283,748	)		179,616,455			(1,466,712,344	)

Total increase (decrease) in net assets		(1,195,327,914	)		(558,525,281	)		1,360,406,631			(3,030,883,198	)

Net assets:
Beginning of period		1,381,178,142			1,939,703,423			7,271,795,326			10,302,678,524

End of period	$	185,850,228		$	1,381,178,142		$	8,632,201,957		$	7,271,795,326

Accumulated undistributed net investment income	$	—		$	2,237,769		$	12,124,473		$	16,652,554

Distributions in excess of net investment income	$	(801,660	)	$	—		$	—		$	—


62		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Resources Fund						Risk Premium Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,336,029		$	6,229,283		$	(149,080	)	$	(1,347,990	)
Net realized gain (loss)		(15,646,712	)		(37,815,633	)		38,623,802			1,850,460
Change in net unrealized appreciation (depreciation)		92,766,423			(25,967,335	)		(1,976,415	)		(3,496,288	)


Net increase (decrease) in net assets from operations		81,455,740			(57,553,685	)		36,498,307			(2,993,818	)

Distributions to shareholders from:
Net investment income
Class III		(537,264	)		(450,778	)		—			—
Class IV		(5,489,443	)		(5,429,594	)		—			—

Total distributions from net investment income		(6,026,707	)		(5,880,372	)		—			—

Net realized gains
Class III		—			—			(544,070	)		(385,514	)
Class IV†		—			—			—			(477,401	)
Class VI		—			—			(12,713,932	)		(27,007,381	)

Total distributions from net realized gains		—			—			(13,258,002	)		(27,870,296	)

Net share transactions (Note 9):
Class III		2,267,643			(4,873,918	)		(2,521,322	)		2,420,526
Class IV†		(49,883,908	)		109,707,099			—			(6,512,434	)
Class VI		—			—			(91,116,939	)		(179,700,552	)

Increase (decrease) in net assets resulting from net share transactions		(47,616,265	)		104,833,181			(93,638,261	)		(183,792,460	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		19,745			33,787			6,093			14,035
Class IV†		204,990			308,729			—			16,478
Class VI		—			—			154,283			897,087

Increase in net assets resulting from purchase premiums and redemption fees		224,735			342,516			160,376			927,600

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(47,391,530	)		105,175,697			(93,477,885	)		(182,864,860	)

Total increase (decrease) in net assets		28,037,503			41,741,640			(70,237,580	)		(213,728,974	)

Net assets:
Beginning of period		184,783,865			143,042,225			230,661,307			444,390,281

End of period	$	212,821,368		$	184,783,865		$	160,423,727		$	230,661,307

Accumulated undistributed net investment income	$	—		$	323,736		$	—		$	—

Distributions in excess of net investment income	$	(1,125,547	)	$	—		$	(8,343	)	$	(100,672	)

† Class IV of Risk Premium Fund liquidated on February 25, 2016.


		See accompanying notes to the financial statements.		63

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Tax-Managed International Equities Fund						U.S. Equity Allocation Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,929,895		$	9,430,122		$	53,844,150		$	90,905,365
Net realized gain (loss)		12,543,953			(30,155,203	)		308,821,319			399,793,966
Change in net unrealized appreciation (depreciation)		7,346,320			(57,099,819	)		274,479,806			(850,530,072	)


Net increase (decrease) in net assets from operations		24,820,168			(77,824,900	)		637,145,275			(359,830,741	)

Distributions to shareholders from:
Net investment income
Class III		(5,479,378	)		(10,648,298	)		(3,242,235	)		(2,736,725	)
Class IV		—			—			(3,297,483	)		(6,908,903	)
Class V		—			—			(2,051,735	)		—
Class VI		—			—			(54,438,157	)		(77,939,183	)

Total distributions from net investment income		(5,479,378	)		(10,648,298	)		(63,029,610	)		(87,584,811	)

Net realized gains
Class III		—			—			(10,903,518	)		(18,059,938	)
Class IV		—			—			(4,144,649	)		(40,178,877	)
Class V		—			—			(14,444,911	)		—
Class VI		—			—			(169,453,338	)		(471,741,711	)

Total distributions from net realized gains		—			—			(198,946,416	)		(529,980,526	)

Net share transactions (Note 9):
Class III		(119,585,524	)		(122,597,127	)		(102,529,429	)		(59,318,618	)
Class IV		—			—			(534,602,197	)		154,174,391
Class V		—			—			162,994,661			—
Class VI		—			—			(2,687,005,631	)		(1,320,602,585	)

Increase (decrease) in net assets resulting from net share transactions		(119,585,524	)		(122,597,127	)		(3,161,142,596	)		(1,225,746,812	)

Total increase (decrease) in net assets		(100,244,734	)		(211,070,325	)		(2,785,973,347	)		(2,203,142,890	)

Net assets:
Beginning of period		215,977,383			427,047,708			4,546,993,567			6,750,136,457

End of period	$	115,732,649		$	215,977,383		$	1,761,020,220		$	4,546,993,567

Accumulated undistributed net investment income	$	—		$	—		$	1,744,705		$	11,963,097

Distributions in excess of net investment income	$	(375,725	)	$	(179,152	)	$	—		$	—


64		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND


	Class II Shares																				Class III Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017				2016				2015				2014				2013				2017				2016				2015				2014				2013
Net asset value, beginning of period		$	18.17			$	23.43			$	26.16			$	20.94			$	20.18			$	18.38			$	23.70			$	26.44			$	21.16			$	20.39

Income (loss) from investment operations:
Net investment income (loss)†^(a)			0.70				0.57				0.66				0.80				0.56				0.63				0.59				0.69				0.86				0.56
Net realized and unrealized gain (loss)			2.07				(5.19	)			(1.42	)			4.88				0.85				2.19				(5.25	)			(1.45	)			4.90				0.88

Total from investment operations			2.77				(4.62	)			(0.76	)			5.68				1.41				2.82				(4.66	)			(0.76	)			5.76				1.44

Less distributions to shareholders:
From net investment income			(0.76	)			(0.64	)			(1.07	)			(0.46	)			(0.65	)			(0.79	)			(0.66	)			(1.08	)			(0.48	)			(0.67	)
From net realized gains			—				—				(0.90	)			—				—				—				—				(0.90	)			—				—

Total distributions			(0.76	)			(0.64	)			(1.97	)			(0.46	)			(0.65	)			(0.79	)			(0.66	)			(1.98	)			(0.48	)			(0.67	)

Net asset value, end of period		$	20.18			$	18.17			$	23.43			$	26.16			$	20.94			$	20.41			$	18.38			$	23.70			$	26.44			$	21.16

Total Return^(b)			15.45	%			(19.99	)%			(2.55	)%			27.41	%			7.23	%			15.53	%			(19.95	)%			(2.50	)%			27.53	%			7.30	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	10,302			$	81,206			$	118,737			$	139,401			$	169,056			$	731,060			$	1,043,305			$	1,523,128			$	1,555,509			$	1,540,203
Net expenses to average daily net assets^(c)			0.72	%			0.72	%			0.72	%			0.72	%^(d)			0.72	%^(d)			0.65	%			0.65	%			0.65	%			0.65	%^(d)			0.65	%^(d)
Net investment income (loss) to average daily net assets^(a)			3.62	%			2.65	%			2.63	%			3.47	%			2.87	%			3.16	%			2.70	%			2.73	%			3.62	%			2.82	%
Portfolio turnover rate			27	%^(e)			75	%			70	%			48	%			40	%			27	%^(e)			75	%			70	%			48	%			40	%
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	%			0.04	%			0.04	%			0.04	%			0.04	%


	Class IV Shares
	Year Ended February 28/29,
	2017			2016			2015			2014			2013
Net asset value, beginning of period	$	18.36		$	23.66		$	26.41		$	21.14		$	20.37

Income (loss) from investment operations:
Net investment income (loss)†^(a)		0.63			0.62			0.67			0.89			0.54
Net realized and unrealized gain (loss)		2.19			(5.25	)		(1.42	)		4.88			0.91

Total from investment operations		2.82			(4.63	)		(0.75	)		5.77			1.45

Less distributions to shareholders:
From net investment income		(0.80	)		(0.67	)		(1.10	)		(0.50	)		(0.68	)
From net realized gains		—			—			(0.90	)		—			—

Total distributions		(0.80	)		(0.67	)		(2.00	)		(0.50	)		(0.68	)

Net asset value, end of period	$	20.38		$	18.36		$	23.66		$	26.41		$	21.14

Total Return^(b)		15.57	%		(19.85	)%		(2.47	)%		27.60	%		7.39	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	5,072,024		$	7,051,400		$	11,374,017		$	11,926,293		$	7,366,819
Net expenses to average daily net assets^(c)		0.59	%		0.59	%		0.59	%		0.59	%^(d)		0.59	%^(d)
Net investment income (loss) to average daily net assets^(a)		3.19	%		2.80	%		2.66	%		3.74	%		2.70	%
Portfolio turnover rate		27	%^(e)		75	%		70	%		48	%		40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%		0.04	%		0.04	%		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, if any.

^(b)

^(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)

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		65

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL LARGE/MID CAP EQUITY FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017				2016				2015				2014				2013				2017				2016				2015				2014				2013
Net asset value, beginning of period		$	23.46			$	30.16			$	35.20			$	28.96			$	27.50			$	23.44			$	30.14			$	35.18			$	28.94			$	27.48

Income (loss) from investment operations:
Net investment income (loss)†^(a)			0.96				0.81				0.92				1.18				0.77				1.04				0.87				0.96				1.17				0.80
Net realized and unrealized gain (loss)			2.40				(6.71	)			(2.19	)			6.56				1.62				2.34				(6.75	)			(2.21	)			6.60				1.60

Total from investment operations			3.36				(5.90	)			(1.27	)			7.74				2.39				3.38				(5.88	)			(1.25	)			7.77				2.40

Less distributions to shareholders:
From net investment income			(1.38	)			(0.80	)			(1.46	)			(1.50	)			(0.93	)			(1.42	)			(0.82	)			(1.48	)			(1.53	)			(0.94	)
From net realized gains			—				—				(2.31	)			—				—				—				—				(2.31	)			—				—

Total distributions			(1.38	)			(0.80	)			(3.77	)			(1.50	)			(0.93	)			(1.42	)			(0.82	)			(3.79	)			(1.53	)			(0.94	)

Net asset value, end of period		$	25.44			$	23.46			$	30.16			$	35.20			$	28.96			$	25.40			$	23.44			$	30.14			$	35.18			$	28.94

Total Return^(b)			14.70	%			(19.82	)%			(3.33	)%			27.30	%			8.93	%			14.79	%			(19.78	)%			(3.28	)%			27.40	%			9.00	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	39,141			$	459,614			$	592,365			$	598,840			$	621,870			$	146,112			$	641,750			$	1,346,483			$	1,262,615			$	1,394,919
Net expenses to average daily net assets^(c)			0.54	%			0.53	%			0.53	%			0.53	%^(d)			0.53	%^(d)			0.48	%			0.47	%			0.47	%			0.47	%^(d)			0.47	%^(d)
Net investment income (loss) to average daily net assets^(a)			3.84	%			2.90	%			2.80	%			3.70	%			2.87	%			4.14	%			3.08	%			2.91	%			3.69	%			2.93	%
Portfolio turnover rate			26	%^(e)			88	%			82	%			54	%			47	%			26	%^(e)			88	%			82	%			54	%			47	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.08	%			0.06	%			0.07	%			0.06	%			0.05	%			0.08	%			0.06	%			0.07	%			0.06	%			0.05	%


	Class VI Shares
	Year Ended February 28/29,
	2017			2016			2015			2014			2013
Net asset value, beginning of period	$	23.44		$	30.11		$	35.15		$	28.91		$	27.46

Income (loss) from investment operations:
Net investment income (loss)†^(a)		0.92			0.46			0.94			1.58			0.79
Net realized and unrealized gain (loss)		2.47			(6.34	)		(2.17	)		6.17			1.61

Total from investment operations		3.39			(5.88	)		(1.23	)		7.75			2.40

Less distributions to shareholders:
From net investment income		(1.44	)		(0.79	)		(1.50	)		(1.51	)		(0.95	)
From net realized gains		—			—			(2.31	)		—			—

Total distributions		(1.44	)		(0.79	)		(3.81	)		(1.51	)		(0.95	)

Net asset value, end of period	$	25.39		$	23.44		$	30.11		$	35.15		$	28.91

Total Return^(b)		14.85	%		(19.76	)%		(3.24	)%		27.39	%		9.01	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	597		$	279,814		$	855		$	319,285		$	2,481,773
Net expenses to average daily net assets^(c)		0.44	%		0.44	%		0.44	%		0.44	%^(d)		0.44	%^(d)
Net investment income (loss) to average daily net assets^(a)		3.66	%		1.76	%		2.89	%		5.24	%		2.89	%
Portfolio turnover rate		26	%^(e)		88	%		82	%		54	%		47	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.08	%		0.06	%		0.07	%		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, if any.

^(b)

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

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

^(e)

†	Calculated using average shares outstanding throughout the period.


66		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
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017				2016				2015				2014				2013				2017				2016				2015				2014				2013
Net asset value, beginning of period		$	18.99			$	22.98			$	25.08			$	23.81			$	23.41			$	19.01			$	23.01			$	25.10			$	23.83			$	23.42

Income (loss) from investment operations:
Net investment income (loss)†^(a)			0.35				0.38				0.42				0.51				0.47				0.36				0.39				0.43				0.53				0.49
Net realized and unrealized gain (loss)			3.44				(1.04	)			2.91				3.70				2.24				3.45				(1.05	)			2.92				3.70				2.24

Total from investment operations			3.79				(0.66	)			3.33				4.21				2.71				3.81				(0.66	)			3.35				4.23				2.73

Less distributions to shareholders:
From net investment income			(0.35	)			(0.42	)			(0.49	)			(0.53	)			(0.51	)			(0.36	)			(0.43	)			(0.50	)			(0.55	)			(0.52	)
From net realized gains			(0.38	)			(2.91	)			(4.94	)			(2.41	)			(1.80	)			(0.38	)			(2.91	)			(4.94	)			(2.41	)			(1.80	)

Total distributions			(0.73	)			(3.33	)			(5.43	)			(2.94	)			(2.31	)			(0.74	)			(3.34	)			(5.44	)			(2.96	)			(2.32	)

Net asset value, end of period		$	22.05			$	18.99			$	22.98			$	25.08			$	23.81			$	22.08			$	19.01			$	23.01			$	25.10			$	23.83

Total Return^(b)			20.25	%			(2.89	)%			14.73	%			18.38	%			12.39	%			20.33	%			(2.88	)%			14.81	%			18.43	%			12.47	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,587,627			$	3,968,156			$	5,336,063			$	5,747,512			$	6,682,281			$	1,222,874			$	1,294,033			$	2,201,876			$	2,134,444			$	2,079,055
Net expenses to average daily net assets^(c)			0.48	%			0.48	%			0.48	%			0.48	%^(d)			0.48	%^(d)			0.44	%			0.44	%			0.44	%			0.44	%^(d)			0.44	%^(d)
Net investment income (loss) to average daily net assets^(a)			1.72	%			1.79	%			1.71	%			2.04	%			2.02	%			1.76	%			1.83	%			1.77	%			2.07	%			2.09	%
Portfolio turnover rate			29	%^(e)			37	%			60	%			48	%			34	%			29	%^(e)			37	%			60	%			48	%			34	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%			0.02	%			0.02	%			0.01	%			0.02	%			0.02	%			0.02	%			0.02	%			0.01	%			0.02	%

	Class V Shares																				Class VI Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017				2016				2015				2014				2013				2017				2016				2015				2014				2013
Net asset value, beginning of period		$	19.01			$	23.01			$	25.10			$	23.82			$	23.42			$	18.99			$	22.99			$	25.09			$	23.82			$	23.41

Income (loss) from investment operations:
Net investment income (loss)†^(a)			0.36				0.39				0.44				0.56				0.48				0.36				0.40				0.45				0.54				0.49
Net realized and unrealized gain (loss)			3.46				(1.05	)			2.92				3.68				2.25				3.46				(1.04	)			2.90				3.70				2.25

Total from investment operations			3.82				(0.66	)			3.36				4.24				2.73				3.82				(0.64	)			3.35				4.24				2.74

Less distributions to shareholders:
From net investment income			(0.37	)			(0.43	)			(0.51	)			(0.55	)			(0.53	)			(0.38	)			(0.45	)			(0.51	)			(0.56	)			(0.53	)
From net realized gains			(0.38	)			(2.91	)			(4.94	)			(2.41	)			(1.80	)			(0.38	)			(2.91	)			(4.94	)			(2.41	)			(1.80	)

Total distributions			(0.75	)			(3.34	)			(5.45	)			(2.96	)			(2.33	)			(0.76	)			(3.36	)			(5.45	)			(2.97	)			(2.33	)

Net asset value, end of period		$	22.08			$	19.01			$	23.01			$	25.10			$	23.82			$	22.05			$	18.99			$	22.99			$	25.09			$	23.82

Total Return^(b)			20.39	%			(2.89	)%			14.86	%			18.49	%			12.45	%			20.39	%			(2.83	)%			14.83	%			18.50	%			12.53	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	462,677			$	277,186			$	267,809			$	653,307			$	455,097			$	3,359,025			$	1,732,420			$	2,496,930			$	3,675,950			$	4,140,416
Net expenses to average daily net assets^(c)			0.42	%			0.42	%			0.42	%			0.42	%^(d)			0.41	%^(d)			0.39	%			0.39	%			0.39	%			0.39	%^(d)			0.38	%^(d)
Net investment income (loss) to average daily net assets^(a)			1.72	%			1.85	%			1.81	%			2.22	%			2.05	%			1.73	%			1.88	%			1.83	%			2.13	%			2.10	%
Portfolio turnover rate			29	%^(e)			37	%			60	%			48	%			34	%			29	%^(e)			37	%			60	%			48	%			34	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%			0.02	%			0.02	%			0.01	%			0.02	%			0.02	%			0.02	%			0.02	%			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, if any.

^(b)

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

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

^(e)

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		67

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

RESOURCES FUND


	Class III Shares															Class IV Shares
	Year Ended February 28/29,															Year Ended February 28/29,
	2017			2016			2015			2014			2013			2017			2016			2015			2014^(a)
Net asset value, beginning of period	$	11.74		$	16.33		$	21.88		$	21.59		$	22.96		$	11.71		$	16.28		$	21.86		$	21.40

Income (loss) from investment operations:
Net investment income (loss)†^(b)		0.30			0.47			0.87			0.51			0.32			0.34			0.46			0.75			0.45
Net realized and unrealized gain (loss)		5.75			(4.67	)		(3.77	)		0.45			(1.25	)^(c)		5.68			(4.63	)		(3.65	)		0.70

Total from investment operations		6.05			(4.20	)		(2.90	)		0.96			(0.93	)		6.02			(4.17	)		(2.90	)		1.15

Less distributions to shareholders:
From net investment income		(0.48	)		(0.39	)		(1.03	)		(0.40	)		(0.20	)		(0.48	)		(0.40	)		(1.06	)		(0.42	)
From net realized gains		—			—			(1.62	)		(0.27	)		(0.24	)		—			—			(1.62	)		(0.27	)

Total distributions		(0.48	)		(0.39	)		(2.65	)		(0.67	)		(0.44	)		(0.48	)		(0.40	)		(2.68	)		(0.69	)

Net asset value, end of period	$	17.31		$	11.74		$	16.33		$	21.88		$	21.59		$	17.25		$	11.71		$	16.28		$	21.86

Total Return^(d)		51.75	%		(25.76	)%		(12.81	)%		4.54	%		(4.00	)%		51.72	%		(25.68	)%		(12.82	)%		5.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	22,562		$	13,864		$	23,734		$	81,646		$	104,241		$	190,260		$	170,919		$	119,308		$	138,358
Net expenses to average daily net assets^(e)		0.77	%		0.77	%		0.76	%		0.75	%^(f)		0.77	%		0.72	%		0.72	%		0.71	%		0.70	%^(f)
Net investment income (loss) to average daily net assets^(b)		1.99	%		3.36	%		4.01	%		2.36	%		1.48	%		2.26	%		3.31	%		3.58	%		2.23	%*
Portfolio turnover rate		29	%^(g)		130	%		126	%		40	%		51	%		29	%^(g)		130	%		126	%		40	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.10	%		0.10	%		0.08	%		0.10	%		0.73	%		0.10	%		0.11	%		0.09	%		0.11	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.02		$	0.03		$	0.07		$	0.06		$	0.22		$	0.02		$	0.02		$	0.03		$	0.03

^(a)	Period from March 20, 2013 (commencement of operations) through February 28, 2014.

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

^(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)

^(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)

†	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)

RISK PREMIUM FUND


	Class III Shares																				Class VI Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)(b)				2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)(c)
Net asset value, beginning of period		$	26.91			$	29.73			$	31.74			$	31.59			$	30.81			$	27.00			$	29.82			$	31.80			$	31.59			$	30.00

Income (loss) from investment operations:
Net investment income (loss)^(d)†			(0.05	)			(0.12	)			(0.18	)			(0.18	)			(0.03	)			(0.02	)			(0.12	)			(0.15	)			(0.15	)			(0.03	)
Net realized and unrealized gain (loss)			5.22				(0.30	)			1.02				2.13				0.81				5.24				(0.30	)			1.02				2.16				1.62

Total from investment operations			5.17				(0.42	)			0.84				1.95				0.78				5.22				(0.42	)			0.87				2.01				1.59

Less distributions to shareholders:
From net realized gains			(2.15	)			(2.40	)			(2.85	)			(1.80	)			—				(2.15	)			(2.40	)			(2.85	)			(1.80	)			—

Total distributions			(2.15	)			(2.40	)			(2.85	)			(1.80	)			—				(2.15	)			(2.40	)			(2.85	)			(1.80	)			—

Net asset value, end of period		$	29.93			$	26.91			$	29.73			$	31.74			$	31.59			$	30.07			$	27.00			$	29.82			$	31.80			$	31.59

Total Return^(e)			19.50	%			(1.66	)%			3.19	%			6.42	%			2.53	%**			19.62	%			(1.65	)%			3.29	%			6.61	%			5.30	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,049			$	6,807			$	4,832			$	7,489			$	6,793			$	155,375			$	223,854			$	432,465			$	730,196			$	616,464
Net expenses to average daily net assets			0.61	%			0.60	%			0.61	%^(f)			0.60	%^(f)(g)			0.60	%^(f)(g)*			0.51	%			0.51	%			0.51	%^(f)			0.51	%^(f)(g)			0.51	%^(f)(g)*
Net investment income (loss) to average daily net assets^(d)			(0.16	)%			(0.45	)%			(0.58	)%			(0.57	)%			(0.56	)%*			(0.07	)%			(0.37	)%			(0.49	)%			(0.48	)%			(0.46	)%*
Portfolio turnover rate			0	%			0	%			112	%			0	%			0	%**			0	%			0	%			112	%			0	%			0	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%			0.05	%			0.04	%			0.05	%			0.08	%*			0.06	%			0.05	%			0.03	%			0.05	%			0.10	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02	^(a)		$	0.08	^(a)		$	0.14	^(a)		$	0.01	^(a)		$	0.02	^(a)		$	0.02	^(a)		$	0.07	^(a)		$	0.13	^(a)		$	0.01	^(a)		$	0.06	^(a)

^(a)	Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

^(b)	Period from December 14, 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, if any.

^(e)

^(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.


		See accompanying notes to the financial statements.		69

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

TAX-MANAGED INTERNATIONAL EQUITIES FUND


	Class III Shares
	Year Ended February 28/29
	2017				2016				2015				2014				2013
Net asset value, beginning of period		$	12.92			$	16.80			$	18.03			$	14.56			$	13.80

Income (loss) from investment operations:
Net investment income (loss)†^(a)			0.41				0.40				0.47				0.57				0.39
Net realized and unrealized gain (loss)			1.50				(3.82	)			(1.05	)			3.37				0.83

Total from investment operations			1.91				(3.42	)			(0.58	)			3.94				1.22

Less distributions to shareholders:
From net investment income			(0.55	)			(0.46	)			(0.65	)			(0.47	)			(0.46	)

Total distributions			(0.55	)			(0.46	)			(0.65	)			(0.47	)			(0.46	)

Net asset value, end of period		$	14.28			$	12.92			$	16.80			$	18.03			$	14.56

Total Return^(b)			15.05	%			(20.63	)%			(3.10	)%			27.37	%			8.99	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	115,733			$	215,977			$	427,048			$	485,665			$	479,005
Net expenses to average daily net assets^(c)			0.68	%			0.66	%			0.66	%			0.66	%			0.67	%^(d)
Net investment income (loss) to average daily net assets^(a)			2.95	%			2.59	%			2.71	%			3.54	%			2.83	%
Portfolio turnover rate			47	%^(e)			79	%			69	%			49	%			54	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.23	%			0.14	%			0.12	%			0.10	%			0.12	%

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

^(b)

^(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)

†	Calculated using average shares outstanding throughout the period.


70		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
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017				2016				2015				2014				2013				2017				2016				2015				2014				2013
Net asset value, beginning of period		$	13.79			$	16.61			$	17.27			$	14.51			$	13.06			$	13.76			$	16.58			$	17.24			$	14.48			$	13.04

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.27				0.24				0.28				0.28				0.26				0.25				0.25				0.29				0.29				0.27
Net realized and unrealized gain (loss)			2.89				(1.20	)			1.66				2.77				1.47				2.92				(1.20	)			1.66				2.77				1.46

Total from investment operations			3.16				(0.96	)			1.94				3.05				1.73				3.17				(0.95	)			1.95				3.06				1.73

Less distributions to shareholders:
From net investment income			(0.34	)			(0.26	)			(0.31	)			(0.29	)			(0.28	)			(0.30	)			(0.27	)			(0.32	)			(0.30	)			(0.29	)
From net realized gains			(1.47	)			(1.60	)			(2.29	)			—				—				(1.47	)			(1.60	)			(2.29	)			—				—

Total distributions			(1.81	)			(1.86	)			(2.60	)			(0.29	)			(0.28	)			(1.77	)			(1.87	)			(2.61	)			(0.30	)			(0.29	)

Net asset value, end of period		$	15.14			$	13.79			$	16.61			$	17.27			$	14.51			$	15.16			$	13.76			$	16.58			$	17.24			$	14.48

Total Return^(c)			23.59	%			(6.17	)%			12.18	%			21.11	%			13.40	%			23.69	%			(6.10	)%			12.27	%			21.21	%			13.40	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	109,726			$	194,615			$	286,934			$	488,982			$	188,363			$	16,707			$	513,751			$	431,841			$	288,782			$	44,849
Net expenses to average daily net assets^(e)			0.46	%			0.46	%			0.46	%			0.46	%^(d)			0.46	%^(d)			0.41	%			0.41	%			0.41	%			0.41	%^(d)			0.41	%^(d)
Net investment income (loss) to average daily net assets^(a)			1.80	%			1.57	%			1.59	%			1.71	%			1.95	%			1.73	%			1.65	%			1.63	%			1.75	%			2.01	%
Portfolio turnover rate			66	%^(f)			89	%			67	%			74	%			79	%			66	%^(f)			89	%			67	%			74	%			79	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%			0.02	%


	Class V Shares									Class VI Shares
	Period from August 9, 2016 through February 28, 2017			Period from March 1, 2014 through July 30, 2014^(b)			Period from January 21, 2014 (commencement of operations) through February 28, 2014			Year Ended February 28/29,
	Period from August 9, 2016 through February 28, 2017			Period from March 1, 2014 through July 30, 2014^(b)						2017			2016			2015			2014			2013
Net asset value, beginning of period	$	14.95		$	17.24		$	17.17		$	13.73		$	16.54		$	17.21		$	14.47		$	13.02

Income (loss) from investment operations:
Net investment income (loss)^(a)†		0.16			0.12			0.04			0.27			0.26			0.30			0.30			0.28
Net realized and unrealized gain (loss)		1.50			0.90			0.03			2.89			(1.19	)		1.65			2.74			1.46

Total from investment operations		1.66			1.02			0.07			3.16			(0.93	)		1.95			3.04			1.74

Less distributions to shareholders:
From net investment income		(0.19	)		(0.04	)		—			(0.36	)		(0.28	)		(0.33	)		(0.30	)		(0.29	)
From net realized gains		(1.33	)		(0.43	)		—			(1.47	)		(1.60	)		(2.29	)		—			—

Total distributions		(1.52	)		(0.47	)		—			(1.83	)		(1.88	)		(2.62	)		(0.30	)		(0.29	)

Net asset value, end of period	$	15.09		$	17.79		$	17.24		$	15.06		$	13.73		$	16.54		$	17.21		$	14.47

Total Return^(c)		11.37	%**		5.88	%**		0.39	%**		23.68	%		(6.02	)%		12.28	%		21.14	%		13.56	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	164,652		$	220,333		$	259,581		$	1,469,935		$	3,838,628		$	6,031,361		$	7,082,304		$	1,249,117
Net expenses to average daily net assets^(e)		0.40	%*		0.40	%*		0.40	%*^(d)		0.37	%		0.37	%		0.37	%		0.37	%^(d)		0.37	%^(d)
Net investment income (loss) to average daily net assets^(a)		1.93	%*		1.69	%*		1.97	%*		1.87	%		1.68	%		1.70	%		1.85	%		2.08	%
Portfolio turnover rate		66	%**^(f)		34	%**^(g)		74	%**		66	%^(f)		89	%		67	%		74	%		79	%
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	%

^(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 class was inactive from July 31, 2014 to August 8, 2016.

^(c)

^(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)

^(g)	Calculation represents portfolio turnover of the Fund for the period ended July 30, 2014.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		71

GMO Trust Funds

Notes to Financial Statements

February 28, 2017

1.	Organization

Each of International Equity Fund, International Large/Mid Cap Equity 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	Investment Objective
International Equity Fund	MSCI EAFE Index	High total return
International Large/Mid Cap Equity Fund	MSCI EAFE Index	High total return
Quality Fund	S&P 500 Index	Total return
Resources Fund	MSCI ACWI Commodity Producers Index	Total return
Risk Premium Fund	MSCI World Index	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

International Large/Mid Cap Equity Fund and Risk Premium Fund currently limit subscriptions.

2.	Significant accounting policies

Portfolio valuation

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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, if any, that were valued using fair value inputs obtained from that independent pricing service as of February 28, 2017. 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.

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 a 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 February 28, 2017 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)
International Equity Fund		<1	%		96	%
International Large/Mid Cap Equity Fund		<1	%		94	%
Quality Fund		—			14	%
Resources Fund		—			74	%
Risk Premium Fund		—			(1	)%
Tax-Managed International Equities Fund		<1	%		96	%
U.S. Equity Allocation Fund		—			—

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 February 28, 2017, 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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

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/or a security type conversion discount; 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 February 28, 2017:



Description	Level 1		Level 2		Level 3			Total
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	381,845,259	$	—		$	381,845,259
Austria		—		58,310,988		0	§		58,310,988
Belgium		—		19,532,228		—			19,532,228
Canada		148,301,234		—		—			148,301,234
Denmark		—		25,152,999		—			25,152,999
Finland		—		73,197,037		—			73,197,037
France		2,672,026		553,275,274		—			555,947,300
Germany		—		490,346,640		—			490,346,640
Hong Kong		—		276,074,847		—			276,074,847
Ireland		—		10,217,778		—			10,217,778
Israel		14,747,481		64,076,614		—			78,824,095
Italy		—		112,433,786		—			112,433,786
Japan		—		1,588,849,198		—			1,588,849,198
Malta		—		—		248,929			248,929
Netherlands		6,739,035		163,288,119		—			170,027,154
New Zealand		—		29,844,685		—			29,844,685
Norway		—		120,068,847		—			120,068,847
Portugal		—		12,463,624		—			12,463,624
Singapore		—		39,569,580		—			39,569,580
Spain		—		212,946,160		—			212,946,160
Sweden		—		22,547,693		—			22,547,693
Switzerland		—		325,702,656		—			325,702,656
United Kingdom		—		958,318,773		—			958,318,773

TOTAL COMMON STOCKS		172,459,776		5,538,062,785		248,929			5,710,771,490

Preferred Stocks
Germany		—		49,301,317		—			49,301,317

TOTAL PREFERRED STOCKS		—		49,301,317		—			49,301,317

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1		Level 2		Level 3		Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	21,767,868	$	—	$	—	$	21,767,868

TOTAL MUTUAL FUNDS		21,767,868		—		—		21,767,868

Short-Term Investments		26,809,553		—		—		26,809,553

Total Investments		221,037,197		5,587,364,102		248,929		5,808,650,228

Total	$	221,037,197	$	5,587,364,102	$	248,929	$	5,808,650,228


International Large/Mid Cap Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	5,925,359	$	—	$	5,925,359
Austria		—		2,833,099		—		2,833,099
Belgium		—		288,613		—		288,613
Canada		3,183,155		—		—		3,183,155
Denmark		—		1,395,123		—		1,395,123
Finland		—		2,790,356		—		2,790,356
France		—		19,150,578		—		19,150,578
Germany		—		14,493,375		—		14,493,375
Hong Kong		—		10,156,652		—		10,156,652
Ireland		—		220,498		—		220,498
Israel		2,892,289		1,176,687		—		4,068,976
Italy		—		791,369		—		791,369
Japan		—		50,737,683		—		50,737,683
Malta		—		—		249,150		249,150
Netherlands		344,280		5,985,972		—		6,330,252
New Zealand		—		1,159,398		—		1,159,398
Norway		—		3,383,454		—		3,383,454
Portugal		—		70,018		—		70,018
Singapore		—		775,310		—		775,310
Spain		—		5,679,803		—		5,679,803
Sweden		—		227,343		—		227,343
Switzerland		—		10,524,081		—		10,524,081
United Kingdom		—		34,426,572		—		34,426,572

TOTAL COMMON STOCKS		6,419,724		172,191,343		249,150		178,860,217

Preferred Stocks
Germany		—		2,250,179		—		2,250,179

TOTAL PREFERRED STOCKS		—		2,250,179		—		2,250,179

Mutual Funds
United States		2,408,002		—		—		2,408,002

TOTAL MUTUAL FUNDS		2,408,002		—		—		2,408,002

Short-Term Investments		479,981		—		—		479,981

Total Investments		9,307,707		174,441,522		249,150		183,998,379

Derivatives^
Futures Contracts
Equity Risk		18,330		—		—		18,330

Total	$	9,326,037	$	174,441,522	$	249,150	$	184,016,709

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1		Level 2		Level 3		Total
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—	$	83,203,075	$	—	$	83,203,075
Germany		—		50,914,804		—		50,914,804
Netherlands		—		184,392,914		—		184,392,914
Switzerland		—		207,881,201		—		207,881,201
Taiwan		—		126,822,745		—		126,822,745
United Kingdom		—		559,456,312		—		559,456,312
United States		7,203,761,291		—		—		7,203,761,291

TOTAL COMMON STOCKS		7,203,761,291		1,212,671,051		—		8,416,432,342

Mutual Funds
United States		240,449,520		—		—		240,449,520

TOTAL MUTUAL FUNDS		240,449,520		—		—		240,449,520

Short-Term Investments		18,256,935		—		—		18,256,935

Total Investments		7,462,467,746		1,212,671,051		—		8,675,138,797

Total	$	7,462,467,746	$	1,212,671,051	$	—	$	8,675,138,797


Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	3,306,212	$	—	$	—	$	3,306,212
Australia		—		3,729,886		—		3,729,886
Austria		—		2,035,078		—		2,035,078
Brazil		—		1,546,721		—		1,546,721
Canada		8,155,313		—		—		8,155,313
China		—		1,043,715		—		1,043,715
Colombia		922,154		—		—		922,154
Czech Republic		—		1,921,592		—		1,921,592
France		—		3,859,481		—		3,859,481
Germany		—		2,874,925		—		2,874,925
Greece		—		260,744		—		260,744
Hungary		—		1,242,706		—		1,242,706
India		—		1,539,049		—		1,539,049
Indonesia		—		104,846		—		104,846
Israel		—		3,301,479		—		3,301,479
Italy		—		2,734,197		—		2,734,197
Japan		—		6,092,109		—		6,092,109
Kazakhstan		—		84,203		—		84,203
Netherlands		—		1,454,394		—		1,454,394
Norway		—		13,918,808		—		13,918,808
Poland		—		4,445,383		—		4,445,383
Russia		—		22,874,711		—		22,874,711
Singapore		—		2,864,689		—		2,864,689
South Africa		—		3,250,241		—		3,250,241
South Korea		—		599,734		—		599,734
Spain		—		3,956,776		—		3,956,776
Sweden		—		674,649		—		674,649
Thailand		—		3,151,078		—		3,151,078
Turkey		—		710,116		—		710,116
Ukraine		—		2,454,785		—		2,454,785
United Arab Emirates		—		162,805		—		162,805
United Kingdom		—		51,328,655		—		51,328,655
United States		26,657,554		—		—		26,657,554

TOTAL COMMON STOCKS		39,041,233		144,217,555		—		183,258,788

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1			Level 2			Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	—		$	8,778,656		$	—		$	8,778,656
Chile		9,052,407			870,344			—			9,922,751
Russia		—			3,660,205			—			3,660,205

TOTAL PREFERRED STOCKS		9,052,407			13,309,205			—			22,361,612

Mutual Funds
United States		6,150,081			—			—			6,150,081

TOTAL MUTUAL FUNDS		6,150,081			—			—			6,150,081

Short-Term Investments		557,173			—			—			557,173

Total Investments		54,800,894			157,526,760			—			212,327,654

Total	$	54,800,894		$	157,526,760		$	—		$	212,327,654


Risk Premium Fund
Asset Valuation Inputs
Short-Term Investments	$	158,083,394		$	—		$	—		$	158,083,394

Total Investments		158,083,394			—			—			158,083,394

Total	$	158,083,394		$	—		$	—		$	158,083,394


Liability Valuation Inputs
Derivatives^
Written Options
Equity Risk	$	(343,420	)	$	(768,911	)	$	—		$	(1,112,331	)


Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	8,298,223		$	—		$	8,298,223
Austria		—			875,625			0	§		875,625
Belgium		—			502,746			—			502,746
Brazil		—			421,625			—			421,625
Canada		2,217,931			—			—			2,217,931
China		151,862			3,086,794			—			3,238,656
Czech Republic		—			71,426			—			71,426
Denmark		—			775,707			—			775,707
Finland		—			1,740,598			—			1,740,598
France		—			9,882,682			0	§		9,882,682
Germany		—			10,993,593			—			10,993,593
Hong Kong		—			3,284,556			—			3,284,556
Hungary		—			133,145			—			133,145
India		161,998			546,221			—			708,219
Ireland		—			350,774			—			350,774
Israel		306,621			1,113,601			—			1,420,222
Italy		—			3,756,547			—			3,756,547
Japan		—			22,917,185			—			22,917,185
Malta		—			—			26,756			26,756
Mexico		343,335			—			—			343,335
Netherlands		—			3,140,966			—			3,140,966
New Zealand		—			625,963			—			625,963
Norway		—			1,757,801			—			1,757,801

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1			Level 2		Level 3		Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Peru	$	32,924		$	—	$	—	$	32,924
Poland		—			202,979		—		202,979
Portugal		—			319,859		—		319,859
Russia		—			352,625		—		352,625
Singapore		—			1,602,975		—		1,602,975
South Africa		—			1,029,348		—		1,029,348
South Korea		—			1,726,187		—		1,726,187
Spain		—			2,178,208		—		2,178,208
Sweden		—			1,355,013		—		1,355,013
Switzerland		—			6,349,557		—		6,349,557
Taiwan		490,932			1,193,071		—		1,684,003
Thailand		—			213,292		—		213,292
Turkey		—			278,664		—		278,664
United Kingdom		—			17,404,859		—		17,404,859

TOTAL COMMON STOCKS		3,705,603			108,482,415		26,756		112,214,774

Preferred Stocks
Brazil		—			833,656		—		833,656
Germany		—			1,015,349		—		1,015,349
Russia		—			75,797		—		75,797
South Korea		—			339,382		—		339,382

TOTAL PREFERRED STOCKS		—			2,264,184		—		2,264,184

RIGHTS/WARRANTS
Brazil		—			—		990		990

TOTAL RIGHTS/WARRANTS		—			—		990		990

Mutual Funds
United States		427,587			—		—		427,587

TOTAL MUTUAL FUNDS		427,587			—		—		427,587

Short-Term Investments		288,768			—		—		288,768

Total Investments		4,421,958			110,746,599		27,746		115,196,303

Total	$	4,421,958		$	110,746,599		27,746		115,196,303


Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(1,260	)	$	—	$	—	$	(1,260	)

Total	$	(1,260	)	$	—	$	—	$	(1,260	)


U.S. Equity Allocation Fund
Asset Valuation Inputs
Common Stocks	$	1,746,501,042		$	—	$	—	$	1,746,501,042
Mutual Funds		11,180,107			—		—		11,180,107
Short-Term Investments		3,560,695			—		—		3,560,695

Total Investments		1,761,241,844			—		—		1,761,241,844

Total	$	1,761,241,844		$	—	$	—	$	1,761,241,844

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

surrounding inputs for a non-derivative security with the same market value. Excludes purchased options, if any, which are included in investments.

Represents the interest in securities that were determined to have a value of zero at February 28, 2017.

For all Funds for the year ended February 28, 2017, 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 29, 2016			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 February 28, 2017		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2017
International Equity Fund
Common Stocks
Malta	$	0	*	$	—	$	—	$	—	$	—	$	248,929	$	—	$	—	$	248,929	$	248,929

Total	$	0	*	$	—	$	—	$	—	$	—	$	248,929	$	—	$	—	$	248,929	$	248,929


International Large/Mid Cap Equity Fund
Common Stocks
Malta	$	0	*	$	—	$	—	$	—	$	—	$	249,150	$	—	$	—	$	249,150	$	249,150

Total	$	0	*	$	—	$	—	$	—	$	—	$	249,150	$	—	$	—	$	249,150	$	249,150


Tax-Managed International Equities Fund
Common Stocks
Malta	$	0	*	$	—	$	—	$	—	$	—	$	26,756	$	—	$	—	$	26,756	$	26,756

Total Common Stocks	$	0	*	$	—	$	—	$	—	$	—	$	26,756	$	—	$	—	$	26,756	$	26,756

Rights/Warrants
Brazil	$	—		$	0	$	—	$	—	$	—	$	990	$	—	$	—	$	990	$	990

Total	$	0	*	$	0	$	—	$	—	$	—	$	27,746	$	—	$	—	$	27,746	$	27,746

†

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

Represents the interest in securities that were determined to have a value of zero at February 29, 2016.

The net aggregate direct and indirect exposure to investments in securities using Level 3 inputs (based on each Fund’s net assets) as of February 28, 2017 were as follows:



Fund Name	Level 3 securities and derivatives
International Equity Fund		< 1%
International Large/Mid Cap Equity Fund		< 1%
Quality Fund		—
Resources Fund		—
Risk Premium Fund		—
Tax-Managed International Equities Fund		< 1%
U.S. Equity Allocation Fund		—

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

Cash

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

Due to/from broker

Foreign currency translation

Taxes and distributions

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

U.S. GAAP and tax accounting differences for each Fund primarily relate to reasons described in the following table:

Differences related to:

International Equity Fund

International Large/Mid Cap Equity Fund

Quality Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Allocation Fund

Capital loss carry forwards

Derivative contract transactions

Dividend income and withholding tax reclaim reserves

Dividends received from underlying investments

Foreign currency transactions

Late-year ordinary losses

Losses on wash sale transactions

Net operating losses

Passive foreign investment company transactions

Post-October capital losses

Redemption in-kind transactions

The tax character of distributions declared by each Fund to shareholders is as follows:



	Tax year ended February 28, 2017						Tax year ended February 29, 2016

Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
International Equity Fund		262,473,509		—		262,473,509		297,084,415		—		297,084,415
International Large/Mid Cap Equity Fund		40,719,674		—		40,719,674		53,270,911		—		53,270,911
Quality Fund		148,413,572		154,921,160		303,334,732		231,512,893		1,059,027,580		1,290,540,473
Resources Fund		6,026,707		—		6,026,707		5,880,372		—		5,880,372
Risk Premium Fund		5,207,663		8,050,339		13,258,002		10,047,911		17,822,385		27,870,296
Tax-Managed International Equities Fund		5,479,378		—		5,479,378		10,648,298		—		10,648,298
U.S. Equity Allocation Fund		63,029,610		198,946,416		261,976,026		95,609,558		521,955,779		617,565,337

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

As of February 28, 2017, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:



Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post-October Capital Losses ($)
International Equity Fund		15,987,870		—		—		(1,372,912,629)		(32,350,802)
International Large/Mid Cap Equity Fund		354,858		—		—		(208,414)		—
Quality Fund		15,904,720		67,397,396		(207,477)		—		—
Resources Fund		4,734,911		—		—		(57,749,153)		—
Risk Premium Fund		4,688,373		7,016,332		(8,343)		—		—
Tax-Managed International Equities Fund		367,020		—		—		(39,804,525)		(474,875)
U.S. Equity Allocation Fund		10,509,050		64,380,593		—		(36,676,027)		—



	Short-Term ($)				Total Short- Term ($)		Long- Term ($)
Fund Name	Expiration Date 2/28/2018		No Expiration Date		Total Short- Term ($)		No Expiration Date
International Equity Fund		—		(707,861,813)		(707,861,813)		(665,050,816)
International Large/Mid Cap Equity Fund		—		—		—		(208,414)
Quality Fund		—		—		—		—
Resources Fund		—		(24,234,257)		(24,234,257)		(33,514,896)
Risk Premium Fund		—		—		—		—
Tax-Managed International Equities Fund		(10,176,681)		(29,627,844)		(39,804,525)		—
U.S. Equity Allocation Fund		(36,676,027)		—		(36,676,027)		—

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
International Equity Fund		5,714,682,175		435,624,034		(341,655,981)		93,968,053
International Large/Mid Cap Equity Fund		179,771,356		11,941,890		(7,714,867)		4,227,023
Quality Fund		6,976,741,433		1,801,284,915		(102,887,551)		1,698,397,364
Resources Fund		173,042,137		48,640,220		(9,354,703)		39,285,517
Risk Premium Fund		158,099,801		5,415		(21,822)		(16,407)
Tax-Managed International Equities Fund		96,283,220		21,832,967		(2,919,884)		18,913,083
U.S. Equity Allocation Fund		1,587,863,366		194,428,879		(21,050,401)		173,378,478

Security transactions and related investment income

Expenses and class allocations

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 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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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

As of February 28, 2017, the premium on cash purchases and the fee on cash redemptions were as follows:



	International Equity Fund		International Large/Mid Cap Equity Fund		Quality Fund		Resources Fund		Risk Premium Fund		Tax-Managed International Equities Fund		U.S. Equity Allocation Fund
Purchase Premium		—		—		—		0.30%		0.15%		—		—
Redemption Fee		—		—		—		0.30%		0.15%		—		—

Recently-issued accounting guidance

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.

International Equity Fund

International Large/Mid Cap Equity Fund

Quality Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities Fund

U.S. Equity Allocation Fund

Commodities Risk

Counterparty Risk

Credit Risk

Currency Risk

Derivatives and Short Sales Risk

Focused Investment Risk

Illiquidity Risk

Large Shareholder Risk

Leveraging Risk

Management and Operational Risk

Market Disruption and Geopolitical Risk

Market Risk – Equities

Market Risk – Fixed Income Investments

Merger Arbitrage Risk

Non-Diversified Funds

Non-U.S. Investment Risk

Small Company Risk

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

indirect investments in commodities may fluctuate more than the commodity, commodities or commodity index to which they relate. See “Derivatives and Short Sales Risk” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

• 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 in anticipation of such failure, or the downgrade of the credit rating of the investment. 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 or quasi-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.

The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

• 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 OTC contracts. Derivatives may relate to securities, commodities, currencies, currency exchange rates, interest rates, inflation rates, and indices.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

additional capital requirements and other regulatory changes applicable to the clearing members, which will take effect when rules imposing mandatory minimum margin requirements on bilateral swaps, as described above, 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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”.

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 are often 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, and are often capital-intensive and use significant amounts of leverage. Projects in the natural resources sector may have long setup times and companies cannot ensure that the market will be favorable at the time the project begins production. 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 and cartels, 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.

• 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, defaulted or other low quality 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, Inflation-Protected Securities issued by the U.S. Treasury (“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.

A Fund may buy securities that are less liquid than those in its benchmark.

A Fund’s, and particularly 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 a 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 a 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 a 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.

• 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, potentially at disadvantageous prices, 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 and/or purchases of shares by a large shareholder and/or a group of shareholders over time potentially limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. Large shareholders may limit or prevent a Fund’s use of tax equalization for U.S. Federal tax purposes. 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

• 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. In the case of Tax- Managed International Equities Fund, GMO’s tax-management strategies may be ineffective or limited by market conditions, the timing of cash flows into and out of the Fund, and current or future developments in tax legislation and regulation.

For many Funds, GMO often uses quantitative models as part of its investment process. GMO’s models are not necessarily predictive of future market events and use simplifying assumptions that can limit their effectiveness. In addition, the data on which the models are based is subject to limitations (e.g., inaccuracies, staleness) that could adversely affect a Fund’s performance. The Funds also run the risk that GMO’s assessment of an investment (including a company’s fundamental fair (or intrinsic) value) may be wrong.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

• 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:

Because of Risk Premium Fund’s emphasis on selling put options on stock indices, GMO expects its net asset value 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 relative to those indices when those markets rise sharply because of the Fund’s lack of exposure to the upside of those markets.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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

• 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 paid by the Fund 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, as the losses in failed transactions often far exceed 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 GMO 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.

The following Funds are not diversified investment companies within the meaning of the 1940 Act:

•

Quality Fund

•

Resources Fund

•

Risk Premium Fund

•

Tax-Managed International Equities Fund

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

Temporary Defensive Positions. Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response 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

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

For Funds that held derivatives during the year ended February 28, 2017, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

International
Equity Fund

International
Large/Mid
Cap Equity
Fund

Resources
Fund

Risk
Premium
Fund

Tax-Managed
International
Equities Fund

U.S.
Equity
Allocation

Futures contracts

Adjust exposure to certain securities markets

Maintain the diversity and liquidity of
the portfolio

Options (Written)

Substitute for direct equity investment

Swap contracts

Substitute for direct investments in securities

Rights and/or warrants

Received as a result of corporate actions

Forward currency contracts

Futures contracts

Options

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

For the year ended February 28, 2017, 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		—		4,274		$6,771,097		—		—		$ —
Options written		—		50,872		49,333,838		—		—		—
Options bought back		—		(14,543)		(13,943,140)		—		—		—
Options expired		—		(32,809)		(36,413,618)		—		—		—
Options exercised		—		(4,525)		(3,934,930)		—		—		—

Outstanding, end of period		—		3,269		$1,813,247		—		—		$ —

Swap contracts

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

Rights and warrants

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 February 28, 2017 and the Statements of Operations for the year ended February 28, 2017^:



	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
International Equity Fund
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	5,705		$	—	$	—	$	—	$	5,705
Futures Contracts		—		16,527,985			—		—		—	$	16,527,985

Total	$	—	$	16,533,690		$	—	$	—	$	—	$	16,533,690

Change in Net Unrealized Appreciation (Depreciation) on
Futures Contracts	$	—	$	(3,066,601	)	$	—	$	—	$	—	$	(3,066,601	)

Total	$	—	$	(3,066,601	)	$	—	$	—	$	—	$	(3,066,601	)


International Large/Mid Cap Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts*	$	—	$	18,330		$	—	$	—	$	—	$	18,330

Total	$	—	$	18,330		$	—	$	—	$	—	$	18,330

Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	18,330		$	—	$	—	$	—	$	18,330

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	(2	)	$	—	$	—	$	—	$	(2	)
Futures Contracts		—		1,784,887			—		—		—		1,784,887

Total	$	—	$	1,784,885		$	—	$	—	$	—	$	1,784,885

Change in Net Unrealized Appreciation (Depreciation) on
Futures Contracts	$	—	$	(31,335	)	$	—	$	—	$	—	$	(31,335	)

Total	$	—	$	(31,335	)	$	—	$	—	$	—	$	(31,335	)


Resources Fund
Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	(44,665	)	$	—	$	—	$	—	$	(44,665	)

Total	$	—	$	(44,665	)	$	—	$	—	$	—	$	(44,665	)


Risk Premium Fund
Liability Derivatives
Written Options, at value	$	—	$	(1,112,331	)	$	—	$	—	$	—	$	(1,112,331	)

Total	$	—	$	(1,112,331	)	$	—	$	—	$	—	$	(1,112,331	)

Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	(1,112,331	)	$	—	$	—	$	—	$	(1,112,331	)

Net Realized Gain (Loss) on
Futures Contracts	$	—	$	79,262		$	—	$	—	$	—	$	79,262
Written Options		—		38,536,036			—		—		—		38,536,036

Total	$	—	$	38,615,298		$	—	$	—	$	—	$	38,615,298

Change in Net Unrealized Appreciation (Depreciation) on
Written Options	$	—	$	(1,966,096	)	$	—	$	—	$	—	$	(1,966,096	)

Total	$	—	$	(1,966,096	)	$	—	$	—	$	—	$	(1,966,096	)

100

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



	Credit Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Tax-Managed International Equities Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	990		$	—	$	—	$	—	$	990

Total	$	—	$	990		$	—	$	—	$	—	$	990

Derivatives not subject to Master Agreements	$	—	$	990		$	—	$	—	$	—	$	990

Total subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—

Liability Derivatives
Unrealized Depreciation on Futures Contracts*	$	—	$	(1,260	)	$	—	$	—	$	—	$	(1,260	)

Total	$	—	$	(1,260	)	$	—	$	—	$	—	$	(1,260	)

Derivatives not subject to Master Agreements	$	—	$	—		$	—	$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	(1,260	)	$	—	$	—	$	—	$	(1,260	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	(3,471	)	$	—	$	—	$	—	$	(3,471	)
Futures Contracts		—		1,016,633			—		—		—		1,016,633

Total	$	—	$	1,013,162		$	—	$	—	$	—	$	1,013,162

Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	990		$	—	$	—	$	—	$	990
Futures Contracts		—		(26,590	)		—		—		—		(26,590	)

Total	$	—	$	(25,600	)	$	—	$	—	$	—	$	(25,600	)


U.S. Equity Allocation Fund
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	3,180,746		$	—	$	—	$	—	$	3,180,746
Swap Contracts		—		2,130,834			—		—		—		2,130,834

Total	$	—	$	5,311,580		$	—	$	—	$	—	$	5,311,580

Change in Net Unrealized Appreciation (Depreciation) on
Futures Contracts	$	—	$	27,300		$	—	$	—	$	—	$	27,300
Swap Contracts		—		137,535			—		—		—		137,535

Total	$	—	$	164,835		$	—	$	—	$	—	$	164,835

101

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 “Investments and other risks” above.

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. LLC	$	1,112,331	$	1,112,331	*	$	—	$	—

Total	$	1,112,331	$	1,112,331		$	—	$	—

The actual collateral received and/or pledged is more than the amount shown.

The average derivative activity of notional amounts (futures contracts and swap 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 year ended February 28, 2017:



Fund Name	Futures Contracts ($)		Swap Contracts ($)		Options (Contracts)		Rights and/or Warrants ($)
International Equity Fund		12,805,197		—		—		95,629
International Large/Mid Cap Equity Fund		3,941,693		—		—		24,458
Resources Fund		—		—		—		5,341
Risk Premium Fund		99,493*		—		4,206		—
Tax-Managed International Equities Fund		704,765		—		—		4,034
U.S. Equity Allocation Fund		7,891,945*		2,338,655		—		—

During the year ended February 28, 2017, 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



	International Equity Fund		International Large/Mid Cap Equity Fund		Quality Fund		Resources Fund		Risk Premium Fund		Tax-Managed International Equities Fund		U.S. Equity Allocation Fund
Management Fee		0.50%		0.38%		0.33%		0.50%		0.45%		0.50%		0.31%

102

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Fund Name	Class II		Class III		Class IV			Class V			Class VI
International Equity Fund		0.22%		0.15%		0.09%
International Large/Mid Cap Equity Fund				0.15%		0.09%						0.055%
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 February 28, 2017.

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.

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 28, 2017 is shown in the table below and is included in the Statements of Operations.



Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
International Equity Fund		124,109		12,895
International Large/Mid Cap Equity Fund		15,759		1,870
Quality Fund		142,096		14,096
Resources Fund		3,288		365
Risk Premium Fund		3,483		365
Tax-Managed International Equities Fund		2,735		303
U.S. Equity Allocation Fund		48,880		5,427

103

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

Fund Name

Indirect Net Expenses
(excluding shareholder
service fees)

Indirect Shareholder
Service Fees

Total Indirect Expenses

International Equity Fund

< 0.001%

0.000%

< 0.001%

International Large/Mid Cap Equity Fund

< 0.001%

0.000%

< 0.001%

Quality Fund

< 0.001%

0.000%

< 0.001%

Resources Fund

< 0.001%

0.000%

< 0.001%

Risk Premium Fund

0.000%

Tax-Managed International Equities Fund

< 0.001%

0.000%

< 0.001%

U.S. Equity Allocation 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 and including GMO U.S. Treasury Fund, for the year ended February 28, 2017 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)
International Equity Fund		—		3,597,976,507		—		6,811,440,540
International Large/Mid Cap Equity Fund		—		449,556,842		—		1,745,487,665
Quality Fund		—		4,132,684,538		—		3,944,437,731
Resources Fund		—		77,720,690		—		125,994,664
Risk Premium Fund		—		—		—		—
Tax-Managed International Equities Fund		—		88,681,948		—		206,693,695
U.S. Equity Allocation Fund		—		2,656,561,912		—		6,010,434,969

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 year ended February 28, 2017 are noted in the table below:



Fund Name	Purchases ($)		Sales ($)
U.S. Equity Allocation Fund		—		153,780,220

For the year ended February 28, 2017, the Funds had the following net realized gains/(losses) attributed to redemption in-kind transactions:



Fund Name	Net realized gains/(losses) attributed to redemption in-kind transactions ($)
U.S. Equity Allocation Fund		21,941,191

104

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

7.	Guarantees

8.	Principal shareholders and related parties as of February 28, 2017



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
International Equity Fund		3	#		40.49	%		0.13	%		90.58	%
International Large/Mid Cap Equity Fund		2			98.09	%		—			—
Quality Fund		—			—			0.12	%		19.62	%
Resources Fund		1			70.78	%		12.03	%		5.95	%
Risk Premium Fund		2	‡		96.20	%		0.07	%		99.66	%
Tax-Managed International Equities Fund		2			29.72	%		0.45	%		—
U.S. Equity Allocation Fund		5	§		75.65	%		0.02	%		98.70	%

‡

One of the shareholders is another fund of the Trust.

Two of the shareholders are other funds of the Trust.

Four of the shareholders are other funds of the Trust and one shareholder is another fund managed by GMO.

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:



	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
International Equity Fund
Class II:
Shares sold		394,169		$	7,758,214			40,871		$	879,894
Shares issued to shareholders in reinvestment of distributions		53,704			1,036,907			122,349			2,473,073
Shares repurchased		(4,406,766	)		(86,201,920	)		(762,281	)		(18,193,375	)

Net increase (decrease)		(3,958,893	)	$	(77,406,799	)		(599,061	)	$	(14,840,408	)

Class III:
Shares sold		3,202,195		$	63,057,431			11,099,737		$	212,113,201
Shares issued to shareholders in reinvestment of distributions		1,458,230			28,472,050			1,420,943			29,100,091
Shares repurchased		(25,597,340	)		(510,086,501	)		(20,046,562	)		(450,098,976	)

Net increase (decrease)		(20,936,915	)	$	(418,557,020	)		(7,525,882	)	$	(208,885,684	)

105

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
International Equity Fund (continued)
Class IV:
Shares sold		11,139,274		$	215,725,536			24,271,645	^(a)	$	515,469,914	^(a)
Shares issued to shareholders in reinvestment of distributions		11,785,933			229,782,109			12,723,714			260,908,804
Shares repurchased		(158,196,157	)		(3,158,978,555	)		(133,552,246	)		(2,927,675,247	)

Net increase (decrease)		(135,270,950	)	$	(2,713,470,910	)		(96,556,887	)	$	(2,151,296,529	)


International Large/Mid Cap Equity Fund
Class III:
Shares sold		411,984		$	10,495,496			605,372		$	16,698,856
Shares issued to shareholders in reinvestment of distributions		253,763			6,161,168			477,071			12,391,865
Shares repurchased		(18,719,775	)		(470,772,481	)		(1,128,246	)		(31,120,472	)

Net increase (decrease)		(18,054,028	)	$	(454,115,817	)		(45,803	)	$	(2,029,751	)

Class IV:
Shares sold		1,317,734		$	33,127,702			4,154,261		$	120,506,310
Shares issued to shareholders in reinvestment of distributions		728,389			17,599,928			1,128,998			29,419,761
Shares repurchased		(23,672,201	)		(600,482,249	)		(22,578,254	)		(622,875,974	)

Net increase (decrease)		(21,626,078	)	$	(549,754,619	)		(17,294,995	)	$	(472,949,903	)

Class VI:
Shares sold		—		$	—			11,580,744		$	347,306,281
Shares issued to shareholders in reinvestment of distributions		623,703			14,995,054			332,833			8,537,330
Shares repurchased		(12,536,597	)		(300,320,271	)		(5,562	)		(147,705	)

Net increase (decrease)		(11,912,894	)	$	(285,325,217	)		11,908,015		$	355,695,906


Quality Fund
Class III:
Shares sold		27,204,984		$	577,084,371			37,113,339		$	737,344,467
Shares issued to shareholders in reinvestment of distributions		5,427,657			111,954,229			30,774,221			612,057,442
Shares repurchased		(78,926,958	)		(1,636,659,609	)		(91,043,451	)		(1,918,244,009	)

Net increase (decrease)		(46,294,317	)	$	(947,621,009	)		(23,155,891	)	$	(568,842,100	)

Class IV:
Shares sold		23,563,655		$	498,378,900			12,972,554		$	257,812,501
Shares issued to shareholders in reinvestment of distributions		2,065,342			42,641,190			13,099,210			260,671,560
Shares repurchased		(38,313,485	)		(806,249,545	)		(53,695,896	)		(1,093,773,807	)

Net increase (decrease)		(12,684,488	)	$	(265,229,455	)		(27,624,132	)	$	(575,289,746	)

Class V:
Shares sold		9,463,322		$	197,196,406			14,581,336		$	281,324,249
Shares issued to shareholders in reinvestment of distributions		717,958			14,824,416			1,727,690			34,265,400
Shares repurchased		(3,801,010	)		(79,429,321	)		(13,369,451	)		(265,409,816	)

Net increase (decrease)		6,380,270		$	132,591,501			2,939,575		$	50,179,833

Class VI:
Shares sold		91,893,911		$	1,913,611,617			4,668,807		$	94,787,369
Shares issued to shareholders in reinvestment of distributions		5,665,767			116,815,260			16,573,784			329,071,123
Shares repurchased		(36,449,428	)		(770,551,459	)		(38,615,013	)		(796,618,823	)

Net increase (decrease)		61,110,250		$	1,259,875,418			(17,372,422	)	$	(372,760,331	)

106

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017


	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
Resources Fund
Class III:
Shares sold		570,839		$	8,566,354			80,942		$	1,025,701
Shares issued to shareholders in reinvestment of distributions		32,759			537,264			23,071			276,260
Shares repurchased		(480,753	)		(6,835,975	)		(376,930	)		(6,175,879	)
Purchase premiums		—			2,754			—			31,664
Redemption fees		—			16,991			—			2,123

Net increase (decrease)		122,845		$	2,287,388			(272,917	)	$	(4,840,131	)

Class IV:
Shares sold		169,620		$	2,585,614			6,912,543		$	105,688,092
Shares issued to shareholders in reinvestment of distributions		315,651			5,118,000			426,392			5,037,059
Shares repurchased		(4,055,808	)		(57,587,522	)		(68,102	)		(1,018,052	)
Purchase premiums		—			29,756			—			289,355
Redemption fees		—			175,234			—			19,374

Net increase (decrease)		(3,570,537	)	$	(49,678,918	)		7,270,833		$	110,015,828


Risk Premium Fund
Class III:#
Shares sold		2,862		$	85,653			144,920		$	3,932,767
Shares issued to shareholders in reinvestment of distributions		18,814			544,069			13,688			385,514
Shares repurchased		(105,987	)		(3,151,044	)		(68,020	)		(1,897,755	)
Purchase premiums		—			—			—			3,273
Redemption fees		—			6,093			—			10,762

Net increase (decrease)		(84,311	)	$	(2,515,229	)		90,588		$	2,434,561

Class IV:‡#
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		—			—			50,801			477,401
Shares repurchased		—			—			(764,691	)		(6,989,835	)
Purchase premiums		—			—			—			2,962
Redemption fees		—			—			—			13,516

Net increase (decrease)		—		$	—			(713,890	)	$	(6,495,956	)

Class VI:#
Shares sold		390		$	10,630			7,288,864		$	201,620,443
Shares issued to shareholders in reinvestment of distributions		437,685			12,713,932			948,606			27,005,743
Shares repurchased		(3,562,411	)		(103,841,501	)		(14,450,027	)		(408,326,738	)
Purchase premiums		—			16			—			299,048
Redemption fees		—			154,267			—			598,039

Net increase (decrease)		(3,124,336	)	$	(90,962,656	)		(6,212,557	)	$	(178,803,465	)


Tax-Managed International Equities Fund
Class III:
Shares sold		51,654		$	709,686			213,044		$	3,126,326
Shares issued to shareholders in reinvestment of distributions		226,091			3,089,352			326,791			4,756,977
Shares repurchased		(8,885,564	)		(123,384,562	)		(9,254,256	)		(130,480,430	)

Net increase (decrease)		(8,607,819	)	$	(119,585,524	)		(8,714,421	)	$	(122,597,127	)

107

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017


	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
U.S. Equity Allocation Fund
Class III:
Shares sold		254,123		$	3,737,099			3,690,778		$	52,394,646
Shares issued to shareholders in reinvestment of distributions		964,254			14,133,772			1,411,262			20,777,207
Shares repurchased		(8,083,310	)		(120,400,300	)		(8,265,441	)		(132,490,471	)

Net increase (decrease)		(6,864,933	)	$	(102,529,429	)		(3,163,401	)	$	(59,318,618	)

Class IV:
Shares sold		353,391		$	5,084,358			15,005,109		$	210,258,173
Shares issued to shareholders in reinvestment of distributions		482,865			7,017,672			3,184,478			46,544,031
Shares repurchased		(37,081,635	)^(b)		(546,704,227	)^(b)		(6,893,844	)		(102,627,813	)

Net increase (decrease)		(36,245,379	)	$	(534,602,197	)		11,295,743		$	154,174,391

Class V:*
Shares sold		11,302,431		$	168,755,254			—		$	—
Shares issued to shareholders in reinvestment of distributions		1,125,283			16,496,645			—			—
Shares repurchased		(1,516,895	)		(22,257,238	)		—			—

Net increase (decrease)		10,910,819		$	162,994,661			—		$	—

Class VI:
Shares sold		1,279,791		$	19,202,615			23,204,175		$	356,309,707
Shares issued to shareholders in reinvestment of distributions		15,359,314			223,790,989			37,541,140			549,608,080
Shares repurchased		(198,687,826	)		(2,929,999,235	)		(145,656,187	)^(c)		(2,226,520,372	)^(c)

Net increase (decrease)		(182,048,721	)	$	(2,687,005,631	)		(84,910,872	)	$	(1,320,602,585	)

^(a)

42,664,021 shares and $928,795,727 were redeemed in-kind.

^(b)

10,797,603 shares and $153,780,220 were redeemed in-kind.

^(c)

42,205,856 shares and $640,262,842 were redeemed in-kind.

Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

‡

Class IV liquidated on February 25, 2016.

The class was inactive from July 31, 2014 to August 8, 2016.

10.

Investments in affiliated issuers

A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the year ended February 28, 2017 is set forth below:



Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
International Equity Fund
GMO U.S. Treasury Fund	$	296,198,769	$	1,663,000,000	$	1,937,499,999	$	497,582	$	11,487	$	21,767,868


International Large/Mid Cap Equity Fund
GMO U.S. Treasury Fund	$	50,481,592	$	221,480,000	$	269,570,000	$	73,394	$	5,414	$	2,408,002


Quality Fund
GMO U.S. Treasury Fund	$	117,824,375	$	1,740,700,000	$	1,618,000,000	$	831,750	$	106,967	$	240,449,520


Resources Fund
GMO U.S. Treasury Fund	$	2,000,000	$	23,200,000	$	19,050,000	$	11,897	$	997	$	6,150,081


Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	14,106,048	$	12,650,000	$	26,330,000	$	10,132	$	1,041	$	427,587


U.S. Equity Allocation Fund
GMO U.S. Treasury Fund	$	159,329,373	$	755,170,000	$	903,340,000	$	174,881	$	5,540	$	11,180,107

11.

Subsequent events

Subsequent to February 28, 2017, GMO International Large/Mid Cap Equity Fund received redemption requests in the amount of $51,327,010.

108

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and Shareholders of

GMO International Equity Fund, GMO International Large/Mid Cap Equity Fund, GMO Quality Fund, GMO Resources Fund, GMO Risk Premium Fund, GMO Tax-Managed International Equities Fund, and GMO U.S. Equity Allocation Fund

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the GMO International Equity Fund, GMO International Large/Mid Cap Equity Fund, GMO Quality Fund, GMO Resources Fund, GMO Risk Premium Fund, GMO Tax-Managed International Equities Fund, and GMO U.S. Equity Allocation Fund (the “Funds”) as of February 28, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2017 by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

April 26, 2017

109

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

February 28, 2017 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2017.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2016 through February 28, 2017.

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual						Hypothetical
	Beginning Account Value September 1, 2016		Ending Account Value February 28, 2017		Expenses Paid During the Period*		Beginning Account Value September 1, 2016		Ending Account Value February 28, 2017		Expenses Paid During the Period*		Annualized Expense Ratio
International Equity Fund
Class II		$1,000.00		$1,055.70		$3.67		$1,000.00		$1,021.22		$3.61		0.72%
Class III		$1,000.00		$1,055.60		$3.31		$1,000.00		$1,021.57		$3.26		0.65%
Class IV		$1,000.00		$1,056.10		$3.01		$1,000.00		$1,021.87		$2.96		0.59%
International Large/Mid Cap Equity Fund
Class III		$1,000.00		$1,047.80		$2.74		$1,000.00		$1,022.12		$2.71		0.54%
Class IV		$1,000.00		$1,047.90		$2.49		$1,000.00		$1,022.36		$2.46		0.49%
Class VI		$1,000.00		$1,048.20		$2.23		$1,000.00		$1,022.61		$2.21		0.44%
Quality Fund
Class III		$1,000.00		$1,068.60		$2.46		$1,000.00		$1,022.41		$2.41		0.48%
Class IV		$1,000.00		$1,068.90		$2.26		$1,000.00		$1,022.61		$2.21		0.44%
Class V		$1,000.00		$1,069.00		$2.15		$1,000.00		$1,022.71		$2.11		0.42%
Class VI		$1,000.00		$1,068.80		$2.00		$1,000.00		$1,022.86		$1.96		0.39%
Resources Fund
Class III		$1,000.00		$1,227.30		$4.20		$1,000.00		$1,021.03		$3.81		0.76%
Class IV		$1,000.00		$1,226.70		$3.92		$1,000.00		$1,021.27		$3.56		0.71%
Risk Premium Fund
Class III		$1,000.00		$1,083.30		$3.15		$1,000.00		$1,021.77		$3.06		0.61%
Class VI		$1,000.00		$1,083.70		$2.63		$1,000.00		$1,022.27		$2.56		0.51%
Tax-Managed International Equities Fund
Class III		$1,000.00		$1,051.00		$3.56		$1,000.00		$1,021.32		$3.51		0.70%

110

GMO Trust Funds

Fund Expenses — (Continued)

February 28, 2017 (Unaudited)


	Actual						Hypothetical
	Beginning Account Value September 1, 2016		Ending Account Value February 28, 2017		Expenses Paid During the Period*		Beginning Account Value September 1, 2016		Ending Account Value February 28, 2017		Expenses Paid During the Period*		Annualized Expense Ratio
U.S. Equity Allocation Fund
Class III		$1,000.00		$1,105.00		$2.40		$1,000.00		$1,022.51		$2.31		0.46%
Class IV		$1,000.00		$1,104.90		$2.14		$1,000.00		$1,022.76		$2.06		0.41%
Class V		$1,000.00		$1,105.50		$2.09		$1,000.00		$1,022.81		$2.01		0.40%
Class VI		$1,000.00		$1,105.70		$1.93		$1,000.00		$1,022.96		$1.86		0.37%

111

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2017 (Unaudited)

The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.



Fund Name	Dividend Received Deduction (corporate shareholders)⁽¹⁾		Qualified Dividend Income (non-corporate shareholders)⁽¹⁾		Short- Term Capital Gain Dividends⁽²⁾ ($)		Long-Term Capital Gain Distributions ($)		Foreign Taxes Paid⁽³⁾ ($)		Foreign Source Income⁽³⁾($)
International Equity Fund		—		100.00%		—		—		29,404,392		308,950,774
International Large/Mid Cap Equity Fund		—		100.00%		—		—		4,280,484		44,263,566
Quality Fund		93.63%		100.00%		—		154,921,160		—		—
Resources Fund		3.72%		94.98%		—		—		563,361		6,212,745
Risk Premium Fund		—		—		5,207,663		8,050,339		—		—
Tax-Managed International Equities Fund		—		100.00%		—		—		637,330		6,725,935
U.S. Equity Allocation Fund		100%		100.00%		—		198,946,416		—		—

⁽¹⁾

Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

⁽²⁾

These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds’ shareholders.

⁽³⁾

The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders.

In early 2018, the Funds will notify applicable shareholders of amounts for use in preparing 2017 U.S. federal income tax forms.

112

Trustees and Officers (Unaudited)

Management of the Trust

Independent Trustees

Name and

Year of Birth

Position(s)

Held with the Trust

Length of

Time Served

Principal Occupation(s)

During Past

5 Years

Number of
Portfolios in
Fund Complex¹
Overseen

Other

Directorships
Held in the
Past Five
Years

Donald W. Glazer

YOB: 1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Law and Business²; Author of Legal Treatises.

Director, BeiGene Ltd. (biotech research).

Peter Tufano

YOB: 1957

Trustee

Since December 2008.

Trustee of State Street Navigator Securities Lending Trust (5 Portfolios).

Paul Braverman

YOB: 1949

Trustee

Since March 2010.

Trustee of HIMCO Variable Insurance Trust (27 Portfolios).

Interested Trustee and Officer

Joseph B. Kittredge, Jr.³

YOB: 1954

Trustee;

President of the Trust

Trustee since March 2010; President since March 2009; Chief Executive Officer, March 2009 – June 2015.

General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – present); Partner, Ropes & Gray, LLP (1988 – 2005).

None.

¹	The Fund Complex includes series of each of GMO Trust and GMO Series Trust. Mr. Kittredge also serves as a Trustee of GMO Series Trust.

As part of Mr. Glazer’s work as a consultant, he provides part-time consulting services to Goodwin Procter LLP (“Goodwin”). Goodwin has provided legal services to Renewable Resources, LLC, an affiliate of GMO; GMO, in connection with its relationship with Renewable Resources; and funds managed by Renewable Resources. Mr. Glazer has represented that he has no financial interest in, and is not involved in the provision of, such legal services. These entities did not pay any legal fees or disbursements to Goodwin during the Calendar years ended December 31, 2015 and December 31, 2016. In correspondence with the staff of the SEC (the “Staff”) beginning in August 2006, the Independent Trustees’ legal counsel provided the Staff with information regarding Mr. Glazer’s relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees’ legal counsel that Mr. Glazer is not an “interested person” of the Trust.

³	Mr. Kittredge is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of his positions with the Trust and GMO indicated in the table above and his interest as a member of GMO.

113


Officers

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Joseph B. Kittredge, Jr. YOB: 1954	Trustee and President	Trustee since March 2010; President since March 2009; Chief Executive Officer, March 2009 – June 2015.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – present); Partner, Ropes & Gray LLP (1988 – 2005).

Sheppard N. Burnett YOB: 1968	Chief Executive Officer	Chief Executive Officer since June 2015; Chief Financial Officer, March 2007 – June 2015; Treasurer, November 2006 – June 2015; Assistant Treasurer, September 2004 – November 2006.	Head of Fund Treasury and Tax, Grantham, Mayo, Van Otterloo & Co. LLC (December 2006 – present).

Carly Cushman YOB: 1984	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer and Chief Financial Officer since June 2015; Chief Accounting Officer since May 2014; Assistant Treasurer, September 2013 – June 2015.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (December 2009 – present); Senior Accountant, Renaissance HealthCare (February 2009 – December 2009); Auditor/Senior Auditor, Deloitte & Touche (September 2006 – February 2009).

John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).

Betty Maganzini YOB: 1972	Assistant Treasurer	Since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present); Assistant Treasurer (June 2009 – July 2010), Manager, Fund Administration and Regulatory Affairs (2006 – 2009), Hambrecht & Quist Capital Management LLC.

Mahmoodur Rahman YOB: 1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2007 – present).

Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present)

Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).

Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).

Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).

Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present); Associate, Dechert LLP (October 2010 – February 2015).

Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present); Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (March 2000 – May 2015).

Claire Wilkinson YOB: 1965	Anti-Money Laundering Officer	Since February 2016.	Compliance Associate, GMO UK Limited (April 2013 – present); General Counsel, MVision Private Equity Advisers Limited (November 2009 – January 2013).

114

GMO Trust

Annual Report

February 28, 2017

Emerging Countries Fund

Emerging Domestic Opportunities Fund

Emerging Markets Fund

Taiwan Fund

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, small 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
Management Discussion and Analysis of Fund Performance			2
Performance Graph			3
Investment Concentration Summary			4
Schedule of Investments			5
Emerging Domestic Opportunities Fund
Management Discussion and Analysis of Fund Performance			10
Performance Graph			11
Investment Concentration Summary			12
Schedule of Investments			13
Emerging Markets Fund
Management Discussion and Analysis of Fund Performance			18
Performance Graph			19
Investment Concentration Summary			20
Schedule of Investments			21
Taiwan Fund
Management Discussion and Analysis of Fund Performance			30
Performance Graph			31
Investment Concentration Summary			32
Schedule of Investments			33
Portfolio, Counterparty and Currency Abbreviations			35
Fund Financial Statements:
Statements of Assets and Liabilities			36
Statements of Operations			38
Statements of Changes in Net Assets			39
Financial Highlights			41
Notes to Financial Statements			47
Report of Independent Registered Public Accounting Firm			83
Fund Expenses			84
Tax Information			85
Trustees and Officers			86

GMO Emerging Countries Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Markets Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Emerging Countries Fund returned +36.00% (net) for the fiscal year ended February 28, 2017, as compared with +30.27% for the S&P/IFCI Composite Index.

Country-sector allocation contributed to the Fund’s relative returns for the fiscal year. The Fund’s overweight in Russia Financials and India Financials added to relative performance. The Fund’s overweight in Korean Consumer Discretionary and Turkey Telecommunications detracted from relative performance.

Stock selection was additive during the fiscal year. The Fund’s stock selections in Korean Information Technology and Brazil Financials helped relative performance, while the stock selections in Russia Energy and India Materials hurt relative performance.

GMO Emerging Countries Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Emerging Countries Fund Class III Shares and the S&P/IFCI Composite Index

As of February 28, 2017

LOGO

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO Emerging Countries Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		90.5	%
Preferred Stocks		4.8
Investment Funds		3.1
Short-Term Investments		0.2
Rights/Warrants		0.0	^
Futures Contracts		(0.0	)^
Other		1.4

		100.0	%


Country Summary^¤	% of Investments
Taiwan		22.6	%
China		21.1
South Korea		17.1
India		10.9
Russia		7.4
Turkey		6.3
United States		3.6	*
Brazil		2.9
Thailand		2.3
Mexico		1.4
Indonesia		0.7
Greece		0.7
United Kingdom		0.6	*
Philippines		0.6
South Africa		0.5
Qatar		0.2
Malaysia		0.2
United Arab Emirates		0.2
Vietnam		0.2
Egypt		0.2
Chile		0.1
Belgium		0.1	*
Czech Republic		0.1
Poland		0.0	^

		100.0	%


Industry Group Summary	% of Equity Investments^#
Banks		24.5	%
Technology Hardware & Equipment		16.8
Telecommunication Services		14.1
Automobiles & Components		7.7
Materials		6.8
Software & Services		6.0
Semiconductors & Semiconductor Equipment		5.1
Energy		4.4
Diversified Financials		2.8
Food, Beverage & Tobacco		2.4
Insurance		2.4
Real Estate		1.3
Transportation		0.9
Consumer Services		0.8
Utilities		0.7
Food & Staples Retailing		0.7
Consumer Durables & Apparel		0.6
Capital Goods		0.5
Household & Personal Products		0.5
Health Care Equipment & Services		0.3
Media		0.3
Pharmaceuticals, Biotechnology & Life Sciences		0.3
Retailing		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.

*	Includes companies that derive more than 50% of their revenues or profits from emerging markets.

^	Rounds to 0.0%.

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 90.5%

		Belgium — 0.1%
	200	Anheuser-Busch InBev SA/NV Sponsored ADR		21,898


		Brazil — 1.4%
	8,800	Ambev SA ADR		50,072
	1,600	BR Malls Participacoes SA ^*		7,648
	12,700	CCR SA		73,549
	1,500	Equatorial Energia SA		28,622
	5,100	Kroton Educacional SA		22,351
	1,955	Localiza Rent a Car SA		24,180
	5,000	LPS Brasil Consultoria de Imoveis SA ^*		8,829
	2,200	Marisa Lojas SA ^*		4,899
	2,000	Multiplus SA		22,941
	525	Raia Drogasil SA		10,009
	11,100	Rumo Logistica Operadora Multimodal SA ^*		30,475
	8,900	Tim Participacoes SA		27,866
	4,600	Tim Participacoes SA ADR		71,346

		Total Brazil		382,787


		Chile — 0.1%
	3,500	Enel Americas SA ADR		34,125
	344,016	Itau CorpBanca		2,772

		Total Chile		36,897


		China — 20.9%
	627,002	Agricultural Bank of China Ltd – Class H		288,993
	3,726	Alibaba Group Holding Ltd Sponsored ADR ^*		383,405
	12,500	Anhui Conch Cement Co Ltd – Class H		43,519
	700	Baidu Inc Sponsored ADR ^*		121,891
	849,500	Bank of China Ltd – Class H		429,822
	125,000	Belle International Holdings Ltd		86,063
	113,000	China Cinda Asset Management Co Ltd – Class H		44,539
	397,160	China Communications Services Corp Ltd – Class H		265,196
	896,320	China Construction Bank Corp – Class H		737,977
	16,000	China Life Insurance Co Ltd – Class H		48,751
	300	China Lodging Group Ltd Sponsored ADR ^*		17,391
	1,000	China Machinery Engineering Corp – Class H		695
	97,810	China Mobile Ltd		1,078,852
	3,000	China Mobile Ltd Sponsored ADR		165,780
	11,200	China Overseas Property Holdings Ltd		2,018
	30,000	China Telecom Corp Ltd – Class H		14,109
	123,000	Country Garden Holdings Co Ltd		88,073
	90,000	Geely Automobile Holdings Ltd		122,339
	3,500	Hengan International Group Co Ltd		29,873
	811,847	Industrial & Commercial Bank of China Ltd – Class H		531,969
	1,000	New Oriental Education & Technology Group Inc Sponsored ADR ^*		48,410


Shares		Description	Value ($)
		China — continued
	1,400	People’s Insurance Co Group of China Ltd (The) – Class H		575
	108,000	PICC Property & Casualty Co Ltd – Class H		164,916
	17,181	Ping An Insurance Group Co of China Ltd – Class H		91,523
	8,400	Qingdao Haier Co Ltd – Class A		13,363
	1,000	Shenzhou International Group Holdings Ltd		5,971
	15,200	Sinopharm Group Co Ltd Class H		70,291
	22,000	Sunac China Holdings Ltd		22,878
	1,039	TAL Education Group ADR ^*		89,842
	18,194	Tencent Holdings Ltd		482,814
	14,000	Tong Ren Tang Technologies Co Ltd – Class H		25,668
	170,000	Want Want China Holdings Ltd		109,363
	15,251	WH Group Ltd 144A		11,907
	38,000	Xinyi Glass Holdings Ltd		34,453
	165,000	Yangzijiang Shipbuilding Holdings Ltd		108,844
	12,000	Zhejiang Expressway Co Ltd – Class H		13,496

		Total China		5,795,569


		Czech Republic — 0.1%
	1,186	CEZ AS		20,931


		Egypt — 0.2%
	4,601	Alexandria Mineral Oils Co		27,935
	23,615	Telecom Egypt Co		16,168

		Total Egypt		44,103


		Greece — 0.7%
	46,588	Alpha Bank AE ^*		84,068
	46,032	Eurobank Ergasias SA ^*		30,611
	157,572	National Bank of Greece SA ^*		39,972
	159,022	Piraeus Bank SA ^*		30,744

		Total Greece		185,395


		India — 10.9%
	15,086	Asian Paints Ltd		232,017
	4,547	Aurobindo Pharma Ltd		46,173
	2,810	Berger Paints India Ltd		9,702
	3,042	Bharat Financial Inclusion Ltd ^*		38,311
	1,495	CCL Products India Ltd		7,693
	2,077	Fortis Healthcare Ltd ^*		6,007
	39,495	HDFC Bank Ltd ^(a)		851,822
	8,558	Hero MotoCorp Ltd		401,324
	9,803	Indian Oil Corp Ltd		56,504
	452	Indraprastha Gas Ltd		7,044
	2,632	IndusInd Bank Ltd		51,734
	6,967	Infosys Ltd		105,559
	23,400	Infosys Ltd Sponsored ADR		354,276
	21	Kajaria Ceramics Ltd		185


		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)

February 28, 2017


Shares		Description	Value ($)
		India — continued
	1,582	LIC Housing Finance Ltd		13,267
	1,985	Mphasis Ltd		17,745
	3,668	Muthoot Finance Ltd		19,547
	9,893	Petronet LNG Ltd		60,149
	4,805	Sun TV Network Ltd		51,255
	3,083	Tata Consultancy Services Ltd		113,591
	5,535	UltraTech Cement Ltd		311,955
	11,763	Yes Bank Ltd		255,591

		Total India		3,011,451


		Indonesia — 0.7%
	35,700	Bank Central Asia Tbk PT		41,288
	114,000	Indosat Tbk PT ^*		60,680
	179,400	Telekomunikasi Indonesia Persero Tbk PT		51,508
	1,500	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		42,750

		Total Indonesia		196,226


		Malaysia — 0.2%
	1,260	Genting Malaysia Berhad		1,489
	4,922	Hong Leong Bank Berhad		15,039
	3,234	Media Prima Berhad		749
	12,400	Petronas Chemicals Group Berhad		20,246
	5,400	Public Bank Berhad		24,271

		Total Malaysia		61,794


		Mexico — 1.4%
	38,376	Cemex SAB de CV CPO ^*		32,395
	35,664	Cemex SAB de CV Sponsored ADR ^*		301,717
	20,600	Wal-Mart de Mexico SAB de CV		40,090

		Total Mexico		374,202


		Philippines — 0.6%
	18,302	BDO Unibank Inc		42,045
	1,455	GT Capital Holdings Inc		34,975
	19,100	Manila Water Co Inc		11,610
	16,500	Puregold Price Club Inc		15,112
	12,840	Robinsons Retail Holdings Inc		20,733
	3,120	San Miguel Corp		6,675
	8,600	Semirara Mining & Power Corp		24,358

		Total Philippines		155,508


		Poland — 0.0%
	1,010	Powszechny Zaklad Ubezpieczen SA		8,954


		Qatar — 0.2%
	9,797	Qatar Gas Transport Co Ltd Nakilat		63,349


Shares		Description	Value ($)
		Russia — 7.2%
	44,716	Gazprom Neft PJSC		175,308
	4,168	Lenta Ltd 144A GDR ^*		27,675
	789	LUKOIL PJSC Sponsored ADR		41,836
	282	Mail.Ru Group Ltd GDR (Registered Shares) ^*		6,207
	2,201	MegaFon PJSC GDR (Registered Shares)		25,413
	69,467	Mobile TeleSystems PJSC Sponsored ADR		713,426
	36,039	Moscow Exchange MICEX-RTS PJSC		76,179
	22,599	Sberbank of Russia PJSC Sponsored ADR		246,404
	1,448	Sistema PJSC FC Sponsored GDR (Registered Shares)		12,912
	53,452	Surgutneftegas OJSC Sponsored ADR		269,716
	10,404	Tatneft PAO Sponsored ADR		364,837
	429	VimpelCom Ltd Sponsored ADR		1,763
	694	X5 Retail Group NV GDR (Registered) ^*		21,032

		Total Russia		1,982,708


		South Africa — 0.5%
	1,951	Bidvest Group Ltd (The)		23,049
	516	Capitec Bank Holdings Ltd		28,485
	15,933	FirstRand Ltd		60,263
	867	MTN Group Ltd		7,911
	2,457	Truworths International Ltd		16,310

		Total South Africa		136,018


		South Korea — 13.9%
	81	Amorepacific Corp		21,551
	4,048	BNK Financial Group Inc		31,063
	16	CJ O Shopping Co Ltd		2,742
	3	DGB Financial Group Inc		28
	1,015	Dongbu Insurance Co Ltd		54,801
	18	GS Home Shopping Inc		3,431
	6,363	Hana Financial Group Inc		198,218
	920	Hankook Tire Co Ltd		48,595
	313	Hyundai Marine & Fire Insurance Co Ltd		8,969
	3,094	Hyundai Mobis Co Ltd		697,386
	1,128	Hyundai Motor Co		148,936
	66	Hyundai Wia Corp		3,902
	6,707	Industrial Bank of Korea		73,215
	1,025	Kangwon Land Inc		32,015
	2,421	KB Financial Group Inc		99,939
	325	KB Insurance Co Ltd		7,572
	9,521	Kia Motors Corp		321,836
	72	Korea Zinc Co Ltd		26,478
	2,020	KT&G Corp		182,884
	3	Kwangju Bank		28
	540	LG Chem Ltd		135,018
	29	LG Household & Health Care Ltd		22,506
	89	Lotte Chemical Corp		28,675
	436	Samsung Electronics Co Ltd		740,953
	196	Samsung Electronics Co Ltd GDR		165,999


6		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)

February 28, 2017


Shares		Description	Value ($)
		South Korea — continued
	2,584	Shinhan Financial Group Co Ltd		106,308
	5,690	SK Hynix Inc		234,456
	414	SK Telecom Co Ltd		84,634
	1,800	SK Telecom Co Ltd Sponsored ADR		40,680
	27,773	Woori Bank		326,445

		Total South Korea		3,849,263


		Taiwan — 22.5%
	10,000	Advanced Semiconductor Engineering Inc		12,476
	4,200	Advanced Semiconductor Engineering Inc ADR		25,956
	5,894	Advantech Co Ltd		50,218
	59,000	Asustek Computer Inc		532,350
	47,000	Catcher Technology Co Ltd		392,170
	155,500	Cathay Financial Holding Co Ltd		244,080
	23,000	Cheng Shin Rubber Industry Co Ltd		48,887
	136,748	Chunghwa Telecom Co Ltd		453,414
	700	Chunghwa Telecom Co Ltd Sponsored ADR		23,009
	828,577	Compal Electronics Inc		518,729
	330,480	CTBC Financial Holding Co Ltd		197,225
	9,210	Delta Electronics Inc		51,238
	97,463	E.Sun Financial Holding Co Ltd		59,165
	39,914	Far EasTone Telecommunications Co Ltd		96,007
	42,845	First Financial Holding Co Ltd		25,292
	19,000	Formosa Chemicals & Fibre Corp		60,077
	8,000	Formosa Petrochemical Corp		27,830
	35,000	Formosa Plastics Corp		105,421
	31,762	Foxconn Technology Co Ltd		94,819
	242,811	Fubon Financial Holding Co Ltd		393,481
	268,975	Hon Hai Precision Industry Co Ltd		782,708
	92,366	Lite-On Technology Corp		154,687
	28,176	MediaTek Inc		205,329
	99,000	Mega Financial Holding Co Ltd		77,056
	22,000	Nan Ya Plastics Corp		53,392
	34,000	Pegatron Corp		89,527
	37,000	Pou Chen Corp		50,213
	466	President Chain Store Corp		3,420
	830,200	ProMOS Technologies Inc ^* ^{(b) (c)}		—
	104,715	Quanta Computer Inc		216,770
	260,437	Taishin Financial Holding Co Ltd		103,001
	26,401	Taiwan Mobile Co Ltd		92,705
	60,000	Taiwan Semiconductor Manufacturing Co Ltd		367,592
	16,000	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		503,520
	49,000	Uni-President Enterprises Corp		87,019
	1,000	Wowprime Corp		4,643
	22,577	Yuanta Financial Holding Co Ltd		9,551

		Total Taiwan		6,212,977


		Thailand — 1.7%
	11,900	Advanced Info Service Pcl NVDR		56,874


Shares		Description	Value ($)
		Thailand — continued
	6,000	Airports of Thailand Pcl (Foreign Registered)		6,661
	119,860	Chularat Hospital Pcl (Foreign Registered)		8,783
	21,100	CP ALL Pcl (Foreign Registered)		36,243
	28,100	Intouch Holdings Pcl (Foreign Registered)		42,610
	111,700	Jasmine International Pcl NVDR		28,161
	2,300	Kasikornbank Pcl (Foreign Registered) ^(a)		12,455
	46,200	PTT Global Chemical Pcl (Foreign Registered)		94,213
	117,433	Quality Houses Pcl (Foreign Registered)		8,807
	312,533	Sansiri Pcl (Foreign Registered)		17,365
	9,500	Siam Cement Pcl (The) (Foreign Registered)		140,302
	12,000	Tisco Financial Group Pcl (Foreign Registered)		23,520

		Total Thailand		475,994


		Turkey — 6.2%
	33,359	Akbank TAS		79,478
	576	Arcelik AS		3,300
	214,348	Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT		183,905
	98,526	Eregli Demir ve Celik Fabrikalari TAS		160,417
	20,443	Haci Omer Sabanci Holding AS		56,405
	2,353	Koza Altin Isletmeleri AS ^*		12,151
	55,780	Turk Hava Yollari AO ^*		83,489
	34,892	Turk Telekomunikasyon AS		55,104
	52,133	Turkcell Iletisim Hizmetleri AS ^*		170,140
	2,300	Turkcell Iletisim Hizmetleri AS ADR ^*		18,975
	190,784	Turkiye Garanti Bankasi AS		450,363
	58,131	Turkiye Halk Bankasi AS		179,590
	58,704	Turkiye Is Bankasi – Class C		101,888
	69,402	Turkiye Vakiflar Bankasi TAO – Class D		100,766
	60,291	Yapi ve Kredi Bankasi AS ^*		63,577

		Total Turkey		1,719,548


		United Arab Emirates — 0.2%
	5,163	Abu Dhabi Commercial Bank PJSC		9,954
	3,186	Emaar Properties PJSC		6,457
	11,965	First Gulf Bank PJSC		44,461

		Total United Arab Emirates		60,872


		United Kingdom — 0.6%
	1,728	British American Tobacco Plc		109,149
	1,348	Unilever Plc		63,951

		Total United Kingdom		173,100


		Vietnam — 0.2%
	9,660	Vietnam Dairy Products JSC		55,669


		TOTAL COMMON STOCKS (COST $23,834,337)		25,025,213


		See accompanying notes to the financial statements.		7

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		PREFERRED STOCKS — 4.8%

		Brazil — 1.5%
	800	Banco Bradesco SA		8,555
	25,745	Cia Energetica de Minas Gerais Sponsored ADR		84,958
	2,860	Itau Unibanco Holding SA		36,625
	6,060	Itau Unibanco Holding SA Sponsored ADR		77,507
	64,811	Itausa-Investimentos Itau SA		208,384

		Total Brazil		416,029


		Russia — 0.2%
	22	Sberbank of Russia PJSC		45
	62,100	Surgutneftegas OJSC		33,858
	8	Transneft PJSC		25,346

		Total Russia		59,249


		South Korea — 3.1%
	2,345	Hyundai Motor Co 2nd Preference		211,336
	482	Samsung Electronics Co Ltd		637,971
	7	Samsung Electronics Co Ltd GDR (Registered Shares)		4,629

		Total South Korea		853,936


		TOTAL PREFERRED STOCKS (COST $1,033,852)		1,329,214


		INVESTMENT FUNDS — 3.1%

		Thailand — 0.5%
	201,000	BTS Rail Mass Transit Growth Infrastructure Fund		65,645
	208,400	Digital Telecommunications Infrastructure Fund (Foreign Registered)		84,721

		Total Thailand		150,366


		United States — 2.6%
	18,899	iShares MSCI Emerging Markets ETF		717,973


		TOTAL INVESTMENT FUNDS (COST $849,790)		868,339


Shares Par Value†			Description	Value ($)
			RIGHTS/WARRANTS — 0.0%

			Brazil — 0.0%
		1,062	Itausa – Investimentos Itau SA Rights, Expires 03/31/17^*		1,345


			Thailand — 0.0%
		78,133	Sansiri PCL Warrants, Expires 11/24/17 ^*		201


			TOTAL RIGHTS/WARRANTS (COST $0)		1,546

			SHORT-TERM INVESTMENTS — 0.2%

			Time Deposits — 0.2%
	SGD	145	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 03/01/17		104
		7,250	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.36%, due 03/01/17		7,250
		55,602	Sumitomo (Tokyo) Time Deposit, 0.36%, due 03/01/17		55,602

			Total Time Deposits		62,956


			TOTAL SHORT-TERM INVESTMENTS (COST $62,956)		62,956


			TOTAL INVESTMENTS — 98.6% (Cost $25,780,935)		27,287,268
			Other Assets and Liabilities (net) — 1.4%		375,772


			TOTAL NET ASSETS — 100.0%		$27,663,040

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
6	Mini MSCI Emerging Markets	March 2017	$	279,240	$	(696	)

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

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

*	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)	Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

(c)	Bankrupt issuer.


8		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Markets Equity team at Grantham, Mayo, Van Otterloo & Co. LLC and GMO Singapore Pte. Limited.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any index or benchmark, a discussion of the Fund’s performance relative to the MSCI Emerging Markets Index is included for comparative purposes. Please note that, in GMO’s view, only approximately half of the stocks in the MSCI Emerging Markets Index are stocks that GMO considers to be suitable investments for the Fund.

Class III shares of GMO Emerging Domestic Opportunities Fund returned +20.73% (net) for the fiscal year ended February 28, 2017, as compared with +29.46% for the MSCI Emerging Markets Index.

Country-sector allocation detracted from the Fund’s relative returns for the fiscal year. The Fund’s holdings in Philippines Consumer Staples and Thailand Telecommunications hurt relative performance.

Stock selection overall had a marginally positive impact on relative returns for the fiscal year. In particular, the Fund’s stock selections in India Financials and India Energy added to relative performance.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Emerging Domestic Opportunities Class II Shares and the MSCI Emerging Markets Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .80% on the purchase and .80% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

For the period from March 1, 2011 to March 24, 2011, no Class II shares were outstanding. Performance for that period is that of Class V, which has lower expenses. Therefore, the performance shown is higher than it would have been if Class II expenses had been applied throughout.

For the period from October 27, 2011 to November 29, 2013, no Class V shares were outstanding. Performance for that period is that of Class II, which has higher expenses. Therefore, the performance shown is lower than it would have been if Class V expenses had been applied throughout.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		70.7	%
Investment Funds		19.5
Mutual Funds		3.3
Preferred Stocks		2.5
Fully Funded Total Return Swaps		2.3
Short-Term Investments		0.9
Rights/Warrants		0.5
Futures Contracts		0.3
Swap Contracts		0.0	^
Forward Currency Contracts		0.0	^

		100.0	%


Country Summary^¤	% of Investments
China		20.8	%
United States		17.0
India		13.0
Philippines		9.3
Taiwan		9.2
Thailand		6.6
Brazil		6.5
United Kingdom		5.0	*
Russia		4.0
Indonesia		1.6
United Arab Emirates		1.6
South Africa		1.5
Vietnam		1.4
South Korea		1.4
Qatar		1.4
Mexico		1.3
Turkey		0.4
Belgium		0.4	*
Malaysia		0.3
Singapore		(2.7	)

		100.0	%


Industry Group Summary	% of Equity Investments^#
Banks		24.7	%
Food, Beverage & Tobacco		11.3
Energy		7.5
Diversified Financials		6.7
Software & Services		6.0
Insurance		5.0
Food & Staples Retailing		4.8
Consumer Services		4.3
Materials		4.1
Telecommunication Services		4.0
Capital Goods		3.9
Real Estate		3.7
Household & Personal Products		3.6
Transportation		2.5
Media		2.0
Consumer Durables & Apparel		1.8
Utilities		1.2
Health Care Equipment & Services		1.2
Pharmaceuticals, Biotechnology & Life Sciences		0.9
Automobiles & Components		0.5
Retailing		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.

*	Includes companies that derive more than 50% of their revenues or profits from emerging markets.

^	Rounds to 0.0%.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 70.7%

		Belgium — 0.4%
	75,000	Anheuser-Busch InBev SA/NV Sponsored ADR		8,211,751


		Brazil — 2.7%
	1,215,200	BR Malls Participacoes SA ^*		5,808,686
	1,108,900	BTG Pactual Group		6,688,743
	639,800	Light SA		4,578,694
	5,332,821	LPS Brasil Consultoria de Imoveis SA ^*		9,416,806
	2,036,000	Marisa Lojas SA ^*		4,533,544
	67,200	Ouro Fino Saude Animal Participacoes SA		560,330
	427,800	Raia Drogasil SA		8,155,680
	5,651,400	Rumo Logistica Operadora Multimodal SA ^*		15,515,816

		Total Brazil		55,258,299


		China — 17.1%
	462,300	Alibaba Group Holding Ltd Sponsored ADR ^*		47,570,670
	1,832,000	Anhui Conch Cement Co Ltd – Class H		6,378,137
	6,617,000	China Life Insurance Co Ltd – Class H		20,161,560
	244,342	China Lodging Group Ltd Sponsored ADR ^*		14,164,506
	1,168,043	China Mobile Ltd		12,883,613
	524,650	Hangzhou Robam Appliances Co Ltd – Class A		3,236,118
	77,736,000	Industrial & Commercial Bank of China Ltd – Class H		50,937,153
	472,139	Kweichow Moutai Co Ltd – Class A		24,403,525
	1,711,803	Midea Group Co Ltd – Class A		7,956,357
	8,503,500	Ping An Insurance Group Co of China Ltd – Class H		45,297,837
	4,765,000	Qingdao Haier Co Ltd – Class A		7,580,470
	522,431	TAL Education Group ADR ^*		45,174,609
	1,372,700	Tencent Holdings Ltd		36,427,293
	7,183,440	Tong Ren Tang Technologies Co Ltd – Class H		13,170,584
	14,302,500	WH Group Ltd		11,166,428

		Total China		346,508,860


		India — 13.9%
	678,823	Amara Raja Batteries Ltd		8,715,710
	978,524	Asian Paints Ltd		15,049,310
	2,502,156	Berger Paints India Ltd		8,639,210
	1,255,833	Bharat Financial Inclusion Ltd ^*		15,815,915
	862,935	CCL Products India Ltd		4,440,493
	1,178,365	CMI Ltd ^{* (a)}		3,202,269
	1,849,092	Fortis Healthcare Ltd ^*		5,347,521
	2,103,160	Gateway Distriparks Ltd		7,742,174


Shares		Description	Value ($)
		India — continued
	10,683,040	Gayatri Projects Ltd ^(a)		22,225,368
	711,359	HDFC Bank Ltd ^(b)		15,342,477
	4,605,167	Indian Oil Corp Ltd		26,543,914
	634,418	Indraprastha Gas Ltd		9,886,883
	1,196,613	IndusInd Bank Ltd		23,520,405
	1,102,560	LIC Housing Finance Ltd		9,246,258
	3,432,919	Muthoot Finance Ltd		18,294,112
	1,161,699	Narayana Hrudayalaya Ltd ^*		5,687,052
	4,633,032	Petronet LNG Ltd		28,168,554
	1,607,271	Sangam India Ltd		6,502,100
	1,993,257	Sun TV Network Ltd		21,262,306
	288,971	Supreme Industries Ltd		4,377,640
	2,670,564	Techno Electric & Engineering Co Ltd		15,010,787
	1,315,960	Vakrangee Ltd		6,249,906

		Total India		281,270,364


		Indonesia — 1.7%
	15,003,900	Bank Central Asia Tbk PT		17,352,520
	57,133,700	Malindo Feedmill Tbk PT ^*		5,306,442
	44,263,800	Telekomunikasi Indonesia Persero Tbk PT		12,708,594

		Total Indonesia		35,367,556


		Malaysia — 0.3%
	4,386,600	Genting Malaysia Berhad		5,185,520
	1,896,116	Media Prima Berhad		439,199

		Total Malaysia		5,624,719


		Mexico — 1.4%
	32,370,404	Cemex SAB de CV CPO ^*		27,325,090


		Philippines — 5.9%
	7,947,222	BDO Unibank Inc		18,257,189
	4,887,370	Cebu Air Inc		8,951,896
	21,104,800	Century Pacific Food Inc		6,851,127
	7,304,434	Concepcion Industrial Corp		8,582,707
	537,299	GT Capital Holdings Inc		12,915,521
	3,105,480	Philippine Seven Corp		8,537,829
	12,478,300	Puregold Price Club Inc		11,428,860
	10,546,070	Robinsons Retail Holdings Inc		17,029,151
	9,300,802	Semirara Mining & Power Corp		26,342,300

		Total Philippines		118,896,580


		Qatar — 1.5%
	4,767,973	Qatar Gas Transport Co Ltd Nakilat		30,830,345


		Russia — 4.2%
	1,644,906	LSR Group PJSC GDR (Registered)		5,918,237
	820,000	Mobile TeleSystems PJSC Sponsored ADR		8,421,400
	4,629,480	Sberbank of Russia PJSC Sponsored ADR		50,476,595


		See accompanying notes to the financial statements.		13

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Russia — continued
	781,639	Sollers PJSC ^*		7,845,837
	412,901	X5 Retail Group NV GDR (Registered) ^*		12,513,383

		Total Russia		85,175,452


		South Africa — 1.5%
	441,483	Capitec Bank Holdings Ltd		24,371,277
	745,697	MTN Group Ltd		6,803,843

		Total South Africa		31,175,120


		South Korea — 1.5%
	183,077	KT&G Corp		16,575,215
	347,198	Shinhan Financial Group Co Ltd		14,284,090

		Total South Korea		30,859,305


		Taiwan — 4.6%
	5,746,000	Cathay Financial Holding Co Ltd		9,019,204
	64,302,267	E.Sun Financial Holding Co Ltd		39,034,479
	28,256,946	Fubon Financial Holding Co Ltd		45,791,058

		Total Taiwan		93,844,741


		Thailand — 5.1%
	5,308,000	Airports of Thailand Pcl (Foreign Registered)		5,892,624
	88,550,540	Chularat Hospital Pcl (Foreign Registered)		6,488,991
	7,832,800	CP ALL Pcl (Foreign Registered)		13,454,132
	7,582,900	CPN Retail Growth Leasehold Property Fund		4,212,609
	12,541,128	Hemraj Leasehold REIT (Foreign Registered) ^*		3,592,880
	9,872,700	Intouch Holdings Pcl (Foreign Registered)		14,970,456
	14,179,675	LPN Development Pcl (Foreign Registered)		4,708,147
	8,188,800	Major Cineplex Group Pcl (Foreign Registered)		7,968,743
	126,138,100	Quality Houses Pcl (Foreign Registered)		9,460,233
	5,381,700	Taokaenoi Food & Marketing Pcl (Foreign Registered)		4,317,016
	9,667,100	Tisco Financial Group Pcl (Foreign Registered)		18,947,537
	3,413,900	Total Access Communication Pcl (Foreign Registered)		4,255,258
	20,730,409	WHA Premium Growth Freehold & Leasehold Real Estate Investment Trust (Foreign Registered)		5,820,229

		Total Thailand		104,088,855


		Turkey — 0.4%
	3,538,546	Turkiye Garanti Bankasi AS		8,353,061


Shares		Description	Value ($)
		United Arab Emirates — 1.7%
	4,790,051	Abu Dhabi Commercial Bank PJSC		9,234,828
	2,956,915	Emaar Properties PJSC		5,992,211
	5,214,410	First Gulf Bank PJSC		19,376,510

		Total United Arab Emirates		34,603,549


		United Kingdom — 5.3%
	870,975	British American Tobacco Plc		55,014,740
	1,123,459	Unilever Plc		53,298,632

		Total United Kingdom		108,313,372


		Vietnam — 1.5%
	3,095,955	Bank for Foreign Trade of Vietnam JSC		5,090,381
	590,927	Phu Nhuan Jewelry JSC		1,945,277
	4,159,711	Vietnam Dairy Products JSC		23,971,905
	8	Vingroup JSC ^*		16

		Total Vietnam		31,007,579


		TOTAL COMMON STOCKS (COST $1,325,846,021)		1,436,714,598


		PREFERRED STOCKS — 2.5%

		Brazil — 2.5%
	780,000	Banco Bradesco SA		8,340,730
	1,020,500	Eletropaulo Metropolitana Eletricidade de Sao Paulo SA		4,100,133
	2,921,600	Itau Unibanco Holding SA		37,413,434

		Total Brazil		49,854,297


		TOTAL PREFERRED STOCKS (COST $36,625,942)		49,854,297


		INVESTMENT FUNDS — 19.5%

		Brazil — 1.8%
	955,600	iShares MSCI Brazil Capped ETF		36,054,788


		China — 2.3%
	1,233,300	iShares China Large-Cap ETF		47,112,060


		Taiwan — 5.1%
	3,211,400	iShares MSCI Taiwan Capped ETF		104,017,246


		Thailand — 3.9%
	56,672,100	Jasmine Broadband Internet Infrastructure Fund		18,652,110
	51,564,800	TICON Industrial Growth Leasehold Property Fund ^(a)		16,408,121
	108,857,492	Digital Telecommunication Infrastructure Fund		44,253,977

		Total Thailand		79,314,208


14		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)

February 28, 2017


Shares		Description	Value ($)
		United States — 6.4%
	3,409,431	iShares MSCI Emerging Markets ETF		129,524,284


		TOTAL INVESTMENT FUNDS (COST $368,382,251)		396,022,586


		RIGHTS/WARRANTS — 0.5%

		China — 0.5%
	767,900	Jiangsu Yanghe Brewery Joint Stock Co Ltd Warrants, Expires 05/14/18 ^*		9,059,896


		TOTAL RIGHTS/WARRANTS (COST $7,979,009)		9,059,896


		MUTUAL FUNDS — 3.3%

		United States — 3.3%
		Affiliated Issuers — 3.3%
	2,670,905	GMO U.S. Treasury Fund		66,772,614


		TOTAL MUTUAL FUNDS (COST $66,772,614)		66,772,614


		FULLY FUNDED TOTAL RETURN SWAPS — 2.3%

		China — 2.3%
	8,414,783	Total Return on Hangzhou Robam Appliances, Expires 7/14/2017, (OTC) (CP-GS)		8,570,219
	3,708,807	Total Return on Jiangsu Yanghe Brewery, Expires 7/12/2017, (OTC) (CP-GS)		3,750,655
	12,170,791	Total Return on Wuliangye Yibin Co Ltd, Expires 4/5/2017, (OTC) (CP-GS)		16,179,907
	1,847,880	Total Return on Zhejiang Supor Cookware Co, Expires 10/19/2017, (OTC) (CP-GS)		1,766,083
	498,763	Total Return on Zhejiang Supor Cookware Co, Expires 10/19/2017, (OTC) (CP-GS)		482,209
	358,754	Total Return on Zhejiang Supor Cookware Co, Expires 11/14/2017, (OTC) (CP-GS)		380,320
	1,299,140	Total Return on Zhejiang Supor Cookware Co, Expires 11/14/2017, (OTC) (CP-GS)		1,354,027
	346,799	Total Return on Zhejiang Supor Cookware Co, Expires 11/14/2017, (OTC) (CP-GS)		353,860
	1,534,862	Total Return on Zhejiang Supor Cookware Co, Expires 11/27/2017, (OTC) (CP-GS)		1,594,918
	770,474	Total Return on Zhejiang Supor Cookware Co, Expires 11/27/2017, (OTC) (CP-GS)		793,114


Shares / Par Value†		Description	Value ($)
		China — continued
	1,610,563	Total Return on Zhejiang Supor Cookware Co, Expires 11/27/2017, (OTC) (CP-GS)		1,616,196
	10,878,519	Total Return on Zhejiang Supor Cookware Co, Expires 7/19/2017, (OTC) (CP-GS)		10,008,891

		Total China		46,850,399


		TOTAL FULLY FUNDED TOTAL RETURN SWAPS (COST $43,440,133)		46,850,399


		SHORT-TERM INVESTMENTS — 0.9%

		Time Deposits — 0.3%
ZAR	27,260,670	Brown Brothers Harriman (Grand Cayman) Time Deposit, 5.70%, due 03/01/17		2,078,191
	795,504	Standard Chartered Bank (London) Time Deposit, 0.36%, due 03/01/17		795,504
	4,095,162	Sumitomo (Tokyo) Time Deposit, 0.36%, due 03/01/17		4,095,162

		Total Time Deposits		6,968,857


		U.S. Government — 0.6%
	1,500,000	U.S. Treasury Bill, 0.48%, due 04/13/17^(c) (d)		1,499,138
	5,000,000	U.S. Treasury Bill, 0.53%, due 06/08/17^(c) (d)		4,992,685
	5,500,000	U.S. Treasury Bill, 0.58%, due 07/06/17^(c) (d)		5,488,752

		Total U.S. Government		11,980,575


		TOTAL SHORT-TERM INVESTMENTS (COST $18,947,837)		18,949,432


		TOTAL INVESTMENTS — 99.7% (Cost $1,867,993,807)		2,024,223,822
		Other Assets and Liabilities (net) — 0.3%		6,893,267


		TOTAL NET ASSETS — 100.0%		$2,031,117,089


		See accompanying notes to the financial statements.		15

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2017

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
06/30/2017	BCLY		GBP	68,332,500		USD	90,520,969	$	5,470,634
04/12/2017	MSCI		PHP	2,071,369,000		USD	41,769,893		729,117
06/13/2017	MSCI		PHP	1,979,635,372		USD	39,014,897		29,069
06/30/2017	BCLY		USD	90,790,236		GBP	68,332,500		(5,739,901	)

								$	488,919

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
3,655	Mini MSCI Emerging Markets	March 2017	$	170,103,700	$	5,192,414

Sales
7,316	SET 50	March 2017	$	40,993,555	$	195,933
3,233	SGX CNX Nifty Index 50	March 2017		57,544,292		179,621

			$	98,537,847	$	375,554

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Total Return Swaps

Notional
Amount

Expiration
Date

Counterparty

Fund Pays

Fund Receives

Net
Unrealized
Appreciation/
(Depreciation)

10,285,641

USD

11/3/2017

JPM

Total return on MSCI Daily TR Net Emerging Markets Philippines USD

1 Month LIBOR minus 1.0%

105,974

10,382,130

USD

11/21/2017

Total return on MSCI Daily TR Net Emerging Markets Philippines USD

3 Month LIBOR minus 0.5%

93,045

9,391,109

USD

11/21/2017

Total return on MSCI Daily TR Net Emerging Markets Philippines USD

3 Month LIBOR minus 0.5%

84,164

10,245,275

USD

12/11/2017

Total return on MSCI Daily TR Net Emerging Markets Philippines USD

3 Month LIBOR minus 0.5%

91,819

10,264,151

USD

12/11/2017

Total return on MSCI Daily TR Net Emerging Markets Philippines USD

3 Month LIBOR minus 0.8%

91,561

13,072,046

USD

12/19/2017

UBSA

Total return on MSCI Daily TR Net Emerging Markets Philippines USD

1 Month LIBOR minus 1.3%

114,922

18,130,974

USD

12/19/2017

UBSA

Total return on MSCI Daily TR Net Emerging Markets Philippines USD

1 Month LIBOR minus 1.3%

159,397

740,882

Premiums Paid (Received)

—


16		See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2017

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

*	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).


		See accompanying notes to the financial statements.		17

GMO Emerging Markets Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Markets Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Emerging Markets Fund returned +34.67% (net) for the fiscal year ended February 28, 2017, as compared with +30.27% for the S&P/IFCI Composite Index.

Country-sector allocation contributed to the Fund’s relative returns for the fiscal year. The Fund’s overweight in Brazil Utilities and Russia Financials added to relative performance. The Fund’s overweight in Korean Consumer Discretionary and Turkey Telecommunications detracted from relative performance.

Stock selection was additive during the fiscal year. The Fund’s stock selections in India Financials and Brazil Financials helped relative performance, while the stock selections in Russia Energy and India Materials hurt relative performance.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $50,000,000 Investment in

GMO Emerging Markets Fund Class III Shares and the S&P/IFCI Composite Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .80% on the purchase and .80% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

For the period from January 9, 1998 to August 12, 2009, no Class II shares were outstanding. Performance for that period is that of Class III shares, which have been adjusted downward to reflect Class II’s higher gross expenses (Class II’s expenses during these periods were calculated by adjusting Class III’s gross expenses during such periods upward by the current differential between the gross shareholder service fees for Class II and Class III shares).

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		93.6	%
Preferred Stocks		4.1
Mutual Funds		1.8
Investment Funds		0.7
Short-Term Investments		0.3
Swap Contracts		0.0	^
Fully Funded Total Return Swaps		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		0.0	^
Other		(0.5	)

		100.0	%

Country Summary^¤	% of Investments
Taiwan		24.8	%
China		20.3
South Korea		16.1
India		12.2
Russia		6.3
Turkey		4.9
Brazil		3.1
United States		2.5
Thailand		2.5
Mexico		1.1
South Africa		0.9
Greece		0.8
Philippines		0.8
Indonesia		0.7
United Arab Emirates		0.7
United Kingdom		0.6
Chile		0.5
Qatar		0.3
Vietnam		0.2
Poland		0.2
Malaysia		0.2
Egypt		0.2
Czech Republic		0.1
Belgium		0.0	^*
Sri Lanka		0.0	^

		100.0	%


Industry Group Summary	% of Equity Investments^#
Banks		22.7	%
Technology Hardware & Equipment		16.4
Telecommunication Services		11.3
Automobiles & Components		7.0
Materials		6.0
Capital Goods		4.4
Software & Services		4.0
Semiconductors & Semiconductor Equipment		4.0
Energy		3.3
Real Estate		3.1
Diversified Financials		3.0
Utilities		2.6
Consumer Durables & Apparel		2.6
Insurance		2.5
Food, Beverage & Tobacco		2.3
Consumer Services		1.0
Retailing		0.9
Transportation		0.7
Food & Staples Retailing		0.6
Media		0.4
Household & Personal Products		0.4
Pharmaceuticals, Biotechnology & Life Sciences		0.4
Health Care Equipment & Services		0.4
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.

*	Includes companies that derive more than 50% of their revenues or profits from emerging markets.

^	Rounds to 0.0%.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 93.6%

		Belgium — 0.0%
	17,600	Anheuser-Busch InBev SA Sponsored ADR		1,927,024


		Brazil — 2.4%
	4,090,073	AES Tiete Energia SA		21,096,159
	103,600	Banco Bradesco SA		1,081,271
	359,600	BR Malls Participacoes SA ^*		1,718,897
	1,741,176	BTG Pactual Group		10,502,550
	1,396,500	Cia Hering		7,799,640
	1,615,023	EDP-Energias do Brasil SA		7,105,319
	1,881,500	Engie Brasil Energia SA		22,297,118
	384,600	Equatorial Energia SA		7,338,663
	523,671	Grendene SA		3,361,559
	206,100	Light SA		1,474,944
	1,197,700	LPS Brasil Consultoria de Imoveis SA ^*		2,114,923
	386,300	Marisa Lojas SA ^*		860,171
	743,300	Multiplus SA		8,526,150
	15,000	Ouro Fino Saude Animal Participacoes SA		125,074
	99,600	Raia Drogasil SA		1,898,798
	1,810,400	Rumo Logistica Operadora Multimodal SA ^*		4,970,420
	2,048,651	Transmissora Alianca de Energia Eletrica SA		14,481,277
	910,000	Via Varejo SA		3,442,363

		Total Brazil		120,195,296


		Chile — 0.5%
	24,922,544	Enel Americas SA		4,849,416
	1,201,100	Enel Americas SA ADR		11,710,725
	15,711,140	Enel Chile SA		1,616,641
	1,434,047	Inversiones Aguas Metropolitanas SA		2,139,122
	167,554	Inversiones La Construccion SA		2,216,550
	991,966	SONDA SA		1,617,164
	1,048,936	Vina Concha y Toro SA		1,774,225

		Total Chile		25,923,843


		China — 20.4%
	195,000	AAC Technologies Holdings Inc		2,051,400
	134,060,290	Agricultural Bank of China Ltd – Class H		61,790,018
	3,034,705	Aier Eye Hospital Group Co Ltd – Class A		14,025,688
	299,255	Alibaba Group Holding Ltd Sponsored ADR ^*		30,793,339
	608,500	Anhui Conch Cement Co Ltd – Class H		2,118,502
	57,400	Baidu Inc Sponsored ADR ^*		9,995,062
	152,909,682	Bank of China Ltd – Class H		77,367,721
	29,414,000	Belle International Holdings Ltd		20,251,571
	452,300	Changyou.com Ltd ADR ^*		12,492,526
	56,136,200	China Communications Services Corp Ltd – Class H		37,483,903
	156,117,106	China Construction Bank Corp – Class H		128,537,637
	1,397,734	China International Travel Service Corp Ltd – Class A		10,000,130


Shares		Description	Value ($)
		China — continued
	4,863,000	China Lesso Group Holdings Ltd		3,647,953
	2,192,000	China Life Insurance Co Ltd – Class H		6,678,878
	79,600	China Lodging Group Ltd Sponsored ADR ^*		4,614,412
	22,571,000	China Machinery Engineering Corp – Class H		15,699,061
	13,894,962	China Mobile Ltd		153,262,600
	636,200	China Mobile Ltd Sponsored ADR		35,156,412
	99,000	Chlitina Holding Ltd		526,294
	1,180,864	CKH Food & Health Ltd ^*		1,795,563
	1,745,600	Dongfang Electric Corp Ltd – Class H		1,824,711
	8,983,000	FIH Mobile Ltd		3,480,233
	458,000	Haier Electronics Group Co Ltd		842,477
	586,000	Haitian International Holdings Ltd		1,232,948
	114,200	Hangzhou Robam Appliances Co Ltd – Class A		704,402
	950,490	Hangzhou Robam Appliances Co Ltd – Class A		5,850,685
	14,416,000	Harbin Electric Co Ltd – Class H		7,094,574
	209,000	Hengan International Group Co Ltd		1,783,859
	10,248,000	Hua Han Health Industry Holdings Ltd ^*		686,465
	15,038,000	Huabao International Holdings Ltd ^*		8,078,571
	140,386,391	Industrial & Commercial Bank of China Ltd – Class H		91,989,336
	972,000	Jiangsu Expressway Co Ltd – Class H		1,282,235
	226,800	Jiangsu Yanghe Brewery Joint-Stock Co Ltd – Class A		2,674,282
	33,049	Jiangsu Yanghe Brewery Joint-Stock Co Ltd – Class A		390,497
	179,603	Kweichow Moutai Co Ltd – Class A		9,264,046
	92,931	Kweichow Moutai Co Ltd – Class A		4,803,340
	1,534,955	Midea Group Co Ltd – Class A		7,115,166
	402,400	Midea Group Co Ltd – Class A		1,870,331
	23,460,000	PICC Property & Casualty Co Ltd – Class H		35,823,322
	2,780,061	Ping An Insurance Group Co of China Ltd – Class H		14,809,285
	1,728,942	Qingdao Haier Co Ltd – Class A		2,750,513
	2,927,665	SAIC Motor Corp Ltd – Class A		10,982,003
	686,000	Shenzhen Expressway Co Ltd – Class H		633,569
	669,500	Shenzhen International Holdings Ltd		959,909
	14,040,500	Sinopec Engineering Group Co Ltd – Class H		12,763,610
	61,000	Sohu.com Inc ^*		2,429,630
	171,006	TAL Education Group ADR ^*		14,786,889
	2,431,565	Tencent Holdings Ltd		64,526,358
	1,881,880	Tong Ren Tang Technologies Co Ltd – Class H		3,450,361
	171,000	TravelSky Technology Ltd – Class H		372,894
	33,949,000	Want Want China Holdings Ltd		21,839,805
	4,615,268	WH Group Ltd		3,603,290
	672,729	Wuliangye Yibin Co Ltd – Class A		3,878,376
	2,826,000	Xinyi Glass Holdings Ltd		2,562,214
	6,065,500	Xtep International Holdings Ltd		2,764,164
	43,674,080	Yangzijiang Shipbuilding Holdings Ltd		28,809,965
	8,260,000	Zhejiang Expressway Co Ltd – Class H		9,289,770
	1,224,573	Zhejiang Supor Cookware Co Ltd – Class A		6,633,445

		Total China		1,022,926,200


		See accompanying notes to the financial statements.		21

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Czech Republic — 0.2%
	1,055,964	Moneta Money Bank AS ^*		3,530,371
	8,158	Philip Morris CR AS		4,254,636

		Total Czech Republic		7,785,007


		Egypt — 0.2%
	11,625,874	Telecom Egypt Co		7,959,744


		Greece — 0.8%
	10,466,666	Alpha Bank AE ^*		18,887,036
	10,341,896	Eurobank Ergasias SA ^*		6,877,275
	35,399,812	National Bank of Greece SA ^*		8,980,101
	35,717,726	Piraeus Bank SA ^*		6,905,456

		Total Greece		41,649,868


		India — 12.1%
	222,078	Amara Raja Batteries Ltd		2,851,358
	2,912,970	Asian Paints Ltd		44,800,320
	1,422,392	Aurobindo Pharma Ltd		14,443,910
	832,372	Berger Paints India Ltd		2,873,936
	390,443	Bharat Financial Inclusion Ltd ^*		4,917,225
	177,449	CCL Products India Ltd		913,118
	293,346	CMI Ltd ^*		797,183
	629,862	Fortis Healthcare Ltd ^*		1,821,543
	475,623	Gateway Distriparks Ltd		1,750,868
	16,900,000	Gayatri Projects Ltd ^(a)		35,159,348
	7,988,747	HDFC Bank Ltd ^(b)		172,300,018
	35,300	HDFC Bank Ltd ADR		2,530,657
	1,855,762	Hero MotoCorp Ltd		87,025,131
	3,509,023	IFCI Ltd ^*		1,533,179
	1,424,808	Indian Oil Corp Ltd		8,212,510
	210,960	Indraprastha Gas Ltd		3,287,638
	391,011	IndusInd Bank Ltd		7,685,640
	843,332	Infosys Ltd		12,777,525
	1,743,200	Infosys Ltd Sponsored ADR		26,392,048
	3,022,460	Jai Balaji Industries Ltd ^*		596,373
	1,754,682	Kiri Industries Ltd ^{* (a)}		7,867,156
	811,005	KPIT Technologies Ltd		1,674,111
	275,755	LIC Housing Finance Ltd		2,312,529
	328,532	Mphasis Ltd		2,937,021
	816,306	Muthoot Finance Ltd		4,350,115
	121,808	Narayana Hrudayalaya Ltd ^*		596,306
	1,920,616	NMDC Ltd		4,334,026
	1,449,808	Petronet LNG Ltd		8,814,745
	532,104	Sangam India Ltd		2,152,589
	673,730	Sun TV Network Ltd		7,186,757
	77,996	Supreme Industries Ltd		1,181,566
	151,145	Tata Consultancy Services Ltd		5,568,856
	201,544	Tech Mahindra Ltd		1,482,145
	889,071	Techno Electric & Engineering Co Ltd		4,997,317
	1,178,296	UltraTech Cement Ltd		66,409,324


Shares		Description	Value ($)
		India — continued
	309,349	Vakrangee Ltd		1,469,195
	105,963	Wipro Ltd		772,936
	2,413,396	Yes Bank Ltd		52,439,318

		Total India		609,215,540


		Indonesia — 0.7%
	52,639,500	Bakrie Telecom Tbk PT ^*		134,204
	4,972,100	Bank Central Asia Tbk PT		5,750,403
	11,847,400	Bank Pembangunan Daerah Jawa Timur Tbk PT		505,266
	9,335,669	Gajah Tunggal Tbk PT ^*		884,555
	10,404,891	Indo Tambangraya Megah Tbk PT		13,701,058
	12,104,500	Malindo Feedmill Tbk PT ^*		1,124,237
	337,585,800	Panin Financial Tbk PT ^*		5,247,785
	20,145,100	Telekomunikasi Indonesia Persero Tbk PT		5,783,866
	63,700	Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR		1,815,450

		Total Indonesia		34,946,824


		Malaysia — 0.2%
	2,851,800	DiGi.Com Berhad		3,237,003
	1,483,046	Genting Malaysia Berhad		1,753,149
	3,882,888	KSL Holdings Berhad ^*		1,014,012
	724,887	Media Prima Berhad		167,906
	1,115,500	Petronas Chemicals Group Berhad		1,821,331
	163,900	Petronas Gas Berhad		738,921
	1,587,767	UOA Development Berhad		894,117

		Total Malaysia		9,626,439


		Mexico — 1.1%
	6,970,504	Cemex SAB de CV CPO ^*		5,884,068
	5,392,192	Cemex SAB de CV Sponsored ADR ^*		45,617,944
	38,619	Industrias Bachoco SAB de CV – Series B		153,869
	1,287,400	Wal-Mart de Mexico SAB de CV		2,505,405

		Total Mexico		54,161,286


		Philippines — 0.8%
	2,562,524	BDO Unibank Inc		5,886,898
	7,199,300	Century Pacific Food Inc		2,337,066
	2,491,740	Concepcion Industrial Corp		2,927,794
	3,484,677	First Gen Corp		1,463,364
	178,758	GT Capital Holdings Inc		4,296,961
	9,514,450	Lopez Holding Corp		1,495,633
	129,000	Manila Electric Co		749,820
	5,424,500	Manila Water Co Inc		3,297,306
	743,420	Philippine Seven Corp		2,043,869
	4,131,088	Puregold Price Club Inc		3,783,658
	3,433,860	Robinsons Retail Holdings Inc		5,544,788
	2,658,225	Semirara Mining & Power Corp		7,528,787

		Total Philippines		41,355,944


22		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)

February 28, 2017


Shares		Description	Value ($)
		Poland — 0.2%
	2,268,826	Energa SA		6,088,277
	15,767	KRUK SA		950,211
	2,154,806	Synthos SA		3,116,868

		Total Poland		10,155,356


		Qatar — 0.3%
	138,635	Doha Bank QSC		1,478,352
	54,002	Industries Qatar QSC ^*		1,747,843
	22,805	Qatar Electricity & Water Co QSC ^*		1,409,273
	1,466,410	Qatar Gas Transport Co Ltd Nakilat		9,482,001
	48,501	Qatar Navigation QSC		1,162,894

		Total Qatar		15,280,363


		Russia — 5.4%
	474,795	Globaltrans Investment Plc Sponsored GDR (Registered)		2,840,694
	561,265	LSR Group PJSC GDR (Registered)		2,019,385
	256,179	Lukoil PJSC Sponsored ADR		13,583,684
	268,717	M.Video PJSC		1,722,449
	1,689,755	MegaFon PJSC GDR (Registered)		19,510,031
	10,052,915	Mobile TeleSystems PJSC Sponsored ADR		103,243,437
	1,660,997	Moscow Exchange MICEX-RTS PJSC		3,510,998
	180,000	QIWI Plc Sponsored ADR		2,512,800
	6,782,985	Rostelecom PJSC		9,070,022
	12,897	Rostelecom PJSC Sponsored ADR		104,212
	2,392,732	Sberbank of Russia PJSC Sponsored ADR		26,088,668
	3,290,258	Sistema PJSC Sponsored GDR (Registered)		29,339,280
	164,082	Sollers PJSC ^*		1,647,002
	9,062,893	Surgutneftegas OJSC Sponsored ADR		45,730,860
	221,643	Tatneft PJSC Sponsored ADR		7,772,356
	123,647	X5 Retail Group NV GDR (Registered) ^*		3,747,247

		Total Russia		272,443,125


		South Africa — 0.9%
	1,259,432	Barloworld Ltd		11,126,257
	128,627	Capitec Bank Holdings Ltd		7,100,623
	650,928	Lewis Group Ltd		2,083,988
	139,290	MTN Group Ltd		1,270,901
	4,990,890	Murray & Roberts Holdings Ltd		5,807,968
	366,296	Reunert Ltd		1,960,898
	69,279	Vodacom Group Ltd		782,411
	1,245,031	Wilson Bayly Holmes-Ovcon Ltd		13,786,941

		Total South Africa		43,919,987


		South Korea — 13.7%
	11,699	Amorepacific Group		1,344,607
	1,759,774	BNK Financial Group Inc		13,504,097
	32,833	Cheil Worldwide Inc		549,948
	11,570	CJ O Shopping Co Ltd		1,983,026
	3,979	Com2uSCorp		385,262


Shares		Description	Value ($)
		South Korea — continued
	7,600	Coway Co Ltd		600,869
	115,475	Daishin Securities Co Ltd		1,168,036
	944,277	Daou Data Corp		9,093,172
	1,134,433	Daou Technology Inc		18,440,183
	1,533,626	DGB Financial Group Inc		14,098,712
	180,650	Dongbu Insurance Co Ltd		9,753,517
	388,194	Grand Korea Leisure Co Ltd		7,326,716
	59,585	GS Home Shopping Inc		11,356,273
	892,786	Hana Financial Group Inc		27,811,752
	168,721	Hankook Tire Co Ltd		8,911,944
	964,509	Hankook Tire Worldwide Co Ltd		17,473,495
	315,678	Hanon Systems		2,554,394
	235,293	Hanwha Life Insurance Co Ltd		1,354,084
	132	Huons Global Co Ltd		3,383
	8,120	Hyundai Glovis Co Ltd		1,101,389
	124,310	Hyundai Home Shopping Network Corp		12,579,935
	283,787	Hyundai Marine & Fire Insurance Co Ltd		8,131,863
	523,645	Hyundai Mobis Co Ltd		118,029,274
	24,442	Hyundai Motor Co		3,227,204
	71,901	Hyundai Wia Corp		4,250,759
	865,150	Industrial Bank of Korea		9,444,193
	38,833	Innocean Worldwide Inc		2,094,153
	177,013	JB Financial Group Co Ltd		888,885
	274,850	Kangwon Land Inc		8,584,797
	350,852	KB Financial Group Inc		14,483,142
	321,743	KB Insurance Co Ltd		7,495,742
	1,700,414	Kia Motors Corp		57,478,613
	11,716	KIWOOM Securities Co Ltd		797,892
	66,540	KONA I Co Ltd ^*		623,138
	184,571	Korea Real Estate Investment & Trust Co Ltd		516,341
	7,570	Korea Zinc Co Ltd		2,783,907
	84,494	Korean Reinsurance Co		836,833
	28,049	KT Skylife Co Ltd		415,204
	207,884	KT&G Corp		18,821,162
	28,264	Kwangju Bank		260,038
	45,121	Kyobo Securities Co Ltd		352,578
	93,194	LF Corp		1,737,681
	27,742	LG Chem Ltd		6,936,433
	1,388	LG Household & Health Care Ltd		1,077,161
	23,221	LOTTE Himart Co Ltd		991,556
	505,819	Meritz Financial Group Inc		5,253,601
	66,600	Meritz Fire & Marine Insurance Co Ltd		906,843
	738,039	Meritz Securities Co Ltd		2,381,949
	449,404	Mirae Asset Life Insurance Co Ltd		2,448,627
	8,475	NS Shopping Co Ltd		1,236,948
	314,422	Partron Co Ltd		3,084,436
	36,313	S&T Motiv Co Ltd		1,540,874
	54,705	Samsung Card Co Ltd		2,046,155
	65,409	Samsung Electronics Co Ltd		111,158,257
	21,237	Samsung Electronics Co Ltd GDR		17,986,346


		See accompanying notes to the financial statements.		23

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		South Korea — continued
	2,014	Samsung Fire & Marine Insurance Co Ltd		453,865
	6,730	Samsung SDS Co Ltd		773,482
	247,339	Seoyon E-Hwa Co Ltd		3,410,426
	609,657	Shinhan Financial Group Co Ltd		25,081,929
	109,168	Silicon Works Co Ltd		2,974,360
	70,206	SK Hynix Inc		2,892,832
	42,784	SK Telecom Co Ltd		8,746,384
	194,100	SK Telecom Co Ltd Sponsored ADR		4,386,660
	16,406	Spigen Korea Co Ltd		777,962
	188,765	Tongyang Life Insurance Co Ltd		1,762,407
	4,964,482	Woori Bank		58,352,782
	18,643	Youngone Corp		529,314

		Total South Korea		689,839,782


		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd ^{* (a)}		1,028,843


		Taiwan — 25.0%
	14,914,000	AcBel Polytech Inc		11,860,142
	424,000	Actron Technology Corp		1,504,734
	1,047,522	Advantech Co Ltd		8,925,092
	19,233,940	AmTRAN Technology Co Ltd		14,478,570
	695,000	Asia Vital Components Co Ltd		595,236
	6,691,120	Asustek Computer Inc		60,373,191
	94,000	Aurora Corp		169,988
	335,000	Basso Industry Corp		965,046
	542,067	Bizlink Holding Inc		3,328,489
	2,795,300	Casetek Holdings Ltd		9,450,471
	3,762,000	Catcher Technology Co Ltd		31,390,257
	14,887,000	Cathay Financial Holding Co Ltd		23,367,368
	7,046,000	Chailease Holding Co Ltd		15,111,000
	1,901,180	Chang Hwa Commercial Bank Ltd		1,135,544
	6,874,000	Cheng Shin Rubber Industry Co Ltd		14,610,768
	560,000	Chicony Electronics Co Ltd		1,318,794
	831,000	Chicony Power Technology Co Ltd		1,311,071
	2,614,000	Chin-Poon Industrial Co Ltd		5,225,426
	2,058,000	China Development Financial Holding Corp		542,135
	3,495,120	China Life Insurance Co Ltd		3,428,366
	4,033,919	Chong Hong Construction Co Ltd		9,240,412
	325,000	Chroma ATE Inc		992,614
	13,245,659	Chunghwa Telecom Co Ltd		43,918,500
	171,721	Chunghwa Telecom Co Ltd Sponsored ADR		5,644,469
	110,000	Cleanaway Co Ltd		607,044
	59,249,711	Compal Electronics Inc		37,093,198
	4,992,400	Coretronic Corp		7,049,093
	59,253,720	CTBC Financial Holding Co Ltd		35,361,571
	2,972,000	CTCI Corp		4,919,045
	1,697,000	Dynapack International Technology Corp		2,214,614
	298,000	E Ink Holdings Inc		245,503
	19,138,862	E.Sun Financial Holding Co Ltd		11,618,183


Shares		Description	Value ($)
		Taiwan — continued
	528,000	Eclat Textile Co Ltd		5,281,888
	131,000	Elan Microelectronics Corp		160,856
	287,000	Elitegroup Computer Systems Co Ltd		211,968
	106,000	eMemory Technology Inc		1,517,569
	41,000	Everlight Electronics Co Ltd		65,909
	1,238,000	Far Eastern New Century Corp		1,104,990
	7,079,084	Far EasTone Telecommunications Co Ltd		17,027,711
	82,000	Faraday Technology Corp		96,154
	3,748,000	Farglory Land Development Co Ltd		4,748,564
	329,000	Feng TAY Enterprise Co Ltd		1,395,525
	1,100,001	FLEXium Interconnect Inc		3,381,565
	4,211,000	Formosa Chemicals & Fibre Corp		13,314,985
	6,210,000	Formosa Plastics Corp		18,704,774
	3,168,002	Formosan Rubber Group Inc		1,757,909
	20,322,475	Foxconn Technology Co Ltd		60,668,883
	33,852,293	Fubon Financial Holding Co Ltd		54,858,452
	415,000	Getac Technology Corp		581,600
	208,000	Giant Manufacturing Co Ltd		1,282,798
	9,317,200	Gigabyte Technology Co Ltd		12,987,458
	196,000	Global Unichip Corp		649,845
	2,578,000	Grand Pacific Petrochemical		1,864,117
	289,000	Grape King Bio Ltd		1,923,613
	344,000	Green Seal Holding Ltd		1,826,890
	25,869,754	Highwealth Construction Corp		42,072,708
	58,000	Hiroca Holdings Ltd		181,671
	63,000	Holtek Semiconductor Inc		109,765
	31,218,250	Hon Hai Precision Industry Co Ltd		90,843,985
	7,000	Hotai Motor Co Ltd		79,992
	33,000	Hu Lane Associate Inc		163,764
	2,168,000	Hua Nan Financial Holdings Co Ltd – Class C		1,192,412
	2,472,000	Huaku Development Co Ltd		5,412,048
	2,329,500	IEI Integration Corp		3,581,537
	28,621,600	Inventec Corp		21,259,557
	174,000	Iron Force Industrial Co Ltd		1,017,363
	433,000	ITEQ Corp		590,347
	4,225,000	KEE TAI Properties Co Ltd		1,456,451
	169,000	Kenda Rubber Industrial Co Ltd		272,768
	44,000	King Slide Works Co Ltd		608,305
	2,155,000	King’s Town Bank Co Ltd		2,004,823
	242,000	Kinik Co		615,679
	2,493,000	Kinsus Interconnect Technology Corp		6,903,621
	109,000	Kung Long Batteries Industrial Co Ltd		539,360
	33,649,141	Lite-On Technology Corp		56,352,769
	1,707,000	Lotes Co Ltd		5,835,388
	479,000	Lung Yen Life Service Corp		902,890
	24,000	Macauto Industrial Co Ltd		143,221
	1,403,785	Makalot Industrial Co Ltd		5,688,766
	9,414,000	Mega Financial Holding Co Ltd		7,327,283
	2,594,695	Mercuries Life Insurance Co Ltd ^*		1,396,511
	554,000	Merida Industry Co Ltd		2,823,016


24		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)

February 28, 2017


Shares		Description	Value ($)
		Taiwan — continued
	1,066,000	MIN AIK Technology Co Ltd		1,310,673
	316,000	Mitac Holdings Corp		337,673
	832,000	Nan Ya Plastics Corp		2,019,206
	380,000	Nien Made Enterprise Co Ltd		3,712,660
	2,486,810	Novatek Microelectronics Corp		9,312,417
	986,000	OptoTech Corp		552,242
	8,873,470	Pegatron Corp		23,365,176
	8,580	Phison Electronics Corp		75,376
	9,457,000	Pou Chen Corp		12,834,162
	231,000	President Chain Store Corp		1,695,073
	146,500	Primax Electronics Ltd		224,283
	26,050,550	Quanta Computer Inc		53,926,990
	12,305,870	Radiant Opto-Electronics Corp		25,452,903
	8,221,720	Realtek Semiconductor Corp		30,582,432
	1,909,000	Rechi Precision Co Ltd		2,108,687
	12,120,626	Ruentex Development Co Ltd ^*		15,245,785
	10,604,000	Ruentex Industries Ltd		20,095,359
	462,000	Sercomm Corp		1,248,392
	1,267,000	Shin Zu Shing Co Ltd		3,549,060
	616,000	ShunSin Technology Holding Ltd		2,350,610
	87,000	Sigurd Microelectronics Corp		77,769
	5,002,780	Simplo Technology Co Ltd		16,286,110
	440,000	Sinbon Electronics Co Ltd		1,050,241
	1,211,000	Sitronix Technology Corp		3,915,086
	40,000	St Shine Optical Co Ltd		682,858
	1,080,000	Syncmold Enterprise Corp		2,174,871
	9,000	Systex Corp		18,154
	485,000	Taiflex Scientific Co Ltd		612,187
	2,151,585	Taishin Financial Holding Co Ltd		850,939
	520,000	Taiwan Cement Corp		636,655
	1,497,000	Taiwan Mobile Co Ltd		5,256,591
	213,000	Taiwan Paiho Ltd		638,947
	314,000	Taiwan PCB Techvest Co Ltd		323,523
	357,000	Taiwan Semiconductor Co Ltd		447,447
	8,185,000	Taiwan Semiconductor Manufacturing Co Ltd		50,145,699
	1,505,020	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		47,362,979
	5,223,269	Taiwan Surface Mounting Technology Corp		4,881,091
	3,900,000	Teco Electric and Machinery Co Ltd		3,512,433
	820,000	Test Research Inc		1,132,773
	2,365,000	Tong Hsing Electronic Industries Ltd		10,633,788
	1,031,000	Tong Yang Industry Co Ltd		2,046,687
	465,000	Topco Scientific Co Ltd		1,540,677
	104,000	Toung Loong Textile Manufacturing		263,345
	256,000	Transcend Information Inc		719,487
	5,934,160	Tripod Technology Corp		15,485,671
	58,000	TrueLight Corp		115,525
	40,000	Tung Thih Electronic Co Ltd		414,909
	410,000	TXC Corp		611,274
	4,609,000	Uni-President Enterprises Corp		8,185,129


Shares		Description	Value ($)
		Taiwan — continued
	4,317,000	United Integrated Services Co Ltd		8,356,269
	169,000	Visual Photonics Epitaxy Co Ltd		328,608
	4,871,000	Wan Hai Lines Ltd		2,986,959
	5,580,000	Winbond Electronics Corp		2,025,962
	772,000	Xxentria Technology Materials Corp		1,916,997
	1,608,000	Yageo Corp		3,955,616
	188,000	Yeong Guan Energy Technology Group Co Ltd		728,142
	7,979,000	Yuanta Financial Holding Co Ltd		3,375,289
	3,457,670	Yungtay Engineering Co Ltd		5,583,542
	81,000	Zeng Hsing Industrial Co Ltd		418,422

		Total Taiwan		1,252,483,767


		Thailand — 2.2%
	1,214,100	Advanced Info Service Pcl (Foreign Registered)		5,802,544
	312,000	Advanced Info Service Pcl NVDR		1,491,141
	1,777,900	Airports of Thailand Pcl (Foreign Registered)		1,973,718
	1,046,000	Central Pattana Pcl (Foreign Registered)		1,648,164
	20,849,700	Chularat Hospital Pcl (Foreign Registered)		1,527,868
	2,598,100	CP ALL Pcl (Foreign Registered)		4,462,667
	1,702,500	CPN Retail Growth Leasehold Property Fund		945,808
	697,800	Eastern Polymer Group Pcl (Foreign Registered)		255,886
	1,322,450	Eastern Polymer Group Pcl NVDR		484,506
	1,061,101	Glow Energy Pcl (Foreign Registered)		2,367,408
	144,900	Glow Energy Pcl NVDR		323,284
	4,211,300	Hana Microelectronics Pcl (Foreign Registered)		5,127,566
	776,200	Hana Microelectronics Pcl NVDR		945,528
	2,622,268	Hemraj Leasehold REIT (Foreign Registered) ^*		751,248
	3,897,501	Intouch Holdings Pcl (Foreign Registered)		5,909,971
	1,159,650	Intouch Holdings Pcl NVDR		1,760,796
	5,291,000	Jasmine International Pcl (Foreign Registered)		1,333,910
	3,587,600	Jasmine International Pcl NVDR		904,467
	1,400	Kasikornbank Pcl (Foreign Registered) ^(b)		7,581
	140,100	KCE Electronics Pcl (Foreign Registered)		394,345
	953,100	Kiatnakin Bank Pcl (Foreign Registered)		1,795,314
	12,217,100	Land & Houses Pcl NVDR		3,425,866
	15,493,950	LPN Development Pcl (Foreign Registered)		5,144,532
	3,850,100	LPN Development Pcl NVDR		1,278,367
	1,841,350	Major Cineplex Group Pcl (Foreign Registered)		1,791,868
	798,700	Major Cineplex Group Pcl NVDR		777,237
	4,615,300	PTT Global Chemical Pcl (Foreign Registered)		9,411,728
	41,468,600	Quality Houses Pcl (Foreign Registered)		3,110,104
	4,233,302	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		6,306,640
	60,199,423	Sansiri Pcl (Foreign Registered)		3,344,884
	6,744,000	Sansiri Pcl NVDR		374,720
	695,400	Siam Cement Pcl (The) (Foreign Registered)		10,270,115
	1,050,719	STP & I Pcl (Foreign Registered)		282,957
	3,595,300	STP & I Pcl NVDR		967,141
	286,400	Taokaenoi Food & Marketing Pcl NVDR		229,182
	1,684,200	Taokaenoi Food & Marketing Pcl (Foreign Registered)		1,351,008


		See accompanying notes to the financial statements.		25

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Thailand — continued
	2,714,400	Thanachart Capital Pcl (Foreign Registered)		3,771,566
	4,563,600	Tisco Financial Group Pcl (Foreign Registered)		8,944,666
	1,735,700	Total Access Communication Pcl (Foreign Registered)		2,163,465
	804,300	Total Access Communication Pcl NVDR		1,002,520
	20,649,450	TTW Pcl (Foreign Registered)		6,497,517
	4,334,593	WHA Premium Growth Freehold & Leasehold Real Estate Investment Trust (Foreign Registered)		1,216,972

		Total Thailand		111,876,775


		Turkey — 5.0%
	1,511,649	Akbank TAS		3,601,526
	2,016,605	Albaraka Turk Katilim Bankas AS		680,028
	97,809	Arcelik AS		560,360
	122,805	BIM Birlesik Magazalar AS		1,765,420
	5,870	EGE Endustri VE Ticaret AS		425,326
	27,604,962	Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT		23,684,353
	3,634,182	Enka Insaat ve Sanayi AS		5,622,338
	7,568,112	Eregli Demir ve Celik Fabrikalari TAS		12,322,166
	42,263	Ford Otomotiv Sanayi AS		424,777
	2,064,900	Goodyear Lastikleri TAS		2,079,937
	1,629,462	Gubre Fabrikalari TAS		2,205,663
	437,200	Haci Omer Sabanci Holding AS		1,206,285
	401,133	KOC Holding AS		1,630,631
	4,147	Konya Cimento Sanayii AS		331,739
	431,256	Koza Altin Isletmeleri AS ^*		2,226,970
	36,635	Otokar Otomotiv Ve Savunma Sanayi AS		1,387,379
	6,833,500	Soda Sanayii AS		10,437,653
	386,325	TAV Havalimanlari Holding AS		1,606,949
	1,664,502	Tekfen Holding AS		3,603,537
	2,500,934	Turk Hava Yollari AO ^*		3,743,305
	1,089,305	Turk Telekomunikasyon AS		1,720,315
	10,237,219	Turkcell Iletisim Hizmetleri AS ^*		33,409,868
	213,200	Turkcell Iletisim Hizmetleri AS ADR ^*		1,758,900
	24,902,210	Turkiye Garanti Bankasi AS		58,783,942
	10,128,059	Turkiye Halk Bankasi AS		31,289,699
	6,708,180	Turkiye Is Bankasi – Class C		11,642,874
	4,266,900	Turkiye Sinai Kalkinma Bankasi AS		1,731,278
	13,593,053	Turkiye Vakiflar Bankasi TAO – Class D		19,735,883
	9,009,938	Yapi ve Kredi Bankasi AS ^*		9,501,027

		Total Turkey		249,120,128


		United Arab Emirates — 0.7%
	1,584,591	Abu Dhabi Commercial Bank PJSC		3,054,962
	3,303,249	Aldar Properties PJSC		2,157,031
	10,290,835	DAMAC Properties Dubai Co PJSC		8,230,056
	607,142	Dubai Islamic Bank PJSC		1,032,439
	3,041,497	Emaar Properties PJSC		6,163,617
	312,220	Emirates Telecommunications Group Co PJSC		1,495,853


Shares		Description	Value ($)
		United Arab Emirates — continued
	2,095,408	First Gulf Bank PJSC		7,786,441
	2,858,886	RAK Properties PJSC		598,783
	9,802,743	Union Properties PJSC ^*		2,747,216

		Total United Arab Emirates		33,266,398


		United Kingdom — 0.6%
	281,657	British American Tobacco Plc		17,790,736
	234,663	Unilever Plc		11,132,776

		Total United Kingdom		28,923,512


		Vietnam — 0.2%
	1,082,186	Bank for Foreign Trade of Vietnam JSC		1,779,334
	117,050	Phu Nhuan Jewelry JSC		385,318
	1,390,402	Vietnam Dairy Products JSC		8,012,716
	6	Vingroup JSC ^*		12

		Total Vietnam		10,177,380


		TOTAL COMMON STOCKS (COST $4,307,473,110)		4,696,188,431


		PREFERRED STOCKS — 4.1%

		Brazil — 0.7%
	154,000	Banco Bradesco SA		1,646,760
	3,564,600	Banco do Estado do Rio Grande do Sul SA – Class B		18,995,734
	354,500	Eletropaulo Metropolitana Eletricidade de Sao Paulo SA		1,424,299
	517,000	Itau Unibanco Holding SA		6,620,600
	461,650	Itau Unibanco Holding SA Sponsored ADR		5,904,503

		Total Brazil		34,591,896


		Russia — 0.9%
	81,205,323	Surgutneftegas OJSC		44,275,202
	12,100	Surgutneftegaz OJSC Sponsored ADR		66,429

		Total Russia		44,341,631


		South Korea — 2.5%
	197,906	Hyundai Motor Co 2nd Preference		17,835,609
	80,843	Samsung Electronics Co Ltd (Non-Voting)		107,003,116

		Total South Korea		124,838,725


		TOTAL PREFERRED STOCKS (COST $181,228,716)		203,772,252


		INVESTMENT FUNDS — 0.7%

		India — 0.1%
	10,189	Fire Capital Mauritius Private Fund ^{* (c) (d)}		5,728,545
	1,371,900	TDA India Technology Fund II LP ^{* (c) (d)}		114,022

		Total India		5,842,567


26		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)

February 28, 2017


Shares		Description	Value ($)
		Russia — 0.1%
	5,452,004	NCH Eagle Fund LP ^{* (c) (d)}		2,083,527


		Thailand — 0.3%
	22,249,200	Digital Telecommunication Infrastructure Fund		9,044,996
	13,343,800	Jasmine Broadband Internet Infrastructure Fund		4,391,756
	10,457,700	TICON Industrial Growth Leasehold Property Fund		3,327,681

		Total Thailand		16,764,433


		United States — 0.2%
	251,908	iShares MSCI Emerging Markets ETF		9,569,985


		TOTAL INVESTMENT FUNDS (COST $39,837,912)		34,260,512


		RIGHTS/WARRANTS — 0.0%

		India — 0.0%
	228,191	South Indian Bank Ltd (The) Rights, Expires 12/31/49 ^{* (b)}		23,428


		Thailand — 0.0%
	42,563,506	Sansiri Pcl Warrants, Expires 11/24/17 ^*		109,746


		TOTAL RIGHTS/WARRANTS (COST $0)		133,174


		MUTUAL FUNDS — 1.8%

		United States — 1.8%
		Affiliated Issuers — 1.8%
	3,595,027	GMO U.S. Treasury Fund		89,875,673


		TOTAL MUTUAL FUNDS (COST $89,875,673)		89,875,673


Shares / Par Value†		Description	Value ($)
		FULLY FUNDED TOTAL RETURN SWAPS — 0.0%

		China — 0.0%
	354,789	Total Return on Zhejiang Supor Cookware Co, Expires 11/27/2017, (OTC) (CP-GS)		368,672
	178,099	Total Return on Zhejiang Supor Cookware Co, Expires 11/27/2017, (OTC) (CP-GS)		183,332
	372,347	Total Return on Zhejiang Supor Cookware Co, Expires 11/27/2017, (OTC) (CP-GS)		373,649

		Total China		925,653


		TOTAL FULLY FUNDED TOTAL RETURN SWAPS (COST $905,235)		925,653


		SHORT-TERM INVESTMENTS — 0.3%

		Time Deposits — 0.3%
	4,765,542	Standard Chartered Bank (London) Time Deposit, 0.36%, due 03/01/17		4,765,542
	10,236,176	Sumitomo (Tokyo) Time Deposit, 0.36%, due 03/01/17		10,236,176

		Total Time Deposits		15,001,718


		TOTAL SHORT-TERM INVESTMENTS (COST $15,001,718)		15,001,718


		TOTAL INVESTMENTS — 100.5% (Cost $4,634,322,364)		5,040,157,413
		Other Assets and Liabilities (net) — (0.5%)		(23,217,921	)


		TOTAL NET ASSETS — 100.0%		$5,016,939,492

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 February 28, 2017
Fire Capital Mauritius Private Fund	12/12/06-10/26/09		10,189,080	0.11%	$	5,728,545
NCH Eagle Fund LP	4/6/09		5,452,004	0.04%		2,083,527
TDA India Technology Fund II LP	2/23/00-3/23/04		—	0.00%		114,022

					$	7,926,094


		See accompanying notes to the financial statements.		27

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

February 28, 2017

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Futures Contracts


Number of Contracts +	Type	Expiration Date		Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
1,070	Mini MSCI Emerging Markets		March 2017	$	49,797,800	$	(133,506	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Total Return Swaps

Notional
Amount

Expiration
Date

Counterparty

Fund Pays

Fund Receives

Net
Unrealized
Appreciation/
(Depreciation)

22,923,153

USD

3/2/2017

MSCI

Depreciation of Total Return on Asustek Computer, Inc. + (Daily Fed Funds Rate minus 0.25%)

Appreciation of Total Return on Asustek Computer, Inc.

$1,035,331

Premiums Paid/(Received)

—

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

*	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)	Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

(d)	Private placement securities are restricted as to resale.


28		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Taiwan Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Markets Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO Taiwan Fund returned +27.53% (net) for the fiscal year ended February 28, 2017, as compared with +31.10% for the MSCI Taiwan Index.

Sector allocation detracted from relative performance. The Fund’s overweight in Industrials hurt relative performance, while the Fund’s underweight in Consumer Staples helped relative performance.

Stock selection detracted from relative performance, particularly in the Information Technology sector. The biggest detractor from relative returns was an underweight in Taiwan Semiconductor Manufacturing Co., Ltd.

GMO Taiwan Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Taiwan Fund Class III Shares and the MSCI Taiwan Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, please call (617) 330-7500. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .15% on the purchase and .45% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Taiwan Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		95.0	%
Investment Funds		3.9
Mutual Funds		1.5
Other		(0.4	)

		100.0	%


Industry Sector Summary	% of Equity Investments^#
Technology Hardware, Storage & Peripherals		23.6	%
Semiconductors & Semiconductor Equipment		15.3
Electronic Equipment, Instruments & Components		14.0
Diversified Financial Services		7.2
Commercial Banks		6.7
Real Estate Management & Development		6.4
Textiles, Apparel & Luxury Goods		3.9
Diversified Telecommunication Services		3.7
Chemicals		3.5
Insurance Premiums		2.6
Auto Components		2.0
Wireless Telecommunication Services		1.7
Electrical Equipment		1.7
Household Durables		1.7
Machinery		1.5
Construction & Engineering		1.2
Food Products		0.7
Leisure Products		0.4
Personal Products		0.3
Capital Markets		0.3
Marine		0.3
Food & Staples Retailing		0.2
Building Products		0.2
Communications Equipment		0.2
Commercial Services & Supplies		0.1
Health Care Equipment & Supplies		0.1
Metals & Mining		0.1
Construction Materials		0.1
Industrial Conglomerates		0.1
Automobiles		0.1
Diversified Consumer 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.

GMO Taiwan Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 95.0%

		Taiwan — 95.0%
	1,296,000	AcBel Polytech Inc		1,032,029
	49,000	Actron Technology Corp		174,077
	14,000	Advantech Co Ltd		119,386
	1,965,850	AmTRAN Technology Co Ltd		1,481,688
	50,000	Asia Vital Components Co Ltd		42,843
	730,323	Asustek Computer Inc		6,599,034
	36,000	Basso Industry Corp		103,783
	59,849	Bizlink Holding Inc		368,869
	245,000	Catcher Technology Co Ltd		2,049,194
	1,580,000	Cathay Financial Holding Co Ltd		2,484,353
	643,000	Chailease Holding Co Ltd		1,380,686
	203,860	Chang Hwa Commercial Bank Ltd		121,826
	16,000	Chaun-Choung Technology Corp		75,510
	741,000	Cheng Shin Rubber Industry Co Ltd		1,577,222
	23,000	Chicony Electronics Co Ltd		54,253
	88,000	Chicony Power Technology Co Ltd		139,032
	119,000	Chimei Materials Technology Corp		52,203
	289,000	Chin-Poon Industrial Co Ltd		579,121
	465,000	China Development Financial Holding Corp		122,645
	377,160	China Life Insurance Co Ltd		370,264
	113,000	China Motor Corp		105,981
	21,000	China Steel Chemical Corp		87,542
	223,000	ChipMOS TECHNOLOGIES Inc		179,960
	23,000	Chlitina Holding Ltd		122,426
	408,989	Chong Hong Construction Co Ltd		937,394
	35,000	Chroma ATE Inc		107,080
	1,198,379	Chunghwa Telecom Co Ltd		3,980,928
	11,305	Chunghwa Telecom Co Ltd Sponsored ADR		371,595
	19,000	Cleanaway Co Ltd		104,947
	4,156,486	Compal Electronics Inc		2,605,533
	514,600	Coretronic Corp		727,426
	5,229,680	CTBC Financial Holding Co Ltd		3,126,547
	302,000	CTCI Corp		500,196
	14,000	Delta Electronics Inc		78,143
	207,000	Dynapack International Technology Corp		270,630
	194,000	E Ink Holdings Inc		159,821
	5,278,863	E.Sun Financial Holding Co Ltd		3,206,989
	63,000	Eclat Textile Co Ltd		633,421
	122,000	Elan Microelectronics Corp		150,046
	15,000	eMemory Technology Inc		214,807
	37,000	Everlight Electronics Co Ltd		59,552
	133,000	Far Eastern New Century Corp		119,033
	641,767	Far EasTone Telecommunications Co Ltd		1,546,756
	398,000	Farglory Land Development Co Ltd		504,869
	45,000	Feng TAY Enterprise Co Ltd		191,026
	128,880	First Financial Holding Co Ltd		76,195
	24,530	FLEXium Interconnect Inc		75,558
	386,000	Formosa Chemicals & Fibre Corp		1,223,153
	560,000	Formosa Plastics Corp		1,690,615


Shares		Description	Value ($)
		Taiwan — continued
	363,500	Formosan Rubber Group Inc		201,888
	1,508,473	Foxconn Technology Co Ltd		4,514,601
	4,412,940	Fubon Financial Holding Co Ltd		7,157,928
	22,000	Giant Manufacturing Co Ltd		136,048
	995,000	Gigabyte Technology Co Ltd		1,387,373
	22,000	Global Unichip Corp		73,043
	422,000	Grand Pacific Petrochemical		305,364
	37,000	Grape King Bio Ltd		246,609
	71,000	Green Seal Holding Ltd		376,990
	2,211,622	Highwealth Construction Corp		3,599,131
	7,000	Hiroca Holdings Ltd		21,934
	2,714,159	Hon Hai Precision Industry Co Ltd		7,921,930
	232,000	Hua Nan Financial Holdings Co Ltd – Class C		127,697
	252,000	Huaku Development Co Ltd		552,006
	213,000	IEI Integration Corp		328,034
	1,376,000	Inventec Corp		1,023,351
	28,000	Iron Force Industrial Co Ltd		163,784
	237,000	ITEQ Corp		323,540
	468,000	KEE TAI Properties Co Ltd		161,417
	16,000	Kenda Rubber Industrial Co Ltd		25,832
	3,000	King Slide Works Co Ltd		41,447
	226,000	King’s Town Bank Co Ltd		210,523
	81,000	Kinik Co		205,997
	90,000	Kinsus Interconnect Technology Corp		249,647
	28,000	Kung Long Batteries Industrial Co Ltd		138,634
	7,000	Land Mark Optoelectronics Corp		73,303
	105,000	Lite-On Semiconductor Corp		100,122
	2,375,834	Lite-On Technology Corp		3,987,539
	194,000	Lotes Co Ltd		663,116
	54,000	Lung Yen Life Service Corp		101,824
	1,000	Macauto Industrial Co Ltd		5,977
	139,657	Makalot Industrial Co Ltd		566,941
	10,596	MediaTek Inc		77,421
	907,000	Mega Financial Holding Co Ltd		706,028
	321,910	Mercuries Life Insurance Co Ltd ^*		173,420
	58,000	Merida Industry Co Ltd		296,527
	16,000	Merry Electronics Co Ltd		75,380
	76,000	MIN AIK Technology Co Ltd		93,446
	103,000	Nan Ya Plastics Corp		250,572
	40,000	Nien Made Enterprise Co Ltd		391,794
	233,995	Novatek Microelectronics Corp		877,648
	186,000	OptoTech Corp		104,333
	511,000	Pegatron Corp		1,348,309
	11,000	Phison Electronics Corp		96,669
	871,000	Pou Chen Corp		1,183,795
	30,000	President Chain Store Corp		220,236
	1,827,856	Quanta Computer Inc		3,793,072
	1,097,670	Radiant Opto-Electronics Corp		2,273,907
	691,870	Realtek Semiconductor Corp		2,579,476
	210,000	Rechi Precision Co Ltd		232,035
	1,438,036	Ruentex Development Co Ltd ^*		1,811,641


		See accompanying notes to the financial statements.		33

GMO Taiwan Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Taiwan — continued
	1,009,600	Ruentex Industries Ltd		1,917,920
	69,000	Sercomm Corp		186,595
	282,000	Shin Kong Financial Holding Co Ltd ^*		76,166
	151,000	Shin Zu Shing Co Ltd		423,953
	120,000	ShunSin Technology Holding Ltd		458,839
	140,000	Sigurd Microelectronics Corp		125,195
	497,000	Simplo Technology Co Ltd		1,619,831
	47,000	Sinbon Electronics Co Ltd		112,266
	245,400	SinoPac Financial Holdings Co Ltd		74,741
	217,000	Sitronix Technology Corp		702,015
	8,000	St Shine Optical Co Ltd		136,743
	19,000	Sunny Friend Environmental Technology Co Ltd		79,075
	3,000	Sunspring Metal Corp		4,075
	161,000	Syncmold Enterprise Corp		324,469
	4,500	Synnex Technology International Corp		4,948
	54,000	Taiflex Scientific Co Ltd		68,246
	376,004	Taishin Financial Holding Co Ltd		148,802
	107,550	Taiwan Cement Corp		132,013
	150,000	Taiwan Mobile Co Ltd		527,645
	43,000	Taiwan Paiho Ltd		129,360
	77,000	Taiwan PCB Techvest Co Ltd		79,517
	209,000	Taiwan Semiconductor Manufacturing Co Ltd		1,281,370
	226,580	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		7,130,473
	553,022	Taiwan Surface Mounting Technology Corp		516,902
	403,000	Teco Electric and Machinery Co Ltd		363,698
	81,000	Test Research Inc		112,008
	242,000	Tong Hsing Electronic Industries Ltd		1,089,195
	131,000	Tong Yang Industry Co Ltd		260,874
	93,000	Topco Scientific Co Ltd		308,908
	5,000	Toung Loong Textile Manufacturing		12,676
	658,000	Tripod Technology Corp		1,718,394
	10,000	Tung Thih Electronic Co Ltd		104,080
	440,000	Uni-President Enterprises Corp		782,937
	487,000	United Integrated Services Co Ltd		943,489
	38,000	Vanguard International Semiconductor Corp		75,271
	88,000	Visual Photonics Epitaxy Co Ltd		171,328
	506,000	Wan Hai Lines Ltd		310,477
	585,000	Winbond Electronics Corp		212,694
	165,000	WPG Holdings Ltd		209,607
	81,000	Xxentria Technology Materials Corp		201,234
	166,000	Yageo Corp		408,469
	35,000	Yeong Guan Energy Technology Group Co Ltd		135,663
	865,000	Yuanta Financial Holding Co Ltd		366,248
	368,152	Yungtay Engineering Co Ltd		594,977
	10,000	Zeng Hsing Industrial Co Ltd		51,613

		Total Taiwan		118,360,465


		TOTAL COMMON STOCKS (COST $109,316,856)		118,360,465


Shares		Description	Value ($)
		INVESTMENT FUNDS — 3.9%

		Taiwan — 3.9%
	149,173	iShares MSCI Taiwan Capped ETF		4,831,714


		TOTAL INVESTMENT FUNDS (COST $4,793,871)		4,831,714


		MUTUAL FUNDS — 1.5%

		United States — 1.5%
		Affiliated Issuers — 1.5%
	76,003	GMO U.S. Treasury Fund		1,900,066


		TOTAL MUTUAL FUNDS (COST $1,900,066)		1,900,066


		TOTAL INVESTMENTS — 100.4% (Cost $116,010,793)		125,092,245
		Other Assets and Liabilities (net) — (0.4%)		(453,097	)


		TOTAL NET ASSETS — 100.0%		$124,639,148

Notes to Schedule of Investments:

*	Non-income producing security.


34		See accompanying notes to the financial statements.

GMO Trust Funds

Schedule of Investments — (Continued)

February 28, 2017

Portfolio Abbreviations:

ADR - American Depositary Receipt

CP - Counterparty

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

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

OTC - Over-the-Counter

PJSC - Private Joint-Stock Company

Counterparty Abbreviations:

BCLY - Barclays Bank plc

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

UBSA - UBS AG

Currency Abbreviations:

GBP - British Pound

PHP - Philippine Peso

SGD - Singapore Dollar

USD - United States Dollar

ZAR - South African Rand


		See accompanying notes to the financial statements.		35

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017


	Emerging Countries Fund		Emerging Domestic Opportunities Fund		Emerging Markets Fund		Taiwan Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	—	$	108,608,372	$	133,931,020	$	1,900,066
Investments in unaffiliated issuers, at value (Note 2)^(b)		27,287,268		1,915,615,450		4,906,226,393		123,192,179
Foreign currency, at value (Note 2)^(c)		528,272		6,870,937		47,966,320		7,230,008
Cash		—		—		444		—
Receivable for investments sold		376,099		15,748,212		67,090,487		7,460,252
Receivable for Fund shares sold		—		—		55,576		—
Dividends receivable		70,983		2,676,022		11,523,678		—
Dividend withholding tax receivable		—		411,249		—		—
Foreign capital gains tax refund receivable		234,856		1,036,076		3,140,853		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		6,228,820		—		—
Receivable for foreign currency sold		9,944		11,547		8,581,135		7,996
Receivable for variation margin on open futures contracts (Note 4)		—		5,567,968		—		—
Receivable for open OTC swap contracts (Note 4)		—		740,882		1,035,331		—
Due from broker (Note 2)		—		2,349,633		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		9,191		13,770		516,206		—
Miscellaneous receivable		34		25,440		114,157		433

Total assets		28,516,647		2,065,904,378		5,180,181,600		139,790,934

Liabilities:
Due to custodian		—		7,157,533		—		43,219
Foreign taxes payable		1,285		—		110,541		—
Payable for investments purchased		723,867		13,683,832		148,153,888		14,910,399
Payable for Fund shares repurchased		—		4,000,000		6,859,601		—
Accrued foreign capital gains tax payable (Note 2)		—		2,238,963		2,589,053		—
Payable to affiliate for (Note 5):
Management fee		13,769		1,167,425		2,778,750		90,231
Shareholder service fee		3,180		203,259		307,281		16,710
Payable for variation margin on open futures contracts (Note 4)		—		—		133,506		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		5,739,901		—		—
Due to broker (Note 2)		696		—		—		—
Miscellaneous payable		—		—		984,731		—
Payable to agents unaffiliated with GMO		—		224		672		28
Payable to Trustees and related expenses		61		3,952		9,620		258
Accrued expenses		110,749		592,200		1,314,465		90,941

Total liabilities		853,607		34,787,289		163,242,108		15,151,786

Net assets	$	27,663,040	$	2,031,117,089	$	5,016,939,492	$	124,639,148

^(a) Cost of investments – affiliated issuers:	$	—	$	93,650,542	$	108,962,130	$	1,900,066
^(b) Cost of investments – unaffiliated issuers:	$	25,780,935	$	1,774,343,265	$	4,525,360,234	$	114,110,727
^(c) Cost of foreign currency:	$	527,841	$	6,885,838	$	47,954,296	$	7,229,511


36		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017 — (Continued)


	Emerging Countries Fund			Emerging Domestic Opportunities Fund			Emerging Markets Fund			Taiwan Fund
Net assets consist of:
Paid-in capital	$	52,984,283		$	2,093,694,688		$	6,742,110,909		$	127,393,107
Distributions in excess of net investment income		(151,286	)		(26,884,070	)		(33,369,509	)		(454,704	)
Accumulated net realized gain (loss)		(26,679,662	)		(194,369,514	)		(2,097,140,987	)		(11,387,894	)
Net unrealized appreciation (depreciation)		1,509,705			158,675,985			405,339,079			9,088,639

	$	27,663,040		$	2,031,117,089		$	5,016,939,492		$	124,639,148

Net assets attributable to:
Class II	$	—		$	603,564,638		$	498,563,510		$	—

Class III	$	27,663,040		$	129,067,505		$	301,786,070		$	124,639,148

Class IV	$	—		$	335,224,822		$	582,310,790		$	—

Class V	$	—		$	948,051,988		$	110,257,204		$	—

Class VI	$	—		$	15,208,136		$	3,524,021,918		$	—

Shares outstanding:
Class II		—			26,658,058			16,629,844			—

Class III		1,022,431			5,701,131			10,041,863			5,932,342

Class IV		—			14,801,407			19,555,277			—

Class V		—			41,905,739			3,712,592			—

Class VI		—			668,265			118,360,704			—

Net asset value per share:
Class II	$	—		$	22.64		$	29.98		$	—

Class III	$	27.06		$	22.64		$	30.05		$	21.01

Class IV	$	—		$	22.65		$	29.78		$	—

Class V	$	—		$	22.62		$	29.70		$	—

Class VI	$	—		$	22.76		$	29.77		$	—


		See accompanying notes to the financial statements.		37

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2017


	Emerging Countries Fund			Emerging Domestic Opportunities Fund			Emerging Markets Fund			Taiwan Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)^(a)	$	707,533		$	40,341,205		$	158,026,649		$	4,007,648
Interest		12,939			2,336,466			16,385			688
Dividends from affiliated issuers (Note 10)		473			1,624,435			367,080			4,010

Total investment income		720,945			44,302,106			158,410,114			4,012,346

Expenses:
Management fee (Note 5)		160,371			15,358,529			37,436,850			832,838
Shareholder service fee – Class II (Note 5)		—			1,327,066			1,082,015			—
Shareholder service fee – Class III (Note 5)		37,009			268,836			345,474			154,229
Shareholder service fee – Class IV (Note 5)		—			736,164			293,697			—
Shareholder service fee – Class V (Note 5)		—			470,152			323,397			—
Shareholder service fee – Class VI (Note 5)		—			6,127			1,985,093			—
Audit and tax fees		83,434			98,207			245,968			84,361
Custodian and fund accounting agent fees		143,227			2,517,196			6,414,091			244,654
Legal fees		10,306			53,264			123,673			9,899
Registration fees		6,401			6,435			34,741			368
Transfer agent fees		29,091			89,868			97,527			28,723
Trustees’ fees and related expenses (Note 5)		425			34,659			84,583			1,717
Miscellaneous		14,324			30,086			45,664			4,894

Total expenses		484,588			20,996,589			48,512,773			1,361,683
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(185,530	)		(917,960	)		(2,740,698	)		—

Net expenses		299,058			20,078,629			45,772,075			1,361,683

Net investment income (loss)		421,887			24,223,477			112,638,039			2,650,663

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)		(2,081,317	)		100,867,276			(351,110,421	)		(1,916,954	)
Investments in affiliated issuers		166			(1,525,524	)		(10,250	)		685
Realized gain distributions from affiliated issuers (Note 10)		49			57,690			35,383			688
Futures contracts		(12	)		(20,424,305	)		(2,097	)		—
Written options		(415	)		220,020			53,298			—
Swap contracts		—			(4,734,695	)		(3,644,256	)		—
Foreign currency, forward contracts and foreign currency related transactions		(62,423	)		(10,677,384	)		(15,884,937	)		(105,570	)

Net realized gain (loss)		(2,143,952	)		63,783,078			(370,563,280	)		(2,021,151	)

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(c)		9,019,366			280,796,204			1,743,068,346			23,668,850
Investments in affiliated issuers		—			1,710,488			11,752,546			—
Futures contracts		(696	)		2,793,678			(133,506	)		—
Written options		(1,260	)		(1,716,561	)		(363,121	)		—
Swap contracts		—			607,160			869,885			—
Foreign currency, forward contracts and foreign currency related transactions		9,251			2,533,525			1,465,131			7,136

Net change in unrealized appreciation (depreciation)		9,026,661			286,724,494			1,756,659,281			23,675,986

Net realized and unrealized gain (loss)		6,882,709			350,507,572			1,386,096,001			21,654,835

Net increase (decrease) in net assets resulting from operations	$	7,304,596		$	374,731,049		$	1,498,734,040		$	24,305,498

(a) Withholding tax:	$	122,133		$	3,450,703		$	24,610,746		$	1,025,651
(b) Foreign capital gains tax on net realized gain (loss):	$	(2,634	)	$	2,373,459		$	(43,841	)	$	—
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	4,283,236		$	2,589,202		$	—


38		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets


	Emerging Countries Fund						Emerging Domestic Opportunities Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	421,887		$	669,599		$	24,223,477		$	37,658,910
Net realized gain (loss)		(2,143,952	)		(4,392,663	)		63,783,078			(201,193,676	)
Change in net unrealized appreciation (depreciation)		9,026,661			(4,195,093	)		286,724,494			(284,441,903	)


Net increase (decrease) in net assets from operations		7,304,596			(7,918,157	)		374,731,049			(447,976,669	)

Distributions to shareholders from:
Net investment income
Class II		—			—			(16,074,541	)		(10,957,179	)
Class III		(325,047	)		(645,110	)		(4,625,740	)		(5,170,992	)
Class IV		—			—			(16,393,890	)		(10,726,064	)
Class V		—			—			(22,714,666	)		(5,385,781	)
Class VI		—			—			(301,900	)		(8,108,215	)

Total distributions from net investment income		(325,047	)		(645,110	)		(60,110,737	)		(40,348,231	)

Net realized gains
Class III		—			(346,793	)		—			—

Total distributions from net realized gains		—			(346,793	)		—			—

Return of capital
Class III		—			(36,830	)		—			—

Total distributions from return of capital		—			(36,830	)		—			—

Net share transactions (Note 9):
Class II		—			—			(49,674,608	)		(46,500,485	)
Class III		(146,465	)		(8,725,604	)		(148,973,139	)		(31,379,384	)
Class IV		—			—			(551,680,333	)		183,384,511
Class V		—			—			584,300,107			130,232,888
Class VI		—			—			4,115,333			(496,894,808	)

Increase (decrease) in net assets resulting from net share transactions		(146,465	)		(8,725,604	)		(161,912,640	)		(261,157,278	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class II		—			—			666,973			1,063,973
Class III		—			—			189,178			475,127
Class IV		—			—			789,104			986,392
Class V		—			—			627,488			472,320
Class VI		—			—			12,335			648,745

Increase in net assets resulting from purchase premiums and redemption fees		—			—			2,285,078			3,646,557

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(146,465	)		(8,725,604	)		(159,627,562	)		(257,510,721	)

Total increase (decrease) in net assets		6,833,084			(17,672,494	)		154,992,750			(745,835,621	)

Net assets:
Beginning of period		20,829,956			38,502,450			1,876,124,339			2,621,959,960

End of period	$	27,663,040		$	20,829,956		$	2,031,117,089		$	1,876,124,339

Accumulated undistributed net investment income	$	—		$	—		$	—		$	911,204

Distributions in excess of net investment income	$	(151,286	)	$	(229,547	)	$	(26,884,070	)	$	—


		See accompanying notes to the financial statements.		39

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Emerging Markets Fund						Taiwan Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	112,638,039		$	166,310,707		$	2,650,663		$	2,939,946
Net realized gain (loss)		(370,563,280	)		(855,974,919	)		(2,021,151	)		(6,384,991	)
Change in net unrealized appreciation (depreciation)		1,756,659,281			(882,990,000	)		23,675,986			(19,892,086	)


Net increase (decrease) in net assets from operations		1,498,734,040			(1,572,654,212	)		24,305,498			(23,337,131	)

Distributions to shareholders from:
Net investment income
Class II		(9,908,272	)		(14,843,763	)		—			—
Class III		(5,175,773	)		(9,750,759	)		(3,287,415	)		(2,538,791	)
Class IV		(6,690,386	)		(15,521,572	)		—			—
Class V		(9,258,670	)		(9,715,352	)		—			—
Class VI		(78,005,121	)		(139,438,918	)		—			—

Total distributions from net investment income		(109,038,222	)		(189,270,364	)		(3,287,415	)		(2,538,791	)

Net realized gains
Class III		—			—			—			(4,888,939	)

Total distributions from net realized gains		—			—			—			(4,888,939	)

Net share transactions (Note 9):
Class II		(177,168,152	)		(305,210,826	)		—			—
Class III		52,256,879			(2,035,123	)		11,814,153			4,424,325
Class IV		241,413,390			(429,527,732	)		—			—
Class V		(258,808,154	)		199,756,734			—			—
Class VI		(1,166,985,719	)		(289,122,093	)		—			—

Increase (decrease) in net assets resulting from net share transactions		(1,309,291,756	)		(826,139,040	)		11,814,153			4,424,325

Purchase premiums and redemption fees (Notes 2 and 9):
Class II		1,529,910			2,353,882			—			—
Class III		719,593			1,067,882			258,811			143,473
Class IV		922,716			2,040,543			—			—
Class V		1,099,805			1,030,442			—			—
Class VI		11,065,007			16,113,225			—			—

Increase in net assets resulting from purchase premiums and redemption fees		15,337,031			22,605,974			258,811			143,473

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(1,293,954,725	)		(803,533,066	)		12,072,964			4,567,798

Total increase (decrease) in net assets		95,741,093			(2,565,457,642	)		33,091,047			(26,197,063	)

Net assets:
Beginning of period		4,921,198,399			7,486,656,041			91,548,101			117,745,164

End of period	$	5,016,939,492		$	4,921,198,399		$	124,639,148		$	91,548,101

Distributions in excess of net investment income	$	(33,369,509	)	$	(45,634,300	)	$	(454,704	)	$	(10,688	)


40		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING COUNTRIES FUND


	Class III Shares
	Year Ended February 28/29,
	2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)
Net asset value, beginning of period		$	20.16			$	27.39			$	27.63			$	31.83			$	33.09

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.42				0.57				0.66				0.78				0.60
Net realized and unrealized gain (loss)			6.80				(6.84	)			0.15				(4.14	)			(1.29	)

Total from investment operations			7.22				(6.27	)			0.81				(3.36	)			(0.69	)

Less distributions to shareholders:
From net investment income			(0.32	)			(0.60	)			(1.05	)			(0.84	)			(0.57	)
From net realized gains			—				(0.33	)			—				—				—
Return of capital			—				(0.03	)			—				—				—

Total distributions			(0.32	)			(0.96	)			(1.05	)			(0.84	)			(0.57	)

Net asset value, end of period		$	27.06			$	20.16			$	27.39			$	27.63			$	31.83

Total Return^(c)			36.00	%			(23.10	)%			3.02	%			(10.61	)%			(2.05	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	27,663			$	20,830			$	38,502			$	46,055			$	134,535
Net expenses to average daily net assets^(d)			1.21	%			1.31	%			1.23	%			1.24	%^(e)			1.18	%^(e)
Net investment income (loss) to average daily net assets^(b)			1.71	%			2.27	%			2.27	%			2.66	%			1.94	%
Portfolio turnover rate			80	%^(f)			59	%			74	%			122	%			108	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.75	%			0.77	%			0.28	%			0.43	%			0.21	%

^(a)	Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

^(c)

^(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)

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		41

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND


	Class II Shares																				Class III Shares
	Year Ended February 28/29,																				Year Ended February 28/29,																Period from June 29, 2012 (commencement of operations) through February 28, 2013
	2017				2016				2015				2014				2013				2017				2016				2015				2014
Net asset value, beginning of period		$	19.36			$	23.99			$	22.55			$	24.60			$	21.39			$	19.35			$	23.98			$	22.54			$	24.59			$	21.02

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.25				0.34				0.28				0.26				0.24				0.27				0.36				0.29				0.30				0.05
Net realized and unrealized gain (loss)			3.68				(4.60	)			1.55				(1.22	)			3.27				3.68				(4.60	)			1.55				(1.24	)			3.84

Total from investment operations			3.93				(4.26	)			1.83				(0.96	)			3.51				3.95				(4.24	)			1.84				(0.94	)			3.89

Less distributions to shareholders:
From net investment income			(0.65	)			(0.37	)			(0.23	)			(0.30	)			(0.15	)			(0.66	)			(0.39	)			(0.24	)			(0.32	)			(0.17	)
From net realized gains			—				—				(0.16	)			(0.79	)			(0.15	)			—				—				(0.16	)			(0.79	)			(0.15	)

Total distributions			(0.65	)			(0.37	)			(0.39	)			(1.09	)			(0.30	)			(0.66	)			(0.39	)			(0.40	)			(1.11	)			(0.32	)

Net asset value, end of period		$	22.64			$	19.36			$	23.99			$	22.55			$	24.60			$	22.64			$	19.35			$	23.98			$	22.54			$	24.59

Total Return^(b)			20.62	%			(17.91	)%			8.18	%			(4.01	)%			16.47	%			20.73	%			(17.86	)%			8.23	%			(3.95	)%			18.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	603,565			$	556,539			$	738,035			$	621,278			$	352,479			$	129,068			$	242,740			$	336,488			$	384,757			$	104,740
Net expenses to average daily net assets^(c)			1.06	%			1.07	%			1.07	%			1.07	%^(d)			1.07	%^(d)			0.99	%			1.00	%			1.00	%			1.00	%^(d)			1.00	%*^(d)
Net investment income (loss) to average daily net assets^(a)			1.12	%			1.51	%			1.21	%			1.09	%			1.05	%			1.26	%			1.61	%			1.26	%			1.23	%			0.31	%*
Portfolio turnover rate			227	%^(e)			250	%			204	%			274	%			247	%			227	%^(e)			250	%			204	%			274	%			247	%**†††
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%			0.04	%			0.03	%			0.03	%			0.03	%			0.05	%			0.04	%			0.03	%			0.03	%			0.04	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.04			$	0.03			$	0.10			$	0.24			$	0.02			$	0.03			$	0.03			$	0.09			$	0.31


	Class IV Shares																				Class V Shares
	Year Ended February 28/29,																Period from May 2, 2012 (commencement of operations) through February 28, 2013				Year Ended February 28/29,												Period from November 29, 2013 (commencement of operations) through February 28, 2014
	2017				2016				2015				2014								2017				2016				2015
Net asset value, beginning of period		$	19.36			$	24.00			$	22.56			$	24.60			$	22.00			$	19.35			$	23.98			$	22.54			$	24.52

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.29				0.36				0.30				0.31				0.14				0.23				0.37				0.31				0.01
Net realized and unrealized gain (loss)			3.67				(4.60	)			1.56				(1.23	)			2.78				3.73				(4.59	)			1.55				(1.20	)

Total from investment operations			3.96				(4.24	)			1.86				(0.92	)			2.92				3.96				(4.22	)			1.86				(1.19	)

Less distributions to shareholders:
From net investment income			(0.67	)			(0.40	)			(0.26	)			(0.33	)			(0.17	)			(0.69	)			(0.41	)			(0.26	)			(0.34	)
From net realized gains			—				—				(0.16	)			(0.79	)			(0.15	)			—				—				(0.16	)			(0.45	)

Total distributions			(0.67	)			(0.40	)			(0.42	)			(1.12	)			(0.32	)			(0.69	)			(0.41	)			(0.42	)			(0.79	)

Net asset value, end of period		$	22.65			$	19.36			$	24.00			$	22.56			$	24.60			$	22.62			$	19.35			$	23.98			$	22.54

Total Return^(b)			20.80	%			(17.84	)%			8.29	%			(3.88	)%			13.34	%**			20.78	%			(17.79	)%			8.32	%			(4.95	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	335,225			$	745,300			$	686,589			$	659,592			$	518,430			$	948,052			$	322,379			$	255,379			$	235,753
Net expenses to average daily net assets^(c)			0.95	%			0.96	%			0.95	%			0.95	%^(d)			0.95	%*^(d)			0.93	%			0.94	%			0.93	%			0.94	%*^(d)
Net investment income (loss) to average daily net assets^(a)			1.34	%			1.61	%			1.29	%			1.29	%			0.71	%*			1.04	%			1.65	%			1.32	%			0.09	%
Portfolio turnover rate			227	%^(e)			250	%			204	%			274	%			247	%**†††			227	%^(e)			250	%			204	%			274	%**††††
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.04	%			0.04	%			0.03	%			0.03	%			0.04	%*			0.05	%			0.04	%			0.03	%			0.06	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.03			$	0.03			$	0.03			$	0.10			$	0.28			$	0.03			$	0.04			$	0.03			$	0.02


42		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

EMERGING DOMESTIC OPPORTUNITIES FUND (continued)


	Class VI Shares
	Year Ended February 28/29,
	2017				2016				2015				2014				2013
Net asset value, beginning of period		$	19.41			$	24.06			$	22.61			$	24.65			$	21.41

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.27				0.40				0.31				0.36				0.34
Net realized and unrealized gain (loss)			3.72				(4.64	)			1.57				(1.28	)			3.22

Total from investment operations			3.99				(4.24	)			1.88				(0.92	)			3.56

Less distributions to shareholders:
From net investment income			(0.64	)			(0.41	)			(0.27	)			(0.33	)			(0.17	)
From net realized gains			—				—				(0.16	)			(0.79	)			(0.15	)

Total distributions			(0.64	)			(0.41	)			(0.43	)			(1.12	)			(0.32	)

Net asset value, end of period		$	22.76			$	19.41			$	24.06			$	22.61			$	24.65

Total Return^(b)			20.88	%			(17.81	)%			8.37	%			(3.84	)%			16.69	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	15,208			$	9,167			$	605,469			$	546,120			$	654,063
Net expenses to average daily net assets^(c)			0.90	%			0.91	%			0.90	%			0.90	%^(d)			0.90	%^(d)
Net investment income (loss) to average daily net assets^(a)			1.20	%			1.79	%			1.34	%			1.47	%			1.50	%
Portfolio turnover rate			227	%^(e)			250	%			204	%			274	%			247	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%			0.04	%			0.03	%			0.03	%			0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.03			$	0.03			$	0.11			$	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, if any.

^(b)

^(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)

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.

†††	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.


		See accompanying notes to the financial statements.		43

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND


	Class II Shares																				Class III Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)				2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)
Net asset value, beginning of period		$	22.80			$	30.48			$	30.60			$	35.22			$	36.30			$	22.83			$	30.57			$	30.69			$	35.31			$	36.39

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.57				0.72				0.84				0.75				0.66				0.57				0.66				0.81				0.81				0.72
Net realized and unrealized gain (loss)			7.22				(7.59	)			0.00	^(c)			(4.56	)			(1.05	)			7.27				(7.56	)			0.06				(4.62	)			(1.08	)

Total from investment operations			7.79				(6.87	)			0.84				(3.81	)			(0.39	)			7.84				(6.90	)			0.87				(3.81	)			(0.36	)

Less distributions to shareholders:
From net investment income			(0.61	)			(0.81	)			(0.96	)			(0.81	)			(0.69	)			(0.62	)			(0.84	)			(0.99	)			(0.81	)			(0.72	)
From net realized gains			—				—				—				—				—				—				—				—				—				—

Total distributions			(0.61	)			(0.81	)			(0.96	)			(0.81	)			(0.69	)			(0.62	)			(0.84	)			(0.99	)			(0.81	)			(0.72	)

Net asset value, end of period		$	29.98			$	22.80			$	30.48			$	30.60			$	35.22			$	30.05			$	22.83			$	30.57			$	30.69			$	35.31

Total Return^(d)			34.47	%			(22.76	)%			2.84	%			(10.92	)%			(1.00	)%			34.67	%			(22.80	)%			2.91	%			(10.87	)%			(0.96	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	498,564			$	532,366			$	1,000,299			$	1,308,100			$	2,004,694			$	301,786			$	189,907			$	283,712			$	447,963			$	970,102
Net expenses to average daily net assets^(e)			1.07	%			1.09	%			1.07	%			1.06	%^(f)			1.06	%^(f)			1.01	%			1.04	%			1.02	%			1.01	%^(f)			1.01	%^(f)
Net investment income (loss) to average daily net assets^(b)			2.08	%			2.57	%			2.66	%			2.33	%			1.97	%			2.07	%			2.45	%			2.55	%			2.45	%			2.12	%
Portfolio turnover rate			62	%^(g)			104	%			94	%			98	%			119	%			62	%^(g)			104	%			94	%			98	%			119	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%			0.03	%			0.03	%			0.03	%			0.03	%			0.03	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.09	^(a)		$	0.10	^(a)		$	0.11	^(a)		$	0.10	^(a)		$	0.07	^(a)		$	0.09	^(a)		$	0.10	^(a)		$	0.11	^(a)		$	0.11	^(a)		$	0.09	^(a)


	Class IV Shares																				Class V Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)				2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)
Net asset value, beginning of period		$	22.65			$	30.30			$	30.45			$	35.04			$	36.09			$	22.59			$	30.24			$	30.39			$	34.98			$	36.03

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.53				0.69				0.84				0.84				0.66				0.61				0.72				0.87				0.78				0.75
Net realized and unrealized gain (loss)			7.24				(7.50	)			0.00	^(c)			(4.59	)			(0.96	)			7.15				(7.50	)			0.00	^(c)			(4.50	)			(1.05	)

Total from investment operations			7.77				(6.81	)			0.84				(3.75	)			(0.30	)			7.76				(6.78	)			0.87				(3.72	)			(0.30	)

Less distributions to shareholders:
From net investment income			(0.64	)			(0.84	)			(0.99	)			(0.84	)			(0.75	)			(0.65	)			(0.87	)			(1.02	)			(0.87	)			(0.75	)
From net realized gains			—				—				—				—				—				—				—				—				—				—

Total distributions			(0.64	)			(0.84	)			(0.99	)			(0.84	)			(0.75	)			(0.65	)			(0.87	)			(1.02	)			(0.87	)			(0.75	)

Net asset value, end of period		$	29.78			$	22.65			$	30.30			$	30.45			$	35.04			$	29.70			$	22.59			$	30.24			$	30.39			$	34.98

Total Return^(d)			34.61	%			(22.69	)%			2.88	%			(10.81	)%			(0.81	)%			34.67	%			(22.67	)%			2.93	%			(10.74	)%			(0.78	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	582,311			$	268,085			$	837,963			$	748,429			$	1,481,411			$	110,257			$	269,570			$	170,125			$	406,384			$	677,796
Net expenses to average daily net assets^(e)			0.96	%			0.99	%			0.97	%			0.96	%^(f)			0.96	%^(f)			0.91	%			0.94	%			0.92	%			0.91	%^(f)			0.91	%^(f)
Net investment income (loss) to average daily net assets^(b)			1.92	%			2.55	%			2.64	%			2.57	%			1.99	%			2.24	%			2.69	%			2.77	%			2.39	%			2.25	%
Portfolio turnover rate			62	%^(g)			104	%			94	%			98	%			119	%			62	%^(g)			104	%			94	%			98	%			119	%
Fees and expenses reimbursed and/ or waived by GMO to average daily net assets:			0.03	%			0.01	%			0.01	%			0.01	%			0.01	%			0.06	%			0.04	%			0.04	%			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.09	^(a)		$	0.10	^(a)		$	0.11	^(a)		$	0.10	^(a)		$	0.07	^(a)		$	0.08	^(a)		$	0.10	^(a)		$	0.10	^(a)		$	0.10	^(a)		$	0.01	^(a)


44		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)


	Class VI Shares
	Year Ended February 28/29,
	2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)
Net asset value, beginning of period		$	22.62			$	30.30			$	30.45			$	35.04			$	36.12

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.63				0.69				0.90				0.78				0.72
Net realized and unrealized gain (loss)			7.17				(7.50	)			(0.03	)^(h)			(4.47	)			(1.02	)

Total from investment operations			7.80				(6.81	)			0.87				(3.69	)			(0.30	)

Less distributions to shareholders:
From net investment income			(0.65	)			(0.87	)			(1.02	)			(0.90	)			(0.78	)
From net realized gains			—				—				—				—				—

Total distributions			(0.65	)			(0.87	)			(1.02	)			(0.90	)			(0.78	)

Net asset value, end of period		$	29.77			$	22.62			$	30.30			$	30.45			$	35.04

Total Return^(d)			34.83	%			(22.71	)%			2.96	%			(10.69	)%			(0.82	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,524,022			$	3,661,271			$	5,194,557			$	5,220,293			$	5,673,002
Net expenses to average daily net assets^(e)			0.89	%			0.91	%			0.89	%			0.88	%^(f)			0.88	%^(f)
Net investment income (loss) to average daily net assets^(b)			2.32	%			2.61	%			2.79	%			2.43	%			2.12	%
Portfolio turnover rate			62	%^(g)			104	%			94	%			98	%			119	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%			0.04	%			0.04	%			0.04	%			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.08	^(a)		$	0.09	^(a)		$	0.11	^(a)		$	0.10	^(a)		$	0.07	^(a)

^(a)	Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

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

^(d)

^(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)

^(h)	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.

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		45

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

TAIWAN FUND


	Class III Shares
	Year Ended February 28/29,
	2017				2016				2015				2014				2013
Net asset value, beginning of period		$	16.97			$	22.52			$	21.30			$	20.43			$	21.60

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.49				0.56				0.46				0.17				0.34
Net realized and unrealized gain (loss)			4.11				(4.70	)			1.38				0.90				(0.87	)^(b)

Total from investment operations			4.60				(4.14	)			1.84				1.07				(0.53	)

Less distributions to shareholders:
From net investment income			(0.56	)			(0.48	)			(0.51	)			(0.20	)			(0.23	)
From net realized gains			—				(0.93	)			(0.11	)			—				(0.41	)

Total distributions			(0.56	)			(1.41	)			(0.62	)			(0.20	)			(0.64	)

Net asset value, end of period		$	21.01			$	16.97			$	22.52			$	21.30			$	20.43

Total Return^(c)			27.53	%			(19.02	)%			8.75	%			5.26	%			(2.25	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	124,639			$	91,548			$	117,745			$	151,393			$	56,283
Net expenses to average daily net assets^(d)			1.33	%			1.33	%			1.27	%			1.35	%^(e)			1.38	%^(e)
Net investment income (loss) to average daily net assets^(a)			2.58	%			2.88	%			2.01	%			0.82	%			1.71	%
Portfolio turnover rate			97	%^(f)			90	%			134	%			201	%			156	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				—				—				—				0.00	%^(g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.05			$	0.03			$	0.06			$	0.03			$	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, if any.

^(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 return 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)

^(g)	Ratio is less than 0.01%.

†	Calculated using average shares outstanding throughout the period.


46		See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

February 28, 2017

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	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

Taiwan Fund currently limits subscriptions.

2.	Significant accounting policies

Portfolio valuation

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.

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 a 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 February 28, 2017 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%		84%
Emerging Domestic Opportunities Fund		—		72%
Emerging Markets Fund		<1%		90%
Taiwan Fund		—		89%

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 February 28, 2017, 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.

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 28, 2017:



Description	Level 1		Level 2		Level 3			Total
Emerging Countries Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	21,898	$	—	$	—		$	21,898
Brazil		121,418		261,369		—			382,787
Chile		34,125		2,772		—			36,897
China		826,719		4,968,850		—			5,795,569
Czech Republic		—		20,931		—			20,931
Egypt		—		44,103		—			44,103
Greece		—		185,395		—			185,395
India		354,276		2,657,175		—			3,011,451
Indonesia		42,750		153,476		—			196,226
Malaysia		—		61,794		—			61,794
Mexico		374,202		—		—			374,202
Philippines		—		155,508		—			155,508
Poland		—		8,954		—			8,954
Qatar		—		63,349		—			63,349
Russia		715,189		1,267,519		—			1,982,708
South Africa		—		136,018		—			136,018
South Korea		40,680		3,808,583		—			3,849,263
Taiwan		552,485		5,660,492		0	^§		6,212,977
Thailand		—		475,994		—			475,994
Turkey		18,975		1,700,573		—			1,719,548
United Arab Emirates		—		60,872		—			60,872
United Kingdom		—		173,100		—			173,100
Vietnam		—		55,669		—			55,669

TOTAL COMMON STOCKS		3,102,717		21,922,496		0	^§		25,025,213

Preferred Stocks
Brazil		162,465		253,564		—			416,029
Russia		—		59,249		—			59,249
South Korea		—		853,936		—			853,936

TOTAL PREFERRED STOCKS		162,465		1,166,749		—			1,329,214

Investment Funds
Thailand		—		150,366		—			150,366
United States		717,973		—		—			717,973

TOTAL INVESTMENT FUNDS		717,973		150,366		—			868,339

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1			Level 2		Level 3		Total
Emerging Countries Fund (continued)
Asset Valuation Inputs (continued)
Rights/Warrants
Brazil	$	—		$	—	$	1,345	$	1,345
Thailand		201			—		—		201

TOTAL RIGHTS/WARRANTS		201			—		1,345		1,546

Short-Term Investments		62,956			—		—		62,956

Total Investments		4,046,312			23,239,611		1,345		27,287,268

Total	$	4,046,312		$	23,239,611	$	1,345	$	27,287,268

Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(696	)	$	—	$	—	$	(696	)

Total	$	(696	)	$	—	$	—	$	(696	)


Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	8,211,751		$	—	$	—	$	8,211,751
Brazil		—			55,258,299		—		55,258,299
China		106,909,785			239,599,075		—		346,508,860
India		—			281,270,364		—		281,270,364
Indonesia		—			35,367,556		—		35,367,556
Malaysia		—			5,624,719		—		5,624,719
Mexico		27,325,090			—		—		27,325,090
Philippines		—			118,896,580		—		118,896,580
Qatar		—			30,830,345		—		30,830,345
Russia		8,421,400			76,754,052		—		85,175,452
South Africa		—			31,175,120		—		31,175,120
South Korea		—			30,859,305		—		30,859,305
Taiwan		—			93,844,741		—		93,844,741
Thailand		—			104,088,855		—		104,088,855
Turkey		—			8,353,061		—		8,353,061
United Arab Emirates		—			34,603,549		—		34,603,549
United Kingdom		—			108,313,372		—		108,313,372
Vietnam		—			31,007,579		—		31,007,579

TOTAL COMMON STOCKS		150,868,026			1,285,846,572		—		1,436,714,598

Preferred Stocks
Brazil		—			49,854,297		—		49,854,297

TOTAL PREFERRED STOCKS		—			49,854,297		—		49,854,297

Investment Funds
Brazil		36,054,788			—		—		36,054,788
China		47,112,060			—		—		47,112,060
Taiwan		104,017,246			—		—		104,017,246
Thailand		—			79,314,208		—		79,314,208
United States		129,524,284			—		—		129,524,284

TOTAL INVESTMENT FUNDS		316,708,378			79,314,208		—		396,022,586

Rights/Warrants
China		—			9,059,896		—		9,059,896

TOTAL RIGHTS/WARRANTS		—			9,059,896		—		9,059,896

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1		Level 2			Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	66,772,614	$	—		$	—	$	66,772,614

TOTAL MUTUAL FUNDS		66,772,614		—			—		66,772,614

Fully Funded Total Return Swaps		—		46,850,399			—		46,850,399

Short-Term Investments		18,949,432		—			—		18,949,432

Total Investments		553,298,450		1,470,925,372			—		2,024,223,822

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		6,228,820			—		6,228,820
Futures Contracts
Equity Risk		5,192,414		375,554			—		5,567,968
Swap Contracts
Equity Risk		—		740,882			—		740,882

Total	$	558,490,864	$	1,478,270,628		$	—	$	2,036,761,492

Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(5,739,901	)	$	—	$	(5,739,901	)

	$	—	$	(5,739,901	)	$	—	$	(5,739,901	)


Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Belgium	$	1,927,024	$	—		$	—	$	1,927,024
Brazil		—		120,195,296			—		120,195,296
Chile		11,710,725		14,213,118			—		25,923,843
China		110,268,270		911,971,465			686,465		1,022,926,200
Czech Republic		—		7,785,007			—		7,785,007
Egypt		—		7,959,744			—		7,959,744
Greece		—		41,649,868			—		41,649,868
India		28,922,705		580,292,835			—		609,215,540
Indonesia		1,815,450		33,131,374			—		34,946,824
Malaysia		—		9,626,439			—		9,626,439
Mexico		54,161,286		—			—		54,161,286
Philippines		—		41,355,944			—		41,355,944
Poland		—		10,155,356			—		10,155,356
Qatar		—		15,280,363			—		15,280,363
Russia		105,756,237		166,686,888			—		272,443,125
South Africa		—		43,919,987			—		43,919,987
South Korea		4,386,660		685,453,122			—		689,839,782
Sri Lanka		—		1,028,843			—		1,028,843
Taiwan		53,007,448		1,199,476,319			—		1,252,483,767
Thailand		—		111,876,775			—		111,876,775
Turkey		1,758,900		247,361,228			—		249,120,128
United Arab Emirates		—		33,266,398			—		33,266,398
United Kingdom		—		28,923,512			—		28,923,512
Vietnam		—		10,177,380			—		10,177,380

TOTAL COMMON STOCKS		373,714,705		4,321,787,261			686,465		4,696,188,431

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1			Level 2		Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	5,904,503		$	28,687,393	$	—	$	34,591,896
Russia		66,429			44,275,202		—		44,341,631
South Korea		—			124,838,725		—		124,838,725

TOTAL PREFERRED STOCKS		5,970,932			197,801,320		—		203,772,252

Investment Funds
India		—			—		5,842,567		5,842,567
Russia		—			—		2,083,527		2,083,527
Thailand		—			16,764,433		—		16,764,433
United States		9,569,985			—		—		9,569,985

TOTAL INVESTMENT FUNDS		9,569,985			16,764,433		7,926,094		34,260,512

Rights/Warrants
India		—			—		23,428		23,428
Thailand		109,746			—		—		109,746

TOTAL RIGHTS/WARRANTS		109,746			—		23,428		133,174

Mutual Funds
United States		89,875,673			—		—		89,875,673

TOTAL MUTUAL FUNDS		89,875,673			—		—		89,875,673

Fully Funded Total Return Swaps		—			925,653		—		925,653

Short-Term Investments		15,001,718			—		—		15,001,718

Total Investments		494,242,759			4,537,278,667		8,635,987		5,040,157,413

Derivatives^
Swap Contracts
Equity Risk		—			1,035,331		—		1,035,331

Total	$	494,242,759		$	4,538,313,998	$	8,635,987	$	5,041,192,744

Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(133,506	)	$	—	$	—	$	(133,506	)

	$	(133,506	)	$	—	$	—	$	(133,506	)


Taiwan Fund
Asset Valuation Inputs
Common Stocks
Taiwan	$	7,502,068		$	110,858,397	$	—	$	118,360,465

TOTAL COMMON STOCKS		7,502,068			110,858,397		—		118,360,465

Investment Funds
Taiwan		4,831,714			—		—		4,831,714

TOTAL INVESTMENT FUNDS		4,831,714			—		—		4,831,714

Mutual Funds
United States		1,900,066			—		—		1,900,066

TOTAL MUTUAL FUNDS		1,900,066			—		—		1,900,066

Total Investments		14,233,848			110,858,397		—		125,092,245

Total	$	14,233,848		$	110,858,397	$	—	$	125,092,245

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

Represents the interest in securities that were determined to have a value of zero at February 28, 2017.

Investments in other GMO Funds (“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’ Notes to Financial Statements.

For all Funds for the year ended February 28, 2017, 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 29, 2016		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 February 28, 2017		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2017
Emerging Countries Fund
Common Stocks
South Africa	$	10	$	—	$	(10	)	$	—	$	—		$	—		$	—		$	—		$	—	$	—
Right/Warrants
Brazil		—		0		—			—		—			1,345			—			—			1,345		1,345

Total	$	10	$	0	$	(10	)	$	—	$	—		$	1,345		$	—		$	—		$	1,345	$	1,345


Emerging Markets Fund
Common Stocks
China	$	—	$	—	$	—		$	—	$	—		$	—		$	686,465	‡	$	—		$	686,465	$	—
India		27,968,473		—		—			—		—			7,190,875			—			(35,159,348	)‡		—		—
Indonesia		39,366		—		—			—		—			94,838			—			(134,204	)‡		—		—
South Africa		590		—		(590	)		—		—			—			—			—			—		—

Total Common Stocks	$	28,008,429	$	—	$	(590	)	$	—	$	—		$	7,285,713		$	686,465		$	(35,293,552	)	$	686,465	$	—

Investment Funds
China	$	369,539	$	—	$	(381,966	)	$	—	$	(37,678	)	$	50,105		$	—		$	—		$	—	$	—
India		7,348,647		—		—			—		—			(1,506,080	)		—			—			5,842,567		(1,506,080	)
Poland		185,987		—		(189,544	)		—		(282,176	)		285,733			—			—			—		—
Russia		3,053,171		—		—			—		—			(969,644	)		—			—			2,083,527		(969,644	)

Total Investment Funds	$	10,957,344	$	—	$	(571,510	)	$	—	$	(319,854	)	$	(2,139,886	)	$	—		$	—		$	7,926,094	$	(2,475,724	)

Total	$	38,965,773	$	—	$	(572,100	)	$	—	$	(319,854	)	$	5,145,827		$	686,465		$	(35,293,552	)	$	8,612,559	$	(2,475,724	)

Rights/Warrants
India	$	—	$	0	$	—		$	—	$	—		$	23,428		$	—		$	—		$	23,428	$	23,428

Total	$	38,965,773	$	0	$	(572,100	)	$	—	$	(319,854	)	$	5,169,255		$	686,465		$	(35,293,552	)	$	8,635,987	$	(2,452,296	)

†

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

‡

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

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Fund Name	Level 3 securities and derivatives
Emerging Countries Fund		< 1%
Emerging Domestic Opportunities Fund		—
Emerging Markets Fund		< 1%
Taiwan Fund		—

Cash

Cash, foreign currency, and due to custodian, if any, on the Statements of Assets and Liabilities consist of cash balances held with the custodian or cash owed.

Due to/from broker

Foreign currency translation

Taxes and distributions

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

U.S. GAAP and tax accounting differences for each Fund primarily relate to reasons described in the following table:



Differences related to:	Emerging Countries Fund	Emerging Domestic Opportunities Fund	Emerging Markets Fund	Taiwan Fund
Capital loss carry forwards	X	X	X	X
Derivative contract transactions		X	X
Dividends received from underlying investments	X
Foreign capital gains taxes		X
Foreign currency transactions	X	X	X	X
Late-year ordinary losses	X	X	X	X
Losses on wash sale transactions	X	X	X	X
Partnership interest tax allocations			X
Passive foreign investment company transactions	X	X	X	X
Post-October capital losses	X	X	X	X

The tax character of distributions declared by each Fund to shareholders is as follows:



	Tax year ended February 28, 2017				Tax year ended February 29, 2016

Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long- Term Capital Gain ($)		Return of Capital ($)		Total Distributions ($)
Emerging Countries Fund		325,047		325,047		645,110		346,793		36,830		1,028,733
Emerging Domestic Opportunities Fund		60,110,737		60,110,737		40,348,231		—		—		40,348,231
Emerging Markets Fund		109,038,222		109,038,222		189,270,364		—		—		189,270,364
Taiwan Fund		3,287,415		3,287,415		3,438,210		3,989,520		—		7,427,730

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

As of February 28, 2017, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:



Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post- October Capital Losses ($)
Emerging Countries Fund		—		(58,514)		(26,294,111)		(88,590)
Emerging Domestic Opportunities Fund		—		(2,997,678)		(155,974,240)		(29,338,211)
Emerging Markets Fund		—		(5,873,663)		(2,055,231,423)		—
Taiwan Fund		339,237		(248,729)		(6,778,160)		(770,197)

As of February 28, 2017, 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, 2017, 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		(6,104,190)		(20,189,921)
Emerging Domestic Opportunities Fund		(116,712,916)		(39,261,324)
Emerging Markets Fund		(353,404,858)		(1,701,826,565)
Taiwan Fund		(564,457)		(6,213,703)



Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Emerging Countries Fund		26,161,413		2,878,049		(1,752,194)		1,125,855
Emerging Domestic Opportunities Fund		1,895,223,861		172,064,893		(43,064,932)		128,999,961
Emerging Markets Fund		4,700,594,061		551,962,594		(212,399,242)		339,563,352
Taiwan Fund		120,395,546		7,556,189		(2,859,490)		4,696,699

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

Security transactions and related investment income

Expenses and class allocations

Purchases and redemptions of Fund shares

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

As of February 28, 2017, 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%

Recently-issued accounting guidance

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 0.08% of the Fund’s total net assets as of February 28, 2017 and is included within miscellaneous payable within the Statements of Assets and Liabilities. 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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
Counterparty Risk	X	X	X	X
Credit Risk		X
Currency Risk	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X
Focused Investment Risk	X	X	X	X
Fund of Funds Risk	X	X	X	X
Illiquidity Risk	X	X	X	X
Large Shareholder Risk	X	X	X	X
Leveraging Risk	X	X	X	X
Management and Operational Risk	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X
Market Risk – Equities	X	X	X	X
Market Risk – Fixed Income Investments		X
Non-Diversified Funds	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X
Small Company Risk	X	X	X	X

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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.

• 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 in anticipation of such failure, or the downgrade of the credit rating of the investment. 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign or quasi-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.

The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

Swap contracts and other OTC derivatives are highly susceptible to illiquidity risk (see “Illiquidity Risk”) and counterparty risk (see “Counterparty Risk”). 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. 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.”

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. In addition, the Securities and Exchange Commission recently proposed a rule under the 1940 Act regulating the use by registered investment companies of derivatives and many related instruments. That rule, if adopted as proposed, would, among other things, restrict a Fund’s ability to engage in derivatives transactions or so increase the cost of derivatives transactions that a Fund would be unable to implement its investment strategy.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

A Fund may buy securities that are less liquid than those in its benchmark.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.

• 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:

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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

• NON-DIVERSIFIED FUNDS. All 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 and/or foreign currencies. 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.”

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.

Temporary Defensive Positions.

Temporary defensive positions are positions that are inconsistent with a Fund’s principal investment strategies and are taken in response 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

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.

For Funds that held derivatives during the year ended February 28, 2017, 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

Futures contracts

Adjust exposure to certain securities markets

Options (Written)

Substitute for direct equity investment

Income enhancement on securities held in the portfolio

Swap contracts

Substitute for direct equity investment

Achieve returns comparable to holding and lending a direct equity position

Rights and/or warrants

Received as a result of corporate actions

Forward currency contracts

Futures contracts

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

transaction due to an illiquid market. Futures contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

For the year ended February 28, 2017, 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
Emerging Countries Fund
Outstanding, beginning of year		—		—	$	—		—		8		$	3,828
Options written		—		—		—		—		22			17,772
Options bought back		—		—		—		—		(30	)		(21,600	)
Options expired		—		—		—		—		—			—
Options exercised		—		—		—		—		—			—

Outstanding, end of year		—		—	$	—		—		—		$	—


Emerging Domestic Opportunities Fund
Outstanding, beginning of year		—		—	$	—		—		9,647		$	4,967,831
Options written		—		—		—		—		16,582			12,785,715
Options bought back		—		—		—		—		(26,229	)		(17,753,546	)
Options expired		—		—		—		—		—			—
Options exercised		—		—		—		—		—			—

Outstanding, end of year		—		—	$	—		—		—		$	—

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017


	Puts						Calls

	Principal Amount of Contracts		Number of Contracts		Premiums		Principal Amount of Contracts		Number of Contracts			Premiums
Emerging Markets Fund
Outstanding, beginning of year		—		—	$	—		—		1,732		$	989,969
Options written		—		—		—		—		5,695			4,257,657
Options bought back		—		—		—		—		(7,427	)		(5,247,626	)
Options expired		—		—		—		—		—			—
Options exercised		—		—		—		—		—			—

Outstanding, end of year		—		—	$	—		—		—		$	—

Swap contracts

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.

Rights and warrants

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 February 28, 2017 and the Statements of Operations for the year ended February 28, 2017^:



	Credit Contracts		Equity Contracts		Foreign Currency Contracts		Interest Rate Contracts		Other Contracts		Total
Emerging Countries Fund
Asset Derivatives
Investments (rights and/or warrants)	$	—	$	1,546	$	—	$	—	$	—	$	1,546

Total	$	—	$	1,546	$	—	$	—	$	—	$	1,546

Derivatives not subject to Master Agreements	$	—	$	1,546	$	—	$	—	$	—	$	1,546

Total subject to Master Agreements	$	—	$	—	$	—	$	—	$	—	$	—

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Emerging Countries Fund (continued)
Liability Derivatives
Unrealized Depreciation on Futures Contracts*	$	—	$	(696	)	$	—		$	—	$	—	$	(696	)

Total	$	—	$	(696	)	$	—		$	—	$	—	$	(696	)

Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	(696	)	$	—		$	—	$	—	$	(696	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	(198	)	$	—		$	—	$	—	$	(198	)
Futures Contracts		—		(12	)		—			—		—		(12	)
Written Options		—		(415	)		—			—		—		(415	)
Forward Currency Contracts		—		—			(59,817	)		—		—		(59,817	)

Total	$	—	$	(625	)	$	(59,817	)	$	—	$	—	$	(60,442	)

Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	1,994		$	—		$	—	$	—	$	1,994
Futures Contracts		—		(696	)		—			—		—		(696	)
Written Options		—		(1,260	)		—			—		—		(1,260	)

Total	$	—	$	38		$	—		$	—	$	—	$	38


Emerging Domestic Opportunities Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	9,059,896		$	—		$	—	$	—	$	9,059,896
Investments, at value (Fully Funded total return swaps)		—		46,850,399			—			—		—		46,850,399
Unrealized Appreciation on Forward Currency Contracts		—		—			6,228,820			—		—		6,228,820
Unrealized Appreciation on Futures Contracts		—		5,567,968			—			—		—		5,567,968
Unrealized Appreciation Swap Contracts		—		740,882			—			—		—		740,882

Total	$	—	$	62,219,145		$	6,228,820		$	—	$	—	$	68,447,965

Derivatives not subject to Master Agreements	$	—	$	9,059,896		$	—		$	—	$	—	$	9,059,896

Total subject to Master Agreements	$	—	$	53,159,249		$	6,228,820		$	—	$	—	$	59,388,069

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	(5,739,901	)	$	—	$	—	$	(5,739,901	)

Total	$	—	$	—		$	(5,739,901	)	$	—	$	—	$	(5,739,901	)

Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	—		$	(5,739,901	)	$	—	$	—	$	(5,739,901	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	(148,619	)	$	—		$	—	$	—	$	(148,619	)
Swap Contracts		—		(4,734,695	)		—			—		—		(4,734,695	)
Futures Contracts		—		(20,424,305	)		—			—		—		(20,424,305	)
Written Options		—		220,020			—			—		—		220,020
Forward Currency Contracts		—		—			(7,467,329	)		—		—		(7,467,329	)

Total	$	—	$	(25,087,599	)	$	(7,467,329	)	$	—	$	—	$	(32,554,928	)

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



	Credit Contracts		Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts		Other Contracts		Total
Emerging Domestic Opportunities Fund (continued)
Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	1,080,887		$	—		$	—	$	—	$	1,080,887
Investments (Fully Funded total return swaps)		—		3,410,266			—			—		—		3,410,266
Futures Contracts		—		2,793,678			—			—		—		2,793,678
Written Options		—		(1,716,561	)		—			—		—		(1,716,561	)
Swap Contracts		—		607,160			—			—		—		607,160
Forward Currency Contracts		—		—			2,520,267			—		—		2,520,267

Total	$	—	$	6,175,430		$	2,520,267		$	—	$	—	$	8,695,697


Emerging Markets Fund
Asset Derivatives
Investments (rights and/or warrants)	$	—	$	133,174		$	—		$	—	$	—	$	133,174
Investments, at value (Fully Funded total return swaps)		—		925,653			—			—		—		925,653
Unrealized Appreciation on Swap Contracts*		—		1,035,331			—			—		—		1,035,331

Total	$	—	$	2,094,158		$	—		$	—	$	—	$	2,094,158

Derivatives not subject to Master Agreements	$	—	$	133,174		$	—		$	—	$	—	$	133,174

Total subject to Master Agreements	$	—	$	1,960,984		$	—		$	—	$	—	$	1,960,984

Liability Derivatives
Unrealized Depreciation on Futures Contracts*	$	—	$	(133,506	)	$	—		$	—	$	—	$	(133,506	)

Total	$	—	$	(133,506	)	$	—		$	—	$	—	$	(133,506	)

Derivatives not subject to Master Agreements	$	—	$	—		$	—		$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	(133,506	)	$	—		$	—	$	—	$	(133,506	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—	$	(121,684	)	$	—		$	—	$	—	$	(121,684	)
Futures Contracts		—		(2,097	)		—			—		—		(2,097	)
Written Options		—		53,298			—			—		—		53,298
Swap Contracts		—		(3,644,256	)		—			—		—		(3,644,256	)
Forward Currency Contracts		—		—			(11,856,453	)		—		—		(11,856,453	)

Total	$	—	$	(3,714,739	)	$	(11,856,453	)	$	—	$	—	$	(15,571,192	)

Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	33,374		$	—		$	—	$	—	$	33,374
Investments (Fully Funded total return swaps)		—		20,418			—			—		—		20,418
Futures Contracts		—		(133,506	)		—			—		—		(133,506	)
Written Options		—		(363,121	)		—			—		—		(363,121	)
Swap Contracts		—		869,885			—			—		—		869,885

Total	$	—	$	427,050		$	—		$	—	$	—	$	427,050

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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. Additionally, the netting and close out provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates and across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. 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 “Investments and other risks” above.

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
Barclays Bank plc	$	5,470,634	$	—		$	5,470,634		$	—
Goldman Sachs International		47,210,988		—			—			47,210,988
JP Morgan Chase Bank, N.A.		105,974		—			—			105,974
Morgan Stanley & Co. International PLC		758,186		(720,000	)		—			38,186
UBS AG		274,319		—			—			274,319

Total	$	53,820,101	$	(720,000	)	$	5,470,634		$	47,629,467



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Barclays Bank plc	$	5,739,901	$	(269,267	)	$	(5,470,634	)	$	—	*

Total	$	5,739,901	$	(269,267	)	$	(5,470,634	)	$	—

Emerging Markets 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	$	925,653	$	—		$	—	$	925,653
Morgan Stanley & Co. International PLC		1,035,331		(1,035,331	)		—		—	*

Total	$	1,960,984	$	(1,035,331	)	$	—	$	925,653

The actual collateral received and/or pledged is more than the amount shown.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts), market values (rights and/or warrants), and number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the year ended February 28, 2017:



Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)			Options (Contracts)		Rights and/or Warrants ($)
Emerging Countries Fund		118,764		23,270		—			1		415
Emerging Domestic Opportunities Fund		649,913,587		244,397,615		40,395,082	*		1,569		6,747,028
Emerging Markets Fund		23,752,784		4,149,817		25,163,081	*		353		209,202

Includes fully funded total return swap average derivative activity for the period ended February 28, 2017.

5.	Fees and other transactions with affiliates

Emerging
Countries
Fund

Emerging
Domestic
Opportunities
Fund

Emerging
Markets
Fund

Taiwan
Fund

Management Fee

0.65%

0.75%

0.75%⁽¹⁾

0.81%

⁽¹⁾

Effective January 1, 2017, GMO has contractually agreed to waive the management fee charged to each class of shares of the Fund by 0.10%, from 0.75% to 0.65%. The management fee waiver will continue through at least January 1, 2018.

In addition, each class of shares of the Funds pays GMO directly or indirectly 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 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 each 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.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.



Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Emerging Countries Fund		425		2
Emerging Domestic Opportunities Fund		34,659		3,380
Emerging Markets Fund		84,583		8,575
Taiwan Fund		1,717		124

Fund Name

Indirect Net Expenses
(excluding shareholder
service fees)

Indirect Shareholder
Service Fees

Total Indirect Expenses

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%

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

6.	Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, for the year ended February 28, 2017 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		$ —	$	20,976,572		$ —	$	20,921,968
Emerging Domestic Opportunities Fund		—		5,313,689,581		—		5,550,192,012
Emerging Markets Fund		—		3,971,789,671		—		5,213,643,060
Taiwan Fund		—		124,867,746		—		112,221,420

7.	Guarantees

8.	Principal shareholders and related parties as of February 28, 2017



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		4	†		90.97%		0.35	%		45.64	%
Emerging Domestic Opportunities Fund		3			35.92%		0.53	%		—
Emerging Markets Fund		3	‡		31.39%		0.60	%		68.43	%
Taiwan Fund		1			100.00%		—			100.00	%

With the exception of Taiwan Fund, each Fund’s outstanding shares were owned by more than 10 shareholders as of February 28, 2017.

†

One of the shareholders is another fund managed by GMO.

‡

Two of the shareholders are other funds of the Trust.

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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:



	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
Emerging Countries Fund
Class III:#
Shares sold		59,348		$	1,519,166			60,670		$	1,588,367
Shares issued to shareholders in reinvestment of distributions		13,360			325,047			47,190			1,028,733
Shares repurchased		(83,312	)		(1,990,678	)		(480,602	)		(11,342,704	)

Net increase (decrease)		(10,604	)	$	(146,465	)		(372,742	)	$	(8,725,604	)


Emerging Domestic Opportunities Fund
Class II:
Shares sold		7,485,284		$	160,982,074			4,409,709		$	89,770,584
Shares issued to shareholders in reinvestment of distributions		697,230			14,510,206			453,085			9,906,715
Shares repurchased		(10,275,533	)		(225,166,888	)		(6,874,283	)		(146,177,784	)
Purchase premiums		—			78,467			—			155,838
Redemption fees		—			588,506			—			908,135

Net increase (decrease)		(2,093,019	)	$	(49,007,635	)		(2,011,489	)	$	(45,436,512	)

Class III:
Shares sold		2,933,935		$	62,998,906			1,908,289		$	37,860,727
Shares issued to shareholders in reinvestment of distributions		222,746			4,625,740			237,017			5,170,993
Shares repurchased		(10,000,083	)		(216,597,785	)		(3,630,072	)		(74,411,104	)
Purchase premiums		—			24,572			—			74,988
Redemption fees		—			164,606			—			400,139

Net increase (decrease)		(6,843,402	)	$	(148,783,961	)		(1,484,766	)	$	(30,904,257	)

Class IV:
Shares sold		6,037,293		$	129,016,957			11,894,352		$	234,416,398
Shares issued to shareholders in reinvestment of distributions		782,540			16,393,889			492,028			10,726,065
Shares repurchased		(30,511,626	)		(697,091,179	)		(2,501,335	)		(61,757,952	)
Purchase premiums		—			104,701			—			147,157
Redemption fees		—			684,403			—			839,235

Net increase (decrease)		(23,691,793	)	$	(550,891,229	)		9,885,045		$	184,370,903

Class V:
Shares sold		26,717,121		$	614,385,969			16,616,084		$	334,463,505
Shares issued to shareholders in reinvestment of distributions		1,075,943			22,220,013			247,046			5,385,781
Shares repurchased		(2,550,388	)		(52,305,875	)		(10,847,820	)		(209,616,398	)
Purchase premiums		—			58,196			—			71,574
Redemption fees		—			569,292			—			400,746

Net increase (decrease)		25,242,676		$	584,927,595			6,015,310		$	130,705,208

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
Emerging Domestic Opportunities Fund (continued)
Class VI:
Shares sold		205,646		$	4,338,151			14,135		$	305,152
Shares issued to shareholders in reinvestment of distributions		13,943			290,287			344,877			7,625,003
Shares repurchased		(23,501	)		(513,105	)		(25,054,992	)		(504,824,963	)
Purchase premiums		—			1,413			—			105,213
Redemption fees		—			10,922			—			543,532

Net increase (decrease)		196,088		$	4,127,668			(24,695,980	)	$	(496,246,063	)


Emerging Markets Fund
Class II:#
Shares sold		823,187		$	23,902,466			8,660,478		$	208,458,170
Shares issued to shareholders in reinvestment of distributions		317,627			8,547,393			430,140			10,635,137
Shares repurchased		(7,873,707	)		(209,618,011	)		(18,541,178	)		(524,304,133	)
Purchase premiums		—			206,220			—			829,154
Redemption fees		—			1,323,690			—			1,524,728

Net increase (decrease)		(6,732,893	)	$	(175,638,242	)		(9,450,560	)	$	(302,856,944	)

Class III:#
Shares sold		1,646,735		$	50,110,147			2,521,243		$	77,353,683
Shares issued to shareholders in reinvestment of distributions		101,508			2,737,447			207,018			5,115,848
Shares repurchased		(20,839	)		(590,715	)		(3,695,910	)		(84,504,654	)
Purchase premiums		—			115,197			—			330,713
Redemption fees		—			604,396			—			737,169

Net increase (decrease)		1,727,404		$	52,976,472			(967,649	)	$	(967,241	)

Class IV:#
Shares sold		12,277,358		$	367,988,726			4,020,625		$	115,714,945
Shares issued to shareholders in reinvestment of distributions		106,683			2,851,160			377,883			9,288,060
Shares repurchased		(4,671,454	)		(129,426,496	)		(20,209,744	)		(554,530,737	)
Purchase premiums		—			188,279			—			711,055
Redemption fees		—			734,437			—			1,329,488

Net increase (decrease)		7,712,587		$	242,336,106			(15,811,236	)	$	(427,487,189	)

Class V:#
Shares sold		3,283,522		$	87,142,351			7,056,847		$	218,105,434
Shares issued to shareholders in reinvestment of distributions		326,859			8,709,058			349,642			8,560,034
Shares repurchased		(11,837,332	)		(354,659,563	)		(1,092,476	)		(26,908,734	)
Purchase premiums		—			107,715			—			300,601
Redemption fees		—			992,090			—			729,841

Net increase (decrease)		(8,226,951	)	$	(257,708,349	)		6,314,013		$	200,787,176

Class VI:#
Shares sold		9,646,816		$	286,707,394			34,257,356		$	929,371,388
Shares issued to shareholders in reinvestment of distributions		2,878,228			76,876,100			5,625,667			138,033,181
Shares repurchased		(55,955,886	)		(1,530,569,213	)		(49,515,650	)		(1,356,526,662	)
Purchase premiums		—			1,452,890			—			5,336,294
Redemption fees		—			9,612,117			—			10,776,931

Net increase (decrease)		(43,430,842	)	$	(1,155,920,712	)		(9,632,627	)	$	(273,008,868	)

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
Taiwan Fund
Class III:
Shares sold		2,602,196		$	49,511,671			983,694		$	21,651,474
Shares issued to shareholders in reinvestment of distributions		174,377			3,287,415			386,535			7,427,731
Shares repurchased		(2,239,688	)		(40,984,933	)		(1,202,843	)		(24,654,880	)
Purchase premiums		—			74,379			—			32,526
Redemption fees		—			184,432			—			110,947

Net increase (decrease)		536,885		$	12,072,964			167,386		$	4,567,798

Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

10.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure 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 February 28, 2017 is set forth below:



Affiliate	Value, beginning of period			Purchases		Sales Proceeds		Dividend Income		Value, end of period
Emerging Domestic Opportunities Fund
CMI Ltd.	$	5,234,567		$	—	$	—	$	—	$	3,202,269
Gayatri Projects Ltd.		17,467,627			—		—		63,000		22,225,368
TICON Industrial Growth Leasehold Property Fund		15,379,869			1,794,633		—		1,187,389		16,408,121
iShares MSCI Philippines ETF		—	*		53,248,659		54,750,079		194,999		—	#

Totals	$	38,082,063		$	55,043,292	$	54,750,079	$	1,445,388	$	41,835,758

Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	1,882,313		$	342,799	$	—	$	—	$	1,028,843
Gayatri Projects Ltd		27,968,473			—		—		100,873		35,159,348
Kiri Industries Ltd		1,878,798			230,419		—		—		7,867,156

Totals	$	31,729,584		$	573,218	$	—	$	100,873	$	44,055,347

Security not an affiliate at the beginning of the period.

No longer an affiliate as of February 28, 2017.

A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the year ended February 28, 2017 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	$	5,506	$	1,625,475	$	1,631,147	$	473	$	49	$	—

Emerging Domestic Opportunities Fund
GMO U.S. Treasury Fund	$	35,814,390	$	927,236,688	$	896,210,000	$	179,047	$	57,690	$	66,772,614

Emerging Markets Fund
GMO U.S. Treasury Fund	$	64,084,435	$	950,801,488	$	925,000,000	$	266,207	$	35,383	$	89,875,673

Taiwan Fund
GMO U.S. Treasury Fund	$	20,834	$	15,354,354	$	13,475,807	$	4,010	$	688	$	1,900,066

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and Shareholders of

GMO Emerging Countries Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, and GMO Taiwan Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the GMO Emerging Countries Fund, GMO Emerging Domestic Opportunities Fund, GMO Emerging Markets Fund, and GMO Taiwan Fund (the “Funds”) as of February 28, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2017 by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

April 26, 2017

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

February 28, 2017 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2017.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction 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, September 1, 2016 through February 28, 2017.

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual						Hypothetical
	Beginning Account Value September 1, 2016		Ending Account Value February 28, 2017		Expenses Paid During the Period*		Beginning Account Value September 1, 2016		Ending Account Value February 28, 2017		Expenses Paid During the Period*		Annualized Expense Ratio
Emerging Countries Fund
Class III		$1,000.00		$1,072.30		$6.06		$1,000.00		$1,018.94		$5.91		1.18%
Emerging Domestic Opportunities Fund
Class II		$1,000.00		$1,003.20		$5.31		$1,000.00		$1,019.49		$5.36		1.07%
Class III		$1,000.00		$1,003.40		$4.92		$1,000.00		$1,019.89		$4.96		0.99%
Class IV		$1,000.00		$1,003.70		$4.72		$1,000.00		$1,020.08		$4.76		0.95%
Class V		$1,000.00		$1,003.50		$4.62		$1,000.00		$1,020.18		$4.66		0.93%
Class VI		$1,000.00		$1,004.00		$4.47		$1,000.00		$1,020.33		$4.51		0.90%
Emerging Markets Fund
Class II		$1,000.00		$1,060.50		$5.31		$1,000.00		$1,019.64		$5.21		1.04%
Class III		$1,000.00		$1,060.80		$5.06		$1,000.00		$1,019.89		$4.96		0.99%
Class IV		$1,000.00		$1,061.00		$4.75		$1,000.00		$1,020.18		$4.66		0.93%
Class V		$1,000.00		$1,061.10		$4.55		$1,000.00		$1,020.38		$4.46		0.89%
Class VI		$1,000.00		$1,061.10		$4.39		$1,000.00		$1,020.53		$4.31		0.86%
Taiwan Fund
Class III		$1,000.00		$1,090.20		$6.89		$1,000.00		$1,018.20		$6.66		1.33%

GMO Trust Funds

Tax Information for the Tax Year Ended February 28, 2017 (Unaudited)

The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.



Fund Name	Qualified Dividend Income (non-corporate shareholders)⁽¹⁾		Foreign Taxes Paid⁽²⁾($)		Foreign Source Income⁽²⁾ ($)
Emerging Countries Fund		100.00%		116,824		832,430
Emerging Domestic Opportunities Fund		52.52%		7,694,201		46,190,383
Emerging Markets Fund		79.06%		21,432,380		181,358,583
Taiwan Fund		0.00%		1,030,300		5,037,379

⁽¹⁾

Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

⁽²⁾

The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders.

In early 2018, the Funds will notify applicable shareholders of amounts for use in preparing 2017 U.S. federal income tax forms.

Trustees and Officers (Unaudited)

Management of the Trust

Independent Trustees

Name and
Year of Birth

Position(s)

Held with the Trust

Length of

Time Served

Principal Occupation(s)

During Past
5 Years

Number of
Portfolios in
Fund Complex¹
Overseen

Other

Directorships Held
in the Past Five
Years

Donald W. Glazer

YOB: 1944

Chairman of

the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Law and Business²;

Author of Legal Treatises.

Director, BeiGene Ltd. (biotech research).

Peter Tufano

YOB: 1957

Trustee

Since December 2008.

Trustee of State Street Navigator Securities Lending Trust (5 Portfolios).

Paul Braverman

YOB: 1949

Trustee

Since March 2010.

Trustee of HIMCO Variable Insurance Trust (27 Portfolios).

Interested Trustee and Officer

Name and
Year of Birth

Position(s)

Held with the Trust

Length of

Time Served

Principal Occupation(s)

During Past
5 Years

Number of
Portfolios in
Fund Complex¹
Overseen

Other

Directorships Held
in the Past Five
Years

Joseph B. Kittredge, Jr.³

YOB: 1954

Trustee;

President of the Trust

Trustee since March 2010; President since March 2009; Chief Executive Officer, March 2009 – June 2015.

General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – present); Partner, Ropes & Gray, LLP (1988 – 2005).

None.

¹	The Fund Complex includes series of each of GMO Trust and GMO Series Trust. Mr. Kittredge also serves as a Trustee of GMO Series Trust.

³	Mr. Kittredge is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of his positions with the Trust and GMO indicated in the table above and his interest as a member of GMO.


Officers

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Joseph B. Kittredge, Jr. YOB: 1954	Trustee and President	Trustee since March 2010; President since March 2009; Chief Executive Officer, March 2009 – June 2015.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – present); Partner, Ropes & Gray LLP (1988 – 2005).

Sheppard N. Burnett YOB: 1968	Chief Executive Officer	Chief Executive Officer since June 2015; Chief Financial Officer, March 2007 – June 2015; Treasurer, November 2006 – June 2015; Assistant Treasurer, September 2004 –November 2006.	Head of Fund Treasury and Tax, Grantham, Mayo, Van Otterloo & Co. LLC (December 2006 – present).

Carly Cushman YOB: 1984	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer and Chief Financial Officer since June 2015; Chief Accounting Officer since May 2014; Assistant Treasurer, September 2013 – June 2015.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (December 2009 – present); Senior Accountant, Renaissance HealthCare (February 2009 – December 2009); Auditor/Senior Auditor, Deloitte & Touche (September 2006 – February 2009).

John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).

Betty Maganzini YOB: 1972	Assistant Treasurer	Since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present); Assistant Treasurer (June 2009 – July 2010), Manager, Fund Administration and Regulatory Affairs (2006 – 2009), Hambrecht & Quist Capital Management LLC.

Mahmoodur Rahman YOB: 1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2007 – present).

Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present)

Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).

Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).

Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).

Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present); Associate, Dechert LLP (October 2010 – February 2015).

Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present); Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (March 2000 – May 2015).

Claire Wilkinson YOB: 1965	Anti-Money Laundering Officer	Since February 2016.	Compliance Associate, GMO UK Limited (April 2013-present); General Counsel, MVision Private Equity Advisers Limited (November 2009 – January 2013).

GMO Trust

Annual Report

February 28, 2017

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

SGM Major Markets Fund

Special Opportunities Fund

Strategic Opportunities Allocation Fund

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, small 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
Management Discussion and Analysis of Fund Performance			2
Performance Graph			3
Investment Concentration Summary			4
Schedule of Investments			5
Benchmark-Free Allocation Fund
Management Discussion and Analysis of Fund Performance			20
Performance Graph			21
Investment Concentration Summary			22
Schedule of Investments			23
Benchmark-Free Fund
Management Discussion and Analysis of Fund Performance			24
Performance Graph			25
Investment Concentration Summary			26
Schedule of Investments			27
Global Asset Allocation Fund
Management Discussion and Analysis of Fund Performance			38
Performance Graph			39
Investment Concentration Summary			40
Schedule of Investments			41
Global Developed Equity Allocation Fund
Management Discussion and Analysis of Fund Performance			42
Performance Graph			43
Investment Concentration Summary			44
Schedule of Investments			45
Global Equity Allocation Fund
Management Discussion and Analysis of Fund Performance			46
Performance Graph			47
Investment Concentration Summary			48
Schedule of Investments			49
Implementation Fund
Management Discussion and Analysis of Fund Performance			50
Performance Graph			51
Investment Concentration Summary			52
Schedule of Investments			53
International Developed Equity Allocation Fund
Management Discussion and Analysis of Fund Performance			72
Performance Graph			73
Investment Concentration Summary			74
Schedule of Investments			75
International Equity Allocation Fund
Management Discussion and Analysis of Fund Performance			76
Performance Graph			77
Investment Concentration Summary			78
Schedule of Investments			79
SGM Major Markets Fund
Management Discussion and Analysis of Fund Performance			80
Performance Graph			81
Investment Concentration Summary			82
Schedule of Investments			83
Special Opportunities Fund
Management Discussion and Analysis of Fund Performance			86
Performance Graph			87
Investment Concentration Summary			88
Schedule of Investments			89


Strategic Opportunities Allocation Fund
Management Discussion and Analysis of Fund Performance			92
Performance Graph			93
Investment Concentration Summary			94
Schedule of Investments			95
Portfolio, Counterparty and Currency Abbreviations			96
Fund Financial Statements:
Statements of Assets and Liabilities			97
Statements of Operations			103
Statements of Changes in Net Assets			106
Financial Highlights			112
Notes to Financial Statements			124
Report of Independent Registered Public Accounting Firm			180
Fund Expenses			181
Tax Information			183
Trustees and Officers			184

GMO Alpha Only Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class III shares of GMO Alpha Only Fund returned -2.02% (net) for the fiscal year ended February 28, 2017, as compared with +0.32% for the Citigroup 3 Month Treasury Bill Index.

Although the Fund’s emerging value portfolio had strong performance, non-US developed stocks had a relatively lackluster year. Exacerbating this, the Russell 2000 enjoyed particularly good returns and so, in aggregate, the international and emerging value positions that were we held long underperformed the U.S. equities (Russell 2000 and S&P 500) that were correspondingly held short. The Fund’s long positions in US quality stocks relative to its short position in the S&P 500 also detracted from performance, as quality underperformed.

GMO Alpha Only Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Alpha Only Fund Class III Shares and the Citigroup 3-Month Treasury Bill Index

As of February 28, 2017

LOGO

GMO Alpha Only Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		88.1	%
Short-Term Investments		5.8
Mutual Funds		4.5
Preferred Stocks		1.0
Rights/Warrants		0.0	^
Futures Contracts		(3.6	)
Other		4.2

		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 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 amounts are (83.1)% of net assets.

^	Rounds to 0.0%.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 88.1%

		Australia — 1.1%
	2,174	Amcor Ltd		23,399
	15,053	AMP Ltd		56,266
	9,534	AusNet Services		11,836
	14,897	Australia & New Zealand Banking Group Ltd		352,585
	2,039	Bank of Queensland Ltd		18,504
	2,469	Bendigo & Adelaide Bank Ltd		23,111
	490	Caltex Australia Ltd		10,568
	340	CIMIC Group Ltd		9,843
	1,531	Coca Cola Amatil Ltd		12,021
	8,729	Commonwealth Bank of Australia		550,440
	1,954	Crown Resorts Ltd		18,958
	5,180	Dexus Property Group (REIT)		37,473
	13,053	DUET Group		27,498
	8,352	Fortescue Metals Group Ltd		42,283
	9,640	GPT Group (The) (REIT)		36,412
	2,243	Harvey Norman Holdings Ltd		8,856
	9,026	Incitec Pivot Ltd		25,377
	2,964	LendLease Group		34,582
	12,837	Mirvac Group (REIT)		21,141
	13,522	National Australia Bank Ltd		331,668
	2,006	Orica Ltd		28,103
	4,658	Origin Energy Ltd ^*		23,319
	6,979	QBE Insurance Group Ltd		65,831
	2,159	Rio Tinto Ltd		102,359
	18,445	South32 Ltd		35,117
	12,239	Stockland (REIT)		44,268
	6,548	Suncorp Group Ltd		66,527
	2,901	Tabcorp Holdings Ltd		9,472
	5,075	Tatts Group Ltd		15,785
	18,004	Vicinity Centres (REIT)		39,872
	1,408	Vocus Group Ltd		4,723
	17,029	Westpac Banking Corp		439,785
	2,364	Woolworths Ltd		46,657

		Total Australia		2,574,639


		Austria — 0.0%
	1,531	Erste Group Bank AG ^*		44,528
	788	OMV AG		30,122
	311	Raiffeisen Bank International AG ^*		6,897
	608	voestalpine AG		25,546

		Total Austria		107,093


		Belgium — 0.1%
	992	Ageas		37,713
	432	Groupe Bruxelles Lambert SA		36,608
	1,277	KBC Groep NV		78,150
	814	Proximus SADP		23,932
	377	Solvay SA		43,871


Shares		Description	Value ($)
		Belgium — continued
	177	Umicore SA		9,318

		Total Belgium		229,592


		Brazil — 0.5%
	3,200	AES Tiete Energia SA		16,505
	12,950	Banco Bradesco SA		135,159
	13,400	Banco do Brasil SA		141,910
	6,500	Banco Santander Brasil SA		71,501
	10,900	BB Seguridade Participacoes SA		99,897
	9,000	BR Malls Participacoes SA ^*		43,020
	3,600	Centrais Eletricas Brasileiras SA ^*		24,807
	6,500	Cia Siderurgica Nacional SA ^*		24,946
	5,100	EDP-Energias do Brasil SA		22,438
	2,700	Fibria Celulose SA		23,092
	46,400	Petroleo Brasileiro SA ^*		236,942
	1,900	Porto Seguro SA		17,629
	2,900	Sul America SA		18,070
	13,200	Tim Participacoes SA		41,329
	20,100	Vale SA		209,982

		Total Brazil		1,127,227


		Chile — 0.2%
	50,170	AES Gener SA		19,117
	369	Banco de Credito e Inversiones		19,963
	1,027,871	Banco Santander Chile		56,366
	1,237	Cia Cervecerias Unidas SA		14,637
	46,218	Colbun SA		9,097
	19,480	Empresas CMPC SA		43,489
	7,091	Empresas COPEC SA		73,767
	448,369	Enel Americas SA		87,243
	306,029	Enel Chile SA		31,490
	2,564,954	Itau CorpBanca		20,665
	4,777	Latam Airlines Group SA ^*		48,610

		Total Chile		424,444


		China — 3.9%
	383,000	Agricultural Bank of China Ltd – Class H		176,529
	54,000	Alibaba Health Information Technology Ltd ^*		23,713
	120,000	Alibaba Pictures Group Ltd ^*		20,088
	19,000	Anhui Conch Cement Co Ltd – Class H		66,149
	8,000	ANTA Sports Products Ltd		24,204
	1,238,000	Bank of China Ltd – Class H		626,391
	136,000	Bank of Communications Co Ltd – Class H		108,398
	24,000	Beijing Capital International Airport Co Ltd – Class H		25,719
	8,000	Beijing Enterprises Holdings Ltd		41,843
	99,000	Belle International Holdings Ltd		68,162
	137,000	China Cinda Asset Management Co Ltd – Class H		53,999
	139,000	China CITIC Bank Corp Ltd – Class H		95,423


		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)

February 28, 2017


Shares		Description	Value ($)
		China — continued
	34,000	China Coal Energy Co Ltd – Class H ^*		17,981
	69,000	China Communications Construction Co Ltd – Class H		89,032
	40,000	China Communications Services Corp Ltd – Class H		26,709
	21,000	China Conch Venture Holdings Ltd		41,616
	1,311,000	China Construction Bank Corp – Class H		1,079,400
	52,000	China Everbright Bank Co Ltd – Class H		26,327
	14,000	China Everbright Ltd		27,769
	64,000	China Evergrande Group		48,037
	46,000	China Galaxy Securities Co Ltd – Class H		45,071
	78,000	China Huarong Asset Management Co Ltd – Class H ^*		30,612
	62,000	China Jinmao Holdings Group Ltd		19,250
	116,000	China Life Insurance Co Ltd – Class H		353,444
	21,000	China Mengniu Dairy Co Ltd		41,287
	61,000	China Merchants Bank Co Ltd – Class H		162,208
	20,000	China Merchants Holdings Co Ltd – Class H		55,766
	92,000	China Minsheng Banking Corp Ltd – Class H		104,920
	95,500	China Mobile Ltd		1,053,373
	48,000	China National Building Material Co Ltd – Class H		35,002
	30,000	China Oilfield Services Ltd – Class H		29,881
	60,000	China Overseas Land & Investment Ltd		184,527
	41,000	China Pacific Insurance Group Co Ltd – Class H		150,103
	398,000	China Petroleum & Chemical Corp – Class H		308,508
	55,000	China Power International Development Ltd		21,318
	30,500	China Railway Construction Corp Ltd – Class H		43,123
	62,000	China Railway Group Ltd – Class H		54,157
	44,000	China Resources Land Ltd		120,045
	29,079	China Resources Power Holdings Co Ltd		52,627
	53,000	China Shenhua Energy Co Ltd – Class H		110,900
	30,000	China Southern Airlines Co Ltd – Class H		19,505
	25,200	China Taiping Insurance Holdings Co Ltd ^*		58,963
	216,000	China Telecom Corp Ltd – Class H		101,582
	94,000	China Unicom Hong Kong Ltd		114,292
	20,500	China Vanke Co Ltd – Class H		51,457
	42,000	Chongqing Rural Commercial Bank Co Ltd – Class H		29,483
	68,000	CITIC Ltd		97,686
	33,500	CITIC Securities Co Ltd – Class H		71,593
	278,000	CNOOC Ltd		328,872
	26,000	COSCO SHIPPING Ports Ltd		28,957
	87,000	Country Garden Holdings Co Ltd		62,295
	65,000	CRRC Corp Ltd – Class H		62,335
	42,000	Dongfeng Motor Group Co Ltd – Class H		49,803
	31,000	Far East Horizon Ltd		29,824
	40,500	Fosun International Ltd		63,643
	8,000	Fuyao Glass Industry Group Co Ltd – Class H		24,911


Shares		Description	Value ($)
		China — continued
	217,000	GCL-Poly Energy Holdings Ltd ^*		29,621
	21,200	GF Securities Co Ltd – Class H		46,680
	202,000	GOME Electrical Appliances Holding Ltd		28,098
	48,500	Great Wall Motor Co Ltd – Class H		59,560
	44,000	Guangdong Investment Ltd		59,943
	16,000	Guangzhou Automobile Group Co Ltd – Class H		26,833
	16,000	Guangzhou R&F Properties Co Ltd – Class H		22,091
	20,000	Haier Electronics Group Co Ltd		36,789
	10,000	Haitian International Holdings Ltd		21,040
	48,000	Haitong Securities Co Ltd – Class H		87,855
	11,500	Hengan International Group Co Ltd		98,155
	368,000	HengTen Networks Group Ltd ^*		9,057
	66,000	Huaneng Power International Inc – Class H		45,030
	15,800	Huatai Securities Co Ltd – Class H		32,223
	1,150,000	Industrial & Commercial Bank of China Ltd – Class H		753,547
	20,000	Jiangsu Expressway Co Ltd – Class H		26,383
	19,000	Jiangxi Copper Co Ltd – Class H		31,999
	50,000	Kunlun Energy Co Ltd		43,439
	112,000	Lenovo Group Ltd		67,175
	22,500	Longfor Properties Co Ltd		35,993
	12,100	New China Life Insurance Co Ltd – Class H		59,550
	109,000	People’s Insurance Co Group of China Ltd (The) – Class H		44,764
	72,000	PICC Property & Casualty Co Ltd – Class H		109,944
	32,000	Shandong Weigao Group Medical Polymer Co Ltd – Class H		19,250
	48,000	Shanghai Electric Group Co Ltd – Class H ^*		24,837
	8,000	Shanghai Industrial Holdings Ltd		22,325
	20,000	Shimao Property Holdings Ltd		28,706
	50,000	Sino-Ocean Land Holdings Ltd		24,836
	20,500	Sinopec Engineering Group Co Ltd – Class H		18,636
	54,000	Sinopec Shanghai Petrochemical Co Ltd – Class H		32,689
	34,000	Sinotrans Ltd – Class H		15,371
	34,500	SOHO China Ltd		17,861
	37,000	Sun Art Retail Group Ltd		35,669
	32,000	Sunac China Holdings Ltd		33,277
	32,000	Tingyi Cayman Islands Holding Corp		35,872
	4,000	Tsingtao Brewery Co Ltd – Class H		18,386
	89,000	Want Want China Holdings Ltd		57,255
	16,000	Weichai Power Co Ltd – Class H		28,172
	24,000	Zhejiang Expressway Co Ltd – Class H		26,992
	34,000	Zijin Mining Group Co Ltd – Class H		12,845
	12,600	ZTE Corp – Class H		20,520

		Total China		9,108,080


		Colombia — 0.0%
	76,893	Ecopetrol SA ^*		34,660


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)

February 28, 2017


Shares		Description	Value ($)
		Colombia — continued
	3,655	Grupo de Inversiones Suramericana SA		45,656

		Total Colombia		80,316


		Czech Republic — 0.0%
	2,515	CEZ AS		44,387
	4,446	Moneta Money Bank AS ^*		14,864

		Total Czech Republic		59,251


		Denmark — 0.1%
	20	AP Moeller – Maersk A/S – Class A		30,996
	18	AP Moeller – Maersk A/S – Class B		29,268
	281	Carlsberg A/S – Class B		24,664
	3,504	Danske Bank A/S		116,793
	451	DONG Energy A/S ^*		16,578
	4,344	TDC A/S ^*		23,342
	604	Tryg A/S		11,222

		Total Denmark		252,863


		Egypt — 0.0%
	10,519	Commercial International Bank Egypt SAE		47,704
	15,874	Talaat Moustafa Group		7,786

		Total Egypt		55,490


		Finland — 0.2%
	338	Elisa Oyj		11,261
	2,377	Fortum Oyj		36,448
	603	Metso Oyj		17,781
	444	Neste Oyj		15,454
	29,697	Nokia Oyj		152,048
	618	Nokian Renkaat Oyj		24,289
	222	Orion Oyj – Class B		10,941
	2,275	Sampo Oyj – A Shares		103,560
	2,948	Stora Enso Oyj – R Shares		31,615
	2,716	UPM-Kymmene Oyj		64,415

		Total Finland		467,812


		France — 2.1%
	321	Accor SA		12,687
	9,361	ArcelorMittal ^*		82,370
	9,870	AXA SA		233,110
	5,392	BNP Paribas SA		315,488
	4,677	Bollore SA		18,143
	551	Bouygues SA		21,253
	2,886	Carrefour SA		68,943
	300	Casino Guichard-Perrachon SA		15,868
	2,541	Cie de Saint-Gobain		121,860
	927	Cie Generale des Etablissements Michelin		104,375
	917	CNP Assurances		16,993
	5,718	Credit Agricole SA		69,166


Shares		Description	Value ($)
		France — continued
	1,400	Electricite de France SA		13,726
	7,819	Engie SA		95,668
	212	Eurazeo SA		13,092
	934	Eutelsat Communications SA		18,379
	169	Fonciere Des Regions (REIT)		13,916
	215	Gecina SA (REIT)		27,355
	189	ICADE (REIT)		13,477
	192	Imerys SA		15,500
	1,119	Klepierre (REIT)		41,561
	631	Lagardere SCA		15,868
	6,594	LVMH Moet Hennessy Louis Vuitton SE		1,324,607
	5,036	Natixis SA		27,495
	10,153	Orange SA		152,980
	1,689	Peugeot SA ^*		32,194
	976	Publicis Groupe SA		65,848
	978	Renault SA		86,810
	1,617	Rexel SA		26,162
	5,903	Sanofi		509,181
	2,861	Schneider Electric SE		193,848
	873	SCOR SE		31,560
	1,855	SES SA		37,880
	3,905	Societe Generale SA		173,568
	1,664	Suez		24,951
	11,466	TOTAL SA		572,107
	505	Unibail-Rodamco SE (REIT)		115,072
	2,576	Vinci SA		185,716
	2,619	Vivendi SA		46,114
	75	Wendel SA		8,300

		Total France		4,963,191


		Germany — 1.6%
	2,326	Allianz SE (Registered)		405,113
	231	Axel Springer SE		12,072
	4,674	BASF SE		434,840
	1,685	Bayerische Motoren Werke AG		150,464
	5,417	Commerzbank AG		41,294
	4,900	Daimler AG (Registered)		355,970
	16,661	Deutsche Bank AG (Registered)		287,691
	7,019	Deutsche Bank AG (Registered) ^*		138,300
	1,250	Deutsche Lufthansa AG (Registered)		18,301
	10,183	E.ON SE		78,985
	865	Evonik Industries AG		27,740
	223	Fraport AG Frankfurt Airport Services Worldwide		13,951
	323	Hannover Rueck SE		36,440
	359	HUGO BOSS AG		24,688
	1,024	K+S AG (Registered)		23,915
	819	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)		154,707
	1,186	ProSiebenSat.1 Media SE		47,507


		See accompanying notes to the financial statements.		7

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Germany — continued
	207	RTL Group SA		15,915
	1,696	RWE AG ^*		24,153
	8,751	SAP AG		815,176
	3,894	Siemens AG (Registered)		506,223
	3,978	Telefonica Deutschland Holding AG		17,443
	86	Volkswagen AG		13,026
	2,372	Vonovia SE		82,574

		Total Germany		3,726,488


		Greece — 0.1%
	20,075	Eurobank Ergasias SA ^*		13,350
	558	FF Group ^*		10,915
	2,050	Hellenic Telecommunications Organization SA		18,388
	91,585	National Bank of Greece SA ^*		23,233
	3,480	OPAP SA		31,272
	109,298	Piraeus Bank SA ^*		21,131

		Total Greece		118,289


		Hong Kong — 0.5%
	19,000	BOC Hong Kong Holdings Ltd		75,058
	6,000	Cathay Pacific Airways Ltd		8,807
	13,699	Cheung Kong Property Holding Ltd		93,144
	14,000	CK Hutchison Holdings Ltd		172,923
	12,000	First Pacific Co Ltd		8,788
	5,000	Hang Lung Group Ltd		20,759
	12,000	Hang Lung Properties Ltd		30,286
	3,900	Hang Seng Bank Ltd		79,919
	6,000	Henderson Land Development Co Ltd		34,844
	14,000	HK Electric Investments & HK Electric Investments Ltd		12,266
	7,000	HKT Trust & HKT Ltd		9,338
	6,000	Hongkong Land Holdings Ltd		40,945
	3,000	Hysan Development Co Ltd		13,988
	1,300	Jardine Matheson Holdings Ltd		80,670
	3,500	Kerry Properties Ltd		10,726
	32,000	Li & Fung Ltd		14,256
	3,000	MTR Corp Ltd		15,859
	30,000	New World Development Co Ltd		39,268
	8,000	NWS Holdings Ltd		14,571
	23,000	PCCW Ltd		14,022
	7,000	Power Assets Holdings Ltd		62,798
	16,000	Sino Land Co Ltd		27,848
	12,000	SJM Holdings Ltd		9,846
	7,000	Sun Hung Kai Properties Ltd		102,271
	3,000	Swire Pacific Ltd – Class A		30,881
	6,200	Swire Properties Ltd		18,643
	7,000	Wharf Holdings Ltd (The)		55,457
	4,000	Wheelock & Co Ltd		25,979
	4,000	Yue Yuen Industrial Holdings Ltd		14,883

		Total Hong Kong		1,139,043


Shares		Description	Value ($)
		Hungary — 0.0%
	558	MOL Hungarian Oil & Gas Plc		38,256
	1,854	OTP Bank Plc		53,826

		Total Hungary		92,082


		India — 1.2%
	754	ACC Ltd		15,917
	9,898	Ambuja Cements Ltd		33,857
	26,056	Axis Bank Ltd		197,275
	9,806	Bharat Heavy Electricals Ltd		23,794
	7,896	Bharat Petroleum Corp Ltd		79,146
	15,571	Bharti Airtel Ltd		85,947
	8,846	Bharti Infratel Ltd		37,618
	7,002	Cairn India Ltd		29,766
	10,625	Coal India Ltd		51,187
	510	Container Corp Of India Ltd		9,295
	4,948	GAIL India Ltd		38,298
	4,390	HCL Technologies Ltd		55,203
	17,345	Hindalco Industries Ltd		47,810
	3,394	Hindustan Petroleum Corp Ltd		27,377
	8,187	Housing Development Finance Corp Ltd		167,971
	8,600	ICICI Bank Ltd Sponsored ADR		70,520
	21,163	Idea Cellular Ltd		36,420
	14,749	IDFC Bank Ltd		13,797
	4,616	Indiabulls Housing Finance Ltd		60,090
	28,400	Infosys Ltd Sponsored ADR		429,976
	26,400	ITC Ltd		103,297
	4,942	Larsen & Toubro Ltd		108,667
	4,683	Mahindra & Mahindra Financial Services Ltd		20,401
	5,814	Mahindra & Mahindra Ltd		113,927
	25,693	NTPC Ltd		62,751
	20,033	Oil & Natural Gas Corp Ltd		58,051
	10,460	Power Finance Corp		21,297
	20,168	Reliance Industries Ltd		373,699
	418	Siemens Ltd		7,568
	24,134	State Bank of India		97,100
	24,607	Tata Motors Ltd		168,135
	6,360	Tata Motors Ltd – Class A DVR		26,245
	18,504	Tata Power Co Ltd		22,884
	4,690	Tata Steel Ltd		33,887
	3,914	Tech Mahindra Ltd		28,783
	16,178	Vedanta Ltd		62,619
	9,453	Wipro Ltd		68,954

		Total India		2,889,529


		Indonesia — 0.4%
	224,300	Adaro Energy Tbk PT		28,433
	315,500	Astra International Tbk PT		193,436
	52,300	Bank Danamon Indonesia Tbk PT		19,387
	145,500	Bank Mandiri Persero Tbk PT		122,818


8		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)

February 28, 2017


Shares		Description	Value ($)
		Indonesia — continued
	116,200	Bank Negara Indonesia Persero Tbk PT		54,320
	173,000	Bank Rakyat Indonesia Persero Tbk PT		154,675
	7,500	Gudang Garam Tbk PT		36,970
	101,100	Hanjaya Mandala Sampoerna Tbk PT		29,287
	24,600	Indocement Tunggal Prakarsa Tbk PT		27,883
	68,400	Indofood Sukses Makmur Tbk PT		41,514
	83,600	Media Nusantara Citra Tbk PT		10,392
	170,000	Perusahaan Gas Negara Persero Tbk PT		35,962
	46,200	Semen Indonesia Persero Tbk PT		33,273
	26,200	United Tractors Tbk PT		48,387
	62,600	XL Axiata Tbk PT ^*		14,015

		Total Indonesia		850,752


		Ireland — 0.0%
	95,825	Bank of Ireland ^*		22,716


		Israel — 0.1%
	80	Azrieli Group Ltd		3,979
	5,701	Bank Hapoalim BM		35,141
	7,744	Bank Leumi Le-Israel BM ^*		33,953
	10,565	Bezeq The Israeli Telecommunication Corp Ltd		18,869
	2,729	Israel Chemicals Ltd		11,628
	2,638	Teva Pharmaceutical Industries Ltd		92,797
	400	Teva Pharmaceutical Industries Ltd Sponsored ADR		14,008

		Total Israel		210,375


		Italy — 0.5%
	5,953	Assicurazioni Generali SPA		85,150
	2,101	Atlantia SPA		49,193
	2,739	CNH Industrial NV		25,367
	38,804	Enel SPA		166,535
	12,946	Eni SPA		199,721
	582	EXOR NV		27,564
	2,420	Fiat Chrysler Automobiles NV ^*		26,465
	64,570	Intesa Sanpaolo SPA		150,344
	4,986	Intesa Sanpaolo SPA – RSP		11,083
	3,030	Mediobanca SPA		24,285
	2,800	Poste Italiane SPA		17,985
	32,449	Saipem SPA ^*		14,814
	12,469	Snam SPA		49,653
	51,528	Telecom Italia SPA ^*		41,584
	32,254	Telecom Italia SPA – RSP ^*		21,383
	8,067	Terna Rete Elettrica Nazionale SPA		37,350
	9,614	UniCredit SPA		128,955
	5,769	UnipolSai SPA		12,243

		Total Italy		1,089,674


Shares		Description	Value ($)
		Japan — 3.5%
	600	AEON Financial Service Co Ltd		11,611
	400	Aeon Mall Co Ltd		6,145
	1,000	Aisin Seiki Co Ltd		49,685
	400	Alfresa Holdings Corp		7,206
	900	Amada Holdings Co Ltd		10,168
	6,000	ANA Holdings Inc		17,938
	6,000	Aozora Bank Ltd		22,504
	5,000	Asahi Glass Co Ltd		40,813
	6,000	Asahi Kasei Corp		58,469
	2,000	Bank of Kyoto Ltd (The)		16,293
	200	Benesse Holdings Inc		6,146
	3,300	Bridgestone Corp		131,688
	5,400	Canon Inc		157,494
	700	Central Japan Railway Co		114,590
	4,000	Chiba Bank Ltd (The)		27,964
	2,200	Chubu Electric Power Co Inc		29,018
	900	Chugoku Bank Ltd (The)		14,369
	1,500	Chugoku Electric Power Co Inc (The)		16,540
	6,300	Concordia Financial Group Ltd		33,543
	800	Credit Saison Co Ltd		15,198
	3,000	Dai Nippon Printing Co Ltd		32,660
	5,500	Dai-ichi Life Insurance Co Ltd (The)		103,421
	3,100	Daiichi Sankyo Co Ltd		70,690
	1,000	Daiwa House Industry Co Ltd		27,443
	7	Daiwa House REIT Investment Corp		18,203
	8,000	Daiwa Securities Group Inc		50,715
	200	DeNA Co Ltd		4,503
	800	Eisai Co Ltd		44,910
	800	Electric Power Development Co Ltd		18,813
	600	FANUC Corp		117,837
	3,000	Fuji Electric Co Ltd		16,570
	2,000	Fuji Heavy Industries Ltd		74,835
	2,200	FUJIFILM Holdings Corp		85,101
	4,000	Fukuoka Financial Group Inc		18,668
	2,100	Hachijuni Bank Ltd (The)		13,260
	400	Hakuhodo DY Holdings Inc		4,924
	600	Hankyu Hanshin Holdings Inc		20,102
	1,400	Hino Motors Ltd		16,238
	100	Hirose Electric Co Ltd		13,418
	3,000	Hiroshima Bank Ltd (The)		14,175
	100	Hisamitsu Pharmaceutical Co Inc		5,379
	200	Hitachi Chemical Co Ltd		5,643
	200	Hitachi Construction Machinery Co Ltd		4,647
	25,000	Hitachi Ltd		137,621
	900	Hokuriku Electric Power Co		8,903
	5,400	Honda Motor Co Ltd		167,278
	500	Idemitsu Kosan Co Ltd		16,111
	4,000	IHI Corp ^*		12,437
	400	Iida Group Holdings Co Ltd		6,770
	1,800	Inpex Corp		17,898


		See accompanying notes to the financial statements.		9

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Japan — continued
	1,800	Isetan Mitsukoshi Holdings Ltd		23,052
	3,000	Isuzu Motors Ltd		40,093
	7,600	ITOCHU Corp		110,059
	1,300	J Front Retailing Co Ltd		19,976
	600	Japan Airlines Co Ltd		19,607
	2,200	Japan Post Bank Co Ltd		27,565
	2,400	Japan Post Holdings Co Ltd		30,784
	4	Japan Prime Realty Investment Corp (REIT)		15,889
	7	Japan Real Estate Investment Corp (REIT)		38,582
	13	Japan Retail Fund Investment Corp (REIT)		26,149
	1,100	JGC Corp		19,722
	1,000	JSR Corp		17,104
	1,200	JTEKT Corp		20,368
	10,800	JX Holdings Inc		51,485
	1,000	Kamigumi Co Ltd		9,383
	1,000	Kaneka Corp		7,822
	3,600	Kansai Electric Power Co Inc (The) ^*		39,924
	7,000	Kawasaki Heavy Industries Ltd		21,936
	9,300	KDDI Corp		243,032
	1,500	Kirin Holdings Co Ltd		25,877
	4,700	Komatsu Ltd		112,982
	2,400	Konica Minolta Inc		23,148
	700	Kuraray Co Ltd		10,635
	500	Kurita Water Industries Ltd		11,932
	1,600	Kyocera Corp		87,970
	500	Kyowa Hakko Kirin Co Ltd		7,493
	900	Kyushu Financial Group Inc		6,159
	200	Lawson Inc		13,803
	8,400	Marubeni Corp		54,380
	1,100	Marui Group Co Ltd		15,197
	300	Maruichi Steel Tube Ltd		9,502
	3,000	Mazda Motor Corp		41,949
	4,680	Mebuki Financial Group Inc		20,610
	900	Medipal Holdings Corp		14,852
	2,500	Mitsubishi Chemical Holdings Corp		19,223
	7,700	Mitsubishi Electric Corp		173,821
	9,800	Mitsubishi Electric Corp		143,677
	1,000	Mitsubishi Gas Chemical Co Inc		21,081
	16,000	Mitsubishi Heavy Industries Ltd		63,152
	600	Mitsubishi Materials Corp		19,920
	3,600	Mitsubishi Motors Corp		23,265
	1,200	Mitsubishi Tanabe Pharma Corp		24,704
	64,900	Mitsubishi UFJ Financial Group Inc		429,364
	2,400	Mitsubishi UFJ Lease & Finance Co Ltd		13,269
	8,700	Mitsui & Co Ltd		133,175
	3,000	Mitsui Fudosan Co Ltd		67,881
	6,000	Mitsui OSK Lines Ltd		19,778
	200	Mixi Inc		8,681
	122,700	Mizuho Financial Group Inc		228,974
	2,600	MS&AD Insurance Group Holdings Inc		88,054


Shares		Description	Value ($)
		Japan — continued
	9,000	NEC Corp		22,432
	600	Nikon Corp		9,173
	7	Nippon Building Fund Inc (REIT)		39,160
	2,000	Nippon Electric Glass Co Ltd		12,425
	4,000	Nippon Express Co Ltd		20,639
	4,100	Nippon Steel & Sumitomo Metal Corp		100,785
	3,500	Nippon Telegraph & Telephone Corp		148,048
	9,000	Nippon Yusen KK		19,838
	12,260	Nissan Motor Co Ltd		120,631
	500	Nisshin Seifun Group Inc		7,531
	100	Nissin Foods Holdings Co Ltd		5,602
	500	NOK Corp		11,439
	18,500	Nomura Holdings Inc		119,559
	700	Nomura Real Estate Holdings Inc		11,874
	14	Nomura Real Estate Master Fund Inc (REIT)		20,983
	440	Nomura Research Institute Ltd		15,202
	2,400	NSK Ltd		34,217
	2,000	OJI Holdings Corp		9,580
	6,700	ORIX Corp		104,252
	10,000	Osaka Gas Co Ltd		38,620
	4,100	Panasonic Corp		44,990
	11,200	Resona Holdings Inc		62,550
	3,600	Ricoh Co Ltd		31,404
	300	Rohm Co Ltd		19,377
	200	Sankyo Co Ltd		7,079
	1,100	SBI Holdings Inc		15,390
	1,000	Sega Sammy Holdings Inc		14,718
	1,500	Seiko Epson Corp		33,550
	2,100	Sekisui Chemical Co Ltd		34,689
	3,100	Sekisui House Ltd		49,573
	10,000	Shinsei Bank Ltd		18,245
	3,000	Shizuoka Bank Ltd (The)		26,345
	1,000	Showa Shell Sekiyu KK		10,084
	1,800	Sompo Japan Nipponkoa Holdings Inc		67,288
	900	Sony Financial Holdings Inc		15,814
	8,000	Sumitomo Chemical Co Ltd		44,628
	6,000	Sumitomo Corp		80,647
	2,000	Sumitomo Electric Industries Ltd		32,580
	3,000	Sumitomo Heavy Industries Ltd		21,203
	2,000	Sumitomo Metal Mining Co Ltd		27,785
	6,800	Sumitomo Mitsui Financial Group Inc		264,909
	1,700	Sumitomo Mitsui Trust Holdings Inc		61,005
	900	Sumitomo Rubber Industries Ltd		14,845
	250	Suzuken Co Ltd		8,463
	2,900	T&D Holdings Inc		44,474
	6,000	Taiheiyo Cement Corp		21,068
	5,000	Taisei Corp		35,084
	100	Taisho Pharmaceutical Holdings Co Ltd		8,150
	2,000	Takashimaya Co Ltd		17,996
	1,800	Takeda Pharmaceutical Co Ltd		83,709


10		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)

February 28, 2017


Shares		Description	Value ($)
		Japan — continued
	600	Teijin Ltd		11,482
	600	THK Co Ltd		15,469
	2,000	Tobu Railway Co Ltd		10,242
	1,200	Tohoku Electric Power Co Inc		15,423
	3,500	Tokio Marine Holdings Inc		153,380
	3,900	Tokyo Electric Power Co Holdings Inc ^*		14,978
	800	Tokyo Electron Ltd		79,811
	10,000	Tokyo Gas Co Ltd		45,516
	3,000	Tokyu Corp		22,241
	2,700	Tokyu Fudosan Holdings Corp		15,395
	1,000	TonenGeneral Sekiyu KK		11,987
	3,000	Toppan Printing Co Ltd		30,244
	400	Toyoda Gosei Co Ltd		10,203
	800	Toyota Industries Corp		39,015
	13,638	Toyota Motor Corp		771,540
	1,100	Toyota Tsusho Corp		32,803
	200	Trend Micro Inc		8,762
	16	United Urban Investment Corp (REIT)		24,863
	600	USS Co Ltd		10,283
	800	West Japan Railway Co		52,983
	3,400	Yamada Denki Co Ltd		17,357
	1,000	Yamaguchi Financial Group Inc		11,539
	1,000	Yamaha Motor Co Ltd		23,104
	600	Yokogawa Electric Corp		9,342
	600	Yokohama Rubber Co Ltd (The)		11,924

		Total Japan		8,193,113


		Malaysia — 0.4%
	13,500	AirAsia Berhad		8,205
	16,800	Alliance Financial Group Berhad		14,410
	30,200	AMMB Holdings Berhad		31,471
	4,000	Berjaya Sports Toto Berhad		2,631
	2,400	British American Tobacco Malaysia Berhad		26,214
	47,635	CIMB Group Holdings Berhad		53,281
	27,300	DiGi.Com Berhad		30,988
	26,400	Gamuda Berhad		29,185
	35,100	Genting Berhad		73,103
	10,100	Hong Leong Bank Berhad		30,860
	3,800	Hong Leong Financial Group Berhad		12,881
	44,900	IJM Corp Berhad		33,874
	25,900	IOI Properties Group Berhad		12,306
	54,600	Malayan Banking Berhad		105,694
	20,300	Maxis Berhad		28,826
	17,400	MISC Berhad		29,018
	14,100	Petronas Chemicals Group Berhad		23,022
	1,200	Petronas Dagangan Berhad		6,613
	13,341	RHB Bank Berhad		14,533
	12,300	RHB Capital Berhad ^*		—
	65,300	SapuraKencana Petroleum Berhad ^*		27,906
	36,200	Sime Darby Berhad		73,043


Shares		Description	Value ($)
		Malaysia — continued
	34,300	Tenaga Nasional Berhad		104,523
	7,800	UMW Holdings Berhad		9,728
	8,600	Westports Holdings Berhad		7,762
	72,000	YTL Corp Berhad		25,133
	33,800	YTL Power International Berhad		11,336

		Total Malaysia		826,546


		Mexico — 0.5%
	43,900	Alfa SAB de CV – Class A		55,980
	517,264	America Movil SAB de CV – Series L		329,026
	6,500	Arca Continental SAB de CV		36,477
	7,700	Coca-Cola Femsa SAB de CV – Series L		50,585
	40,200	Fibra Uno Administracion SA de CV (REIT)		58,205
	3,300	Grupo Carso SAB de CV – Series A1		13,973
	38,900	Grupo Financiero Banorte SAB de CV – Class O		193,575
	28,500	Grupo Financiero Santander Mexico SAB de CV – Class B		42,711
	59,400	Grupo Mexico SAB de CV – Series B		179,960
	1,165	Industrias Penoles SAB de CV		27,601
	8,400	Infraestructura Energetica Nova SAB de CV		35,980
	23,800	Kimberly-Clark de Mexico SAB de CV – Class A		44,955
	13,000	OHL Mexico SAB de CV		13,640
	53,100	Wal-Mart de Mexico SAB de CV		103,338

		Total Mexico		1,186,006


		Netherlands — 0.3%
	1,493	ABN AMRO Group NV		34,209
	9,327	Aegon NV		49,489
	300	AerCap Holdings NV ^*		13,590
	1,261	Akzo Nobel NV		84,545
	487	Boskalis Westminster		17,769
	19,735	ING Groep NV		271,881
	629	Koninklijke DSM NV		41,347
	11,887	Koninklijke KPN NV		33,592
	1,604	NN Group NV		49,914
	636	Randstad Holdings NV		37,041
	248	Unilever NV CVA		11,740

		Total Netherlands		645,117


		New Zealand — 0.0%
	3,835	Contact Energy Ltd		13,500
	1,280	Fletcher Building Ltd		8,892
	6,852	Meridian Energy Ltd		13,328
	9,817	Spark New Zealand Ltd		25,370

		Total New Zealand		61,090


		See accompanying notes to the financial statements.		11

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Norway — 0.1%
	4,973	DNB ASA		81,535
	1,069	Gjensidige Forsikring ASA		16,714
	7,196	Norsk Hydro ASA		40,741
	4,362	Orkla ASA		38,346
	2,074	Statoil ASA		36,567
	950	Yara International ASA		36,065

		Total Norway		249,968


		Peru — 0.1%
	3,000	Cia de Minas Buenaventura SAA ADR		36,900
	500	Credicorp Ltd		82,310

		Total Peru		119,210


		Philippines — 0.2%
	30,730	Aboitiz Equity Ventures Inc		44,929
	24,600	Aboitiz Power Corp		21,015
	32,100	Alliance Global Group Inc		8,111
	11,790	Bank of the Philippine Islands		22,053
	30,605	BDO Unibank Inc		70,309
	66,600	DMCI Holdings Inc		16,791
	156,600	Energy Development Corp		18,372
	555	Globe Telecom Inc		20,196
	8,480	International Container Terminal Services Inc		12,799
	16,780	JG Summit Holdings Inc		25,889
	188,000	Megaworld Corp		13,600
	218,900	Metro Pacific Investments Corp		29,610
	10,610	Metropolitan Bank & Trust Co		17,104
	1,515	PLDT Inc		43,991
	27,300	Robinsons Land Corp		12,854
	1,840	Security Bank Corp		7,322
	2,000	SM Investments Corp		26,376

		Total Philippines		411,321


		Poland — 0.2%
	510	Bank Handlowy w Warszawie SA		9,886
	1,595	Bank Pekao SA		54,853
	747	Grupa Azoty SA		12,737
	1,546	Grupa Lotos SA ^*		18,481
	310	Jastrzebska Spolka Weglowa SA ^*		5,311
	2,182	KGHM Polska Miedz SA		69,084
	10,943	Orange Polska SA		12,723
	13,112	PGE Polska Grupa Energetyczna SA		38,263
	4,999	Polski Koncern Naftowy ORLEN SA		115,757
	8,748	Powszechny Zaklad Ubezpieczen SA		77,557
	17,547	Tauron Polska Energia SA ^*		12,941

		Total Poland		427,593


		Portugal — 0.0%
	12,391	EDP-Energias de Portugal SA		38,307


Shares		Description	Value ($)
		Portugal — continued
	1,344	Galp Energia SGPS SA		19,782

		Total Portugal		58,089


		Qatar — 0.1%
	1,626	Barwa Real Estate Co		17,785
	2,948	Commercial Bank QSC (The)		25,080
	2,113	Doha Bank QSC		22,532
	1,532	Industries Qatar QSC ^*		49,585
	5,727	Masraf Al Rayan QSC^*		63,052
	1,248	Ooredoo QSC		36,315
	299	Qatar Electricity & Water Co QSC ^*		18,477
	4,230	Qatar Gas Transport Co Ltd		27,352
	921	Qatar Islamic Bank SAQ		25,797

		Total Qatar		285,975


		Russia — 0.5%
	92,874	Gazprom PAO Sponsored ADR		414,550
	488,000	Inter RAO UES PJSC		33,649
	6,639	Lukoil PJSC Sponsored ADR		352,028
	7,800	Mobile TeleSystems PJSC Sponsored ADR		80,106
	1,626	PhosAgro PJSC GDR (Registered)		22,407
	9,110	Rosneft Oil Co PJSC GDR (Registered)		51,686
	15,140	Rostelecom PJSC		20,245
	1,806,000	RusHydro PJSC		29,011
	3,270	Severstal PJSC GDR (Registered)		46,577
	2,826	Sistema PJSC Sponsored GDR (Registered)		25,199
	110,800	Surgutneftegas OJSC		55,790
	1,842	Tatneft PJSC Sponsored ADR		64,593

		Total Russia		1,195,841


		Singapore — 0.2%
	11,100	CapitaLand Commercial Trust (REIT)		12,346
	800	City Developments Ltd		5,400
	9,000	DBS Group Holdings Ltd		120,195
	18,700	Golden Agri-Resources Ltd		5,062
	27,900	Hutchison Port Holdings Trust – Class U		10,596
	7,800	Keppel Corp Ltd		37,853
	16,000	Oversea-Chinese Banking Corp Ltd		107,909
	5,600	Singapore Press Holdings Ltd		13,975
	12,900	Suntec Real Estate Investment Trust		15,914
	6,555	United Overseas Bank Ltd		100,439
	2,600	UOL Group Ltd		12,214
	13,000	Yangzijiang Shipbuilding Holdings Ltd		8,575

		Total Singapore		450,478


		South Africa — 1.0%
	587	Anglo American Platinum Ltd ^*		13,555
	6,361	AngloGold Ashanti Ltd ^*		70,134
	6,606	Barclays Africa Group Ltd		76,450


12		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)

February 28, 2017


Shares		Description	Value ($)
		South Africa — continued
	4,966	Bidvest Group Ltd (The)		58,668
	5,278	Brait SE ^*		29,619
	3,794	Coronation Fund Managers Ltd		19,460
	2,390	Exxaro Resources Ltd		19,642
	52,452	FirstRand Ltd		198,389
	15,882	Fortress Income Fund Ltd – Class A (REIT)		21,061
	11,854	Fortress Income Fund Ltd (REIT)		31,491
	3,249	Foschini Group Ltd (The)		40,180
	12,803	Gold Fields Ltd		39,025
	32,564	Growthpoint Properties Ltd (REIT)		65,670
	3,872	Hyprop Investments Ltd (REIT)		36,995
	9,733	Impala Platinum Holdings Ltd ^*		32,588
	2,433	Imperial Holdings Ltd		30,986
	1,911	Liberty Holdings Ltd		16,156
	7,643	Life Healthcare Group Holdings Ltd		19,509
	15,942	MMI Holdings Ltd		29,870
	25,864	MTN Group Ltd		235,987
	3,091	Nedbank Group Ltd		57,635
	745	Pioneer Foods Group Ltd		9,305
	76,041	Redefine Properties Ltd (REIT)		62,991
	5,361	Remgro Ltd		91,244
	11,000	RMB Holdings Ltd		53,119
	5,485	Sappi Ltd ^*		34,173
	8,629	Sasol Ltd		245,460
	12,334	Sibanye Gold Ltd		25,271
	20,174	Standard Bank Group Ltd		219,859
	46,402	Steinhoff International Holdings NV		247,107
	4,109	Telkom SA SOC Ltd		21,344
	948	Tiger Brands Ltd		30,186
	6,970	Truworths International Ltd		46,269
	6,128	Tsogo Sun Holdings Ltd		12,894
	5,797	Vodacom Group Ltd		65,469

		Total South Africa		2,307,761


		South Korea — 2.0%
	4,063	BNK Financial Group Inc		31,179
	434	Daelim Industrial Co Ltd		32,055
	2,821	DGB Financial Group Inc		25,934
	773	Dongbu Insurance Co Ltd		41,735
	203	Dongsuh Cos Inc		4,573
	798	Doosan Heavy Industries & Construction Co		17,296
	304	E-MART Inc		55,868
	829	GS Engineering & Construction Corp ^*		21,818
	797	GS Holdings Corp		39,059
	4,613	Hana Financial Group Inc		143,703
	579	Hankook Tire Co Ltd		30,583
	752	Hanwha Corp		24,171
	3,623	Hanwha Life Insurance Co Ltd		20,850
	312	Hanwha Techwin Co Ltd ^*		12,115
	228	Hyosung Corp		26,471


Shares		Description	Value ($)
		South Korea — continued
	127	Hyundai Department Store Co Ltd		11,163
	423	Hyundai Heavy Industries Co Ltd ^*		61,406
	364	Hyundai Marine & Fire Insurance Co Ltd		10,430
	1,062	Hyundai Mobis Co Ltd		239,374
	2,403	Hyundai Motor Co		317,281
	1,248	Hyundai Steel Co		68,865
	273	Hyundai Wia Corp		16,140
	3,927	Industrial Bank of Korea		42,868
	6,190	KB Financial Group Inc		255,523
	97	KCC Corp		29,689
	4,106	Kia Motors Corp		138,794
	4,002	Korea Electric Power Corp		153,984
	462	Korea Gas Corp ^*		19,970
	652	Korea Investment Holdings Co Ltd		27,289
	132	Korea Zinc Co Ltd		48,544
	87	KT Corp		2,342
	1,818	KT&G Corp		164,596
	142	Kumho Petrochemical Co Ltd		9,625
	716	LG Chem Ltd		179,024
	1,479	LG Corp		82,060
	3,625	LG Display Co Ltd		87,816
	240	Lotte Chemical Corp		77,326
	5	Lotte Chilsung Beverage Co Ltd		6,669
	40	Lotte Confectionery Co Ltd		6,903
	63	Lotte Shopping Co Ltd		12,870
	5,718	Mirae Asset Daewoo Co Ltd		45,085
	2,348	NH Investment & Securities Co Ltd		24,060
	279	OCI Co Ltd		21,949
	751	POSCO		187,794
	760	Posco Daewoo Corp		16,483
	580	Samsung Card Co Ltd		21,694
	540	Samsung Electronics Co Ltd		917,694
	1,424	Samsung Heavy Industries Co Ltd ^*		14,074
	1,091	Samsung Life Insurance Co Ltd		103,212
	957	Samsung Securities Co Ltd		28,011
	6,651	Shinhan Financial Group Co Ltd		273,629
	123	Shinsegae Inc		21,696
	463	SK Holdings Co Ltd		89,219
	1,009	SK Innovation Co Ltd		137,630
	2,205	SK Networks Co Ltd		14,438
	314	SK Telecom Co Ltd		64,191
	702	S-Oil Corp		53,588
	4,741	Woori Bank ^*		55,726

		Total South Korea		4,688,134


		Spain — 0.7%
	3,276	Abertis Infraestructuras SA		47,996
	1,024	ACS Actividades de Construccion y Servicios SA		32,102
	33,479	Banco Bilbao Vizcaya Argentaria SA		218,115


		See accompanying notes to the financial statements.		13

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Spain — continued
	28,349	Banco de Sabadell SA		41,614
	74,303	Banco Santander SA		404,103
	24,650	Bankia SA		24,300
	3,617	Bankinter SA		27,868
	11,475	CaixaBank SA		39,988
	1,214	Enagas SA		29,784
	1,699	Endesa SA		36,137
	1,709	Ferrovial SA		32,376
	1,874	Gas Natural SDG SA		36,424
	28,768	Iberdrola SA		191,013
	1,593	International Consolidated Airlines Group SA		10,583
	5,763	Mapfre SA		17,808
	2,203	Red Electrica Corp SA		39,768
	5,741	Repsol SA		84,928
	23,699	Telefonica SA		241,255
	584	Zardoya Otis SA		4,654

		Total Spain		1,560,816


		Sweden — 0.5%
	1,017	Alfa Laval AB		18,371
	1,291	Electrolux AB		34,185
	431	ICA Gruppen AB		13,984
	877	Industrivarden AB – C Shares		17,338
	2,318	Investor AB – B Shares		91,794
	1,257	Kinnevik AB – Class B		33,933
	15,457	Nordea Bank AB		180,722
	1,991	Sandvik AB		27,027
	7,730	Skandinaviska Enskilda Banken AB – Class A		88,326
	1,731	Skanska AB – B Shares		41,200
	2,130	SKF AB – B Shares		40,474
	7,747	Svenska Handelsbanken AB – A Shares		107,564
	4,609	Swedbank AB – A Shares		113,564
	1,935	Tele2 AB – B Shares		17,278
	15,621	Telefonaktiebolaget LM Ericsson – B Shares		101,354
	13,222	Telia Co AB		53,087
	7,846	Volvo AB – B Shares		102,231

		Total Sweden		1,082,432


		Switzerland — 2.1%
	4,790	ABB Ltd (Registered) ^*		108,207
	827	Adecco Group AG (Registered)		59,467
	467	Aryzta AG ^*		15,106
	173	Baloise Holding AG (Registered)		22,516
	1,329	Cie Financiere Richemont SA (Registered)		97,893
	3,537	Credit Suisse Group AG (Registered) ^*		53,363
	1,139	Julius Baer Group Ltd ^*		55,706
	35,181	Nestle SA (Registered)		2,596,294
	13,298	Novartis AG (Registered) ^*		1,038,466
	92	Pargesa Holding SA		6,065
	82	Swatch Group AG (The)		27,275
	266	Swatch Group AG (The) (Registered)		17,234


Shares		Description	Value ($)
		Switzerland — continued
	163	Swiss Life Holding AG (Registered) ^*		51,276
	383	Swiss Prime Site AG (Registered) ^*		33,261
	1,650	Swiss Re AG		147,586
	132	Swisscom AG (Registered)		58,104
	235	Syngenta AG (Registered)		101,289
	18,615	UBS Group AG (Registered)		286,966
	766	Zurich Insurance Group AG ^*		211,395

		Total Switzerland		4,987,469


		Taiwan — 2.8%
	49,000	Acer Inc ^*		23,531
	69,000	Advanced Semiconductor Engineering Inc		86,087
	39,000	Asia Cement Corp		38,569
	38,000	Asia Pacific Telecom Co Ltd ^*		12,729
	12,000	Asustek Computer Inc		108,275
	2,000	Casetek Holdings Ltd		6,762
	11,000	Catcher Technology Co Ltd		91,784
	136,000	Cathay Financial Holding Co Ltd		213,472
	17,000	Chailease Holding Co Ltd		36,459
	82,520	Chang Hwa Commercial Bank Ltd		49,288
	22,000	Cheng Shin Rubber Industry Co Ltd		46,761
	44,000	China Airlines Ltd		14,465
	225,000	China Development Financial Holding Corp		59,271
	57,520	China Life Insurance Co Ltd		56,421
	64,000	Chunghwa Telecom Co Ltd		212,204
	70,000	Compal Electronics Inc		43,823
	293,320	CTBC Financial Holding Co Ltd		175,048
	34,250	Eva Airways Corp		17,027
	15,000	Evergreen Marine Corp Taiwan Ltd ^*		7,088
	54,000	Far Eastern New Century Corp		48,198
	27,000	Far EasTone Telecommunications Co Ltd		64,945
	160,190	First Financial Holding Co Ltd		94,562
	54,000	Formosa Chemicals & Fibre Co		170,746
	10,000	Formosa Petrochemical Corp		34,788
	69,000	Formosa Plastics Corp		207,831
	13,000	Formosa Taffeta Co Ltd		13,186
	15,361	Foxconn Technology Co Ltd		45,857
	111,000	Fubon Financial Holding Co Ltd		179,878
	14,000	Highwealth Construction Corp		22,769
	258,525	Hon Hai Precision Industry Co Ltd		752,298
	6,000	HTC Corp ^*		15,368
	122,936	Hua Nan Financial Holdings Co Ltd – Class C		67,616
	97,000	Innolux Corp		39,523
	42,000	Inventec Corp		31,197
	35,435	Lite-On Technology Corp		59,344
	25,000	MediaTek Inc		182,185
	182,000	Mega Financial Holding Co Ltd		141,658
	2,000	Merida Industry Co Ltd		10,191
	79,000	Nan Ya Plastics Corp		191,728
	11,000	Nanya Technology Corp		16,367


14		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)

February 28, 2017


Shares		Description	Value ($)
		Taiwan — continued
	10,000	Novatek Microelectronics Corp		37,447
	1,000	OBI Pharma Inc ^*		11,418
	32,000	Pegatron Corp		84,261
	2,000	Phison Electronics Corp		17,570
	45,000	Quanta Computer Inc		93,154
	14,000	Ruentex Development Co Ltd ^*		17,610
	10,000	Ruentex Industries Ltd		18,951
	137,000	Shin Kong Financial Holding Co Ltd ^*		36,967
	36,000	Siliconware Precision Industries Co Ltd		56,712
	169,550	SinoPac Financial Holdings Co Ltd		51,586
	23,350	Synnex Technology International Corp		25,649
	142,577	Taishin Financial Holding Co Ltd		56,388
	32,100	Taiwan Business Bank		8,785
	12,000	Taiwan Fertilizer Co Ltd		16,594
	27,000	Taiwan Mobile Co Ltd		94,808
	63,931	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		2,011,909
	32,000	Teco Electric and Machinery Co Ltd		28,820
	3,000	Transcend Information Inc		8,432
	200,000	United Microelectronics Corp		82,921
	26,393	Wistron Corp		22,109
	25,000	WPG Holdings Ltd		31,716
	160,000	Yuanta Financial Holding Co Ltd		67,683
	14,000	Yulon Motor Co Ltd		13,031
	7,000	Zhen Ding Technology Holding Ltd		17,427

		Total Taiwan		6,601,247


		Thailand — 0.1%
	6,000	Advanced Info Service Pcl (Foreign Registered)		28,676
	4,200	Bangkok Bank Pcl NVDR		21,317
	9,200	Banpu Pcl (Foreign Registered)		5,161
	6,900	BEC World Pcl (Foreign Registered)		3,102
	32,700	BTS Group Holdings Pcl (Foreign Registered)		7,671
	2,800	Glow Energy Pcl (Foreign Registered)		6,247
	8,100	Indorama Ventures Pcl (Foreign Registered)		8,232
	53,900	IRPC Pcl (Foreign Registered)		7,646
	3,800	Kasikornbank Pcl (Foreign Registered) ^(a)		20,578
	4,900	Kasikornbank Pcl NVDR		26,815
	21,000	Krung Thai Bank Pcl (Foreign Registered)		11,778
	8,700	PTT Exploration & Production Pcl (Foreign Registered)		23,151
	11,800	PTT Global Chemical Pcl (Foreign Registered)		24,063
	7,000	PTT Pcl (Foreign Registered)		79,602
	9,900	Siam Commercial Bank Pcl (The) (Foreign Registered)		43,569
	4,600	Thai Oil Pcl (Foreign Registered)		9,903
	50,300	TMB Bank Pcl (Foreign Registered)		3,516

		Total Thailand		331,027


Shares		Description	Value ($)
		Turkey — 0.2%
	31,705	Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT)		27,202
	21,818	Eregli Demir ve Celik Fabrikalari TAS		35,523
	14,309	Haci Omer Sabanci Holding AS		39,480
	5,279	KOC Holding AS		21,459
	3,935	Petkim Petrokimya Holding AS		4,661
	1,778	TAV Havalimanlari Holding AS		7,396
	1,951	Tupras-Turkiye Petrol Rafineriler AS		45,571
	9,008	Turk Telekomunikasyon AS		14,226
	7,289	Turkcell Iletisim Hizmetleri AS ^*		23,788
	18,000	Turkiye Garanti Bankasi AS		42,491
	10,429	Turkiye Halk Bankasi AS		32,219
	24,545	Turkiye Is Bankasi – Class C		42,601
	12,007	Turkiye Sise ve Cam Fabrikalari AS		12,904
	12,516	Turkiye Vakiflar Bankasi TAO – Class D		18,172
	902	Ulker Biskuvi Sanayi AS		4,568
	7,201	Yapi ve Kredi Bankasi AS ^*		7,594

		Total Turkey		379,855


		United Arab Emirates — 0.1%
	30,521	Abu Dhabi Commercial Bank PJSC		58,842
	49,013	Aldar Properties PJSC		32,006
	19,255	Dubai Islamic Bank PJSC		32,743
	32,668	Emaar Malls PJSC		23,290
	27,336	Emaar Properties PJSC		55,397
	14,026	First Gulf Bank PJSC		52,120
	10,645	National Bank of Abu Dhabi PJSC		30,428

		Total United Arab Emirates		284,826


		United Kingdom — 7.7%
	4,950	3i Group Plc		42,296
	4,936	Aberdeen Asset Management Plc		16,952
	1,132	Admiral Group Plc		25,675
	734	Antofagasta Plc		7,376
	6,436	AstraZeneca Plc		370,907
	20,653	Aviva Plc		127,489
	1,356	Babcock International Group Plc		15,942
	16,154	BAE Systems Plc		126,462
	86,083	Barclays Plc		241,952
	5,381	Barratt Developments Plc		34,172
	454	Berkeley Group Holdings Plc (The)		16,593
	5,374	BHP Billiton Plc		86,618
	95,593	BP Plc		539,017
	39,589	British American Tobacco Plc		2,500,621
	5,234	British Land Co Plc (The) (REIT)		40,086
	42,945	BT Group Plc		173,543
	2,326	Capita Plc		16,256
	27,824	Centrica Plc		78,380
	9,151	Cobham Plc		13,612
	69,489	Compass Group Plc		1,290,964


		See accompanying notes to the financial statements.		15

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		United Kingdom — continued
	7,357	Direct Line Insurance Group Plc		31,356
	5,236	Dixons Carphone Plc		19,692
	852	easyJet Plc		10,052
	8,302	G4S Plc		27,014
	9,197	GKN Plc		41,091
	40,472	Glencore Plc ^*		161,344
	4,237	Hammerson Plc (REIT)		30,933
	101,234	HSBC Holdings Plc		813,120
	503	IMI Plc		7,749
	2,420	Inmarsat Plc		21,383
	5,037	Intu Properties Plc (REIT)		17,917
	1,662	Investec Plc		11,716
	1,346	Investec Plc		9,652
	18,437	ITV Plc		46,334
	8,335	J Sainsbury Plc		27,668
	11,451	Kingfisher Plc		46,707
	4,024	Land Securities Group Plc (REIT)		53,217
	30,292	Legal & General Group Plc		93,373
	326,905	Lloyds Banking Group Plc		278,691
	8,693	Marks & Spencer Group Plc		36,088
	4,149	Meggitt Plc		24,252
	1,869	Mondi Plc		43,562
	19,159	National Grid Plc		232,751
	25,087	Old Mutual Plc		67,907
	4,398	Pearson Plc		36,739
	1,652	Persimmon Plc		42,245
	1,392	Petrofac Ltd		15,419
	17,598	Reckitt Benckiser Group Plc		1,597,892
	6,296	Rio Tinto Plc		258,049
	3,433	Rolls-Royce Holdings Plc ^*		33,529
	17,947	Royal Bank of Scotland Group Plc ^*		52,821
	22,021	Royal Dutch Shell Plc A Shares (London)		569,855
	19,061	Royal Dutch Shell Plc B Shares (London)		515,955
	4,816	Royal Mail Plc		24,787
	5,453	RSA Insurance Group Plc		40,558
	725	Schroders Plc		27,627
	4,219	Segro Plc (REIT)		25,839
	439	Severn Trent Plc		12,740
	5,249	Sky Plc		64,980
	730	Smiths Group Plc		13,546
	5,128	SSE Plc		97,977
	10,053	Standard Life Plc		46,074
	16,708	Standard Chartered Plc ^*		149,764
	863	Tate & Lyle Plc		7,971
	17,516	Taylor Wimpey Plc		39,108
	1,341	Travis Perkins Plc		25,356
	2,674	TUI AG		37,752
	134,160	Unilever Plc		6,364,758
	2,362	United Utilities Group Plc		28,703
	4,651	William Hill Plc		15,229


Shares		Description	Value ($)
		United Kingdom — continued
	11,871	WM Morrison Supermarkets Plc		35,673

		Total United Kingdom		18,099,428


		United States — 52.2%
	22,918	3M Co.		4,270,769
	47,900	Abbott Laboratories		2,159,332
	33,500	Accenture Plc – Class A		4,103,750
	6,910	Alphabet, Inc. – Class A ^*		5,838,466
	4,695	Alphabet, Inc. – Class C ^*		3,864,971
	57,805	American Express Co.		4,627,868
	8,200	Amphenol Corp. – Class A		567,522
	8,159	Analog Devices, Inc.		668,467
	3,800	Anthem, Inc.		626,316
	53,800	Apple, Inc.		7,370,062
	3,300	Automatic Data Processing, Inc.		338,646
	8,179	Becton Dickinson and Co.		1,497,166
	14,050	Cerner Corp. ^*		773,312
	160,051	Cisco Systems, Inc.		5,470,543
	67,698	Coca-Cola Co. (The)		2,840,608
	55,966	Cognizant Technology Solutions Corp. – Class A ^*		3,317,105
	8,109	Colgate-Palmolive Co.		591,795
	14,181	Costco Wholesale Corp.		2,512,590
	1,062	CR Bard, Inc.		260,445
	12,300	CVS Health Corp.		991,134
	11,700	Eli Lilly & Co.		968,877
	29,848	Emerson Electric Co.		1,793,865
	3,400	Genuine Parts Co.		325,414
	8,500	Honeywell International, Inc.		1,058,250
	5,291	Humana, Inc.		1,117,724
	14,567	Illinois Tool Works, Inc.		1,922,990
	7,331	Intuit, Inc.		919,601
	588	Intuitive Surgical, Inc. ^*		433,356
	46,800	Johnson & Johnson		5,719,428
	11,363	MasterCard, Inc. – Class A		1,255,157
	14,024	McDonald’s Corp.		1,790,164
	46,067	Medtronic Plc		3,727,281
	148,000	Microsoft Corp.		9,469,040
	20,937	Monsanto Co.		2,383,259
	20,094	NIKE Inc – Class B		1,148,573
	163,382	Oracle Corp.		6,958,439
	8,066	PepsiCo, Inc.		890,325
	31,100	Pfizer, Inc.		1,061,132
	47,389	Philip Morris International, Inc.		5,181,987
	67,909	QUALCOMM, Inc.		3,835,500
	4,865	Rockwell Automation, Inc.		735,101
	20,794	Schlumberger Ltd.		1,671,006
	15,726	Stryker Corp.		2,021,734
	24,300	Teradata Corp. ^*		755,730
	16,938	Texas Instruments, Inc.		1,297,790
	8,016	TJX Cos., Inc. (The)		628,855


16		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)

February 28, 2017


Shares		Description	Value ($)
		United States — continued
	21,142	United Technologies Corp.		2,379,532
	34,892	UnitedHealth Group, Inc.		5,770,439
	13,912	VF Corp.		729,684
	2,100	WW Grainger, Inc.		520,716
	7,328	Zimmer Biomet Holdings, Inc.		857,962

		Total United States		122,019,778


		TOTAL COMMON STOCKS (COST $181,806,196)		206,042,066


		PREFERRED STOCKS — 1.0%

		Brazil — 0.8%
	43,280	Banco Bradesco SA		462,804
	2,600	Braskem SA – Class A		26,943
	2,300	Centrais Eletricas Brasileiras SA – Class B ^*		18,138
	11,800	Cia Energetica de Minas Gerais		40,346
	1,700	Cia Paranaense de Energia – Class B		18,348
	14,300	Gerdau SA		59,347
	17,640	Itau Unibanco Holding SA		225,894
	60,710	Itausa-Investimentos Itau SA		195,198
	61,100	Petroleo Brasileiro SA ^*		296,715
	6,300	Suzano Papel e Celulose SA – Class A		27,252
	7,000	Telefonica Brasil SA		102,921
	30,000	Vale SA		302,827

		Total Brazil		1,776,733


		Chile — 0.0%
	2,167	Embotelladora Andina SA – Class B		8,232


		Colombia — 0.0%
	2,648	Bancolombia SA		24,686
	37,891	Grupo Aval Acciones y Valores SA		14,686
	1,687	Grupo de Inversiones Suramericana SA		20,451

		Total Colombia		59,823


		Germany — 0.1%
	294	Bayerische Motoren Werke AG		21,908
	779	Porsche Automobil Holding SE		42,991
	944	Volkswagen AG		139,520

		Total Germany		204,419


		Russia — 0.0%
	107,645	Surgutneftegas OJSC		58,691


		South Korea — 0.1%
	352	Hyundai Motor Co 2nd Preference		30,458
	586	Hyundai Motor Co		52,811
	127	LG Chem Ltd		19,928
	96	Samsung Electronics Co Ltd		127,065

		Total South Korea		230,262


		TOTAL PREFERRED STOCKS (COST $1,426,821)		2,338,160


Shares/ Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%

		Brazil — 0.0%
	994	Itausa – Investimentos Itau SA, Expires 03/31/17 ^*		1,259


		Malaysia — 0.0%
	6,475	IOI Properties Group Berhad, Expires 03/17/17 ^*		1,065


		South Korea — 0.0%
	128	Samsung Securities Co Ltd, Expires 03/16/17 ^*		850


		TOTAL RIGHTS/WARRANTS (COST $0)		3,174


		MUTUAL FUNDS — 4.5%

		United States — 4.5%
		Affiliated Issuers
	423,815	GMO U.S. Treasury Fund		10,595,373


		TOTAL MUTUAL FUNDS (COST $10,595,373)		10,595,373


		SHORT-TERM INVESTMENTS — 5.8%

		Time Deposits — 0.2%
	486,693	Barclays (London) Time Deposit, 0.36%, due 03/01/17		486,693
AUD	5,064	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.74%, due 03/01/17		3,882
EUR	23	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.58)%, due 03/01/17		25
HKD	36,447	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 03/01/17		4,695
JPY	171,888	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.10)%, due 03/01/17		1,532
SGD	779	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 03/01/17		556
ZAR	1,674	Brown Brothers Harriman (Grand Cayman) Time Deposit, 5.70%, due 03/01/17		128

		Total Time Deposits		497,511


		U.S. Government — 5.6%
	2,000,000	U.S. Treasury Bill, 0.55%, due 06/15/17 ^(b) (c)		1,996,770
	6,000,000	U.S. Treasury Bill, 0.64%, due 07/27/17 ^(b) (c)		5,984,376


		See accompanying notes to the financial statements.		17

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		U.S. Government — continued
	5,000,000	U.S. Treasury Bill, 0.65%, due 08/03/17 ^(b) (c)		4,986,130

		Total U.S. Government		12,967,276


		TOTAL SHORT-TERM INVESTMENTS (COST $13,465,434)		13,464,787


		TOTAL INVESTMENTS — 99.4% (Cost $207,293,824)		232,443,560
		Other Assets and Liabilities (net) — 0.6%		1,389,852


		TOTAL NET ASSETS — 100.0%		$233,833,412

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Sales
248	Russell 2000 Mini	March 2017	$	17,174,000	$	24,455
1,499	S&P 500 E-Mini	March 2017		177,091,860		(8,407,599	)

			$	194,265,860	$	(8,383,144	)

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

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

*	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)	The rate shown represents yield-to-maturity.

(c)	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).


18		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

Class III shares of GMO Benchmark-Free Allocation Fund returned +11.66% (net) for the fiscal year ended February 28, 2017, as compared with +2.84% for the CPI.

The Fund’s exposure to equities, particularly in emerging markets, was the primary driver of the strong performance. The Funds exposure to fixed income also contributed, as all of the strategies enjoyed positive performance with emerging debt and distressed debt being most noteworthy. Alternative strategies also added value in aggregate, although one of the strategies in this grouping, relative value interest rates & FX, did post modest negative returns. Cash and short duration bond holdings had a negative impact on performance, largely due to the considerable increase in yields in the US in the fourth quarter of 2016.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Benchmark-Free Allocation Fund Class III Shares and the Consumer Price Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .20% on the purchase and .20% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited. Performance for classes may vary due to different fees.

Prior to January 1, 2012, the Fund served as a principal component of a broader GMO real return strategy that also included a pooled investment vehicle with a cash-like benchmark. The returns shown for periods prior to January 1, 2012 are for Class III shares of the Fund under the Fund’s prior fee arrangement. Under the Fund’s current fee arrangement, the returns for periods prior to January 1, 2012 would have been lower.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		43.5	%
Debt Obligations		41.2
Short-Term Investments		13.5
Preferred Stocks		2.0
Futures Contracts		0.1
Options Purchased		0.1
Loan Participations		0.1
Rights/Warrants		0.1
Forward Currency Contracts		0.0	^
Loan Assignments		0.0	^
Swap Contracts		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Written Options/Credit Linked Options		(0.1	)
Securities Sold Short		(1.3	)
Other		0.8

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		11.9	%
Other Emerging		2.4	†
Mexico		1.3
Other Developed		0.8	‡
Euro Region		(0.1	)±
Japan		(1.4	)
United Kingdom		(2.0	)

		12.9	%


Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		10.3	%
China		5.9
Other Emerging		4.2	†
South Korea		3.1
Other Developed		3.1	‡
Japan		2.9
Taiwan		2.7
Brazil		2.3
United Kingdom		2.1
Germany		1.6
South Africa		1.4
India		1.3
France		1.2
Netherlands		1.2
Switzerland		1.1

		44.4	%

&	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 represent between (1.0)% and 1.0% of Total Net Assets.

‡	“Other Developed” is comprised of developed countries that each represent between (1.0)% and 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%.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%

		Affiliated Issuers — 99.9%
	21,455,507	GMO Emerging Country Debt Fund, Class IV		621,136,921
	823,998,941	GMO Implementation Fund		10,761,426,169
	26,485,600	GMO Opportunistic Income Fund, Class VI		682,798,759
	31,629,522	GMO SGM Major Markets Fund, Class VI		1,030,173,520
	33,077,370	GMO Special Opportunities Fund, Class VI		674,447,572


		TOTAL MUTUAL FUNDS (COST $13,655,207,127)		13,769,982,941


		SHORT-TERM INVESTMENTS — 0.1%

		Money Market Funds — 0.1%
	7,055,247	State Street Institutional Treasury Money Market Fund-Premier Class, 0.42% ^(a)		7,055,247


		TOTAL SHORT-TERM INVESTMENTS (COST $7,055,247)		7,055,247


		TOTAL INVESTMENTS — 100.0% (Cost $13,662,262,374)		13,777,038,188
		Other Assets and Liabilities (net) — (0.0%)		(6,580,554	)


		TOTAL NET ASSETS — 100.0%		$13,770,457,634

Notes to Schedule of Investments:

(a)	The rate disclosed is the 7 day net yield as of February 28, 2017.


		See accompanying notes to the financial statements.		23

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any index or benchmark, a discussion of the Fund’s performance relative to the Consumer Price Index (“CPI”) is included for comparative purposes only.

GMO Benchmark-Free Fund returned +14.52% (net) for the fiscal year ended February 28, 2017, as compared with +2.84% for the CPI.

The Fund’s exposure to equities, particularly in emerging markets, was the primary driver of the strong performance. The Fund’s exposure to alternative strategies and fixed income also contributed, as all of the strategies enjoyed positive performance with emerging debt being most noteworthy. Cash and short duration bond holdings had a negative impact on performance, largely due to the considerable increase in yields in the US in the fourth quarter of 2016.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Benchmark-Free Fund Class III Shares and the Consumer Price Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .25% on the purchase and .25% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		47.7	%
Debt Obligations		35.6
Short-Term Investments		14.7
Preferred Stocks		1.9
Loan Participations		0.1
Investment Funds		0.1
Futures Contracts		0.1
Rights/Warrants		0.1
Swap Contracts		0.0	^
Forward Currency Contracts		0.0	^
Loan Assignments		0.0	^
Options Purchased		0.0	^
Written/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Securities Sold Short		(0.0	)^
Other		(0.3	)

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		12.0	%
Other Emerging		3.4	†
Euro Region		(0.1	)#
Other Developed		(0.8	)‡

		14.5	%


Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		9.2	%
China		5.9
Other Developed		5.4	‡
Taiwan		4.8
South Korea		4.1
Japan		3.6
United Kingdom		2.8
India		2.3
Other Emerging		1.9	†
Germany		1.8
Brazil		1.8
France		1.4
Russia		1.3
South Africa		1.3
Turkey		1.1
Australia		1.0

		49.7	%

&	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.

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 represent between (1.0)% and 1.0% of Total Net Assets.

#	“Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

‡	“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

^	Rounds to 0.0%.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 31.4%

		Australia — 1.0%
	61,664	Abacus Property Group (REIT)		146,484
	436,040	Adelaide Brighton Ltd		1,794,757
	1,434	ASX Ltd		56,271
	40,505	BHP Billiton Ltd		766,682
	193,771	BlueScope Steel Ltd		1,812,258
	49,603	Credit Corp Group Ltd		625,245
	430,340	CSR Ltd		1,378,104
	508,639	Dexus Property Group (REIT)		3,679,576
	533,451	Downer EDI Ltd		2,868,394
	338,143	Fairfax Media Ltd		244,691
	6,185	Fortescue Metals Group Ltd		31,312
	319,833	Genworth Mortgage Insurance Australia Ltd		688,467
	312,237	GPT Group (The) (REIT)		1,179,364
	258,408	Investa Office Fund (REIT)		925,165
	15,140	LendLease Group		176,643
	379,812	Metcash Ltd ^*		629,160
	2,217,550	Mirvac Group (REIT)		3,652,068
	551,018	Myer Holdings Ltd		531,898
	3,444	Navitas Ltd		13,011
	194,561	Nine Entertainment Co Holdings Ltd		156,624
	356,314	OZ Minerals Ltd		2,535,284
	191,637	Pact Group Holdings Ltd		979,231
	27,413	Resolute Mining Ltd		33,712
	1,061,675	Scentre Group (REIT)		3,548,015
	261,400	Shopping Centres Australasia Property Group (REIT)		446,736
	75,159	Sigma Pharmaceuticals Ltd		67,691
	84,092	Sonic Healthcare Ltd		1,386,445
	177,931	Star Entertainment Grp Ltd (The)		664,920
	341,015	Stockland (REIT)		1,233,431
	2,671,160	Telstra Corp Ltd		9,865,807
	3,762	Virtus Health Ltd		15,605
	59,093	Wesfarmers Ltd		1,934,174
	102,819	WorleyParsons Ltd ^*		837,282
	34,707	WPP AUNZ Ltd		29,339

		Total Australia		44,933,846


		Austria — 0.1%
	10,381	Oesterreichische Post AG		377,464
	94,528	OMV AG		3,613,360
	4,039	Raiffeisen Bank International AG ^*		89,576
	43,033	voestalpine AG		1,808,089

		Total Austria		5,888,489


		Belgium — 0.0%
	718	Barco NV		64,388
	55,635	bpost SA		1,381,529
	8,807	D’Ieteren SA NV		392,783


Shares		Description	Value ($)
		Belgium — continued
	420	Orange Belgium SA ^*		9,531

		Total Belgium		1,848,231


		Brazil — 0.4%
	361,300	Ambev SA		2,067,257
	90,500	Banco Bradesco SA		944,546
	200,000	Banco do Brasil SA		2,118,051
	218,900	BB Seguridade Participacoes SA		2,006,190
	788,150	BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros		4,801,738
	184,100	Centrais Eletricas Brasileiras SA ^*		1,268,614
	31,100	Companhia de Saneamento Basico do Estado de Sao Paulo		327,614
	34,800	EcoRodovias Infraestrutura e Logistica SA		102,525
	2,507	FII BTG Pactual Corporate Office Fund (REIT)		86,180
	7,500	M Dias Branco SA		332,780
	277,000	MRV Engenharia e Participacoes SA		1,267,232
	33,200	Qualicorp SA		209,852
	4,933	Smiles SA		97,826
	287,100	Transmissora Alianca de Energia Eletrica SA		2,029,419

		Total Brazil		17,659,824


		Canada — 0.9%
	15,900	AGF Management Ltd – Class B		72,425
	86,700	Air Canada ^*		873,397
	27,300	Bank of Montreal		2,071,651
	3,700	BCE Inc		161,405
	11,300	Canadian Imperial Bank of Commerce		992,089
	43,700	Canadian Tire Corp Ltd – Class A		5,010,925
	23,100	Cascades Inc		230,444
	2,600	Celestica Inc ^*		34,355
	67,200	CGI Group Inc – Class A ^*		3,089,318
	39,000	Chorus Aviation Inc		209,946
	184,700	CI Financial Corp		3,765,755
	700	Cominar Real Estate Investment Trust		7,816
	2,700	Corus Entertainment Inc – B Shares		25,837
	8,300	Dream Global Real Estate Investment Trust		61,678
	5,040	Dream Industrial Real Estate Investment Trust		32,216
	12,700	Gluskin Sheff + Associates Inc		172,591
	355,200	IAMGOLD Corp (CAD) ^*		1,401,331
	6,300	Industrial Alliance Insurance & Financial Services Inc		261,496
	900	Laurentian Bank of Canada		38,895
	30,900	Medical Facilities Corp		422,717
	262,400	Metro Inc		7,651,522
	17,600	North West Co Inc (The)		388,520
	47,400	Open Text Corp		1,562,394
	9,200	Open Text Corp		303,416
	95,400	Pure Industrial Real Estate Trust (REIT)		429,523


		See accompanying notes to the financial statements.		27

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Canada — continued
	37,800	Rogers Sugar Inc		181,003
	30,600	Russel Metals Inc		611,217
	15,700	Saputo Inc		539,133
	92,100	Sun Life Financial Inc		3,342,283
	4,100	TFI International Inc		102,238
	34,700	Toromont Industries Ltd		1,210,398
	71,400	Transcontinental Inc – Class A		1,087,503
	10,500	Valener Inc		164,433
	37,630	WestJet Airlines Ltd		617,628
	2,900	Westshore Terminals Investment Corp		58,952
	16,700	ZCL Composites Inc		153,018

		Total Canada		37,339,468


		China — 3.5%
	550,000	Agile Group Holdings Ltd		362,802
	1,399,500	Anhui Conch Cement Co Ltd – Class H		4,872,381
	554,000	ANTA Sports Products Ltd		1,676,095
	438,500	BAIC Motor Corp Ltd – Class H		493,004
	1,414,000	Beijing Capital International Airport Co Ltd – Class H		1,515,266
	948,000	Beijing Capital Land Ltd – Class H		406,430
	19,500	Beijing Enterprises Holdings Ltd		101,992
	7,103,000	Belle International Holdings Ltd		4,890,420
	43,275	Changyou.com Ltd ADR^*		1,195,256
	60,000	Chaowei Power Holdings Ltd.		47,318
	2,166,000	China BlueChemical Ltd – Class H		752,537
	717,000	China Cinda Asset Management Co Ltd – Class H		282,608
	63,000	China Communications Construction Co Ltd – Class H		81,290
	3,374,000	China Communications Services Corp Ltd – Class H		2,252,924
	1,614,000	China Everbright Ltd		3,201,319
	721,000	China Greenfresh Group Co Ltd		352,994
	3,982,000	China Jinmao Holdings Group Ltd		1,236,350
	1,838,000	China Lesso Group Holdings Ltd		1,378,765
	1,768,000	China Machinery Engineering Corp – Class H		1,229,717
	57,100	China Mobile Ltd Sponsored ADR		3,155,346
	8,134,000	China National Building Material Co Ltd – Class H		5,931,367
	1,063,000	China National Materials Co Ltd – Class H		363,646
	12,620,000	China Petroleum & Chemical Corp – Class H		9,782,313
	1,787,500	China Railway Construction Corp Ltd – Class H		2,527,292
	464,000	China Resources Cement Holdings Ltd		241,273
	828,000	China Resources Land Ltd		2,259,021
	2,466,000	China Resources Power Holdings Co Ltd		4,462,928
	1,444,500	China Shenhua Energy Co Ltd – Class H		3,022,558
	14,304,000	China Telecom Corp Ltd – Class H		6,726,993
	1,152,000	China Travel International Investment Hong Kong Ltd		341,214


Shares		Description	Value ($)
		China — continued
	1,181,500	China ZhengTong Auto Services Holdings Ltd		494,445
	3,136,000	CIFI Holdings Group Co Ltd		1,049,824
	3,988,000	CNOOC Ltd		4,717,769
	6,131,000	Country Garden Holdings Co Ltd		4,390,025
	3,488,000	Datang International Power Generation Co Ltd – Class H		1,020,091
	3,202,000	Dongfeng Motor Group Co Ltd – Class H		3,796,882
	221,000	Far East Horizon Ltd		212,615
	248,000	Future Land Development Holdings Ltd		63,790
	3,072,000	Great Wall Motor Co Ltd – Class H		3,772,542
	1,549,000	Greentown China Holdings Ltd ^*		1,415,179
	2,340,000	Guangdong Investment Ltd		3,187,896
	244,000	Guangshen Railway Co Ltd – Class H		152,424
	3,506,800	Guangzhou R&F Properties Co Ltd – Class H		4,841,841
	60,000	Haier Electronics Group Co Ltd		110,368
	513,000	Hi Sun Technology China Ltd ^*		81,936
	47,000	Hua Hong Semiconductor Ltd		56,186
	3,323,000	Huabao International Holdings Ltd ^*		1,785,149
	2,356,000	Huadian Power International Corp Ltd – Class H		1,034,474
	150,000	IGG, Inc.		105,993
	1,656,000	Jiangsu Expressway Co Ltd – Class H		2,184,547
	1,079,500	Kingboard Chemical Holdings Ltd		3,816,719
	829,000	Kingboard Laminates Holdings Ltd		928,571
	314,000	Kunlun Energy Co Ltd		272,797
	2,733,000	KWG Property Holding Ltd		1,724,508
	2,737,000	Lee & Man Paper Manufacturing Ltd		2,479,781
	1,324,000	Longfor Properties Co Ltd		2,117,967
	214,000	Lonking Holdings Ltd		57,821
	260,000	Minth Group Ltd		827,352
	420,000	Nexteer Automotive Group Ltd		542,222
	391,000	Nine Dragons Paper Holdings Ltd		496,167
	1,871,000	People’s Insurance Co Group of China Ltd (The) – Class H		768,377
	1,278,000	PICC Property & Casualty Co Ltd – Class H		1,951,501
	2,295,000	Poly Property Group Co Ltd ^*		962,628
	230,000	Q Technology Group Co. Ltd. ^*		168,902
	46,500	Shandong Chenming Paper Holdings Ltd – Class H		60,452
	588,000	Shanghai Industrial Holdings Ltd		1,640,859
	641,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		1,652,664
	1,300,000	Shenzhen Expressway Co Ltd – Class H		1,200,641
	984,500	Shenzhen International Holdings Ltd		1,411,546
	2,283,500	Shimao Property Holdings Ltd		3,277,555
	311,000	Shui On Land Ltd		69,699
	553,000	Sino Biopharmaceutical Ltd		476,603
	3,336,500	Sino-Ocean Group Holding Ltd		1,657,270
	1,831,500	Sinopec Engineering Group Co Ltd – Class H		1,664,937
	88,800	Sinopharm Group Co Ltd – Class H		410,648
	331,000	Sinotrans Ltd – Class H		149,644


28		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		China — continued
	722,000	Sinotruk Hong Kong Ltd		599,048
	4,400,000	Skyworth Digital Holdings Ltd		2,854,630
	2,229,000	SOHO China Ltd		1,153,974
	92,976	Sohu.com Inc ^*		3,703,234
	56,000	Sun Art Retail Group Ltd		53,985
	114,000	Texhong Textile Group Ltd		167,038
	706,000	Tianjin Port Development Holdings Ltd		119,000
	958,000	Tianneng Power International Ltd		845,433
	1,788,000	TravelSky Technology Ltd – Class H		3,899,027
	204,000	Weichai Power Co Ltd – Class H		359,194
	937,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		854,313
	1,574,000	XTEP International Holdings Ltd		717,301
	5,344,000	Yuexiu Property Co Ltd		866,761
	1,447,000	Yuexiu Real Estate Investment Trust		861,067
	496,000	Yuexiu Transport Infrastructure Ltd		344,042
	1,746,000	Yuzhou Properties Co Ltd		606,993
	1,986,000	Zhejiang Expressway Co Ltd – Class H		2,233,592
	201,000	Zhongsheng Group Holdings Ltd.		291,412

		Total China		150,935,270


		Czech Republic — 0.0%
	103,385	CEZ AS		1,824,612
	306	Philip Morris CR AS		159,588

		Total Czech Republic		1,984,200


		Denmark — 0.0%
	12	AP Moeller – Maersk A/S – Class B		19,512
	1,010	Dfds A/S		55,478
	3,561	Schouw & Co AB		279,499

		Total Denmark		354,489


		Finland — 0.2%
	11,015	Cramo Oyj		238,371
	1,901	Kesko Oyj – B Shares		87,159
	83,241	Neste Oyj		2,897,349
	14,155	Sponda Oyj		59,235
	3,556	Tieto Oyj		98,971
	264,308	UPM-Kymmene Oyj		6,268,503

		Total Finland		9,649,588


		France — 1.4%
	168,508	Air France-KLM^*		1,187,527
	8,227	Alten SA		568,999
	7,796	APERAM SA		396,303
	615,196	AXA SA		14,529,699
	114,368	BNP Paribas SA		6,691,718
	176	Capgemini SA		15,075
	21,535	Christian Dior SE		4,565,851


Shares		Description	Value ($)
		France — continued
	10,047	Cie Generale des Etablissements Michelin		1,131,233
	103,139	CNP Assurances		1,911,245
	2,010	Groupe Fnac SA ^*		120,184
	17,261	IPSOS		556,019
	12,876	LVMH Moet Hennessy Louis Vuitton SE		2,586,537
	71,682	SCOR SE		2,591,389
	119,995	Societe Generale SA		5,333,485
	349,049	TOTAL SA		17,416,126
	19,061	Valeo SA		1,173,845

		Total France		60,775,235


		Germany — 1.5%
	30,060	ADVA Optical Networking SE ^*		316,082
	92,923	Allianz SE (Registered)		16,184,137
	63,338	BASF SE		5,892,573
	94,027	Bayerische Motoren Werke AG		8,396,234
	3,499	Bechtle AG		364,452
	4,253	Cewe Stiftung & Co KGAA		358,846
	211,092	Daimler AG (Registered Shares)		15,335,187
	292,698	Deutsche Lufthansa AG (Registered)		4,285,401
	5,438	Diebold Nixdorf AG		395,762
	161	Duerr AG		13,340
	12,902	Hannover Rueck SE		1,455,545
	30,109	HeidelbergCement AG		2,811,067
	1,552	Henkel AG & Co KGaA		167,470
	16,003	RHOEN-KLINIKUM AG		402,572
	9,031	RTL Group SA		694,332
	127,940	RWE AG ^*		1,822,033
	17,089	SAP AG		1,591,879
	35,320	Software AG		1,309,342
	28,645	STADA Arzneimittel AG		1,732,271
	17,026	Talanx AG		608,273
	1,002	Washtec AG		62,404

		Total Germany		64,199,202


		Greece — 0.0%
	12,055	FF Group ^*		235,809


		Hong Kong — 0.7%
	900,400	BOC Hong Kong Holdings Ltd		3,556,952
	1,014,400	Champion (REIT)		582,657
	120,900	Dah Sing Banking Group Ltd		235,264
	4,000	Dah Sing Financial Holdings Ltd		29,466
	206,170	Henderson Land Development Co Ltd		1,197,316
	40,000	HKT Trust & HKT Ltd – Class SS		53,358
	331,000	Hongkong Land Holdings Ltd		2,258,779
	184,100	Hysan Development Co Ltd		858,373
	312,800	Kerry Properties Ltd		958,557
	904,400	Link (REIT)		6,236,307


		See accompanying notes to the financial statements.		29

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Hong Kong — continued
	89,800	Luk Fook Holdings International Ltd		260,747
	629,200	Man Wah Holdings Ltd		413,782
	29,700	New World Development Co Ltd		38,875
	2,298,900	SJM Holdings Ltd		1,886,262
	14,300	SmarTone Telecommunications Holdings Ltd		19,405
	59,800	Sun Hung Kai Properties Ltd		873,683
	21,500	Swire Pacific Ltd – Class A		221,313
	1,400	Television Broadcasts Ltd		6,123
	8,000	Truly International Holdings Ltd		3,440
	1,124,500	WH Group Ltd		877,934
	750,100	Wharf Holdings Ltd (The)		5,942,600
	365,500	Wheelock & Co Ltd		2,373,839
	55,425	Xinyi Automobile Glass Hong Kong Enterprises Ltd ^*		10,559
	1,209,400	Xinyi Glass Holdings Ltd		1,096,511
	12,900	Yue Yuen Industrial Holdings Ltd		47,999

		Total Hong Kong		30,040,101


		Hungary — 0.0%
	437,577	Magyar Telekom Telecommunications Plc		736,885
	9,013	MOL Hungarian Oil & Gas Plc		617,925

		Total Hungary		1,354,810


		India — 0.8%
	155,007	Bharat Petroleum Corp Ltd		1,553,729
	311,647	Canara Bank ^*		1,379,645
	15,701	Claris Lifesciences Ltd		74,925
	373,759	Firstsource Solutions Ltd ^*		247,830
	123,886	HCL Technologies Ltd		1,557,817
	45,388	Hexaware Technologies Ltd		152,241
	261,804	Hindustan Zinc Ltd		1,202,806
	872,500	Housing Development & Infrastructure Ltd ^*		900,877
	105,410	Indiabulls Housing Finance Ltd		1,372,203
	73,895	Indian Bank		318,768
	746,624	Infosys Ltd Sponsored ADR		11,303,887
	95,014	Karnataka Bank Ltd (The)		196,121
	35,621	KPIT Technologies Ltd		73,530
	10,031	Mphasis Ltd		89,676
	61,236	NIIT Technologies Ltd		383,077
	298,885	NMDC Ltd		674,458
	2,083	Oracle Financial Services Software Ltd		116,933
	1,414,978	Power Finance Corp		2,880,999
	1,652,270	Rural Electrification Corp Ltd		3,783,839
	112,759	Sonata Software Ltd		325,644
	389,600	Syndicate Bank ^*		405,302
	140,906	Tata Consultancy Services Ltd		5,191,606
	37,383	Time Technoplast Ltd		54,234
	65,155	Wipro Ltd		475,266

		Total India		34,715,413


Shares		Description	Value ($)
		Indonesia — 0.0%
	1,239,700	Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT		213,345
	409,700	Barito Pacific Tbk PT ^*		68,138
	57,900	Indo Tambangraya Megah Tbk PT		76,242

		Total Indonesia		357,725


		Ireland — 0.0%
	26,943	Smurfit Kappa Group Plc		715,597


		Israel — 0.4%
	2,522	B Communications Ltd		49,853
	594,600	Bank Hapoalim BM		3,665,167
	397,983	Bank Leumi Le-Israel BM ^*		1,744,931
	72,100	Check Point Software Technologies Ltd ^*		7,131,411
	297,620	El Al Israel Airlines		211,984
	343,136	Israel Discount Bank Ltd – Class A ^*		759,482
	44,830	Mizrahi Tefahot Bank Ltd		748,398
	35,391	Teva Pharmaceutical Industries Ltd		1,244,946

		Total Israel		15,556,172


		Italy — 0.1%
	34,038	A2A SPA		47,242
	38,149	ACEA SPA		484,429
	6,949	ASTM SPA		89,858
	112,984	Banca Mediolanum SPA		737,316
	3,475	Eni SPA		53,610
	930	EXOR SPA		44,045
	230,934	Hera SPA		571,958
	302,992	Iren SPA		521,150
	15,426	MARR SPA		312,723
	87,047	Recordati SPA		2,762,358
	780	Reply SPA		103,898
	87,828	Societa Cattolica di Assicurazioni SCRL		550,305
	19,207	Societa Iniziative Autostradali e Servizi SPA		168,363

		Total Italy		6,447,255


		Japan — 3.6%
	14,600	Alfresa Holdings Corp		263,015
	23,000	AOKI Holdings Inc		282,893
	2,700	Aoyama Trading Co Ltd		101,216
	3,700	Arcs Co Ltd		83,351
	33,100	Asahi Kasei Corp		322,552
	2,000	Autobacs Seven Co Ltd		31,682
	3,800	BML Inc		82,967
	3,400	Brother Industries Ltd		64,032
	99,100	Calsonic Kansei Corp		1,134,953
	13,700	Cawachi Ltd		366,853
	53,600	Central Japan Railway Co		8,774,305
	30,500	Coca-Cola West Co Ltd		906,477
	28,100	Cosmo Energy Holdings Co Ltd		482,295


30		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Japan — continued
	400	Daiichi Sankyo Co Ltd		9,121
	22,600	Daito Trust Construction Co Ltd		3,161,695
	21,400	Daiwa House Industry Co Ltd		587,286
	35,000	Daiwabo Holdings Co Ltd		94,356
	125,200	DCM Holdings Co Ltd		1,113,517
	140,800	Denka Co Ltd		733,191
	14,500	Descente Ltd		169,031
	17,900	DIC Corp		653,994
	17,900	Doutor Nichires Holdings Co Ltd		344,960
	10,500	DTS Corp		242,211
	8,200	Ehime Bank Ltd (The)		101,266
	14,600	Elecom Co Ltd		271,278
	7,800	Exedy Corp		222,888
	9,100	Fujicco Co Ltd		197,163
	54,200	FujiFilm Holdings Corp		2,096,588
	53,300	Fujitsu General Ltd		1,043,380
	6,900	Fuyo General Lease Co Ltd		329,847
	15,500	Gunze Ltd		56,922
	154,300	Hanwa Co Ltd		1,106,532
	37,100	Haseko Corp		439,035
	16,000	Hitachi Chemical Co Ltd		451,472
	3,600	Hitachi Transport System Ltd		73,739
	5,300	Idemitsu Kosan Co Ltd		170,774
	985,200	ITOCHU Corp		14,267,134
	6,000	Itochu Techno-Solutions Corp		162,940
	124,600	Japan Airlines Co Ltd		4,071,832
	38,300	K’s Holdings Corp		681,523
	45,400	Kaneka Corp		355,135
	456,000	Kanematsu Corp		791,346
	1,400	Kasai Kogyo Co Ltd		18,227
	11,100	Kawasaki Kisen Kaisha Ltd		29,920
	564,500	KDDI Corp		14,751,809
	2,100	Keihin Corp		35,151
	1,400	Kokuyo Co Ltd		18,457
	400	Kuroda Electric Co Ltd		8,311
	11,300	Kyowa Exeo Corp		156,734
	800	Kyudenko Corp		20,189
	162,000	Marubeni Corp		1,048,766
	17,400	MCJ Co Ltd		191,560
	63,100	Medipal Holdings Corp		1,041,282
	350,700	Mitsubishi Chemical Holdings Corp		2,696,608
	2,700	Mitsubishi Electric Corp		60,950
	201,900	Mitsubishi Electric Corp		2,960,035
	64,600	Mitsubishi Tanabe Pharma Corp		1,329,889
	1,599,500	Mitsubishi UFJ Financial Group Inc		10,581,919
	72,500	Mitsubishi UFJ Lease & Finance Co Ltd		400,835
	201,000	Mitsui & Co Ltd		3,076,815
	10,000	Mitsui Chemicals Inc		50,887
	108,000	Mitsui Engineering & Shipbuilding Co Ltd		177,744
	6,000	Mitsui Sugar Co Ltd		144,911


Shares		Description	Value ($)
		Japan — continued
	1,645,700	Mizuho Financial Group Inc		3,071,083
	1,200	NHK Spring Co Ltd		13,723
	22,200	Nichiha Corp		622,155
	46,000	Nippon Corp		872,908
	69,900	Nippon Light Metal Holdings Co Ltd		171,785
	336,700	Nippon Telegraph & Telephone Corp		14,242,179
	2,500	Nippon Signal Co Ltd		23,707
	4,700	Nishi-Nippon Financial Holdings Inc ^*		51,017
	355,800	Nissan Motor Co Ltd		3,500,861
	51,500	Nissin Electric Co Ltd		605,399
	19,800	Noritsu Koki Co Ltd		168,855
	2,600	Okamura Corp		23,642
	18,100	Open House Co Ltd		430,180
	3,800	ORIX Corp		59,128
	265,500	Osaka Gas Co Ltd		1,025,371
	8,000	Osaki Electric Co Ltd		77,519
	138,500	Otsuka Holdings Co Ltd		6,312,635
	73,500	PanaHome Corp		684,116
	15,100	Pola Orbis Holdings Inc		1,443,213
	2,200	Press Kogyo Co Ltd		11,168
	50,000	Prima Meat Packers Ltd		201,453
	17,500	Rengo Co Ltd		101,629
	171,500	Resona Holdings Inc		957,791
	900	Rock Field Co Ltd		13,851
	4,100	Roland DG Corp		126,201
	1,800	San-A Co Ltd		82,498
	139,300	Sekisui Chemical Co Ltd		2,301,030
	94,700	Sekisui House Ltd		1,514,364
	1,348,100	Sojitz Corp		3,493,719
	67,800	Sumitomo Forestry Co Ltd		987,628
	83,200	Sumitomo Heavy Industries Ltd		588,026
	381,200	Sumitomo Mitsui Financial Group Inc		14,850,481
	126,000	Sumitomo Osaka Cement Co Ltd		523,559
	80,200	Sumitomo Rubber Industries Ltd		1,322,827
	13,800	Sundrug Co Ltd		908,561
	14,000	Suzuken Co Ltd		473,918
	28,600	T-Gaia Corp		488,518
	26,400	TIS Inc		641,904
	44,600	Toho Holdings Co Ltd		964,529
	4,500	Tokyo Century Corp		151,941
	200	Tokyo Electron Ltd		19,953
	6,000	Toshiba Plant Systems & Services Corp		84,254
	362,000	Tosoh Corp		3,149,271
	1,900	Toyoda Gosei Co Ltd		48,466
	58,700	Toyota Tsusho Corp		1,750,483
	10,000	TPR Co Ltd		340,259
	20,200	TS Tech Co Ltd		528,299
	7,200	TSI Holdings Co Ltd		50,061
	1,700	Tsuruha Holdings Inc		157,285
	3,000	TV Asahi Holdings Corp		61,164


		See accompanying notes to the financial statements.		31

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Japan — continued
	11,800	UKC Holdings Corp		229,455
	25,000	Wacoal Holdings Corp		313,887
	700	Yellow Hat Ltd		17,815
	12,300	Yuasa Trading Co Ltd		354,080

		Total Japan		156,907,550


		Mexico — 0.3%
	671,678	Alpek SA de CV		710,742
	331,100	Arca Continental SAB de CV		1,858,076
	587,529	Bolsa Mexicana de Valores SAB de CV		846,575
	108,586	Gruma SAB de CV – Class B		1,426,375
	99,800	Grupo Aeroportuario del Centro Norte SAB de CV		478,051
	161,600	Grupo Aeroportuario del Pacifico SAB de CV – Class B		1,400,322
	55,900	Grupo Aeroportuario del Sureste SAB de CV – Class B		884,762
	88,800	Grupo Financiero Interacciones SA de CV – Class O		395,570
	171,042	Grupo Herdez SAB de CV		318,477
	1,100	Industrias Bachoco SAB de CV Sponsored ADR		52,646
	473,300	OHL Mexico SAB de CV		496,586
	36,100	Prologis Property Mexico SA de CV (REIT)		53,400
	2,459,938	Wal-Mart de Mexico SAB de CV		4,787,277

		Total Mexico		13,708,859


		Netherlands — 0.6%
	20,500	AerCap Holdings NV ^*		928,650
	60,600	AVG Technologies NV ^*		1,496,820
	364	BinckBank NV		2,044
	24,507	Heineken Holding NV		1,862,474
	372,292	ING Groep NV		5,128,912
	69,807	Koninklijke Ahold Delhaize NV		1,485,988
	22,905	Philips Lighting NV ^*		634,309
	528,276	PostNL NV ^*		2,307,044
	129,149	Unilever NV CVA		6,113,666
	201,612	Wolters Kluwer NV		8,263,354

		Total Netherlands		28,223,261


		New Zealand — 0.1%
	675,095	Air New Zealand Ltd		1,149,806
	269,340	Fletcher Building Ltd		1,857,901
	124,623	Fletcher Building Ltd		865,792
	105,492	SKY Network Television Ltd		288,579

		Total New Zealand		4,162,078


		Norway — 0.3%
	8,812	Austevoll Seafood ASA		77,795
	31,623	Bakkafrost P/F		1,176,847


Shares		Description	Value ($)
		Norway — continued
	89,108	BW LPG Ltd		435,459
	147,524	DNB ASA		2,418,741
	360,524	Orkla ASA		3,169,299
	11,320	Salmar ASA		286,021
	19,206	SpareBank 1 Nord Norge		135,217
	47,489	Statoil ASA		837,288
	68,656	Storebrand ASA ^*		463,580
	177,439	Subsea 7 SA ^*		2,506,398

		Total Norway		11,506,645


		Poland — 0.2%
	62,043	Asseco Poland SA		853,989
	197,873	Bank Millennium SA ^*		331,916
	271,661	Enea SA ^*		712,662
	123,347	KGHM Polska Miedz SA		3,905,277
	20,505	PGE Polska Grupa Energetyczna SA		59,837
	2,460,762	Tauron Polska Energia SA ^*		1,814,752

		Total Poland		7,678,433


		Portugal — 0.0%
	123,026	CTT-Correios de Portugal SA		660,725


		Russia — 0.5%
	210,800	Aeroflot PJSC ^*		600,906
	12,930	Gazprom Neft PJSC		50,692
	2,454,942	Gazprom PJSC Sponsored ADR		10,957,801
	82,218	Lukoil PJSC Sponsored ADR		4,359,541
	223,980	Novolipetsk Steel PJSC		432,901
	46,581	Novolipetsk Steel PJSC GDR		892,758
	224,824	Rosneft Oil Co PJSC GDR (Registered)		1,275,554
	18,211,000	RusHydro PJSC		300,021
	415,490	Tatneft PJSC		2,423,889
	15,101	Tatneft PJSC Sponsored ADR		529,546

		Total Russia		21,823,609


		Singapore — 0.2%
	946,900	CapitaLand Commercial Trust (REIT)		1,053,174
	497,000	Fortune Real Estate Investment Trust		557,545
	199,800	Frasers Centrepoint Trust (REIT)		285,237
	4,050,800	Golden Agri-Resources Ltd		1,096,448
	716,300	Mapletree Greater China Commercial Trust (REIT)		503,280
	424,600	Mapletree Industrial Trust (REIT)		504,328
	58,100	Mapletree Logistics Trust (REIT)		44,555
	107,400	Parkway Life Real Estate Investment Trust		186,136
	119,800	SATS Ltd		427,393
	93,700	Venture Corp Ltd		718,516
	1,568,000	Yangzijiang Shipbuilding Holdings Ltd		1,034,344
	60,600	Yanlord Land Group Ltd		62,906

		Total Singapore		6,473,862


32		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		South Africa — 1.2%
	43,859	AECI Ltd		366,531
	95,436	African Rainbow Minerals Ltd		736,827
	18,875	Astral Foods Ltd		212,677
	329,833	AVI Ltd		2,393,299
	295,273	Barclays Africa Group Ltd		3,417,119
	314,823	Barloworld Ltd		2,781,253
	190,093	Bidvest Group Ltd (The)		2,245,762
	68,811	Blue Label Telecoms Ltd		97,481
	187,862	Clicks Group Ltd		1,838,729
	254,239	Emira Property Fund Ltd (REIT)		285,087
	46,082	Hyprop Investments Ltd (REIT)		440,291
	263,479	KAP Industrial Holdings Ltd		188,200
	34,624	Kumba Iron Ore Ltd^*		565,467
	273,479	Liberty Holdings Ltd		2,312,009
	585,126	MMI Holdings Ltd		1,096,316
	146,748	Mondi Ltd		3,366,649
	92,221	MTN Group Ltd		841,436
	373,431	Nedbank Group Ltd		6,963,064
	192,222	Reunert Ltd		1,029,024
	241,769	RMB Holdings Ltd		1,167,511
	1,304,693	SA Corporate Real Estate Fund Nominees Pty Ltd		558,472
	22,259	Santam Ltd		411,227
	171,811	Sasol Ltd		4,887,329
	55,476	Shoprite Holdings Ltd		800,567
	837,175	Sibanye Gold Ltd		1,715,250
	4,324	Standard Bank Group Ltd		47,123
	176,711	Super Group Ltd ^*		469,518
	352,758	Telkom SA SOC Ltd		1,832,355
	222,241	Truworths International Ltd		1,475,297
	368,034	Tsogo Sun Holdings Ltd		774,372
	427,409	Vodacom Group Ltd		4,826,994
	27,168	Wilson Bayly Holmes-Ovcon Ltd		300,847

		Total South Africa		50,444,083


		South Korea — 1.8%
	143,941	BNK Financial Group Inc		1,104,569
	7,990	Daekyo Co Ltd		57,536
	29,859	Daishin Securities Co Ltd		302,025
	93,574	Daou Technology Inc		1,521,043
	124,354	DGB Financial Group Inc		1,143,193
	22,507	Dongbu Insurance Co Ltd		1,215,180
	14,005	Dongwon Development Co Ltd		53,601
	12,295	DuzonBizon Co Ltd		249,852
	6,731	E-MART Inc		1,236,991
	8,373	GS Holdings Corp		410,337
	58,348	Hana Financial Group Inc		1,817,635
	19,788	Hankook Tire Co Ltd		1,045,214
	15,111	Hanwha Corp		485,699
	303,764	Hanwha Life Insurance Co Ltd		1,748,125


Shares		Description	Value ($)
		South Korea — continued
	2,699	Hyundai Corp		49,881
	6,966	Hyundai Department Store Co Ltd		612,315
	548	Hyundai Home Shopping Network Corp		55,457
	41,617	Hyundai Marine & Fire Insurance Co Ltd		1,192,527
	9,282	Hyundai Mobis Co Ltd		2,092,156
	80,064	Hyundai Motor Co		10,571,264
	270,474	Industrial Bank of Korea		2,952,560
	115,953	JB Financial Group Co Ltd		582,268
	159,454	KB Financial Group Inc		6,582,242
	264,501	Kia Motors Corp		8,940,852
	9,620	Kolon Industries Inc		605,521
	3,295	Korea Petrochemical Ind Co Ltd		774,721
	64,558	Korean Reinsurance Co		639,386
	8,335	KT Hitel Co Ltd ^*		54,125
	8,657	KT&G Corp		783,778
	14,392	Kwangju Bank		132,411
	110,902	LG Display Co Ltd		2,686,597
	16,942	LG International Corp		488,249
	4,739	Lotte Shopping Co Ltd		968,147
	949	LS Corp		56,833
	42,303	Meritz Fire & Marine Insurance Co Ltd		576,008
	10,944	NCSoft Corp		2,649,666
	17,203	NHN Entertainment Corp ^*		889,681
	2,127	Posco Daewoo Corp		46,130
	2,181	Samjin Pharmaceutical Co Ltd		64,511
	51,041	Samsung Card Co Ltd		1,909,108
	4,630	Samsung Electronics Co Ltd		7,868,371
	2,108	Samsung Electronics Co Ltd GDR		1,785,337
	22,115	Seah Besteel Corp		509,007
	51,645	Shinhan Financial Group Co Ltd		2,124,728
	7,382	Shinsegae Inc		1,302,096
	500	SK Gas Co Ltd		46,640
	17,852	SK Innovation Co Ltd		2,435,051
	26,121	SKC Co Ltd		726,006
	3,586	SL Corp		78,610
	4,799	Ssangyong Cement Industrial Co Ltd		60,663
	1,342	Ssangyong Information & Communication ^*		2,571
	39,258	Tongyang Life Insurance Co Ltd		366,533
	1,333	Unid Co Ltd		52,080
	377,424	Woori Bank		4,436,260

		Total South Korea		81,141,347


		Spain — 0.5%
	55,062	Ebro Foods SA		1,117,614
	398,878	Endesa SA		8,483,873
	70,774	Mapfre SA		218,694
	911,545	Repsol SA		13,484,756

		Total Spain		23,304,937


		See accompanying notes to the financial statements.		33

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Sweden — 0.1%
	16,930	Acando AB		60,706
	33,404	Axfood AB		510,310
	11,963	Bilia AB – A Shares		267,440
	8,934	Granges AB		81,316
	35,500	Intrum Justitia AB		1,283,460
	16,482	NCC AB – B Shares		391,618
	15,107	Nobina AB		92,476
	7,609	Ratos AB – B Shares		35,346
	177,588	Sandvik AB		2,410,656
	1,216	Securitas AB – B Shares		18,526
	7,491	Wihlborgs Fastigheter AB		148,777

		Total Sweden		5,300,631


		Switzerland — 0.8%
	3,104	ALSO Holding AG (Registered) ^*		347,206
	1,123	Autoneum Holding AG		298,797
	5,381	BKW AG		273,987
	1,177	Burkhalter Holding AG		172,810
	44	Emmi AG (Registered)		27,952
	2,908	EMS-Chemie Holding AG (Registered)		1,654,628
	1,763	Georg Fischer AG (Registered)		1,528,072
	108	Gurit Holding AG ^*		90,947
	484	Inficon Holding AG ^*		211,264
	23	Intershop Holding AG		11,470
	3,348	Kardex AG (Registered) ^*		337,806
	832	Komax Holding AG (Registered)		216,748
	29,284	Kuehne & Nagel International AG (Registered)		4,169,354
	1,774	Logitech International SA (Registered)		51,283
	68,747	Nestle SA (Registered)		5,073,401
	18,159	Novartis AG (Registered) ^*		1,418,071
	2,116	Orior AG ^*		169,449
	79	Schweiter Technologies AG		88,847
	445	Sika AG		2,504,340
	8,852	Swiss Life Holding AG (Registered) ^*		2,784,646
	149,863	Swiss Re AG		13,404,609

		Total Switzerland		34,835,687


		Taiwan — 1.8%
	194,000	Catcher Technology Co Ltd		1,618,742
	50,000	Channel Well Technology Co Ltd		50,223
	138,000	China Motor Corp		129,398
	54,000	China Synthetic Rubber Corp		53,093
	597,000	Compeq Manufacturing Co Ltd		389,303
	1,314,000	CTBC Financial Holding Co Ltd		784,171
	67,000	Cyberlink Corp		147,006
	34,000	Elite Material Co Ltd		124,476
	588,490	Foxconn Technology Co Ltd		1,756,825
	5,184,000	Fubon Financial Holding Co Ltd		8,400,795
	213,000	Gigabyte Technology Co Ltd		296,905


Shares		Description	Value ($)
		Taiwan — continued
	46,000	Greatek Electronics Inc		62,473
	6,389,300	Hon Hai Precision Industry Co Ltd		18,592,624
	2,847,000	Inventec Corp		2,114,694
	225,000	Lite-On Technology Corp		376,811
	780,150	Mercuries Life Insurance Co Ltd ^*		419,890
	43,000	Micro-Star International Co Ltd		99,732
	35,000	Novatek Microelectronics Corp		131,065
	3,348,000	Pegatron Corp		8,815,785
	45,000	Sheng Yu Steel Co Ltd		61,987
	1,502,000	Shin Kong Financial Holding Co Ltd ^*		405,289
	60,000	Shinkong Insurance Co Ltd		52,184
	11,000	Sinmag Equipment Corp		48,430
	51,000	Syncmold Enterprise Corp		102,702
	14,000	TaiDoc Technology Corp		50,354
	266,000	Taiwan Business Bank		72,801
	151,000	Taiwan Semiconductor Co Ltd		189,256
	1,455,000	Taiwan Semiconductor Manufacturing Co Ltd		8,914,104
	622,524	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		19,590,830
	15,000	TOPBI International Holdings Ltd.		53,163
	108,000	Topco Scientific Co Ltd		357,835
	175,000	Transcend Information Inc		491,837
	213,000	Tripod Technology Corp		555,841
	1,081,000	United Microelectronics Corp		448,188
	823,000	WPG Holdings Ltd		1,044,095
	80,000	YC INOX Co Ltd		70,117

		Total Taiwan		76,873,024


		Thailand — 0.1%
	241,100	AP Thailand PCL		49,323
	165,100	Bangkok Bank Pcl (Foreign Registered) ^(a)		911,148
	2,049,100	Bangkok Expressway & Metro Pcl		413,446
	84,800	Kiatnakin Bank Pcl (Foreign Registered)		159,553
	194,000	Supalai Pcl (Foreign Registered)		138,237
	1,422,500	Thai Beverage Pcl		963,704
	216,500	Thai Oil Pcl (Foreign Registered)		466,097
	43,500	Thai Vegetable Oil PCL (Foreign Registered)		47,991
	606,600	Thanachart Capital PCL (Foreign Registered)		842,593

		Total Thailand		3,992,092


		Turkey — 0.5%
	17,956	Akbank TAS		42,780
	53,907	Arcelik AS		308,840
	2,790,265	Eregli Demir ve Celik Fabrikalari TAS		4,543,020
	268,693	KOC Holding AS		1,092,253
	90,907	Selcuk Ecza Deposu Ticaret ve Sanayi AS		83,643
	148,680	Turk Telekomunikasyon AS		234,807
	1,766,488	Turkiye Halk Bankasi AS		5,457,399
	4,596,843	Turkiye IS Bankasi – Class C		7,978,386
	667,616	Turkiye Sise ve Cam Fabrikalari AS		717,487


34		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Turkey — continued
	2,375,365	Turkiye Vakiflar Bankasi TAO – Class D		3,448,811

		Total Turkey		23,907,426


		United Kingdom — 2.3%
	55,823	3i Group Plc		476,988
	277,126	AstraZeneca Plc		15,970,783
	91,613	Berkeley Group Holdings Plc (The)		3,348,254
	6,606	Bovis Homes Group Plc		63,996
	1,473,971	BP Plc		8,311,228
	219,821	British American Tobacco Plc		13,884,893
	6,312	Carillion Plc		17,154
	29,410	Centrica Plc		82,848
	135,427	Compass Group Plc		2,515,957
	31,985	Computacenter Plc		310,834
	77,763	Crest Nicholson Holdings Plc		522,151
	55,287	Direct Line Insurance Group Plc		235,637
	98,140	Ferrexpo Plc ^*		194,312
	292,500	Firstgroup Plc ^*		436,510
	18,613	Galliford Try Plc		350,452
	191,701	GlaxoSmithKline Plc		3,922,761
	141,000	GlaxoSmithKline Plc Sponsored ADR		5,848,680
	747	HSBC Holdings Plc		6,000
	32,072	Hunting Plc		211,148
	99,031	IG Group Holdings Plc		657,441
	70,434	Imperial Brands Plc		3,315,697
	128,018	Inchcape Plc		1,192,366
	333,862	Indivior Plc		1,448,851
	51,175	Intermediate Capital Group Plc		450,304
	62,672	Jupiter Fund Management Plc		326,083
	775,982	Kingfisher Plc		3,165,142
	6,529	Legal & General Group Plc		20,125
	70,194	Lookers Plc		107,507
	13,100	Mitie Group Plc		33,649
	9,674	Mondi Plc		225,478
	48,369	National Express Group Plc		218,157
	142,861	Persimmon Plc		3,653,202
	58,343	Reckitt Benckiser Group Plc		5,297,525
	398,849	Royal Mail Plc		2,052,777
	343,348	Sage Group Plc (The)		2,751,663
	126,759	Unilever Plc		6,013,640
	32,342	WH Smith Plc		679,055
	592,401	WPP Plc		13,937,066

		Total United Kingdom		102,256,314


		United States — 5.5%
	44,215	3M Co.		8,239,465
	93,574	Abbott Laboratories		4,218,316
	65,182	Accenture Plc – Class A		7,984,795
	23,175	Alphabet, Inc. – Class C ^*		19,077,892
	112,548	American Express Co.		9,010,593


Shares		Description	Value ($)
		United States — continued
	15,904	Amphenol Corp. – Class A		1,100,716
	17,781	Analog Devices, Inc.		1,456,797
	7,392	Anthem, Inc.		1,218,349
	104,898	Apple, Inc.		14,369,977
	6,400	Automatic Data Processing, Inc.		656,768
	15,934	Becton Dickinson and Co.		2,916,719
	27,270	Cerner Corp. ^*		1,500,941
	313,884	Cisco Systems, Inc.		10,728,555
	132,313	Coca-Cola Co. (The)		5,551,853
	113,617	Cognizant Technology Solutions Corp. – Class A ^*		6,734,080
	15,772	Colgate-Palmolive Co.		1,151,041
	27,567	Costco Wholesale Corp.		4,884,321
	2,028	CR Bard, Inc.		497,347
	23,895	CVS Health Corp.		1,925,459
	22,785	Eli Lilly & Co.		1,886,826
	58,072	Emerson Electric Co.		3,490,127
	6,700	Genuine Parts Co.		641,257
	16,610	Honeywell International, Inc.		2,067,945
	10,338	Humana, Inc.		2,183,903
	28,516	Illinois Tool Works, Inc.		3,764,397
	14,271	Intuit, Inc.		1,790,154
	1,056	Intuitive Surgical, Inc. ^*		778,272
	91,426	Johnson & Johnson		11,173,171
	22,223	MasterCard, Inc. – Class A		2,454,753
	27,597	McDonald’s Corp.		3,522,757
	89,911	Medtronic Plc		7,274,699
	286,116	Microsoft Corp.		18,305,702
	41,142	Monsanto Co.		4,683,194
	39,377	Nike, Inc. – Class B		2,250,789
	318,959	Oracle Corp.		13,584,464
	15,837	PepsiCo, Inc.		1,748,088
	60,660	Pfizer, Inc.		2,069,719
	117,046	Philip Morris International, Inc.		12,798,980
	133,684	QUALCOMM, Inc.		7,550,472
	9,550	Rockwell Automation, Inc.		1,443,005
	40,484	Schlumberger Ltd.		3,253,294
	30,670	Stryker Corp.		3,942,935
	47,636	Teradata Corp. ^*		1,481,480
	31,082	Texas Instruments, Inc.		2,381,503
	15,574	TJX Cos., Inc. (The)		1,221,780
	41,306	United Technologies Corp.		4,648,990
	68,480	UnitedHealth Group, Inc.		11,325,222
	27,073	VF Corp.		1,419,979
	4,061	WW Grainger, Inc.		1,006,966
	14,273	Zimmer Biomet Holdings, Inc.		1,671,083

		Total United States		241,039,890


		TOTAL COMMON STOCKS (COST $1,261,559,241)		1,379,231,177


		See accompanying notes to the financial statements.		35

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 23.5%

		U.S. Government — 23.5%
	125,679,098	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 ^(b)		125,323,175
	85,021,062	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 ^(b)		85,744,931
	84,825,588	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 ^(b)		86,910,262
	79,670,311	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26 ^(b)		78,271,858
	5,000,000	U.S. Treasury Note, 2.75%, due 05/31/17		5,027,920
	15,000,000	U.S. Treasury Note, 1.00%, due 09/15/17		15,019,920
	12,000,000	U.S. Treasury Note, 0.75%, due 10/31/17		11,996,256
	12,500,000	U.S. Treasury Note, 0.88%, due 11/15/17		12,505,863
	10,000,000	U.S. Treasury Note, 0.63%, due 11/30/17		9,984,380
	40,000,000	U.S. Treasury Note, 0.88%, due 01/31/18		39,978,120
	85,000,000	U.S. Treasury Note, 0.75%, due 02/28/18		84,827,365
	35,000,000	U.S. Treasury Note, USBM + 0.19%, 0.97%, due 04/30/18		35,059,990
	20,000,000	U.S. Treasury Note, 2.63%, due 04/30/18		20,372,660
	12,500,000	U.S. Treasury Note, 1.00%, due 05/31/18		12,497,075
	12,500,000	U.S. Treasury Note, 1.38%, due 07/31/18		12,553,712
	20,000,000	U.S. Treasury Note, 1.38%, due 09/30/18		20,077,340
	30,000,000	U.S. Treasury Note, 0.75%, due 10/31/18		29,797,260
	15,000,000	U.S. Treasury Note, 1.00%, due 11/30/18		14,956,050
	25,000,000	U.S. Treasury Note, 1.25%, due 12/31/18		25,020,500
	35,000,000	U.S. Treasury Note, 1.13%, due 01/31/19 ^(d)		34,934,375
	25,000,000	U.S. Treasury Note, 1.50%, due 01/31/19		25,126,950
	25,000,000	U.S. Treasury Note, 0.75%, due 02/15/19		24,764,650
	20,000,000	U.S. Treasury Note, 1.13%, due 02/28/19		19,957,820
	12,500,000	U.S. Treasury Note, 1.38%, due 02/28/19		12,534,662
	20,000,000	U.S. Treasury Note, 1.50%, due 03/31/19		20,089,840
	12,500,000	U.S. Treasury Note, 0.88%, due 04/15/19		12,395,513
	20,000,000	U.S. Treasury Note, 3.13%, due 05/15/19		20,784,380
	35,000,000	U.S. Treasury Note, 0.88%, due 06/15/19		34,645,905
	25,000,000	U.S. Treasury Note, 1.63%, due 06/30/19		25,164,050
	40,000,000	U.S. Treasury Note, 3.63%, due 08/15/19		42,181,240
	35,000,000	U.S. Treasury Note, 1.75%, due 09/30/19		35,314,440

		Total U.S. Government		1,033,818,462


		TOTAL DEBT OBLIGATIONS (COST $1,032,842,273)		1,033,818,462


		PREFERRED STOCKS — 1.4%

		Brazil — 1.0%
	115,800	Banco Bradesco SA		1,238,277
	17,700	Banco Bradesco SA ADR		187,089
	13,300	Banco do Estado do Rio Grande do Sul SA – Class B		70,876
	48,100	Bradespar SA		360,808
	313,500	Centrais Eletricas Brasileiras SA – Class B ^*		2,472,232


Shares		Description	Value ($)
		Brazil — continued
	14,200	Cia de Saneamento do Parana		65,639
	2,062,500	Cia Energetica de Minas Gerais		7,051,963
	247,400	Cia Energetica de Sao Paulo – Class B		1,417,598
	374,660	Itau Unibanco Holding SA		4,797,818
	179,680	Itau Unibanco Holding SA Sponsored ADR		2,298,107
	4,157,410	Itausa – Investimentos Itau SA		13,367,150
	201,000	Metalurgica Gerdau SA ^*		377,766
	972,100	Vale SA		9,812,601

		Total Brazil		43,517,924


		Chile — 0.0%
	7,082	Sociedad Quimica y Minera de Chile SA – Class B		222,406


		Germany — 0.1%
	13,184	Bayerische Motoren Werke AG		982,435
	1,680	Jungheinrich AG		50,815
	65,832	Porsche Automobil Holding SE		3,633,163

		Total Germany		4,666,413


		Russia — 0.1%
	2,740,200	Surgutneftegas OJSC		1,497,314
	469	Transneft PJSC		1,458,573

		Total Russia		2,955,887


		South Korea — 0.2%
	4,546	Hyundai Motor Co		393,356
	29,404	Hyundai Motor Co 2nd Preference		2,649,934
	5,538	Samsung Electronics Co Ltd		7,330,048
	627	Samsung Electronics Co Ltd GDR (Registered)		414,635

		Total South Korea		10,787,973


		TOTAL PREFERRED STOCKS (COST $37,172,232)		62,150,603


		RIGHTS/WARRANTS — 0.0%

		Brazil — 0.0%
	68,123	Itausa – Investimentos Itau SA Rights, Expires 03/31/17^*		86,276


		India — 0.0%
	31,164	Canara Bank Rights, Expires 02/17/17 ^*		41,572


		TOTAL RIGHTS/WARRANTS (COST $0)		127,848


36		See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 35.9%

		United States — 35.9%
		Affiliated Issuers — 35.9%
	8,785,166	GMO Emerging Country Debt Fund, Class IV		254,330,557
	18,277,424	GMO Emerging Markets Fund, Class VI		544,118,916
	10,309,695	GMO Opportunistic Income Fund, Class VI		265,783,934
	5,844,708	GMO SGM Major Markets Fund, Class VI		190,362,136
	13,957,737	GMO Special Opportunities Fund, Class VI		284,598,267
	1,460,115	GMO U.S. Treasury Fund		36,502,880


		TOTAL MUTUAL FUNDS (COST $1,513,700,009)		1,575,696,690


		SHORT-TERM INVESTMENTS — 7.2%

		Money Market Funds — 0.2%
	10,867,034	State Street Institutional Treasury Money Market Fund-Premier Class, 0.42% ^(c)		10,867,034


		Repurchase Agreements — 5.6%
	244,200,958	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 02/28/17, maturing on 03/01/17 with a maturity value of $244,204,485 and an effective yield of 0.52%, collateralized by a U.S. Treasury Note with maturity date 04/30/22 and a market value of $248,950,276.		244,200,958


Shares / Par Value†		Description	Value ($)

		U.S. Government — 1.4%
	20,000,000	U.S. Treasury Note, 1.88%, due 08/31/17		20,111,720
	40,000,000	U.S. Treasury Note, 1.00%, due 12/15/17		40,046,880

		Total U.S. Government		60,158,600


		TOTAL SHORT-TERM INVESTMENTS (COST $315,237,072)		315,226,592


		TOTAL INVESTMENTS — 99.4% (Cost $4,160,510,827)		4,366,251,372
		Other Assets and Liabilities (net) — 0.6%		28,008,162


		TOTAL NET ASSETS — 100.0%		$4,394,259,534

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Reverse Repurchase Agreements ^(e)


Face Value		Description	Market Value
USD	34,939,753	Nomura Securities International Inc, (0.25%), dated 02/15/17 (collateral: U.S.Treasury Note, 1.13%, due 01/31/19), to be repurchased on demand at face value plus accrued interest.	$	(34,936,599	)

Reverse Repurchase Agreements


Average balance outstanding	$	(36,481,684	)
Average interest rate		(0.01	)%
Maximum balance outstanding	$	(86,930,825	)

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

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

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

(c)	The rate disclosed is the 7 day net yield as of February 28, 2017.

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

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


		See accompanying notes to the financial statements.		37

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO Global Asset Allocation Fund returned +13.21% (net) for the fiscal year ended February 28, 2017, as compared with +14.51% for the Fund’s benchmark, the GMO Global Asset Allocation Index (65% MSCI ACWI and 35% Barclays U.S. Aggregate Index).

The Fund’s underweight in equities compared to the benchmark detracted from relative performance. Within equities, the overweighting to emerging markets was helpful, but the overweighting to developed ex-US stocks and the underweighting to the US hurt relative performance. The Fund’s exposure to alternative strategies detracted from relative performance, as they significantly underperformed the very strong returns generated by equity markets. The underweighting to fixed income was beneficial to performance, and the Fund also enjoyed strong performance within fixed income, driven primarily by emerging market debt. Our exposure to cash/cash plus detracted from relative performance.

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Global Asset Allocation Fund Class III Shares and the GMO Global Asset Allocation Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .15% on the purchase and .15% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

The GMO Global Asset Allocation Index is comprised of 48.75% S&P 500 Index, 16.25% MSCI ACWI ex USA and 35% Barclays U.S. Aggregate Index through 3/31/2007, and 65% MSCI ACWI (All Country World Index) and 35% Barclays U.S. Aggregate Index thereafter.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		52.6	%
Debt Obligations		25.2
Short-Term Investments		16.5
Mutual Funds		5.2
Preferred Stocks		0.8
Investment Funds		0.1
Loan Participations		0.1
Futures Contracts		0.1
Rights/Warrants		0.0	^
Options Purchased		0.0	^
Loan Assignments		0.0	^
Forward Currency Contracts		(0.0	)^
Written/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Swap Contracts		(0.1	)
Securities Sold Short		(0.1	)
Other		(0.4	)

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		15.0	%
Other Emerging		2.0	†
Mexico		1.2
Euro Region		(0.1	)#
Other Developed		(0.3	)‡
United Kingdom		(1.5	)

		16.3	%


Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		16.8	%
Japan		5.9
Other Developed		4.5	‡
United Kingdom		4.3
Taiwan		4.0
Other Emerging		3.7	†
China		3.1
South Korea		2.5
France		2.1
Germany		2.0
India		1.9
Switzerland		1.4
Australia		1.4
Hong Kong		1.0
Euro Region		(0.0	)#^

		54.6	%

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 represent between (1.0)% and 1.0% of Investments.

#	“Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

‡	“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^	Rounds to 0.0%.

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%

		Affiliated Issuers — 100.0%
	3,500,804	GMO Alpha Only Fund, Class IV		73,411,864
	19,646,163	GMO Asset Allocation Bond Fund, Class VI		436,734,200
	5,788,131	GMO Core Plus Bond Fund, Class IV		122,418,980
	3,412,967	GMO Emerging Country Debt Fund, Class IV		98,805,388
	12,210,106	GMO Emerging Markets Fund, Class VI		363,494,869
	24,906,477	GMO International Equity Fund, Class IV		507,593,996
	3,790,828	GMO Opportunistic Income Fund, Class VI		97,727,559
	9,161,597	GMO Quality Fund, Class VI		202,013,212
	2,132,991	GMO Risk Premium Fund, Class VI		64,139,050
	2,241,399	GMO SGM Major Markets Fund, Class VI		73,002,358
	13,364,208	GMO U.S. Equity Allocation Fund, Class VI		201,264,975
	7,323,473	GMO U.S. Treasury Fund		183,086,818


		TOTAL MUTUAL FUNDS (COST $2,521,013,959)		2,423,693,269


		DEBT OBLIGATIONS — 0.0%

		Asset-Backed Securities — 0.0%
	38,755	ACE Securities Corp., Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 1.06%, due 02/25/36 ◆		22,991
	180,046	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .65%, 2.08%, due 05/28/39		87,996
	41,781	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .50%, 1.28%, due 10/25/34◆		39,066
	27,649	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 1.03%, due 02/26/34		24,790

		Total Asset-Backed Securities		174,843


		TOTAL DEBT OBLIGATIONS (COST $225,903)		174,843


		SHORT-TERM INVESTMENTS — 0.0%

		Money Market Funds — 0.0%
	288,832	State Street Institutional Treasury Money Market Fund-Premier Class, 0.42% ^(a)		288,832


		TOTAL SHORT-TERM INVESTMENTS (COST $288,832)		288,832


		TOTAL INVESTMENTS — 100.0% (Cost $2,521,528,694)		2,424,156,944
		Other Assets and Liabilities (net) — (0.0%)		(211,912	)


		TOTAL NET ASSETS — 100.0%		$2,423,945,032

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

◆	These securities are primarily backed by subprime mortgages.

(a)	The rate disclosed is the 7 day net yield as of February 28, 2017.


		See accompanying notes to the financial statements.		41

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO Global Developed Equity Allocation Fund returned +20.03% (net) for the fiscal year ended February 28, 2017, as compared with +21.26% for the Fund’s benchmark, the MSCI World Index.

The Fund’s exposure to emerging markets was the largest positive contributor to performance relative to the benchmark and broadly compensated for the negative relative contributions from the underweight to the US and the overweight to Europe. The Fund’s modest cash holdings were a drag on relative performance given the strong returns generated by equities.

Allocation between sectors proved neutral and, in stock selection, poor relative performance in Information Technology was offset by good relative returns in Utilities and Healthcare. Top stock detractors included having no exposure to the strongly performing Bank of America, as well as overweight positions in Valero Energy Corporation and Nippon Telegraph and Telephone Corporation. Top stock contributors included overweight positions in Samsung Electronics Co., BASF, and United Health Group.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Global Developed Equity Allocation Fund Class III Shares and the MSCI World Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .08% on the purchase and .08% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		97.8	%
Short-Term Investments		1.5
Preferred Stocks		0.8
Investment Funds		0.1
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.0	)^
Other		(0.2	)

		100.0	%


Country/Region Summary¤	% of Investments
United States		40.6	%
Japan		12.7
United Kingdom		9.2
France		4.7
Germany		4.5
Other Developed		3.9	‡
Other Emerging		3.4	†
Switzerland		3.2
Australia		3.1
Taiwan		2.9
Hong Kong		2.2
China		2.0
Netherlands		1.8
Spain		1.7
South Korea		1.7
India		1.2
Canada		1.2

		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 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 represent between (1.0)% and 1.0% of Investments.

†	“Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^	Rounds to 0.0%.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%

		Affiliated Issuers — 100.0%
	3,310,105	GMO Emerging Markets Fund, Class VI		98,541,837
	22,398,238	GMO International Equity Fund, Class IV		456,476,089
	9,936,690	GMO Quality Fund, Class VI		219,104,022
	14,465,096	GMO U.S. Equity Allocation Fund, Class VI		217,844,350


		TOTAL MUTUAL FUNDS (COST $1,064,014,178)		991,966,298


		SHORT-TERM INVESTMENTS — 0.0%

		Time Deposits — 0.0%
	338,803	State Street Eurodollar Time Deposit, 0.07%, due 03/01/17		338,803


		TOTAL SHORT-TERM INVESTMENTS (COST $338,803)		338,803


		TOTAL INVESTMENTS — 100.0% (Cost $1,064,352,981)		992,305,101
		Other Assets and Liabilities (net) — (0.0%)		(45,488	)


		TOTAL NET ASSETS — 100.0%		$992,259,613

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.


		See accompanying notes to the financial statements.		45

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO Global Equity Allocation Fund returned +21.93% (net) for the fiscal year ended February 28, 2017, as compared with +22.07 for the Fund’s benchmark, the MSCI All Country World Index (“ACWI”).

The Fund’s exposure to emerging markets was the largest positive contributor to performance relative to the benchmark and more than compensated for the negative relative contributions from the underweight to the US and the overweight to Europe. The Fund’s modest cash holdings were a drag on relative performance given the strong returns generated by equities.

Allocation between sectors proved neutral, as a positive contribution from an underweight position in Healthcare offset a negative contribution from being overweight in Telecommunication Services. Stock selection was beneficial in Utilities, Health Care, and Telecommunication Services, which outweighed negative selection from Information Technology and Energy.

Top stock detractors included having no exposure to the strongly performing Bank of America, as well as overweight positions in Nippon Telegraph and Telephone Corporation and Valero Energy Corporation. Top stock contributors included overweight positions in Sberbank Russia, Samsung Electronics Co., and Yes Bank Limited (India’s fifth largest private sector bank).

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Global Equity Allocation Fund Class III Shares and the MSCI ACWI +

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .18% on the purchase and .18% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

The MSCI ACWI + represents 75% S&P 500 Index and 25% MSCI ACWI ex-USA prior to May 30, 2008 and MSCI ACWI thereafter.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		97.2	%
Short-Term Investments		1.5
Preferred Stocks		1.3
Investment Funds		0.2
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.0	)^
Other		(0.2	)

		100.0	%


Country/Region Summary¤	% of Investments
United States		34.1	%
Japan		11.0
United Kingdom		7.9
Taiwan		6.2
China		4.6
France		4.1
Germany		3.9
Other Emerging		3.9	†
South Korea		3.8
Other Developed		3.4	‡
India		2.9
Switzerland		2.7
Australia		2.7
Hong Kong		2.0
Netherlands		1.6
Spain		1.5
Russia		1.5
Turkey		1.2
Canada		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.

†	“Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡	“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^	Rounds to 0.0%.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%

		Affiliated Issuers — 100.0%
	16,947,060	GMO Emerging Markets Fund, Class VI		504,513,964
	43,439,004	GMO International Equity Fund, Class IV		885,286,898
	18,127,410	GMO Quality Fund, Class VI		399,709,400
	27,665,758	GMO U.S. Equity Allocation Fund, Class VI		416,646,309


		TOTAL MUTUAL FUNDS (COST $2,358,486,029)		2,206,156,571


		SHORT-TERM INVESTMENTS — 0.0%

		Time Deposits — 0.0%
	745,313	State Street Eurodollar Time Deposit, 0.07%, due 03/01/2017		745,313


		TOTAL SHORT-TERM INVESTMENTS (COST $745,313)		745,313


		TOTAL INVESTMENTS — 100.0% (Cost $2,359,231,342)		2,206,901,884
		Other Assets and Liabilities (net) — (0.0%)		(83,666	)


		TOTAL NET ASSETS — 100.0%		$2,206,818,218

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.


		See accompanying notes to the financial statements.		49

GMO Implementation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC. Allocations among asset classes are made by the Asset Allocation team and specific security selection is primarily handled by other GMO investment teams in collaboration with the Asset Allocation team. For example, the Global Equity team selects equity securities within GMO Implementation Fund.

Management Discussion and Analysis of Fund Performance

GMO Implementation Fund returned +12.88% (net) for the fiscal year ended February 28, 2017, as compared with +2.84% for the CPI.

The Fund’s exposure to equities, particularly in emerging markets, was the primary driver of the strong performance. The Fund’s exposure to fixed income also contributed, with distressed debt being most noteworthy. Alternative strategies had a minimal impact on performance, while cash and short duration bond holdings detracted, largely due to the considerable increase in yields in the US in the fourth quarter of 2016.

GMO Implementation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Implementation Fund and the Consumer Price Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, please call (617) 330-7500. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .20% on the purchase and .20% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		51.0	%
Debt Obligations		38.1
Short-Term Investments		6.8
Preferred Stocks		2.5
Options Purchased		0.1
Rights/Warrants		0.1
Futures Contracts		0.0	^
Forward Currency Contracts		0.0	^
Reverse Repurchase Agreements		0.0	^
Swap Contracts		0.0	^
Written Options		(0.1	)
Securities Sold Short		(1.5	)
Other		3.0

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		13.7	%
Other Developed		0.7	‡
Other Emerging		0.0	^†
Euro Region		0.0	^§
United Kingdom		(1.9	)

		12.5	%


Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		9.6	%
China		7.5
Other Developed		4.3	‡
South Korea		4.0
Japan		3.7
Taiwan		3.4
Brazil		3.1
Other Emerging		2.7	†
United Kingdom		2.3
South Africa		1.8
Germany		1.8
India		1.7
France		1.5
Switzerland		1.3
Netherlands		1.3
Turkey		1.1
Australia		1.1

		52.2	%


Industry Group Summary	% of Equity Investments^#
Banks		9.9	%
Materials		8.0
Software & Services		7.3
Capital Goods		6.8
Energy		6.7
Technology Hardware & Equipment		6.7
Food, Beverage & Tobacco		5.4
Utilities		5.0
Insurance		4.9
Automobiles & Components		4.8


Industry Group Summary	% of Equity Investments^#
Telecommunication Services		4.5	%
Real Estate		4.4
Semiconductors & Semiconductor Equipment		4.0
Consumer Durables & Apparel		3.2
Pharmaceuticals, Biotechnology & Life Sciences		2.9
Diversified Financials		2.9
Transportation		2.5
Health Care Equipment & Services		2.3
Media		2.3
Food & Staples Retailing		1.7
Retailing		1.7
Household & Personal Products		1.1
Commercial & Professional Services		0.6
Consumer Services		0.4

		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 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 table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the table may not total to 100%.

‡	“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

†	“Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 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%.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		COMMON STOCKS — 51.0%

		Australia — 1.1%
	1,007,808	Adelaide Brighton Ltd		4,148,177
	111,645	BHP Billiton Ltd		2,113,226
	182,128	BlueScope Steel Ltd		1,703,366
	51,024	BWP Trust (REIT)		111,453
	70,364	CIMIC Group Ltd		2,037,094
	119,389	Credit Corp Group Ltd		1,504,896
	315,120	CSR Ltd		1,009,128
	1,662,142	Dexus Property Group (REIT)		12,024,200
	1,393,905	Downer EDI Ltd		7,495,099
	6,099,249	DUET Group		12,849,031
	890,813	Fairfax Media Ltd		644,620
	203,735	Fortescue Metals Group Ltd		1,031,423
	786,896	Genworth Mortgage Insurance Australia Ltd		1,693,859
	1,714,830	GPT Group (The) (REIT)		6,477,159
	512,680	Investa Office Fund (REIT)		1,835,522
	145,312	LendLease Group		1,695,401
	408,287	Metcash Ltd ^*		676,329
	4,534,983	Mirvac Group (REIT)		7,468,633
	454,359	Nine Entertainment Co Holdings Ltd		365,764
	938,277	OZ Minerals Ltd		6,676,130
	567,394	Pact Group Holdings Ltd		2,899,283
	2,869,741	Scentre Group (REIT)		9,590,396
	388,390	Shopping Centres Australasia Property Group (REIT)		663,764
	252,745	Sonic Healthcare Ltd		4,167,068
	554,867	Star Entertainment Grp Ltd (The)		2,073,512
	997,718	Stockland (REIT)		3,608,688
	385,198	Tassal Group Ltd		1,410,715
	5,293,262	Telstra Corp Ltd		19,550,420
	129,137	Virtus Health Ltd		535,681
	136,126	Wesfarmers Ltd		4,455,543
	85,898	Woodside Petroleum Ltd		2,060,431

		Total Australia		124,576,011


		Austria — 0.2%
	18,165	Oesterreichische Post AG ^*		660,497
	306,283	OMV AG		11,707,755
	137,646	voestalpine AG		5,783,382

		Total Austria		18,151,634


		Belgium — 0.0%
	231,456	AGFA-Gevaert NV ^*		945,657
	1,891	Barco NV		169,579
	146,355	bpost SA		3,634,289
	385	Groupe Bruxelles Lambert SA		32,625

		Total Belgium		4,782,150


Shares		Description	Value ($)
		Brazil — 1.0%
	563,330	Banco Bradesco SA		5,879,461
	1,135,500	Banco do Brasil SA		12,025,234
	6,728,800	BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros		40,994,648
	2,279,100	Centrais Eletricas Brasileiras SA ^*		15,705,047
	162,873	Cia de Saneamento de Minas Gerais-COPASA		2,694,107
	231,100	Companhia de Saneamento Basico do Estado de Sao Paulo		2,434,458
	118,800	Grendene SA		762,603
	1,884,200	JBS SA		7,073,464
	23,900	M Dias Branco SA		1,060,457
	3,503,100	MRV Engenharia e Participacoes SA		16,026,144
	1,699,670	Transmissora Alianca de Energia Eletrica SA		12,014,430

		Total Brazil		116,670,053


		Canada — 0.9%
	42,700	AGF Management Ltd – Class B		194,500
	228,300	Air Canada ^*		2,299,845
	50,700	Alimentation Couche-Tard Inc – Class B		2,254,436
	87,700	Bank of Montreal		6,655,084
	97,100	Bird Construction Inc		648,454
	31,300	Canadian Imperial Bank of Commerce		2,747,999
	107,000	Canadian Tire Corp Ltd – Class A		12,269,312
	23,400	Celestica Inc ^*		309,193
	202,500	CGI Group Inc – Class A ^*		9,309,328
	68,100	Chorus Aviation Inc		366,598
	386,200	CI Financial Corp		7,874,037
	895,500	IAMGOLD Corp (CAD) ^*		3,532,917
	207,000	IAMGOLD Corp (USD) ^*		815,580
	17,000	Industrial Alliance Insurance & Financial Services Inc		705,624
	75,800	Medical Facilities Corp		1,036,957
	707,400	Metro Inc		20,627,618
	104,400	Open Text Corp		3,441,223
	99,500	Rogers Sugar Inc		476,449
	25,300	Saputo Inc		868,795
	332,000	Sun Life Financial Inc		12,048,185
	12,100	TFI International Inc		301,726
	8,800	TMX Group Ltd		464,978
	103,400	Toromont Industries Ltd		3,606,778
	198,920	Transcontinental Inc – Class A		3,029,778
	99,060	WestJet Airlines Ltd		1,625,891
	7,600	Westshore Terminals Investment Corp		154,495
	25,700	ZCL Composites Inc – Class C		235,483

		Total Canada		97,901,263


		See accompanying notes to the financial statements.		53

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Chile — 0.0%
	166,269	Empresa Nacional de Telecomunicaciones SA ^*		1,827,833
	130,558	Enel Americas SA		25,404
	130,558	Enel Chile SA		13,434

		Total Chile		1,866,671


		China — 7.5%
	2,500,000	361 Degrees International Ltd		945,964
	7,206,000	Agile Property Holdings Ltd		4,753,367
	10,921,000	Anhui Conch Cement Co Ltd – Class H		38,021,628
	3,931,000	ANTA Sports Products Ltd		11,893,013
	2,990,000	BAIC Motor Corp Ltd – Class H		3,361,646
	6,344,000	Beijing Capital International Airport Co Ltd – Class H		6,798,335
	33,930,000	Belle International Holdings Ltd		23,360,828
	92,420	Changyou.com Ltd ADR ^*		2,552,640
	13,359,000	China Communications Construction Co Ltd – Class H		17,237,312
	20,164,000	China Communications Services Corp Ltd – Class H		13,464,125
	6,898,000	China Everbright Ltd		13,681,971
	2,904,000	China Foods Ltd		1,292,915
	5,086,000	China Greenfresh Group Co Ltd		2,490,049
	3,976,000	China High Speed Transmission Equipment Group Co Ltd		4,849,241
	14,572,000	China Jinmao Holdings Group Ltd		4,524,384
	9,241,000	China Lesso Group Holdings Ltd		6,932,083
	6,062,000	China Machinery Engineering Corp – Class H		4,216,370
	4,980,000	China Mengniu Dairy Co Ltd		9,791,011
	3,501,500	China Mobile Ltd		38,621,832
	51,406,000	China National Building Material Co Ltd – Class H		37,485,595
	63,654,000	China Petroleum & Chemical Corp – Class H		49,340,997
	17,318,500	China Railway Construction Corp Ltd – Class H		24,486,100
	12,120,000	China Resources Cement Holdings Ltd		6,302,210
	8,880,963	China Resources Power Holdings Co Ltd		16,072,626
	2,947,000	China SCE Property Holdings Ltd		1,070,034
	4,824,000	China Shanshui Cement Group Ltd ^* (a)		—
	5,628,000	China Shenhua Energy Co Ltd – Class H		11,776,364
	324,000	China Shineway Pharmaceutical Group Ltd		349,349
	4,632,000	China Southern Airlines Co Ltd – Class H		3,011,628
	111,094,000	China Telecom Corp Ltd – Class H		52,246,122
	3,007,000	China ZhengTong Auto Services Holdings Ltd		1,258,396
	10,414,000	CIFI Holdings Group Co Ltd		3,486,245
	743,877	CKH Food & Health Ltd ^*		1,131,102
	22,005,000	CNOOC Ltd		26,031,720


Shares		Description	Value ($)
		China — continued
	28,567,000	Country Garden Holdings Co Ltd		20,455,038
	694,000	Dah Chong Hong Holdings Ltd		272,577
	3,064,000	Datang International Power Generation Co Ltd – Class H		896,089
	1,787,000	Digital China Holdings Ltd		1,593,490
	13,946,000	Dongfeng Motor Group Co Ltd – Class H		16,536,952
	2,898,000	Future Land Development Holdings Ltd		745,417
	5,120,000	Geely Automobile Holdings Ltd		6,959,742
	6,777,500	Great Wall Motor Co Ltd – Class H		8,323,048
	8,294,500	Greentown China Holdings Ltd ^*		7,577,921
	9,198,000	Guangdong Investment Ltd		12,530,885
	1,298,000	Guangshen Railway Co Ltd – Class H		810,847
	18,624,400	Guangzhou R&F Properties Co Ltd – Class H		25,714,721
	2,375,000	Haitian International Holdings Ltd		4,997,014
	2,458,000	Harbin Electric Co Ltd – Class H		1,209,660
	1,635,000	Hi Sun Technology China Ltd. ^*		261,142
	630,000	Hopson Development Holdings Ltd		570,537
	18,770,000	Huabao International Holdings Ltd ^*		10,083,433
	2,104,000	Huadian Power International Corp Ltd – Class H		923,826
	5,771,036	Intime Retail Group Co Ltd		7,170,428
	8,804,000	Jiangsu Expressway Co Ltd – Class H		11,613,982
	1,482,000	Ju Teng International Holdings Ltd		556,570
	4,804,000	Kingboard Chemical Holdings Ltd		16,985,195
	4,047,000	Kingboard Laminates Holdings Ltd		4,533,085
	13,866,500	KWG Property Holding Ltd		8,749,687
	14,176,000	Lee & Man Paper Manufacturing Ltd		12,843,760
	8,977,000	Longfor Properties Co Ltd		14,360,262
	28,200	NetEase Inc ADR		8,602,692
	1,959,000	Nine Dragons Paper Holdings Ltd		2,485,912
	24,863,000	People’s Insurance Co Group of China Ltd (The) – Class H		10,210,670
	4,896,000	PICC Property & Casualty Co Ltd – Class H		7,476,171
	12,421,000	Poly Property Group Co Ltd ^*		5,209,938
	3,131,000	Pou Sheng International Holdings Ltd		762,248
	1,119,000	Q Technology Group Co Ltd ^*		821,746
	3,772,000	Shanghai Industrial Holdings Ltd		10,526,055
	4,363,100	Shanghai Pharmaceuticals Holding Co Ltd – Class H		11,233,427
	6,798,000	Shenzhen Expressway Co Ltd – Class H		6,278,431
	5,973,500	Shenzhen International Holdings Ltd		8,564,621
	11,547,000	Shimao Property Holdings Ltd		16,573,647
	7,170,000	Shui On Land Ltd		1,606,877
	578,000	Sinofert Holdings Ltd		92,289
	15,687,500	Sino-Ocean Land Holdings Ltd		7,792,126
	7,616,000	Sinopec Engineering Group Co Ltd – Class H		6,923,376
	1,198,500	Sinotruk Hong Kong Ltd		994,404


54		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)

February 28, 2017


Shares		Description	Value ($)
		China — continued
	22,143,532	Skyworth Digital Holdings Ltd		14,366,271
	8,507,500	SOHO China Ltd		4,404,412
	498,250	Sohu.com Inc ^*		19,845,298
	1,897,000	Texhong Textile Group Ltd		2,779,572
	1,180,000	Tianjin Development Holdings Ltd		619,276
	1,650,000	Tianjin Port Development Holdings Ltd		278,116
	3,052,000	Tianneng Power International Ltd		2,693,385
	9,680,000	TravelSky Technology Ltd – Class H		21,108,828
	2,339,000	Weichai Power Co Ltd – Class H		4,118,406
	1,509,000	Xinhua Winshare Publishing and Media Co Ltd – Class H		1,375,835
	5,563,000	XTEP International Holdings Ltd		2,535,163
	2,356,000	Yingde Gases Group Co Ltd		1,615,114
	16,806,000	Yuexiu Property Co Ltd		2,725,822
	6,257,000	Yuexiu Real Estate Investment Trust		3,723,356
	6,006,000	Yuzhou Properties Co Ltd		2,087,973
	10,874,000	Zhejiang Expressway Co Ltd – Class H		12,229,645
	1,157,000	Zhongsheng Group Holdings Ltd		1,677,433

		Total China		844,451,045


		Czech Republic — 0.2%
	1,000,813	CEZ AS		17,663,064
	80,000	O2 Czech Republic AS		856,665

		Total Czech Republic		18,519,729


		Denmark — 0.0%
	2,459	AP Moeller – Maersk A/S – Class B		3,998,374


		Finland — 0.2%
	7,303	Cramo Oyj		158,041
	8,730	Kesko Oyj – B Shares		400,263
	227,134	Neste Oyj		7,905,798
	4,331	Orion Oyj – Class B		213,443
	83,477	Sponda Oyj		349,327
	667,170	UPM-Kymmene Oyj		15,823,043

		Total Finland		24,849,915


		France — 1.5%
	424,572	Air France-KLM ^*		2,992,087
	5,926	Aubay		163,732
	1,619,989	AXA SA		38,260,900
	376,854	BNP Paribas SA		22,049,880
	66,170	Christian Dior SE		14,029,366
	15,610	Cie Generale des Etablissements Michelin		1,757,594
	202,803	CNP Assurances		3,758,095
	35,001	IPSOS		1,127,467
	35,555	LVMH Moet Hennessy Louis Vuitton SE		7,142,304
	26,321	Renault SA		2,336,320
	5,647	Rexel SA		91,366


Shares		Description	Value ($)
		France — continued
	167,585	SCOR SE		6,058,397
	474,087	Societe Generale SA		21,072,011
	49,100	STMicroelectronics NV		749,266
	934,288	TOTAL SA		46,617,173
	148,151	Vivendi SA		2,608,534

		Total France		170,814,492


		Germany — 1.6%
	100,526	ADVA Optical Networking SE ^*		1,057,035
	257,659	Allianz SE (Registered)		44,875,742
	242,185	BASF SE		22,531,384
	194,762	Bayerische Motoren Werke AG		17,391,466
	6,123	Bechtle AG		637,765
	2,053	Cewe Stiftung & Co KGAA		173,221
	560,650	Daimler AG (Registered Shares)		40,729,504
	770,758	Deutsche Lufthansa AG (Registered)		11,284,693
	14,095	Diebold Nixdorf AG		1,025,793
	40,080	Hannover Rueck SE		4,521,643
	12,781	HeidelbergCement AG		1,193,272
	4,169	Henkel AG & Co KGaA		449,859
	87,163	Linde AG		14,153,750
	3,476	ProSiebenSat.1 Media SE		139,237
	51,812	RHOEN-KLINIKUM AG		1,303,386
	139,374	RWE AG ^*		1,984,868
	47,183	SAP SE		4,395,204
	94,251	Software AG		3,493,963
	117,621	STADA Arzneimittel AG		7,112,987
	38,542	Talanx AG		1,376,956
	2,109	Washtec AG		131,348

		Total Germany		179,963,076


		Hong Kong — 0.8%
	2,513,000	BOC Hong Kong Holdings Ltd		9,927,387
	202,500	CK Hutchison Holdings Ltd		2,501,205
	694,800	Dah Sing Banking Group Ltd		1,352,036
	344,400	Dah Sing Financial Holdings Ltd		2,536,980
	1,716,000	HKT Trust & HKT Ltd – Class SS		2,289,067
	1,025,600	Hongkong Land Holdings Ltd		6,998,802
	468,000	Hysan Development Co Ltd		2,182,068
	1,051,000	Kerry Properties Ltd		3,220,725
	2,582,500	Link (REIT)		17,807,677
	216,000	Luk Fook Holdings International Ltd		627,186
	1,758,800	Man Wah Holdings Ltd		1,156,644
	738,000	Pacific Textiles Holdings Ltd		823,335
	6,222,000	SJM Holdings Ltd		5,105,191
	3,000	Sun Hung Kai Properties Ltd		43,830
	207,500	Swire Pacific Ltd – Class A		2,135,931
	278,500	WH Group Ltd		217,434
	2,084,000	Wharf Holdings Ltd (The)		16,510,304


		See accompanying notes to the financial statements.		55

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Hong Kong — continued
	1,015,000	Wheelock & Co Ltd		6,592,194
	232,500	Xinyi Automobile Glass Hong Kong Enterprises Ltd ^*		44,293
	4,048,000	Xinyi Glass Holdings Ltd		3,670,148

		Total Hong Kong		85,742,437


		Hungary — 0.2%
	3,053,976	Magyar Telekom Telecommunications Plc		5,142,937
	155,249	MOL Hungarian Oil & Gas Plc		10,643,761
	91,928	OTP Bank Plc		2,668,860

		Total Hungary		18,455,558


		India — 1.7%
	984,775	Allahabad Bank ^*		1,082,978
	1,100,843	Andhra Bank		927,467
	1,205,813	Cairn India Ltd		5,125,942
	1,977,915	Canara Bank ^*		8,756,124
	3,028,310	Firstsource Solutions Ltd ^*		2,007,992
	1,013,075	HCL Technologies Ltd		12,739,017
	1,423,114	Hexaware Technologies Ltd		4,773,434
	1,865,278	Hindustan Zinc Ltd		8,569,648
	75,917	IDBI Bank Ltd ^*		90,880
	110,425	IFCI Ltd ^*		48,247
	909,310	Indiabulls Housing Finance Ltd		11,837,187
	3,334,514	Infosys Ltd Sponsored ADR		50,484,542
	2,158,776	Jaypee Infratech Ltd ^*		359,804
	639,117	KPIT Technologies Ltd		1,319,292
	76,815	MOIL Ltd		407,063
	220,756	Mphasis Ltd		1,973,521
	247,991	NIIT Ltd ^*		277,636
	539,915	NIIT Technologies Ltd		3,377,569
	1,257,940	NMDC Ltd		2,838,641
	1,841,865	Oil & Natural Gas Corp Ltd		5,337,294
	1,116,074	Oriental Bank of Commerce		2,120,803
	6,263,090	Power Finance Corp		12,752,112
	8,379,387	Rural Electrification Corp Ltd		19,189,509
	426,182	Sonata Software Ltd		1,230,798
	2,440,614	Syndicate Bank ^*		2,538,978
	539,619	Tata Consultancy Services Ltd		19,881,972
	2,287,714	Union Bank of India		5,022,963
	973,166	Wipro Ltd		7,098,659
	38,046	Zensar Technologies Ltd		523,622

		Total India		192,693,694


		Indonesia — 0.0%
	5,370,300	Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT		924,197
	7,882,400	Bank Tabungan Negara Persero Tbk PT		1,262,325


Shares		Description	Value ($)
		Indonesia — continued
	4,575,600	Gajah Tunggal Tbk PT ^*		433,538
	670,400	Indo Tambangraya Megah Tbk PT		882,775

		Total Indonesia		3,502,835

		Ireland — 0.0%
	40,321	Smurfit Kappa Group Plc		1,070,912


		Israel — 0.4%
	1,525,602	Bank Hapoalim BM		9,403,945
	1,176,098	Bank Leumi Le-Israel BM ^*		5,156,527
	200,100	Check Point Software Technologies Ltd ^*		19,791,891
	733,482	El Al Israel Airlines		522,432
	460,436	Israel Discount Bank Ltd – Class A^*		1,019,109
	86,404	Mizrahi Tefahot Bank Ltd		1,442,440
	200	Orbotech Ltd ^*		6,030
	9,100	SodaStream International Ltd ^*		443,534
	114,808	Teva Pharmaceutical Industries Ltd		4,038,590

		Total Israel		41,824,498


		Italy — 0.4%
	15,205	Amplifon SPA		162,730
	650,170	Banca Mediolanum SPA		4,242,910
	2,580,864	Enel SPA		11,076,257
	853,781	Eni SPA		13,171,473
	523,944	Hera SPA		1,297,660
	811,241	Iren SPA		1,395,344
	3,824	La Doria SPA		34,224
	152,296	Recordati SPA		4,832,977
	1,201	Reply SPA		159,976
	776,834	Saras SPA		1,414,299
	162,096	Societa Cattolica di Assicurazioni SCRL		1,015,647

		Total Italy		38,803,497


		Japan — 3.7%
	65,000	AOKI Holdings Inc		799,481
	13,700	Aoyama Trading Co Ltd		513,577
	10,600	Arcs Co Ltd		238,788
	7,100	Autobacs Seven Co Ltd		112,472
	10,100	BML Inc		220,516
	38,000	Brother Industries Ltd		715,657
	307,000	Calsonic Kansei Corp		3,515,949
	99,400	Central Japan Railway Co		16,271,751
	16,000	Chiba Bank Ltd (The)		111,855
	90,400	Coca-Cola West Co Ltd		2,686,740
	54,800	Daicel Corp		665,219
	72,100	Daiichi Sanyko Co Ltd		1,644,105
	32,500	Daito Trust Construction Co Ltd		4,546,685
	201,400	Daiwa House Industry Co Ltd		5,527,070
	306,200	DCM Holdings Co Ltd		2,723,314


56		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)

February 28, 2017


Shares		Description	Value ($)
		Japan — continued
	367,000	Denka Co Ltd		1,911,086
	193,122	FUJIFILM Holdings Corp		7,470,428
	5,000	Fujitsu General Ltd		97,878
	30,000	Hanwa Co Ltd		215,139
	178,400	Haseko Corp		2,111,154
	16,200	Hitachi High-Technologies Corp		674,804
	8,000	Hitachi Transport System Ltd		163,865
	38,500	Idemitsu Kosan Co Ltd		1,240,530
	144,092	Inpex Corp		1,432,735
	2,597,000	ITOCHU Corp		37,608,352
	14,700	Itochu Techno-Solutions Corp		399,203
	341,000	Japan Airlines Co Ltd		11,143,618
	154,000	Kaneka Corp		1,204,642
	1,173,000	Kanematsu Corp		2,035,633
	1,486,600	KDDI Corp		38,848,608
	67,300	Keihin Corp		1,126,510
	110,500	Konica Minolta Inc		1,065,793
	64,500	K’s Holdings Corp		1,147,735
	11,700	Kyowa Exeo Corp		162,282
	1,789,500	Marubeni Corp		11,584,985
	25,500	MCJ Co Ltd		280,735
	188,704	Medipal Holdings Corp		3,114,012
	864,000	Mitsubishi Chemical Holdings Corp		6,643,481
	88,300	Mitsubishi Electric Corp		1,993,298
	386,000	Mitsubishi Electric Corp		5,659,105
	196,200	Mitsubishi Tanabe Pharma Corp		4,039,076
	4,549,300	Mitsubishi UFJ Financial Group Inc		30,097,108
	796,474	Mitsui & Co Ltd		12,192,056
	6,181,700	Mizuho Financial Group Inc		11,535,829
	7,900	Nichiha Corp		221,398
	107,000	Nippon Corp		2,030,459
	4,000	Nippon Paper Industries Co Ltd		72,695
	889,100	Nippon Telegraph & Telephone Corp		37,608,320
	983,736	Nissan Motor Co Ltd		9,679,380
	366,029	NTT DOCOMO Inc		8,696,094
	144,000	Onward Holdings Co Ltd		1,066,628
	429,000	Osaka Gas Co Ltd		1,656,814
	17,000	Osaki Electric Co Ltd		164,728
	347,600	Otsuka Holdings Co Ltd		15,843,119
	146,000	PanaHome Corp		1,358,925
	17,000	Sanyo Special Steel Co Ltd		92,435
	413,500	Sekisui Chemical Co Ltd		6,830,409
	299,500	Sekisui House Ltd		4,789,358
	900	Shimamura Co Ltd		116,535
	4,090,100	Sojitz Corp		10,599,852
	1,700	Sugi Holdings Co Ltd		78,322
	53,400	Sumitomo Corp		717,760
	19,700	Sumitomo Dainippon Pharma Co Ltd		347,990
	171,700	Sumitomo Forestry Co Ltd		2,501,118


Shares		Description	Value ($)
		Japan — continued
	993,700	Sumitomo Mitsui Financial Group Inc		38,711,759
	199,300	Sumitomo Rubber Industries Ltd		3,287,275
	61,300	Suzuken Co Ltd		2,075,083
	45,737	TIS Inc		1,112,074
	130,600	Toho Holdings Co Ltd		2,824,383
	17,200	Tokai Rika Co Ltd		346,859
	12,000	Token Corp		861,893
	18,500	Tokyo Century Corp		624,646
	7,200	Tokyo Electron Ltd		718,304
	737,000	Tosoh Corp		6,411,638
	178,000	Toyota Tsusho Corp		5,308,108
	68,700	TS Tech Co Ltd		1,796,739
	140,000	Tsubakimoto Chain Co		1,199,110
	74,500	Valor Holdings Co Ltd		1,848,605
	86,000	Wacoal Holdings Corp		1,079,771
	29,700	Warabeya Nichiyo Holdings Co Ltd		666,219
	62,000	Yamaguchi Financial Group Inc		715,429
	6,400	Yokohama Rubber Co Ltd (The)		127,189

		Total Japan		411,680,282


		Malaysia — 0.0%
	593,000	Ta Ann Holdings Berhad		518,081


		Mexico — 0.4%
	3,291,203	Alpek SA de CV		3,482,616
	1,162,205	Arca Continental SAB de CV		6,522,092
	3,888,246	Bolsa Mexicana de Valores SAB de CV		5,602,604
	899,793	Gentera SAB de CV		1,189,931
	801,445	Gruma SAB de CV – Class B		10,527,704
	432,400	Grupo Aeroportuario del Pacifico SAB de CV – Class B		3,746,900
	116,475	Grupo Aeroportuario del Sureste SAB de CV – Class B		1,843,518
	290,091	Grupo Financiero Interacciones SA de CV – Class O		1,292,245
	447,013	Grupo Herdez SAB de CV		832,330
	339,816	La Comer SAB de CV ^*		225,456
	1,352,300	Macquarie Mexico Real Estate Management SA de CV (REIT) ^*		1,397,295
	3,002,100	OHL Mexico SAB de CV		3,149,803
	3,956,200	Wal-Mart de Mexico SAB de CV		7,699,148

		Total Mexico		47,511,642


		Netherlands — 1.3%
	95,400	AerCap Holdings NV ^*		4,321,620
	276,647	ASR Nederland NV ^*		7,391,369
	64,282	Heineken Holding NV		4,885,280
	731,600	NXP Semiconductors NV ^*		75,215,796
	1,391,103	PostNL NV ^*		6,075,111


		See accompanying notes to the financial statements.		57

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Netherlands — continued
	82,133	Unilever NV		3,887,355
	364,684	Unilever NV CVA		17,263,442
	553,593	Wolters Kluwer NV		22,689,795

		Total Netherlands		141,729,768


		New Zealand — 0.1%
	1,108,332	Air New Zealand Ltd		1,887,686
	734,899	Fletcher Building Ltd		5,069,315
	193,730	Fletcher Building Ltd		1,345,898
	400,650	SKY Network Television Ltd		1,096,001

		Total New Zealand		9,398,900


		Norway — 0.2%
	86,934	Bakkafrost P/F		3,235,240
	234,648	BW LPG Ltd		1,146,694
	43,698	DNB ASA		716,454
	855,410	Orkla ASA		7,519,750
	295	Salmar ASA		7,454
	499,003	Statoil ASA		8,798,021
	268,300	Storebrand ASA ^*		1,811,619
	190,330	Subsea 7 SA ^*		2,688,489
	42,321	Yara International ASA		1,606,659

		Total Norway		27,530,380


		Poland — 0.6%
	369,344	Asseco Poland SA		5,083,825
	115,994	Bank Millennium SA ^*		194,571
	1,501,466	Enea SA ^*		3,938,871
	1,093,339	KGHM Polska Miedz SA		34,616,096
	2,122	mBank SA ^*		206,793
	2,647,204	PGE Polska Grupa Energetyczna SA		7,725,020
	112,975	Polski Koncern Naftowy ORLEN SA		2,616,050
	13,437,848	Tauron Polska Energia SA ^*		9,910,083

		Total Poland		64,291,309


		Portugal — 0.0%
	406,670	CTT – Correios de Portugal SA		2,184,068
	144,789	REN-Redes Energeticas Nacionais SGPS SA		403,038

		Total Portugal		2,587,106


		Russia — 1.0%
	2,003,400	Aeroflot PJSC ^*		5,710,889
	8,132,361	Gazprom PAO Sponsored ADR		36,299,347
	571,802	Lukoil PJSC Sponsored ADR		30,319,325
	2,137,800	Magnitogorsk Iron & Steel OJSC		1,354,977
	355,220	Novolipetsk Steel PJSC		686,558
	2,039,447	Rosneft Oil Co PJSC GDR (Registered)		11,570,937


Shares		Description	Value ($)
		Russia — continued
	389,969,311	RusHydro PJSC		6,424,634
	509,872	Tatneft PJSC Sponsored ADR		17,879,674

		Total Russia		110,246,341


		Singapore — 0.1%
	3,778,800	CapitaLand Commercial Trust (REIT)		4,202,908
	146,300	DBS Group Holdings Ltd		1,953,842
	1,550,000	Fortune Real Estate Investment Trust		1,738,823
	910,800	SATS Ltd		3,249,328
	605,200	Sino Grandness Food Industry Group Ltd		114,235
	23,300	Venture Corp Ltd		178,671
	4,348,200	Yangzijiang Shipbuilding Holdings Ltd		2,868,326
	298,200	Yanlord Land Group Ltd		309,549

		Total Singapore		14,615,682


		South Africa — 1.9%
	222,925	AECI Ltd		1,862,992
	2,691,606	African Phoenix Investments Ltd ^*		119,011
	346,469	African Rainbow Minerals Ltd		2,674,962
	193,072	Astral Foods Ltd		2,175,465
	1,797,726	AVI Ltd		13,044,467
	1,968,337	Barclays Africa Group Ltd		22,779,064
	1,406,085	Barloworld Ltd		12,421,832
	1,144,332	Bidvest Group Ltd (The)		13,519,160
	772,756	Clicks Group Ltd		7,563,472
	218,409	DataTec Ltd		907,969
	3,261	Distell Group Ltd		35,548
	1,912,051	Emira Property Fund Ltd (REIT)		2,144,046
	197,608	Hyprop Investments Ltd (REIT)		1,888,046
	970,937	Imperial Holdings Ltd		12,365,391
	13,823	JSE Ltd		171,506
	368,085	Kumba Iron Ore Ltd ^*		6,011,434
	325,555	Lewis Group Ltd		1,042,286
	826,993	Liberty Holdings Ltd		6,991,452
	2,806,340	MMI Holdings Ltd		5,258,075
	241,366	Mondi Ltd		5,537,348
	1,517,316	Nedbank Group Ltd		28,292,156
	193,563	Omnia Holdings Ltd		2,556,778
	1,989,525	RMB Holdings Ltd		9,607,487
	1,828,684	SA Corporate Real Estate Ltd (REIT)		782,765
	6,876	Sanlam Ltd		35,501
	70,539	Santam Ltd		1,303,182
	285,607	Shoprite Holdings Ltd		4,121,557
	1,652,934	Sibanye Gold Ltd		3,386,621
	404,122	SPAR Group Ltd (The)		5,496,342
	645,142	Standard Bank Group Ltd		7,030,828
	731,420	Super Group Ltd ^*		1,943,372
	1,253,945	Telkom SA SOC Ltd		6,513,454


58		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)

February 28, 2017


Shares		Description	Value ($)
		South Africa — continued
	961,167	Truworths International Ltd		6,380,490
	1,122,029	Tsogo Sun Holdings Ltd		2,360,837
	703,057	Vodacom Group Ltd		7,940,057
	27,890	Vukile Property Fund Ltd (REIT)		39,948
	230,181	Wilson Bayly Holmes-Ovcon Ltd		2,548,925

		Total South Africa		208,853,826


		South Korea — 3.7%
	374,151	BNK Financial Group Inc		2,871,147
	5,655	Crown Confectionery Co Ltd ^(a)		165,612
	628	Dae Han Flour Mills Co Ltd		102,183
	79,198	Daelim Industrial Co Ltd		5,849,526
	75,037	Daishin Securities Co Ltd		759,003
	504,062	Daou Technology Inc		8,193,515
	209,663	DGB Financial Group Inc		1,927,444
	106,464	Dongbu Insurance Co Ltd		5,748,121
	12,648	DuzonBizon Co Ltd		257,025
	45,727	E-MART Inc		8,403,491
	4,199	GOLFZON Co Ltd		250,703
	266,512	Hana Financial Group Inc		8,302,280
	216,444	Hankook Tire Co Ltd		11,432,696
	10,666	Hansol Paper Co Ltd		194,638
	89,391	Hanwha Corp		2,873,214
	42,039	Hanwha General Insurance Co Ltd		250,900
	977,999	Hanwha Life Insurance Co Ltd		5,628,267
	58,900	Harim Holdings Co Ltd		217,257
	54,928	Hyundai Department Store Co Ltd		4,828,201
	21,107	Hyundai Home Shopping Network Corp		2,135,987
	179,909	Hyundai Marine & Fire Insurance Co Ltd		5,155,258
	154,863	Hyundai Mobis Co Ltd		34,906,004
	397,781	Hyundai Motor Co		52,521,084
	892,069	Industrial Bank of Korea		9,738,041
	594,405	JB Financial Group Co Ltd		2,984,853
	3,630	Kangnam Jevisco Co Ltd		116,857
	848,732	KB Financial Group Inc		35,035,556
	1,108,779	Kia Motors Corp		37,479,742
	7,955	Korea Petrochemical Ind Co Ltd		1,870,381
	240,515	Korean Reinsurance Co		2,382,072
	186,524	KT Hitel Co Ltd ^*		1,211,229
	193,674	KT&G Corp		17,534,633
	6,150	Kukdo Chemical Co Ltd		278,840
	12,141	Kyobo Securities Co Ltd		94,871
	3,301	LF Corp		61,550
	753,492	LG Display Co Ltd		18,253,320
	89,488	LG International Corp		2,578,942
	59,196	LOTTE Himart Co Ltd		2,527,716
	56,917	Lotte Shopping Co Ltd		11,627,772
	185,834	Meritz Fire & Marine Insurance Co Ltd		2,530,363
	43,789	NCSoft Corp		10,601,813


Shares		Description	Value ($)
		South Korea — continued
	91,790	NHN Entertainment Corp ^*		4,747,070
	51,964	Poongsan Corp		1,880,093
	40,794	Samjin Pharmaceutical Co Ltd		1,206,628
	201,697	Samsung Card Co Ltd		7,544,160
	20,698	Samsung Electronics Co Ltd		35,174,847
	8	Samsung Electronics Co Ltd GDR		6,775
	75,147	Seah Besteel Corp		1,729,612
	4,998	SeAH Steel Corp		494,572
	115,032	Seoul Securities Co Ltd ^*		273,870
	31,817	Shinsegae Inc		5,612,137
	102,350	SK Innovation Co Ltd		13,960,760
	39,875	Soulbrain Co Ltd		1,693,176
	148,308	Tongyang Life Insurance Co Ltd		1,384,679
	4,408	Unid Co Ltd		172,218
	1,225,697	Woori Bank		14,406,901

		Total South Korea		410,169,605


		Spain — 0.7%
	1,274,911	Atlantica Yield Plc		27,742,064
	109,113	Ebro Foods SA		2,214,706
	843,595	Endesa SA		17,942,712
	2,400,362	Repsol SA		35,509,269

		Total Spain		83,408,751


		Sweden — 0.2%
	95,019	Axfood AB		1,451,597
	5,321	Fastighets AB Balder – B Shares ^*		116,246
	78,055	Intrum Justitia AB		2,821,985
	103	JM AB		3,233
	889,005	Meda AB – A Shares		15,364,011
	30,606	NCC AB – B Shares		727,209
	304,393	Sandvik AB		4,131,961
	23,685	Wihlborgs Fastigheter AB		470,403

		Total Sweden		25,086,645


		Switzerland — 1.3%
	52,719	Actelion Ltd (Registered) ^*		14,185,673
	14,424	Adecco Group AG (Registered)		1,037,180
	2,647	ALSO Holding AG (Registered) ^*		296,087
	16,442	Ascom Holding AG (Registered)		285,708
	9,299	BKW AG		473,482
	2,143	Bobst Group SA (Registered)		163,046
	954	Bossard Holding AG ^*		164,220
	2,206	Emmi AG (Registered) ^*		1,401,418
	9,127	EMS-Chemie Holding AG (Registered)		5,193,187
	6,064	Georg Fischer AG (Registered)		5,255,944
	196	Gurit Holding AG ^*		165,052
	9,168	Kardex AG (Registered) ^*		925,032


		See accompanying notes to the financial statements.		59

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		Switzerland — continued
	3,304	Komax Holding AG (Registered)		860,739
	87,716	Kuehne & Nagel International AG (Registered)		12,488,698
	189,689	Nestle SA (Registered)		13,998,697
	50,252	Novartis AG (Registered) ^*		3,924,274
	3,189	Orior AG ^*		255,374
	1,633	Sika AG		9,190,085
	13,140	Swiss Life Holding AG (Registered) ^*		4,133,557
	395,779	Swiss Re AG		35,400,751
	470,100	Syngenta AG ADR		40,593,135
	9,109	UBS Group AG (Registered)		140,423

		Total Switzerland		150,531,762


		Taiwan — 3.4%
	49,539	Addcn Technology Co Ltd		314,720
	2,374,000	Asustek Computer Inc		21,420,317
	1,094,000	BES Engineering Corp		244,088
	3,180,440	Chang Hwa Commercial Bank Ltd		1,899,625
	1,470,200	China Life Insurance Co Ltd		1,442,120
	1,470	Chunghwa Telecom Co Ltd		4,874
	10,032,000	Compal Electronics Inc		6,280,514
	91,000	Cyberlink Corp		199,664
	4,737,582	Foxconn Technology Co Ltd		14,143,150
	12,575,000	Fubon Financial Holding Co Ltd		20,378,085
	1,128,000	Gigabyte Technology Co Ltd		1,572,344
	36,000	Grape King Bio Ltd		239,619
	32,661,663	Hon Hai Precision Industry Co Ltd		95,044,217
	3,509,854	Hua Nan Financial Holdings Co Ltd – Class C		1,930,439
	18,867,000	Innolux Corp		7,687,365
	10,312,000	Inventec Corp		7,659,545
	202,000	Kinik Co		513,913
	7,359,475	Lite-On Technology Corp		12,325,030
	2,889,600	Mercuries Life Insurance Co Ltd ^*		1,555,232
	1,413,000	Novatek Microelectronics Corp		5,291,291
	13,430,000	Pegatron Corp		35,363,199
	528,000	Phison Electronics Corp		4,638,516
	10,094,000	Pou Chen Corp		13,698,639
	3,869,808	Powertech Technology Inc		11,226,519
	124,020	Radiant Opto-Electronics Corp		256,517
	204,000	Sheng Yu Steel Co Ltd		281,007
	2,854,000	Siliconware Precision Industries Co Ltd		4,496,011
	440,223	Taishin Financial Holding Co Ltd		174,105
	5,672,400	Taiwan Business Bank		1,552,468
	3,323,000	Taiwan Cement Corp		4,068,469
	352,030	Taiwan Cooperative Financial Holding Co Ltd		167,832
	1,060,000	Taiwan Semiconductor Co Ltd		1,328,554


Shares		Description	Value ($)
		Taiwan — continued
	2,508,973	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		78,957,380
	216,000	Teco Electric and Machinery Co Ltd		194,535
	401,060	Topco Scientific Co Ltd		1,328,826
	33,000	Transcend Information Inc		92,746
	755,000	Tripod Technology Corp		1,970,234
	1,005,000	United Integrated Services Co Ltd		1,945,342
	28,791,000	United Microelectronics Corp		11,936,904
	7,161,859	Wistron Corp		5,999,368
	4,844,000	WPG Holdings Ltd		6,145,318

		Total Taiwan		385,968,641


		Thailand — 0.3%
	1,862,400	AP Thailand Pcl NVDR		381,000
	1,029,700	Kiatnakin Bank Pcl NVDR		1,937,400
	8,944,000	Krung Thai Bank Pcl (Foreign Registered)		5,016,402
	721,500	Mega Lifesciences Pcl NVDR		521,294
	661,600	PTT Pcl (Foreign Registered)		7,523,514
	44,700	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)		66,593
	5,650,400	SC Asset Corp Pcl NVDR		601,571
	1,854,200	Supalai Pcl NVDR		1,321,227
	960,300	Supalai Pcl		684,271
	7,216,900	Thai Beverage Pcl		4,889,246
	934,200	Thanachart Capital Pcl NVDR		1,297,149
	5,926,300	Thanachart Capital Pcl (Foreign Registered)		8,231,877

		Total Thailand		32,471,544


		Turkey — 1.1%
	68,220	Aksa Akrilik Kimya Sanayii AS		196,093
	258,479	Arcelik AS		1,480,859
	9,341,711	Eregli Demir ve Celik Fabrikalari TAS		15,209,874
	2,122,749	KOC Holding AS		8,629,103
	78,117	Turk Telekomunikasyon AS		123,368
	906,018	Turkcell Iletisim Hizmetleri AS ^*		2,956,851
	8,770,354	Turkiye Halk Bankasi AS		27,095,186
	27,342,092	Turkiye Is Bankasi – Class C		47,455,559
	4,032,300	Turkiye Sise ve Cam Fabrikalari AS		4,333,512
	13,016,509	Turkiye Vakiflar Bankasi TAO – Class D		18,898,772

		Total Turkey		126,379,177


		United Kingdom — 2.6%
	166,005	3i Group Plc		1,418,455
	731,583	AstraZeneca Plc		42,161,159
	286,142	Berkeley Group Holdings Plc (The)		10,457,861
	486,855	British American Tobacco Plc		30,751,973
	10,900	British American Tobacco Plc Sponsored ADR		695,856
	302,404	Carillion Plc		821,852


60		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)

February 28, 2017


Shares		Description	Value ($)
		United Kingdom — continued
	3,794,274	Centrica Plc		10,688,421
	83,699	Cobham Plc		124,502
	374,672	Compass Group Plc		6,960,639
	124,534	Crest Nicholson Holdings Plc		836,202
	758,278	Debenhams Plc		504,865
	17,714	Galliford Try Plc		333,525
	6,619	GlaxoSmithKline Plc		135,444
	362,600	GlaxoSmithKline Plc Sponsored ADR		15,040,648
	45,718	IG Group Holdings Plc		303,510
	272,696	Imperial Brands Plc		12,837,230
	573,766	Inchcape Plc		5,344,086
	105,112	Indivior Plc		456,151
	53,447	Intermediate Capital Group Plc		470,297
	1,117,558	J Sainsbury Plc		3,709,724
	23,959	Jupiter Fund Management Plc		124,659
	2,318,606	Kingfisher Plc		9,457,329
	555	Land Securities Group Plc (REIT)		7,340
	64,637	Mondi Plc		1,506,537
	464,819	Persimmon Plc		11,886,223
	28,194	Plus500 Ltd		161,642
	314,558	Reckitt Benckiser Group Plc		28,561,761
	1,409,454	Royal Mail Plc		7,254,110
	972,689	Sage Group Plc (The)		7,795,333
	1,695,235	Sky Plc		20,986,034
	77,065	Spectris Plc		2,322,295
	19,353	Tate & Lyle Plc		178,753
	357,834	Unilever Plc		16,976,191
	50,002	WH Smith Plc		1,049,846
	750,979	WM Morrison Supermarkets Plc		2,256,747
	1,472,650	WPP Plc		34,646,162

		Total United Kingdom		289,223,362


		United States — 10.7%
	123,757	3M Co.		23,062,117
	258,297	Abbott Laboratories		11,644,029
	184,055	Accenture Plc – Class A		22,546,738
	296,751	Alere, Inc. ^*		11,365,563
	132,250	Allied World Assurance Co Holdings AG		6,985,445
	60,773	Alphabet, Inc. – Class C ^*		50,028,941
	270,873	American Express Co.		21,686,092
	920,193	American International Group, Inc.		58,818,737
	44,077	Amphenol Corp. – Class A		3,050,569
	49,131	Analog Devices, Inc.		4,025,303
	20,460	Anthem, Inc.		3,372,217
	238,600	Apple, Inc.		32,685,814
	17,800	Automatic Data Processing, Inc.		1,826,636
	784,500	B/E Aerospace, Inc.		49,894,200
	36,181	Becton Dickinson and Co.		6,622,932
	850,500	Brocade Communications Systems, Inc.		10,469,655


Shares		Description	Value ($)
		United States — continued
	41,975	CDK Global, Inc.		2,788,399
	75,503	Cerner Corp. ^*		4,155,685
	535,934	Cisco Systems, Inc.		18,318,224
	365,203	Coca-Cola Co. (The)		15,323,918
	320,531	Cognizant Technology Solutions Corp. – Class A ^*		18,997,872
	76,222	Costco Wholesale Corp.		13,505,014
	66,052	CVS Health Corp.		5,322,470
	138,676	Cypress Semiconductor Corp.		1,840,231
	175,931	Depomed, Inc. ^*		2,883,509
	16,588	DISH Network Corp. – Class A ^*		1,028,456
	1,150	Donnelley Financial Solutions, Inc. ^*		26,577
	31,179	EI du Pont de Nemours & Co.		2,448,799
	63,136	Eli Lilly & Co.		5,228,292
	160,700	Emerson Electric Co.		9,658,070
	83,400	Endurance Specialty Holdings Ltd.		7,750,362
	329,216	EnPro Industries, Inc.		21,491,220
	184	Envision Healthcare Corp. ^*		12,880
	171,725	Exxon Mobil Corp.		13,964,677
	10,628	F5 Networks, Inc. ^*		1,522,674
	18,500	Genuine Parts Co.		1,770,635
	312,397	Headwaters, Inc. ^*		7,185,131
	45,898	Honeywell International, Inc.		5,714,301
	28,572	Humana, Inc.		6,035,835
	78,389	Illinois Tool Works, Inc.		10,348,132
	2,953	Intuitive Surgical, Inc. ^*		2,176,361
	252,235	Johnson & Johnson		30,825,639
	147,813	Joy Global, Inc.		4,166,848
	549,941	Level 3 Communications, Inc. ^*		31,484,122
	992,510	Liberty Media Corp-Liberty SiriusXM – Class C ^*		38,638,414
	172,600	Linear Technology Corp.		11,146,508
	1,150	LSC Communications, Inc.		32,683
	61,324	MasterCard, Inc. – Class A		6,773,849
	75,524	McDonald’s Corp.		9,640,639
	222,984	Mead Johnson Nutrition Co.		19,575,765
	248,173	Medtronic Plc		20,079,677
	781,088	Microsoft Corp.		49,974,010
	392,155	Monsanto Co.		44,639,004
	24	Nexstar Media Group, Inc.		1,655
	108,320	NIKE, Inc. – Class B		6,191,571
	839,703	Oracle Corp.		35,762,951
	168,751	Pandora Media, Inc. ^*		2,089,137
	43,610	PepsiCo, Inc.		4,813,672
	167,644	Pfizer, Inc.		5,720,013
	325,773	Philip Morris International, Inc.		35,623,278
	316,387	QUALCOMM, Inc.		17,869,538
	1,013,500	Reynolds American, Inc.		62,401,195
	1,990,200	Rite Aid Corp. ^*		11,941,200


		See accompanying notes to the financial statements.		61

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Shares		Description	Value ($)
		United States — continued
	26,300	Rockwell Automation, Inc.		3,973,930
	111,907	Schlumberger Ltd.		8,992,847
	627,200	Stillwater Mining Co. ^*		10,700,032
	73,723	Stryker Corp.		9,477,829
	130,942	Teradata Corp. ^*		4,072,296
	85,986	Texas Instruments, Inc.		6,588,247
	43,105	TJX Cos., Inc. (The)		3,381,587
	71	T-Mobile US, Inc. ^*		4,440
	639,416	TopBuild Corp. ^*		26,842,684
	158,987	Twitter, Inc. ^*		2,507,225
	114,065	United Technologies Corp.		12,838,016
	188,202	UnitedHealth Group, Inc.		31,124,847
	74,802	VF Corp.		3,923,365
	750,000	Viacom, Inc. – Class B		32,587,500
	593,968	Westar Energy, Inc.		32,062,393
	370,100	Western Refining, Inc.		13,516,052
	88,849	WGL Holdings, Inc.		7,418,003
	483,400	WhiteWave Foods Co. (The) ^*		26,625,672
	110,221	Williams Cos., Inc. (The)		3,123,663
	11,296	WW Grainger, Inc.		2,800,956
	89,702	Yahoo!, Inc. ^*		4,095,793
	39,275	Zimmer Biomet Holdings, Inc.		4,598,317

		Total United States		1,198,229,774


		TOTAL COMMON STOCKS (COST $5,356,702,225)		5,729,070,422


		PREFERRED STOCKS — 2.5%

		Brazil — 2.0%
	3,260,020	Banco Bradesco SA		34,860,176
	933,700	Banco do Estado do Rio Grande do Sul SA – Class B		4,975,681
	2,822,850	Bradespar SA		21,174,750
	2,687,175	Centrais Eletricas Brasileiras SA – Class B ^*		21,190,818
	994,339	Cia Energetica de Minas Gerais Sponsored ADR		3,281,319
	1,460,200	Cia Energetica de Sao Paulo – Class B		8,366,925
	9,920,427	Companhia Energetica de Minas Gerais		33,919,263
	2,220,860	Itau Unibanco Holding SA		28,439,869
	16,301,080	Itausa-Investimentos Itau SA		52,412,196
	928,600	Metalurgica Gerdau SA ^*		1,745,241
	1,387,700	Vale SA		14,007,763

		Total Brazil		224,374,001


		Germany — 0.1%
	34,296	Bayerische Motoren Werke AG		2,555,642
	19,989	Jungheinrich AG		604,606
	228,724	Porsche Automobil Holding SE		12,622,912

		Total Germany		15,783,160


Shares / Par Value		Description	Value ($)
		South Korea — 0.4%
	64,989	Hyundai Motor Co		5,623,358
	101,800	Hyundai Motor Co 2nd Preference		9,174,373
	18,438	Samsung Electronics Co Ltd		24,404,375
	3,201	Samsung Electronics Co Ltd GDR (Registered)		2,116,822

		Total South Korea		41,318,928


		TOTAL PREFERRED STOCKS (COST $185,973,144)		281,476,089


		RIGHTS/WARRANTS — 0.1%

		Brazil — 0.0%
	239,195	Itausa – Investimentos Itau SA Rights, Expires 03/31/17 ^*		302,934


		India — 0.0%
	174,239	Canara Bank, Expires 03/16/17 ^*		232,428


		Singapore — 0.0%
	630,200	Interoil Corporate Escrow^*		2,520,800


		United States — 0.1%
	2,616,810	Media General, Inc. ^*		3,925,215
	2,279,800	Safeway Casa Ley CVR ^*		638,344
	2,279,800	Safeway PDC, LLC CVR ^*		45,596

		Total United States		4,609,155


		TOTAL RIGHTS/WARRANTS (COST $4,895,407)		7,665,317


		DEBT OBLIGATIONS — 38.1%^†

		Canada — 0.4%
		Corporate Debt — 0.4%
	500,000	Canbriam Energy Inc, 144A, 9.75%, due 11/15/19		525,000
	1,750,000	Cenovus Energy Inc, 5.70%, due 10/15/19		1,882,258
	250,000	First Quantum Minerals Ltd, 144A, 7.25%, due 10/15/19		258,125
	18,352,800	Nortel Networks Ltd, due 07/15/11 ^(b)		18,215,154
	26,379,600	Nortel Networks Ltd, 10.13%, due 07/15/13 ^(b)		26,874,217
	2,500,000	Teck Resources Ltd, 6.13%, due 10/01/35		2,587,500

		Total Corporate Debt		50,342,254

		Total Canada		50,342,254


		Denmark — 0.3%
		Bank Loans — 0.3%
	6,965,283	O.W. Bunker & Trading A/S, Ancillary Revolver, 0.00% ^(b)		6,895,537


62		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)

February 28, 2017


Par Value†		Description	Value ($)
		Denmark — continued
		Bank Loans — continued
	6,393,489	O.W. Bunker & Trading A/S, Term Loan A, 1.75% ^(b)		6,329,554
	15,849,007	O.W. Bunker & Trading A/S, Term Loan B, 2.25% ^(b)		15,690,517

		Total Bank Loans		28,915,608

		Total Denmark		28,915,608


		France — 0.0%
		Corporate Debt — 0.0%
	1,250,000	Credit Agricole SA, 144A, Variable Rate, 8.38%, due 10/29/49		1,381,250


		Italy — 0.0%
		Corporate Debt — 0.0%
	2,000,000	Intesa Sanpaolo SPA, 144A, 5.02%, due 06/26/24		1,881,420
	1,000,000	Meccanica Holdings USA, Inc, 144A 6.25% due 07/15/19		1,076,000

		Total Italy		2,957,420


		Japan — 0.2%
		Corporate Debt — 0.0%
	3,000,000	SoftBank Group Corp, 144A, 4.50%, due 04/15/20		3,101,250


		Foreign Government Obligations — 0.2%
JPY	1,700,000,000	Japan Treasury Discount Bill, Zero coupon, due 05/22/17		15,139,526

		Total Japan		18,240,776


		Luxembourg — 0.0%
		Corporate Debt — 0.0%
	500,000	ArcelorMittal, 10.60%, due 06/01/19		586,250
	250,000	Intelsat Jackson Holdings SA, 7.25%, due 04/01/19		239,375
	500,000	INEOS Group Holdings SA, 144A, 5.88%, due 02/15/19		507,345

		Total Corporate Debt		1,332,970

		Total Luxembourg		1,332,970


		Puerto Rico — 0.3%
		Municipal Obligations — 0.3%
	3,012,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/38		2,334,300
	1,410,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 5.25%, due 07/01/42		1,071,600


Par Value†		Description	Value ($)
		Puerto Rico — continued
		Municipal Obligations — continued
	16,687,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/44		12,932,425
	26,571,000	Puerto Rico Commonwealth Aqueduct & Sewer Authority, (Senior Lien), 6.00%, due 07/01/47		20,592,525

		Total Municipal Obligations		36,930,850

		Total Puerto Rico		36,930,850


		United Kingdom — 0.3%
		Corporate Debt — 0.3%
	250,000	Algeco Scotsman Global Finance Plc, 144A, 8.50%, due 10/15/18		243,125
	2,750,000	Anglo American Capital Plc, 144A, 4.88%, due 05/14/25		2,853,125
	1,000,000	Globe Luxembourg, SCA, 144A, 9.63%, due 05/01/18		1,025,000
GBP	22,680,335	TWRFIN, Reg S, 8.75%, due 04/02/20		26,876,469

		Total Corporate Debt		30,997,719

		Total United Kingdom		30,997,719


		United States — 36.6%
		Bank Loans — 0.5%
	55,513,311	Sears Roebuck Acceptance Corp., Term Loan, 4.50%, due 06/30/18		54,888,786


		Corporate Debt — 0.5%
	1,500,000	Allegheny Technologies, Inc., 5.95%, due 01/15/21		1,506,615
	1,000,000	APX Group, Inc., 6.38%, due 12/01/19		1,028,750
	1,250,000	Arconic, Inc., 6.15%, due 08/15/20		1,368,750
	2,000,000	Avon Products, Inc., 7.00%, due 03/15/23		1,870,000
	1,000,000	Bill Barrett Corp., 7.63%, due 10/01/19		995,000
	500,000	Boxer Parent Co., Inc., 144A, 9.00%, due 10/15/19		501,875
	1,000,000	Brinker International, Inc., 2.60%, due 05/15/18		1,000,000
	1,500,000	CenturyLink, Inc., 5.80%, due 03/15/22		1,548,750
	1,000,000	Cenveo Corp., 144A, 6.00%, due 08/01/19		850,000
	1,250,000	CF Industries, Inc., 6.88%, due 05/01/18		1,311,562
	1,000,000	CHS/Community Health Systems, Inc., 8.00%, due 11/15/19^(c)		977,500
	500,000	Cleaver-Brooks, Inc., 144A, 8.75%, due 12/15/19		521,875
	750,000	Continental Resources, Inc., 5.00%, due 09/15/22		765,000
	500,000	CSC Holdings LLC, 8.63%, due 02/15/19		552,815


		See accompanying notes to the financial statements.		63

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		Corporate Debt — continued
	1,500,000	DCP Midstream Operating LP, 144A, 6.75%, due 09/15/37		1,590,000
	1,250,000	Downstream Development Authority of the Quapaw Tribe of Oklahoma, 144A, 10.50%, due 07/01/19		1,240,625
	250,000	Dynegy, Inc., 6.75%, due 11/01/19		257,500
	2,750,000	EMC Corp., 3.38%, due 06/01/23		2,628,607
	1,250,000	Ensco Plc 5.20% due		1,106,250
	2,500,000	Ensco Plc 5.75% due		1,950,000
	2,000,000	Freeport-McMoRan, Inc., 2.38%, due 03/15/18		1,990,000
	1,250,000	Genworth Holdings, Inc., 7.70%, due 06/15/20		1,245,312
	750,000	Gibson Brands, Inc., 144A, 8.88%, due 08/01/18		676,875
	1,250,000	Hertz Corp. (The), 6.75%, due 04/15/19		1,254,687
	250,000	iHeartCommunications, Inc., 9.00%, due 12/15/19		218,468
	8,861,500	iHeartCommunications, Inc., 9.00%, due 03/01/21		7,177,815
	4,430,800	iHeartCommunications, Inc., 9.00%, due 09/15/22		3,566,794
	750,000	Laureate Education, Inc., 144A, 9.25%, due 09/01/19		784,688
	1,000,000	Lexmark International, Inc., 6.13%, due 03/15/20		1,039,617
	1,250,000	Transocean, Inc., 6.80%, due 03/15/38		1,006,250
	750,000	Mallinckrodt International Finance SA, 3.50% due 04/15/18		751,875
	750,000	McClatchy Co. (The), 6.88%, due 03/15/29		644,063
	250,000	MHGE Parent LLC/MHGE Parent Finance, Inc., 144A, 8.50%, due 08/01/19 ^(c)		247,500
	500,000	Michael Baker International LLC/CDL Acquisition Co., Inc., 144A, 8.25%, due 10/15/18		505,000
	1,000,000	Murphy Oil Corp., 4.70%, due 12/01/22		982,500
	1,250,000	Navient Corp., 5.50%, due 01/25/23		1,200,000
	1,000,000	Springleaf Finance Corp., 5.25%, due 12/15/19		1,006,250
	750,000	Sprint Capital Corp., 6.90%, due 05/01/19		798,990
	2,250,000	Sprint Capital Corp., 8.75%, due 03/15/32		2,700,000
	500,000	Syniverse Holdings, Inc., 9.13%, due 01/15/19		460,000
	1,500,000	Talen Energy Supply LLC, 4.60%, due 12/15/21		1,235,250
	500,000	Tenet Healthcare Corp., 5.50%, due 03/01/19		505,805
	500,000	Valeant Pharmaceuticals International Inc, 144A, 6.75% due 08/15/18^(c)		492,500
	750,000	Vander Intermediate Holding II Corp., 144A, 9.75%, due 02/01/19		753,750


Par Value†		Description	Value ($)
		Corporate Debt — continued
	250,000	Wave Holdco LLC/Wave Holdco Corp., 144A, 8.25%, due 07/15/19		255,000
	2,000,000	Williams Cos, Inc. (The), 8.75%, due 03/15/32		2,567,500
	1,500,000	Yum! Brands, Inc., 5.35%, due 11/01/43		1,290,000

		Total Corporate Debt		58,927,963


		U.S. Government — 34.7%
	345,242,664	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 ^(d)		344,264,937
	233,111,560	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 ^(d)		235,096,272
	232,704,416	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 ^(d)		238,423,359
	215,341,498	U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/26 ^(d)		211,561,609
	41,000,000	U.S. Treasury Note, 1.88%, due 08/31/17		41,229,026
	75,000,000	U.S. Treasury Note, 0.63%, due 09/30/17		74,935,575
	175,000,000	U.S. Treasury Note, 0.88%, due 11/30/17		175,068,425
	30,000,000	U.S. Treasury Note, 2.25%, due 11/30/17		30,314,070
	320,000,000	U.S. Treasury Note, 1.00%, due 12/15/17		320,375,040
	125,000,000	U.S. Treasury Note, 0.88%, due 01/15/18		124,975,625
	82,500,000	U.S. Treasury Note, 0.88%, due 01/31/18		82,454,873
	355,000,000	U.S. Treasury Note, 0.75%, due 02/28/18 ^(e)		354,278,995
	10,000,000	U.S. Treasury Note, 0.75%, due 04/15/18		9,972,660
	55,000,000	U.S. Treasury Note, USBM + 0.19%, 0.71%, due 04/30/18		55,094,270
	10,000,000	U.S. Treasury Note, 2.63%, due 04/30/18		10,186,330
	55,000,000	U.S. Treasury Note, 1.00%, due 05/31/18		54,987,130
	55,000,000	U.S. Treasury Note, 1.38%, due 07/31/18		55,236,335
	165,000,000	U.S. Treasury Note, 0.75%, due 10/31/18		163,884,930
	50,000,000	U.S. Treasury Note, 1.00%, due 11/30/18		49,853,500
	100,000,000	U.S. Treasury Note, 1.25%, due 12/31/18		100,082,000
	150,000,000	U.S. Treasury Note, 1.13%, due 01/31/19		149,718,750
	40,000,000	U.S. Treasury Note, 1.50%, due 01/31/19		40,203,120
	110,000,000	U.S. Treasury Note, 0.75%, due 02/15/19		108,964,460


64		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)

February 28, 2017


Par Value† / Number of Contracts		Description	Value ($)
		U.S. Government — continued
	50,000,000	U.S. Treasury Note, 1.38%, due 02/28/19		50,138,650
	20,000,000	U.S. Treasury Note, 1.50%, due 02/28/19		20,098,440
	150,000,000	U.S. Treasury Note, 1.13%, due 02/28/19		149,683,650
	50,000,000	U.S. Treasury Note, 0.88%, due 04/15/19		49,582,050
	75,000,000	U.S. Treasury Note, 3.13%, due 05/15/19		77,941,425
	25,000,000	U.S. Treasury Note, 1.63%, due 06/30/19		25,164,050
	290,000,000	U.S. Treasury Note, 3.63%, due 08/15/19		305,813,990
	25,000,000	U.S. Treasury Note, 1.75%, due 09/30/19		25,224,600
	105,000,000	U.S. Treasury Note, 1.25%, due 10/31/19		104,540,625
	52,500,000	U.S. Treasury Note, 1.50%, due 10/31/19		52,600,485

		Total U.S. Government		3,891,949,256


		U.S. Government Agency — 0.9%
	20,000,000	Federal Home Loan Bank Discount Notes, due 03/08/17		19,998,440
	20,000,000	Federal Home Loan Bank Discount Notes, Variable Rate, 0.56%, due 07/27/17		20,001,620
	64,000,000	Federal Home Loan Bank Discount Notes, Variable Rate, 0.81%, due 02/01/19		63,999,552

		Total U.S. Government Agency		103,999,612

		Total United States		4,109,765,617


		TOTAL DEBT OBLIGATIONS (COST $4,281,554,785)		4,280,864,464


		OPTIONS PURCHASED — 0.1%

		Currency Options — 0.0%
EUR	31,901,000	EUR Call/USD Put, Expires 03/06/17, Strike 1.15, (OTC) (CP-GS)		—
EUR	31,901,000	EUR Call/USD Put, Expires 03/06/17, Strike 1.15, (OTC) (CP-GS)		—
USD	35,446,000	USD Call/CHF Put, Expires 03/06/17, Strike 1.00, (OTC) (CP-GS)		335,709
USD	35,445,000	USD Call/CHF Put, Expires 03/06/17, Strike 1.00, (OTC) (CP-BCLY)		335,699

		Total Currency Options		671,408


		Equity Options — 0.1%
	1,100	CDK Global, Inc., Put, Expires 05/19/17, Strike 65		225,500


Par Value† / Number of Contracts		Description	Value ($)
		Equity Options — continued
	5,500	Cypress Semiconductor Corp., Put, Expires 06/16/17, Strike 12		291,500
	2,000	Depomed, Inc., Put, Expires 03/17/17, Strike 19		538,000
	1,000	DISH Network Corp., Put, Expires 06/16/17, Strike 53		125,000
	900	EI du Pont de Nemours & Co., Put, Expires 07/21/17, Strike 75		206,100
	1,724	Exxon Mobil Corp., Put, Expires 06/16/17, Strike 80		444,792
	400	F5 Networks, Inc., Put, Expires 04/21/17, Strike 135		89,200
	2,800	Pandora Media, Inc., Put, Expires 06/16/17, Strike 13		400,400
	3,301	Sears Holdings Corp., Put, Expires 01/19/18, Strike 10		1,693,413
	7,078	Sears Holdings Corp., Put, Expires 01/19/18, Strike 8		2,583,470
	6,052	Sears Holdings Corp., Put, Expires 06/15/18, Strike 8		1,997,160
	1,964	Sears Holdings Corp., Put, Expires 06/15/18, Strike 10		1,040,920
	1,000	T-Mobile US, Inc., Put, Expires 05/19/17, Strike 50		58,000
	2,000	Twitter, Inc., Put, Expires 04/21/17, Strike 18		490,000
	2,300	Unilever NV, Put, Expires 08/18/17, Strike 45		414,000
	7,500	Viacom, Inc., Put, Expires 03/17/17, Strike 33		15,000
	2,500	Williams Cos , Inc. (The), Put, Expires 05/19/17, Strike 28		392,500
	2,400	Yahoo!, Inc., Put, Expires 07/21/17, Strike 44		441,600

		Total Equity Options		11,446,555


		TOTAL OPTIONS PURCHASED (COST $13,665,839)		12,117,963


		SHORT-TERM INVESTMENTS — 6.8%

		Money Market Funds — 0.2%
	24,979,063	State Street Institutional Treasury Money Market Fund-Premier Class, 0.42% ^(f) (g)		24,979,063


		Repurchase Agreements — 6.1%
	278,849,254	Daiwa Capital Markets America Inc. Repurchase Agreement, dated 02/28/17, maturing on 03/01/17 with a maturity value of $278,853,282 and an effective yield of 0.52%, collateralized by a U.S. Treasury Note with maturity date 07/31/23 and a market value of $284,364,255.		278,849,254


		See accompanying notes to the financial statements.		65

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017


Par Value†		Description	Value ($)
		Repurchase Agreements — continued
	110,092,416	Mizuho Securities USA Inc. Repurchase Agreement, dated 02/28/17, maturing on 03/01/17 with a maturity value of $110,094,037 and an effective yield of 0.53%, collateralized by a U.S. Treasury Note with maturity date 09/30/20 and a market value of $ 112,231,757.		110,092,416
	297,190,753	Nomura Securities International Inc. Repurchase Agreement, dated 02/28/17, maturing on 03/01/17 with a maturity value of $297,195,046 and an effective yield of 0.52%, collateralized by a U.S. Treasury Note with maturity date 08/15/24 and a market value of $302,962,770.		297,190,753

		TOTAL REPURCHASE AGREEMENTS (COST $686,132,423)		686,132,423


		U.S. Government — 0.5%
	25,000,000	U.S. Treasury Bill, 0.50%, due 04/20/17^(g) (h)		24,982,450
	25,000,000	U.S. Treasury Bill, 0.63%, due 07/20/17^(g) (h)		24,938,725

		Total U.S. Government		49,921,175


		TOTAL SHORT-TERM INVESTMENTS (COST $761,035,926)		761,032,661


		TOTAL INVESTMENTS — 98.6% (Cost $10,603,827,326)		11,072,226,916


Shares			Description	Value ($)
			SECURITIES SOLD SHORT — (1.5)%

			Common Stocks — (1.4)%
			Canada — 0.0%
	(6,634	)	Fairfax Financial Holdings Ltd		(2,986,848	)


			United Kingdom — (0.3)%
	(533,102	)	British American Tobacco Plc Sponsored ADR		(34,033,232	)


			United States — (1.1)%
	(40,084	)	Analog Devices, Inc.		(3,284,082	)
	(785,461	)	CenturyLink, Inc.		(19,055,284	)
	(82,554	)	Great Plains Energy, Inc.		(2,399,019	)
	(119,414	)	Praxair, Inc.		(14,175,636	)
	(212,836	)	Rockwell Collins, Inc.		(20,344,993	)
	(9,296,281	)	Sirius XM Holdings, Inc.		(47,318,070	)
	(144,525	)	Tesoro Corp.		(12,312,085	)

			Total United States		(118,889,169	)


			TOTAL COMMON STOCKS (PROCEEDS $140,407,228)		(155,909,249	)


			Exchange-Traded Fund — (0.1)%
	(90,500	)	Vanguard Industrials ETF (Proceeds $11,116,917)		(11,313,405	)

					(11,313,405	)


			TOTAL SECURITIES SOLD SHORT (PROCEEDS $151,524,145)		(167,222,654	)

			Other Assets and Liabilities (net) — 2.9%		321,679,591


			TOTAL NET ASSETS — 100.0%		$11,226,683,853

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Reverse Repurchase Agreements⁽¹⁾


Face Value		Description	Market Value
USD	412,425	Barclays Bank plc, (0.75%), dated 02/13/17, (collateral: Valeant Pharmaceuticals International, 144A 6.75%, due 08/15/18), to be repurchased on demand at face value plus accrued interest.	$	(412,297	)
USD	183,857	Barclays Bank plc, (1.00%), dated 02/13/17, (collateral: MHGE Parent LLC/MHGE Parent Finance, Inc., 144A, 8.50%, due 08/01/19), to be repurchased on demand at face value plus accrued interest.		(183,780	)
USD	730,178	Citigroup, Inc., (0.75%), dated 02/15/17, (collateral: CHS/Community Health Systems, Inc. 8.00%, due 11/15/19), to be repurchased on demand at face value plus accrued interest.	$	(729,980	)

			$	(1,326,057	)

		Average balance outstanding	$	(140,735,846	)
		Average interest rate		(0.22	)%
		Maximum balance outstanding	$	(290,656,351	)

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


66		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2017

Forward Currency Contracts


Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/13/2017	BOA		AUD	2,850,645		USD	2,152,371	$	(32,647	)
03/13/2017	GS		AUD	9,658,743		USD	7,290,635		(112,788	)
03/13/2017	MSCI		AUD	5,971,336		USD	4,518,186		(58,841	)
03/09/2017	MSCI		CHF	39,051,699		USD	38,892,628		(2,712	)
03/20/2017	MSCI		EUR	34,092,851		USD	36,388,664		241,914
11/07/2017	GS		EUR	193,938,000		USD	212,934,227		4,805,098
12/22/2017	JPM		EUR	55,095,000		USD	60,857,937		1,569,874
03/20/2017	GS		GBP	40,466,887		USD	50,610,519		375,714
03/13/2017	BCLY		HKD	57,710,360		USD	7,446,079		10,799
03/13/2017	BOA		JPY	3,027,116,116		USD	26,622,074		(332,112	)
05/22/2017	BOA		JPY	1,700,000,000		USD	15,206,813		22,566
03/09/2017	MSCI		SEK	146,685,825		USD	16,143,448		(111,630	)
03/09/2017	MSCI		USD	20,645,000		CHF	21,156,583		426,874
03/13/2017	MSCI		USD	8,402,624		NZD	12,060,000		281,123
03/20/2017	BCLY		USD	1,968,121		EUR	1,859,942		3,872
03/20/2017	BOA		USD	1,553,918		EUR	1,463,735		(2,001	)
03/20/2017	GS		USD	67,000		GBP	53,404		(705	)
03/20/2017	JPM		USD	216,000		EUR	204,120		418
11/07/2017	GS		USD	214,049,371		EUR	193,938,000		(5,920,241	)
12/22/2017	JPM		USD	61,316,438		EUR	55,095,000		(2,028,375	)

								$	(863,800	)

Futures Contracts


Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
292	U.S. Treasury Note 10 Yr. (CBT)	June 2017	$	36,376,812	$	102,215
66	U.S. Treasury Note 2 Yr. (CBT)	June 2017		14,282,813		7,145
190	U.S. Treasury Note 5 Yr. (CBT)	June 2017		22,363,594		24,972

			$	73,023,219	$	134,332

Sales
51	U.S. Long Bond (CBT)	June 2017	$	7,734,469	$	(77,397	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Equity Options



Number of Contracts			Expiration Date	Description	Premiums		Value
Call	USD	1,470	04/21/2017	Monsanto Co., Strike 105.00	$	975,525	$	(1,345,050	)
Call	USD	1,325	10/20/2017	Monsanto Co., Strike 110.00		783,931		(1,164,675	)
Call	USD	10,000	08/18/2017	Rite Aid Corp. Strike 6.00		436,567		(500,000	)
Call	USD	9,951	04/21/2017	Rite Aid Corp. Strike 7.00		931,983		(19,902	)
Call	USD	2,684	04/21/2017	Rite Aid Corp. Strike 8.00		121,998		(5,368	)
Call	USD	3,750	03/17/2017	Viacom, Inc. Strike 37.50		1,337,443		(2,475,000	)
Call	USD	3,750	03/17/2017	Viacom, Inc. Strike 40.00		629,311		(1,323,750	)

					$	5,216,758	$	(6,833,745	)

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)

3,000,000

USD

3/20/2017

MSCI

(Pay)

5.00%

28.13%

Sears Roebuck Acceptance Corp.

38,523

3,000,000

USD

3/20/2017

(Pay)

5.00%

28.13%

Sears Roebuck Acceptance Corp.

38,523

3,000,000

USD

3/20/2017

(Pay)

5.00%

28.13%

Sears Roebuck Acceptance Corp.

38,523

17,458,000

USD

12/20/2018

(Pay)

5.00%

33.05%

Sears Roebuck Acceptance Corp.

5,892,076

6,000,000

USD

12/20/2018

(Pay)

0.00%

1.00%

Sears Roebuck Acceptance Corp.

(341,025

)


		See accompanying notes to the financial statements.		67

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2017



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)
	3,000,000	USD	6/20/2021	MSCI	(Pay)	0.00%	1.00%	Sears Roebuck Acceptance Corp.	NA	$	(241,621	)
	3,000,000	USD	12/20/2021	MSCI	(Pay)	0.00%	1.00%	Sears Roebuck Acceptance Corp.	NA		(247,137	)
	8,702,000	EUR	12/20/2021	BCLY	(Pay)	1.00%	1.3%	Assicurazioni Generali SpA	NA		128,988
	15,135,000	USD	12/20/2021	JPM	(Pay)	1.00%	0.77%	MetLife, Inc.	NA		(158,495	)
	3,814,000	USD	12/20/2021	JPM	(Pay)	1.00%	0.65%	Prudential Financial	NA		(60,613	)
	27,255,000	USD	12/20/2021	JPM	(Pay)	1.00%	0.77%	MetLife, Inc.	NA		(285,416	)
	10,660,000	USD	12/20/2021	JPM	(Pay)	1.00%	0.65%	Prudential Financial	NA		(169,410	)
	79,900,000	USD	12/20/2021	CSS⁽ⁱ⁾	(Pay)	5.00%	3.28%	CDX.NA.HYS27.V1-5Y	NA		6,109,208
	11,590,000	EUR	12/20/2021	JPM	(Pay)	1.00%	1.3%	Assicurazioni Generali SpA	NA		171,796
	2,298,000	USD	12/20/2021	BOA	(Pay)	1.00%	0.77%	MetLife, Inc.	NA		(24,065	)
	15,229,000	USD	12/20/2021	BCLY	(Pay)	1.00%	0.65%	Prudential Financial	NA		(242,022	)
	6,472,000	USD	12/20/2021	CSI	(Pay)	1.00%	0.77%	MetLife, Inc.	NA		(67,775	)
	8,803,000	USD	12/20/2021	GS	(Pay)	1.00%	0.77%	MetLife, Inc.	NA		(92,186	)
	30,260,000	USD	12/20/2021	MSCI	(Pay)	1.00%	0.65%	Prudential Financial	NA		(480,897	)
	13,087,000	EUR	12/20/2021	BCLY	(Pay)	1.00%	1.30%	Assicurazioni Generali SpA	NA		97,341

										$	10,104,316

								Premiums Paid/(Received)		$	(11,894,351	)

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⁾

⁽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)

576,500,000

MXN

1/22/2027

JPMF ^(j)

Receive

7.90%

TIIE

156,873

313,700,000

MXN

1/26/2027

JPMF ^(j)

Receive

7.89%

TIIE

74,015

342,300,000

MXN

1/26/2027

JPMF ^(j)

Receive

7.87%

TIIE

55,801

1,132,092,000

MXN

1/27/2027

JPMF ^(j)

Receive

7.91%

TIIE

349,761

58,468,000

CAD

3/17/2027

JPMF ^(k)

(Pay)

1.86%

3 Month CAD LIBOR

73,171

28,648,000

CAD

3/17/2027

JPMF ^(k)

Receive

1.97%

3 Month CAD LIBOR

183,517

27,897,000

CAD

3/17/2027

JPMF ^(k)

(Pay)

2.00%

3 Month CAD LIBOR

(243,049

)

39,590,000

CHF

3/17/2027

JPMF ^(k)

(Pay)

0.17%

6 Month CHF LIBOR

(549,139

)

54,160,000

EUR

3/17/2027

JPMF ^(k)

(Pay)

0.77%

6 Month EURIBOR

(528,417

)

17,232,000

GBP

3/17/2027

JPMF ^(k)

(Pay)

1.35%

6 Month GBP LIBOR

(402,887

)

74,119,000

GBP

3/17/2027

JPMF ^(k)

(Pay)

1.43%

6 Month GBP LIBOR

(2,446,795

)


68		See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2017



Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	17,093,000	GBP	3/17/2027	JPMF ^(k)	(Pay)	1.43%	6 Month GBP LIBOR	$	(559,124	)
	17,440,000	GBP	3/17/2027	JPMF ^(k)	(Pay)	1.40%	6 Month GBP LIBOR		(512,734	)
	19,709,000	GBP	3/17/2027	JPMF ^(k)	(Pay)	1.30%	6 Month GBP LIBOR		(346,904	)
	44,051,000	GBP	3/17/2027	JPMF ^(k)	(Pay)	1.38%	6 Month GBP LIBOR		(1,189,025	)
	15,188,000	GBP	3/17/2027	JPMF ^(k)	(Pay)	1.41%	6 Month GBP LIBOR		(466,640	)
	18,794,000	GBP	3/17/2027	JPMF ^(k)	(Pay)	1.42%	6 Month GBP LIBOR		(606,846	)
	16,527,000	NZD	3/17/2027	JPMF ^(k)	Receive	3.47%	3 Month NZD Bank Bill Rate		(10,106	)
	14,689,000	NZD	3/17/2027	JPMF ^(k)	Receive	3.67%	3 Month NZD Bank Bill Rate		171,322
	136,948,000	NZD	3/17/2027	JPMF ^(k)	Receive	2.68%	3 Month NZD Bank Bill Rate		(6,681,710	)
	17,175,000	NZD	3/17/2027	JPMF ^(k)	(Pay)	2.94%	3 Month NZD Bank Bill Rate		(563,905	)
	29,836,000	NZD	3/17/2027	JPMF ^(k)	Receive	2.93%	3 Month NZD Bank Bill Rate		(995,624	)
	15,653,000	NZD	3/17/2027	JPMF ^(k)	Receive	2.91%	3 Month NZD Bank Bill Rate		(538,911	)
	198,210,000	SEK	3/17/2027	JPMF ^(k)	(Pay)	1.14%	3 Month SEK STIBOR		(144,450	)
	180,162,000	SEK	3/17/2027	JPMF ^(k)	(Pay)	1.14%	3 Month SEK STIBOR		(121,629	)
	229,610,000	SEK	3/17/2027	JPMF ^(k)	(Pay)	0.90%	3 Month SEK STIBOR		(435,027	)
	155,150,000	SEK	3/17/2027	JPMF ^(k)	Receive	1.17%	3 Month SEK STIBOR		158,862
	176,432,000	SEK	3/17/2027	JPMF ^(k)	Receive	1.18%	3 Month SEK STIBOR		204,323
	180,124,000	SEK	3/17/2027	JPMF ^(k)	Receive	1.18%	3 Month SEK STIBOR		203,766
	493,670,000	SEK	3/17/2027	JPMF ^(k)	Receive	1.14%	3 Month SEK STIBOR		350,078
	44,030,000	USD	3/17/2027	JPMF ^(k)	(Pay)	2.22%	3 Month USD LIBOR		(493,165	)
	45,635,000	USD	3/17/2027	JPMF ^(k)	Receive	2.49%	3 Month USD LIBOR		641,937
	38,925,000	USD	3/17/2027	JPMF ^(k)	(Pay)	2.35%	3 Month USD LIBOR		(33,550	)
	21,816,000	USD	3/17/2027	JPMF ^(k)	(Pay)	2.32%	3 Month USD LIBOR		30,040
	29,281,000	USD	3/17/2027	JPMF ^(k)	(Pay)	2.29%	3 Month USD LIBOR		144,675
	21,698,000	USD	3/17/2027	JPMF ^(k)	(Pay)	2.26%	3 Month USD LIBOR		154,796

								$	(14,916,700	)

						Premiums Paid/(Received)		$	(160,430	)

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

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

Total Return Swaps

Notional
Amount

Expiration
Date

Counterparty

Fund Pays

Fund Receives

Net
Unrealized
Appreciation/
(Depreciation)

50,022,931

USD

3/1/2017

Depreciation of Total Return on IBOXX High Yield + (1 month USD LIBOR rate minus 0.70%)

Appreciation of Total Return on IBOXX High Yield

573,066


		See accompanying notes to the financial statements.		69

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2017

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

*	Non-income producing security.

(a)	Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees (Note 2).

(b)	Security is in default.

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

(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 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)	The rate disclosed is the 7 day net yield as of February 28, 2017.

(g)	All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund.

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

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

(j)	Swap was cleared through the CME Group Inc.

(k)	Swap was cleared through the LCH.Clearnet Group Ltd.

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


70		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO International Developed Equity Allocation Fund returned +17.37% (net) for the fiscal year ended February 28, 2017, as compared with +15.75% for the Fund’s benchmark, the MSCI EAFE Index.

The Fund’s exposure to emerging markets was the largest positive contributor to performance relative to the benchmark. The Fund’s modest cash holdings were a drag on relative performance given the strong returns generated by equities.

Allocation between sectors proved neutral, as a positive contribution from an underweight position in Healthcare offset a negative contribution from being overweight in Telecommunication Services. Apart from very modest underperformance in Information Technology, stock selection was beneficial in all sectors with Financials, Health Care, Utilities, and Telecommunication Services of particular note.

Top stock detractors included having no exposure to the strongly performing HSBC and overweight positions in Nippon Telegraph and Telephone Corporation and KDDI Corporation (a Japanese telecoms company). Top stock contributors included overweight positions in Sumitomo Mitsui Financial Group and BASF, as well as having no exposure to Novo Nordisk (a Danish Pharmaceutical company).

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO International Developed Equity Allocation Fund Class III Shares and the MSCI EAFE Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .08% on the purchase and .08% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		97.8	%
Preferred Stocks		1.2
Short-Term Investments		1.0
Investment Funds		0.1
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.0	)^
Other		(0.1	)

		100.0	%


Country/Region Summary¤	% of Investments
Japan		24.9	%
United Kingdom		15.0
France		8.7
Germany		8.4
Australia		6.0
Switzerland		5.1
Hong Kong		4.3
Spain		3.3
Other Emerging		3.1	†
Other Developed		2.8	‡
Netherlands		2.7
Taiwan		2.6
Canada		2.3
China		2.0
Norway		1.9
Italy		1.8
South Korea		1.6
India		1.2
Israel		1.2
Finland		1.1

		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.

†	"Other Emerging" is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡	"Other Developed" is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^	Rounds to 0.0%.

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%

		Affiliated Issuers — 100.0%
	2,007,664	GMO Emerging Markets Fund, Class VI		59,768,161
	26,588,637	GMO International Equity Fund, Class IV		541,876,427


		TOTAL MUTUAL FUNDS (COST $675,602,270)		601,644,588


		SHORT-TERM INVESTMENTS — 0.0%

		Time Deposits — 0.0%
	200,023	State Street Eurodollar Time Deposit, 0.07%, due 03/01/17		200,023


		TOTAL SHORT-TERM INVESTMENTS (COST $200,023)		200,023


		TOTAL INVESTMENTS — 100.0% (Cost $675,802,293)		601,844,611
		Other Assets and Liabilities (net) — (0.0%)		(52,379	)


		TOTAL NET ASSETS — 100.0%		$601,792,232

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.


		See accompanying notes to the financial statements.		75

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO International Equity Allocation Fund returned +21.57% (net) for the fiscal year ended February 28, 2017, as compared with +19.31% for the MSCI ACWI (All Country World Index) ex USA.

Allocation between sectors proved neutral, as a positive contribution from an underweight position in Healthcare offset a negative contribution from being overweight in Telecommunication Services. Apart from modest underperformance in Energy and Information Technology, stock selection was beneficial in all sectors with Financials, Utilities, Telecommunication Services, and Health Care of particular note.

Top stock detractors included overweight positions in Nippon Telegraph and Telephone Corporation, KDDI Corporation (a Japanese telecoms company), and Swiss Re. Top stock contributors included overweight positions in Sberbank Russia and Samsung Electronics Co., as well as having no exposure to Novo Nordisk (a Danish Pharmaceutical company).

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO International Equity Allocation Fund Class III Shares and the MSCI ACWI ex USA

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .25% on the purchase and .25% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		96.7	%
Preferred Stocks		1.9
Short-Term Investments		1.3
Investment Funds		0.2
Swap Contracts		0.0	^
Rights/Warrants		0.0	^
Futures Contracts		(0.0	)^
Other		(0.1	)

		100.0	%


Country/Region Summary¤	% of Investments
Japan		18.4	%
United Kingdom		11.2
Taiwan		8.4
China		6.6
France		6.5
Germany		6.3
South Korea		5.4
Australia		4.5
India		4.1
Other Emerging		4.1	†
Switzerland		3.8
Other Developed		3.6	‡
Hong Kong		3.3
Spain		2.5
Russia		2.1
Netherlands		2.0
Canada		1.7
Turkey		1.7
Norway		1.4
Italy		1.3
Brazil		1.1

		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.

†	“Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡	“Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^	Rounds to 0.0%.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 100.0%

		Affiliated Issuers — 100.0%
	11,972,873	GMO Emerging Markets Fund, Class VI		356,432,437
	35,776,490	GMO International Equity Fund, Class IV		729,124,865


		TOTAL MUTUAL FUNDS (COST $1,187,462,443)		1,085,557,302


		SHORT-TERM INVESTMENTS — 0.0%

		Time Deposits — 0.0%
	289,908	State Street Eurodollar Time Deposit, 0.07%, due 03/01/2017		289,908


		TOTAL SHORT-TERM INVESTMENTS (COST $289,908)		289,908


		TOTAL INVESTMENTS — 100.0% (Cost $1,187,752,351)		1,085,847,210
		Other Assets and Liabilities (net) — (0.0%)		(44,026	)


		TOTAL NET ASSETS — 100.0%	$	1,085,803,184

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.


		See accompanying notes to the financial statements.		79

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Systematic Global Macro team at Grantham, Mayo, Van Otterloo & Co. LLC. Prior to March 9, 2016, both Grantham, Mayo, Van Otterloo & Co. LLC and GMO Singapore Pte. Limited were responsible for day-to-day management of the Fund’s portfolio.

Management Discussion and Analysis of Fund Performance

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any index or benchmark, a discussion of the Fund’s performance relative to the Citigroup 3 Month Treasury Bill Index is included for comparative purposes.

Class III shares of GMO SGM Major Markets Fund returned +5.12% (net) for the fiscal year ended February 28, 2017, as compared with +0.32% for the Citigroup 3-Month Treasury Bill Index.

The Fund added value from equity market positions and currency management. The Fund gradually increased beta exposure throughout the year based on strengthening momentum, and global equities were up over 20%. Another highlight was our exposure to UK markets, both a long in (hedged) equities, and a short in the GBP. These positions performed well when the British delivered a surprise referendum result in June to leave the European Union. A long position in U.S. Treasuries detracted some value after the U.S. election, as inflation expectations jumped up with the talk of tax cuts and infrastructure spending. Short positions in commodity markets also lost value over the year.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO SGM Major Markets Fund Class III Shares and the Citigroup 3-Month Treasury Bill +++ Index

As of February 28, 2017

LOGO

The Citigroup 3-Month Treasury Bill +++ Index is a composite benchmark computed by GMO and comprised of 50% Bloomberg Commodity Total Return Index (formerly the Dow Jones-UBS Commodity Index) and 50% J.P. Morgan U.S. 3 Month Cash Index through October 3, 2011 and the Citigroup 3-Month Treasury Bill Index thereafter.

For S&P disclaimers please visit http://www.gmo.com/America/_Disclaimers/_BenchmarkDisclaimers.htm.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary ^(a)

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Short-Term Investments		61.4	%
Debt Obligations		38.3
Futures Contracts		1.7	+
Forward Currency Contracts		0.2
Other		(1.6	)

		100.0	%

(a)	GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund.

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 exposure the Fund has to futures contracts based on notional amounts is 12.5% of net assets.

+	Some or all is comprised of commodity exposure. See Consolidated Schedule of Investments.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 20.9%

		U.S. Government — 20.3%
	6,500,000	U.S. Treasury Note, 0.63%, due 05/31/17		6,501,833
	6,500,000	U.S. Treasury Note, 0.75%, due 06/30/17		6,503,549
	70,000,000	U.S. Treasury Note, 0.63%, due 09/30/17 ^(a)		69,939,870
	100,000,000	U.S. Treasury Note, 1.00%, due 02/15/18 ^(b)		100,054,700
	20,000,000	U.S. Treasury Note, 0.75%, due 02/28/18^(b)		19,959,380
	12,700,000	U.S. Treasury Note, 0.88%, due 03/31/18^(b)		12,684,125
	14,000,000	U.S. Treasury Note, 2.88%, due 03/31/18^(b)		14,283,276
	62,000,000	U.S. Treasury Note, USBM + 0.17%, 0.95%, due 10/31/18 ^(a)		62,061,008
	13,500,000	U.S. Treasury Note, USBM + 0.19%, 0.97%, due 04/30/18		13,523,139

		Total U.S. Government		305,510,880


		U.S. Government Agency — 0.6%
	9,000,000	Federal Home Loan Banks, 0.80%, 3 mo. LIBOR + 0.23%, due 02/13/19		8,996,634


		TOTAL DEBT OBLIGATIONS (COST $314,569,309)		314,507,514


		MUTUAL FUNDS — 55.4%

		Affiliated Issuers — 55.4%
	33,388,654	GMO U.S. Treasury Fund		834,716,360


		TOTAL MUTUAL FUNDS (COST $834,981,269)		834,716,360


		SHORT-TERM INVESTMENTS — 23.5%

		Money Market Funds — 1.3%
	3,289,392	SSgA USD Liquidity Fund-Class S2 Shares ^(b)		3,289,392


Par Value† / Shares		Description	Value ($)
		Money Market Funds — continued
	16,986,577	State Street Institutional Treasury Plus Money Market Fund-Premier Class, 0.41% ^(c)		16,986,577

		Total Money Market Funds		20,275,969


		U.S. Government — 20.3%
	25,000,000	U.S. Treasury Bill, 0.40%, due 03/16/17 ^(b) (d)		24,995,600
	30,000,000	U.S. Treasury Bill, 0.41%, due 03/23/17 ^(b) (d)		29,992,320
	25,000,000	U.S. Treasury Bill, 0.44%, due 04/06/17 ^(b) (d)		24,988,800
	55,000,000	U.S. Treasury Bill, 0.48%, due 04/13/17 ^(b) (d)		54,968,375
	13,000,000	U.S. Treasury Note, 0.63%, due 06/30/17		12,999,493
	20,000,000	U.S. Treasury Note, 0.50%, due 07/31/17		19,984,380
	40,000,000	U.S. Treasury Note, 0.88%, due 08/15/17^(b)		40,025,000
	25,000,000	U.S. Treasury Note, 1.88%, due 08/31/17^(a)		25,139,650
	40,000,000	U.S. Treasury Note, 1.00%, due 09/15/17^(b)		40,053,120
	33,000,000	U.S. Treasury Note, 1.00%, due 12/15/17		33,038,676

		Total U.S. Government		306,185,414


		U.S. Government Agency — 1.9%
	22,000,000	Federal Home Loan Bank Discount Notes, due 03/30/17		21,992,916
	7,000,000	Federal Home Loan Bank Discount Notes, due 04/21/17		6,995,240

		Total U.S. Government Agency		28,988,156


		TOTAL SHORT-TERM INVESTMENTS (COST $355,467,923)		355,449,539


		TOTAL INVESTMENTS — 99.8% (Cost $1,505,018,501)		1,504,673,413
		Other Assets and Liabilities (net) — 0.2%		2,713,568


		TOTAL NET ASSETS — 100.0%		$1,507,386,981

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Forward Currency Contracts



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
04/10/2017	SSB		AUD	52,923,742		USD	40,424,477	$	(115,858	)
04/18/2017	UBS		CHF	110,040,511		USD	110,106,575		240,410
04/03/2017	JPM		EUR	6,264,667		USD	6,650,706		3,960
04/03/2017	MSCI		EUR	2,308,219		USD	2,440,445		(8,551	)
04/03/2017	SSB		EUR	17,665,161		USD	18,925,338		182,788
03/24/2017	JPM		GBP	54,149,626		USD	66,331,397		(896,778	)
03/24/2017	MSCI		GBP	586,360		USD	729,754		1,773
03/24/2017	UBS		GBP	54,149,625		USD	66,879,660		(348,513	)
04/24/2017	MSCI		GBP	59,776,494		USD	74,387,065		117,893
05/23/2017	JPM		GBP	60,000,000		USD	74,731,800		136,830
05/23/2017	SSB		GBP	25,698		USD	32,065		116
04/07/2017	SSB		JPY	340,000,000		USD	3,030,412		(720	)
03/09/2017	JPM		USD	89,677,816		NZD	126,285,795		1,264,401
03/09/2017	SSB		USD	2,441,707		NZD	3,393,948		2,377
03/17/2017	JPM		USD	34,958,624		NZD	48,914,045		257,559
03/17/2017	MSCI		USD	23,439,551		NZD	33,017,638		331,845



Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/17/2017	SSB		USD	4,929,944		NZD	6,869,833	$	16,065
03/17/2017	UBS		USD	7,067,363		NZD	9,716,942		(71,548	)
04/03/2017	MSCI		USD	8,635,020		EUR	8,065,000		(78,140	)
04/03/2017	SSB		USD	3,429,880		EUR	3,200,000		(34,714	)
04/07/2017	MSCI		USD	87,017,809		JPY	9,849,101,395		787,870
04/07/2017	UBS		USD	85,774,735		JPY	9,721,116,667		889,947
04/10/2017	JPM		USD	6,376,343		AUD	8,310,029		(10,744	)
04/10/2017	MSCI		USD	9,530,645		AUD	12,452,939		8,482
04/10/2017	UBS		USD	5,273,476		AUD	6,931,215		35,932
04/18/2017	JPM		USD	44,225,894		NZD	61,742,672		184,338
04/18/2017	SSB		USD	1,625,552		CHF	1,630,000		1,865
04/18/2017	SSB		USD	394,358		NZD	546,923		(967	)
04/28/2017	JPM		USD	28,855,890		JPY	3,244,054,197		89,754

								$	2,987,672


		See accompanying notes to the financial statements.		83

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

February 28, 2017

Futures Contracts



Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
7,364	Euro STOXX 50	March 2017	$	260,087,332	$	7,083,641
4,171	FTSE 100 Index	March 2017		377,355,456		19,858,200
169	Hang Seng Index	March 2017		25,830,391		(398,927	)
3,238	Mini MSCI Emerging Markets	March 2017		150,696,520		8,732,332
415	MSCI Singapore	March 2017		10,207,725		(83,904	)
864	MSCI Taiwan Index	March 2017		30,979,622		(295,018	)
463	S&P TSX 60 Index	March 2017		63,350,712		657,026
54	Silver ^(b)	May 2017		4,986,630		187,798
1,139	Soybean ^(b)	May 2017		58,985,962		(877,227	)
621	SPI 200	March 2017		67,738,553		1,809,830
1,078	U.S. Treasury Note 10 Yr. (CBT)	June 2017		134,295,219		377,356

			$	1,184,514,122	$	37,051,107



Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Sales
5	Australian Government Bond 10 Yr.	March 2017	$	493,009	$	(8	)
209	Canadian Government Bond 10 Yr.	June 2017		21,674,013		(166,069	)
3,859	Corn^(b)	May 2017		72,115,062		309,346
509	Crude Oil^(b)	March 2017		27,491,090		(298,585	)
1,325	Euro Bund	March 2017		233,789,267		(3,547,737	)
2,445	FTSE/JSE TOP 40	March 2017		82,413,249		1,164,443
397	Gold 100 OZ ^(b)	April 2017		49,779,830		(2,769,088	)
224	Japanese Government Bond 10 Yr. (OSE)	March 2017		301,467,906		(999,396	)
639	Nikkei 225	March 2017		109,261,659		(4,147,919	)
616	UK Gilt Long Bond	June 2017		97,528,207		(1,190,495	)

			$	996,013,292	$	(11,645,508	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

(a)	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).

(b)	All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

(c)	The rate disclosed is the 7 day net yield as of February 28, 2017.

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


84		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Class VI shares of GMO Special Opportunities Fund returned +13.21% (net) for the fiscal year ended February 28, 2017, as compared with +2.84% for the CPI.

The Fund’s exposure to equities (which is predominantly in the US) was the key driver of performance.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $300,000,000 Investment in

GMO Special Opportunities Fund Class VI Shares and the Consumer Price Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .50% on the purchase and .50% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		72.8	%
Short-Term Investments		25.6
Debt Obligations		2.1
Forward Currency Contracts		0.0	^
Written Options		(0.2	)
Futures Contracts		(0.3	)+
Other		0.0	^

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Other Developed		0.9	%‡
Other Emerging		0.6	†

		1.5	%


Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		56.3	%
United Kingdom		5.9
Netherlands		3.8
Germany		3.7
Romania		2.4
Other Developed		0.5	‡

		72.6	%


Industry Group Summary	% of Equity Investments^#
Diversified Financials		26.8	%
Software & Services		23.9
Retailing		11.2
Media		9.0
Banks		8.1
Capital Goods		7.2
Automobiles & Components		6.6
Utilities		3.3
Insurance		1.8
Food, Beverage & Tobacco		1.4
Transportation		0.7
Energy		0.0	^

		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 above, 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 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 Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

†	“Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

^	Rounds to 0.0%.

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares / Par Value†		Description	Value ($)
		COMMON STOCKS — 72.8%

		Canada — 0.0%
	6,000,000	Jagercor Energy Corp ^* (a)		90,348


		Germany — 3.7%
	635,000	Brenntag AG		36,389,148


		Ireland — 0.5%
	60,000	Ryanair Holdings Plc Sponsored ADR ^*		4,905,000


		Netherlands — 3.8%
	970,000	InterXion Holding NV ^*		37,733,000


		Romania — 2.4%
	7,200,000	Societatea Energetica Electrica SA		23,927,036


		United Kingdom — 5.9%
	1,380,000	Metro Bank Plc ^*		58,503,026


		United States — 56.5%
	2,630,000	Ally Financial, Inc.		59,148,700
	275,000	Berkshire Hathaway, Inc. – Class B ^*		47,140,500
	1,260,000	Cimpress NV ^*		101,064,600
	670,000	CommerceHub, Inc. – Series A ^*		11,055,000
	1,410,000	CommerceHub, Inc. – Series C ^*		23,053,500
	142,681	Credit Acceptance Corp. ^*		28,601,833
	1,300,000	General Motors Co.		47,892,000
	1,597,544	Interactive Brokers Group, Inc. – Class A		58,645,840
	925,000	Liberty Global Plc LiLAC – Class A ^*		22,616,250
	1,725,000	Liberty Global Plc LiLAC – Class C ^*		42,417,750
	170,224	National Beverage Corp.		9,942,784
	75,000	Roper Industries, Inc.		15,690,000
	836,570	Trupanion, Inc. ^*		13,008,664
	2,150,000	Wayfair, Inc. – Class A ^*		81,291,500

		Total United States		561,568,921


		TOTAL COMMON STOCKS (COST $671,198,377)		723,116,479


		DEBT OBLIGATIONS — 2.1%

		Corporate Debt — 2.1%
		Jamaica — 1.3%
	1,220,000	Digicel Group Ltd, 144A, 8.25%, due 09/30/20		1,079,700
	14,500,000	Digicel Group Ltd, 144A, 7.13%, due 04/01/22		11,763,125

		Total Jamaica		12,842,825


Shares / Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — 0.8%
	7,500,000	Pacific Drilling SA, 144A, 5.38%, due 06/01/20		3,468,750
	7,500,000	Pacific Drilling V Ltd., 144A, 7.25%, due 12/01/17		4,087,500

		Total United States		7,556,250

		Total Corporate Debt		20,399,075

		TOTAL DEBT OBLIGATIONS (COST $21,250,171)		20,399,075


		SHORT-TERM INVESTMENTS — 25.6%

		Money Market Funds — 0.3%
	3,509,386	State Street Institutional Treasury Money Market Fund-Premier Class, 0.42% ^{(b) (c)}		3,509,386


		U.S. Government — 25.3%
	25,000,000	U.S. Treasury Bill, 0.40%, due 03/16/17 ^(d)		24,995,600
	22,000,000	U.S. Treasury Bill, 0.41%, due 03/23/17 ^(d)		21,994,368
	35,000,000	U.S. Treasury Bill, 0.44%, due 04/06/17 ^(d)		34,984,320
	35,000,000	U.S. Treasury Bill, 0.48%, due 04/13/17 ^(d)		34,979,875
	30,000,000	U.S. Treasury Bill, 0.54%, due 05/18/17 ^(d) (e)		29,964,720
	4,400,000	U.S. Treasury Bill, 0.55%, due 06/15/17 ^{(c) (d) (e)}		4,392,894
	25,000,000	U.S. Treasury Bill, 0.65%, due 08/03/17 ^(d)		24,930,650
	65,000,000	U.S. Treasury Bill, 0.70%, due 08/24/17 ^(d)		64,778,155
	10,000,000	U.S. Treasury Note, 1.00%, due 12/15/17 ^(e)		10,011,720

		Total U.S. Government		251,032,302


		TOTAL SHORT-TERM INVESTMENTS (COST $254,555,056)		254,541,688


		TOTAL INVESTMENTS — 100.5% (Cost $947,003,604)		998,057,242
		Other Assets and Liabilities (net) — (0.5%)		(5,238,304	)


		TOTAL NET ASSETS — 100.0%		$992,818,938

A summary of outstanding financial instruments at February 28, 2017 is as follows:

Forward Currency Contracts


Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)
03/09/2017	GS		CAD	2,100,000		USD	1,580,774	$	(384	)
03/27/2017	MSCI		RON	88,600,000		USD	20,737,759		(11,390	)
03/09/2017	MSCI		USD	1,578,627		CAD	2,100,000		2,531

								$	(9,243	)


		See accompanying notes to the financial statements.		89

GMO Special Opportunities Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

February 28, 2017

Futures Contracts ^(c)


Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
25	Natural Gas	December 2019	$	192,125	$	(68,812	)
25	Natural Gas	January 2020		190,312		(70,625	)
25	Natural Gas	February 2020		186,688		(74,250	)
25	Natural Gas	March 2020		167,313		(93,625	)
25	Natural Gas	April 2020		166,813		(94,125	)
25	Natural Gas	May 2020		168,875		(92,063	)
25	Natural Gas	June 2020		171,063		(89,875	)
25	Natural Gas	July 2020		172,750		(88,188	)
25	Natural Gas	August 2020		172,875		(88,063	)


Number of Contracts +	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
25	Natural Gas	September 2020	$	174,750	$	(86,188	)
25	Natural Gas	October 2020		178,750		(82,187	)
25	Natural Gas	November 2020		187,375		(73,562	)
133	Uranium Futures	February 2017		739,812		(426,192	)
133	Uranium Futures	March 2017		764,750		(401,254	)
133	Uranium Futures	April 2017		764,750		(401,254	)
133	Uranium Futures	May 2017		766,412		(399,592	)
133	Uranium Futures	June 2017		766,412		(399,592	)

			$	5,931,825	$	(3,029,447	)

+	Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Equity Options



Number of Contracts		Expiration Date	Description		Premiums		Value
Put	500	07/21/2017	Cimpress NV, Strike 85.00	$	348,322	$	(460,000	)
Put	250	04/21/2017	Credit Acceptance Corp., Strike 165.00		461,655		(77,500	)
Put	1,000	07/21/2017	National Beverage Corp., Strike 48.50		506,648		(200,000	)
Put	600	06/16/2017	National Beverage Corp., Strike 48.50		387,987		(61,200	)
Put	1,000	10/20/2017	National Beverage Corp., Strike 60.00		710,642		(780,000	)
Put	1,000	05/19/2017	Wayfair, Inc., Strike 35.00		593,912		(217,000	)

				$	3,009,166	$	(1,795,700	)

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

*	Non-income producing security.

(a)	Affiliated company (Note 10).

(b)	The rate disclosed is the 7 day net yield as of February 28, 2017.

(c)	All or a portion of this security or derivative is owned by GMO Special Opportunities SPC Ltd., which is a 100% owned subsidiary of GMO Special Opportunities Fund.

(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).


90		See accompanying notes to the financial statements.

This page has been left blank intentionally.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund’s portfolio is the responsibility of the Asset Allocation team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO Strategic Opportunities Allocation Fund returned +16.60% (net) for the fiscal year ended February 28, 2017, as compared with +16.06% for the GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series) and 25% Barclays U.S. Aggregate Index).

The Fund’s underweight in equities compared to the benchmark weight detracted from relative performance. Within equities, the overweighting to emerging markets was helpful, but the overweighting to developed ex-US stocks and the underweighting to the US hurt relative performance. The Fund’s underweighting to fixed income was beneficial to performance, and the Fund also enjoyed strong performance within fixed income driven primarily by emerging market debt. Our exposure to cash/cash plus detracted from relative performance.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Comparison of Change in Value of a $10,000,000 Investment in

GMO Strategic Opportunities Allocation Fund Class III Shares and the

GMO Strategic Opportunities Allocation Index

As of February 28, 2017

LOGO

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .20% on the purchase and .20% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. All information is unaudited.

The GMO Strategic Opportunities Allocation Index is a composite benchmark computed by GMO and comprised of 75% MSCI World Index and 25% Barclays U.S. Aggregate Index.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

February 28, 2017 (Unaudited)


Asset Class Summary^&	% of Total Net Assets
Common Stocks		66.1	%
Short-Term Investments		17.0
Debt Obligations		12.8
Mutual Funds		2.8
Preferred Stocks		1.0
Investment Funds		0.1
Loan Participations		0.1
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Loan Assignments		0.0	^
Options Purchased		0.0	^
Forward Currency Contracts		0.0	^
Futures Contracts		(0.0	)^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Securities Sold Short		(0.0	)^
Other		0.1

		100.0	%


Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		8.7	%
Other Emerging		2.7	†
Other Developed		0.1	‡
Euro Region		(0.1	)#

		11.4	%


Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		18.7	%
Japan		7.8
United Kingdom		5.4
Taiwan		5.0
Other Developed		3.8	‡
China		3.8
Other Emerging		3.4	†
South Korea		3.1
France		2.8
Germany		2.7
India		2.3
Australia		1.9
Switzerland		1.9
Hong Kong		1.4
Russia		1.2
Netherlands		1.1
Spain		1.1

		67.4	%

&	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 represent between (1.0)% and 1.0% of Total Net Assets.

‡	“Other Developed” is comprised of developed countries that each represent between (1.0)% and 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%.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

February 28, 2017


Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 94.4%

		Affiliated Issuers — 94.4%
	2,666,698	GMO Core Plus Bond Fund, Class IV		56,400,656
	2,933,769	GMO Emerging Country Debt Fund, Class IV		84,932,626
	13,119,558	GMO Emerging Markets Fund, Class VI		390,569,250
	28,135,373	GMO International Equity Fund, Class IV		573,398,898
	3,252,296	GMO Opportunistic Income Fund, Class VI		83,844,202
	9,417,020	GMO Quality Fund, Class VI		207,645,291
	13,585,549	GMO U.S. Equity Allocation Fund, Class VI		204,598,363
	12,122,043	GMO U.S. Treasury Fund		303,051,065


		TOTAL MUTUAL FUNDS (COST $1,946,415,208)		1,904,440,351

		DEBT OBLIGATIONS — 5.6%

		Asset-Backed Securities — 0.0%
	480,122	Bayview Financial Revolving Asset Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 2.08%, due 05/28/39		234,656


		U.S. Government — 5.6%
	25,806,124	U.S. Treasury Inflation Indexed Bond, 0.25%, due 01/15/25 ^(a)		25,733,042
	17,432,413	U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 ^(a)		17,580,832
	1,122,757	U.S. Treasury Inflation Indexed Bond, 0.63%, due 01/15/26 ^(a)		1,150,350


Par Value† / Shares		Description	Value ($)
		U.S. Government — continued
	24,860,220	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 ^(a)		28,336,623
	22,689,037	U.S. Treasury Inflation Indexed Bond, 2.50%, due 01/15/29 ^(a)		27,987,222
	7,929,025	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 ^(a)		11,071,599

		Total U.S. Government		111,859,668


		TOTAL DEBT OBLIGATIONS (COST $109,593,992)		112,094,324


		SHORT-TERM INVESTMENTS — 0.0%

		Money Market Funds — 0.0%
	274,119	State Street Institutional Treasury Money Market Fund-Premier Class, 0.42% ^(b)		274,119


		TOTAL SHORT-TERM INVESTMENTS (COST $274,119)		274,119


		TOTAL INVESTMENTS — 100.0% (Cost $2,056,283,319)		2,016,808,794
		Other Assets and Liabilities (net) — 0.00%		190,702


		TOTAL NET ASSETS — 100.0%		$2,016,999,496

Notes to Schedule of Investments:

†	Denominated in U.S. Dollar, unless otherwise indicated.

(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 February 28, 2017.


		See accompanying notes to the financial statements.		95

GMO Trust Funds

Schedule of Investments — (Continued)

February 28, 2017

Portfolio Abbreviations:

ADR - American Depositary Receipt

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

CP - Counterparty

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

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

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

GDR - Global Depository Receipt

LIBOR - London Interbank Offered Rate

MSCI - Morgan Stanley Capital International

OJSC - Open Joint-Stock Company

OTC - Over-the-Counter

REIT - Real Estate Investment Trust

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 February 28, 2017, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CSI - Credit Suisse International

CSS - Credit Suisse Securities (USA) LLC

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

JPMF - J.P. Morgan Securities, LLC

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

MXN - Mexican Peso

NZD - New Zealand Dollar

RON - Romanian Leu

SEK - Swedish Krona

USD - United States Dollar


96		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017


	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)	$	10,595,373	$	13,769,982,941	$	1,575,696,690	$	2,423,693,269
Investments in unaffiliated issuers, at value (Note 2)^(b)		221,848,187		7,055,247		2,790,554,682		463,675
Foreign currency, at value (Note 2)^(c)		35,244		—		1,046,696		—
Cash		9,059,933		—		34,936,599		—
Receivable for investments sold		—		—		29,989,071		1,980
Receivable for Fund shares sold		—		78,379,362		—		—
Dividends receivable		522,613		1,971		6,949,387		103,615
Dividend withholding tax receivable		349,932		—		581,553		—
Receivable for variation margin on open futures contracts (Note 4)		676,345		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		89,161		1,699,748		88,139		—
Miscellaneous receivable		3,552		129,241		24,045		135

Total assets		243,180,340		13,857,248,510		4,439,866,862		2,424,262,674

Liabilities:
Payable for investments purchased		3,552		64,417,171		40,259		103,164
Payable for Fund shares repurchased		—		13,891,604		9,617,917		90,135
Accrued foreign capital gains tax payable (Note 2)		4,949		—		551,073		—
Payable to affiliate for (Note 5):
Management fee		89,496		6,869,903		—		—
Supplemental support fee – Class MF		—		454,134		—		—
Shareholder service fee		18,199		801,873		—		—
Due to broker (Note 2)		9,059,489		—		—		—
Payable for reverse repurchase agreements (Note 2)		—		—		34,936,599		—
Payable to agents unaffiliated with GMO		—		1,932		672		336
Payable to Trustees and related expenses		975		22,421		6,925		4,095
Accrued expenses		170,268		331,838		453,883		119,912

Total liabilities		9,346,928		86,790,876		45,607,328		317,642

Net assets	$	233,833,412	$	13,770,457,634	$	4,394,259,534	$	2,423,945,032

^(a) Cost of investments – affiliated issuers:	$	10,595,373	$	13,655,207,127	$	1,513,700,009	$	2,521,013,959
^(b) Cost of investments – unaffiliated issuers:	$	196,698,451	$	7,055,247	$	2,646,810,818	$	514,735
^(c) Cost of foreign currency:	$	34,262	$	—	$	1,044,988	$	—


		See accompanying notes to the financial statements.		97

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017 — (Continued)


	Alpha Only Fund			Benchmark-Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Net assets consist of:
Paid-in capital	$	605,289,331		$	14,232,736,432		$	4,770,884,426		$	2,804,045,872
Accumulated undistributed net investment income		67,491			4,355,144			12,141,708			1,907,347
Accumulated net realized gain (loss)		(388,224,195	)		(581,409,756	)		(594,063,616	)		(284,636,437	)
Net unrealized appreciation (depreciation)		16,700,785			114,775,814			205,297,016			(97,371,750	)

	$	233,833,412		$	13,770,457,634		$	4,394,259,534		$	2,423,945,032

Net assets attributable to:
Class III	$	7,851,903		$	5,248,862,817		$	4,394,259,534		$	2,423,945,032

Class IV	$	225,981,509		$	2,663,418,308		$	—		$	—

Class MF	$	—		$	5,858,176,509		$	—		$	—

Shares outstanding:
Class III		374,693			203,607,521			231,862,951			79,521,888

Class IV		10,778,114			103,316,990			—			—

Class MF		—			227,089,922			—			—

Net asset value per share:
Class III	$	20.96		$	25.78		$	18.95		$	30.48

Class IV	$	20.97		$	25.78		$	—		$	—

Class MF	$	—		$	25.80		$	—		$	—


98		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017 — (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)	$	991,966,298	$	2,206,156,571	$	—	$	601,644,588
Investments in unaffiliated issuers, at value (Note 2)^(b)		338,803		745,313		11,072,226,916		200,023
Foreign currency, at value (Note 2)^(c)		—		—		20,961,432		—
Cash		—		—		204,813		—
Receivable for investments sold		—		—		142,191,094		61,501,360
Receivable for Fund shares sold		—		—		64,288,337		5,226
Dividends and interest receivable		—		—		22,357,975		—
Dividend withholding tax receivable		—		—		11,086,809		—
Receivable for variation margin on open cleared swap contracts		—		—		35,813		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		7,738,252		—
Due from broker (Note 2)		—		—		207,508,165		—
Receivable for open OTC swap contracts (Note 4)		—		—		6,978,836		—
Receivable for closed swap contracts (Note 4)		—		—		83,130		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		5,584		—		68,651		5,752
Miscellaneous receivable		—		—		133,956		49,258

Total assets		992,310,685		2,206,901,884		11,555,864,179		663,406,207

Liabilities:
Investments sold short, at value (Note 2)^(d)		—		—		167,222,654		—
Payable for investments purchased		—		—		138,105,964		—
Payable for Fund shares repurchased		—		—		—		61,571,555
Payable for closed swap contracts (Note 4)		—		—		231,862		—
Accrued foreign capital gains tax payable (Note 2)		—		—		1,341,361		—
Payable for variation margin on open futures contracts (Note 4)		—		—		77,701		—
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		864,013		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		8,602,052		—
Interest payable for open OTC swap contracts		—		—		567,274		—
Interest and dividend payable for short sales		—		—		170,494		—
Payable for open OTC swap contracts (Note 4)		—		—		2,410,662		—
Payable for reverse repurchase agreements (Note 2)		—		—		1,326,057		—
Written options outstanding, at value (Note 4)^(e)		—		—		6,833,745		—
Payable to agents unaffiliated with GMO		168		336		1,596		168
Payable to Trustees and related expenses		1,701		3,456		18,234		1,149
Accrued expenses		49,203		79,874		1,406,657		41,103

Total liabilities		51,072		83,666		329,180,326		61,613,975

Net assets	$	992,259,613	$	2,206,818,218	$	11,226,683,853	$	601,792,232

^(a) Cost of investments – affiliated issuers:	$	1,064,014,178	$	2,358,486,029	$	—	$	675,602,270
^(b) Cost of investments – unaffiliated issuers:	$	338,803	$	745,313	$	10,603,827,326	$	200,023
^(c) Cost of foreign currency:	$	—	$	—	$	20,940,808	$	—
^(d) Proceeds from securities sold short:	$	—	$	—	$	151,524,145	$	—
^(e) Premiums on written options:	$	—	$	—	$	5,216,758	$	—


		See accompanying notes to the financial statements.		99

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017 — (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	$	1,145,168,246		$	2,682,980,969		$	12,085,768,139		$	841,364,059
Accumulated undistributed net investment income		4,106,980			3,028,905			13,863,806			54,847
Accumulated net realized gain (loss)		(84,967,733	)		(326,862,198	)		(1,305,041,517	)		(165,668,992	)
Net unrealized appreciation (depreciation)		(72,047,880	)		(152,329,458	)		432,093,425			(73,957,682	)

	$	992,259,613		$	2,206,818,218		$	11,226,683,853		$	601,792,232

Net assets attributable to:
Core Class	$	—		$	—		$	11,226,683,853		$	—

Class III	$	992,259,613		$	2,206,818,218		$	—		$	601,792,232

Shares outstanding:
Core Class		—			—			859,742,652			—

Class III		50,618,815			96,611,088			—			40,873,522

Net asset value per share:
Core Class	$	—		$	—		$	13.06		$	—

Class III	$	19.60		$	22.84		$	—		$	14.72


100		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017 — (Continued)


	International Equity Allocation Fund		Consolidated SGM Major Markets Fund		Consolidated Special Opportunities Fund		Strategic Opportunities Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)^(a)	$	1,085,557,302	$	834,716,360	$	90,348	$	1,904,440,351
Investments in unaffiliated issuers, at value (Note 2)^(b)		289,908		669,957,053		997,966,894		112,368,443
Foreign currency, at value (Note 2)^(c)		—		38		22		—
Cash		—		160,782		—		—
Receivable for investments sold		—		14,040,763		3,694,297		3,711,365
Receivable for Fund shares sold		—		—		—		717,563
Dividends and interest receivable		1		1,037,210		960,612		398,649
Dividend withholding tax receivable		—		—		21,089		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		4,554,205		2,531		—
Receivable for variation margin on open futures contracts (Note 4)		—		1,656,751		64,938		—
Due from broker (Note 2)		—		112,289		293		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		5,416		57,075		—		4,588
Miscellaneous receivable		—		—		—		7,425

Total assets		1,085,852,627		1,526,292,526		1,002,801,024		2,021,648,384

Liabilities:
Payable for investments purchased		—		14,860,368		6,276,479		140,440
Payable for Fund shares repurchased		—		—		—		4,431,446
Accrued foreign capital gains tax payable (Note 2)		—		—		801,696		—
Payable to affiliate for (Note 5):
Management fee		—		985,185		854,710		—
Shareholder service fee		—		66,068		42,736		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		1,566,533		11,774		—
Payable for variation margin on open futures contracts (Note 4)		—		1,289,371		—		—
Written options outstanding, at value (Note 4)^(d)		—		—		1,795,700		—
Payable to agents unaffiliated with GMO		168		196		140		280
Payable to Trustees and related expenses		1,692		2,509		1,603		3,294
Accrued expenses		47,583		135,315		197,248		73,428

Total liabilities		49,443		18,905,545		9,982,086		4,648,888

Net assets	$	1,085,803,184	$	1,507,386,981	$	992,818,938	$	2,016,999,496

^(a) Cost of investments – affiliated issuers:	$	1,187,462,443	$	834,981,269	$	317,181	$	1,946,415,208
^(b) Cost of investments – unaffiliated issuers:	$	289,908	$	670,037,232	$	946,686,423	$	109,868,111
^(c)Cost of foreign currency:	$	—	$	3,846	$	22	$	—
^(d) Premiums on written options:	$	—	$	—	$	3,009,166	$	—


		See accompanying notes to the financial statements.		101

GMO Trust Funds

Statements of Assets and Liabilities — February 28, 2017 — (Continued)


	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Consolidated Special Opportunities Fund			Strategic Opportunities Allocation Fund
Net assets consist of:
Paid-in capital	$	1,290,927,780		$	1,539,369,761		$	937,335,544		$	2,090,683,891
Accumulated undistributed net investment income		1,964,006			—			—			1,595,492
Distributions in excess of net investment income		—			(30,076,100	)		(1,169,260	)		—
Accumulated net realized gain (loss)		(105,183,461	)		(29,954,117	)		7,425,918			(35,805,362	)
Net unrealized appreciation (depreciation)		(101,905,141	)		28,047,437			49,226,736			(39,474,525	)

	$	1,085,803,184		$	1,507,386,981		$	992,818,938		$	2,016,999,496

Net assets attributable to:
Class III	$	1,085,803,184		$	6,116,721		$	—		$	2,016,999,496

Class IV	$	—		$	54,825,177		$	—		$	—

Class VI	$	—		$	1,446,445,083		$	992,818,938		$	—

Shares outstanding:
Class III		39,499,339			187,144			—			102,066,638

Class IV		—			1,683,989			—			—

Class VI		—			44,406,834			48,683,961			—

Net asset value per share:
Class III	$	27.49		$	32.68		$	—		$	19.76

Class IV	$	—		$	32.56		$	—		$	—

Class VI	$	—		$	32.57		$	20.39		$	—


102		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2017


	Alpha Only Fund			Benchmark-Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	69,116		$	314,196,781		$	45,392,762		$	58,310,298
Dividends from unaffiliated issuers (Net of withholding tax)^(a)		6,084,099			16,437			52,183,052			1,069
Interest		60,348			171			8,114,542			23,306

Total investment income		6,213,563			314,213,389			105,690,356			58,334,673

Expenses:
Management fee (Note 5)		1,341,940			98,652,500			—			—
Shareholder service fee – Class III (Note 5)		11,539			8,172,743			—			—
Shareholder service fee – Class IV (Note 5)		260,695			2,652,265			—			—
Supplemental support fee – Class MF (Note 5)		—			7,076,548			—			—
Audit and tax fees		141,675			59,026			147,194			76,711
Custodian and fund accounting agent fees		291,992			136,631			2,000,299			71,114
Legal fees		34,181			345,786			96,190			62,037
Registration fees		6,678			15,126			—			5,352
Transfer agent fees		43,757			—			—			—
Trustees’ fees and related expenses (Note 5)		2,534			259,237			75,978			47,831
Interest expense (Note 2)		—			—			1,269			—
Miscellaneous		76,121			105,339			92,697			15,964

Total expenses		2,211,112			117,475,201			2,413,627			279,009
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(530,143	)		(631,786	)		(1,773,255	)		(226,122	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			(20,435,518	)		—			—
Supplemental support fee waived – Class MF (Note 5)		—			(592,129	)		—			—
Indirectly incurred shareholder service fee waived or borne by GMO (Note 5)		—			(2,004,226	)		—			—

Net expenses		1,680,969			93,811,542			640,372			52,887

Net investment income (loss)		4,532,594			220,401,847			105,049,984			58,281,786

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)		6,463,609			—			30,049,748			(14,377	)
Investments in affiliated issuers		—			101,516,026			(9,349,595	)		(194,468,169	)
Realized gain distributions from affiliated issuers (Note 10)		2,697			51,904,439			12,268,174			31,457,746
Futures contracts		(45,393,896	)		—			6,495,210			—
Swap contracts		—			—			299,633			—
Foreign currency, forward contracts and foreign currency related transactions		(93,567	)		—			5,404,472			—

Net realized gain (loss)		(39,021,157	)		153,420,465			45,167,642			(163,024,800	)

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(c)		36,815,360			—			260,763,137			1,947
Investments in affiliated issuers		—			1,325,782,244			198,449,864			468,276,265
Futures contracts		(7,921,154	)		—			(197,030	)		—
Swap contracts		—			—			19,340			—
Foreign currency, forward contracts and foreign currency related transactions		125,032			—			(7,114,514	)		—

Net change in unrealized appreciation (depreciation)		29,019,238			1,325,782,244			451,920,797			468,278,212

Net realized and unrealized gain (loss)		(10,001,919	)		1,479,202,709			497,088,439			305,253,412

Net increase (decrease) in net assets resulting from operations	$	(5,469,325	)	$	1,699,604,556		$	602,138,423		$	363,535,198

(a) Withholding tax:	$	294,433		$	—		$	4,937,036		$	—
(b) Foreign capital gains tax on net realized gain (loss):	$	5,370		$	—		$	17,838		$	—
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	5,487		$	—		$	551,073		$	—


		See accompanying notes to the financial statements.		103

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2017 — (Continued)


	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax)^(a)	$	—		$	—		$	217,164,966		$	—
Dividends from affiliated issuers (Note 10)		33,392,018			69,331,442			—			27,696,794
Interest		71			178			53,823,324			98

Total investment income		33,392,089			69,331,620			270,988,290			27,696,892

Expenses:
Audit and tax fees		15,328			15,478			265,070			15,055
Custodian, fund accounting agent and transfer agent fees		56,452			63,509			5,652,744			59,341
Dividend expense on short sales		—			—			5,733,725			—
Legal fees		23,375			53,554			448,818			17,542
Registration fees		1,309			4,377			—			976
Trustees’ fees and related expenses (Note 5)		20,408			44,703			214,514			15,154
Interest expense (Note 2)		—			—			100,181			—
Miscellaneous		8,000			17,922			214,956			6,438

Total expenses		124,872			199,543			12,630,008			114,506
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(102,335	)		(150,219	)		(6,211,290	)		(97,133	)

Net expenses		22,537			49,324			6,418,718			17,373

Net investment income (loss)		33,369,552			69,282,296			264,569,572			27,679,519

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)		—			—			(101,566,826	)		—
Investments in affiliated issuers		(85,112,303	)		(323,061,248	)		—			(23,893,115	)
Investments in securities sold short		—			—			(51,670,595	)		—
Realized gain distributions from affiliated issuers (Note 10)		27,122,992			48,181,241			—			—
Futures contracts		—			—			(1,780,766	)		—
Written options		—			—			(21,056,748	)		—
Swap contracts		—			—			90,658,897			—
Foreign currency, forward contracts and foreign currency related transactions		—			—			42,626,914			—

Net realized gain (loss)		(57,989,311	)		(274,880,007	)		(42,789,124	)		(23,893,115	)

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(c)		—			—			1,439,709,540			—
Investments in affiliated issuers		255,753,023			729,023,158			—			142,706,231
Investments in securities sold short		—			—			(17,719,646	)		—
Futures contracts		—			—			52,234			—
Written options		—			—			33,109,386			—
Swap contracts		—			—			(114,819,306	)		—
Foreign currency, forward contracts and foreign currency related transactions		—			—			(25,535,201	)		—

Net change in unrealized appreciation (depreciation)		255,753,023			729,023,158			1,314,797,007			142,706,231

Net realized and unrealized gain (loss)		197,763,712			454,143,151			1,272,007,883			118,813,116

Net increase (decrease) in net assets resulting from operations	$	231,133,264		$	523,425,447		$	1,536,577,455		$	146,492,635

(a) Withholding tax:	$	—		$	—		$	21,366,835		$	—
(b) Foreign capital gains tax on net realized gain (loss):	$	—		$	—		$	(37	)	$	—
(c) Foreign capital gains tax on change in net unrealized appreciation (depreciation):	$	—		$	—		$	1,341,361		$	—


104		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations — Year Ended February 28, 2017 — (Continued)


	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Consolidated Special Opportunities Fund			Strategic Opportunities Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	36,356,912		$	4,516,688		$	—		$	52,762,693
Dividends from unaffiliated issuers (Net of withholding tax)^(a)		—			98,076			9,985,730			278,371
Interest		83			1,579,705			14,477,632			1,980,897

Total investment income		36,356,995			6,194,469			24,463,362			55,021,961

Expenses:
Management fee (Note 5)		—			11,953,213			11,836,075			—
Shareholder service fee – Class III (Note 5)		—			33,527			—			—
Shareholder service fee – Class IV (Note 5)		—			18,513			—			—
Shareholder service fee – Class VI (Note 5)		—			750,968			591,804			—
Audit and tax fees		15,471			133,165			137,875			63,273
Custodian, fund accounting agent and transfer agent fees		56,410			267,305			392,325			55,178
Legal fees		26,206			110,918			200,728			41,018
Registration fees		5,956			—			276			1,981
Trustees’ fees and related expenses (Note 5)		19,141			23,201			18,680			35,953
Miscellaneous		8,647			45,110			33,549			14,411

Total expenses		131,831			13,335,920			13,211,312			211,814
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(110,746	)		(530,271	)		—			(172,424	)

Net expenses		21,085			12,805,649			13,211,312			39,390

Net investment income (loss)		36,335,910			(6,611,180	)		11,252,050			54,982,571

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			62,750			11,576,782			9,483,965
Investments in affiliated issuers		(37,280,749	)		112,252			1,281,975			(54,806,386	)
Realized gain distributions from affiliated issuers (Note 10)		—			544,018			—			23,599,593
Futures contracts		—			12,525,853			(351,959	)		—
Written options		—			—			4,618,825			—
Swap contracts		—			—			135,530			—
Foreign currency, forward contracts and foreign currency related transactions		—			35,549,835			(1,504,072	)		—

Net realized gain (loss)		(37,280,749	)		48,794,708			15,757,081			(21,722,828	)

Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			(29,460	)		111,325,503			(3,098,454	)
Investments in affiliated issuers		226,072,718			(313,011	)		(64,863	)		280,472,910
Futures contracts		—			26,568,559			(1,749,496	)		—
Written options		—			—			832,961			—
Swap contracts		—			—			(899,007	)		—
Foreign currency, forward contracts and foreign currency related transactions		—			(12,239,975	)		798,234			—

Net change in unrealized appreciation (depreciation)		226,072,718			13,986,113			110,243,332			277,374,456

Net realized and unrealized gain (loss)		188,791,969			62,780,821			126,000,413			255,651,628

Net increase (decrease) in net assets resulting from operations	$	225,127,879		$	56,169,641		$	137,252,463		$	310,634,199

(a) Withholding tax:	$	—		$	—		$	261,327		$	—


		See accompanying notes to the financial statements.		105

GMO Trust Funds

Statements of Changes in Net Assets


	Alpha Only Fund						Benchmark-Free Allocation Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016*
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,532,594		$	29,576,303		$	220,401,847		$	154,045,787
Net realized gain (loss)		(39,021,157	)		2,134,877			153,420,465			(56,381,264	)
Change in net unrealized appreciation (depreciation)		29,019,238			(70,370,476	)		1,325,782,244			(1,488,947,168	)
Accumulated deconsolidation impact (Note 2)		—			—			—			(1,054,490,449	)


Net increase (decrease) in net assets from operations		(5,469,325	)		(38,659,296	)		1,699,604,556			(2,445,773,094	)

Distributions to shareholders from:
Net investment income
Class III		(226,478	)		(615,633	)		(80,269,673	)		(85,487,336	)
Class IV		(7,404,091	)		(61,976,715	)		(42,073,207	)		(48,744,018	)
Class MF		—			—			(99,711,857	)		(157,879,410	)

Total distributions from net investment income		(7,630,569	)		(62,592,348	)		(222,054,737	)		(292,110,764	)

Net realized gains
Class III		—			—			—			(44,107,021	)
Class IV		—			—			—			(24,797,845	)
Class MF		—			—			—			(79,692,381	)

Total distributions from net realized gains		—			—			—			(148,597,247	)

Net share transactions (Note 9):
Class III		517,480			(18,040,112	)		(1,155,147,216	)		724,704,303
Class IV		(47,601,802	)		(2,946,773,242	)		(94,499,738	)		(396,090,776	)
Class MF		—			—			(2,872,966,238	)		(2,706,440,865	)

Increase (decrease) in net assets resulting from net share transactions		(47,084,322	)		(2,964,813,354	)		(4,122,613,192	)		(2,377,827,338	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			3,463,441			3,249,006
Class IV		—			—			1,691,330			1,652,987
Class MF		—			—			4,522,945			5,469,002

Increase in net assets resulting from purchase premiums and redemption fees		—			—			9,677,716			10,370,995

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(47,084,322	)		(2,964,813,354	)		(4,112,935,476	)		(2,367,456,343	)

Total increase (decrease) in net assets		(60,184,216	)		(3,066,064,998	)		(2,635,385,657	)		(5,253,937,448	)

Net assets:
Beginning of period		294,017,628			3,360,082,626			16,405,843,291			21,659,780,739

End of period	$	233,833,412		$	294,017,628		$	13,770,457,634		$	16,405,843,291

Accumulated undistributed net investment income	$	67,491		$	3,453,807		$	4,355,144		$	—

Distributions in excess of net investment income	$	—		$	—		$	—		$	(16,296,369	)

*	Amounts are consolidated through July 31, 2015 (Note 2 – Basis of presentation and principles of consolidation).


106		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Benchmark-Free Fund						Global Asset Allocation Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	105,049,984		$	144,244,953		$	58,281,786		$	132,943,879
Net realized gain (loss)		45,167,642			(598,780,463	)		(163,024,800	)		(26,556,395	)
Change in net unrealized appreciation (depreciation)		451,920,797			(88,185,945	)		468,278,212			(564,399,527	)


Net increase (decrease) in net assets from operations		602,138,423			(542,721,455	)		363,535,198			(458,012,043	)

Distributions to shareholders from:
Net investment income
Class III		(116,700,824	)		(147,265,835	)		(62,220,291	)		(137,881,813	)

Total distributions from net investment income		(116,700,824	)		(147,265,835	)		(62,220,291	)		(137,881,813	)

Net realized gains
Class III		—			(143,010,501	)		—			(193,655,005	)

Total distributions from net realized gains		—			(143,010,501	)		—			(193,655,005	)

Net share transactions (Note 9):
Class III		(397,485,238	)		84,996,794			(1,197,015,061	)		(763,046,770	)

Increase (decrease) in net assets resulting from net share transactions		(397,485,238	)		84,996,794			(1,197,015,061	)		(763,046,770	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		1,188,794			757,147			1,853,433			1,464,987

Increase in net assets resulting from purchase premiums and redemption fees		1,188,794			757,147			1,853,433			1,464,987

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(396,296,444	)		85,753,941			(1,195,161,628	)		(761,581,783	)

Total increase (decrease) in net assets		89,141,155			(747,243,850	)		(893,846,721	)		(1,551,130,644	)

Net assets:
Beginning of period		4,305,118,379			5,052,362,229			3,317,791,753			4,868,922,397

End of period	$	4,394,259,534		$	4,305,118,379		$	2,423,945,032		$	3,317,791,753

Accumulated undistributed net investment income	$	12,141,708		$	10,334,251		$	1,907,347		$	3,068,850


		See accompanying notes to the financial statements.		107

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Global Developed Equity Allocation Fund						Global Equity Allocation Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	33,369,552		$	40,484,945		$	69,282,296		$	86,029,002
Net realized gain (loss)		(57,989,311	)		82,146,162			(274,880,007	)		66,387,365
Change in net unrealized appreciation (depreciation)		255,753,023			(373,116,972	)		729,023,158			(712,669,060	)


Net increase (decrease) in net assets from operations		231,133,264			(250,485,865	)		523,425,447			(560,252,693	)

Distributions to shareholders from:
Net investment income
Class III		(30,222,114	)		(40,963,522	)		(68,744,144	)		(87,088,321	)

Total distributions from net investment income		(30,222,114	)		(40,963,522	)		(68,744,144	)		(87,088,321	)

Net realized gains
Class III		(39,709,256	)		(137,293,847	)		(55,809,080	)		(278,611,210	)

Total distributions from net realized gains		(39,709,256	)		(137,293,847	)		(55,809,080	)		(278,611,210	)

Net share transactions (Note 9):
Class III		(602,267,298	)		90,912,790			(1,073,431,102	)		4,118,970

Increase (decrease) in net assets resulting from net share transactions		(602,267,298	)		90,912,790			(1,073,431,102	)		4,118,970

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		549,011			151,021			2,209,585			744,974

Increase in net assets resulting from purchase premiums and redemption fees		549,011			151,021			2,209,585			744,974

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(601,718,287	)		91,063,811			(1,071,221,517	)		4,863,944

Total increase (decrease) in net assets		(440,516,393	)		(337,679,423	)		(672,349,294	)		(921,088,280	)

Net assets:
Beginning of period		1,432,776,006			1,770,455,429			2,879,167,512			3,800,255,792

End of period	$	992,259,613		$	1,432,776,006		$	2,206,818,218		$	2,879,167,512

Accumulated undistributed net investment income	$	4,106,980		$	960,039		$	3,028,905		$	2,499,838


108		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Consolidated Implementation Fund						International Developed Equity Allocation Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	264,569,572		$	259,945,732		$	27,679,519		$	34,048,299
Net realized gain (loss)		(42,789,124	)		(1,363,176,491	)		(23,893,115	)		2,634,243
Change in net unrealized appreciation (depreciation)		1,314,797,007			(1,181,832,408	)		142,706,231			(276,145,346	)


Net increase (decrease) in net assets from operations		1,536,577,455			(2,285,063,167	)		146,492,635			(239,462,804	)

Distributions to shareholders from:
Net investment income
Core Class		(218,046,347	)		—			—			—
Class III		—			—			(27,805,230	)		(34,075,093	)

Total distributions from net investment income		(218,046,347	)		—			(27,805,230	)		(34,075,093	)

Net share transactions (Note 9):
Core Class		(3,756,011,512	)		13,998,781			—			—
Class III		—			—			(460,198,898	)		35,666,797

Increase (decrease) in net assets resulting from net share transactions		(3,756,011,512	)		13,998,781			(460,198,898	)		35,666,797

Purchase premiums and redemption fees (Notes 2 and 9):
Core Class		8,960,910			10,401,407			—			—
Class III		—			—			480,788			200,552

Increase in net assets resulting from purchase premiums and redemption fees		8,960,910			10,401,407			480,788			200,552

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(3,747,050,602	)		24,400,188			(459,718,110	)		35,867,349

Total increase (decrease) in net assets		(2,428,519,494	)		(2,260,662,979	)		(341,030,705	)		(237,670,548	)

Net assets:
Beginning of period		13,655,203,347			15,915,866,326			942,822,937			1,180,493,485

End of period	$	11,226,683,853		$	13,655,203,347		$	601,792,232		$	942,822,937

Accumulated undistributed net investment income	$	13,863,806		$	—		$	54,847		$	180,558

Distributions in excess of net investment income	$	—		$	(28,509,981	)	$	—		$	—


		See accompanying notes to the financial statements.		109

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	International Equity Allocation Fund						Consolidated SGM Major Markets Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	36,335,910		$	41,758,274		$	(6,611,180	)	$	(10,628,660	)
Net realized gain (loss)		(37,280,749	)		(8,872,666	)		48,794,708			(6,534,870	)
Change in net unrealized appreciation (depreciation)		226,072,718			(351,588,187	)		13,986,113			(7,724,502	)


Net increase (decrease) in net assets from operations		225,127,879			(318,702,579	)		56,169,641			(24,888,032	)

Distributions to shareholders from:
Net investment income
Class III		(35,103,258	)		(41,811,574	)		(338,003	)		—
Class IV		—			—			(1,340,200	)		—
Class VI		—			—			(47,180,108	)		—

Total distributions from net investment income		(35,103,258	)		(41,811,574	)		(48,858,311	)		—

Net realized gains
Class III		—			(58,512,714	)		(214,673	)		—
Class IV		—			—			(1,979,745	)		—
Class VI		—			—			(52,825,200	)		—

Total distributions from net realized gains		—			(58,512,714	)		(55,019,618	)		—

Net share transactions (Note 9):
Class III		(239,862,091	)		(41,855,340	)		(18,796,751	)		(1,442,809,396	)
Class IV		—			—			58,957,014			—
Class VI		—			—			193,889,925			1,289,299,894

Increase (decrease) in net assets resulting from net share transactions		(239,862,091	)		(41,855,340	)		234,050,188			(153,509,502	)

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		841,053			642,512			—			—

Increase in net assets resulting from purchase premiums and redemption fees		841,053			642,512			—			—

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(239,021,038	)		(41,212,828	)		234,050,188			(153,509,502	)

Total increase (decrease) in net assets		(48,996,417	)		(460,239,695	)		186,341,900			(178,397,534	)

Net assets:
Beginning of period		1,134,799,601			1,595,039,296			1,321,045,081			1,499,442,615

End of period	$	1,085,803,184		$	1,134,799,601		$	1,507,386,981		$	1,321,045,081

Accumulated undistributed net investment income	$	1,964,006		$	731,354		$	—		$	—

Distributions in excess of net investment income	$	—		$	—		$	(30,076,100	)	$	(4,096,311	)


110		See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)


	Consolidated Special Opportunities Fund						Strategic Opportunities Allocation Fund
	Year Ended February 28/29,						Year Ended February 28/29,
	2017			2016			2017			2016
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	11,252,050		$	6,735,991		$	54,982,571		$	85,266,872
Net realized gain (loss)		15,757,081			40,207,442			(21,722,828	)		1,485,381
Change in net unrealized appreciation (depreciation)		110,243,332			(72,176,731	)		277,374,456			(394,050,705	)


Net increase (decrease) in net assets from operations		137,252,463			(25,233,298	)		310,634,199			(307,298,452	)

Distributions to shareholders from:
Net investment income
Class III		—			—			(54,767,504	)		(86,263,190	)
Class VI		(16,240,542	)		(8,063,110	)		—			—

Total distributions from net investment income		(16,240,542	)		(8,063,110	)		(54,767,504	)		(86,263,190	)

Net realized gains
Class III		—			—			(1,162,716	)		(106,172,024	)
Class VI		(20,678,991	)		(9,220,808	)		—			—

Total distributions from net realized gains		(20,678,991	)		(9,220,808	)		(1,162,716	)		(106,172,024	)

Net share transactions (Note 9):
Class III		—			—			(206,111,527	)		17,977,573
Class VI		(247,683,492	)		334,243,331			—			—

Increase (decrease) in net assets resulting from net share transactions		(247,683,492	)		334,243,331			(206,111,527	)		17,977,573

Purchase premiums and redemption fees (Notes 2 and 9):
Class III		—			—			491,456			478,138
Class VI		1,434,047			3,145,391			—			—

Increase in net assets resulting from purchase premiums and redemption fees		1,434,047			3,145,391			491,456			478,138

Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(246,249,445	)		337,388,722			(205,620,071	)		18,455,711

Total increase (decrease) in net assets		(145,916,515	)		294,871,506			49,083,908			(481,277,955	)

Net assets:
Beginning of period		1,138,735,453			843,863,947			1,967,915,588			2,449,193,543

End of period	$	992,818,938		$	1,138,735,453		$	2,016,999,496		$	1,967,915,588

Accumulated undistributed net investment income	$	—		$	1,905,575		$	1,595,492		$	1,238,648

Distributions in excess of net investment income	$	(1,169,260	)	$	—		$	—		$	—


		See accompanying notes to the financial statements.		111

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ALPHA ONLY FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017				2016				2015				2014				2013				2017				2016				2015				2014				2013
Net asset value, beginning of period		$	22.04			$	22.93			$	23.98			$	24.22			$	24.13			$	22.05			$	22.95			$	23.99			$	24.24			$	24.14

Income (loss) from investment operations:
Net investment income (loss)†			0.35				0.37				0.34				0.53	^(a)			0.51	^(a)			0.37				0.39				0.35				0.58	^(a)			0.60	^(a)
Net realized and unrealized gain (loss)			(0.80	)			(0.40	)			(0.96	)			(0.76	)			(0.35	)			(0.81	)			(0.41	)			(0.95	)			(0.80	)			(0.42	)

Total from investment operations			(0.45	)			(0.03	)			(0.62	)			(0.23	)			0.16				(0.44	)			(0.02	)			(0.60	)			(0.22	)			0.18

Less distributions to shareholders:
From net investment income			(0.63	)			(0.86	)			(0.43	)			(0.01	)			(0.07	)			(0.64	)			(0.88	)			(0.44	)			(0.03	)			(0.08	)

Total distributions			(0.63	)			(0.86	)			(0.43	)			(0.01	)			(0.07	)			(0.64	)			(0.88	)			(0.44	)			(0.03	)			(0.08	)

Net asset value, end of period		$	20.96			$	22.04			$	22.93			$	23.98			$	24.22			$	20.97			$	22.05			$	22.95			$	23.99			$	24.24

Total Return^(b)			(2.02	)%			(0.06	)%			(2.60	)%			(0.94	)%			0.67	%			(1.98	)%			(0.03	)%			(2.51	)%			(0.93	)%			0.73	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	7,852			$	7,712			$	26,695			$	35,392			$	51,886			$	225,982			$	286,305			$	3,333,388			$	3,523,518			$	3,389,131
Net expenses to average daily net assets			0.68	%^(c)			0.66	%^(c)			0.65	%			0.30	%^(c)(d)			0.23	%^(c)(d)			0.62	%^(c)			0.60	%^(c)			0.60	%			0.26	%^(c)(d)			0.18	%^(c)(d)
Net investment income (loss) to average daily net assets			1.62	%^(a)			1.66	%^(a)			1.44	%			2.19	%^(a)			2.10	%^(a)			1.69	%^(a)			1.76	%^(a)			1.46	%			2.42	%^(a)			2.47	%^(a)
Portfolio turnover rate			22	%^(e)			85	%			123	%			66	%			104	%			22	%^(e)			85	%			123	%			66	%			104	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.20	%			0.06	%			0.04	%			0.37	%^(f)			0.44	%^(f)			0.20	%			0.05	%			0.04	%			0.36	%^(f)			0.44	%^(f)

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

^(b)

^(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)

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

†	Calculated using average shares outstanding throughout the period.


112		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Year Ended February 28/29,
	2017				2016^(a)				2015^(b)				2014^(b)				2013^(b)				2017				2016^(a)				2015^(b)				2014^(b)				2013^(b)(c)
Net asset value, beginning of period		$	23.46			$	27.04			$	27.07			$	25.77			$	24.03			$	23.46			$	27.03			$	27.06			$	25.75			$	24.91

Income (loss) from investment operations:
Net investment income (loss)^(e)†			0.37				0.19				0.38				0.48				0.30				0.40				0.20				0.36				0.46				0.03
Net realized and unrealized gain (loss)			2.35				(3.26	)			0.86				1.57				1.62				2.33				(3.26	)			0.89				1.61				0.96

Total from investment operations			2.72				(3.07	)			1.24				2.05				1.92				2.73				(3.06	)			1.25				2.07				0.99

Less distributions to shareholders:
From net investment income			(0.40	)			(0.34	)			(0.52	)			(0.39	)			(0.18	)			(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			(0.40	)			(0.51	)			(1.27	)			(0.75	)			(0.18	)			(0.41	)			(0.51	)			(1.28	)			(0.76	)			(0.15	)

Net asset value, end of period		$	25.78			$	23.46			$	27.04			$	27.07			$	25.77			$	25.78			$	23.46			$	27.03			$	27.06			$	25.75

Total Return^(f)			11.66	%			(11.51	)%			4.71	%			8.03	%			8.03	%			11.71	%			(11.46	)%			4.75	%			8.12	%			3.99	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,248,863			$	5,872,663			$	6,040,891			$	3,109,509			$	970,749			$	2,663,418			$	2,508,115			$	3,363,711			$	2,511,906			$	705,982
Net operating expenses to average daily net assets^(g)			0.65	%			0.66	%			0.64	%			0.59	%⁽ⁱ⁾			0.54	%⁽ⁱ⁾			0.60	%			0.61	%			0.59	%			0.54	%⁽ⁱ⁾			0.48	%⁽ⁱ⁾*
Interest and/or dividend expenses to average daily net assets^(j)			—				0.02	%			0.05	%			—				—				—				0.02	%			0.05	%			—				—
Total net expenses to average daily net assets^(g)			0.65	%			0.68	%			0.69	%			0.59	%			0.54	%			0.60	%			0.63	%			0.64	%			0.54	%			0.48	%*
Net investment income (loss) to average daily net assets^(e)			1.46	%			0.73	%			1.41	%			1.79	%			1.23	%			1.61	%			0.80	%			1.32	%			1.73	%			0.60	%*
Portfolio turnover rate			7	%			53	%^(k)			84	%			52	%			42	%			7	%			53	%^(k)			84	%			52	%			42	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:^(l)			0.15	%			0.16	%			0.20	%			0.27	%			0.41	%			0.15	%			0.16	%			0.20	%			0.27	%			0.40	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02			$	0.01			$	0.01			$	0.03			$	0.07			$	0.02			$	0.01			$	0.01			$	0.03			$	0.01


	Class MF Shares
	Year Ended February 28/29,
	2017			2016^(a)			2015^(b)			2014^(b)			2013^(b)(d)
Net asset value, beginning of period	$	23.47		$	27.04		$	27.07		$	25.76		$	24.10

Income (loss) from investment operations:
Net investment income (loss)^(e)†		0.35			0.19			0.37			0.49			0.33
Net realized and unrealized gain (loss)		2.39			(3.24	)		0.88			1.58			1.52

Total from investment operations		2.74			(3.05	)		1.25			2.07			1.85

Less distributions to shareholders:
From net investment income		(0.41	)		(0.35	)		(0.53	)		(0.40	)		(0.19	)
From net realized gains		—			(0.17	)		(0.75	)		(0.36	)		—

Total distributions		(0.41	)		(0.52	)		(1.28	)		(0.76	)		(0.19	)

Net asset value, end of period	$	25.80		$	23.47		$	27.04		$	27.07		$	25.76

Total Return^(f)		11.76	%		(11.45	)%		4.78	%		8.11	%		7.71	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	5,858,177		$	8,025,066		$	12,255,179		$	9,103,523		$	2,947,886
Net operating expenses to average daily net assets^(g)		0.60	%^(h)		0.58	%^(h)		0.55	%^(h)		0.53	%⁽ⁱ⁾		0.49	%⁽ⁱ⁾
Interest and/or dividend expenses to average daily net assets^(j)		—			0.02	%		0.05	%		—			—
Total net expenses to average daily net assets^(g)		0.60	%^(h)		0.60	%^(h)		0.60	%^(h)		0.53	%		0.49	%
Net investment income (loss) to average daily net assets^(e)		1.38	%		0.77	%		1.37	%		1.83	%		1.34	%
Portfolio turnover rate		7	%		53	%^(k)		84	%		52	%		42	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:^(l)		0.16	%		0.19	%		0.23	%		0.27	%		0.41	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.02		$	0.01		$	0.01		$	0.03		$	0.06

^(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)	Period from March 1, 2012 (commencement of operations) through February 28, 2013.

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

^(f)

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

^(h)	Class MF net expenses include a supplemental support fee reduction (Note 5).

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

^(j)	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.

^(k)	Had the Fund not been consolidated for the year ended February 29, 2016, the portfolio turnover would have been 23%.

^(l)	Ratios include indirect fees waived or borne by GMO.

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		113

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout the period)

BENCHMARK-FREE FUND


	Class III Shares
	Year Ended February 28/29,
	2017				2016				2015				2014				2013
Net asset value, beginning of period		$	17.00			$	20.30			$	22.09			$	21.33			$	20.76

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.43				0.58				0.61				0.59				0.52
Net realized and unrealized gain (loss)			2.01				(2.70	)			0.61				1.45				1.34

Total from investment operations			2.44				(2.12	)			1.22				2.04				1.86

Less distributions to shareholders:
From net investment income			(0.49	)			(0.60	)			(0.79	)			(0.74	)			(0.68	)
From net realized gains			—				(0.58	)			(2.22	)			(0.54	)			(0.61	)

Total distributions			(0.49	)			(1.18	)			(3.01	)			(1.28	)			(1.29	)

Net asset value, end of period		$	18.95			$	17.00			$	20.30			$	22.09			$	21.33

Total Return^(b)			14.52	%			(10.82	)%			5.76	%			9.66	%			9.25	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,394,260			$	4,305,118			$	5,052,362			$	4,367,658			$	3,941,582
Net expenses to average daily net assets^(c)			0.01	%			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)(e)			0.00	%^(d)(e)
Interest and/or dividend expenses to average daily net assets^(f)			0.00	%^(g)			—				—				—				—
Total net expenses to average net assets^(c)			0.01	%			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)			0.00	%^(d)
Net investment income (loss) to average daily net assets^(a)			2.37	%			3.09	%			2.90	%			2.67	%			2.51	%
Portfolio turnover rate			83	%^(h)			101	%			60	%			51	%			31	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%			0.01	%			0.00	%⁽ⁱ⁾			0.00	%⁽ⁱ⁾			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	^(j)		$	0.00	^(j)		$	0.00	^(j)		$	0.00	^(j)		$	0.00	⁽ⁱ⁾

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

^(b)

^(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)	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.

^(g)	Ratio is less than 0.01%.

^(h)

⁽ⁱ⁾	Fees and expenses reimbursed by GMO were less than 0.01%.

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

†	Calculated using average shares outstanding throughout the period.


114		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
	Year Ended February 28/29,
	2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)
Net asset value, beginning of period		$	27.60			$	33.81			$	35.40			$	32.70			$	31.20

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.61				1.02				0.96				0.81				0.87
Net realized and unrealized gain (loss)			3.00				(4.53	)			0.60				2.73				1.50

Total from investment operations			3.61				(3.51	)			1.56				3.54				2.37

Less distributions to shareholders:
From net investment income			(0.73	)			(1.14	)			(1.29	)			(0.84	)			(0.87	)
From net realized gains			—				(1.56	)			(1.86	)			—				—

Total distributions			(0.73	)			(2.70	)			(3.15	)			(0.84	)			(0.87	)

Net asset value, end of period		$	30.48			$	27.60			$	33.81			$	35.40			$	32.70

Total Return^(c)			13.21	%			(10.98	)%			4.55	%			10.88	%			7.65	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,423,945			$	3,317,792			$	4,868,922			$	5,362,913			$	4,764,133
Net expenses to average daily net assets^(d)(e)			0.00	%			0.00	%			0.00	%			0.00	%^(f)			0.00	%^(f)
Net investment income (loss) to average daily net assets^(b)			2.06	%			3.33	%			2.75	%			2.33	%			2.70	%
Portfolio turnover rate			19	%^(g)			20	%			38	%			46	%			29	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			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			$	0.01			$	0.01			$	0.01			$	0.01

^(a)	Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

^(c)

^(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)

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		115

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

GLOBAL DEVELOPED EQUITY ALLOCATION FUND


	Class III Shares
	Year Ended February 28/29,
	2017				2016				2015				2014				2013
Net asset value, beginning of period		$	17.40			$	22.84			$	25.00			$	21.13			$	19.49

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.52				0.51				0.80				0.61				0.57
Net realized and unrealized gain (loss)			2.87				(3.64	)			0.02	^(b)			3.96				1.73

Total from investment operations			3.39				(3.13	)			0.82				4.57				2.30

Less distributions to shareholders:
From net investment income			(0.55	)			(0.52	)			(0.82	)			(0.70	)			(0.66	)
From net realized gains			(0.64	)			(1.79	)			(2.16	)			—				—

Total distributions			(1.19	)			(2.31	)			(2.98	)			(0.70	)			(0.66	)

Net asset value, end of period		$	19.60			$	17.40			$	22.84			$	25.00			$	21.13

Total Return^(c)			20.03	%			(14.81	)%			3.32	%			21.68	%			11.95	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	992,260			$	1,432,776			$	1,770,455			$	1,591,060			$	1,531,772
Net expenses to average daily net assets^(d)(e)			0.00	%			0.00	%			0.00	%			0.00	%^(f)			0.00	%^(f)
Net investment income (loss) to average daily net assets^(a)			2.78	%			2.49	%			3.34	%			2.62	%			2.86	%
Portfolio turnover rate			29	%			14	%			16	%			36	%			31	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	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, if any.

^(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)

^(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.


116		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
	Year Ended February 28/29,
	2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)
Net asset value, beginning of period		$	19.71			$	26.22			$	28.29			$	25.80			$	25.47

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.57				0.60				0.96				0.84				0.75
Net realized and unrealized gain (loss)			3.67				(4.47	)			(0.03	)^(c)			3.63				1.71

Total from investment operations			4.24				(3.87	)			0.93				4.47				2.46

Less distributions to shareholders:
From net investment income			(0.70	)			(0.60	)			(0.90	)			(0.87	)			(0.78	)
From net realized gains			(0.41	)			(2.04	)			(2.10	)			(1.11	)			(1.35	)

Total distributions			(1.11	)			(2.64	)			(3.00	)			(1.98	)			(2.13	)

Net asset value, end of period		$	22.84			$	19.71			$	26.22			$	28.29			$	25.80

Total Return^(d)			21.93	%			(15.96	)%			3.37	%			17.60	%			10.01	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,206,818			$	2,879,168			$	3,800,256			$	2,948,319			$	2,220,674
Net expenses to average daily net assets^(f)(g)			0.00	%			0.00	%			0.00	%			0.00	%^(e)			0.00	%^(e)
Net investment income (loss) to average daily net assets^(b)			2.63	%			2.58	%			3.54	%			3.02	%			2.90	%
Portfolio turnover rate			27	%			15	%			21	%			51	%			24	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			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			$	0.01			$	0.01			$	0.01			$	0.01

^(a)	Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

^(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)

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

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

^(g)	Net expenses to average daily net assets were less than 0.01%.

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		117

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND


	Core Shares
	Year Ended February 28/29,																Period from March 1, 2012 (commencement of operations) through February 28, 2013
	2017				2016				2015				2014
Net asset value, beginning of period		$	11.80			$	13.59			$	12.71			$	11.30			$	10.00

Income (loss) from investment operations:
Net investment income (loss)†			0.27				0.21				0.25				0.32				0.24
Net realized and unrealized gain (loss)			1.24				(2.00	)			0.63				1.09				1.06

Total from investment operations			1.51				(1.79	)			0.88				1.41				1.30

Less distributions to shareholders:
From net investment income			(0.25	)			—				—				—				—

Total distributions			(0.25	)			—				—				—				—

Net asset value, end of period		$	13.06			$	11.80			$	13.59			$	12.71			$	11.30

Total Return^(a)			12.88	%			(13.17	)%			6.92	%			12.48	%			13.00	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	11,226,684			$	13,655,203			$	15,915,866			$	10,160,905			$	2,471,328
Net operating expenses to average daily net assets^(b)			0.00	%			0.00	%			0.00	%			0.00	%^(c)			0.00	%
Interest and/or dividend expenses to average daily net assets^(d)			0.05	%			0.07	%			0.07	%			—				—
Total net expenses to average daily net assets			0.05	%			0.07	%			0.07	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets			2.11	%			1.62	%			1.89	%			2.61	%			2.21	%
Portfolio turnover rate			142	%			127	%			115	%			65	%			66	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%			0.05	%			0.04	%			0.08	%			0.23	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	0.01				—				—				—

^(a)

^(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 and dividend expense incurred as a result of entering into 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.

†	Calculated using average shares outstanding throughout the period.


118		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
	Year Ended February 28/29,
	2017				2016				2015				2014				2013
Net asset value, beginning of period		$	13.05			$	16.88			$	17.99			$	14.86			$	13.87

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.45				0.48				0.74				0.54				0.50
Net realized and unrealized gain (loss)			1.79				(3.83	)			(1.11	)			3.16				0.97

Total from investment operations			2.24				(3.35	)			(0.37	)			3.70				1.47

Less distributions to shareholders:
From net investment income			(0.57	)			(0.48	)			(0.74	)			(0.57	)			(0.48	)

Total distributions			(0.57	)			(0.48	)			(0.74	)			(0.57	)			(0.48	)

Net asset value, end of period		$	14.72			$	13.05			$	16.88			$	17.99			$	14.86

Total Return^(b)			17.37	%			(20.09	)%			(1.86	)%			25.02	%			10.71	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	601,792			$	942,823			$	1,180,493			$	1,150,492			$	966,794
Net expenses to average daily net assets^(c)(d)			0.00	%			0.00	%			0.00	%			0.00	%^(e)			0.00	%^(e)
Net investment income (loss) to average daily net assets^(a)			3.14	%			3.07	%			4.24	%			3.28	%			3.59	%
Portfolio turnover rate			10	%			14	%			7	%			52	%			17	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.01	%			0.01	%			0.01	%			0.01	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01			$	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, if any.

^(b)

^(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.


		See accompanying notes to the financial statements.		119

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND


	Class III Shares
	Year Ended February 28/29,
	2017^(a)				2016^(a)				2015^(a)				2014^(a)				2013^(a)
Net asset value, beginning of period		$	23.40			$	31.71			$	34.11			$	31.29			$	29.94

Income (loss) from investment operations:
Net investment income (loss)^(b)†			0.84				0.84				1.32				1.05				0.96
Net realized and unrealized gain (loss)			4.15				(7.11	)			(1.83	)			3.96				1.35

Total from investment operations			4.99				(6.27	)			(0.51	)			5.01				2.31

Less distributions to shareholders:
From net investment income			(0.90	)			(0.87	)			(1.35	)			(1.02	)			(0.96	)
From net realized gains			—				(1.17	)			(0.54	)			(1.17	)			—

Total distributions			(0.90	)			(2.04	)			(1.89	)			(2.19	)			(0.96	)

Net asset value, end of period		$	27.49			$	23.40			$	31.71			$	34.11			$	31.29

Total Return^(c)			21.57	%			(20.70	)%			(1.30	)%			16.22	%			7.79	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,085,803			$	1,134,800			$	1,595,039			$	1,790,318			$	1,385,150
Net expenses to average daily net assets^(d)(e)			0.00	%			0.00	%			0.00	%			0.00	%^(f)			0.00	%^(f)
Net investment income (loss) to average daily net assets^(b)			3.20	%			2.92	%			3.94	%			3.15	%			3.26	%
Portfolio turnover rate			7	%			14	%			18	%			40	%			21	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			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			$	0.01			$	0.01			$	0.02			$	0.02

^(a)	Per share amounts were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

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

^(c)

^(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).

†	Calculated using average shares outstanding throughout the period.


120		See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND


	Class III Shares																				Class IV Shares
	Year Ended February 28/29,																				Period from October 26, 2016 (commencement of operations) through February 28, 2017
	2017				2016				2015				2014				2013
Net asset value, beginning of period		$	33.25			$	33.80			$	32.18			$	30.47			$	30.05			$	35.27

Income (loss) from investment operations:
Net investment income (loss)^(a)†			(0.21	)			(0.26	)			(0.25	)			(0.22	)			(0.18	)			(0.05	)
Net realized and unrealized gain (loss)			1.87				(0.29	)			1.87	^(b)			1.93				0.60				(0.62	)

Total from investment operations			1.66				(0.55	)			1.62				1.71				0.42				(0.67	)

Less distributions to shareholders:
From net investment income			(1.01	)			—				—				—				—				(0.82	)
From net realized gains			(1.22	)			—				—				—				—				(1.22	)

Total distributions			(2.23	)			—				—				—				—				(2.04	)

Net asset value, end of period		$	32.68			$	33.25			$	33.80			$	32.18			$	30.47			$	32.56

Total Return^(c)			5.12	%			(1.63	)%			5.03	%			5.61	%			1.40	%			(1.79	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	6,117			$	24,020			$	1,499,443			$	1,662,189			$	959,752			$	54,825
Net expenses to average daily net assets^(d)			1.00	%			0.85	%			0.80	%			0.75	%			0.75	%^(e)			0.95	%*
Net investment income (loss) to average daily net assets^(a)			(0.61	)%			(0.79	)%			(0.76	)%			(0.70	)%			(0.61	)%			(0.41	)%*
Portfolio turnover rate			15	%^(f)			29	%			45	%			97	%			17	%			15	%^(f)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%			0.03	%			0.08	%			0.13	%			0.17	%			0.05	%*


	Class VI Shares
	Year Ended February 28, 2017				Period from December 1, 2015 (commencement of operations) through February 29, 2016
	Year Ended February 28, 2017
Net asset value, beginning of period		$	33.26			$	33.07

Income (loss) from investment operations:
Net investment income (loss)^(a)†			(0.16	)			(0.05	)
Net realized and unrealized gain (loss)			1.85				0.24

Total from investment operations			1.69				0.19

Less distributions to shareholders:
From net investment income			(1.16	)			—
From net realized gains			(1.22	)			—

Total distributions			(2.38	)			—

Net asset value, end of period		$	32.57			$	33.26

Total Return^(c)			5.22	%			0.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,446,445			$	1,297,025
Net expenses to average daily net assets^(d)			0.91	%			0.91	%*
Net investment income (loss) to average daily net assets^(a)			(0.47	)%			(0.59	)%*
Portfolio turnover rate			15	%^(f)			29	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%			0.13	%

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

^(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)

^(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)

†	Calculated using average shares outstanding throughout the period.

*	Annualized.

**	Not annualized.


		See accompanying notes to the financial statements.		121

GMO Trust Funds

Consolidated Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED SPECIAL OPPORTUNITIES FUND


	Class VI Shares
	Year Ended February 28/29,								Period from July 28, 2014 (commencement of operations) through February 28, 2015
	2017				2016
Net asset value, beginning of period		$	18.65			$	19.81			$	20.00

Income (loss) from investment operations:
Net investment income (loss)†			0.21				0.16				(0.03	)
Net realized and unrealized gain (loss)			2.23				(0.85	)			(0.15	)^(a)

Total from investment operations			2.44				(0.69	)			(0.18	)

Less distributions to shareholders:
From net investment income			(0.32	)			(0.21	)			(0.01	)
From net realized gains			(0.38	)			(0.26	)			—

Total distributions			(0.70	)			(0.47	)			(0.01	)

Net asset value, end of period		$	20.39			$	18.65			$	19.81

Total Return^(b)			13.21	%			(3.64	)%			(0.89	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	992,819			$	1,138,735			$	843,864
Net expenses to average daily net assets			1.23	%			1.29	%			1.36	%*
Net investment income (loss) to average daily net assets			1.05	%			0.80	%			(0.25	)%*
Portfolio turnover rate			87	%			69	%			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):†		$	0.03			$	0.07			$	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)

†	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)

STRATEGIC OPPORTUNITIES ALLOCATION FUND


	Class III Shares
	Year Ended February 28/29,
	2017				2016				2015				2014				2013
Net asset value, beginning of period		$	17.43			$	21.89			$	23.43			$	21.47			$	21.26

Income (loss) from investment operations:
Net investment income (loss)^(a)†			0.51				0.75				0.76				0.68				0.65
Net realized and unrealized gain (loss)			2.36				(3.47	)			0.44				2.96				1.57

Total from investment operations			2.87				(2.72	)			1.20				3.64				2.22

Less distributions to shareholders:
From net investment income			(0.53	)			(0.80	)			(0.87	)			(0.78	)			(0.75	)
From net realized gains			(0.01	)			(0.94	)			(1.87	)			(0.90	)			(1.26	)

Total distributions			(0.54	)			(1.74	)			(2.74	)			(1.68	)			(2.01	)

Net asset value, end of period		$	19.76			$	17.43			$	21.89			$	23.43			$	21.47

Total Return^(b)			16.60	%			(13.00	)%			5.36	%			17.24	%			10.81	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,016,999			$	1,967,916			$	2,449,194			$	2,455,863			$	2,168,928
Net expenses to average daily net assets^(c)(d)			0.00	%			0.00	%			0.00	%			0.00	%^(e)			0.00	%^(e)
Net investment income (loss) to average daily net assets^(a)			2.69	%			3.80	%			3.31	%			2.99	%			3.01	%
Portfolio turnover rate			28	%^(f)			65	%			30	%			53	%			34	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			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)		$	0.00	^(g)		$	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, if any.

^(b)

^(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)

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

†	Calculated using average shares outstanding throughout the period.


		See accompanying notes to the financial statements.		123

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February 28, 2017

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, SGM Major Markets Fund, Special Opportunities Fund and Strategic Opportunities 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.

Many of the Funds may invest primarily in other GMO Funds and Implementation Fund, Special Opportunities Fund, and SGM Major Markets Fund may also invest in their wholly-owned subsidiaries, GMO Implementation SPC Ltd., GMO Special Opportunities SPC Ltd. and GMO Alternative Asset SPC Ltd., respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as “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.

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



Fund Name	Benchmark	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
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
SGM Major Markets Fund	Citigroup 3-Month Treasury Bill Index	Long-term total return
Special Opportunities Fund	Not Applicable	Positive total return
Strategic Opportunities Allocation Fund	GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series), 25% Barclays U.S. Aggregate Index)	Total return greater than benchmark

Alpha Only Fund, Benchmark-Free Fund, Implementation Fund, Special Opportunities Fund and Strategic Opportunities Allocation Fund currently limit subscriptions.

Global Developed Equity Allocation Fund is 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

124

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February 28, 2017

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 SGM Major Markets Fund

Implementation Fund, Special Opportunities Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries Implementation 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 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. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted 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 year ended February 28, 2017, the Funds did not reduce the value of any of their 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.

125

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February 28, 2017

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 a 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 February 28, 2017 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		—		35%		—
Benchmark-Free Allocation Fund		< 1%		30%		2%
Benchmark-Free Fund		< 1%		37%		< 1%
Global Asset Allocation Fund		< 1%		36%		< 1%
Global Developed Equity Allocation Fund		< 1%		56%		—
Global Equity Allocation Fund		< 1%		62%		—
Consolidated Implementation Fund		< 1%		38%		1%
International Developed Equity Allocation Fund		< 1%		96%		—
International Equity Allocation Fund		< 1%		94%		—
Consolidated SGM Major Markets Fund		—		2%		—
Consolidated Special Opportunities Fund		—		12%		—
Strategic Opportunities Allocation Fund		< 1%		46%		< 1%

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 Funds with investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes) or as disclosed in the 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 February 28, 2017.

The three levels are defined as follows:

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

126

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February 28, 2017

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 vendor prices or broker quotes; 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, 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; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of February 28, 2017:



Description	Level 1		Level 2		Level 3			Total
Alpha Only Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	2,574,639	$	—		$	2,574,639
Austria		—		107,093		—			107,093
Belgium		—		229,592		—			229,592
Brazil		—		1,127,227		—			1,127,227
Chile		—		424,444		—			424,444
China		—		9,108,080		—			9,108,080
Colombia		80,316		—		—			80,316
Czech Republic		—		59,251		—			59,251
Denmark		—		252,863		—			252,863
Egypt		—		55,490		—			55,490
Finland		—		467,812		—			467,812
France		—		4,963,191		—			4,963,191
Germany		—		3,726,488		—			3,726,488
Greece		—		118,289		—			118,289
Hong Kong		—		1,139,043		—			1,139,043
Hungary		—		92,082		—			92,082
India		500,496		2,389,033		—			2,889,529
Indonesia		—		850,752		—			850,752
Ireland		—		22,716		—			22,716
Israel		14,008		196,367		—			210,375
Italy		—		1,089,674		—			1,089,674
Japan		—		8,193,113		—			8,193,113
Malaysia		—		826,546		0	^§		826,546
Mexico		1,186,006		—		—			1,186,006
Netherlands		13,590		631,527		—			645,117
New Zealand		—		61,090		—			61,090
Norway		—		249,968		—			249,968

127

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Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1			Level 2		Level 3			Total
Alpha Only Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Peru	$	119,210		$	—	$	—		$	119,210
Philippines		—			411,321		—			411,321
Poland		—			427,593		—			427,593
Portugal		—			58,089		—			58,089
Qatar		—			285,975		—			285,975
Russia		80,106			1,115,735		—			1,195,841
Singapore		—			450,478		—			450,478
South Africa		—			2,307,761		—			2,307,761
South Korea		—			4,688,134		—			4,688,134
Spain		—			1,560,816		—			1,560,816
Sweden		—			1,082,432		—			1,082,432
Switzerland		—			4,987,469		—			4,987,469
Taiwan		2,011,909			4,589,338		—			6,601,247
Thailand		—			331,027		—			331,027
Turkey		—			379,855		—			379,855
United Arab Emirates		—			284,826		—			284,826
United Kingdom		—			18,099,428		—			18,099,428
United States		122,019,778			—		—			122,019,778

TOTAL COMMON STOCKS		126,025,419			80,016,647		0	^§		206,042,066

Preferred Stocks
Brazil		—			1,776,733		—			1,776,733
Chile		—			8,232		—			8,232
Colombia		59,823			—		—			59,823
Germany		—			204,419		—			204,419
Russia		—			58,691		—			58,691
South Korea		—			230,262		—			230,262

TOTAL PREFERRED STOCKS		59,823			2,278,337		—			2,338,160

Rights/Warrants
Brazil		—			—		1,259			1,259
Malaysia		—			—		1,065			1,065
South Korea		850			—		—			850

TOTAL RIGHTS/WARRANTS		850			—		2,324			3,174

Mutual Funds
United States		10,595,373			—		—			10,595,373

TOTAL MUTUAL FUNDS		10,595,373			—		—			10,595,373

Short-Term Investments		13,464,787			—		—			13,464,787

Total Investments		150,146,252			82,294,984		2,324			232,443,560

Derivatives^
Futures Contracts
Equity Risk		24,455			—		—			24,455

Total	$	150,170,707		$	82,294,984	$	2,324		$	232,468,015


Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(8,407,599	)	$	—	$	—		$	(8,407,599	)

Total Futures Contracts	$	(8,407,599	)	$	—	$	—		$	(8,407,599	)

128

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Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1		Level 2		Level 3		Total
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	13,769,982,941	$	—	$	—	$	13,769,982,941
Short-Term Investments		7,055,247		—		—		7,055,247

Total Investments		13,777,038,188		—		—		13,777,038,188

Total	$	13,777,038,188	$	—	$	—	$	13,777,038,188


Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia		—		44,933,846		—		44,933,846
Austria		—		5,888,489		—		5,888,489
Belgium		—		1,848,231		—		1,848,231
Brazil		—		17,659,824		—		17,659,824
Canada		37,339,468		—		—		37,339,468
China		8,053,836		142,881,434		—		150,935,270
Czech Republic		—		1,984,200		—		1,984,200
Denmark		—		354,489		—		354,489
Finland		—		9,649,588		—		9,649,588
France		—		60,775,235		—		60,775,235
Germany		—		64,199,202		—		64,199,202
Greece		—		235,809		—		235,809
Hong Kong		—		30,040,101		—		30,040,101
Hungary		—		1,354,810		—		1,354,810
India		11,303,887		23,411,526		—		34,715,413
Indonesia		—		357,725		—		357,725
Ireland		—		715,597		—		715,597
Israel		7,131,411		8,424,761		—		15,556,172
Italy		—		6,447,255		—		6,447,255
Japan		—		156,907,550		—		156,907,550
Mexico		13,708,859		—		—		13,708,859
Netherlands		2,425,470		25,797,791		—		28,223,261
New Zealand		—		4,162,078		—		4,162,078
Norway		—		11,506,645		—		11,506,645
Poland		—		7,678,433		—		7,678,433
Portugal		—		660,725		—		660,725
Russia		—		21,823,609		—		21,823,609
Singapore		—		6,473,862		—		6,473,862
South Africa		—		50,444,083		—		50,444,083
South Korea		—		81,141,347		—		81,141,347
Spain		—		23,304,937		—		23,304,937
Sweden		—		5,300,631		—		5,300,631
Switzerland		—		34,835,687		—		34,835,687
Taiwan		19,590,830		57,282,194		—		76,873,024
Thailand		—		3,992,092		—		3,992,092
Turkey		—		23,907,426		—		23,907,426
United Kingdom		5,848,680		96,407,634		—		102,256,314
United States		241,039,890		—		—		241,039,890

TOTAL COMMON STOCKS		346,442,331		1,032,788,846		—		1,379,231,177

Mutual Funds
United States		1,575,696,690		—		—		1,575,696,690

TOTAL MUTUAL FUNDS		1,575,696,690		—		—		1,575,696,690

129

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Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1		Level 2		Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Brazil	$	2,485,196	$	41,032,728	$	—	$	43,517,924
Chile		—		222,406		—		222,406
Germany		—		4,666,413		—		4,666,413
Russia		—		2,955,887		—		2,955,887
South Korea		—		10,787,973		—		10,787,973

TOTAL PREFERRED STOCKS		2,485,196		59,665,407		—		62,150,603

Rights/Warrants
Brazil		—		—		86,276		86,276
India		—		—		41,572		41,572

TOTAL RIGHTS/WARRANTS		—		—		127,848		127,848

Debt Obligations
United States		657,568,236		376,250,226		—		1,033,818,462

TOTAL DEBT OBLIGATIONS		657,568,236		376,250,226		—		1,033,818,462

Short-Term Investments		71,025,634		244,200,958		—		315,226,592

Total Investments		2,653,218,087		1,712,905,437		127,848		4,366,251,372

Total	$	2,653,218,087	$	1,712,905,437	$	127,848	$	4,366,251,372


Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Fund	$	2,423,693,269	$	—	$	—	$	2,423,693,269
Debt Obligations
Asset-Backed Securities		—		174,843		—		174,843

TOTAL DEBT OBLIGATIONS		—		174,843		—		174,843

Short-Term Investments		288,832		—		—		288,832

Total Investments		2,423,982,101		174,843		—		2,424,156,944

Total	$	2,423,982,101	$	174,843	$	—	$	2,424,156,944


Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	991,966,298	$	—	$	—	$	991,966,298
Short-Term Investments		338,803		—		—		338,803

Total Investments		992,305,101		—		—		992,305,101

Total	$	992,305,101	$	—	$	—	$	992,305,101


Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,206,156,571	$	—	$	—	$	2,206,156,571
Short-Term Investments		745,313		—		—		745,313

Total Investments		2,206,901,884		—		—		2,206,901,884

Total	$	2,206,901,884	$	—	$	—	$	2,206,901,884

130

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Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1		Level 2		Level 3			Total
Implementation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	124,576,011	$	—		$	124,576,011
Austria		—		18,151,634		—			18,151,634
Belgium		—		4,782,150		—			4,782,150
Brazil		—		116,670,053		—			116,670,053
Canada		97,901,263		—		—			97,901,263
Chile		—		1,866,671		—			1,866,671
China		31,000,630		813,450,415		0	^§		844,451,045
Czech Republic		—		18,519,729		—			18,519,729
Denmark		—		3,998,374		—			3,998,374
Finland		—		24,849,915		—			24,849,915
France		749,266		170,065,226		—			170,814,492
Germany		—		179,963,076		—			179,963,076
Hong Kong		—		85,742,437		—			85,742,437
Hungary		—		18,455,558		—			18,455,558
India		50,484,542		142,209,152		—			192,693,694
Indonesia		—		3,502,835		—			3,502,835
Ireland		—		1,070,912		—			1,070,912
Israel		20,241,455		21,583,043		—			41,824,498
Italy		—		38,803,497		—			38,803,497
Japan		—		411,680,282		—			411,680,282
Malaysia		—		518,081		—			518,081
Mexico		47,511,642		—		—			47,511,642
Netherlands		83,424,771		58,304,997		—			141,729,768
New Zealand		—		9,398,900		—			9,398,900
Norway		—		27,530,380		—			27,530,380
Poland		—		64,291,309		—			64,291,309
Portugal		—		2,587,106		—			2,587,106
Russia		—		110,246,341		—			110,246,341
Singapore		—		14,615,682		—			14,615,682
South Africa		—		208,853,826		—			208,853,826
South Korea		—		410,003,993		165,612			410,169,605
Spain		27,742,064		55,666,687		—			83,408,751
Sweden		—		9,722,634		15,364,011			25,086,645
Switzerland		40,593,135		109,938,627		—			150,531,762
Taiwan		78,957,380		307,011,261		—			385,968,641
Thailand		—		32,471,544		—			32,471,544
Turkey		—		126,379,177		—			126,379,177
United Kingdom		15,736,504		273,486,858		—			289,223,362
United States		1,198,229,774		—		—			1,198,229,774

TOTAL COMMON STOCKS		1,692,572,426		4,020,968,373		15,529,623			5,729,070,422

Preferred Stocks
Brazil		3,281,319		221,092,682		—			224,374,001
Germany		—		15,783,160		—			15,783,160
South Korea		—		41,318,928		—			41,318,928

TOTAL PREFERRED STOCKS		3,281,319		278,194,770		—			281,476,089

Rights/Warrants
Brazil		—		—		302,934			302,934
India		—		—		232,428			232,428
Singapore		—		—		2,520,800			2,520,800
United States		—		—		4,609,155			4,609,155

TOTAL RIGHTS/WARRANTS		—		—		7,665,317			7,665,317

131

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Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations
Canada	$	—		$	50,342,254		$	—	$	50,342,254
Denmark		—			—			28,915,608		28,915,608
France		—			1,381,250			—		1,381,250
Italy		—			2,957,420			—		2,957,420
Japan		—			18,240,776			—		18,240,776
Luxembourg		—			1,332,970			—		1,332,970
Puerto Rico		—			36,930,850			—		36,930,850
United Kingdom		—			30,997,719			—		30,997,719
United States		2,966,602,691			1,088,274,140			54,888,786		4,109,765,617

TOTAL DEBT OBLIGATIONS		2,966,602,691			1,230,457,379			83,804,394		4,280,864,464

Options Purchased		11,446,555			671,408			—		12,117,963
Short-Term Investments		74,900,238			686,132,423			—		761,032,661

Total Investments		4,748,803,229			6,216,424,353			106,999,334		11,072,226,916

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			7,738,252			—		7,738,252
Futures Contracts
Interest Rate Risk		134,332			—			—		134,332
Swap Contracts
Credit Risk		—			12,514,978			—		12,514,978
Equity Risk		—			573,066			—		573,066
Interest Rate Risk		—			2,952,937			—		2,952,937

Total	$	4,748,937,561		$	6,240,203,586		$	106,999,334	$	11,096,140,481


Liability Valuation Inputs
Common Stocks
Canada	$	(2,986,848	)	$	—		$	—	$	(2,986,848	)
United Kingdom		(34,033,232	)		—			—		(34,033,232	)
United States		(118,889,169	)		—			—		(118,889,169	)

Total Common Stocks		(155,909,249	)		—			—		(155,909,249	)

Exchange-Traded Fund		(11,313,405	)		—			—		(11,313,405	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(8,602,052	)		—		(8,602,052	)
Futures Contracts
Interest Rate Risk		(77,397	)		—			—		(77,397	)
Written Options
Equity Risk		(6,833,745	)		—			—		(6,833,745	)
Swap Contracts
Credit Risk		—			(2,410,662	)		—		(2,410,662	)
Interest Rate Risk		—			(17,869,637	)		—		(17,869,637	)

Total	$	(174,133,796	)	$	(28,882,351	)	$	—	$	(203,016,147	)


International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	601,644,588		$	—		$	—	$	601,644,588
Short-Term Investments		200,023			—			—		200,023

Total Investments		601,844,611			—			—		601,844,611

Total	$	601,844,611		$	—		$	—	$	601,844,611

132

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1			Level 2			Level 3		Total
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,085,557,302		$	—		$	—	$	1,085,557,302
Short-Term Investments		289,908			—			—		289,908

Total Investments		1,085,847,210			—			—		1,085,847,210

Total	$	1,085,847,210		$	—		$	—	$	1,085,847,210


Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	305,510,880		$	—		$	—	$	305,510,880
U.S. Government Agency		8,996,634			—			—		8,996,634

TOTAL DEBT OBLIGATIONS		314,507,514			—			—		314,507,514

Mutual Funds		834,716,360			—			—		834,716,360
Short-Term Investments		355,449,539			—			—		355,449,539

Total Investments		1,504,673,413			—			—		1,504,673,413

Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			4,554,205			—		4,554,205
Futures Contracts
Equity Risk		10,553,801			28,751,671			—		39,305,472
Physical Commodity Contract Risk		497,144			—			—		497,144
Interest Rate Risk		377,356			—			—		377,356

Total	$	1,516,101,714		$	33,305,876		$	—	$	1,549,407,590


Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(1,566,533	)	$	—	$	(1,566,533	)
Futures Contracts
Equity Risk		(4,147,919	)		(777,849	)		—		(4,925,768	)
Physical Commodity Contract Risk		(3,944,900	)		—			—		(3,944,900	)
Interest Rate Risk		(5,903,705	)		—			—		(5,903,705	)

Total	$	(13,996,524	)	$	(2,344,382	)	$	—	$	(16,340,906	)


Consolidated Special Opportunities Fund
Asset Valuation Inputs
Common Stocks
Canada	$	90,348		$	—		$	—	$	90,348
Germany		—			36,389,148			—		36,389,148
Ireland		4,905,000			—			—		4,905,000
Netherlands		37,733,000			—			—		37,733,000
Romania		—			23,927,036			—		23,927,036
United Kingdom		—			58,503,026			—		58,503,026
United States		561,568,921			—			—		561,568,921

TOTAL COMMON STOCKS		604,297,269			118,819,210			—		723,116,479

Debt Obligations
Jamaica		—			12,842,825			—		12,842,825
United States		—			7,556,250			—		7,556,250

TOTAL DEBT OBLIGATIONS		—			20,399,075			—		20,399,075

Short-Term Investments		254,541,688			—			—		254,541,688

Total Investments		858,838,957			139,218,285			—		998,057,242

133

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Description	Level 1			Level 2			Level 3		Total
Consolidated Special Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	2,531		$	—	$	2,531

Total	$	858,838,957		$	139,220,816		$	—	$	998,059,773


Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(11,774	)	$	—	$	(11,774	)
Futures Contracts
Physical Commodity Contract Risk		(3,029,447	)		—			—		(3,029,447	)
Written Options
Equity Risk		(355,700	)		(1,440,000	)		—		(1,795,700	)

Total	$	(3,385,147	)	$	(1,451,774	)	$	—	$	(4,836,921	)


Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,904,440,351		$	—		$	—	$	1,904,440,351
Debt Obligations
Asset-Backed Securities		—			234,656			—		234,656
U.S. Government		—			111,859,668			—		111,859,668

Total Debt Obligations		—			112,094,324			—		112,094,324

Short-Term Investments		274,119			—			—		274,119

Total Investments		1,904,714,470			112,094,324			—		2,016,808,794

Total	$	1,904,714,470		$	112,094,324		$	—	$	2,016,808,794

Represents the interest in securities that were determined to have a value of zero at February 28, 2017.

For all Funds for the year ended February 28, 2017, there were no significant transfers between Level 1 and Level 2.

134

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 29, 2016			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 February 28, 2017			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of February 28, 2017
Alpha Only Fund
Common Stocks
China	$	13,765		$	—	$	(12,564	)	$	—	$	(3,663	)	$	2,462	$	—		$	—	$	0		$	—
Rights/Warrants
Brazil		—			0		—			—		—			1,259		—			—		1,259			1,259
Malaysia		—			0		—			—		—			1,065		—			—		1,065			1,065

Total	$	13,765		$	0	$	(12,564	)	$	—	$	(3,663	)	$	4,786	$	—		$	—	$	2,324		$	2,324


Benchmark-Free Fund
Rights/Warrants
Brazil	$	—		$	0	$	—		$	—	$	—		$	86,276	$	—		$	—	$	86,276		$	86,276
India		—			0		—			—		—			41,572		—			—		41,572			41,572

Total	$	—		$	0	$	—		$	—	$	—		$	127,848	$	—		$	—	$	127,848		$	127,848


Global Asset Allocation Fund
Debt Obligations
Asset-Backed Securities	$	500		$	—	$	—		$	1,681	$	(55,127	)	$	52,946	$	—		$	—	$	—		$	—

Total	$	500		$	—	$	—		$	1,681	$	(55,127	)	$	52,946	$	—		$	—	$	—		$	—


Consolidated Implementation Fund
Common Stocks
China	$	0	*	$	—	$	—		$	—	$	—		$	—	$	—		$	—	$	0	*	$	—
South Africa		170			—		(170	)		—		—			—		—			—		—			—
South Korea		—			—		—			—		—			—		165,612	‡		—		165,612			—
Sweden		—			—		—			—		—			—		15,364,011	‡		—		15,364,011			—
United Kingdom		7,478,801			—		(7,996,799	)		—		(2,189,612	)		2,707,610		—			—		—			—
Rights/Warrants
Brazil		—			—		—			—		—			302,934		—			—		302,934			302,934
India		—			—		—			—		—			232,428		—			—		232,428			232,428
Singapore		—			2,470,384		—			—		—			50,416		—			—		2,520,800			50,416
United States		911,920			—		—			—		—			3,697,235		—			—		4,609,155			3,697,235
Debt Obligations
Asset-Backed Securities
United States		1,599			—		—			562		(171,213	)		169,052		—			—		—			—
Bank Loans
Denmark		27,420,461			2,919,530		(5,027,493	)		3,114,863		(48,213	)		536,460		—			—		28,915,608			536,460
United States		52,371,322			—		(573,781	)		169,506		11,099			2,910,640		—			—		54,888,786			2,910,640
Purchased Options
United States		32,065,424			—		(26,567,491	)		—		(16,106,763	)		10,608,830		—			—		—			—

Total Investments	$	120,249,697		$	5,389,914	$	(40,165,734	)	$	3,284,931	$	(18,504,702	)	$	21,215,605	$	15,529,623		$	—	$	106,999,334		$	7,730,113

Derivatives
Swap Contracts	$	(8,456,355	)	$	—	$	1,006,043		$	—	$	(1,006,043	)	$	8,456,355	$	—		$	—	$	—		$	—

Total	$	111,793,342		$	5,389,914	$	(39,159,691	)	$	3,284,931	$	(19,510,745	)	$	29,671,960	$	15,529,623		$	—	$	106,999,334		$	7,730,113

†

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

‡

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

Represents the interest in securities that were determined to have a value of zero at February 29, 2016 and February 28, 2017, respectively.

135

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Fund Name	Level 3 securities and derivatives
Alpha Only Fund		< 1%
Benchmark-Free Allocation Fund		1%
Benchmark-Free Fund		< 1%
Global Asset Allocation Fund		1%
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 SGM Major Markets Fund		—
Consolidated Special Opportunities Fund		—
Strategic Opportunities Allocation Fund		< 1%

Cash

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

Due to/from broker

Foreign currency translation

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 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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

Repurchase agreements

136

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

value of the securities. As of February 28, 2017, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker listed below exceeds the value of the repurchase agreements at period end.



Fund Name	Counterparty	Gross Value		Weighted Average Maturity (days)
Benchmark-Free Fund	Daiwa Capital Markets America Inc.		244,200,958		1.0
Implementation Fund	Daiwa Capital Markets America Inc.		278,849,254		0.4
	Mizuho Securities USA Inc.		110,092,416		0.2
	Nomura Securities International Inc.		297,190,753		0.4

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 year, if any, are listed in each applicable Fund’s Schedule of Investments.



Fund Name	Received from reverse repurchase agreements ($)		Market value of securities plus accrued interest ($)
Benchmark-Free Fund		34,939,753		34,936,599
Implementation Fund		1,326,460		1,326,057

As of February 28, 2017, Benchmark-Free Fund and Implementation Fund had investments in reverse repurchase agreements with Nomura Securities International Inc., Barclays Bank plc and Citigroup Inc. with a gross value of $34,939,753, 596,282 and 730,178, respectively. The value of related collateral on Benchmark-Free Fund was undercollateralized of the reverse repurchase agreement and exceeded the value on Implementation Fund, respectively at year end. As of February 28, 2017, the reverse repurchase agreement held by Benchmark-Free Fund and Implementation Fund had open maturity dates. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The following is a summary of the gross value of reverse repurchase agreements categorized by class of collateral pledged and maturity date:



	February 28, 2017

	Remaining Contractual Maturity of the Agreements

	Overnight and Continuous		Up to 30 days		Between 30-90 days		Greater Than 90 days		Demand		Total
Benchmark-Free Fund
Reverse Repurchase Agreements
Non-U.S.Government Debt Obligations		$—		$—		$—		$—		$34,939,753		$34,939,753

Total borrowings		$—		$—		$—		$—		$34,939,753		$34,939,753


Implementation Fund
Reverse Repurchase Agreements
Non-U.S. Government Debt Obligations		$—		$—		$—		$—		$1,326,460		$1,326,460

Total Borrowings		$—		$—		$—		$—		$1,326,460		$1,326,460

137

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

Short sales

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 year, 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 year, if any, are listed in each applicable Fund’s Schedule of Investments.

Taxes and distributions

Alternative Asset SPC Ltd., Implementation SPC Ltd. and Special Opportunities SPC Ltd. are wholly-owned subsidiaries of SGM Major Markets 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 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.

138

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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 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 year ended February 28, 2017, 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.

U.S. GAAP and tax accounting differences for each Fund primarily relate to reasons described in the following table:

Differences related to:

Alpha Only Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Alloca-
tion Fund

Consolidated Implementa-
tion Fund

Interna-
tional Developed Equity Allocation Fund

Interna-
tional Equity Allocation Fund

Consoli-
dated SGM
Major Markets Fund

Consoli-
dated Special Oppor-
tunities Fund

Strategic Oppor-
tunities Allocation Fund

Accretion and amortization

Capital loss carry forwards

Controlled foreign corporation transactions

Derivative contract transactions

Dividend income and withholding tax reclaim reserves

Dividends received from underlying investments

Foreign capital gains taxes

Foreign currency transactions

Late year ordinary losses

Losses on wash sale transactions

Mutual fund distributions received

Passive foreign investment company transactions

139

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

Differences related to:

Alpha Only Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Alloca-
tion Fund

Consolidated Implementa-
tion Fund

Interna-
tional Developed Equity Allocation Fund

Interna-
tional Equity Allocation Fund

Consoli-
dated SGM
Major Markets Fund

Consoli-
dated Special Oppor-
tunities Fund

Strategic Oppor-
tunities Allocation Fund

Post-October capital losses

Gains/losses on underlying fund shares

The tax character of distributions declared by each Fund to shareholders is as follows:



	Tax year ended February 28, 2017						Tax year ended February 29, 2016

Fund Name	Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)		Ordinary Income (including any net short-term capital gain) ($)		Net Long-Term Capital Gain ($)		Total Distributions ($)
Alpha Only Fund		7,630,569		—		7,630,569		62,592,348		—		62,592,348
Benchmark-Free Allocation Fund		222,054,737		—		222,054,737		309,142,891		131,565,120		440,708,011
Benchmark-Free Fund		116,700,824		—		116,700,824		157,864,255		132,412,081		290,276,336
Global Asset Allocation Fund		62,220,291		—		62,220,291		139,248,090		192,288,728		331,536,818
Global Developed Equity Allocation Fund		30,222,611		39,708,759		69,931,370		40,963,522		137,293,847		178,257,369
Global Equity Allocation Fund		68,753,269		55,799,955		124,553,224		87,088,321		278,611,210		365,699,531
Consolidated Implementation Fund		218,046,347		—		218,046,347		—		—		—
International Developed Equity Allocation Fund		27,805,230		—		27,805,230		34,075,093		—		34,075,093
International Equity Allocation Fund		35,103,258		—		35,103,258		41,812,547		58,511,741		100,324,288
Consolidated SGM Major Markets Fund		68,935,774		34,942,155		103,877,929		—		—		—
Consolidated Special Opportunities Fund		30,825,271		6,094,262		36,919,533		13,915,124		3,368,794		17,283,918
Strategic Opportunities Allocation Fund		54,767,596		1,162,624		55,930,220		87,128,479		105,306,735		192,435,214

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.

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February 28, 2017

As of February 28, 2017, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:



Fund Name	Undistributed Ordinary Income (including any net short-term capital gain) ($)		Undistributed Net Long-Term Capital Gain ($)		Late-Year Ordinary Loss Deferral ($)		Capital Loss Carryforwards ($)		Post-October Capital Losses ($)
Alpha Only Fund		643,085		—		(6,466)		(370,398,163)		(21,761,001)
Benchmark-Free Allocation Fund		17,766,561		—		(13,411,417)		(416,250,767)		—
Benchmark-Free Fund		16,278,515		—		—		(569,031,568)		(2,214,773)
Global Asset Allocation Fund		1,935,903		—		—		(210,741,572)		(13,133,698)
Global Developed Equity Allocation Fund		4,110,832		—		(3,852)		(62,444,314)		—
Global Equity Allocation Fund		3,036,437		—		(7,532)		(258,545,432)		—
Consolidated Implementation Fund		51,131,312		—		—		(1,269,460,115)		—
International Developed Equity Allocation Fund		57,626		—		(2,779)		(74,898,434)		(25,050,614)
International Equity Allocation Fund		1,968,137		—		(4,131)		(50,815,115)		(1,063,745)
Consolidated SGM Major Markets Fund		847,508		11,234,351		(27,088,428)		—		—
Consolidated Special Opportunities Fund		21,443,930		—		(239,136)		—		(6,744,894)
Strategic Opportunities Allocation Fund		1,595,492		—		—		(16,043,549)		—



	Short-Term ($)								Long- Term ($)

Fund Name	Expiration Date 2/28/2018		Expiration Date 2/28/2019		No Expiration Date		Total Short- Term ($)		No Expiration Date
Alpha Only Fund		—		—		(210,317,423)		(210,317,423)		(160,080,740)
Benchmark-Free Allocation Fund		(22,052,464)		(7,441,107)		(20,273,725)		(49,767,296)		(366,483,471)
Benchmark-Free Fund		—		—		(56,983,052)		(56,983,052)		(512,048,516)
Global Asset Allocation Fund		—		—		(1,075,470)		(1,075,470)		(209,666,102)
Global Developed Equity Allocation Fund		—		—		—		—		(62,444,314)
Global Equity Allocation Fund		—		—		—		—		(258,545,432)
Consolidated Implementation Fund		—		—		(996,843,618)		(996,843,618)		(272,616,497)
International Developed Equity Allocation Fund		(14,472,130)		(22,515,333)		—		(36,987,463)		(37,910,971)
International Equity Allocation Fund		—		—		—		—		(50,815,115)
Consolidated SGM Major Markets Fund		—		—		—		—		—
Consolidated Special Opportunities Fund		—		—		—		—		—
Strategic Opportunities Allocation Fund		—		—		—		—		(16,043,549)

141

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February 28, 2017



Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Alpha Only Fund		211,943,073		25,261,953		(4,761,466)		20,500,487
Benchmark-Free Allocation Fund		13,841,037,202		149,942,876		(213,941,890)		(63,999,014)
Benchmark-Free Fund		4,187,360,335		207,504,104		(28,613,067)		178,891,037
Global Asset Allocation Fund		2,582,236,017		36,694,997		(194,779,070)		(158,079,073)
Global Developed Equity Allocation Fund		1,086,876,398		13,924,629		(108,495,926)		(94,571,297)
Global Equity Allocation Fund		2,427,548,108		35,960,017		(256,606,241)		(220,646,224)
Consolidated Implementation Fund		10,670,038,947		600,852,917		(198,664,948)		402,187,969
International Developed Equity Allocation Fund		741,522,239		3,004,088		(142,681,716)		(139,677,628)
International Equity Allocation Fund		1,241,056,950		2,833,962		(158,043,702)		(155,209,740)
Consolidated SGM Major Markets Fund		1,515,538,175		50,666,387		(61,531,149)		(10,864,762)
Consolidated Special Opportunities Fund		954,403,003		80,955,503		(37,301,264)		43,654,239
Strategic Opportunities Allocation Fund		2,076,045,132		31,138,957		(90,375,295)		(59,236,338)

Security transactions and related investment income

Expenses and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, 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).

142

GMO Trust Funds

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February 28, 2017

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 periodically by GMO.

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.

143

GMO Trust Funds

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February 28, 2017

As of February 28, 2017, the premium on cash purchases and the fee on cash redemptions were as follows:



	Alpha Only Fund	Benchmark-Free Allocation Fund^(a)	Benchmark-Free Fund^(b)	Global Asset Allocation Fund^(c)	Global Developed Equity Allocation Fund^(d)	Global Equity Allocation Fund^(e)	Implementation Fund^(f)	International Developed Equity Allocation Fund^(g)	International Equity Allocation Fund^(h)	SGM Major Markets Fund	Special Opportunities Fund	Strategic Opportunities Allocation Fund⁽ⁱ⁾
Purchase Premium	—	0.20%	0.25%	0.15%	0.08%	0.18%	0.20%	0.08%	0.25%	—	0.50%	0.20%
Redemption Fee	—	0.20%	0.25%	0.15%	0.08%	0.18%	0.20%	0.08%	0.25%	—	0.50%	0.20%

^(a)

For the periods from June 30, 2015 to June 30, 2016, 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 0.18%, 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.

^(b)

For the periods from June 30, 2015 to June 30, 2016, 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 0.18%, 0.13% and 0.14%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.13% of the amount invested or redeemed.

^(c)

For the period from June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.14% and 0.11%, respectively, of the amount invested or redeemed. Prior to June 30, 2013, these same fees were each 0.10% of the amount invested or redeemed.

^(d)

Prior to March 10, 2014, there was no premium on cash purchases or fee on cash redemptions.

^(e)

For the period from June 30, 2015 to June 30, 2016, and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.19% 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.

^(f)

Prior to June 30, 2015, there was no premium on cash purchases or fee on cash redemptions.

^(g)

Prior to March 10, 2014, there was no premium on cash purchases or fees on cash redemptions.

^(h)

For the period from June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.27% and 0.20%, respectively, of the amount invested or redeemed. Prior to June 20, 2013, the same fees were each 0.21% of the amount invested or redeemed.

⁽ⁱ⁾

For the period from June 30, 2015 to June 30, 2016 and June 30, 2013 to June 30, 2015, the premium on cash purchases and the fee on cash redemptions were each 0.14% and 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

144

GMO Trust Funds

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February 28, 2017

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

Implemen-
tation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

SGM Major Markets Fund

Special Opportu-
nities Fund

Strategic Opportu-
nities Allocation Fund

Commodities Risk

Counterparty Risk

Credit Risk

Currency Risk

Derivatives and Short Sales Risk

Focused Investment Risk

Fund of Funds Risk

Futures Contracts Risk

Illiquidity Risk

Large Shareholder Risk

Leveraging Risk

Management and Operational Risk

Market Disruption and Geopolitical Risk

Market Risk – Asset-Backed Securities

Market Risk – Equities

Market Risk – Fixed Income Investments

Merger Arbitrage Risk

Non-Diversified Funds

Non-U.S. Investment Risk

Small Company Risk

Each Fund that invests in other GMO Funds, other investment companies or in a wholly-owned subsidiary (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.

145

GMO Trust Funds

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February 28, 2017

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.

• 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” for a discussion of specific risks of a Fund’s derivatives investments, including commodity-related derivatives.

146

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.

The obligations of issuers also may be subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors.

147

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

148

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

(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.”

149

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

150

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

• FUND OF FUNDS RISK. Funds that invest in Underlying Funds (including underlying GMO Funds) 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 to which the Underlying Funds are exposed.

Because a Fund bears the fees and expenses of an Underlying Fund in which it invests, absent reimbursement, 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. Because some underlying GMO 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 underlying GMO Funds, it is indirectly subject to Large Shareholder Risk because those underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk.”

• FUTURES CONTRACTS RISK. The risk of loss to a Fund resulting from its use of futures contracts is potentially unlimited. Futures markets are highly volatile and the use of futures contracts may increase the volatility of the Fund’s net asset value. A Fund’s ability to establish and close out positions in futures contracts is subject to the development and maintenance of a liquid secondary market. A liquid secondary market may not exist for any particular futures contract at any particular time and a Fund might be unable to effect closing transactions to terminate its exposure to the contract. In using futures contracts, a Fund is reliant on GMO’s ability to predict market and price movements correctly. The skills needed to use futures contracts successfully are different from those needed for traditional portfolio management. If a Fund uses futures contracts for hedging purposes, it runs the risk of imperfect correlation between changes in the prices of the contracts and changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are the subject of the hedge.

A Fund typically will be required to post margin with its futures commission merchant in connection with its transactions in futures contracts. If the Fund has insufficient cash to meet margin requirements, the Fund may need to sell other investments at disadvantageous times. A Fund may be delayed or prevented from recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. For example, in the event of an insolvency of the futures commission merchant, a Fund may not be able to recover all (or any) of the margin it has posted with the futures commission merchant or realize the value of any increase in the price of its positions.

The Commodity Futures Trading Commission (the “CFTC”) and the various exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short positions that any person and certain affiliated entities may hold or control in a particular futures contract. In addition an exchange may impose trading limits on the number of contracts that any person may trade on a particular day. An exchange may order the liquidation of positions found to be in violation of these limits, and it may impose sanctions or restrictions. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act requires the CFTC to establish speculative position limits on listed futures and economically equivalent OTC derivatives which may adversely affect the market liquidity of the futures contracts, options and economically equivalent derivatives in which a Fund invests. As a result of such limits, positions held by other GMO clients or by GMO or its affiliates may prevent GMO from taking positions on behalf of a Fund in a particular futures contract or OTC derivative.

151

GMO Trust Funds

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February 28, 2017

Futures contracts traded on markets outside the United States generally are not subject to regulation by the CFTC or other U.S. regulators. U.S. regulators neither regulate the activities of a foreign exchange, nor have the power to compel enforcement of the rules of the foreign exchange or the laws of the country in which the exchange is located. Margin and other payments made by a Fund in foreign countries may not have the same protections as payments in the United States. In addition, foreign futures contracts may be less liquid and more volatile than U.S. contracts.

A Fund may buy securities that are less liquid than those in its benchmark.

• 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, potentially at disadvantageous prices, 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 and/or purchases of shares by a large shareholder and/or a group of shareholders over time potentially limit the use of any capital loss carryforwards to offset future realized capital gains (if any) and other losses that would otherwise reduce distributable net investment income. Large Shareholders may limit or prevent a Fund’s use of tax equalization for U.S. federal tax purposes. 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.

152

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

GMO relies heavily on quantitative models in making investment decisions for GMO SGM Major Markets Fund. The usefulness of GMO’s 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 errors, omissions, bugs or viruses, and by the retrieval of limited or imperfect data for processing by the model. These risks are present in the ordinary course of business and are more likely to occur when GMO is making changes to its models. Any of these aspects could adversely affect a Fund’s performance.

153

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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.

• 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:

154

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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, GMO expects its net asset value 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 relative to those indices when those markets rise sharply because of the Fund’s lack of exposure to the upside of those markets.

155

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

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

• NON-DIVERSIFIED FUNDS. All 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.

156

GMO Trust Funds

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February 28, 2017

Benchmark-Free Allocation Fund, Benchmark-Free Fund and Implementation Fund may take temporary defensive positions if deemed prudent by GMO.

4.	Derivative financial instruments

At February 28, 2017, only Alpha Only Fund, Implementation Fund, SGM Major Markets Fund and Special Opportunities 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, SGM Major Markets Fund and Special Opportunities Fund (or their wholly-owned subsidiary).

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, that are used 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.

157

GMO Trust Funds

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February 28, 2017

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 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 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. 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.

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February 28, 2017

The Funds 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 Funds 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 SGM Major Markets 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, the Fund 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.

* * *

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February 28, 2017

For Funds that held derivatives during the year ended February 28, 2017, 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 Fund

Consolidated
Implementation
Fund*

Consolidated
Special
Opportunities
Fund‡

Consolidated
SGM Major
Markets
Fund¤

Forward currency contracts

Adjust currency exchange rate risk

Adjust exposure to foreign currencies

Manage against anticipated currency exchange rate changes

Futures contracts

Adjust exposure to certain securities markets

Substitute for direct investment

Maintain the diversity and liquidity of the portfolio

Hedge some or all of the broad market exposure of the underlying funds and/or assets in which the Fund invests

Adjust interest rate exposure

Options (Purchased)

Substitute for direct equity investment

Adjust currency exchange rate risk

Adjust exposure to foreign currencies

Adjust interest rate exposure

Options (Written)

Substitute for direct equity investment

Adjust currency exchange rate risk

Adjust exposure to foreign currencies

Adjust interest rate exposure

Swap contracts

Adjust interest rate exposure

Adjust exposure to foreign currencies

Substitute for direct investment in securities

Achieve exposure to a reference entity’s credit

Rights and/or warrants

Received as a result of corporate actions

Certain derivatives are held by Implementation Fund’s wholly-owned subsidiary.

‡

Certain derivatives are held by Special Opportunities Fund’s wholly-owned subsidiary.

Certain derivatives are held by SGM Major Markets Fund’s wholly-owned subsidiary.

Forward currency contracts

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February 28, 2017

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.

Futures contracts

Options

161

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Notes to Financial Statements — (Continued)

February 28, 2017

For the year ended February 28, 2017, 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
Consolidated Implementation Fund
Outstanding, beginning of period		66,117,704			4,296		$	3,619,425			2,530,576,425			7,337		$	97,090,157
Options written		—			25,216			4,845,584			364,398,000			80,263			28,346,793
Options bought back		(33,061,000	)		(25,216	)		(6,963,911	)		(2,894,979,000	)		(7,842	)		(113,716,686	)
Options expired		(33,056,704	)		(4,296	)		(1,501,098	)		4,575			(44,091	)		(4,828,466	)
Options exercised		—			—			—			—			(2,737	)		(1,675,040	)

Outstanding, end of period		—			—		$	—			—			32,930		$	5,216,758


Consolidated Special Opportunities Fund
Outstanding, beginning of period		—			430		$	419,205			—			—		$	—
Options written		—			8,120			7,208,786			—			—			—
Options bought back		—			—			—			—			—			—
Options expired		—			(4,200	)		(4,618,825	)		—			—			—
Options exercised		—			—			—			—			—			—

Outstanding, end of period		—			4,350		$	3,009,166			—			—		$	—

Swap contracts

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.

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February 28, 2017

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. A 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 a 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. The 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 the 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.

163

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February 28, 2017

Rights and warrants

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 February 28, 2017 and the Statements of Operations for the year ended February 28, 2017^:



	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts		Inflation Contracts		Interest Rate Contracts		Other Contracts		Total
Alpha Only Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—	$	—	$	3,174		$	—	$	—	$	—	$	—	$	3,174
Unrealized Appreciation on Futures Contracts¤		—		—		24,455			—		—		—		—		24,455

Total	$	—	$	—	$	27,629		$	—	$	—	$	—	$	—	$	27,629

Derivatives not subject to Master Agreements	$	—	$	—	$	3,174		$	—	$	—	$	—	$	—	$	3,174

Total subject to Master Agreements	$	—	$	—	$	24,455		$	—	$	—	$	—	$	—	$	24,455

Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—	$	—	$	(8,407,599	)	$	—	$	—	$	—	$	—	$	(8,407,599	)

Total	$	—	$	—	$	(8,407,599	)	$	—	$	—	$	—	$	—	$	(8,407,599	)

Derivatives not subject to Master Agreements	$	—	$	—	$	—		$	—	$	—	$	—	$	—	$	—

Total subject to Master Agreements	$	—	$	—	$	(8,407,599	)	$	—	$	—	$	—	$	—	$	(8,407,599	)

Net Realized Gain (Loss) on
Forward Currency Contracts	$	—	$	—	$	—		$	108,902	$	—	$	—	$	—		108,902
Futures Contracts		—		—		(45,393,896	)		—		—		—		—		(45,393,896	)

Total	$	—	$	—	$	(45,393,896	)	$	108,902	$	—	$	—	$	—	$	(45,284,994	)

Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—	$	—	$	3,198		$	—	$	—	$	—	$	—	$	3,198
Forward Currency Contracts		—		—		—			108,542		—		—		—		108,542
Futures Contracts		—		—		(7,921,154	)		—		—		—		—		(7,921,154	)

Total	$	—	$	—	$	(7,917,956	)	$	108,542	$	—	$	—	$	—	$	(7,809,414	)

164

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February 28, 2017



	Credit Contracts			Commodity Contracts		Equity Contracts			Foreign Currency Contracts			Inflation Contracts		Interest Rate Contracts			Other Contracts		Total
Benchmark-Free Fund
Asset Derivatives
Investments, at value (rights and/or warrants)	$	—		$	—	$	127,848		$	—		$	—	$	—		$	—	$	127,848

Total	$	—		$	—	$	127,848		$	—		$	—	$	—		$	—	$	127,848

Derivatives not subject to Master Agreements	$	—		$	—	$	127,848		$	—		$	—	$	—		$	—	$	127,848

Total subject to Master Agreements	$	—		$	—	$	—		$	—		$	—	$	—		$	—	$	—

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—		$	—	$	30		$	—		$	—	$	—		$	—	$	30
Forward Currency Contracts		—			—		—			5,196,244			—		—			—		5,196,244
Futures Contracts		—			—		6,495,210			—			—		—			—		6,495,210
Swap Contracts		—			—		299,633			—			—		—			—		299,633

Total	$	—		$	—	$	6,794,873		$	5,196,244		$	—	$	—		$	—	$	11,991,117

Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—		$	—	$	127,848		$	—		$	—	$	—		$	—	$	127,848
Forward Currency Contracts		—			—		—			(7,251,480	)		—		—			—		(7,251,480	)
Futures Contracts		—			—		(197,030	)		—			—		—			—		(197,030	)
Swap Contracts		—			—		19,340			—			—		—			—		19,340

Total	$	—		$	—	$	(49,842	)	$	(7,251,480	)	$	—	$	—		$	—	$	(7,301,322	)


Consolidated Implementation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—		$	—	$	11,446,555		$	671,408		$	—	$	—		$	—	$	12,117,963
Investments, at value (rights and/or warrants)		—			—		7,665,317			—			—		—			—		7,665,317
Unrealized Appreciation on Forward Currency Contracts		—			—		—			7,738,252			—		—			—		7,738,252
Unrealized Appreciation on Futures Contracts¤		—			—		—			—			—		134,332			—		134,332
Unrealized Appreciation on Swap Contracts¤		12,514,978			—		573,066			—			—		2,952,937			—		16,040,981

Total	$	12,514,978		$	—	$	19,684,938		$	8,409,660		$	—	$	3,087,269		$	—	$	43,696,845

Derivatives not subject to Master Agreements	$	—		$	—	$	7,665,317		$	—		$	—	$	—		$	—	$	7,665,317

Total subject to Master Agreements	$	12,514,978		$	—	$	12,019,621		$	8,409,660		$	—	$	3,087,269		$	—	$	36,031,528

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—	$	—		$	(8,602,052	)	$	—	$	—		$	—	$	(8,602,052	)
Unrealized Depreciation on Futures Contracts¤		—			—		—			—			—		(77,397	)		—		(77,397	)
Written Options, at value		—			—		(6,833,745	)		—			—		—			—		(6,833,745	)
Unrealized Depreciation on Swap Contracts¤		(2,410,662	)		—		—			—			—		(17,869,637	)		—		(20,280,299	)

Total	$	(2,410,662	)	$	—	$	(6,833,745	)	$	(8,602,052	)	$	—	$	(17,947,034	)	$	—	$	(35,793,493	)

Derivatives not subject to Master Agreements	$	—		$	—	$	—		$	—		$	—	$	—		$	—	$	—

Total subject to Master Agreements	$	(2,410,662	)	$	—	$	(6,833,745	)	$	(8,602,052	)	$	—	$	(17,947,034	)	$	—	$	(35,793,493	)

165

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February 28, 2017



	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Inflation Contracts		Interest Rate Contracts			Other Contracts		Total
Consolidated Implementation Fund (continued)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	(29,814,733	)	$	(43,281,107	)	$	—	$	(114,882,740	)	$	—	$	(187,978,580	)
Investments (rights and/or warrants)		—			—			229,668			—			—		—			—		229,668
Forward Currency Contracts		—			—			—			28,499,131			—		—			—		28,499,131
Futures Contracts		—			—			—			—			—		(1,780,766	)		—		(1,780,766	)
Written Options		—			—			7,184,423			3,433,332			—		(31,674,503	)		—		(21,056,748	)
Swap Contracts		(3,316,600	)		—			(1,683,964	)		—			—		95,659,461			—		90,658,897

Total	$	(3,316,600	)	$	—		$	(24,084,606	)	$	(11,348,644	)	$	—	$	(52,678,548	)	$	—	$	(91,428,398	)

Change in Net Unrealized Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	12,416,432		$	35,969,161		$	—	$	92,576,564		$	—	$	140,962,157
Investments (rights and/or warrants)		—			—			4,283,013			—			—		—			—		4,283,013
Forward Currency Contracts		—			—			—			(15,335,650	)		—		—			—		(15,335,650	)
Futures Contracts		—			—			—			—			—		52,234			—		52,234
Written Options		—			—			(1,947,044	)		(4,178,872	)		—		39,235,302			—		33,109,386
Swap Contracts		(9,436,595	)		—			7,022,530			—			—		(112,405,241	)		—		(114,819,306	)

Total	$	(9,436,595	)	$	—		$	21,774,931		$	16,454,639		$	—	$	19,458,859		$	—	$	48,251,834


Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	4,554,205		$	—	$	—		$	—	$	4,554,205
Unrealized Appreciation on Futures Contracts¤		—			497,144			39,305,472			—			—		377,356			—		40,179,972

Total	$	—		$	497,144		$	39,305,472		$	4,554,205		$	—	$	377,356		$	—	$	44,734,177

Derivatives not subject to Master Agreements	$	—		$	—		$	—		$	—		$	—	$	—		$	—	$	—

Total subject to Master Agreements	$	—		$	497,144		$	39,305,472		$	4,554,205		$	—	$	377,356		$	—	$	44,734,177

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(1,566,533	)	$	—	$	—		$	—	$	(1,566,533	)
Unrealized Depreciation on Futures Contracts¤		—			(3,944,900	)		(4,925,768	)		—			—		(5,903,705	)		—		(14,774,373	)

Total	$	—		$	(3,944,900	)	$	(4,925,768	)	$	(1,566,533	)	$	—	$	(5,903,705	)	$	—	$	(16,340,906	)

Derivatives not subject to Master Agreements	$	—		$	—		$	—		$	—		$	—	$	—		$	—	$	—

Total subject to Master Agreements	$	—		$	(3,944,900	)	$	(4,925,768	)	$	(1,566,533	)	$	—	$	(5,903,705	)	$	—	$	(16,340,906	)

Net Realized Gain (Loss) on
Forward Currency Contracts	$	—		$	—		$	—		$	37,499,519		$	—	$	—		$	—	$	37,499,519
Futures Contracts		—			(17,012,067	)		52,424,332			—			—		(22,886,412	)		—		12,525,853

Total	$	—		$	(17,012,067	)	$	52,424,332		$	37,499,519		$	—	$	(22,886,412	)	$	—	$	50,025,372

Change in Net Unrealized Appreciation (Depreciation) on
Forward Currency Contracts	$	—		$	—		$	—		$	(12,239,229	)	$	—	$	—		$	—	$	(12,239,229	)
Futures Contracts		—			(2,604,567	)		22,690,233			—			—		6,482,893			—		26,568,559

Total	$	—		$	(2,604,567	)	$	22,690,233		$	(12,239,229	)	$	—	$	6,482,893		$	—	$	14,329,330

166

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February 28, 2017



	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Inflation Contracts		Interest Rate Contracts		Other Contracts		Total
Consolidated Special Opportunities Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	2,531		$	—	$	—	$	—	$	2,531

Total	$	—		$	—		$	—		$	2,531		$	—	$	—	$	—	$	2,531

Derivatives not subject to Master Agreements	$	—		$	—		$	—		$	—		$	—	$	—	$	—	$	—

Total subject to Master Agreements	$	—		$	—		$	—		$	2,531		$	—	$	—	$	—	$	2,531

Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(11,774	)	$	—	$	—	$	—	$	(11,774	)
Unrealized Depreciation on Futures Contracts¤		—			(3,029,447	)		—			—			—		—		—		(3,029,447	)
Written Options, at value		—			—			(1,795,700	)		—			—		—		—		(1,795,700	)

Total	$	—		$	(3,029,447	)	$	(1,795,700	)	$	(11,774	)	$	—	$	—	$	—	$	(4,836,921	)

Derivatives not subject to Master Agreements	$	—		$	—		$	—		$	—		$	—	$	—	$	—	$	—

Total subject to Master Agreements	$	—		$	(3,029,447	)	$	(1,795,700	)	$	(11,774	)	$	—	$	—	$	—	$	(4,836,921	)

Net Realized Gain (Loss) on
Investments (rights and/or warrants)	$	—		$	—		$	(1,909,116	)	$	—		$	—	$	—	$	—	$	(1,909,116	)
Forward Currency Contracts		—			—			—			(1,019,528	)		—		—		—		(1,019,528	)
Futures Contracts		—			(351,959	)		—			—			—		—		—		(351,959	)
Written Options		—			—			4,618,825			—			—		—		—		4,618,825
Swap Contracts		135,530			—			—			—			—		—		—		135,530

Total	$	135,530		$	(351,959	)	$	2,709,709		$	(1,019,528	)	$	—	$	—	$	—	$	1,473,752

Change in Net Unrealized Appreciation (Depreciation) on
Investments (rights and/or warrants)	$	—		$	—		$	2,076,605		$	—		$	—	$	—	$	—	$	2,076,605
Forward Currency Contracts		—			—			—			797,777			—		—		—		797,777
Futures Contracts		—			(1,749,496	)		—			—			—		—		—		(1,749,496	)
Written Options		—			—			832,961			—			—		—		—		832,961
Swap Contracts		(899,007	)		—			—			—			—		—		—		(899,007	)

Total	$	(899,007	)	$	(1,749,496	)	$	2,909,566		$	797,777		$	—	$	—	$	—	$	1,058,840

167

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Notes to Financial Statements — (Continued)

February 28, 2017

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 “Investments and other risks” above.

Consolidated 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.	$	22,566	$	—		$	22,566		$	—
Barclays Bank plc		576,699		(334,677	)		(242,022	)		—	*
Goldman Sachs International		12,058,709		(4,682,191	)		(6,466,945	)		909,573
JPMorgan Chase Bank, N.A.		1,742,088		—			1,742,088			—
Morgan Stanley & Co. International PLC		988,434		—			988,434			—
Morgan Stanley & Co. LLC		11,446,555		—			(6,833,745	)		4,612,810

Total	$	26,835,051	$	(5,016,868	)	$	(10,789,624	)	$	5,522,383



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.	$	390,825	$	—		$	(22,566	)	$	368,259
Barclays Bank plc		242,022		—			242,022			—
Credit Suisse International		67,775		—			—			67,775
Goldman Sachs International		6,466,945		—			6,466,945			—
JPMorgan Chase Bank, N.A.		2,702,309		(960,221	)		(1,742,088	)		—	*
Morgan Stanley & Co. International PLC		1,142,838		(19,959	)		(988,434	)		134,445
Morgan Stanley & Co. LLC		6,833,745		—			6,833,745			—	*

Total	$	17,846,459	$	(980,180	)	$	10,789,624		$	570,479

168

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Notes to Financial Statements — (Continued)

February 28, 2017

Consolidated SGM Major Markets Fund



Counterparty	Gross Derivative Assets Subject to Master Agreements		Collateral Received			Derivative Assets/(Liabilities) Available for Offset			Net Amount of Derivative Assets
JPMorgan Chase Bank, N.A.	$	1,936,842	$	—		$	(907,522	)	$	1,029,320
Morgan Stanley & Co. International PLC		1,247,863		(236,000	)		(86,691	)		925,172
State Street Bank and Trust Company		203,211		—			(152,259	)		50,952
UBS AG		1,166,289		(539,895	)		(420,061	)		206,333

Total	$	4,554,205	$	(775,895	)	$	(1,566,533	)	$	2,211,777



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.	$	907,522	$	—		$	907,522		$	—	*
Morgan Stanley & Co. International PLC		86,691		—			86,691			—
State Street Bank and Trust Company		152,259		—			152,259			—
UBS AG		420,061		—			420,061			—

Total	$	1,566,533	$	—		$	1,566,533		$	—

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
Morgan Stanley & Co. International PLC	$	2,531	$	—		$	2,531		$	—	*

Total	$	2,531	$	—		$	2,531		$	—



Counterparty	Gross Derivative Liabilities Subject to Master Agreements		Collateral Pledged			Derivative (Assets)/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Goldman Sachs International	$	384	$	—		$	—		$	384
Morgan Stanley & Co. International PLC		11,390		—			(2,531	)		8,859
Morgan Stanley & Co. LLC		1,795,700		(1,795,700	)		—			—	*

Total	$	1,807,474	$	(1,795,700	)	$	(2,531	)	$	9,243

The actual collateral received and/or pledged is more than the amount shown.



Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Contracts ($)		Options (Principal)		Options (Contracts)		Rights and/ or Warrants ($)
Alpha Only Fund		5,451,944		218,166,259		—		—		—		2,149
Benchmark-Free Fund		82,198,988		840,930*		328,856		—		—		48,500
Implementation Fund		1,705,479,629		17,338,259		13,229,211,976		1,148,723,597		72,468		1,508,229
Consolidated Consolidated SGM Major Markets Fund		1,135,360,118		1,896,828,838		—		—		—		—
Consolidated Special Opportunities Fund		62,722,547		7,025,897		19,520,354		—		3,368		3,716,262

During the year ended February 28, 2017, the Fund did not hold this investment type at any month-end; therefore, the average amount outstanding was calculated using daily outstanding absolute values.

169

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Notes to Financial Statements — (Continued)

February 28, 2017

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	Implemen- tation Fund	International Developed Equity Allocation Fund	International Equity Allocation Fund	SGM Major Markets Fund	Special Opportunities Fund	Strategic Opportunities Allocation Fund
Management Fee	0.50%	0.65%	—	—	—	—	—	—	—	0.85%	1.10%	—

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, each class of shares of certain Funds 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 the investor’s board of directors in areas including pricing, compliance, and taxation, (5) access to and meetings with GMO’s Chief Investment Strategist and Heads 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 agent, 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%
SGM Major Markets Fund		0.15%			0.10%					0.055%
Special Opportunities Fund		0.15%	*		0.10%	*		0.085%*		0.055%

Class is offered but has no shareholders as of February 28, 2017.

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.

170

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February 28, 2017

“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. In the case of Benchmark-Free Fund, “Specified Operating Expenses” does not include the Fund’s direct custody expenses attributable to its holdings of emerging market securities.

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.

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, 2017, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.



Fund Name	Independent Trustees and their legal counsel ($)		Agent unaffiliated with GMO ($)
Alpha Only Fund		2,534		400
Benchmark-Free Allocation Fund		259,237		27,059
Benchmark-Free Fund		75,978		7,564
Global Asset Allocation Fund		47,831		5,056
Global Developed Equity Allocation Fund		20,408		2,129
Global Equity Allocation Fund		44,703		4,621
Consolidated Implementation Fund		214,514		22,400
International Developed Equity Allocation Fund		15,154		1,575
International Equity Allocation Fund		19,141		1,944
Consolidated SGM Major Markets Fund		23,201		2,404
Consolidated Special Opportunities Fund		18,680		1,733
Strategic Opportunities Allocation Fund		35,953		3,437

171

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Notes to Financial Statements — (Continued)

February 28, 2017



Fund Name	Indirect Net Expenses (excluding shareholder service fees)		Indirect Shareholder Service Fees		Indirect Interest Expense			Total Indirect Expenses
Alpha Only Fund		< 0.001%		0.000%		0.000%			< 0.001%
Benchmark-Free Allocation Fund		0.144%		0.013%		0.037%	*		0.194%
Benchmark-Free Fund		0.240%		0.021%		< 0.001%			0.261%
Global Asset Allocation Fund		0.414%		0.061%		0.001%			0.476%
Global Developed Equity Allocation Fund		0.456%		0.071%		0.000%			0.527%
Global Equity Allocation Fund		0.508%		0.070%		0.000%			0.578%
Consolidated Implementation Fund		0.000%		0.000%		0.000%			0.000%
International Developed Equity Allocation Fund		0.536%		0.086%		0.000%			0.622%
International Equity Allocation Fund		0.609%		0.079%		0.000%			0.688%
Consolidated SGM Major Markets Fund		0.002%		0.000%		0.000%			0.002%
Consolidated Special Opportunities Fund		0.000%		0.000%		0.000%			0.000%
Strategic Opportunities Allocation Fund		0.397%		0.056%		< 0.001%			0.453%

Includes indirect dividend expense.

6.	Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, for the year ended February 28, 2017 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		—		200,479,372		—		286,939,367
Benchmark-Free Allocation Fund		—		1,075,375,262		—		5,137,993,142
Benchmark-Free Fund		1,586,044,116		1,792,371,586		1,126,612,609		2,528,964,284
Global Asset Allocation Fund		—		520,386,930		—		1,687,210,868
Global Developed Equity Allocation Fund		—		342,488,484		—		953,511,567
Global Equity Allocation Fund		—		715,092,575		—		1,793,198,540
Consolidated Implementation Fund		6,248,628,577		7,700,580,229		5,455,185,738		10,186,330,740
International Developed Equity Allocation Fund		—		89,099,065		—		548,942,425
International Equity Allocation Fund		—		80,565,244		—		318,233,307
Consolidated SGM Major Markets Fund		341,670,521		365,060,705		13,989,609		470,000,000
Consolidated Special Opportunities Fund		—		699,131,522		—		899,053,187
Strategic Opportunities Allocation Fund		86,314,981		701,751,602		276,019,730		694,682,436

172

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Notes to Financial Statements — (Continued)

February 28, 2017

7.	Guarantees

8.	Principal shareholders and related parties as of February 28, 2017



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		3	‡		87.85%		0.09%		99.38%
Benchmark-Free Allocation Fund		1			42.54%		0.93%		2.13%
Benchmark-Free Fund		—			—		—		100.00%
Global Asset Allocation Fund		—			—		0.19%		7.35%
Global Developed Equity Allocation Fund		4			56.59%		—		—
Global Equity Allocation Fund		1			15.73%		0.01%		0.67%
Implementation Fund		1	‡		95.84%		—		100.00%
International Developed Equity Allocation Fund		5			74.27%		< 0.01%		1.73%
International Equity Allocation Fund		3	†		53.06%		0.01%		20.52%
SGM Major Markets Fund±		2	#		80.98%		0.10%		97.34%
Special Opportunities Fund		2	#		96.61%		0.07%		99.59%
Strategic Opportunities Allocation Fund		1			27.04%		< 0.01%		99.96%

The Fund’s outstanding shares were owned by more than 10 shareholders as of February 28, 2017.

†

One of the shareholders is another fund managed by GMO.

‡

One of the shareholders is another fund of the Trust.

Two of the shareholders are other funds of the Trust.

173

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Notes to Financial Statements — (Continued)

February 28, 2017

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:



	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
Alpha Only Fund
Class III:
Shares sold		23,049		$	485,000			34,813		$	787,161
Shares issued to shareholders in reinvestment of distributions		10,799			226,478			28,004			615,633
Shares repurchased		(9,062	)		(193,998	)		(877,135	)		(19,442,906	)

Net increase (decrease)		24,786		$	517,480			(814,318	)	$	(18,040,112	)

Class IV:
Shares sold		290,332		$	6,216,866			6,213,891	^(a)	$	141,103,403	^(a)
Shares issued to shareholders in reinvestment of distributions		323,934			6,805,653			2,800,200			61,485,182
Shares repurchased		(2,820,045	)		(60,624,321	)		(141,301,153	)^(a)		(3,149,361,827	)^(a)

Net increase (decrease)		(2,205,779	)	$	(47,601,802	)		(132,287,062	)	$	(2,946,773,242	)


Benchmark-Free Allocation Fund
Class III:
Shares sold		11,196,580		$	282,349,518			72,331,281		$	1,847,742,291
Shares issued to shareholders in reinvestment of distributions		2,999,733			74,370,066			4,651,398			120,052,586
Shares repurchased		(60,921,352	)		(1,511,866,800	)		(50,094,065	)		(1,243,090,574	)
Purchase premiums		—			239,291			—			846,534
Redemption fees		—			3,224,150			—			2,402,472

Net increase (decrease)		(46,725,039	)	$	(1,151,683,775	)		26,888,614		$	727,953,309

Class IV:
Shares sold		10,289,818		$	256,114,599			23,359,719		$	620,703,712
Shares issued to shareholders in reinvestment of distributions		1,600,299			39,678,337			2,795,335			72,119,639
Shares repurchased		(15,488,463	)		(390,292,674	)		(43,693,869	)		(1,088,914,127	)
Purchase premiums		—			112,306			—			465,686
Redemption fees		—			1,579,024			—			1,187,301

Net increase (decrease)		(3,598,346	)	$	(92,808,408	)		(17,538,815	)	$	(394,437,789	)

Class MF:
Shares sold		9,091,977		$	219,971,887			24,241,374		$	613,440,726
Shares issued to shareholders in reinvestment of distributions		4,019,603			99,711,857			9,204,641			237,571,791
Shares repurchased		(127,883,060	)		(3,192,649,982	)		(144,801,570	)		(3,557,453,382	)
Purchase premiums		—			309,201			—			1,550,889
Redemption fees		—			4,213,744			—			3,918,113

Net increase (decrease)		(114,771,480	)	$	(2,868,443,293	)		(111,355,555	)	$	(2,700,971,863	)

174

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Notes to Financial Statements — (Continued)

February 28, 2017



	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
Benchmark-Free Fund
Class III:
Shares sold		2,964,651		$	53,692,431			13,827,563		$	255,015,278
Shares issued to shareholders in reinvestment of distributions		6,315,267			114,708,600			15,533,367			287,039,750
Shares repurchased		(30,712,702	)		(565,886,269	)		(24,900,259	)		(457,058,234	)
Purchase premiums		—			2,491			—			199,764
Redemption fees		—			1,186,303			—			557,383

Net increase (decrease)		(21,432,784	)	$	(396,296,444	)		4,460,671		$	85,753,941


Global Asset Allocation Fund
Class III:#
Shares sold		617,412		$	18,044,077			4,489,709		$	137,972,354
Shares issued to shareholders in reinvestment of distributions		1,753,044			51,432,938			10,223,198			309,983,152
Shares repurchased		(43,110,243	)		(1,266,492,076	)		(38,477,873	)		(1,211,002,276	)
Purchase premiums		—			19,792			—			106,404
Redemption fees		—			1,833,641			—			1,358,583

Net increase (decrease)		(40,739,787	)	$	(1,195,161,628	)		(23,764,966	)	$	(761,581,783	)


Global Developed Equity Allocation Fund
Class III:
Shares sold		378,886		$	7,197,962			2,634,197		$	55,440,868
Shares issued to shareholders in reinvestment of distributions		3,760,099			69,595,229			8,853,244			177,958,581
Shares repurchased		(35,852,275	)		(679,060,489	)		(6,683,069	)		(142,486,659	)
Purchase premiums		—			5,763			—			40,703
Redemption fees		—			543,248			—			110,318

Net increase (decrease)		(31,713,290	)	$	(601,718,287	)		4,804,372		$	91,063,811


Global Equity Allocation Fund
Class III:
Shares sold		896,100		$	19,538,574			3,982,610		$	89,859,760
Shares issued to shareholders in reinvestment of distributions		5,519,865			118,776,536			15,556,920			358,248,969
Shares repurchased		(55,808,897	)		(1,211,746,212	)		(18,545,772	)		(443,989,759	)
Purchase premiums		—			22,447			—			121,845
Redemption fees		—			2,187,138			—			623,129

Net increase (decrease)		(49,392,932	)	$	(1,071,221,517	)		993,758		$	4,863,944


Consolidated Implementation Fund
Core Class:
Shares sold		20,213,611		$	252,945,091			325,222,206	^(b)	$	4,218,767,955	^(b)
Shares issued to shareholders in reinvestment of distributions		17,429,764			218,046,347			—			—
Shares repurchased		(335,030,566	)		(4,227,002,950	)		(338,943,875	)^(b)		(4,204,769,174	)^(b)
Purchase premiums		—			506,904			—			3,506,474
Redemption fees		—			8,454,006			—			6,894,933

Net increase (decrease)		(297,387,191	)	$	(3,747,050,602	)		(13,721,669	)	$	24,400,188

175

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Notes to Financial Statements — (Continued)

February 28, 2017



	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
International Developed Equity Allocation Fund
Class III:
Shares sold		4,384,487		$	61,744,274			9,393,220		$	150,906,997
Shares issued to shareholders in reinvestment of distributions		1,722,551			24,243,085			2,148,270			30,814,431
Shares repurchased		(37,498,662	)		(546,186,257	)		(9,223,733	)		(146,054,631	)
Purchase premiums		—			46,639			—			86,862
Redemption fees		—			434,149			—			113,690

Net increase (decrease)		(31,391,624	)	$	(459,718,110	)		2,317,757		$	35,867,349


International Equity Allocation Fund
Class III:#
Shares sold		1,015,102		$	25,738,591			3,028,332		$	83,159,704
Shares issued to shareholders in reinvestment of distributions		1,345,263			34,818,517			3,562,958			99,615,186
Shares repurchased		(11,358,185	)		(300,419,199	)		(8,404,489	)		(224,630,230	)
Purchase premiums		—			68,619			—			159,656
Redemption fees		—			772,434			—			482,856

Net increase (decrease)		(8,997,820	)	$	(239,021,038	)		(1,813,199	)	$	(41,212,828	)


Consolidated SGM Major Markets Fund
Class III:
Shares sold		920,661		$	32,602,984			3,469,486		$	116,950,581
Shares issued to shareholders in reinvestment of distributions		16,710			552,675			—			—
Shares repurchased		(1,472,573	)		(51,952,410	)		(47,109,602	)		(1,559,759,977	)

Net increase (decrease)		(535,202	)	$	(18,796,751	)		(43,640,116	)	$	(1,442,809,396	)

Class IV:
Shares sold		1,633,992		$	57,413,784			—		$	—
Shares issued to shareholders in reinvestment of distributions		104,598			3,319,945			—			—
Shares repurchased		(54,601	)		(1,776,715	)		—			—

Net increase (decrease)		1,683,989		$	58,957,014			—		$	—

Class VI:
Shares sold		11,918,840		$	421,919,797			44,028,379		$	1,455,150,686
Shares issued to shareholders in reinvestment of distributions		3,113,453			99,975,150			—			—
Shares repurchased		(9,620,986	)		(328,005,022	)		(5,032,852	)		(165,850,792	)

Net increase (decrease)		5,411,307		$	193,889,925			38,995,527		$	1,289,299,894


Consolidated Special Opportunities Fund
Class VI:
Shares sold		157,444		$	3,101,282			26,243,967	^(c)	$	489,248,559	^(c)
Shares issued to shareholders in reinvestment of distributions		1,855,789			36,919,533			876,930			17,283,918
Shares repurchased		(14,372,910	)		(287,704,307	)		(8,675,912	)^(c)		(172,289,146	)^(c)
Purchase premiums		—			5,534			—			2,371,022
Redemption fees		—			1,428,513			—			774,369

Net increase (decrease)		(12,359,677	)	$	(246,249,445	)		18,444,985		$	337,388,722

176

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



	Year Ended February 28, 2017						Year Ended February 29, 2016

	Shares			Amount			Shares			Amount
Strategic Opportunities Allocation Fund
Class III:
Shares sold		893,443		$	16,967,331			7,092,841		$	137,972,294
Shares issued to shareholders in reinvestment of distributions		2,841,743			53,702,273			9,863,675			190,867,800
Shares repurchased		(14,553,101	)		(276,781,131	)		(15,958,945	)		(310,862,521	)
Purchase premiums		—			7,878			—			108,910
Redemption fees		—			483,578			—			369,228

Net increase (decrease)		(10,817,915	)	$	(205,620,071	)		997,571		$	18,455,711

^(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

Shares were adjusted to reflect a 1:3 reverse stock split effective July 15, 2016.

10.

Investments in affiliated companies and other Funds of the Trust



Affiliate	Value, beginning of period			Purchases		Sales Proceeds		Dividend Income		Value, end of period
Consolidated Special Opportunities Fund
Jagercor Energy Corp	$	155,211		$	—	$	—	$	—	$	90,348
Newalta Corp		—	*		4,671,298		10,356,076		—		—	#

Totals	$	155,211		$	4,671,298	$	10,356,076	$	—	$	90,348

Security not an affiliate at the beginning of the period.

No longer an affiliate as of February 28, 2017.

177

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017

A summary of the Funds’ transactions in the shares of other funds of GMO Trust during the year ended February 28, 2017 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
GMO Alpha Only Fund
GMO U.S. Treasury Fund	$	3,011,692	$	148,801,818	$	141,219,999	$	69,116	$	2,697	$	—	$	10,595,373


Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class IV	$	748,622,535	$	47,635,076	$	256,866,642	$	44,111,665	$	—	$	—	$	621,136,921
GMO Implementation Fund		13,227,455,053		462,775,287		4,204,268,866		209,323,292		—		—		10,761,426,169
GMO Opportunistic Income Fund, Class VI		775,552,374		68,561,137		197,264,144		17,233,707		—		—		682,798,759
GMO SGM Major Markets Fund, Class VI		814,182,754		470,547,987		216,183,696		32,293,301		37,283,480		—		1,030,173,520
GMO Special Opportunities Fund, Class VI		839,489,834		25,855,775		263,409,794		11,234,816		14,620,959		—		674,447,572

Totals	$	16,405,302,550	$	1,075,375,262	$	5,137,993,142	$	314,196,781	$	51,904,439	$	—	$	13,769,982,941


Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class IV	$	242,720,374	$	17,020,615	$	35,340,000	$	17,020,615	$	—	$	—	$	254,330,557
GMO Emerging Markets Fund, Class VI		411,052,988		120,435,283		111,177,960		10,435,283		—		—		544,118,916
GMO Opportunistic Income Fund, Class VI		246,974,456		6,503,529		—		6,503,529		—		—		265,783,934
GMO SGM Major Markets Fund, Class VI		200,160,790		13,235,015		20,726,000		6,509,405		6,725,610		—		190,362,136
GMO Special Opportunities Fund, Class VI		272,146,747		10,009,740		22,866,000		4,495,303		5,514,437		—		284,598,267
GMO U.S. Treasury Fund		204,990,090		192,456,754		361,000,000		428,627		28,127		—		36,502,880

Totals	$	1,578,045,445	$	359,660,936	$	551,109,960	$	45,392,762	$	12,268,174	$	—	$	1,575,696,690


Global Asset Allocation Fund
GMO Alpha Only Fund, Class IV	$	99,903,387	$	2,282,390	$	24,940,441	$	2,282,390	$	—	$	—	$	73,411,864
GMO Asset Allocation Bond Fund, Class VI		666,921,092		6,392,504		237,443,404		—		—		—		436,734,200
GMO Core Plus Bond Fund, Class IV		—		122,446,468		664,814		—		—		—		122,418,980
GMO Emerging Country Debt Fund, Class IV		150,074,191		7,794,462		75,254,430		7,794,462		—		—		98,805,388
GMO Emerging Markets Fund, Class VI		433,780,941		45,382,674		226,201,660		7,738,245		—		—		363,494,869
GMO International Equity Fund, Class IV		760,145,595		24,274,286		354,039,245		23,423,908		—		—		507,593,996
GMO Opportunistic Income Fund, Class VI		155,335,123		3,031,794		67,144,555		3,031,794		—		—		97,727,559
GMO Quality Fund, Class VI		—		226,985,614		36,635,418		3,585,189		2,941,680		—		202,013,212
GMO Risk Premium Fund, Class VI		85,983,383		4,413,462		35,025,116		—		4,413,462		—		64,139,050
GMO SGM Major Markets Fund, Class VI		99,883,924		5,252,168		31,611,937		2,570,080		2,682,088		—		73,002,358
GMO U.S. Equity Allocation Fund, Class VI		544,247,275		27,921,704		416,676,473		6,627,192		21,294,512		—		201,264,975
GMO U.S. Treasury Fund		320,035,653		44,209,405		181,174,825		1,257,038		126,004		—		183,086,818

Totals	$	3,316,310,564	$	520,386,931	$	1,686,812,318	$	58,310,298	$	31,457,746	$	—	$	2,423,693,269


Global Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	146,525,557	$	7,905,769	$	92,766,529	$	2,465,166	$	—	$	—	$	98,541,837
GMO International Equity Fund, Class IV		648,877,447		32,868,844		294,357,001		19,398,520		—		—		456,476,089
GMO Quality Fund, Class VI		—		266,781,931		60,322,704		3,877,931		3,302,802		—		219,104,022
GMO U.S. Equity Allocation Fund, Class VI		636,945,658		34,931,940		506,065,333		7,650,401		23,820,190		—		217,844,350

Totals	$	1,432,348,662	$	342,488,484	$	953,511,567	$	33,392,018	$	27,122,992	$	—	$	991,966,298


Global Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	643,097,271	$	23,849,418	$	335,480,483	$	11,182,122	$	—	$	—	$	504,513,964
GMO International Equity Fund, Class IV		1,159,489,783		72,454,667		467,795,849		36,243,812		—		—		885,286,898
GMO Quality Fund, Class VI		—		546,821,555		169,684,300		6,888,363		6,661,212		—		399,709,400
GMO U.S. Equity Allocation Fund, Class VI		1,075,713,572		71,966,935		820,237,908		15,017,145		41,520,029		—		416,646,309

Totals	$	2,878,300,626	$	715,092,575	$	1,793,198,540	$	69,331,442	$	48,181,241	$	—	$	2,206,156,571

178

GMO Trust Funds

Notes to Financial Statements — (Continued)

February 28, 2017



Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Return of Capital		Value, end of period
International Developed Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	94,700,211	$	5,432,948	$	67,506,310	$	1,645,271	$	—	$	—	$	59,768,161
GMO International Equity Fund, Class IV		847,974,621		83,666,117		481,436,115		26,051,523		—		—		541,876,427

Totals	$	942,674,832	$	89,099,065	$	548,942,425	$	27,696,794	$	—	$	—	$	601,644,588


International Equity Allocation Fund
GMO Emerging Markets Fund, Class VI	$	369,371,327	$	17,498,662	$	134,726,621	$	7,732,703	$	—	$	—	$	356,432,437
GMO International Equity Fund, Class IV		765,062,070		63,066,582		183,506,686		28,624,209		—		—		729,124,865

Totals	$	1,134,433,397	$	80,565,244	$	318,233,307	$	36,356,912	$	—	$	—	$	1,085,557,302


Consolidated SGM Major Markets Fund
GMO U.S. Treasury Fund	$	939,856,415	$	365,060,705	$	470,000,000	$	4,516,688	$	544,018		—	$	834,716,360


Strategic Opportunities Allocation Fund
GMO Core Plus Bond Fund, Class IV	$	—	$	56,107,319	$	—	$	—	$	—	$	—	$	56,400,656
GMO Emerging Country Debt Fund, Class IV		98,375,017		6,633,655		31,343,220		6,633,656		—		—		84,932,626
GMO Emerging Markets Fund, Class VI		361,131,996		44,585,406		116,201,736		8,140,406		—		—		390,569,250
GMO International Equity Fund, Class IV		558,786,340		43,325,872		91,334,145		24,560,619		—		—		573,398,898
GMO Opportunistic Income Fund, Class VI		86,283,231		2,117,058		8,698,035		2,117,058		—		—		83,844,202
GMO Quality Fund, Class VI		—		207,744,773		11,638,195		3,429,963		2,719,250		—		207,645,291
GMO U.S. Equity Allocation Fund, Class VI		402,543,560		27,077,515		259,870,078		6,354,402		20,723,113		—		204,598,363
GMO U.S. Treasury Fund		143,377,530		314,160,004		154,390,036		1,526,589		157,230		—		303,051,065

Totals	$	1,650,497,674	$	701,751,602	$	673,475,445	$	52,762,693	$	23,599,593	$	—	$	1,904,440,351

179

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and Shareholders of GMO Alpha Only Fund, GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, GMO Special Opportunities Fund, and GMO Strategic Opportunities Allocation Fund

In our opinion, the accompanying statements of assets and liabilities (consolidated statements of assets and liabilities for GMO Implementation Fund, GMO SGM Major Markets Fund and GMO Special Opportunities Fund), including the schedules of investments (consolidated schedules of investments for GMO Implementation Fund, GMO SGM Major Markets Fund and GMO Special Opportunities Fund), and the related statements of operations (consolidated statements of operations for GMO Implementation Fund, GMO SGM Major Markets Fund and GMO Special Opportunities Fund) and of changes in net assets (consolidated changes in net assets for GMO Implementation Fund, GMO SGM Major Markets Fund and GMO Special Opportunities Fund) and the financial highlights (consolidated financial highlights for GMO Implementation Fund, GMO SGM Major Markets Fund and GMO Special Opportunities Fund) present fairly, in all material respects, the financial position of the GMO Alpha Only Fund, GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO SGM Major Markets Fund, GMO Special Opportunities Fund, and GMO Strategic Opportunities Allocation Fund (the “Funds”) as of February 28, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2017 by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

April 26, 2017

180

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses

February 28, 2017 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2017.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction 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, September 1, 2016 through February 28, 2017.

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual						Hypothetical
	Beginning Account Value September 1, 2016		Ending Account Value February 28, 2017		Expenses Paid During the Period*		Beginning Account Value September 1, 2016		Ending Account Value February 28, 2017		Expenses Paid During the Period*		Annualized Expense Ratio
Alpha Only Fund
Class III		$1,000.00		$982.10		$3.34		$1,000.00		$1,021.42		$3.41		0.68%
Class IV		$1,000.00		$982.30		$3.10		$1,000.00		$1,021.67		$3.16		0.63%
Benchmark-Free Allocation Fund
Class III		$1,000.00		$1,033.50		$4.24		$1,000.00		$1,020.63		$4.21		0.84%
Class IV		$1,000.00		$1,033.90		$3.98		$1,000.00		$1,020.88		$3.96		0.79%
Class MF		$1,000.00		$1,033.80		$3.98		$1,000.00		$1,020.88		$3.96		0.79%
Benchmark-Free Fund
Class III		$1,000.00		$1,037.40		$1.31		$1,000.00		$1,023.51		$1.30		0.26%
Global Asset Allocation Fund
Class III		$1,000.00		$1,038.30		$2.38		$1,000.00		$1,022.46		$2.36		0.47%
Global Developed Equity Allocation Fund
Class III		$1,000.00		$1,071.20		$2.72		$1,000.00		$1,022.17		$2.66		0.53%
Global Equity Allocation Fund
Class III		$1,000.00		$1,069.70		$2.93		$1,000.00		$1,021.97		$2.86		0.57%
Implementation Fund
Core		$1,000.00		$1,043.90		$0.20		$1,000.00		$1,024.60		$0.20		0.04%
International Developed Equity Allocation Fund
Class III		$1,000.00		$1,056.30		$3.16		$1,000.00		$1,021.72		$3.11		0.62%
International Equity Allocation Fund
Class III		$1,000.00		$1,057.90		$3.47		$1,000.00		$1,021.42		$3.41		0.68%

181

GMO Trust Funds

(A Series of GMO Trust)

Fund Expenses — (Continued)

February 28, 2017 (Unaudited)


	Actual							Hypothetical
	Beginning Account Value September 1, 2016		Ending Account Value February 28, 2017		Expenses Paid During the Period*			Beginning Account Value September 1, 2016		Ending Account Value February 28, 2017		Expenses Paid During the Period*		Annualized Expense Ratio
SGM Major Markets Fund
Class III		$1,000.00		$984.90		$4.92			$1,000.00		$1,019.84		$5.01		1.00%
Class IV		$1,000.00		$982.10		$3.22	^(a)		$1,000.00		$1,013.87		$3.28		0.95%
Class VI		$1,000.00		$985.50		$4.48			$1,000.00		$1,020.28		$4.56		0.91%
Special Opportunities Fund
Class VI		$1,000.00		$1,024.80		$6.18			$1,000.00		$1,018.70		$6.16		1.23%
Strategic Opportunities Allocation Fund
Class III		$1,000.00		$1,047.80		$2.28			$1,000.00		$1,022.56		$2.26		0.45%

^(a)

For the period October 27, 2016 (commencement of operations) through February 28, 2017, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended February 28, 2017, multiplied by the average account value over the period, multiplied by 125 days in the period, divided by 365 days in the year.

182

GMO Trust Funds

(A Series of GMO Trust)

Tax Information for the Tax Year Ended February 28, 2017 (Unaudited)

The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.



Fund Name	Dividend Received Deduction (corporate shareholders)⁽¹⁾		Qualified Dividend Income (non-corporate shareholders)⁽¹⁾		U.S. Government Obligation Income^(1,2)		Interest- Related Dividend Income ($)⁽³⁾		Short- Term Capital Gain Dividends ($)⁽³⁾		Long-Term Capital Gain Distributions ($)		Foreign Taxes Paid ($)⁽⁴⁾		Foreign Source Income ($)⁽⁴⁾
Alpha Only Fund		39.16%		80.64%		—		—		—		—		—		—
Benchmark-Free Allocation Fund		14.93%		75.82%		13.19%		29,921,930		—		—		—		—
Benchmark-Free Fund		8.67%		47.10%		4.85%		17,234,559		—		—		—		—
Global Asset Allocation Fund		17.48%		66.85%		2.48%		5,805,707		—		—		4,164,661		35,322,614
Global Developed Equity Allocation Fund		37.33%		100.00%		—		—		—		39,709,256		2,625,567		24,491,339
Global Equity Allocation Fund		31.23%		97.42%		—		—		—		55,809,080		6,259,743		53,699,307
Consolidated Implementation Fund		14.14%		77.65%		11.75%		28,296,091		—		—		—		—
International Developed Equity Allocation Fund		—		98.37%		—		—		—		—		3,181,727		30,880,244
International Equity Allocation Fund		—		100.00%		—		—		—		—		4,721,687		41,083,575
Consolidated SGM Major Markets Fund		—		—		6.84%		—		20,077,463		34,942,155		—		—
Consolidated Special Opportunities Fund		16.62%		27.27%		3.13%		1,931,927		14,583,094		6,094,262		—		—
Strategic Opportunities Allocation Fund		17.47%		77.84%		3.62%		6,479,739		—		1,162,716		4,366,794		37,068,908

⁽¹⁾

Presented as a percentage of net investment income and short-term capital gain distributions paid, if any.

⁽²⁾

All or a portion of these amounts may be exempt from taxation at the state level.

⁽³⁾

⁽⁴⁾

The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds’ shareholders.

In early 2018, the Funds will notify applicable shareholders of amounts for use in preparing 2017 U.S. federal income tax forms.

183

Trustees and Officers (Unaudited)

Management of the Trust

Independent Trustees

Name and
Year of Birth

Position(s)
Held with the Trust

Length of

Time Served

Principal Occupation(s)

During Past
5 Years

Number of

Portfolios in

Fund Complex¹

Overseen

Other

Directorships
Held in the
Past Five
Years

Donald W. Glazer

YOB: 1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Law and Business²; Author of Legal Treatises.

Director, BeiGene Ltd. (biotech research).

Peter Tufano

YOB: 1957

Trustee

Since December 2008.

Trustee of State Street Navigator Securities Lending Trust (5 Portfolios).

Paul Braverman

YOB: 1949

Trustee

Since March 2010.

Trustee of HIMCO Variable Insurance Trust (27 Portfolios).

Interested Trustee and Officer

Joseph B. Kittredge, Jr.³

YOB: 1954

Trustee;

President of the Trust

Trustee since March 2010; President since March 2009; Chief Executive Officer, March 2009 – June 2015.

General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – present); Partner, Ropes & Gray, LLP (1988 – 2005).

None.

¹	The Fund Complex includes series of each of GMO Trust and GMO Series Trust. Mr. Kittredge also serves as a Trustee of GMO Series Trust.

³	Mr. Kittredge is an “interested person” of the Trust, as such term is used in the 1940 Act (an “Interested Trustee”), by virtue of his positions with the Trust and GMO indicated in the table above and his interest as a member of GMO.

184


Officers

Name and Year of Birth	Position(s) Held with the Trust	Length of Time Served	Principal Occupation(s) During Past 5 Years*
Joseph B. Kittredge, Jr. YOB: 1954	Trustee and President	Trustee since March 2010; President since March 2009; Chief Executive Officer, March 2009 – June 2015.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – present); Partner, Ropes & Gray LLP (1988 – 2005).

Sheppard N. Burnett YOB: 1968	Chief Executive Officer	Chief Executive Officer since June 2015; Chief Financial Officer, March 2007 – June 2015; Treasurer, November 2006 – June 2015; Assistant Treasurer, September 2004 – November 2006.	Head of Fund Treasury and Tax, Grantham, Mayo, Van Otterloo & Co. LLC (December 2006 – present).

Carly Cushman YOB: 1984	Treasurer, Chief Accounting Officer and Chief Financial Officer	Treasurer and Chief Financial Officer since June 2015; Chief Accounting Officer since May 2014; Assistant Treasurer, September 2013 – June 2015.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (December 2009 – present); Senior Accountant, Renaissance HealthCare (February 2009 – December 2009); Auditor/Senior Auditor, Deloitte & Touche (September 2006 – February 2009).

John L. Nasrah YOB: 1977	Assistant Treasurer and Chief Tax Officer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present).

Betty Maganzini YOB: 1972	Assistant Treasurer	Since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (July 2010 – present); Assistant Treasurer (June 2009 – July 2010), Manager, Fund Administration and Regulatory Affairs (2006 – 2009), Hambrecht & Quist Capital Management LLC.

Mahmoodur Rahman YOB: 1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2007 – present).

Cathy Tao YOB: 1974	Assistant Treasurer	Since September 2016	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (October 2007 – present)

Brian Kadehjian YOB: 1974	Assistant Treasurer and Treasury Officer	Assistant Treasurer since February 2015; Treasury Officer since September 2013.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (April 2002 – present).

Douglas Y. Charton YOB: 1982	Chief Legal Officer, Vice President and Clerk	Since August 2015.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (July 2015 – present); Associate, K&L Gates LLP (September 2007 – July 2015).

Megan Bunting YOB: 1978	Vice President and Assistant Clerk	Since September 2013.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2006 – present).

Kevin O’Brien YOB: 1985	Vice President and Assistant Clerk	Since March 2016.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (February 2015 – present); Associate, Dechert LLP (October 2010 – February 2015).
Gregory L. Pottle YOB: 1971	Chief Compliance Officer	Chief Compliance Officer since May 2015; Vice President and Assistant Clerk, November 2006 – November 2015.	Chief Compliance Officer, Grantham, Mayo, Van Otterloo & Co. LLC (May 2015 – present); Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (March 2000 – May 2015).

Claire Wilkinson YOB: 1965	Anti-Money Laundering Officer	Since February 2016.	Compliance Associate, GMO UK Limited (April 2013 – present); General Counsel, MVision Private Equity Advisers Limited (November 2009 – January 2013).

185

Item 2. Code of Ethics.

As of February 28, 2017, the registrant has adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002 (the “Code of Ethics”). During the year ended February 28, 2017 there were no substantive amendments to a provision of the Code of Ethics nor were there any waivers granted from a provision of the Code of Ethics. A copy of the Code of Ethics is filed with this Form N-CSR under item 12 (a).

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that the registrant does not have an “audit committee financial expert” (as such term has been defined in Form N-CSR) serving on its audit committee. The registrant’s Board believes that, although none of its members individually meets all required elements of the definition of an “audit committee financial expert”, the members of the registrant’s audit committee collectively possess the knowledge and experience necessary to execute all of the audit committee’s functions, duties and powers.

Item 4. Principal Accountant Fees and Services. *

(a)

AUDIT FEES: The aggregate fees billed to the registrant for professional services rendered by its independent auditors, PricewaterhouseCoopers LLP for the audit of the registrant’s annual financial statements for 2017 and 2016 were $2,021,951 and $2,446,609, respectively.

(b)

AUDIT-RELATED FEES: The aggregate fees billed to the registrant in 2017 and 2016 for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $122,935 and $42,000, respectively. The aggregate fees billed in 2017 and 2016 to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provides ongoing services to the Funds (each, a “Service Affiliate”) for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $514,334 and $504,899, respectively.

(c)

TAX FEES: The aggregate fees billed to the registrant in 2017 and 2016 for professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice, and tax planning, including the preparation of Form 1120 RIC, Form 8613 and review of excise tax distribution calculations, were $902,160 and $779,369, respectively. The aggregate fees billed in 2017 and 2016 to the registrant’s Service Affiliates for engagements for tax services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $0 and $0, respectively.

(d)

ALL OTHER FEES: No such fees were billed by PricewaterhouseCoopers LLP to the registrant or to the registrant’s Service Affiliates that related directly to the operations and financial reporting of the Funds in 2017 or 2016.

(e)

(1) The Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services to be performed by the independent auditor are to be preapproved. Under the Policy, the Audit Committee pre-approves, on an annual basis, the following services: (1) the engagement, scope and terms of the annual audit; (2) certain audit-related services; (3) certain tax services that the Committee believes would not impair, and are consistent with the SEC’s rules on auditor independence; and (4) certain permissible non-audit services that the Committee believes are routine and recurring services and that would not impair, and are consistent with the SEC’s rules on auditor independence, subject to certain limitations on the projected fees associated with each service. All other types of services not included on the schedule to the policy, or for which the projected fees exceed those provided in the schedule, require the specific pre-approval by the Audit Committee or the Chairperson of the Committee (if timing necessitates that preapproval is required before the Committee’s next regularly scheduled meeting) if they are to be provided by the independent auditor.

(e)

(2) None.

(f)

Not applicable.

(g)

NON-AUDIT FEES: The aggregate fees billed by PricewaterhouseCoopers LLP in 2017 and 2016 for non-audit services rendered to the registrant and the registrant’s Service Affiliates were $1,574,429 and $1,361,268, respectively. For the fiscal year ended February 28, 2017, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds. For the fiscal year ended February 29, 2016, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $35,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds.

(h)

The registrant’s Audit Committee has considered whether the provision of non-audit services by the registrant’s independent registered public accounting firm to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provided ongoing services to the registrant that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the registrant) was compatible with maintaining the independence of the independent registered public accounting firm.

*Includes information regarding all series of GMO Trust.

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 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)

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) Code of Ethics described in Item 2 is attached hereto as EX-99.CODEETH.

(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: May 3, 2017

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.


By (Signature and Title):		/s/ Sheppard N. Burnett
		Sheppard N. Burnett, Chief Executive Officer

		Date: May 3, 2017


By (Signature and Title):		/s/ Carly Cushman
		Carly Cushman, Principal Financial Officer

		Date: May 3, 2017