N-CSRS

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)

Tara Pari, 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: 02/28/23

Date of reporting period: 08/31/22

Item 1. Reports to Stockholders.

  The semi-annual reports for each series of the registrant for the period ended August 31, 2022 are filed herewith.

GMO Trust

Semiannual Report

August 31, 2022

Climate Change Fund

Emerging Domestic Opportunities Fund

Emerging Markets ex-China Fund

Emerging Markets Fund

International Equity Fund

Japan Value Creation Fund

Quality Cyclicals Fund

Quality Fund

Resources Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Small Cap Value Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com 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 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

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-PORT, which is available on the Commission’s website at www.sec.gov. 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. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus 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

Climate Change Fund
Investment Concentration Summary	1
Schedule of Investments	2
Emerging Domestic Opportunities Fund
Investment Concentration Summary	5
Schedule of Investments	6
Emerging Markets ex-China Fund
Investment Concentration Summary	9
Schedule of Investments	10
Emerging Markets Fund
Investment Concentration Summary	16
Schedule of Investments	17
International Equity Fund
Investment Concentration Summary	24
Schedule of Investments	25
Japan Value Creation Fund
Investment Concentration Summary	29
Schedule of Investments	30
Quality Cyclicals Fund
Investment Concentration Summary	32
Schedule of Investments	33
Quality Fund
Investment Concentration Summary	35
Schedule of Investments	36
Resources Fund
Investment Concentration Summary	38
Schedule of Investments	39
Tax-Managed International Equities Fund
Investment Concentration Summary	42
Schedule of Investments	43
U.S. Equity Fund
Investment Concentration Summary	47
Schedule of Investments	48
U.S. Small Cap Value Fund
Investment Concentration Summary	52
Schedule of Investments	53
Portfolio, Counterparty and Currency Abbreviations	57
Fund Financial Statements:
Statements of Assets and Liabilities	58
Statements of Operations	64
Statements of Changes in Net Assets	67
Financial Highlights	73
Notes to Financial Statements	110
Board Review of Investment Management Agreements	152
Liquidity Risk Management Program	167
Fund Expenses	168

GMO Climate Change Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.1	%
Mutual Funds		10.0
Preferred Stocks		1.5
Short-Term Investments		0.1
Other		(7.7	)
		100.0	%
Country/Region Summary¤	% of Investments
United States		54.5	%
Canada		10.3
France		5.2
South Korea		5.0
Japan		3.7
Other Developed		3.4	‡
China		3.1
Denmark		2.6
Spain		2.2
Brazil		2.1
Germany		1.9
Mexico		1.6
United Kingdom		1.4
Chile		1.4
Argentina		1.0
Other Emerging		0.6	†
		100.0	%
Industry Group Summary	% of Equity Investments#
Clean Energy		54.9	%
Energy Efficiency		15.3
Agriculture		12.8
Copper		6.4
Water		5.3
Electric Grid		4.9
Cash/Other		0.4
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

# 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.

1

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 96.1%
		Argentina — 1.0%
	973,915	Adecoagro SA (a)		8,979,496
		Australia — 0.8%
	320,055	Clean TeQ Water Ltd* (a)		119,663
	1,581,178	Sandfire Resources Ltd		4,883,221
	1,134,203	Sunrise Energy Metals Ltd* (a)		2,296,608
		Total Australia		7,299,492
		Belgium — 0.1%
	232	Elia Group SA/NV		33,703
	11,245	Umicore SA		357,434
		Total Belgium		391,137
		Brazil — 2.2%
	1,307,098	Sao Martinho SA		8,004,794
	808,720	SLC Agricola SA		7,554,935
	457,700	Suzano SA		3,893,934
		Total Brazil		19,453,663
		Canada — 11.1%
	476,293	Anaergia Inc* (a)		3,466,982
	988,385	Canadian Solar Inc* (a)		44,645,350
	532,564	First Quantum Minerals Ltd (a)		9,423,830
	1,925,700	Greenlane Renewables Inc* (a)		1,187,663
	2,145,857	Ivanhoe Mines Ltd – Class A* (a)		13,789,952
	1,008,392	Largo Inc* (a)		6,864,145
	862,308	Li-Cycle Holdings Corp* (a)		6,217,241
	123,700	NFI Group Inc (a)		1,243,263
	700	Northland Power Inc		23,963
	104,560	Nutrien Ltd		9,598,964
	200	TransAlta Renewables Inc (a)		2,647
		Total Canada		96,464,000
		China — 3.3%
	408,000	Beijing Energy International Holding Co Ltd*		12,529
	1,031,000	Canvest Environmental Protection Group Co Ltd		618,067
	1,746,000	Chaowei Power Holdings Ltd		403,394
	8,831,114	China High Speed Transmission Equipment Group Co Ltd* (a)		4,992,611
	560,000	China Longyuan Power Group Corp Ltd – Class H		904,492
	3,784,494	China Water Affairs Group Ltd		3,447,210
	233,792	Hollysys Automation Technologies Ltd (a)		3,981,478
	1,400	Jiangxi Copper Co Ltd – Class A		3,307
	5,040	Shenzhen Capchem Technology Co Ltd – Class A		30,560
	1,737,600	Tianjin Capital Environmental Protection Group Co Ltd – Class A		1,731,254
	2,698,006	Tianneng Power International Ltd (a)		2,870,402
	2,734,000	Wasion Holdings Ltd (a)		919,825

Shares		Description	Value ($)
		China — continued
	3,788,352	Xinjiang Goldwind Science & Technology Co Ltd – Class H		5,645,258
	11,000	Xinyangfeng Agricultural Technology Co Ltd – Class A		24,402
	1,226,576	Yutong Bus Co Ltd – Class A		1,360,781
	382,505	Zhuzhou CRRC Times Electric Co Ltd		1,849,604
		Total China		28,795,174
		Denmark — 2.8%
	970,215	Vestas Wind Systems A/S		24,275,846
		Finland — 1.0%
	385,884	Kemira Oyj		4,644,797
	64,903	Neste Oyj		3,202,107
	44,979	Uponor Oyj		673,978
		Total Finland		8,520,882
		France — 5.6%
	27,319	Albioma SA		1,371,223
	12,810	Legrand SA		926,863
	140,149	Nexans SA		12,804,924
	18,729	Schneider Electric SE		2,226,079
	66,242	STMicroelectronics NV		2,312,482
	469,079	Valeo		8,960,208
	686,457	Veolia Environnement SA		15,299,349
	17,193	Vilmorin & Cie SA		738,776
	114,522	Waga Energy SA* (a)		3,569,395
		Total France		48,209,299
		Germany — 2.1%
	441,090	E.ON SE		3,762,318
	117,093	Infineon Technologies AG		2,865,133
	75,532	Knorr-Bremse AG		3,660,652
	78,519	Siemens AG (Registered)		7,953,514
		Total Germany		18,241,617
		Greece — 0.0%
	200	Terna Energy SA		3,567
		Italy — 0.2%
	67,877	Prysmian SPA		2,082,653
		Japan — 4.0%
	223,100	Ebara Corp		8,451,389
	249,200	GS Yuasa Corp (a)		4,522,027
	41,300	Kurita Water Industries Ltd (a)		1,606,875
	38,700	METAWATER Co Ltd		569,281
	26,400	Organo Corp		1,756,018
	520,700	Panasonic Holdings Corp (a)		4,225,160
	766,200	Renesas Electronics Corp*		7,254,800
	39,300	Takuma Co Ltd (a)		394,843
	317,100	Yokogawa Electric Corp		5,534,446
		Total Japan		34,314,839

See accompanying notes to the financial statements. 2

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Mexico — 1.7%
	3,793,105	Grupo Mexico SAB de CV – Series B		14,290,158
	349,016	Grupo Rotoplas SAB de CV* (a)		476,754
		Total Mexico		14,766,912
		Netherlands — 0.5%
	142,733	Arcadis NV		4,550,226
		Norway — 0.8%
	656,968	Austevoll Seafood ASA		7,041,992
		Pakistan — 0.1%
	1,277,357	Fauji Fertilizer Co Ltd		607,455
		Philippines — 0.1%
	4,867,900	Nickel Asia Corp		493,211
		Russia — 0.3%
	722,153	MMC Norilsk Nickel PJSC ADR (b)		1,345,240
	120,856	PhosAgro PJSC (b)		1,098,125
	2,335	PhosAgro PJSC GDR* (b) (c)		7,113
	169,638	Ros Agro Plc GDR (Registered) (b)		153,902
		Total Russia		2,604,380
		South Korea — 5.4%
	100,319	LG Chem Ltd		46,958,950
		Spain — 2.4%
	26,619	Acciona SA		5,213,763
	362,060	Endesa SA		6,210,060
	57,342	Fomento de Construcciones y Contratas SA (a)		514,868
	469,497	Iberdrola SA		4,888,260
	229,588	Red Electrica Corp SA		4,197,506
		Total Spain		21,024,457
		Switzerland — 0.3%
	25,879	Gurit Holding AG (a)		2,709,166
		Thailand — 0.1%
	2,418,500	SPCG Pcl		1,047,193
		Ukraine — 0.1%
	219,994	Kernel Holding SA		987,880
		United Kingdom — 1.5%
	886,475	Drax Group Plc		6,539,140
	269,024	National Grid Plc		3,349,846
	379,714	Renewi Plc*		3,418,865
		Total United Kingdom		13,307,851
		United States — 48.6%
	460,962	Aemetis, Inc.* (a)		4,203,973
	182,492	AGCO Corp.		19,838,705

Shares		Description	Value ($)
		United States — continued
	655,187	Ameresco, Inc. – Class A* (a)		45,109,625
	759,517	Archaea Energy, Inc.* (a)		15,008,056
	464,461	BorgWarner, Inc.		17,510,180
	3,661,138	Clean Energy Fuels Corp.*		24,602,847
	43,563	Consolidated Edison, Inc.		4,257,848
	37,738	Constellation Energy Corp.		3,079,043
	76,724	Corteva, Inc.		4,713,155
	465,650	Darling Ingredients, Inc.*		35,417,339
	24,322	Deere & Co.		8,883,611
	56,466	Edison International		3,826,701
	33,537	Emerson Electric Co.		2,741,314
	54,591	EnerSys		3,404,841
	96,928	Exelon Corp.		4,256,109
	77,000	First Solar, Inc.*		9,821,350
	399,122	Freeport-McMoRan, Inc.		11,814,011
	1,212,995	Gevo, Inc.* (a)		3,796,674
	3,304,288	GrafTech International Ltd.		19,429,213
	393,331	Green Plains, Inc.* (a)		14,407,715
	78,216	Johnson Controls International Plc		4,234,614
	442,537	Livent Corp.* (a)		14,240,841
	344,818	Montauk Renewables, Inc.*		6,120,520
	417,518	Mosaic Co. (The)		22,491,695
	211,748	Mueller Water Products, Inc. – Class A		2,388,517
	38,787	MYR Group, Inc.*		3,604,864
	112,365	ON Semiconductor Corp.*		7,727,341
	92,609	Owens Corning		7,568,934
	29,572	Pentair Plc		1,315,954
	82,181	PotlatchDeltic Corp. (REIT)		3,814,842
	15,590	Quanta Services, Inc.		2,202,867
	100	Rockwell Automation, Inc.		23,694
	57,323	Sensata Technologies Holding Plc		2,308,970
	101,718	SolarEdge Technologies, Inc.*		28,071,116
	1,467,137	Sunrun, Inc.* (a)		48,459,535
	30,353	TE Connectivity Ltd.		3,830,852
	5,357	Valmont Industries, Inc.		1,482,925
	300	Vertex Energy, Inc.* (a)		2,550
	70,058	Westinghouse Air Brake Technologies Corp.		6,140,584
		Total United States		422,153,525
		TOTAL COMMON STOCKS
		(COST $860,528,367)		835,284,863
		PREFERRED STOCKS (d) —1.5%
		Chile — 1.5%
	129,258	Sociedad Quimica y Minera de Chile SA Sponsored ADR		12,884,437
		TOTAL PREFERRED STOCKS
		(COST $5,831,507)		12,884,437

3 See accompanying notes to the financial statements.

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 10.0%
		United States — 10.0%
		Affiliated Issuers — 10.0%
	17,506,699	GMO U.S. Treasury Fund (e)		87,358,431
		Total United States		87,358,431
		TOTAL MUTUAL FUNDS
		(COST $87,358,431)		87,358,431
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	830,836	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (f)		830,836
		TOTAL SHORT-TERM INVESTMENTS
		(COST $830,836)		830,836
		TOTAL INVESTMENTS — 107.7%
		(Cost $954,549,141)		936,358,567
		Other Assets and Liabilities (net) — (7.7)%		(67,309,680	)
		TOTAL NET ASSETS — 100.0%	$	869,048,887

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost		Value as a Percentage of Fund’s Net Assets			Value as of August 31, 2022
PhosAgro PJSC GDR		08/09/19	$	36,037		0.0	%	$	7,113

Notes to Schedule of Investments:

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

(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. Investment valued using significant unobservable inputs (Note 2).

(c) The security is restricted as to resale.

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) All or a portion of this security is purchased with collateral from securities loaned (Note 2).

(f) The rate disclosed is the 7 day net yield as of August 31, 2022.

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 57.

See accompanying notes to the financial statements. 4

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		89.5	%
Short-Term Investments		3.0
Investment Funds		1.6
Mutual Funds		0.6
Preferred Stocks		0.4
Other		4.9
		100.0	%

Country/Region Summary¤	% of Investments
China		32.5	%
Taiwan		15.6
India		12.5
South Korea		8.5
Mexico		4.2
Indonesia		4.2
Thailand		2.7
Brazil		2.2
Saudi Arabia		2.1
United States		2.1
Vietnam		1.9
United Kingdom		1.6
South Africa		1.5
United Arab Emirates		1.3
Hong Kong		1.2
Qatar		1.2
Switzerland		1.1
Malaysia		0.8
France		0.7
Japan		0.7
Kuwait		0.5
Russia		0.4
Peru		0.3
Philippines		0.2
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		22.2	%
Retailing		10.4
Semiconductors & Semiconductor Equipment		10.2
Technology Hardware & Equipment		9.7
Media & Entertainment		6.5
Food, Beverage & Tobacco		6.5
Diversified Financials		4.2
Capital Goods		4.2
Telecommunication Services		3.9
Consumer Durables & Apparel		3.4
Food & Staples Retailing		3.2
Household & Personal Products		2.5
Insurance		2.2
Materials		2.2
Transportation		1.8
Automobiles & Components		1.7
Pharmaceuticals, Biotechnology & Life Sciences		1.7
Software & Services		1.4
Consumer Services		0.7
Commercial & Professional Services		0.6
Utilities		0.5
Real Estate		0.3
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, 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.

5

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.5%
		Brazil — 1.6%
	146,300	Ambev SA		429,417
	188,000	B3 SA - Brasil Bolsa Balcao		428,225
	34,600	Localiza Rent a Car SA		404,500
	671	MercadoLibre Inc*		573,947
	96,500	Raia Drogasil SA		403,629
	65,500	WEG SA		356,181
		Total Brazil		2,595,899
		China — 30.0%
	528,388	Alibaba Group Holding Ltd*		6,303,955
	79,100	Baidu Inc – Class A*		1,411,981
	30,000	BYD Co Ltd – Class H		924,460
	36,677	Changzhou Xingyu Automotive Lighting Systems Co Ltd – Class A		744,197
	2,167,000	China Construction Bank Corp – Class H		1,339,602
	1,080,000	China International Capital Corp Ltd – Class H		1,900,046
	190,000	China Mengniu Dairy Co Ltd*		860,373
	369,502	China Merchants Bank Co Ltd – Class H		1,889,674
	3,235,000	China Modern Dairy Holdings Ltd		427,957
	92,000	China Resources Land Ltd		376,671
	198,900	China Yangtze Power Co Ltd – Class A		690,207
	5,500	Contemporary Amperex Technology Co Ltd – Class A*		381,978
	248,700	GoerTek Inc – Class A		1,167,661
	445,455	Haier Smart Home Co Ltd – Class A		1,663,229
	122,327	JD.com Inc – Class A		3,872,276
	14,500	JD.com Inc ADR		920,605
	92,576	Jiangsu Hengli Hydraulic Co Ltd – Class A		654,946
	6,886	Kweichow Moutai Co Ltd – Class A		1,917,959
	86,400	Meituan – Class B*		2,075,087
	71,100	Midea Group Co Ltd – Class A		545,503
	203,285	NARI Technology Co Ltd – Class A		805,246
	73,675	NetEase Inc		1,315,643
	170,500	Ping An Insurance Group Co of China Ltd – Class H		1,002,820
	2,287,000	Postal Savings Bank of China Co Ltd – Class H		1,365,273
	39,060	Proya Cosmetics Co Ltd – Class A		905,151
	152,100	SF Holding Co Ltd – Class A		1,085,866
	118,178	Shanghai Baosight Software Co Ltd – Class A		648,536
	100,272	Shenzhen Inovance Technology Co Ltd – Class A		868,503
	66,000	Shenzhou International Group Holdings Ltd		689,786
	47,800	Sunny Optical Technology Group Co Ltd		652,587
	128,584	Tencent Holdings Ltd		5,314,473
	192,000	Tsingtao Brewery Co Ltd – Class H		1,864,506
	41,985	Wuliangye Yibin Co Ltd – Class A		1,013,753
		Total China		47,600,510

Shares		Description	Value ($)
		France — 0.7%
	3,148	L’Oreal SA		1,081,162
		Hong Kong — 1.1%
	178,000	AIA Group Ltd		1,712,580
		India — 11.5%
	34,794	Angel One Ltd		560,394
	18,664	Asian Paints Ltd		787,447
	67,948	Axis Bank Ltd		633,241
	48,597	Bharti Airtel Ltd*		439,365
	160,730	Campus Activewear Ltd*		977,967
	33,636	Cipla Ltd		435,824
	302,911	Devyani International Ltd*		689,982
	35,397	Godrej Consumer Products Ltd*		407,623
	182,196	ICICI Bank Ltd		2,001,670
	110,823	Indian Hotels Co Ltd		391,266
	77,260	Infosys Ltd		1,421,077
	31,541	JB Chemicals & Pharmaceuticals Ltd		694,016
	46,206	Kajaria Ceramics Ltd		668,100
	18,271	L&T Technology Services Ltd		835,879
	52,307	Larsen & Toubro Ltd		1,243,683
	77,480	Laxmi Organic Industries Ltd		317,597
	6,913	Maruti Suzuki India Ltd		777,085
	110,740	Metro Brands Ltd		1,091,696
	37,192	SBI Cards & Payment Services Ltd		424,974
	19,382	SRF Ltd		610,355
	51,672	Star Health & Allied Insurance Co Ltd*		471,416
	103,317	State Bank of India		679,916
	55,721	Sun Pharmaceutical Industries Ltd		620,849
	11,182	Titan Co Ltd		360,954
	81,701	UPL Ltd		780,248
		Total India		18,322,624
		Indonesia — 3.9%
	4,024,300	Bank Central Asia Tbk PT		2,222,310
	1,510,700	Bank Mandiri Persero Tbk PT		898,995
	8,703,000	Bank Rakyat Indonesia Persero Tbk PT		2,541,529
	1,718,900	Telkom Indonesia Persero Tbk PT		526,380
		Total Indonesia		6,189,214
		Japan — 0.6%
	5,600	Daikin Industries Ltd		977,576
		Kuwait — 0.4%
	190,409	National Bank of Kuwait SAKP		651,353
		Malaysia — 0.8%
	1,006,100	CIMB Group Holdings Bhd		1,203,164
		Mexico — 3.9%
	482,343	Banco del Bajio SA		1,010,583
	77,439	Grupo Aeroportuario del Pacifico SAB de CV – Class B		1,106,705
	244,987	Regional SAB de CV		1,324,497

See accompanying notes to the financial statements. 6

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Mexico — continued
	843,048	Wal-Mart de Mexico SAB de CV		2,762,665
		Total Mexico		6,204,450
		Peru — 0.3%
	3,320	Credicorp Ltd		427,915
		Philippines — 0.2%
	8,335	Globe Telecom Inc		310,991
		Qatar — 1.1%
	296,728	Qatar National Bank QPSC		1,679,119
		Russia — 0.4%
	34,988	Magnit PJSC (a)		220,445
	546,960	Mobile TeleSystems PJSC (a)		148,316
	530,016	Sberbank of Russia PJSC* (a) (b)		81,653
	46,548	TCS Group Holding Plc GDR (Registered)* (a)		160,029
	69,200	Yandex NV – Class A* (a)		13,106
		Total Russia		623,549
		Saudi Arabia — 0.4%
	54,685	Saudi Telecom Co		607,141
		South Africa — 1.4%
	73,272	Aspen Pharmacare Holdings Ltd		628,805
	13,341	Capitec Bank Holdings Ltd		1,586,316
		Total South Africa		2,215,121
		South Korea — 7.8%
	37,316	KB Financial Group Inc		1,369,831
	1,275	LG Chem Ltd		596,823
	2,440	NAVER Corp		432,969
	199,988	Samsung Electronics Co Ltd		8,859,617
	3,565	SK Hynix Inc		250,648
	22,855	SK Telecom Co Ltd		886,691
		Total South Korea		12,396,579
		Switzerland — 1.0%
	13,910	Nestle SA (Registered)		1,627,789
		Taiwan — 14.3%
	134,272	Chailease Holding Co Ltd		862,121
	103,000	Chunghwa Telecom Co Ltd		408,713
	1,767,000	CTBC Financial Holding Co Ltd		1,353,444
	59,000	Delta Electronics Inc		505,137
	1,298,722	E.Sun Financial Holding Co Ltd		1,196,654
	74,000	Giant Manufacturing Co Ltd		578,044
	123,000	Hotai Finance Co Ltd		421,720
	50,000	MediaTek Inc		1,081,836
	1,044,475	Mega Financial Holding Co Ltd		1,225,092
	23,000	Realtek Semiconductor Corp		258,444
	60,000	Sinbon Electronics Co Ltd		554,455

Shares		Description	Value ($)
		Taiwan — continued
	781,800	Taiwan Semiconductor Manufacturing Co Ltd		12,797,895
	74,000	Vanguard International Semiconductor Corp		178,897
	2,082,660	Yuanta Financial Holding Co Ltd		1,382,460
		Total Taiwan		22,804,912
		Thailand — 2.5%
	349,500	Advanced Info Service Pcl (Foreign Registered)		1,838,759
	688,600	CP ALL Pcl (Foreign Registered)		1,160,673
	2,654,300	Digital Telecommunications Infrastructure Fund – Class F		982, 130
		Total Thailand		3,981,562
		United Arab Emirates — 1.2%
	66,426	Emirates Telecommunications Group Co PJSC		465,500
	287,797	First Abu Dhabi Bank PJSC		1,494,660
		Total United Arab Emirates		1,960,160
		United Kingdom — 1.4%
	25,044	Diageo Plc		1,088,071
	26,435	Unilever Plc		1,199,153
		Total United Kingdom		2,287,224
		United States — 1.3%
	7,404	Alphabet, Inc. – Class A*		801,261
	7,712	Apple, Inc.		1,212,480
		Total United States		2,013,741
		Vietnam — 1.7%
	771,900	Bank for Foreign Trade of Vietnam JSC		2,762,391
		TOTAL COMMON STOCKS (COST $191,299,200)		142,236,726
		PREFERRED STOCKS (c) —0.4%
		Brazil — 0.4%
	130,300	Itau Unibanco Holding SA		646,441
		TOTAL PREFERRED STOCKS (COST $627,468)		646,441
		INVESTMENT FUNDS — 1.6%
		Russia — 0.0%
	61,600	VanEck Vectors Russia ETF (a)		9,610
		Saudi Arabia — 1.6%
	55,683	iShares MSCI Saudi Arabia ETF		2,468,984
		TOTAL INVESTMENT FUNDS (COST $4,212,186)		2,478,594

7 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares / Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.6%
		United States — 0.6%
		Affiliated Issuers — 0.6%
	203,575	GMO U.S. Treasury Fund		1,015,838
		Total United States		1,015,838
		TOTAL MUTUAL FUNDS (COST $1,015,838)		1,015,838
		SHORT-TERM INVESTMENTS — 3.0%
		Money Market Funds — 2.9%
	4,575,798	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (d)		4,575,798
		U.S. Government — 0.1%
	200,000	U.S. Treasury Bill, 2.18%, due 10/06/22 (e)		199,571
		TOTAL SHORT-TERM INVESTMENTS (COST $4,775,580)		4,775,369
		TOTAL INVESTMENTS — 95.1% (Cost $201,930,272)	151,152,968
		Other Assets and Liabilities (net) — 4.9%		7,791,544
		TOTAL NET ASSETS — 100.0%	$158,944,512

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost		Value as a Percentage of Fund’s Net Assets			Value as of August 31, 2022
Sberbank of Russia PJSC		03/03/21	$	2,059,161		0.1	%	$	81,653

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. Investment valued using significant unobservable inputs (Note 2).

(b) The security is restricted as to resale.

(c) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(d) The rate disclosed is the 7 day net yield as of August 31, 2022.

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

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 57.

See accompanying notes to the financial statements. 8

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		90.4	%
Preferred Stocks		6.7
Short-Term Investments		2.7
Other		0.2
		100.0	%
Country/Region Summary¤	% of Investments
Taiwan		35.4	%
South Korea		21.8
Mexico		8.4
Brazil		7.5
India		6.9
Indonesia		5.3
Thailand		3.0
Russia		1.7
South Africa		1.3
Hungary		1.3
Chile		1.2
Poland		1.2
Qatar		1.2
Turkey		1.1
Peru		0.8
United Kingdom		0.6	*
Vietnam		0.4
Egypt		0.4
Philippines		0.2
Czech Republic		0.2
Malaysia		0.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		18.9	%
Technology Hardware & Equipment		18.2
Materials		11.9
Semiconductors & Semiconductor
Equipment		11.4
Energy		11.3
Insurance		4.3
Food, Beverage & Tobacco		3.9
Transportation		3.6
Telecommunication Services		2.8
Software & Services		2.7
Utilities		2.6
Diversified Financials		1.9
Capital Goods		1.6
Food & Staples Retailing		1.5
Household & Personal Products		0.7
Health Care Equipment & Services		0.5
Consumer Durables & Apparel		0.5
Automobiles & Components		0.5
Pharmaceuticals, Biotechnology & Life Sciences		0.4
Media & Entertainment		0.3
Real Estate		0.2
Consumer Services		0.2
Retailing		0.1
Commercial & Professional Services		0.0	^
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

* Includes companies that derive more than 50% of their revenues or profits from emerging markets.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

9

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 90.4%
		Brazil — 1.0%
	5,200	BB Seguridade Participacoes SA		28,267
	32,100	CPFL Energia SA		215,773
	16,500	EDP - Energias do Brasil SA		71,964
	95,727	Enauta Participacoes SA		307,473
	5,700	Engie Brasil Energia SA		44,374
	35,133	Localiza Rent a Car SA		410,731
	137,800	Transmissora Alianca de Energia Eletrica SA		1,104,011
	131,571	Vamos Locacao de Caminhoes Maquinas e
		Equipamentos SA		356,848
		Total Brazil		2,539,441
		Chile — 0.8%
	191,587	Aguas Andinas SA – Class A		41,971
	2,139,463	Banco de Chile		202,978
	2,406,784	Banco Santander Chile		96,674
	4,200	Banco Santander Chile ADR		67,368
	39,008	CAP SA		314,719
	106,956	Cencosud SA		149,530
	55,591	Cencosud Shopping SA		78,773
	35,200	Cia Cervecerias Unidas SA Sponsored ADR		384,736
	3,537,020	Colbun SA		344,921
	10,594	Empresas COPEC SA		91,383
	92,049	Inversiones La Construccion SA		359,466
		Total Chile		2,132,519
		Czech Republic — 0.2%
	11,132	Moneta Money Bank AS		35,319
	705	Philip Morris CR AS		478,065
		Total Czech Republic		513,384
		Egypt — 0.4%
	250,936	Commercial International Bank Egypt SAE		496,986
	886,256	Eastern Co SAE		449,000
	244,888	Fawry for Banking & Payment Technology Services SAE*		46,574
	5,427	Misr Fertilizers Production Co SAE		32,409
		Total Egypt		1,024,969
		Hungary — 1.2%
	68,326	MOL Hungarian Oil & Gas Plc		470,790
	120,128	OTP Bank Nyrt		2,554,763
	9,335	Richter Gedeon Nyrt		188,213
		Total Hungary		3,213,766
		India — 6.7%
	8,077	Aurobindo Pharma Ltd		54,995
	20,000	Axis Bank Ltd GDR (Registered)		947,543
	37,100	Azure Power Global Ltd*		133,189
	6,530	Bharat Electronics Ltd		24,984

Shares		Description	Value ($)
		India — continued
	52,280	Bharat Petroleum Corp Ltd		214,387
	368,429	Coal India Ltd		1,075,628
	466	Coromandel International Ltd		6,123
	48,415	GAIL India Ltd		82,269
	813	GHCL Ltd		6,035
	3,546	Godawari Power and Ispat Ltd		13,030
	12,148	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		112,923
	22,492	Gujarat State Fertilizers & Chemicals Ltd		44,032
	1,986	HCL Technologies Ltd		23,049
	16,025	HDFC Asset Management Co Ltd		412,453
	30,500	HDFC Bank Ltd ADR		1,862,025
	33,059	Hindustan Petroleum Corp Ltd		100,116
	80,000	ICICI Bank Ltd Sponsored ADR		1,747,200
	1,904	ICICI Securities Ltd		11,881
	26,873	Indiabulls Housing Finance Ltd*		45,274
	195,877	Indian Oil Corp Ltd		174,905
	26,011	Infosys Ltd		478,432
	298,800	Infosys Ltd Sponsored ADR		5,468,040
	123,702	ITC Ltd		494,656
	12,653	L&T Finance Holdings Ltd		12,412
	1,264	Mahanagar Gas Ltd		13,708
	14,200	MakeMyTrip Ltd*		473,570
	34,355	Manappuram Finance Ltd		45,092
	91,566	National Aluminium Co Ltd		91,239
	6,170	NBCC India Ltd		2,632
	452,967	Oil & Natural Gas Corp Ltd		782,440
	24,125	Oil India Ltd		58,120
	263	Oracle Financial Services Software Ltd		10,404
	8,330	Petronet LNG Ltd		22,955
	239	Polyplex Corp Ltd		6,402
	73,310	Power Grid Corp of India Ltd		209,800
	3,155	Rashtriya Chemicals & Fertilizers Ltd		3,873
	27,002	RBL Bank Ltd*		40,826
	15,796	Redington India Ltd		29,561
	35,411	Reliance Industries Ltd		1,161,847
	2,915	Reliance Industries Ltd Sponsored GDR (Registered)		191,494
	2,284	Sharda Cropchem Ltd		14,757
	8,796	Sun TV Network Ltd		54,721
	4,760	Tata Consultancy Services Ltd		189,768
	103,000	Tata Steel Ltd		138,480
	984	Tech Mahindra Ltd		13,112
	8,663	Welspun Corp Ltd		24,306
	6,400	WNS Holdings Ltd ADR*		539,200
		Total India		17,663,888
		Indonesia — 5.2%
	6,456,000	Adaro Energy Indonesia Tbk PT		1,539,089
	563,400	AKR Corporindo Tbk PT		45,534
	10,412,900	Bank Central Asia Tbk PT		5,750,241
	2,072,800	Bank Mandiri Persero Tbk PT		1,233,492
	40,800	Bank Negara Indonesia Persero Tbk PT		23,402
	10,382,400	Bank Rakyat Indonesia Persero Tbk PT		3,031,962

See accompanying notes to the financial statements. 10

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	1,798,000	Bukit Asam Tbk PT		514,461
	546,600	Indika Energy Tbk PT*		105,596
	185,600	Indo Tambangraya Megah Tbk PT		491,613
	168,000	Indocement Tunggal Prakarsa Tbk PT		106,840
	717,500	Telkom Indonesia Persero Tbk PT		219,721
	230,300	United Tractors Tbk PT		524,409
		Total Indonesia		13,586,360
		Malaysia — 0.1%
	6,800	Fraser & Neave Holdings Bhd		33,906
	208,800	Kossan Rubber Industries Bhd		46,984
	102,400	Westports Holdings Bhd		79,415
		Total Malaysia		160,305
		Mexico — 8.2%
	460,000	America Movil SAB de CV – Series L		391,582
	110,256	America Movil SAB de CV – Class L Sponsored ADR		1,874,352
	74,500	Arca Continental SAB de CV		504,247
	215,100	Banco del Bajio SA		450,667
	98,500	Becle SAB de CV		200,750
	10,800	Bolsa Mexicana de Valores SAB de CV		19,454
	8,400	Coca-Cola Femsa SAB de CV Sponsored ADR		514,332
	539,400	Credito Real SAB de CV SOFOM ER* (a)		9,665
	73,600	Fomento Economico Mexicano SAB de CV		460,674
	10,000	Fomento Economico Mexicano SAB de CV Sponsored ADR		627,100
	6,500	GCC SAB de CV		37,352
	4,220	Gruma SAB de CV – Class B		46,135
	19,200	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		125,656
	15,195	Grupo Aeroportuario del Sureste SAB de CV – Class B		320,093
	200	Grupo Aeroportuario del Sureste SAB de CV ADR		42,294
	1,291,800	Grupo Financiero Banorte SAB de CV – Class O		7,630,318
	157,200	Grupo Mexico SAB de CV – Series B		592,236
	133,500	Industrias Bachoco SAB de CV – Series B		527,731
	80,800	Megacable Holdings SAB de CV		169,489
	114,900	Qualitas Controladora SAB de CV		503,310
	94,000	Regional SAB de CV		508,201
	89,089	Ternium SA Sponsored ADR		2,744,832
	960,100	Wal-Mart de Mexico SAB de CV		3,146,244
		Total Mexico		21,446,714
		Peru — 0.8%
	44,900	Southern Copper Corp		2,113,443
		Philippines — 0.2%
	35,350	GT Capital Holdings Inc		302,769
	420,300	Puregold Price Club Inc		255,945
		Total Philippines		558,714

Shares		Description	Value ($)
		Poland — 1.2%
	41,672	Bank Polska Kasa Opieki SA		576,495
	108,184	Polski Koncern Naftowy ORLEN SA		1,401,222
	239,105	Polskie Gornictwo Naftowe i Gazownictwo SA*		284,040
	4,615	Powszechna Kasa Oszczednosci Bank Polski SA*		23,022
	138,784	Powszechny Zaklad Ubezpieczen SA		830,737
		Total Poland		3,115,516
		Qatar — 1.2%
	536,299	Qatar National Bank QPSC		3,034,798
		Russia — 1.5%
	4,036,000	Alrosa PJSC* (b) (c)		338,561
	434,347	Etalon Group Plc GDR (Registered) (b)		34,970
	131,280	Evraz Plc (b)		3,122
	236,860,000	Federal Grid Co Unified Energy System PJSC* (b)		26,563
	102,255	Gazprom Neft PJSC (b)		49,290
	897,812	Gazprom PJSC* (b)		262,617
	6,151,400	Inter RAO UES PJSC* (b)		22,659
	122,088	LUKOIL PJSC (b)		598,231
	4,327,340	Magnitogorsk Iron & Steel Works PJSC* (b) (c)		145,101
	78,325	MMC Norilsk Nickel PJSC ADR (b)		145,905
	172,200	Mobile TeleSystems PJSC ADR* (b)		93,928
	88,090	Moscow Exchange MICEX-RTS PJSC* (b)		9,148
	93,370	Novatek PJSC (b)		121,396
	1,403,510	Novolipetsk Steel PJSC* (b)		194,333
	4,917	PhosAgro PJSC (b)		44,677
	95	PhosAgro PJSC GDR* (b)(c)		289
	276,810	Polymetal International Plc		678,834
	11,902	Polyus PJSC* (b)		113,635
	73,800	QIWI Plc Sponsored ADR (b)		39,961
	4,917	Ros Agro Plc GDR (Registered) (b)		4,461
	48,335,000	RusHydro PJSC* (b)		44,395
	17,394	RusHydro PJSC ADR* (b)		1,607
	3,446,432	Sberbank of Russia PJSC* (b) (c)		530,948
	140,607	Severstal PJSC GDR (Registered)* (b) (c)		122,492
	2,387,800	Surgutneftegas PJSC (b)		69,873
	109,514	Tatneft PJSC Sponsored ADR (b)		345,822
	9,408	TCS Group Holding Plc GDR (Registered)* (b)		29,284
		Total Russia		4,072,102
		South Africa — 1.2%
	9,612	Anglo American Platinum Ltd		671,009
	5,277	AVI Ltd		22,666
	5,853	Capitec Bank Holdings Ltd		695,953
	131,014	FirstRand Ltd		489,352
	5,982	Foschini Group Ltd (The)		44,286
	6,576	Investec Ltd		30,877
	15,103	Kumba Iron Ore Ltd		334,370
	9,288	Mr Price Group Ltd		100,615

11 See accompanying notes to the financial statements.

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	59,472	Ninety One Ltd		134,021
	7,684	Omnia Holdings Ltd		27,704
	10,808	Rand Merchant Investment Holdings Ltd		17,061
	18,539	Sibanye Stillwater Ltd		41,417
	11,700	Sibanye Stillwater Ltd ADR		105,066
	41,811	Tiger Brands Ltd		406,819
	19,970	Truworths International Ltd		66,596
	11,717	Vodacom Group Ltd		86,245
		Total South Africa		3,274,057
		South Korea — 21.1%
	490	AfreecaTV Co Ltd		27,810
	172	BGF retail Co Ltd		20,602
	685	BH Co Ltd		16,018
	1,995	BNK Financial Group Inc		9,948
	5,079	Cheil Worldwide Inc		82,805
	264	Coway Co Ltd		12,525
	48,426	Daou Data Corp		436,669
	3,127	DB HiTek Co Ltd		107,333
	1,631	DB Insurance Co Ltd		72,635
	6,612	DL E&C Co Ltd		200,689
	135,863	Dongwon Development Co Ltd		376,700
	27,435	GS Engineering & Construction Corp		613,675
	76,116	Hana Financial Group Inc		2,218,526
	7,000	HDC Hyundai Development Co-Engineering & Construction		64,681
	951	Huchems Fine Chemical Corp		15,028
	18,858	Hyundai Engineering & Construction Co Ltd		674,321
	1,082	Hyundai Glovis Co Ltd		141,771
	7,468	Hyundai Marine & Fire Insurance Co Ltd		175,184
	1,582	Hyundai Mobis Co Ltd		252,287
	876	INTOPS Co Ltd		19,536
	94,213	KB Financial Group Inc		3,458,459
	4,472	KCC Glass Corp		167,521
	15,486	Kia Corp		928,197
	1,162	Korea Petrochemical Ind Co Ltd		104,964
	116,597	Korea Real Estate Investment & Trust Co Ltd		141,292
	4,088	Korea Zinc Co Ltd		2,044,926
	65,921	KT Skylife Co Ltd		419,812
	73,321	KT&G Corp		4,554,513
	10,516	Kumho Petrochemical Co Ltd		1,014,342
	281	LG H&H Co Ltd		148,801
	1,293	LG Innotek Co Ltd		329,143
	6,703	Lotte Chemical Corp		870,348
	1,513	LOTTE Fine Chemical Co Ltd		79,164
	8,126	LX Semicon Co Ltd		571,740
	379	MegaStudyEdu Co Ltd		22,047
	14,687	Meritz Securities Co Ltd		52,933
	2,692	Mirae Asset Securities Co Ltd		13,128
	357	NCSoft Corp		100,321
	5,463	NH Investment & Securities Co Ltd		40,442
	89	NongShim Co Ltd		19,897

Shares		Description	Value ($)
		South Korea — continued
	1,277	Orion Corp		93,546
	21,841	POSCO Holdings Inc		4,131,557
	9,300	POSCO Holdings Inc Sponsored ADR		437,286
	420	Samsung Electro-Mechanics Co Ltd		43,485
	461,134	Samsung Electronics Co Ltd		20,428,579
	21,292	Samsung Engineering Co Ltd*		370,205
	4,076	Samsung Fire & Marine Insurance Co Ltd		592,382
	1,577	Samsung Life Insurance Co Ltd		72,785
	1,587	Samsung SDS Co Ltd		151,461
	1,683	Samsung Securities Co Ltd		42,370
	237	Samyang Foods Co Ltd		19,684
	37,699	SD Biosensor Inc		985,624
	3,030	Seegene Inc		70,987
	91,654	Shinhan Financial Group Co Ltd		2,483,225
	12,980	SK Hynix Inc		912,597
	763	SK Square Co Ltd*		22,927
	3,132	SK Telecom Co Ltd		121,510
	2,200	SK Telecom Co Ltd Sponsored ADR		46,970
	1,261	S-Oil Corp		95,647
	13,389	Spigen Korea Co Ltd		367,328
	411	Unid Co Ltd		31,740
	376,450	Woori Financial Group Inc		3,405,338
	8,208	Woori Technology Investment Co Ltd*		35,637
		Total South Korea		55,583,603
		Taiwan — 34.4%
	602,000	Acer Inc		432,369
	4,000	Acter Group Corp Ltd		27,795
	8,000	Advanced Ceramic X Corp		49,547
	15,000	Advantech Co Ltd		160,020
	1,117,000	AmTRAN Technology Co Ltd		466,291
	37,000	Asia Cement Corp		52,378
	34,000	Asia Vital Components Co Ltd		119,767
	3,000	ASROCK Inc		9,407
	260,000	Asustek Computer Inc		2,163,470
	86,000	Aten International Co Ltd		220,538
	433,000	AUO Corp		236,431
	20,000	Aurora Corp		56,090
	337,000	Catcher Technology Co Ltd*		2,042,823
	2,770,000	Cathay Financial Holding Co Ltd		4,029,869
	272,900	Chailease Holding Co Ltd		1,752,211
	103,000	Chicony Electronics Co Ltd		274,981
	1,419,176	China Development Financial Holding Corp		620,028
	469,000	China General Plastics Corp		362,455
	8,000	China Motor Corp		12,171
	3,372,000	China Steel Corp		3,193,507
	186,000	Chipbond Technology Corp		347,152
	234,000	Chung Hung Steel Corp		197,447
	709,000	Chunghwa Telecom Co Ltd		2,813,375
	800	Chunghwa Telecom Co Ltd Sponsored ADR		31,776
	6,000	Cleanaway Co Ltd		34,773
	41,000	Compal Electronics Inc		30,527

See accompanying notes to the financial statements. 12

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	129,000	Compeq Manufacturing Co Ltd		221,210
	9,000	CTCI Corp		13,276
	130,000	Delta Electronics Inc		1,113,014
	23,452	E.Sun Financial Holding Co Ltd		21,609
	17,000	Eclat Textile Co Ltd		246,218
	4,000	Elan Microelectronics Corp		12,650
	141,000	Elite Material Co Ltd		742,170
	319,000	Evergreen Marine Corp Taiwan Ltd		914,163
	55,000	Everlight Electronics Co Ltd		70,663
	33,000	Far Eastern New Century Corp		35,362
	43,000	Far EasTone Telecommunications Co Ltd		105,460
	40,000	Feng Hsin Steel Co Ltd		87,622
	127,780	First Financial Holding Co Ltd		110,859
	3,000	FLEXium Interconnect Inc*		9,167
	6,000	Flytech Technology Co Ltd		16,721
	110,000	Formosa Advanced Technologies Co Ltd		139,406
	70,000	Formosa Chemicals & Fibre Corp		157,262
	3,000	Formosa International Hotels Corp		17,048
	20,000	Formosa Petrochemical Corp		54,822
	1,166,000	Formosa Plastics Corp		3,476,539
	393,897	Foxconn Technology Co Ltd		651,232
	2,068,000	Fubon Financial Holding Co Ltd		3,877,600
	7,000	Gamania Digital Entertainment Co Ltd		13,893
	16,000	Getac Technology Corp		24,903
	260,000	Gigabyte Technology Co Ltd		725,172
	14,000	Global Mixed Mode Technology Inc		68,015
	425,000	Grand Pacific Petrochemical		261,019
	58,000	Greatek Electronics Inc		112,460
	1,444,000	HannStar Display Corp		561,427
	59,769	Hiwin Technologies Corp		403,414
	29,000	Holtek Semiconductor Inc		70,053
	1,105,000	Hon Hai Precision Industry Co Ltd		3,934,661
	252,000	IEI Integration Corp		618,197
	1,000	International Games System Co Ltd		12,193
	98,000	Inventec Corp		74,193
	414,000	King’s Town Bank Co Ltd		477,551
	104,000	Kung Long Batteries Industrial Co Ltd		480,737
	85,000	Largan Precision Co Ltd		5,406,864
	567,000	Lite-On Technology Corp		1,220,201
	10,000	Makalot Industrial Co Ltd		58,758
	11,000	MediaTek Inc		238,004
	230,025	Mega Financial Holding Co Ltd		269,802
	401,000	Micro-Star International Co Ltd		1,501,194
	228,000	Mitac Holdings Corp		209,620
	913,000	Nan Ya Plastics Corp		2,050,777
	192,528	Nantex Industry Co Ltd		269,017
	211,000	Nanya Technology Corp		366,463
	2,000	Nien Made Enterprise Co Ltd		18,470
	215,000	Novatek Microelectronics Corp		1,839,390
	69,000	Oneness Biotech Co Ltd*		667,992
	85,000	Pegatron Corp		176,785
	116,000	Phison Electronics Corp		1,179,186
	46,000	Primax Electronics Ltd		100,643
	139,000	Quanta Computer Inc		360,345

Shares		Description	Value ($)
		Taiwan — continued
	152,000	Radiant Opto-Electronics Corp		499,490
	3,000	Raydium Semiconductor Corp		26,993
	14,000	Realtek Semiconductor Corp		157,314
	92,000	Shanghai Commercial & Savings Bank Ltd (The)		149,749
	41,000	Simplo Technology Co Ltd		386,870
	337,340	SinoPac Financial Holdings Co Ltd		191,242
	5,000	Soft-World International Corp		12,657
	34,000	Sonix Technology Co Ltd		65,905
	21,000	Synnex Technology International Corp		38,278
	57,000	T3EX Global Holdings Corp		146,119
	329,860	TA Chen Stainless Pipe		425,238
	16,000	TaiDoc Technology Corp*		116,855
	109,200	Taita Chemical Co Ltd		80,645
	292,000	Taiwan Glass Industry Corp		167,579
	310,000	Taiwan PCB Techvest Co Ltd		389,140
	259,000	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		21,587,650
	72,000	Taiwan Union Technology Corp		135,155
	23,000	TCI Co Ltd		110,298
	6,000	Test Research Inc		11,726
	5,000	Transcend Information Inc		10,833
	48,000	Tripod Technology Corp		157,598
	36,000	TXC Corp		101,893
	98,000	United Integrated Services Co Ltd		507,498
	97,000	Universal Inc		89,277
	525,000	USI Corp		407,087
	274,000	Vanguard International Semiconductor Corp		662,402
	151,000	Walsin Technology Corp		456,315
	66,250	Wan Hai Lines Ltd		186,718
	117,000	Weikeng Industrial Co Ltd		103,023
	8,000	WT Microelectronics Co Ltd		16,871
	2,510,000	Yang Ming Marine Transport Corp		6,430,049
	1,324,580	Yuanta Financial Holding Co Ltd		879,250
		Total Taiwan		90,310,387
		Thailand — 2.9%
	270,000	Advanced Info Service Pcl NVDR		1,420,500
	116,300	CP ALL Pcl NVDR		196,030
	28,200	Kasikornbank Pcl NVDR		118,451
	1,223,600	PTT Exploration & Production Pcl NVDR		5,659,188
	512,500	Sri Trang Gloves Thailand Pcl NVDR		199,509
		Total Thailand		7,593,678
		Turkey — 1.1%
	3,872,322	Akbank TAS		2,487,127
	15,975	Aksa Akrilik Kimya Sanayii AS		48,334
	126,710	Enerjisa Enerji AS		118,870
	102,972	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS – Class D		66,705
	13,709	Mavi Giyim Sanayi Ve Ticaret AS – Class B		52,689

13 See accompanying notes to the financial statements.

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Turkey — continued
	395,740	Turkiye Is Bankasi AS – Class C		171,424
		Total Turkey		2,945,149
		United Kingdom — 0.6%
	35,882	Unilever Plc		1,627,691
		Vietnam — 0.4%
	860,600	Vietnam Joint Stock Commercial Bank for Industry and Trade		1,034,469
		TOTAL COMMON STOCKS (COST $358,953,825)		237,544,953
		PREFERRED STOCKS (d) —6.7%
		Brazil — 6.3%
	89,600	Alpargatas SA		355,479
	1,012,520	Cia Energetica de Minas Gerais		2,354,969
	114,060	Cia Energetica de Minas Gerais Sponsored ADR		269,182
	1,101,400	Cia Paranaense de Energia – Class B		1,475,618
	36,900	Gerdau SA		165,406
	522,800	Petroleo Brasileiro SA		3,339,352
	666,100	Petroleo Brasileiro SA Sponsored ADR		8,486,114
	3,200	Unipar Carbocloro SA – Class B		63,048
		Total Brazil		16,509,168
		Chile — 0.4%
	24,477	Embotelladora Andina SA – Class B		50,150
	3,852	Sociedad Quimica y Minera de Chile SA – Class B		385,101
	5,500	Sociedad Quimica y Minera de Chile SA Sponsored ADR		548,240
		Total Chile		983,491
		Russia — 0.0%
	3,948,700	Surgutneftegas PJSC (b)		131,317
	315	Transneft PJSC (b)		36,654
		Total Russia		167,971
		Taiwan — 0.0%
	224,635	China Development Financial Holding Corp		62,523
		TOTAL PREFERRED STOCKS (COST $19,280,491)		17,723,153
		SHORT-TERM INVESTMENTS — 2.7%
		Money Market Funds — 1.0%
	2,710,476	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (e)		2,710,476
		U.S. Government — 1.7%
	500,000	U.S. Treasury Bill, 3.09%, due 01/19/23 (f)		494,110

Par Value†		Description	Value ($)
		U.S. Government — continued
	4,000,000	U.S. Treasury Bill, 3.21%, due 02/02/23 (f)		3,946,143
		Total U.S. Government		4,440,253
		TOTAL SHORT-TERM INVESTMENTS (COST $7,154,110)		7,150,729
		TOTAL INVESTMENTS — 99.8% (Cost $385,388,426)	262,418,835
		Other Assets and Liabilities (net) — 0.2%		411,817
		TOTAL NET ASSETS — 100.0%	$262,830,652

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost		Valueasa Percentage of Fund’s Net Assets			Value as of August 31, 2022
Alrosa PJSC		10/18/21	$	7,054,956		0.1	%	$	338,561
Magnitogorsk Iron & Steel Works PJSC		10/18/21		4,011,995		0.1	%		145,101
PhosAgro PJSC GDR		10/18/21		2,465		0.0	%		289
Sberbank of Russia PJSC		10/18/21		16,614,391		0.2	%		530,948
Severstal PJSC GDR (Registered)		10/18/21		3,190,235		0.0	%		122,492
								$	1,137,391

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) Investment valued using significant unobservable inputs (Note 2).

(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. Investment valued using significant unobservable inputs (Note 2).

(c) The security is restricted as to resale.

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) The rate disclosed is the 7 day net yield as of August 31, 2022.

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

See accompanying notes to the financial statements. 14

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

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 57.

15 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		94.1	%
Preferred Stocks		4.2
Short-Term Investments		1.2
Debt Obligations		0.4
Futures Contracts		(0.3	)
Other		0.4
		100.0	%

Country/Region Summary¤	% of Investments
China		33.3	%
Taiwan		25.4
South Korea		12.9
India		6.5
United States		6.0	*
Brazil		3.3
Mexico		3.1
Indonesia		3.0
South Africa		1.4
Russia		1.4
Hungary		1.3
Turkey		0.9
Poland		0.8
Thailand		0.7
United Kingdom		0.7	*
Qatar		0.6
Vietnam		0.4
Chile		0.3
Philippines		0.3
Czech Republic		0.2
Egypt		0.1
Peru		0.1
Kuwait		0.1
Sri Lanka		0.0	^
Malaysia		0.0	^
Panama		0.0	^
Colombia		0.0	^
Singapore		(2.8	)
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		16.9	%
Technology Hardware & Equipment		14.5
Energy		11.4
Materials		8.8
Semiconductors & Semiconductor Equipment		8.2
Media & Entertainment		6.7
Insurance		5.2
Food, Beverage & Tobacco		4.6
Transportation		4.2
Capital Goods		3.0
Software & Services		2.9
Retailing		2.7
Consumer Durables & Apparel		1.9
Real Estate		1.9
Diversified Financials		1.5
Telecommunication Services		1.3
Automobiles & Components		1.2
Utilities		1.0
Household & Personal Products		0.9
Health Care Equipment & Services		0.5
Pharmaceuticals, Biotechnology & Life Sciences		0.3
Consumer Services		0.3
Food & Staples Retailing		0.1
Commercial & Professional Services		0.0^
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

* Includes companies that derive more than 50% of their revenues or profits from emerging markets.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

16

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.1%
		Brazil — 0.9%
	15,100	CPFL Energia SA		101,501
	65,800	EDP - Energias do Brasil SA		286,983
	556,286	Enauta Participacoes SA		1,786,779
	19,900	Engie Brasil Energia SA		154,919
	487,407	Localiza Rent a Car SA		5,698,157
	48,600	Transmissora Alianca de Energia Eletrica SA		389,368
	1,824,411	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA		4,948,185
		Total Brazil		13,365,892
		Chile — 0.3%
	9,839,244	Banco de Chile		933,480
	96,267	CAP SA		776,688
	116,016	Cencosud SA		162,196
	261,341	Cencosud Shopping SA		370,324
	75,700	Cia Cervecerias Unidas SA Sponsored ADR		827,401
	8,763,943	Colbun SA		854,637
	6,702	Empresas COPEC SA		57,811
		Total Chile		3,982,537
		China — 33.8%
	2,618,000	361 Degrees International Ltd*		1,337,744
	58,500	3SBio Inc		38,894
	1,794,000	Agile Group Holdings Ltd (a)		628,259
	59,588,590	Agricultural Bank of China Ltd – Class H		19,471,265
	442,000	AK Medical Holdings Ltd		383,224
	468,500	Alibaba Group Holding Ltd*		5,589,459
	102,628	Alibaba Group Holding Ltd Sponsored ADR*		9,791,737
	1,120,500	A-Living Smart City Services Co Ltd		1,154,210
	19,150	Anhui Conch Cement Co Ltd – Class A		88,414
	379,500	Anhui Conch Cement Co Ltd – Class H		1,446,219
	474,000	Anhui Expressway Co Ltd – Class A		465,176
	354,000	Anhui Expressway Co Ltd – Class H		256,976
	761,600	ANTA Sports Products Ltd		9,171,518
	284,800	Autohome Inc – Class A (a)		2,517,402
	423,500	Autohome Inc ADR		15,080,835
	98,550	Baidu Inc – Class A*		1,759,174
	38,900	Baidu Inc Sponsored ADR*		5,600,433
	6,771,700	Bank of China Ltd – Class A		2,982,708
	16,000	Beijing Tong Ren Tang Chinese Medicine Co Ltd		19,908
	306,000	Bosideng International Holdings Ltd		171,816
	896,000	BYD Electronic International Co Ltd (a)		2,367,347
	1,172,000	China BlueChemical Ltd – Class H		305,174
	4,277,141	China Coal Energy Co Ltd – Class A		6,174,375
	6,641,878	China Communications Services Corp Ltd – Class H		2,852,000
	51,941,148	China Construction Bank Corp – Class H		32,109,129
	4,277,000	China Dongxiang Group Co Ltd*		190,204
	2,157,000	China Education Group Holdings Ltd		1,879,129

Shares		Description	Value ($)
		China — continued
	23,969,000	China Feihe Ltd		19,838,085
	319,000	China High Speed Transmission Equipment Group Co Ltd*		180,344
	3,341,000	China Hongqiao Group Ltd		3,239,640
	1,959,000	China Lesso Group Holdings Ltd		2,328,471
	1,096,000	China Medical System Holdings Ltd		1,622,058
	2,284,000	China Oriental Group Co Ltd		420,778
	220,500	China Overseas Land & Investment Ltd		592,587
	34,553,832	China Petroleum & Chemical Corp – Class A		21,398,611
	2,290,000	China Petroleum & Chemical Corp – Class H		1,076,861
	2,687,000	China Reinsurance Group Corp – Class H		197,969
	364,000	China Resources Cement Holdings Ltd		224,373
	437,700	China Resources Gas Group Ltd		1,704,144
	2,626,000	China Resources Land Ltd		10,751,491
	6,797,131	China Shenhua Energy Co Ltd – Class A		29,847,703
	3,081,000	China Shenhua Energy Co Ltd – Class H		9,662,850
	38,000	China Shineway Pharmaceutical Group Ltd		29,149
	388,967	China Suntien Green Energy Corp Ltd – Class A		640,781
	445,000	China Suntien Green Energy Corp Ltd – Class H		199,581
	273,081	China Tourism Group Duty Free Corp Ltd – Class A		7,715,502
	294,000	China Traditional Chinese Medicine Holdings Co Ltd		126,783
	854,000	China Yuhua Education Corp Ltd – Class L* (a)		134,193
	502,000	CSPC Pharmaceutical Group Ltd		509,241
	86,500	Dali Foods Group Co Ltd		39,544
	1,056,000	Dongyue Group Ltd		1,185,194
	426,400	ENN Energy Holdings Ltd		6,194,490
	206,000	Fufeng Group Ltd		115,753
	63,000	Greatview Aseptic Packaging Co Ltd		12,031
	663,000	Greenland Hong Kong Holdings Ltd		69,001
	498,000	Greentown Management Holdings Co Ltd		421,394
	1,799,600	Guangzhou R&F Properties Co Ltd – Class H (a)		372,227
	4,000	Haitian International Holdings Ltd		9,800
	272,422	Hangzhou Robam Appliances Co Ltd – Class A		990,212
	376,600	Hello Group Inc Sponsored ADR		1,939,490
	64,500	Hengan International Group Co Ltd		308,665
	402,238	Hisense Home Appliances Group Co Ltd – Class A		744,412
	247,000	Hisense Home Appliances Group Co Ltd – Class H		265,496
	10,248,000	Hua Han Health Industry Holdings Ltd (b)		1
	755,000	Huabao International Holdings Ltd (a)		386,068
	385,800	Huayu Automotive Systems Co Ltd – Class A		1,041,177
	925,600	Industrial & Commercial Bank of China Ltd – Class A		587,358
	25,234,847	Industrial & Commercial Bank of China Ltd – Class H		12,820,384

17 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		China — continued
	13,393,324	Inner Mongolia Eerduosi Resources Co Ltd – Class A		34,173,615
	1,225,600	Inner Mongolia Yitai Coal Co Ltd – Class H		1,782,504
	66,000	Kingboard Holdings Ltd		208,408
	645,000	Kingboard Laminates Holdings Ltd		615,274
	224,000	Kunlun Energy Co Ltd		195,043
	39,513	Kweichow Moutai Co Ltd – Class A		11,005,563
	3,439,500	KWG Group Holdings Ltd		618,803
	1,506,000	Lee & Man Paper Manufacturing Ltd		540,609
	2,379,000	Lonking Holdings Ltd		402,818
	198,200	Midea Group Co Ltd – Class A		1,520,657
	3,136,000	MMG Ltd*		857,886
	53,100	NetEase Inc		948,228
	265,214	NetEase Inc ADR		23,474,091
	444,000	Newborn Town Inc* (a)		116,376
	1,172,000	Nexteer Automotive Group Ltd		870,954
	142,000	Orient Overseas International Ltd		3,958,243
	138,000	PAX Global Technology Ltd		131,907
	14,248,060	PetroChina Co Ltd – Class A		11,060,859
	22,037,000	PICC Property & Casualty Co Ltd – Class H		23,835,888
	878,374	Ping An Insurance Group Co of China Ltd – Class A		5,561,390
	19,116,891	Postal Savings Bank of China Co Ltd – Class A		12,466,574
	2,109,000	Powerlong Real Estate Holdings Ltd (a)		264,479
	241,000	Q Technology Group Co Ltd*		132,429
	4,460,400	Qingling Motors Co Ltd – Class H		709,099
	3,957,559	Shaanxi Coal Industry Co Ltd – Class A		12,618,643
	197,300	Shandong Publishing & Media Co Ltd – Class A		190,752
	39,200	Shanghai Waigaoqiao Free Trade Zone Group Co Ltd – Class A		68,694
	1,848,781	Shenzhen YUTO Packaging Technology Co Ltd – Class A		7,913,022
	740,000	Shougang Fushan Resources Group Ltd		234,719
	3,380,000	Sihuan Pharmaceutical Holdings Group Ltd		428,631
	2,219,000	Sinopec Engineering Group Co Ltd – Class H		991,382
	2,116,000	Sinotruk Hong Kong Ltd		2,109,723
	1,489,000	Sunac China Holdings Ltd* (a) (c)		868,885
	3,080,000	Sunac Services Holdings Ltd (a)		928,679
	346,800	Sunny Optical Technology Group Co Ltd		4,734,669
	314,000	TCL Electronics Holdings Ltd		150,009
	773,865	Tencent Holdings Ltd		31,984,417
	296,500	Tencent Holdings Ltd ADR (a)		12,245,450
	257,000	Topsports International Holdings Ltd		202,849
	22,000	Uni-President China Holdings Ltd		18,941
	1,162,619	Vipshop Holdings Ltd ADR*		13,498,007
	591,000	Want Want China Holdings Ltd		416,313
	60,500	Weifu High-Technology Group Co Ltd – Class A		161,166
	397,500	Xiabuxiabu Catering Management China Holdings Co Ltd		187,160

Shares		Description	Value ($)
		China — continued
	251,842	Xinhua Winshare Publishing and Media Co Ltd – Class A		392,292
	588,000	Xtep International Holdings Ltd		815,959
	13,593,400	Yangzijiang Shipbuilding Holdings Ltd		9,420,714
	1,599,524	Yankuang Energy Group Co Ltd – Class A		11,102,186
	1,778,000	Zhejiang Expressway Co Ltd – Class H		1,353,270
	57,707	Zhejiang Supor Co Ltd – Class A		382,741
	13,600	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		27,381
	264,000	Zhou Hei Ya International Holdings Co Ltd*		131,891
		Total China		512,806,863
		Czech Republic — 0.2%
	652,395	Moneta Money Bank AS		2,069,897
	806	Philip Morris CR AS		546,554
		Total Czech Republic		2,616,451
		Egypt — 0.1%
	624,073	Commercial International Bank Egypt SAE		1,235,994
		Hungary — 1.3%
	181,134	Magyar Telekom Telecommunications Plc		153,795
	403,560	MOL Hungarian Oil & Gas Plc		2,780,670
	761,675	OTP Bank Nyrt		16,198,546
	61,077	Richter Gedeon Nyrt		1,231,441
		Total Hungary		20,364,452
		India — 6.6%
	205,098	Asian Paints Ltd		8,653,223
	703,602	Axis Bank Ltd		6,557,211
	6	Balrampur Chini Mills Ltd		26
	114	Chambal Fertilisers and Chemicals Ltd		496
	976	Clean Science & Technology Ltd		20,964
	37	Coromandel International Ltd		486
	11,567,064	Gayatri Projects Ltd* (d)		1,932,517
	831	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		7,725
	17,324	Gujarat State Fertilizers & Chemicals Ltd		33,915
	919,323	HCL Technologies Ltd		10,669,498
	181,064	HDFC Bank Ltd		3,313,771
	244,903	Hindustan Zinc Ltd		870,628
	200,845	Housing Development Finance Corp Ltd		6,082,157
	1,066,601	ICICI Bank Ltd		11,718,056
	608,400	Infosys Ltd Sponsored ADR		11,133,720
	41,785	Jindal Stainless Hisar Ltd*		127,164
	1,054,022	Kiri Industries Ltd*		6,427,741
	41,439	Mahanagar Gas Ltd		449,408
	195,550	Mindtree Ltd		7,989,769
	348,596	NBCC India Ltd		148,713
	827,963	NCC Ltd		718,353
	18,697	Oil India Ltd		45,044
	560,856	Petronet LNG Ltd		1,545,517
	133,037	Prestige Estates Projects Ltd		757,898

See accompanying notes to the financial statements. 18

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		India — continued
	145	Redington India Ltd		271
	20,157	Sobha Ltd		174,386
	100,129	Sun TV Network Ltd		622,916
	289,430	Tata Consultancy Services Ltd		11,538,793
	248,783	Titan Co Ltd		8,030,686
	188,845	Welspun Corp Ltd		529,854
		Total India		100,100,906
		Indonesia — 3.0%
	42,351,100	Bank Central Asia Tbk PT		23,387,244
	11,848,800	Bank Pembangunan Daerah Jawa Timur Tbk PT		574,724
	37,157,500	Bank Rakyat Indonesia Persero Tbk PT		10,851,068
	10,675,500	Bukit Asam Tbk PT		3,054,578
	411,900	Indika Energy Tbk PT*		79,574
	1,080,191	Indo Tambangraya Megah Tbk PT		2,861,187
	105,094,500	Panin Financial Tbk PT		2,703,704
	1,015,100	United Tractors Tbk PT		2,311,450
		Total Indonesia		45,823,529
		Kuwait — 0.1%
	85,557	Humansoft Holding Co KSC		960,976
	0	Kuwait Finance House KSCP		—
		Total Kuwait		960,976
		Malaysia — 0.0%
	842,200	Kossan Rubber Industries Bhd		189,512
		Mexico — 3.1%
	7,186,500	America Movil SAB de CV – Series L		6,117,612
	229,136	America Movil SAB de CV – Class L Sponsored ADR		3,895,312
	6,700	Arca Continental SAB de CV		45,348
	1,022,800	Banco del Bajio SA		2,142,923
	167,100	Concentradora Fibra Danhos SA de CV (REIT)		193,837
	315,700	Credito Real SAB de CV SOFOM ER* (c)		5,657
	8,600	El Puerto de Liverpool SAB de CV – Class C1		38,325
	50,500	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		330,500
	5,028,432	Grupo Financiero Banorte SAB de CV – Class O		29,701,606
	568,600	Grupo Mexico SAB de CV – Series B		2,142,146
	300	Megacable Holdings SAB de CV		629
	33,827	Qualitas Controladora SAB de CV		148,176
	417,900	Regional SAB de CV		2,259,334
	10,541	Ternium SA Sponsored ADR		324,768
	215,021	Unifin Financiera SAB de CV SOFOM ENR* (a)		18,571
		Total Mexico		47,364,744
		Panama — 0.0%
	1,591,142	BAC Holding International Corp*		80,832

Shares		Description	Value ($)
		Peru — 0.1%
	23,400	Southern Copper Corp		1,101,438
		Philippines — 0.3%
	88,500	GT Capital Holdings Inc		757,993
	264,560	Manila Electric Co		1,416,891
	20,401,800	Megaworld Corp		905,662
	1,435,900	Puregold Price Club Inc		874,405
		Total Philippines		3,954,951
		Poland — 0.8%
	139,133	Bank Polska Kasa Opieki SA		1,924,781
	38,073	Budimex SA		2,045,910
	10,213	KGHM Polska Miedz SA		191,385
	710	LPP SA		1,278,442
	475,985	Polski Koncern Naftowy ORLEN SA		6,165,061
	884,266	Polskie Gornictwo Naftowe i Gazownictwo SA*		1,050,445
		Total Poland		12,656,024
		Qatar — 0.6%
	1,468,586	Qatar National Bank QPSC		8,310,405
	619,376	Qatar National Cement Co QSC		842,088
		Total Qatar		9,152,493
		Russia — 1.2%
	31,701,260	Alrosa PJSC* (b) (e)		2,659,268
	380,350	Detsky Mir PJSC (b)		37,100
	39,977	Evraz Plc (b)		951
	1,432,600,000	Federal Grid Co Unified Energy System PJSC* (b)		160,663
	653,911	Fix Price Group Ltd GDR (b)		162,363
	219,070	Gazprom Neft PJSC (b)		105,597
	625,430	Gazprom PJSC Sponsored ADR* (b)		367,998
	575,658	Globaltrans Investment Plc Sponsored GDR (Registered) (b)		214,675
	78,536,400	Inter RAO UES PJSC* (b)		289,297
	239,440	LSR Group PJSC* (b)		165,135
	3	LSR Group PJSC GDR (Registered) (b)		0
	285,469	LUKOIL PJSC (b)		1,398,798
	14,733,960	Magnitogorsk Iron & Steel Works PJSC* (b) (e)		494,047
	212,079	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)* (b) (e)		92,980
	474,800	Mechel PJSC* (b)		67,834
	372,125	MMC Norilsk Nickel PJSC ADR (b)		693,201
	249,660	Mobile TeleSystems PJSC (b)		67,699
	35,508	Mobile TeleSystems PJSC ADR* (b)		19,368
	4,133,417	Moscow Exchange MICEX-RTS PJSC* (b)		429,265
	10,015,560	Novolipetsk Steel PJSC* (b)		1,386,777
	11,924	PhosAgro PJSC (b)		108,344
	230	PhosAgro PJSC GDR* (b) (e)		701
	916,204	Polymetal International Plc		2,246,851
	80,094	Polyus PJSC* (b)		764,701
	11,693	QIWI Plc Sponsored ADR (b) (f)		4,723

19 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	499,515	QIWI Plc Sponsored ADR (a) (b) (f)		270,475
	24,938,000	RusHydro PJSC* (b)		22,905
	13,125,612	Sberbank of Russia PJSC* (b) (e)		2,022,097
	706,464	Severstal PJSC GDR (Registered)* (b) (e)		615,445
	68,353	SFI PJSC* (b)		36,521
	63,500,900	Surgutneftegas PJSC (b)		1,858,182
	476,673	Tatneft PJSC Sponsored ADR (b)		1,505,230
	8,118,000	Unipro PJSC (b)		12,828
	556,430	United Co Rusal International PJSC* (b)		31,160
	46,698	X5 Retail Group NV GDR (Registered) (b)		53,827
		Total Russia		18,367,006
		South Africa — 1.5%
	56,114	Anglo American Platinum Ltd		3,917,293
	40,059	AVI Ltd		172,062
	34,828	Capitec Bank Holdings Ltd		4,141,236
	471,731	FirstRand Ltd		1,761,967
	5,440	Foschini Group Ltd (The)		40,273
	42,610	Impala Platinum Holdings Ltd		446,483
	321,782	Investec Ltd		1,510,917
	138,844	Kumba Iron Ore Ltd		3,073,909
	473,621	Lewis Group Ltd		1,321,156
	122,090	Mr Price Group Ltd		1,322,577
	361,398	Ninety One Ltd		814,419
	39,502	Omnia Holdings Ltd		142,422
	8,239,228	RMB Holdings Ltd*		866,824
	55,125	Sibanye Stillwater Ltd		123,150
	14,300	Sibanye Stillwater Ltd ADR		128,414
	224,211	Tiger Brands Ltd		2,181,563
	108,748	Truworths International Ltd		362,652
	12,924	Vodacom Group Ltd		95,129
		Total South Africa		22,422,446
		South Korea — 11.7%
	5,340	AfreecaTV Co Ltd		303,073
	407	BGF retail Co Ltd		48,750
	28,279	BNK Financial Group Inc		141,008
	28,500	Cheil Worldwide Inc		464,650
	22,744	DB HiTek Co Ltd		780,681
	49,894	DB Insurance Co Ltd		2,221,968
	18,660	DL E&C Co Ltd		566,372
	660,484	Dongwon Development Co Ltd		1,831,287
	11,591	Fila Holdings Corp		267,727
	194,014	GS Engineering & Construction Corp		4,339,772
	80,690	Hana Financial Group Inc		2,351,843
	934	Handsome Co Ltd		19,694
	183,703	HDC Hyundai Development Co-Engineering & Construction (a)		1,697,449
	6,625	Huchems Fine Chemical Corp		104,692
	1,010	Hyosung TNC Corp		234,884
	224,669	Hyundai Engineering & Construction Co Ltd		8,033,678
	3,956	Hyundai Glovis Co Ltd		518,343

Shares		Description	Value ($)
		South Korea — continued
	18,959	Hyundai Marine & Fire Insurance Co Ltd		444,739
	38,643	Hyundai Mobis Co Ltd		6,162,524
	4,789	INTOPS Co Ltd		106,800
	98,398	KB Financial Group Inc		3,612,086
	9,078	KC Tech Co Ltd		109,483
	4,210	KCC Corp		919,292
	6,701	KCC Glass Corp		251,019
	116,632	Kia Corp		6,990,669
	3,384	KIWOOM Securities Co Ltd		215,031
	10,467	Korea Petrochemical Ind Co Ltd		945,491
	9,057	Korea Zinc Co Ltd		4,530,553
	539,264	KT&G Corp (a)		33,497,700
	83,136	Kumho Petrochemical Co Ltd		8,019,047
	5,432	LG H&H Co Ltd		2,876,467
	7,944	Lotte Chemical Corp		1,031,485
	10,034	LOTTE Fine Chemical Co Ltd		525,004
	53,952	LX Semicon Co Ltd (a)		3,796,026
	1,799	MegaStudyEdu Co Ltd		104,649
	78,330	Meritz Securities Co Ltd		282,305
	3,857	NCSoft Corp		1,083,864
	24,660	NH Investment & Securities Co Ltd		182,554
	160	NongShim Co Ltd		35,770
	5,962	Orion Corp		436,743
	40,247	POSCO Holdings Inc		7,613,331
	13,600	POSCO Holdings Inc Sponsored ADR		639,472
	683,586	Samsung Electronics Co Ltd		30,283,368
	6,416	Samsung Electronics Co Ltd GDR (Registered)		7,016,336
	9,729	Samsung SDS Co Ltd		928,522
	7,595	Samsung Securities Co Ltd		191,205
	312	Samyang Foods Co Ltd		25,913
	1,549	Sangsangin Co Ltd		9,855
	183,910	SD Biosensor Inc		4,808,249
	16,387	Seegene Inc		383,913
	85,514	Shinhan Financial Group Co Ltd		2,316,871
	89,453	SK Hynix Inc		6,289,255
	2,720	SK Square Co Ltd*		81,733
	47,243	SL Corp (a)		1,346,747
	1,837	Unid Co Ltd		141,863
	1,583,626	Woori Financial Group Inc		14,325,359
	317,534	Woori Technology Investment Co Ltd* (a)		1,378,640
	497	Youngone Holdings Co Ltd		19,582
		Total South Korea		177,885,386
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd* (c) (d)		259,958
		Taiwan — 25.8%
	204,000	Acer Inc		146,517
	71,532	Acter Group Corp Ltd		497,062
	1,086,035	Advantech Co Ltd		11,585,827
	317,000	Asia Cement Corp		448,754
	39,000	ASROCK Inc		122,292
	1,828,689	Asustek Computer Inc		15,216,592

See accompanying notes to the financial statements. 20

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	374,000	Aten International Co Ltd		959,085
	115,200	Aurora Corp		323,077
	90,000	Capital Securities Corp		35,140
	6,472,000	Catcher Technology Co Ltd*		39,231,902
	10,008,153	Cathay Financial Holding Co Ltd		14,560,124
	1,070,948	Chailease Holding Co Ltd		6,876,245
	182,000	Chicony Electronics Co Ltd		485,889
	68,000	China Motor Corp		103,454
	102,000	Chipbond Technology Corp		190,374
	78,000	ChipMOS Technologies Inc		90,891
	5,000	Chlitina Holding Ltd		28,188
	511,000	Chong Hong Construction Co Ltd		1,244,156
	205,000	Chunghwa Telecom Co Ltd		813,458
	1,296,400	Coretronic Corp		2,658,479
	85,000	Co-Tech Development Corp		119,092
	120,000	CTCI Corp		177,011
	9,000	Dynapack International Technology Corp		23,449
	1,000	ECOVE Environment Corp		8,699
	246,000	Elite Material Co Ltd		1,294,850
	380,000	Elite Semiconductor Microelectronics Technology Inc		977,631
	2,923,000	Evergreen Marine Corp Taiwan Ltd		8,376,486
	36,000	Everlight Electronics Co Ltd		46,252
	310,000	Far Eastern New Century Corp		332,183
	376,000	Far EasTone Telecommunications Co Ltd		922,161
	1,041,000	Farglory Land Development Co Ltd		2,176,245
	9,000	Feng Hsin Steel Co Ltd		19,715
	1,015,000	First Financial Holding Co Ltd		880,592
	13,000	FLEXium Interconnect Inc*		39,723
	14,000	Formosa Advanced Technologies Co Ltd		17,743
	94,000	Formosa Chemicals & Fibre Corp		211,180
	39,000	Formosa International Hotels Corp		221,622
	2,512,000	Formosa Plastics Corp		7,489,764
	918,778	Foxconn Technology Co Ltd		1,519,021
	14,158,419	Fubon Financial Holding Co Ltd		26,547,721
	4,000	Fusheng Precision Co Ltd		25,848
	123,000	Gamania Digital Entertainment Co Ltd		244,111
	113,000	Getac Technology Corp		175,876
	308,000	Gigabyte Technology Co Ltd		859,050
	29,000	Global Mixed Mode Technology Inc		140,887
	9,000	Gourmet Master Co Ltd		29,844
	2,178,000	Grand Pacific Petrochemical		1,337,646
	3,353,000	HannStar Display Corp		1,303,646
	187,429	Hiwin Technologies Corp		1,265,062
	370,000	Holtek Semiconductor Inc		893,785
	5,453,532	Hon Hai Precision Industry Co Ltd		19,418,822
	782,000	Huaku Development Co Ltd		2,381,070
	1,141,806	IEI Integration Corp		2,801,034
	3,000	Innodisk Corp		16,817
	82,000	International Games System Co Ltd		999,814
	11,000	ITE Technology Inc		25,150
	5,000	King Slide Works Co Ltd		74,572
	258,000	King’s Town Bank Co Ltd		297,604
	246,000	Kung Long Batteries Industrial Co Ltd		1,137,129

Shares		Description	Value ($)
		Taiwan — continued
	303,000	Largan Precision Co Ltd		19,273,879
	2,999,000	Lite-On Technology Corp		6,453,935
	11,000	Lotes Co Ltd		260,789
	74,000	Makalot Industrial Co Ltd		434,809
	3,082,000	Micro-Star International Co Ltd		11,537,854
	679,000	Mitac Holdings Corp		624,264
	2,385,000	Nan Ya Plastics Corp		5,357,177
	483,000	Nantex Industry Co Ltd		674,890
	1,305,000	Nanya Technology Corp		2,266,511
	23,000	Nien Made Enterprise Co Ltd		212,399
	1,579,810	Novatek Microelectronics Corp		13,515,753
	920,000	Phison Electronics Corp		9,352,168
	15,000	Pixart Imaging Inc		46,244
	41,000	Pou Chen Corp		38,839
	22,000	Powertech Technology Inc		61,389
	335,000	Primax Electronics Ltd		732,943
	887,936	Radiant Opto-Electronics Corp		2,917,865
	53,580	Raydium Semiconductor Corp		482,092
	9,000	Sensortek Technology Corp		89,575
	184,000	Shanghai Commercial & Savings Bank Ltd (The)		299,498
	592,000	Shinkong Insurance Co Ltd		1,120,450
	340,468	Simplo Technology Co Ltd		3,212,603
	408,500	SinoPac Financial Holdings Co Ltd		231,584
	47,000	Soft-World International Corp		118,975
	3,000	St Shine Optical Co Ltd		26,333
	47,000	Standard Foods Corp		63,244
	1,057,250	Syncmold Enterprise Corp		2,353,914
	163,000	Synnex Technology International Corp		297,114
	702,000	T3EX Global Holdings Corp		1,799,567
	96,024	Tah Hsin Industrial Corp		223,751
	127,000	TaiDoc Technology Corp*		927,540
	22,000	Taita Chemical Co Ltd		16,247
	52,000	Taiwan Hon Chuan Enterprise Co Ltd		127,497
	9,000	Taiwan Paiho Ltd		18,686
	6,000	Taiwan Secom Co Ltd		20,151
	2,641,000	Taiwan Semiconductor Manufacturing Co Ltd		43,232,593
	436,310	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		36,366,438
	8,000	Taiwan Shin Kong Security Co Ltd		10,556
	172,000	Taiwan Union Technology Corp		322,870
	10,000	TCI Co Ltd		47,956
	12,000	Teco Electric and Machinery Co Ltd		11,608
	127,000	Test Research Inc		248,189
	24,000	Thinking Electronic Industrial Co Ltd		112,132
	29,000	Topco Scientific Co Ltd		154,890
	876,000	Transcend Information Inc		1,898,006
	758,160	Tripod Technology Corp		2,489,263
	56,000	Tung Ho Steel Enterprise Corp		99,008
	481,224	United Integrated Services Co Ltd		2,492,044
	19,000	Universal Cement Corp		13,982
	732,000	Universal Inc		673,716

21 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	14,000	Vanguard International Semiconductor Corp		33,845
	361,000	Walsin Technology Corp		1,090,925
	1,311,750	Wan Hai Lines Ltd		3,697,025
	108,000	WT Microelectronics Co Ltd		227,758
	11,915,000	Yang Ming Marine Transport Corp		30,523,519
	404,790	Yuanta Financial Holding Co Ltd		268,698
	6,000	Yulon Finance Corp		31,725
	112,000	Yulon Nissan Motor Co Ltd		762,318
	247,000	Zeng Hsing Industrial Co Ltd		1,081,623
		Total Taiwan		391,527,629
		Thailand — 0.7%
	1,279,700	Advanced Info Service Pcl (Foreign Registered)		6,732,647
	56,600	Advanced Info Service Pcl NVDR		297,779
	559,400	CP ALL Pcl (Foreign Registered)		942,899
	300,800	Kasikornbank Pcl (Foreign Registered)		1,263,479
	2,749,500	Pruksa Holding Pcl (Foreign Registered)		970,518
	2,748,400	Sri Trang Gloves Thailand Pcl (Foreign Registered)		1,069,912
	427,075	Supalai Pcl (Foreign Registered)		228,259
		Total Thailand		11,505,493
		Turkey — 0.9%
	19,419,868	Akbank TAS		12,473,053
	88,241	Aksa Akrilik Kimya Sanayii AS		266,981
	457,164	Enerjisa Enerji AS		428,879
	23	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS – Class D		15
	74,610	Mavi Giyim Sanayi Ve Ticaret AS – Class B		286,754
	421,158	Turkiye Is Bankasi AS – Class C		182,435
		Total Turkey		13,638,117
		United Kingdom — 0.7%
	226,263	Unilever Plc		10,263,815
		Vietnam — 0.4%
	19	Hoa Phat Group JSC		19
	201,800	Pha Lai Thermal Power JSC		156,395
	4,982,000	Vietnam Joint Stock Commercial Bank for
		Industry and Trade		5,988,522
		Total Vietnam		6,144,936
		TOTAL COMMON STOCKS (COST $2,018,343,410)		1,427,772,380
		PREFERRED STOCKS (g) — 4.2%
		Brazil — 2.5%
	624,500	Cia Energetica de Minas Gerais		1,452,493

Shares/ Par Value†		Description	Value ($)
		Brazil — continued
	1,021,100	Cia Paranaense de Energia – Class B		1,368,035
	5,370,400	Petroleo Brasileiro SA		34,303,089
	59,900	Petroleo Brasileiro SA Sponsored ADR		763,126
	17,000	Unipar Carbocloro SA – Class B		334,942
		Total Brazil		38,221,685
		Colombia — 0.0%
	330,029	Grupo Aval Acciones y Valores SA		49,553
		Russia — 0.2%
	194,570	Nizhnekamskneftekhim PJSC (b)		17,523
	79,676,700	Surgutneftegas PJSC (b)		2,649,708
	869	Transneft PJSC (b)		101,117
		Total Russia		2,768,348
		South Korea — 1.4%
	531,957	Samsung Electronics Co Ltd		21,518,808
		Taiwan — 0.1%
	256,798	Chailease Holding Co Ltd		839,375
		TOTAL PREFERRED STOCKS (COST $100,402,593)		63,397,769
		DEBT OBLIGATIONS — 0.4%
		United States — 0.4%
	6,725,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.94%, due 04/30/23 (h)		6,730,800
		TOTAL DEBT OBLIGATIONS (COST $6,726,235)		6,730,800
		SHORT-TERM INVESTMENTS — 1.2%
		Money Market Funds — 1.1%
	17,128,614	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (i)		17,128,614
		U.S. Government — 0.1%
	1,000,000	U.S. Treasury Bill, 2.62%, due 11/10/22 (h) (j)		994,937
		TOTAL SHORT-TERM INVESTMENTS (COST $18,125,289)		18,123,551
		TOTAL INVESTMENTS — 99.9% (Cost $2,143,597,527)		1,516,024,500
		Other Assets and Liabilities (net) — 0.1%		870,547
		TOTAL NET ASSETS — 100.0%		$1,516,895,047

See accompanying notes to the financial statements. 22

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2022
Alrosa PJSC	09/14/17	$	46,779,239	0.2%	$	2,659,268
Magnitogorsk Iron & Steel Works PJSC	03/26/18		12,703,305	0.0%		494,047
Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)	02/13/18		1,683,671	0.0%		92,980
PhosAgro PJSC GDR	02/09/22		5,151	0.0%		701
Sberbank of Russia PJSC	11/10/17		51,393,929	0.1%		2,022,097
Severstal PJSC GDR (Registered)	10/12/17		13,249,420	0.1%		615,445
					$	5,884,538

A summary of outstanding financial instruments at August 31, 2022 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 1,763	Mini MSCI Emerging Markets	September 2022	$	86,554,485	$	(5,051,447	)
Sales 1,238	SGX Nifty 50	September 2022	$	42,724,165	$	1,125,783

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2022, 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.

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

(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. Investment valued using significant unobservable inputs (Note 2).

(c) Investment valued using significant unobservable inputs (Note 2).

(d) Affiliated company (Note 10).

(e) The security is restricted as to resale.

(f) Securities are traded on separate exchanges for the same entity.

(g) Preferred dividend rates are disclosed to the extent that a stated rate exists.

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

(i) The rate disclosed is the 7 day net yield as of August 31, 2022.

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

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 57.

23 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.1	%
Short-Term Investments		4.2
Debt Obligations		1.0
Preferred Stocks		0.6
Futures Contracts		(0.1	)
Other		(2.8	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		27.2	%
United Kingdom		18.1
France		10.2
Netherlands		6.9
Switzerland		6.4
Spain		5.5
Singapore		4.9
Germany		4.5
Norway		4.0
Australia		3.9
Hong Kong		2.4
Other Developed		1.7	‡
Italy		1.6
Portugal		1.5
United States		1.2
Other Emerging		0.0	†^
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		15.2	%
Pharmaceuticals, Biotechnology & Life
Sciences		12.5
Food, Beverage & Tobacco		10.6
Banks		8.3
Materials		8.1
Telecommunication Services		6.7
Energy		6.1
Diversified Financials		4.8
Consumer Durables & Apparel		4.6
Technology Hardware & Equipment		4.1
Food & Staples Retailing		3.8
Commercial & Professional Services		3.5
Retailing		2.7
Semiconductors & Semiconductor
Equipment		2.5
Automobiles & Components		2.0
Insurance		1.3
Media & Entertainment		0.9
Real Estate		0.7
Household & Personal Products		0.6
Utilities		0.4
Software & Services		0.3
Transportation		0.2
Health Care Equipment & Services		0.1
Consumer Services		0.0	^
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

# 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.

^ Rounds to 0.0%.

24

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.1%
		Australia — 3.8%
	18,696	Ampol Ltd		439,438
	554,039	BlueScope Steel Ltd		6,216,219
	134,315	Brambles Ltd		1,130,425
	17,616	Computershare Ltd		293,794
	220,589	CSR Ltd		676,787
	222,720	Fortescue Metals Group Ltd		2,767,868
	706,662	GrainCorp Ltd – Class A		3,996,856
	92,570	JB Hi-Fi Ltd		2,553,055
	89,611	Pact Group Holdings Ltd		92,802
	23,917	Premier Investments Ltd		343,899
	541,855	Rio Tinto Ltd		34,415,037
	163,346	Sandfire Resources Ltd		504,469
	232,551	Sims Ltd		2,399,328
		Total Australia		55,829,977
		Belgium — 0.4%
	91,042	AGFA-Gevaert NV*		329,185
	52,090	Bekaert SA		1,597,752
	65,973	UCB SA		4,635,713
		Total Belgium		6,562,650
		Denmark — 0.0%
	9,627	Per Aarsleff Holding A/S		276,846
	6,561	Schouw & Co A/S		478,411
		Total Denmark		755,257
		Finland — 0.3%
	76,223	Kesko Oyj		1,603,551
	95,122	Nokia Oyj		479,354
	251,521	Outokumpu Oyj		1,008,589
	66,927	Stora Enso Oyj – R Shares		996,273
		Total Finland		4,087,767
		France — 10.1%
	26,778	ALD SA		291,462
	27,320	Alten SA		3,359,016
	14,163	APERAM SA		382,278
	708,246	Cie de Saint-Gobain		28,526,548
	124,457	Coface SA*		1,244,505
	190,317	Derichebourg SA		1,070,626
	4,242	Eramet SA		359,652
	114,189	Ipsen SA		10,943,544
	54,880	IPSOS		2,493,252
	7,734	Kering SA		3,880,554
	120,318	Metropole Television SA		1,485,228
	90,821	Publicis Groupe SA		4,434,363
	18,793	Rexel SA*		305,235
	422,145	Sanofi		34,510,271
	39,627	Schneider Electric SE		4,709,960
	441,591	Societe Generale SA		9,735,053
	784,700	STMicroelectronics NV		27,386,030

Shares		Description	Value ($)
		France — continued
	243,049	Television Francaise 1		1,541,370
	14,583	TotalEnergies SE (a)		746,710
	187,400	TotalEnergies SE (a)		9,488,003
		Total France		146,893,660
		Germany — 3.9%
	19,569	Aurubis AG		1,184,834
	133,794	Bayer AG (Registered)		7,076,095
	150,435	Bayerische Motoren Werke AG		11,083,848
	7,538	Henkel AG & Co KGaA		471,422
	16,126	Hornbach Holding AG & Co KGaA		1,137,463
	5,326	Indus Holding AG		118,895
	461,911	Kloeckner & Co SE		4,168,467
	148,481	Merck KGaA		25,506,063
	36,067	RTL Group SA*		1,340,065
	31,596	Salzgitter AG		776,774
	18,996	Volkswagen AG		3,513,698
		Total Germany		56,377,624
		Hong Kong — 2.4%
	703,200	ASMPT Ltd		5,446,572
	255,500	BOC Hong Kong Holdings Ltd		879,380
	1,229,487	Champion (REIT)		529,178
	1,022,112	Chow Tai Fook Jewellery Group Ltd		2,057,212
	1,005,000	CK Asset Holdings Ltd		6,783,511
	160,500	CK Hutchison Holdings Ltd		1,036,453
	608,400	Dah Sing Banking Group Ltd		472,438
	120,869	Dah Sing Financial Holdings Ltd		321,789
	3,995,207	Esprit Holdings Ltd*		496,346
	2,584,585	IGG Inc		1,111,099
	461,401	Johnson Electric Holdings Ltd		544,948
	297,640	Kerry Logistics Network Ltd		654,375
	181,326	Luk Fook Holdings International Ltd		463,518
	18,500	Orient Overseas International Ltd		515,687
	1,232,331	Pacific Textiles Holdings Ltd		462,789
	1,301,023	Shun Tak Holdings Ltd*		216,662
	321,000	SITC International Holdings Co Ltd		814,002
	289,526	SmarTone Telecommunications Holdings Ltd		154,939
	100,500	Sun Hung Kai Properties Ltd		1,180,696
	71,000	Techtronic Industries Co Ltd		837,391
	313,588	Television Broadcasts Ltd*		158,540
	1,016,000	VSTECS Holdings Ltd		671,696
	241,100	VTech Holdings Ltd		1,639,583
	10,390,515	WH Group Ltd		7,079,297
		Total Hong Kong		34,528,101
		Ireland — 0.5%
	830,109	Bank of Ireland Group Plc		5,114,756
	48,681	Kingspan Group Plc		2,756,259
		Total Ireland		7,871,015

25 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Italy — 1.6%
	305,038	Anima Holding SPA		1,036,569
	74,036	Banca IFIS SPA		884,041
	91,812	Esprinet SPA		624,527
	194,055	EXOR NV		11,683,107
	205,123	Italgas SPA		1,055,088
	217,166	Leonardo SPA		1,777,243
	1,428,795	MFE-MediaForEurope NV – Class A*		606,096
	2,362	Sesa SPA		288,722
	175,575	Terna - Rete Elettrica Nazionale		1,248,200
	75,415	Unieuro SPA		857,543
	678,612	Unipol Gruppo SPA		2,841,749
		Total Italy		22,902,885
		Japan — 26.8%
	26,300	Advantest Corp		1,489,509
	63,520	AOKI Holdings Inc		321,124
	1,449,215	Asahi Kasei Corp		10,590,556
	5,400	Bandai Namco Holdings Inc		405,198
	366,096	Brother Industries Ltd		7,006,165
	1,355,900	Canon Inc		32,472,852
	31,300	Canon Inc Sponsored ADR		747,444
	13,800	Canon Marketing Japan Inc		312,939
	2,984	Cawachi Ltd		45,305
	74,900	Citizen Watch Co Ltd		320,019
	45,400	Dai Nippon Printing Co Ltd		955,617
	156,590	Daiwabo Holdings Co Ltd		2,204,341
	70,274	Dexerials Corp		1,953,869
	53,748	Doutor Nichires Holdings Co Ltd		621,625
	60,954	FUJIFILM Holdings Corp		3,094,438
	20,606	Fuyo General Lease Co Ltd		1,216,828
	59,236	Geo Holdings Corp		702,032
	17,553	Gunze Ltd		496,104
	128,200	Haseko Corp		1,469,074
	1,290,754	ITOCHU Corp		35,522,481
	2,064,504	Japan Tobacco Inc		34,979,749
	126,844	Kanematsu Corp		1,372,197
	1,233,396	KDDI Corp		37,743,303
	41,893	Komeri Co Ltd		786,806
	3,030,800	Marubeni Corp		31,587,852
	99,257	MCJ Co Ltd		689,996
	510,500	Mitsubishi Corp		16,714,090
	1,988,818	Mitsubishi UFJ Financial Group Inc		10,309,928
	1,102,338	Mitsui & Co Ltd		25,870,905
	39,684	Modec Inc*		411,680
	181,900	NGK Spark Plug Co Ltd		3,732,161
	96,726	Nichias Corp		1,670,407
	98,000	Nikon Corp		1,118,691
	53,331	Nippon Signal Company Ltd		356,478
	1,250,295	Nippon Telegraph & Telephone Corp		33,888,335
	84,866	Okinawa Electric Power Co (The)		691,994
	60,000	Ono Pharmaceutical Co Ltd		1,432,210
	248,586	Panasonic Holdings Corp		2,017,122
	82,324	Press Kogyo Co Ltd		260,387

Shares	Description	Value ($)
	Japan — continued
37,519	Prima Meat Packers Ltd		585,620
17,283	San-A Co Ltd		516,126
77,100	Sega Sammy Holdings Inc		1,144,535
122,300	Seiko Epson Corp		1,921,799
65,295	Seiko Holdings Corp		1,345,465
392,112	Sekisui Chemical Co Ltd		5,345,784
736,400	Sekisui House Ltd		12,522,205
16,500	Shimamura Co Ltd		1,495,561
643,981	Sojitz Corp		10,835,581
4,829,341	Sumitomo Chemical Co Ltd		19,009,857
291,300	Sumitomo Forestry Co Ltd		4,925,153
17,500	Suntory Beverage & Food Ltd		639,216
20,638	T-Gaia Corp		245,381
46,600	Tokyo Gas Co Ltd		874,272
26,877	Tokyo Seimitsu Co Ltd		895,307
130,475	Tokyu Construction Co Ltd		613,732
50,228	Towa Pharmaceutical Co Ltd		796,555
365,955	Toyota Tsusho Corp		12,811,398
24,269	TPR Co Ltd		222,227
64,069	Valor Holdings Co Ltd		816,755
20,256	Warabeya Nichiyo Holdings Co Ltd		329,719
19,508	Yahagi Construction Co Ltd		107,554
45,500	Yakult Honsha Co Ltd		2,691,129
166,300	Yamaha Motor Co Ltd		3,446,449
	Total Japan		391,719,191
	Malta — 0.0%
15,858,986	BGP Holdings* (b)		16
	Netherlands — 6.8%
9,271	ASR Nederland NV		378,389
1,929	Hunter Douglas NV*		338,763
1,213,898	Koninklijke Ahold Delhaize NV		33,390,462
334,485	NN Group NV		13,746,653
558,638	Randstad NV		26,016,180
254,329	Signify NV		7,229,518
182,128	Wolters Kluwer NV		17,810,810
	Total Netherlands		98,910,775
	Norway — 4.0%
166,894	BW LPG Ltd		1,084,860
982,806	Equinor ASA		38,143,322
245,081	Europris ASA		1,470,314
2,476,097	Norsk Hydro ASA		17,013,508
136,922	Var Energi ASA		594,877
	Total Norway		58,306,881
	Portugal — 1.5%
251,087	CTT-Correios de Portugal SA		817,857
463,287	Galp Energia SGPS SA		5,003,027
500,355	Jeronimo Martins SGPS SA		11,093,739
333,346	Navigator Co SA (The)		1,322,692

See accompanying notes to the financial statements. 26

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Portugal — continued
	334,195	REN - Redes Energeticas Nacionais SGPS SA		885,947
	2,469,564	Sonae SGPS SA		2,482,258
		Total Portugal		21,605,520
		Singapore — 4.8%
	108,700	City Developments Ltd		631,134
	1,506,925	DBS Group Holdings Ltd		35,086,464
	838,000	First Resources Ltd		903,282
	180,987	Jardine Cycle & Carriage Ltd		4,248,868
	1,181,500	Keppel Corp Ltd		6,136,143
	428,300	Sheng Siong Group Ltd		496,432
	134,500	Singapore Technologies Engineering Ltd		358,409
	57,200	United Overseas Bank Ltd		1,115,369
	41,900	Venture Corp Ltd		547,417
	3,614,439	Wilmar International Ltd		10,432,707
	9,249,322	Yangzijiang Financial Holding Ltd*		2,474,400
	11,015,722	Yangzijiang Shipbuilding Holdings Ltd		7,634,291
		Total Singapore		70,064,916
		Spain — 5.4%
	6,841	Acciona SA		1,339,921
	1,065,528	Acerinox SA		9,640,707
	7,159,175	Banco Bilbao Vizcaya Argentaria SA		32,124,599
	29,071,521	Banco de Sabadell SA		19,993,467
	140,605	Banco Santander SA		340,362
	70,387	Bankinter SA		360,718
	53,658	Ebro Foods SA		848,068
	12,544	Grupo Catalana Occidente SA		368,851
	269,028	Industria de Diseno Textil SA		5,808,699
	508,733	Repsol SA		6,607,465
	2,172,779	Unicaja Banco SA		1,956,506
		Total Spain		79,389,363
		Sweden — 0.5%
	148,473	Investor AB – A Shares		2,467,725
	73,519	Investor AB – B Shares		1,158,748
	20,238	New Wave Group AB – B Shares		325,518
	596,321	SSAB AB – A Shares		2,868,153
		Total Sweden		6,820,144
		Switzerland — 6.3%
	40,548	Ascom Holding AG (Registered)		261,531
	21,272	DKSH Holding AG		1,582,694
	209	Forbo Holding AG (Registered)		260,799
	125,547	Novartis AG (Registered)		10,155,248
	166,620	Roche Holding AG – Genusschein		53,691,855
	1,652,043	UBS Group AG (Registered)		26,179,456
	3,995	Zehnder Group AG		236,010
		Total Switzerland		92,367,593

Shares		Description	Value ($)
		United Kingdom — 17.9%
	968,112	3i Group Plc		13,627,423
	416,164	BAE Systems Plc		3,748,015
	3,030,852	Barratt Developments Plc		15,005,102
	225,345	Bellway Plc		5,328,147
	7,657	Berkeley Group Holdings Plc		324,144
	784,800	BP Plc Sponsored ADR		24,203,232
	1,059,363	British American Tobacco Plc		42,430,403
	60,058	British American Tobacco Plc Sponsored ADR		2,405,323
	13,720,551	BT Group Plc		24,001,365
	29,660	Bunzl Plc		983,649
	626,349	Coca-Cola HBC AG*		14,292,870
	83,864	Crest Nicholson Holdings Plc		227,919
	41,861	Electrocomponents Plc		526,595
	21,546	Ferguson Plc		2,495,202
	859,205	Ferrexpo Plc		1,477,928
	60,019	Galliford Try Holdings Plc		109,829
	95,120	Grafton Group Plc		798,438
	1,005,073	GSK Plc		16,066,105
	422,760	GSK Plc Sponsored ADR		13,731,245
	1,256,341	Haleon Plc*		3,777,895
	405,700	Haleon Plc ADR*		2,426,086
	103,137	Halfords Group Plc		155,916
	108,297	IG Group Holdings Plc		1,027,736
	1,526,061	Imperial Brands Plc		33,560,890
	694,535	Investec Plc		3,338,449
	1,053,940	Kingfisher Plc		2,831,165
	255,265	Next Plc		17,190,008
	84,163	Ninety One plc		192,813
	293,503	Persimmon Plc		5,022,160
	195,869	Plus500 Ltd		3,859,804
	583,860	Redrow Plc		3,429,859
	531,251	Spirent Communications Plc		1,589,105
	255,365	Vesuvius Plc		1,027,438
		Total United Kingdom		261,212,258
		United States — 0.1%
	79,531	ADTRAN Holdings, Inc.		1,848,300
		TOTAL COMMON STOCKS
		(COST $1,687,222,205)		1,418,053,893
		PREFERRED STOCKS (c) — 0.6%
		Germany — 0.6%
	77,039	Bayerische Motoren Werke AG		5,356,069
	18,224	Draegerwerk AG & Co KGaA		862,233
	32,607	Henkel AG & Co KGaA		2,104,247
		Total Germany		8,322,549
		TOTAL PREFERRED STOCKS
		(COST $9,621,306)		8,322,549

27 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 1.0%
		United States — 1.0%
	15,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 07/31/24		14,980,124
		TOTAL DEBT OBLIGATIONS
		(COST $14,987,134)		14,980,124
		SHORT-TERM INVESTMENTS — 4.2%
		Money Market Funds — 0.2%
	3,885,393	State Street Institutional Treasury Money
		Market Fund – Premier Class, 2.10% (d)		3,885,393
		U.S. Government — 4.0%
	28,000	U.S. Treasury Bill, 2.18%, due 10/06/22 (e)		27,940

A summary of outstanding financial instruments at August 31, 2022 is as follows:

Par Value†		Description	Value ($)
		U.S. Government — continued
	500,000	U.S. Treasury Bill, 3.09%, due 01/19/23 (e)		494,110
	12,000,000	U.S. Treasury Bill, 3.10%, due
		05/18/23 (e) (f)		11,739,921
	47,150,000	U.S. Treasury Bill, 3.37%, due
		07/13/23 (e) (f)		45,804,530
		Total U.S. Government		58,066,501
		TOTAL SHORT-TERM INVESTMENTS
		(COST $62,037,309)		61,951,894
		TOTAL INVESTMENTS — 102.9%
		(Cost $1,773,867,954)		1,503,308,460
		Other Assets and Liabilities (net) — (2.9)%		(42,138,835	)
		TOTAL NET ASSETS — 100.0%		$1,461,169,625

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 160	MSCI EAFE	September 2022	$	14,616,800	$	(964,755	)

+ Buys - Fund is long the futures contract.

   Sales - Fund is short the futures contract.

As of August 31, 2022, 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.

* Non-income producing security.

(a) Securities are traded on separate exchanges for the same entity.

(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. Investment valued using significant unobservable inputs (Note 2).

(c) Preferred dividend rates are disclosed to the extent that a stated rate exists. (d) The rate disclosed is the 7 day net yield as of August 31, 2022.

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

(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).

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 57.

See accompanying notes to the financial statements. 28

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.2	%
Short-Term Investments		1.7
Other		0.1
		100.0	%
Industry Group Summary	% of Equity Investments#
Capital Goods		18.5	%
Food, Beverage & Tobacco		11.4
Materials		9.9
Semiconductors & Semiconductor Equipment		7.5
Automobiles & Components		6.7
Banks		6.6
Technology Hardware & Equipment		5.9
Insurance		5.8
Commercial & Professional Services		5.3
Pharmaceuticals, Biotechnology & Life Sciences		3.5
Software & Services		3.1
Transportation		2.7
Real Estate		2.5
Diversified Financials		2.4
Retailing		2.1
Health Care Equipment & Services		2.1
Consumer Durables & Apparel		2.1
Telecommunication Services		1.9
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

# 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.

29

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares	Description	Value ($)
	COMMON STOCKS — 98.2%
	Automobiles & Components — 6.6%
156,800	Honda Motor Co Ltd		4,174,371
228,100	Stanley Electric Co Ltd		4,210,539
	Total Automobiles & Components		8,384,910
	Banks — 6.5%
152,700	Sumitomo Mitsui Financial Group Inc		4,605,930
116,700	Sumitomo Mitsui Trust Holdings Inc		3,629,742
	Total Banks		8,235,672
	Capital Goods — 18.2%
251,400	EXEO Group Inc		3,857,082
224,100	Fuji Corp		3,259,655
156,400	Kyudenko Corp		3,148,480
599,300	Penta-Ocean Construction Co Ltd		3,162,700
228,900	Takuma Co Ltd		2,299,737
163,100	THK Co Ltd		3,310,667
74,000	Toyota Industries Corp		4,136,068
	Total Capital Goods		23,174,389
	Commercial & Professional Services — 5.2%
53,700	Secom Co Ltd		3,421,185
203,800	Toppan Inc		3,200,605
	Total Commercial & Professional Services		6,621,790
	Consumer Durables & Apparel — 2.0%
225,000	Haseko Corp		2,578,328
	Diversified Financials — 2.4%
92,000	Zenkoku Hosho Co Ltd		3,040,039
	Food, Beverage & Tobacco — 11.2%
92,100	Ezaki Glico Co Ltd		2,396,408
240,500	Kirin Holdings Co Ltd		3,959,055
88,000	Morinaga & Co Ltd		2,513,557
131,800	NH Foods Ltd		3,772,803
214,000	Takara Holdings Inc		1,623,721
	Total Food, Beverage & Tobacco		14,265,544
	Health Care Equipment & Services — 2.0%
127,000	H.U. Group Holdings Inc		2,579,521
	Insurance — 5.7%
104,600	MS&AD Insurance Group Holdings Inc		3,120,837
384,900	T&D Holdings Inc		4,203,575
	Total Insurance		7,324,412
	Materials — 9.8%
147,900	Denka Co Ltd		3,543,104
119,200	Maruichi Steel Tube Ltd		2,541,100
312,100	Teijin Ltd		3,299,670

Shares	Description	Value ($)
	Materials — continued
421,500	Tokai Carbon Co Ltd		3,076,840
	Total Materials		12,460,714
	Pharmaceuticals, Biotechnology & Life Sciences —3.4%
40,500	Sawai Group Holdings Co Ltd		1,196,886
139,000	Tsumura & Co		3,181,914
	Total Pharmaceuticals, Biotechnology & Life Sciences		4,378,800
	Real Estate — 2.4%
262,400	Aeon Mall Co Ltd		3,129,735
	Retailing — 2.0%
280,800	K’s Holdings Corp		2,587,128
	Semiconductors & Semiconductor Equipment — 7.4%
42,300	Rohm Co Ltd		3,164,800
229,000	SUMCO Corp		3,108,187
95,200	Tokyo Seimitsu Co Ltd		3,171,232
	Total Semiconductors & Semiconductor Equipment		9,444,219
	Software & Services — 3.0%
106,600	NEC Corp		3,887,878
	Technology Hardware & Equipment — 5.8%
152,400	Amano Corp		2,819,208
240,100	Daiwabo Holdings Co Ltd		3,379,924
23,600	FUJIFILM Holdings Corp		1,198,096
	Total Technology Hardware & Equipment		7,397,228
	Telecommunication Services — 1.9%
78,800	KDDI Corp		2,411,368
	Transportation — 2.7%
112,100	Sankyu Inc		3,447,890
	TOTAL COMMON STOCKS (COST $152,637,271)		125,349,565

See accompanying notes to the financial statements. 30

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.7%
		Money Market Funds — 1.7%
	2,143,544	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (a)		2,143,544
		TOTAL SHORT-TERM INVESTMENTS (COST $2,143,544)		2,143,544
		TOTAL INVESTMENTS — 99.9% (Cost $154,780,815)		127,493,109
		Other Assets and Liabilities (net) — 0.1%		129,902
		TOTAL NET ASSETS — 100.0%		$127,623,011

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2022.

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 57.

31 See accompanying notes to the financial statements.

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.7	%
Preferred Stocks		1.8
Mutual Funds		1.3
Short-Term Investments		0.1
Other		0.1
		100.0	%
Country/Region Summary¤	% of Investments
United States		50.5	%
United Kingdom		10.4
France		8.2
Canada		6.4
Mexico		5.5
Spain		4.4
China		3.9
Ireland		2.3
Finland		2.3
Germany		2.2
Brazil		2.1
Hong Kong		1.5
Other Emerging		0.3	†
		100.0	%

Industry Group Summary	% of Equity Investments#
Consumer Services		13.1	%
Energy		12.6
Consumer Durables & Apparel		10.0
Diversified Financials		9.5
Materials		8.2
Capital Goods		6.7
Food, Beverage & Tobacco		6.4
Banks		6.1
Retailing		5.4
Software & Services		5.1
Transportation		3.4
Insurance		2.7
Automobiles & Components		2.7
Technology Hardware & Equipment		2.6
Household & Personal Products		2.2
Semiconductors & Semiconductor
Equipment		1.8
Media & Entertainment		1.5
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

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

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

32

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares	Description	Value ($)
	COMMON STOCKS — 96.7%
	Brazil — 0.3%
23,051	Vale SA		285,789
	Canada — 6.4%
64,534	Brookfield Asset Management Inc – Class A		3,104,731
40,009	Nutrien Ltd		3,671,626
	Total Canada		6,776,357
	China — 3.9%
236,426	Alibaba Group Holding Ltd*		2,820,690
31,902	Tencent Holdings Ltd		1,318,533
	Total China		4,139,223
	Finland — 2.3%
49,267	Neste Oyj		2,430,677
	France — 8.2%
3,980	Kering SA		1,996,974
5,071	LVMH Moet Hennessy Louis Vuitton SE		3,272,148
33,593	Safran SA		3,424,957
	Total France		8,694,079
	Germany — 2.1%
22,394	Beiersdorf AG		2,260,450
	Hong Kong — 1.5%
287,833	Galaxy Entertainment Group Ltd		1,608,895
	Ireland — 2.3%
175,114	Ryanair Holdings Plc*		2,169,521
4,003	Ryanair Holdings Plc Sponsored ADR*		291,058
	Total Ireland		2,460,579
	Mexico — 5.5%
496,770	Fomento Economico Mexicano SAB de CV		3,109,359
713,042	Grupo Mexico SAB de CV – Series B		2,686,317
	Total Mexico		5,795,676
	Russia — 0.3%
33,541	LUKOIL PJSC (a)		164,351
72,920	Novatek PJSC (a)		94,808
	Total Russia		259,159
	Spain — 4.4%
50,172	Amadeus IT Group SA*		2,648,548
94,053	Industria de Diseno Textil SA		2,030,739
	Total Spain		4,679,287
	United Kingdom — 10.4%
42,057	Berkeley Group Holdings Plc		1,780,402

Shares	Description	Value ($)
	United Kingdom — continued
216,619	Compass Group Plc		4,659,703
83,894	Persimmon Plc		1,435,519
162,767	S4 Capital Plc*		250,168
107,568	Shell Plc		2,847,114
	Total United Kingdom		10,972,906
	United States — 49.1%
21,915	American Express Co.		3,331,080
1,453	Booking Holdings, Inc.*		2,725,552
73,493	BorgWarner, Inc.		2,770,686
8,794	CarMax, Inc.*		777,741
16,898	Chevron Corp.		2,670,898
47,060	Darling Ingredients, Inc.*		3,579,384
30,534	EOG Resources, Inc.		3,703,774
21,771	Global Payments, Inc.		2,704,611
32,401	Green Plains, Inc.*		1,186,849
20,919	Hilton Worldwide Holdings, Inc.		2,664,244
34,410	Intercontinental Exchange, Inc.		3,470,248
2,173	Lam Research Corp.		951,578
51,735	Las Vegas Sands Corp.*		1,946,788
75,437	Lyft, Inc. – Class A*		1,111,187
2,337	Markel Corp.*		2,790,635
15,790	Micron Technology, Inc.		892,609
39,603	Raytheon Technologies Corp.		3,554,369
67,857	Sensata Technologies Holding Plc		2,733,280
69,662	US Bancorp		3,177,284
46,730	VF Corp.		1,936,959
73,033	Wells Fargo & Co.		3,192,272
	Total United States		51,872,028
	TOTAL COMMON STOCKS
	(COST $98,810,990)		102,235,105
	PREFERRED STOCKS (b) —1.8%
	Brazil — 1.8%
447,775	Bradespar SA		1,884,091
	TOTAL PREFERRED STOCKS
	(COST $2,130,323)		1,884,091
	MUTUAL FUNDS — 1.3%
	United States — 1.3%
	Affiliated Issuers — 1.3%
285,244	GMO U.S. Treasury Fund		1,423,369
	Total United States		1,423,369
	TOTAL MUTUAL FUNDS
	(COST $1,425,208)		1,423,369

33 See accompanying notes to the financial statements.

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued )

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	112,795	State Street Institutional Treasury Money
		Market Fund – Premier Class, 2.10% (c)		112,795
		TOTAL SHORT-TERM INVESTMENTS
		(COST $112,795)		112,795
		TOTAL INVESTMENTS — 99.9%
		(Cost $102,479,316)		105,655,360
		Other Assets and Liabilities (net) — 0.1%		113,794
		TOTAL NET ASSETS — 100.0%	$105,769,154

Notes to Schedule of Investments:

* 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. Investment valued using significant unobservable inputs (Note 2).

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of August 31, 2022.

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 57.

See accompanying notes to the financial statements. 34

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.0	%
Short-Term Investments		2.4
Debt Obligations		0.6
Mutual Funds		0.1
Other		(0.1	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		79.1	%
United Kingdom		4.7
France		3.8
Switzerland		3.4
Germany		2.8
Taiwan		2.8
China		1.8
Netherlands		1.0
Other Developed		0.6	‡
		100.0	%

Industry Group Summary	% of Equity Investments#
Software & Services		22.0	%
Health Care Equipment & Services		15.2
Semiconductors & Semiconductor Equipment		11.2
Pharmaceuticals, Biotechnology & Life Sciences		9.9
Banks		7.0
Retailing		6.3
Food, Beverage & Tobacco		5.9
Media & Entertainment		5.3
Technology Hardware & Equipment		4.7
Capital Goods		4.6
Consumer Services		2.6
Household & Personal Products		2.1
Diversified Financials		1.7
Consumer Durables & Apparel		1.2
Transportation		0.3
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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.

# 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.

35

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.0%
		Banks — 6.8%
	5,247,709	US Bancorp		239,348,008
	5,583,057	Wells Fargo & Co.		244,035,421
		Total Banks		483,383,429
		Capital Goods — 4.5%
	521,814	Knorr-Bremse AG		25,289,670
	1,598,517	Otis Worldwide Corp.		115,444,898
	1,739,719	Safran SA		177,372,144
		Total Capital Goods		318,106,712
		Consumer Durables & Apparel — 1.2%
	128,035	LVMH Moet Hennessy Louis Vuitton SE		82,616,732
		Consumer Services — 2.5%
	8,258,572	Compass Group Plc		177,650,590
		Diversified Financials — 1.6%
	767,101	American Express Co.		116,599,352
		Food, Beverage & Tobacco — 5.7%
	3,365,220	Coca-Cola Co. (The)		207,667,726
	410,946	Constellation Brands, Inc. – Class A		101,113,263
	805,326	Nestle SA (Registered)		94,241,606
		Total Food, Beverage & Tobacco		403,022,595
		Health Care Equipment & Services — 14.8%
	964,255	Abbott Laboratories		98,980,776
	283,614	Cigna Corp.		80,390,388
	399,991	Elevance Health, Inc.		194,039,634
	359,718	Intuitive Surgical, Inc.*		74,008,381
	1,752,978	Medtronic Plc		154,121,826
	880,447	Quest Diagnostics, Inc.		110,328,813
	640,654	UnitedHealth Group, Inc.		332,710,842
		Total Health Care Equipment & Services		1,044,580,660
		Household & Personal Products — 2.0%
	3,204,611	Unilever Plc		145,368,595
		Media & Entertainment — 5.1%
	1,983,506	Alphabet, Inc. – Class A*		214,655,019
	910,937	Meta Platforms, Inc. – Class A*		148,418,966
		Total Media & Entertainment		363,073,985
		Pharmaceuticals, Biotechnology & Life Sciences — 9.6%
	465,245	Eli Lilly & Co.		140,145,751
	1,660,003	Johnson & Johnson		267,824,884
	1,587,935	Merck & Co., Inc.		135,546,132
	426,667	Roche Holding AG – Genusschein		137,489,753
		Total Pharmaceuticals, Biotechnology & Life Sciences		681,006,520

Shares/ Par Value†		Description	Value ($)
		Retailing — 6.1%
	10,376,132	Alibaba Group Holding Ltd*		123,792,871
	1,063,180	Amazon.com, Inc.*		134,779,328
	2,816,360	TJX Cos, Inc. (The)		175,600,046
		Total Retailing		434,172,245
		Semiconductors & Semiconductor Equipment — 10.9%
	139,684	ASML Holding NV		68,181,905
	250,286	KLA Corp.		86,130,921
	438,711	Lam Research Corp.		192,115,934
	11,946,790	Taiwan Semiconductor Manufacturing Co Ltd		195,566,341
	1,372,081	Texas Instruments, Inc.		226,681,502
		Total Semiconductors & Semiconductor Equipment		768,676,603
		Software & Services — 21.3%
	719,285	Accenture Plc – Class A		207,484,951
	255,796	Adobe, Inc.*		95,524,458
	815,368	Amadeus IT Group SA*		43,042,767
	597,726	Global Payments, Inc.		74,255,501
	1,770,391	Microsoft Corp.		462,904,135
	2,543,063	Oracle Corp.		188,568,121
	755,290	salesforce.com, Inc.*		117,915,875
	2,016,664	SAP SE		171,757,989
	755,228	Visa, Inc. – Class A		150,071,356
		Total Software & Services		1,511,525,153
		Technology Hardware & Equipment — 4.6%
	1,793,334	Apple, Inc.		281,947,971
	930,991	Cisco Systems, Inc.		41,633,918
		Total Technology Hardware & Equipment		323,581,889
		Transportation — 0.3%
	1,230,112	Lyft, Inc. – Class A*		18,119,550
		TOTAL COMMON STOCKS (COST $4,654,919,747)		6,871,484,610
		DEBT OBLIGATIONS — 0.6%
		U.S. Government — 0.6%
	USD40,000,000	U.S. Treasury Note, Variable Rate, USBM
		+ 0.04%, 2.94, due 07/31/24		39,946,996
		TOTAL DEBT OBLIGATIONS (COST $39,998,043)		39,946,996
		MUTUAL FUNDS — 0.1%
		Affiliated Issuers — 0.1%
	1,155,359	GMO U.S. Treasury Fund		5,765,241
		TOTAL MUTUAL FUNDS (COST $5,776,758)		5,765,241

See accompanying notes to the financial statements. 36

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares / Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.4%
		Money Market Funds — 0.1%
	6,725,380	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (a)		6,725,380
		U.S. Government — 2.3%
	48,200,000	U.S. Treasury Bill, 3.04%, due 12/29/22 (b)		47,723,211
	99,499,999	U.S. Treasury Bill, 3.10%, due 01/26/23 (b)		98,264,416
	15,300,000	U.S. Treasury Bill, 3.37%, due 07/13/23 (b)		14,863,400
		Total U.S. Government		160,851,027
		TOTAL SHORT-TERM INVESTMENTS (COST $167,727,363)		167,576,407
		TOTAL INVESTMENTS — 100.1%
		(Cost $4,868,421,911)		7,084,773,254
		Other Assets and Liabilities (net) — (0.1)%		(4,441,011	)
		TOTAL NET ASSETS — 100.0%		$7,080,332,243

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2022.

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

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 57.

37 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		90.1	%
Preferred Stocks		8.5
Short-Term Investments		0.5
Rights/Warrants		0.0	^
Other		0.9
		100.0	%

Country/Region Summary¤	% of Investments
United States		31.7	%
United Kingdom		11.9
Brazil		10.6
Canada		10.4
Australia		4.7
South Africa		2.9
Japan		2.9
Norway		2.9
Other Emerging		2.7	†
Portugal		2.6
Mexico		2.1
Other Developed		1.9	‡
India		1.7
China		1.6
Chile		1.6
Spain		1.5
Denmark		1.5
Austria		1.4
France		1.3
Argentina		1.1
Hungary		1.0
		100.0	%

Industry Group Summary	% of Equity Investments#
Energy		57.6	%
Industrial Metals		29.8
Agriculture		10.8
Water		1.7
Cash/Other		0.1
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

† “Other Emerging” is comprised of emerging countries that each 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.

# 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.

^ Rounds to 0.0%.

38

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 90.1%
		Argentina — 1.1%
	2,673,575	Adecoagro SA (a)		24,650,361
		Australia — 4.6%
	16,885,684	Beach Energy Ltd		19,516,941
	735,000	Clean TeQ Water Ltd*		274,805
	4,878,110	Fortescue Metals Group Ltd		60,623,054
	6,201,772	Jupiter Mines Ltd		848,462
	159,448	Mineral Resources Ltd		6,793,668
	6,690,730	Perenti Global Ltd (a)		3,549,014
	4,314,239	Sandfire Resources Ltd (a)		13,323,852
	1,470,000	Sunrise Energy Metals Ltd*		2,976,551
		Total Australia		107,906,347
		Austria — 1.4%
	781,006	OMV AG		31,468,500
		Brazil — 3.8%
	1,832,700	Enauta Participacoes SA		5,886,594
	3,336,603	Sao Martinho SA		20,433,679
	927,420	SLC Agricola SA		8,663,811
	2,072,600	Suzano SA		17,632,876
	2,806,868	Vale SA		34,799,898
		Total Brazil		87,416,858
		Canada — 10.3%
	850,200	Anaergia Inc* (a)		6,188,687
	436,300	Birchcliff Energy Ltd (a)		3,843,599
	1,461,929	Canadian Solar Inc* (a)		66,035,333
	519,700	Crescent Point Energy Corp		3,944,523
	747,652	Enerflex Ltd (a)		3,751,496
	1,535,100	First Quantum Minerals Ltd		27,163,912
	1,617,600	Greenlane Renewables Inc* (a)		997,644
	6,747,900	Ivanhoe Mines Ltd – Class A* (a)		43,364,127
	1,653,309	Largo Inc* (a)		11,254,108
	1,502,400	Li-Cycle Holdings Corp*		10,832,304
	235,700	Nutrien Ltd		21,630,189
	1,105,600	Tamarack Valley Energy Ltd (a)		3,527,212
	219,500	Teck Resources Ltd – Class B (b)		7,430,075
	376,800	Teck Resources Ltd – Class B (b)		12,761,308
	627,100	Vermilion Energy Inc		16,749,841
		Total Canada		239,474,358
		China — 1.6%
	10,394,000	China High Speed Transmission Equipment Group Co Ltd* (a)		5,876,178
	5,338,000	China Oilfield Services Ltd – Class H		5,544,225
	5,782,000	China Water Affairs Group Ltd		5,266,692
	2,374,884	Inner Mongolia Eerduosi Resources Co Ltd –Class A		6,059,614
	1,431,066	Western Mining Co Ltd – Class A		2,198,636

Shares		Description	Value ($)
		China — continued
	8,564,600	Xinjiang Goldwind Science & Technology Co Ltd – Class H		12,762,641
		Total China		37,707,986
		Colombia — 0.5%
	24,655,904	Ecopetrol SA		12,564,546
		Denmark — 1.4%
	1,335,313	Vestas Wind Systems A/S		33,410,999
		Finland — 0.5%
	383,853	Kemira Oyj		4,620,350
	127,268	Neste Oyj		6,278,997
		Total Finland		10,899,347
		France — 1.2%
	23,100	Eramet SA		1,958,500
	750,372	Technip Energies NV		9,381,652
	680,391	Veolia Environnement SA		15,164,154
	58,741	Vilmorin & Cie SA		2,524,077
		Total France		29,028,383
		Hungary — 1.0%
	3,429,752	MOL Hungarian Oil & Gas Plc		23,632,194
		India — 1.7%
	11,319,748	Oil & Natural Gas Corp Ltd		19,553,353
	2,646,123	Oil India Ltd		6,374,869
	3,805,395	Vedanta Ltd		12,713,324
		Total India		38,641,546
		Israel — 0.8%
	82,064	Delek Group Ltd*		14,253,374
	84,672	Equital Ltd*		3,144,642
	123,109	Naphtha Israel Petroleum Corp Ltd*		741,197
		Total Israel		18,139,213
		Italy — 0.4%
	728,735	Eni SPA		8,608,492
		Japan — 2.9%
	380,300	Ebara Corp		14,406,379
	2,984,400	Inpex Corp		34,304,565
	142,400	Japan Petroleum Exploration Co Ltd		4,057,040
	767,700	Mitsubishi Materials Corp (a)		11,457,938
	66,700	Nittetsu Mining Co Ltd		2,953,745
		Total Japan		67,179,667
		Mexico — 2.0%
	12,482,040	Grupo Mexico SAB de CV – Series B		47,024,885

39 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Netherlands — 0.1%
	243,042	SBM Offshore NV		3,394,050
		Norway — 2.8%
	1,388,061	Austevoll Seafood ASA		14,878,525
	4,089,354	DNO ASA		5,810,224
	1,060,355	Equinor ASA		41,153,048
	245,479	TGS ASA		3,735,705
		Total Norway		65,577,502
		Pakistan — 0.1%
	4,139,800	Fauji Fertilizer Co Ltd		1,968,707
	595,518	Pakistan Oilfields Ltd		1,151,976
		Total Pakistan		3,120,683
		Poland — 0.7%
	13,436,401	Polskie Gornictwo Naftowe i Gazownictwo SA*		15,961,484
		Portugal — 2.5%
	5,447,143	Galp Energia SGPS SA		58,823,593
		Russia — 0.7%
	3,574,704	Gazprom Neft PJSC (c)		1,723,095
	14,145,410	Gazprom PJSC* (c)		4,137,648
	248,399	LUKOIL PJSC (c)		1,217,155
	232,917	MMC Norilsk Nickel PJSC (c)		4,313,928
	338,098	PhosAgro PJSC (c)		3,072,036
	6,533	PhosAgro PJSC GDR* (c) (d)		19,901
	2	PhosAgro PJSC GDR (Registered) (c)		6
	601,778	Ros Agro Plc GDR (Registered) (c)		545,954
	3,476,399	Tatneft PJSC (c)		1,819,126
		Total Russia		16,848,849
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd* (a) (c)		—
		South Africa — 2.9%
	776,524	African Rainbow Minerals Ltd		10,694,828
	60,496	Anglo American Platinum Ltd		4,223,199
	2,485,508	Impala Platinum Holdings Ltd		26,044,015
	232,911	Sasol Ltd*		4,479,495
	9,853,011	Sibanye Stillwater Ltd		22,011,834
		Total South Africa		67,453,371
		South Korea — 0.1%
	4,718	Young Poong Corp		2,451,670
		Spain — 1.4%
	2,580,380	Repsol SA		33,514,180
		Switzerland — 0.1%
	25,900	Gurit Holding AG (a)		2,711,365

Shares		Description	Value ($)
		Turkey — 0.3%
	4,355,741	Koza Anadolu Metal Madencilik Isletmeleri AS*		6,477,639
		Ukraine — 0.1%
	501,341	Kernel Holding SA		2,251,264
		United Kingdom — 11.8%
	286,995	Anglo American Plc		9,222,431
	12,564,156	BP Plc		64,201,906
	1,445,756	Central Asia Metals Plc		3,849,368
	4,570,904	Ferrexpo Plc		7,862,464
	14,241,777	Glencore Plc		77,867,772
	1,862,086	John Wood Group Plc*		2,787,820
	1,574,861	Serica Energy Plc		6,817,536
	3,833,702	Shell Plc		101,470,577
		Total United Kingdom		274,079,874
		United States — 31.3%
	993,524	Aemetis, Inc.*		9,060,939
	477,200	AGCO Corp.		51,876,412
	1,050,600	Ameresco, Inc. – Class A*		72,333,810
	85,700	California Resources Corp.		4,281,572
	4,898,666	Clean Energy Fuels Corp.*		32,919,035
	623,000	Darling Ingredients, Inc.*		47,385,380
	66,400	Deere & Co.		24,252,600
	1,090,582	Freeport-McMoRan, Inc.		32,281,227
	1,440,024	GrafTech International Ltd.		8,467,341
	1,105,893	Green Plains, Inc.*		40,508,861
	517,200	Hess Corp.		62,467,416
	17,575,601	Kosmos Energy Ltd.*		124,259,499
	1,352,500	Livent Corp.* (a)		43,523,450
	143,300	Marathon Oil Corp.		3,667,047
	243,281	Montauk Renewables, Inc.*		4,318,238
	819,321	Mosaic Co. (The)		44,136,822
	197,100	PotlatchDeltic Corp. (REIT)		9,149,382
	128,124	SolarEdge Technologies, Inc.*		35,358,380
	2,192,066	Sunrun, Inc.*		72,403,940
	620,332	TechnipFMC Plc*		5,074,316
		Total United States		727,725,667
		TOTAL COMMON STOCKS (COST $2,069,931,812)		2,098,144,873
		PREFERRED STOCKS (e) —8.5%
		Brazil — 6.7%
	18,473,826	Bradespar SA		77,731,826
	12,278,981	Petroleo Brasileiro SA		78,431,212
		Total Brazil		156,163,038
		Chile — 1.6%
	370,495	Sociedad Quimica y Minera de Chile SA Sponsored ADR		36,930,942

See accompanying notes to the financial statements. 40

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Russia — 0.2%
	20,237,584	Surgutneftegas PJSC (c)		673,016
	7,494,797	Tatneft PJSC (c)		3,595,045
		Total Russia		4,268,061
		TOTAL PREFERRED STOCKS (COST $230,582,088)		197,362,041
		RIGHTS/WARRANTS — 0.0%
		Singapore — 0.0%
	2,117,812	Ezion Holdings Ltd, expires 04/16/23* (a) (c)		2
		Total Singapore		2
		TOTAL RIGHTS/WARRANTS (COST $0)		2
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.0%
	828,033	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (f)		828,033
		U.S. Government — 0.5%
	7,000,000	U.S. Treasury Bill, 3.09%, due 01/19/23 (g)		6,917,544

Par Value†		Description	Value ($)
		U.S. Government — continued
	4,000,000	U.S. Treasury Bill, 3.37%, due 07/13/23 (g)		3,885,856
		Total U.S. Government		10,803,400
		TOTAL SHORT-TERM INVESTMENTS (COST $11,642,827)		11,631,433
		TOTAL INVESTMENTS — 99.1% (Cost $2,312,156,727)		2,307,138,349
		Other Assets and Liabilities (net) — 0.9%		20,377,836
		TOTAL NET ASSETS — 100.0%		$2,327,516,185

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost	Value as a Percentage of Fund’s Net Assets			Value as of August 31, 2022
PhosAgro PJSC GDR		08/26/16	$93,496		0.0	%	$	19,901

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

(b) Securities are traded on separate exchanges for the same entity.

(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. Investment valued using significant unobservable inputs (Note 2).

(d) The security is restricted as to resale.

(e) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(f) The rate disclosed is the 7 day net yield as of August 31, 2022.

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

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 57.

41 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		99.6	%
Mutual Funds		2.0
Preferred Stocks		0.7
Short-Term Investments		0.1
Other		(2.4	)
		100.0	%
Country/Region Summary¤	% of Investments
Japan		23.6	%
United Kingdom		15.4
France		10.0
Netherlands		6.7
Switzerland		6.5
Spain		5.2
Germany		4.4
Norway		3.9
Australia		3.9
Singapore		3.7
Other Emerging		2.9	†
Turkey		2.2
China		2.1
South Korea		2.0
United States		1.9
Italy		1.6
Other Developed		1.5	‡
Portugal		1.3
Hong Kong		1.2
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		15.0	%
Pharmaceuticals, Biotechnology & Life Sciences		12.9
Food, Beverage & Tobacco		10.8
Banks		9.9
Materials		7.1
Telecommunication Services		6.8
Energy		6.0
Consumer Durables & Apparel		5.3
Diversified Financials		4.5
Technology Hardware & Equipment		4.1
Food & Staples Retailing		3.6
Commercial & Professional Services		3.4
Semiconductors & Semiconductor Equipment		2.3
Automobiles & Components		2.3
Retailing		1.4
Insurance		1.3
Household & Personal Products		0.6
Media & Entertainment		0.6
Utilities		0.6
Real Estate		0.5
Health Care Equipment & Services		0.4
Software & Services		0.3
Transportation		0.3
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

† “Other Emerging” is comprised of emerging countries that each 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.

# 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.

42

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.6%
		Australia — 4.0%
	6,116	Accent Group Ltd		6,219
	460	Ampol Ltd		10,812
	1,260	BHP Group Ltd		34,373
	11,792	BlueScope Steel Ltd		132,304
	3,646	Brambles Ltd		30,686
	1,067	Computershare Ltd		17,795
	3,515	CSR Ltd		10,784
	6,028	Fortescue Metals Group Ltd		74,913
	12,342	GrainCorp Ltd – Class A		69,806
	2,196	JB Hi-Fi Ltd		60,565
	13,178	Rio Tinto Ltd		836,979
	4,330	Sims Ltd		44,675
	1,242	Woodside Energy Group Ltd		28,850
		Total Australia		1,358,761
		Belgium — 0.4%
	1,131	Bekaert SA		34,691
	1,589	UCB SA		111,654
		Total Belgium		146,345
		Brazil — 0.5%
	4,400	Banco do Brasil SA		35,260
	7,000	Marfrig Global Foods SA		17,694
	900	Petroleo Brasileiro SA Sponsored ADR		12,861
	46,400	TIM SA		105,511
		Total Brazil		171,326
		China — 2.2%
	29,500	BAIC Motor Corp Ltd – Class H		8,121
	135,000	Bank of Communications Co Ltd – Class H		76,919
	20,000	China Everbright Bank Co Ltd – Class H		6,131
	47,000	China Medical System Holdings Ltd		69,559
	271,000	China Railway Group Ltd – Class H		155,146
	107,500	China Resources Pharmaceutical Group Ltd		73,654
	84,000	Dongfeng Motor Group Co Ltd – Class H		53,260
	10,500	Kingboard Holdings Ltd		33,156
	59,000	Metallurgical Corp of China Ltd – Class H		11,174
	46,000	PICC Property & Casualty Co Ltd – Class H		49,755
	43,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		63,240
	12,000	Sinopharm Group Co Ltd – Class H		26,733
	196,000	Skyworth Group Ltd		97,380
	16,000	Tianneng Power International Ltd		17,022
		Total China		741,250
		Denmark — 0.1%
	1,228	Scandinavian Tobacco Group A/S		18,403
		Finland — 0.2%
	1,788	Kesko Oyj		37,615

Shares		Description	Value ($)
		Finland — continued
	4,513	Nokia Oyj		22,743
	406	Outokumpu Oyj		1,628
	1,091	Stora Enso Oyj – R Shares		16,241
		Total Finland		78,227
		France — 10.2%
	598	Alten SA		73,525
	334	APERAM SA		9,015
	16,708	Cie de Saint-Gobain		672,960
	1,448	Coface SA		14,479
	4,937	Derichebourg SA		27,773
	2,774	Ipsen SA		265,852
	1,111	IPSOS		50,474
	385	Kaufman & Broad SA		9,118
	204	Kering SA		102,358
	99	LVMH Moet Hennessy Louis Vuitton SE		63,881
	1,957	Publicis Groupe SA		95,551
	1,131	Rexel SA*		18,370
	10,116	Sanofi		826,981
	948	Schneider Electric SE		112,677
	390	Societe BIC SA		22,186
	9,391	Societe Generale SA		207,028
	19,100	STMicroelectronics NV		666,590
	2,457	Television Francaise 1		15,582
	5,053	TotalEnergies SE		255,832
		Total France		3,510,232
		Germany — 4.1%
	390	Aurubis AG		23,613
	3,477	Bayer AG (Registered)		183,891
	4,340	Bayerische Motoren Werke AG		319,765
	821	Deutsche Post AG (Registered)		29,966
	207	Henkel AG & Co KGaA		12,946
	84	Hornbach Holding AG & Co KGaA		5,925
	8,291	Kloeckner & Co SE		74,821
	3,407	Merck KGaA		585,254
	106	Rheinmetall AG		16,827
	662	RTL Group SA*		24,597
	300	SAP SE ADR		25,566
	516	Volkswagen AG		95,445
		Total Germany		1,398,616
		Hong Kong — 1.3%
	9,100	ASMPT Ltd		70,483
	5,800	Chow Tai Fook Jewellery Group Ltd		11,674
	18,000	CK Asset Holdings Ltd		121,496
	51,000	IGG Inc*		21,925
	4,000	Johnson Electric Holdings Ltd		4,724
	4,800	VTech Holdings Ltd		32,642
	254,000	WH Group Ltd		173,056
		Total Hong Kong		436,000

43 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Hungary — 0.0%
	3,883	Magyar Telekom Telecommunications Plc		3,297
		India — 0.7%
	11,593	GAIL India Ltd		19,700
	26,699	ITC Ltd		106,763
	6,972	Power Finance Corp Ltd		10,427
	1,169	Rajesh Exports Ltd		8,627
	70,074	REC Ltd		95,060
		Total India		240,577
		Ireland — 0.4%
	17,544	Bank of Ireland Group Plc		108,098
	710	Kingspan Group Plc		40,199
		Total Ireland		148,297
		Italy — 1.6%
	6,166	Anima Holding SPA		20,953
	3,466	Arnoldo Mondadori Editore SPA		5,659
	2,317	Banca IFIS SPA		27,667
	2,651	Eni SPA		31,316
	1,005	Esprinet SPA		6,836
	4,834	EXOR NV		291,032
	3,486	Italgas SPA		17,931
	4,828	Leonardo SPA		39,511
	128	Sesa SPA		15,646
	4,204	Terna - Rete Elettrica Nazionale		29,887
	1,044	Unieuro SPA		11,871
	13,409	Unipol Gruppo SPA		56,151
		Total Italy		554,460
		Japan — 24.1%
	400	Advantest Corp		22,654
	33,300	Asahi Kasei Corp		243,349
	100	Bandai Namco Holdings Inc		7,504
	8,500	Brother Industries Ltd		162,669
	32,900	Canon Inc		787,932
	600	Dai Nippon Printing Co Ltd		12,629
	3,400	Daiwabo Holdings Co Ltd		47,862
	1,200	Dexerials Corp		33,364
	1,300	FUJIFILM Holdings Corp		65,997
	3,100	Haseko Corp		35,524
	31,000	ITOCHU Corp		853,142
	47,800	Japan Tobacco Inc		809,895
	29,400	KDDI Corp		899,673
	72,000	Marubeni Corp		750,404
	12,000	Mitsubishi Corp		392,888
	31,800	Mitsubishi UFJ Financial Group Inc		164,850
	26,800	Mitsui & Co Ltd		628,973
	3,800	NGK Spark Plug Co Ltd		77,967
	1,000	Nichias Corp		17,270
	800	Nikon Corp		9,132
	29,800	Nippon Telegraph & Telephone Corp		807,707
	1,000	Ono Pharmaceutical Co Ltd		23,870

Shares		Description	Value ($)
		Japan — continued
	4,700	Panasonic Holdings Corp		38,138
	1,900	Sega Sammy Holdings Inc		28,205
	1,800	Seiko Epson Corp		28,285
	8,600	Sekisui Chemical Co Ltd		117,246
	17,700	Sekisui House Ltd		300,982
	100	Shimamura Co Ltd		9,064
	15,620	Sojitz Corp		262,821
	51,100	Sumitomo Chemical Co Ltd		201,146
	5,300	Sumitomo Forestry Co Ltd		89,610
	8,300	Toyota Tsusho Corp		290,567
	900	Yakult Honsha Co Ltd		53,231
	500	Yamaha Motor Co Ltd		10,362
		Total Japan		8,284,912
		Malaysia — 0.0%
	6,400	Petronas Chemicals Group Bhd		12,553
		Malta — 0.0%
	1,718,063	BGP Holdings* (a)		2
		Netherlands — 6.8%
	28,930	Koninklijke Ahold Delhaize NV		795,772
	7,809	NN Group NV		320,934
	13,234	Randstad NV		616,317
	6,306	Signify NV		179,253
	4,388	Wolters Kluwer NV		429,115
		Total Netherlands		2,341,391
		Norway — 4.0%
	23,798	Equinor ASA		923,615
	58,161	Norsk Hydro ASA		399,630
	1,503	SpareBank 1 Nord Norge		13,547
	879	SpareBank 1 SR-Bank ASA		10,055
	2,219	Var Energi ASA		9,641
	4,556	XXL ASA		2,550
		Total Norway		1,359,038
		Poland — 0.1%
	233	Asseco Poland SA		3,552
	31,345	Polskie Gornictwo Naftowe i Gazownictwo SA*		37,236
		Total Poland		40,788
		Portugal — 1.3%
	10,619	Galp Energia SGPS SA		114,674
	11,865	Jeronimo Martins SGPS SA		263,068
	8,084	Navigator Co SA (The)		32,077
	53,911	Sonae SGPS SA		54,188
		Total Portugal		464,007
		Russia — 0.0%
	833	QIWI Plc Sponsored ADR (a)		336

See accompanying notes to the financial statements. 44

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	9,800	Surgutneftegas PJSC (a)		287
		Total Russia		623
		Singapore — 3.8%
	32,399	DBS Group Holdings Ltd		754,362
	2,300	Jardine Cycle & Carriage Ltd		53,995
	23,800	Keppel Corp Ltd		123,606
	800	United Overseas Bank Ltd		15,600
	61,200	Wilmar International Ltd		176,647
	15,200	Yangzijiang Financial Holding Ltd*		4,066
	246,300	Yangzijiang Shipbuilding Holdings Ltd		170,695
		Total Singapore		1,298,971
		South Africa — 0.1%
	2,596	Aspen Pharmacare Holdings Ltd		22,278
	11,423	Netcare Ltd		9,787
	2,988	Truworths International Ltd		9,965
		Total South Africa		42,030
		South Korea — 2.0%
	13,501	BNK Financial Group Inc		67,320
	213	DB Insurance Co Ltd		9,486
	4,624	DGB Financial Group Inc		25,629
	177	E-MART Inc		12,850
	885	GS Holdings Corp		30,384
	6,606	Hanwha Life Insurance Co Ltd*		11,333
	222	Hyundai Glovis Co Ltd		29,088
	160	Hyundai Mobis Co Ltd		25,516
	914	Kia Corp		54,783
	3,650	KT&G Corp		226,729
	456	LG Electronics Inc		34,122
	110	LG Innotek Co Ltd		28,001
	1,272	LOTTE Fine Chemical Co Ltd		66,554
	464	LX International Corp		14,943
	165	LX Semicon Co Ltd		11,609
	494	SL Corp		14,082
	1,114	Youngone Corp		36,884
		Total South Korea		699,313
		Spain — 5.3%
	204	Acciona SA		39,957
	23,861	Acerinox SA		215,890
	170,712	Banco Bilbao Vizcaya Argentaria SA		766,018
	685,493	Banco de Sabadell SA		471,437
	3,410	Banco Santander SA		8,254
	480	Ebro Foods SA		7,586
	6,371	Industria de Diseno Textil SA		137,559
	12,327	Repsol SA		160,104
	34,733	Unicaja Banco SA		31,276
		Total Spain		1,838,081

Shares		Description	Value ($)
		Sweden — 0.4%
	2,995	Investor AB – A Shares		49,779
	2,362	Investor AB – B Shares		37,228
	5,137	SSAB AB – A Shares		24,707
	9,193	SSAB AB – B Shares		42,922
		Total Sweden		154,636
		Switzerland — 6.7%
	92	ALSO Holding AG (Registered)*		15,294
	197	Cie Financiere Richemont SA – Class A (Registered)		22,030
	446	DKSH Holding AG		33,184
	134	Kuehne + Nagel International AG(Registered)		30,969
	2,763	Novartis AG (Registered)		223,494
	400	Novartis AG Sponsored ADR		32,208
	85	Roche Holding AG		32,466
	3,938	Roche Holding AG – Genusschein		1,268,987
	24	Swisscom AG (Registered)		12,409
	39,195	UBS Group AG (Registered)		621,112
	165	Vetropack Holding AG (Registered)		5,784
		Total Switzerland		2,297,937
		Taiwan — 0.7%
	12,000	Asustek Computer Inc		99,852
	12,000	Chipbond Technology Corp		22,397
	9,000	Mitac Holdings Corp		8,275
	89,000	Pou Chen Corp		84,309
	5,000	Ruentex Industries Ltd		10,650
	270	Yuanta Financial Holding Co Ltd		179
		Total Taiwan		225,662
		Thailand — 0.6%
	93,200	AP Thailand Pcl NVDR		25,519
	21,100	Bangkok Dusit Medical Services Pcl NVDR		16,910
	7,700	Kiatnakin Phatra Bank Pcl NVDR		15,284
	247,100	Krung Thai Bank Pcl NVDR		114,252
	649,600	Sansiri Pcl NVDR		19,572
		Total Thailand		191,537
		Turkey — 2.2%
	379,710	Akbank TAS		243,881
	18,682	Arcelik AS		71,982
	12,054	Aselsan Elektronik Sanayi Ve Ticaret AS		17,244
	3,483	Dogus Otomotiv Servis ve Ticaret AS		19,101
	869	Ford Otomotiv Sanayi AS		15,790
	53,726	Haci Omer Sabanci Holding AS		75,052
	36,099	KOC Holding AS		90,063
	1,994	Tofas Turk Otomobil Fabrikasi AS		9,621
	85,108	Turkiye Garanti Bankasi AS		107,364
	133,185	Turkiye Is Bankasi AS – Class C		57,692
	8,373	Vestel Elektronik Sanayi ve Ticaret AS		13,701

45 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Turkey — continued
	109,290	Yapi ve Kredi Bankasi AS		42,230
		Total Turkey		763,721
		United Kingdom — 15.8%
	19,172	3i Group Plc		269,870
	8,970	BAE Systems Plc		80,785
	69,637	Barratt Developments Plc		344,758
	5,010	Bellway Plc		118,458
	16,100	BP Plc Sponsored ADR		496,524
	7,008	British American Tobacco Plc		280,690
	20,000	British American Tobacco Plc Sponsored ADR		801,000
	295,047	BT Group Plc		516,126
	424	Bunzl Plc		14,062
	11,042	Coca-Cola HBC AG*		251,971
	403	Ferguson Plc		46,671
	22,180	GSK Plc Sponsored ADR		720,406
	24,100	Haleon Plc ADR*		144,118
	1,519	IG Group Holdings Plc		14,415
	36,837	Imperial Brands Plc		810,113
	7,384	Investec Plc		35,493
	6,819	Kingfisher Plc		18,318
	297	Morgan Sindall Group Plc		5,929
	2,686	Next Plc		180,880
	5,740	Persimmon Plc		98,218
	3,503	Plus500 Ltd		69,030
	13,515	Redrow Plc		79,393
	6,565	Spirent Communications Plc		19,638
		Total United Kingdom		5,416,866
		TOTAL COMMON STOCKS (COST $35,132,386)		34,237,859
		PREFERRED STOCKS (b) — 0.7%
		Brazil — 0.3%
	70,200	Cia Paranaense de Energia – Class B		94,052
		Germany — 0.4%
	1,061	Bayerische Motoren Werke AG		73,765
	186	Draegerwerk AG & Co KGaA		8,800
	912	Henkel AG & Co KGaA		58,855
		Total Germany		141,420
		South Korea — 0.0%
	302	LG Electronics Inc		10,603
		TOTAL PREFERRED STOCKS (COST $253,562)		246,075

Shares		Description	Value ($)
		MUTUAL FUNDS — 2.0%
		United States — 2.0%
		Affiliated Issuers — 2.0%
	132,071	GMO U.S. Treasury Fund		659,037
		Total United States		659,037
		TOTAL MUTUAL FUNDS (COST $659,354)		659,037
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	42,166	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (c)		42,166
		TOTAL SHORT-TERM INVESTMENTS (COST $42,166)		42,166
		TOTAL INVESTMENTS — 102.4% (Cost $36,087,468)		35,185,137
		Other Assets and Liabilities (net) — (2.4)%		(808,496	)
		TOTAL NET ASSETS — 100.0%		$34,376,641

Notes to Schedule of Investments:

* 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. Investment valued using significant unobservable inputs (Note 2).

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of August 31, 2022.

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 57.

See accompanying notes to the financial statements. 46

GMO U.S. Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.6	%
Mutual Funds		0.9
Short-Term Investments		0.3
Futures Contracts		0.0	^
Other		0.2
		100.0	%
Industry Group Summary	% of Equity Investments#
Technology Hardware & Equipment		12.1	%
Retailing		9.7
Software & Services		9.2
Media & Entertainment		7.8
Semiconductors & Semiconductor Equipment		7.7
Pharmaceuticals, Biotechnology & Life Sciences		7.4
Capital Goods		6.6
Energy		6.4
Food, Beverage & Tobacco		5.9
Diversified Financials		5.5
Consumer Durables & Apparel		4.5
Food & Staples Retailing		4.2
Health Care Equipment & Services		3.6
Materials		3.2
Insurance		2.2
Real Estate		1.7
Commercial & Professional Services		1.0
Banks		0.4
Consumer Services		0.3
Telecommunication Services		0.3
Transportation		0.1
Automobiles & Components		0.1
Household & Personal Products		0.1
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

# 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.

^ Rounds to 0.0%.

47

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares	Description	Value ($)
	COMMON STOCKS — 98.6%
	Automobiles & Components — 0.1%
14,600	Standard Motor Products, Inc.		535,820
	Banks — 0.4%
38,192	Associated Banc-Corp.		765,368
4,300	Atlantic Union Bankshares Corp.		139,535
12,800	Farmers National Banc Corp.		182,912
8,900	Hanmi Financial Corp.		220,008
4,100	Independent Bank Corp.		84,132
7,200	Radian Group, Inc.		151,992
3,300	Towne Bank		94,017
	Total Banks		1,637,964
	Capital Goods — 6.5%
17,000	3M Co.		2,113,950
3,300	Allison Transmission Holdings, Inc.		119,658
6,500	AMETEK, Inc.		781,040
3,847	Boise Cascade Co.		239,784
4,402	Carlisle Cos, Inc.		1,301,495
68,453	Carrier Global Corp.		2,677,881
2,100	Eaton Corp Plc		286,944
1,400	Emerson Electric Co.		114,436
2,400	Encore Wire Corp.		312,240
68,043	Fortive Corp.		4,309,163
12,600	Fortune Brands Home & Security, Inc.		774,018
12,800	Griffon Corp.		401,280
1,600	JELD-WEN Holding, Inc.*		17,840
1,600	Moog, Inc. – Class A		119,968
32,500	MRC Global, Inc.*		316,225
14,583	Mueller Industries, Inc.		921,208
4,000	Otis Worldwide Corp.		288,880
23,100	PACCAR, Inc.		2,021,481
4,000	Resideo Technologies, Inc.*		83,280
17,748	Trane Technologies Plc		2,734,435
10,136	UFP Industries, Inc.		804,697
9,515	WW Grainger, Inc.		5,280,254
	Total Capital Goods		26,020,157
	Commercial & Professional Services — 1.0%
95,700	ACCO Brands Corp.		567,501
9,600	Deluxe Corp.		184,704
2,700	Heidrick & Struggles International, Inc.		76,842
8,100	ICF International, Inc.		822,636
7,200	Kforce, Inc.		393,984
4,400	Korn Ferry		268,048
5,700	Republic Services, Inc. – Class A		813,504
19,300	Resources Connection, Inc.		377,122
3,000	TrueBlue, Inc.*		61,620
3,400	Waste Management, Inc.		574,702
	Total Commercial & Professional Services		4,140,663

Shares	Description	Value ($)
	Consumer Durables & Apparel — 4.4%
42,800	Acushnet Holdings Corp.		2,039,420
5,500	Beazer Homes USA, Inc.*		78,320
1,700	Brunswick Corp.		127,007
3,300	Carter’s, Inc.		243,705
6,100	Columbia Sportswear Co.		434,564
29,000	Ethan Allen Interiors, Inc.		689,330
47,541	Garmin Ltd.		4,206,903
7,700	G-III Apparel Group Ltd.*		162,239
41,681	La-Z-Boy, Inc.		1,099,962
3,000	Lennar Corp. – Class B		185,040
3,500	M/I Homes, Inc.*		151,340
6,200	MasterCraft Boat Holdings, Inc.*		149,358
10,668	MDC Holdings, Inc.		331,561
9,800	Meritage Homes Corp.*		767,830
5,300	Movado Group, Inc.		169,017
1,300	Oxford Industries, Inc.		138,749
83,400	Taylor Morrison Home Corp. – Class A*		2,094,174
117,452	TRI Pointe Homes, Inc.*		2,035,443
4,500	Vista Outdoor, Inc.*		126,540
15,800	Whirlpool Corp.		2,474,280
	Total Consumer Durables & Apparel		17,704,782
	Consumer Services — 0.3%
1,300	Graham Holdings Co. – Class B		735,059
52,975	Perdoceo Education Corp.*		613,451
	Total Consumer Services		1,348,510
	Diversified Financials — 5.4%
17,000	American Express Co.		2,584,000
9,700	Ameriprise Financial, Inc.		2,599,697
97,400	Bank of New York Mellon Corp. (The)		4,045,022
3,900	Discover Financial Services		391,911
18,300	Donnelley Financial Solutions, Inc.*		776,835
29,043	Enova International, Inc.*		1,014,763
71,900	Intercontinental Exchange, Inc.		7,251,115
15,500	Janus Henderson Group Plc		362,700
3,700	Nelnet, Inc. – Class A		311,688
2,200	Oppenheimer Holdings, Inc. – Class A		79,860
3,247	PROG Holdings, Inc.*		60,199
28,023	State Street Corp.		1,915,372
15,500	Virtu Financial, Inc. – Class A		355,880
	Total Diversified Financials		21,749,042
	Energy — 6.3%
1,100	Chesapeake Energy Corp.		110,539
41,600	Chevron Corp.		6,575,296
4,157	Chord Energy Corp.		588,423
6,600	ConocoPhillips		722,370
2,000	Continental Resources, Inc.		139,660
101,000	Exxon Mobil Corp.		9,654,590
7,800	Gulfport Energy Corp.*		762,528
40,700	Hess Corp.		4,915,746
1,400	Laredo Petroleum, Inc.*		108,654

See accompanying notes to the financial statements. 48

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Energy — continued
	16,900	Phillips 66		1,511,874
		Total Energy		25,089,680
		Food & Staples Retailing — 4.1%
	8,800	Costco Wholesale Corp.		4,594,480
	135,745	Kroger Co. (The)		6,507,615
	12,400	SpartanNash Co.		377,332
	32,100	Walmart, Inc.		4,254,855
	9,300	Weis Markets, Inc.		722,703
		Total Food & Staples Retailing		16,456,985
		Food, Beverage & Tobacco — 5.8%
	1,200	Archer-Daniels-Midland Co.		105,468
	56,100	General Mills, Inc.		4,308,480
	41,600	Hershey Co. (The)		9,346,272
	37,400	Keurig Dr Pepper, Inc.		1,425,688
	22,900	Kraft Heinz Co. (The)		856,460
	13,500	PepsiCo, Inc.		2,325,645
	37,000	Tyson Foods, Inc. – Class A		2,789,060
	38,765	Universal Corp.		1,978,566
	15,300	Vector Group Ltd.		149,940
		Total Food, Beverage & Tobacco		23,285,579
		Health Care Equipment & Services — 3.6%
	17,541	AmerisourceBergen Corp. – Class A		2,570,809
	21,900	Cigna Corp.		6,207,555
	8,800	Elevance Health, Inc.		4,268,968
	1,200	Humana, Inc.		578,136
	1,981	McKesson Corp.		727,027
		Total Health Care Equipment & Services		14,352,495
		Household & Personal Products — 0.1%
	1,900	Kimberly-Clark Corp.		242,288
		Insurance — 2.2%
	15,086	Allstate Corp. (The)		1,817,863
	14,900	CNO Financial Group, Inc.		274,309
	99,700	Genworth Financial, Inc. – Class A*		420,734
	37,400	Progressive Corp. (The)		4,587,110
	31,163	Stewart Information Services Corp.		1,578,094
	500	Travelers Cos., Inc. (The)		80,820
		Total Insurance		8,758,930
		Materials — 3.1%
	20,800	AdvanSix, Inc.		754,208
	969	Avient Corp.		42,471
	2,200	Greif, Inc. – Class A		147,510
	57,600	Huntsman Corp.		1,613,952
	7,900	Mercer International, Inc.		128,138
	4,073	NewMarket Corp.		1,169,806
	22,459	Nucor Corp.		2,985,700
	20,496	Reliance Steel & Aluminum Co.		3,852,838

Shares		Description	Value ($)
		Materials — continued
	12,800	Ryerson Holding Corp.		364,800
	9,074	Stepan Co.		945,783
	5,100	Valvoline, Inc.		148,257
	10,800	Warrior Met Coal, Inc.		351,540
		Total Materials		12,505,003
		Media & Entertainment — 7.7%
	87,260	Alphabet, Inc. – Class C*		9,524,429
	89,000	Alphabet, Inc. – Class A*		9,631,580
	8,700	AMC Networks, Inc. – Class A*		233,073
	35,400	Cars.com, Inc.*		451,350
	148,433	Comcast Corp. – Class A		5,371,790
	39,042	Electronic Arts, Inc.		4,953,259
	2,200	Shutterstock, Inc.		121,902
	17,018	TEGNA, Inc.		364,185
		Total Media & Entertainment		30,651,568
		Pharmaceuticals, Biotechnology & Life Sciences —7.3%
	42,741	Bristol-Myers Squibb Co.		2,881,171
	12,600	Gilead Sciences, Inc.		799,722
	71,700	Johnson & Johnson		11,568,078
	120,450	Merck & Co., Inc.		10,281,612
	51,876	Pfizer, Inc.		2,346,351
	9,795	Prestige Consumer Healthcare, Inc.*		495,431
	1,300	Thermo Fisher Scientific, Inc.		708,916
		Total Pharmaceuticals, Biotechnology & Life Sciences		29,081,281
		Real Estate — 1.6%
	76,920	Anywhere Real Estate, Inc.*		751,509
	72,700	CBRE Group, Inc. – Class A*		5,740,392
	1,800	PotlatchDeltic Corp. (REIT)		83,556
		Total Real Estate		6,575,457
		Retailing — 9.6%
	4,900	1-800-Flowers.com, Inc. – Class A*		42,532
	1,300	Academy Sports & Outdoors, Inc.		56,004
	23,480	Amazon.com, Inc.*		2,976,560
	766	AutoNation, Inc.*		95,444
	1,700	AutoZone, Inc.*		3,602,657
	16,700	Caleres, Inc.		426,184
	16,000	Container Store Group , Inc. (The)*		108,480
	32,300	Designer Brands, Inc. – Class A		551,038
	106,400	eBay, Inc.		4,695,432
	4,300	Genesco, Inc.*		243,294
	40,400	Genuine Parts Co.		6,302,804
	8,554	Group 1 Automotive, Inc.		1,527,659
	5,900	Haverty Furniture Cos, Inc.		158,238
	11,300	Home Depot, Inc. (The)		3,259,146
	1,915	Lowe’s Cos., Inc.		371,778
	2,667	Murphy U.S.A., Inc.		773,883
	5,600	ODP Corp. (The)*		200,200

49 See accompanying notes to the financial statements.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Retailing — continued
	2,300	O’Reilly Automotive, Inc.*		1,603,376
	13,496	Penske Automotive Group, Inc.		1,591,313
	47,278	Qurate Retail, Inc. – Series A – Series A		146,562
	10,800	Shoe Carnival, Inc.		256,932
	39,000	Signet Jewelers Ltd.		2,549,430
	16,604	Target Corp.		2,662,285
	11,900	Tractor Supply Co.		2,203,285
	4,500	Ulta Beauty, Inc.*		1,889,415
		Total Retailing		38,293,931
		Semiconductors & Semiconductor Equipment — 7.6%
	34,300	Advanced Micro Devices, Inc.*		2,911,041
	5,000	Axcelis Technologies, Inc.*		334,700
	6,292	Cirrus Logic, Inc.*		482,533
	224,843	Intel Corp.		7,176,989
	28,800	Kulicke & Soffa Industries, Inc.		1,210,752
	46,000	Microchip Technology, Inc.		3,001,500
	10,300	NXP Semiconductors NV		1,695,174
	59,000	ON Semiconductor Corp.*		4,057,430
	70,600	QUALCOMM, Inc.		9,338,262
		Total Semiconductors & Semiconductor Equipment		30,208,381
		Software & Services — 9.1%
	10,900	Accenture Plc – Class A		3,144,214
	8,300	Automatic Data Processing, Inc.		2,028,603
	21,822	Cadence Design Systems, Inc.*		3,792,009
	11,000	CSG Systems International, Inc.		636,350
	1,321	Intuit, Inc.		570,381
	65,019	Microsoft Corp.		17,000,518
	21,600	Oracle Corp.		1,601,640
	1,000	Roper Technologies, Inc.		402,580
	20,374	Synopsys, Inc.*		7,049,812
		Total Software & Services		36,226,107
		Technology Hardware & Equipment — 12.0%
	168,224	Apple, Inc.		26,448,177
	5,800	Arista Networks, Inc.*		695,304
	13,537	Arrow Electronics, Inc.*		1,418,813
	18,922	Avnet, Inc.		830,487
	4,700	Bel Fuse, Inc. – Class B		133,574
	5,100	CTS Corp.		215,832

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	56,500	Dell Technologies, Inc. – Class C		2,163,385
	14,100	Flex Ltd.*		251,121
	165,400	Hewlett Packard Enterprise Co.		2,249,440
	254,944	HP, Inc.		7,319,442
	24,800	Keysight Technologies, Inc.*		4,064,472
	12,100	Knowles Corp.*		183,315
	10,900	National Instruments Corp.		433,384
	18,200	Super Micro Computer, Inc.*		1,184,456
	15,695	Xerox Holdings Corp.		260,851
		Total Technology Hardware & Equipment		47,852,053
		Telecommunication Services — 0.3%
	26,240	Verizon Communications, Inc.		1,097,094
		Transportation — 0.1%
	25,600	Schneider National, Inc. – Class B		585,216
		TOTAL COMMON STOCKS (COST $394,261,464)		394,398,986
		MUTUAL FUNDS — 0.9%
		Affiliated Issuers — 0.9%
	766,368	GMO U.S. Treasury Fund		3,824,178
		TOTAL MUTUAL FUNDS (COST $3,824,178)		3,824,178
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	989,820	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (a)		989,820
		TOTAL SHORT-TERM INVESTMENTS (COST $989,820)		989,820
		TOTAL INVESTMENTS — 99.8% (Cost $399,075,462)		399,212,984
		Other Assets and Liabilities (net) — 0.2%		913,746
		TOTAL NET ASSETS — 100.0%		$400,126,730

See accompanying notes to the financial statements. 50

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

A summary of outstanding financial instruments at August 31, 2022 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 22	S&P 500 E-Mini	September 2022	$	4,352,150	$	135,959

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2022.

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 57.

51 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.9	%
Short-Term Investments		0.5
Mutual Funds		0.5
Futures Contracts		0.0	^
Rights/Warrants		0.0	^
Other		0.1
		100.0	%
Industry Group Summary#	% of Equity Investments
Capital Goods		11.4	%
Materials		10.4
Banks		9.3
Technology Hardware & Equipment		9.2
Retailing		7.5
Energy		7.0
Diversified Financials		6.9
Consumer Durables & Apparel		6.8
Commercial & Professional Services		4.9
Real Estate		4.4
Media & Entertainment		3.8
Health Care Equipment & Services		3.2
Insurance		3.1
Semiconductors & Semiconductor Equipment		2.4
Pharmaceuticals, Biotechnology & Life Sciences		2.1
Food, Beverage & Tobacco		1.9
Food & Staples Retailing		1.6
Transportation		1.4
Telecommunication Services		1.4
Consumer Services		1.1
Automobiles & Components		0.2
Household & Personal Products		0.0	^
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

# 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.

^ Rounds to 0.0%.

52

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.9%
		Automobiles & Components — 0.2%
	11,700	Standard Motor Products, Inc.		429,390
		Banks — 9.3%
	10,306	1st Source Corp.		486,340
	19,725	Amalgamated Financial Corp.		443,813
	2,648	Arrow Financial Corp.		85,027
	179,799	Associated Banc-Corp.		3,603,172
	15,900	Atlantic Union Bankshares Corp.		515,955
	9,000	BCB Bancorp, Inc.		162,000
	5,100	Camden National Corp.		230,673
	6,300	Cathay General Bancorp		264,222
	7,200	Central Valley Community Bancorp		128,160
	4,670	Civista Bancshares, Inc.		98,771
	7,567	CNB Financial Corp.		199,163
	8,996	Community Trust Bancorp, Inc.		380,081
	8,500	Farmers National Banc Corp.		121,465
	11,404	Financial Institutions, Inc.		296,846
	2,200	First Bancorp/Southern Pines NC		80,102
	5,605	First Community Bankshares, Inc.		176,726
	1,398	First Financial Bancorp		30,169
	7,500	First Financial Corp.		348,750
	40,512	Flagstar Bancorp, Inc.		1,560,927
	40,800	FNB Corp.		486,336
	900	Great Southern Bancorp, Inc.		52,902
	26,289	Hanmi Financial Corp.		649,864
	100,000	Hope Bancorp, Inc.		1,447,000
	14,900	Horizon Bancorp, Inc.		281,908
	14,791	Independent Bank Corp.		303,511
	3,300	LCNB Corp.		52,668
	3,836	Mercantile Bank Corp.		126,895
	8,600	Midland States Bancorp, Inc.		215,774
	4,800	MidWestOne Financial Group, Inc.		146,400
	1,100	Northrim BanCorp, Inc.		44,605
	25,380	OFG Bancorp		690,336
	8,100	QCR Holdings, Inc.		452,385
	140,800	Radian Group, Inc.		2,972,288
	2,013	Republic Bancorp, Inc. – Class A		85,553
	27,696	Towne Bank		789,059
	7,429	Univest Financial Corp.		184,239
	33,867	Waterstone Financial, Inc.		585,560
		Total Banks		18,779,645
		Capital Goods — 11.3%
	78,100	Allison Transmission Holdings, Inc.		2,831,906
	10,200	Apogee Enterprises, Inc.		416,568
	20,871	Applied Industrial Technologies, Inc.		2,212,743
	31,600	Boise Cascade Co.		1,969,628
	3,081	Ducommun, Inc.*		135,564
	1,500	Global Industrial Co.		45,120
	34,000	Griffon Corp.		1,065,900
	900	Hillenbrand, Inc.		37,503
	20,370	Hyster-Yale Materials Handling, Inc.		593,378

Shares		Description	Value ($)
		Capital Goods — continued
	12,647	Insteel Industries, Inc.		365,498
	28,200	JELD-WEN Holding, Inc.*		314,430
	3,668	Miller Industries, Inc.		86,235
	22,319	Moog, Inc. – Class A		1,673,479
	72,500	MRC Global, Inc.*		705,425
	13,400	MSC Industrial Direct Co., Inc. – Class A		1,061,414
	49,655	Mueller Industries, Inc.		3,136,706
	71,000	NOW, Inc.*		860,520
	11,352	Park-Ohio Holdings Corp.		188,330
	2,496	Preformed Line Products Co.		194,189
	41,195	Primoris Services Corp.		835,023
	3,000	Quanex Building Products Corp.		66,900
	44,835	Resideo Technologies, Inc.*		933,465
	2,000	Rush Enterprises, Inc. – Class B		101,280
	1,400	Standex International Corp.		126,574
	7,200	Tennant Co.		434,520
	33,126	Tutor Perini Corp.*		224,594
	20,119	UFP Industries, Inc.		1,597,247
	19,448	V2X, Inc.*		674,068
	7,100	Wabash National Corp.		116,795
		Total Capital Goods		23,005,002
		Commercial & Professional Services — 4.8%
	218,849	ACCO Brands Corp.		1,297,774
	6,200	CBIZ, Inc.*		270,692
	43,979	Deluxe Corp.		846,156
	6,300	DLH Holdings Corp.*		103,131
	10,900	Ennis, Inc.		231,407
	15,571	Heidrick & Struggles International, Inc.		443,151
	11,834	HNI Corp.		378,688
	9,000	ICF International, Inc.		914,040
	48,318	Interface, Inc.		539,712
	44,200	Kelly Services, Inc. – Class A		712,062
	8,418	Kforce, Inc.		460,633
	69,673	Kimball International, Inc. – Class B		532,998
	800	Korn Ferry		48,736
	5,960	Matthews International Corp. – Class A		149,060
	35,500	Quad/Graphics, Inc.*		112,180
	48,790	Resources Connection, Inc.		953,357
	159,893	Steelcase, Inc. – Class A		1,787,604
		Total Commercial & Professional Services		9,781,381
		Consumer Durables & Apparel — 6.7%
	29,700	Acushnet Holdings Corp.		1,415,205
	7,800	Bassett Furniture Industries, Inc.		148,668
	4,852	Clarus Corp.		73,605
	87,877	Ethan Allen Interiors, Inc.		2,088,836
	6,700	G-III Apparel Group Ltd.*		141,169
	8,846	Hooker Furniture Corp.		140,386
	4,922	Johnson Outdoors, Inc. – Class A		300,931
	61,891	La-Z-Boy, Inc.		1,633,304
	13,900	MasterCraft Boat Holdings, Inc.*		334,851
	42,435	Movado Group, Inc.		1,353,252

53 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	107,100	Taylor Morrison Home Corp. – Class A*		2,689,281
	162,092	TRI Pointe Homes, Inc.*		2,809,054
	9,069	Universal Electronics, Inc.*		201,604
	39,651	Vera Bradley, Inc.*		157,018
	12,100	VOXX International Corp.*		116,644
		Total Consumer Durables & Apparel		13,603,808
		Consumer Services — 1.1%
	2,352	Graham Holdings Co. – Class B		1,329,891
	20,100	Lincoln Educational Services Corp.*		130,650
	60,100	Perdoceo Education Corp.*		695,958
		Total Consumer Services		2,156,499
		Diversified Financials — 6.8%
	17,200	A-Mark Precious Metals, Inc.		531,652
	2,200	Blucora, Inc.*		44,176
	58,571	Curo Group Holdings Corp.		386,569
	1,208	Diamond Hill Investment Group, Inc.		206,628
	77,804	Donnelley Financial Solutions, Inc.*		3,302,780
	40,600	Encore Capital Group, Inc.*		2,220,008
	112,309	Enova International, Inc.*		3,924,076
	16,002	Federated Hermes, Inc.		545,028
	8,500	Nelnet, Inc. – Class A		716,040
	13,700	Oppenheimer Holdings, Inc. – Class A		497,310
	8,400	Regional Management Corp.		282,996
	6,400	StoneX Group, Inc.*		594,176
	20,800	Virtu Financial, Inc. – Class A		477,568
	7,014	Westwood Holdings Group, Inc.		94,689
		Total Diversified Financials		13,823,696
		Energy — 6.9%
	20,600	California Resources Corp.		1,029,176
	6,200	Chesapeake Energy Corp.		623,038
	5,000	Dril-Quip, Inc.*		110,650
	47,260	Evolution Petroleum Corp.		327,984
	18,200	Gulfport Energy Corp.*		1,779,232
	35,200	Kosmos Energy Ltd.*		248,864
	19,200	Laredo Petroleum, Inc.*		1,490,112
	121,200	Oil States International, Inc.*		593,880
	12,700	Plains GP Holdings LP – Class A		152,146
	10,633	Sitio Royalties Corp.		270,503
	433,200	Southwestern Energy Co.*		3,244,668
	116,300	TechnipFMC Plc*		951,334
	116,500	VAALCO Energy, Inc.		583,665
	103,997	World Fuel Services Corp.		2,683,123
		Total Energy		14,088,375
		Food & Staples Retailing — 1.6%
	10,201	Ingles Markets, Inc. – Class A		892,893
	14,200	Natural Grocers by Vitamin Cottage, Inc.		203,912
	1,000	PriceSmart, Inc.		63,270
	38,709	SpartanNash Co.		1,177,915
	2,800	Village Super Market, Inc. – Class A		61,544

Shares		Description	Value ($)
		Food & Staples Retailing — continued
	10,400	Weis Markets, Inc.		808,184
		Total Food & Staples Retailing		3,207,718
		Food, Beverage & Tobacco — 1.9%
	400	John B Sanfilippo & Son, Inc.		32,292
	5,144	Seneca Foods Corp. – Class A*		271,758
	46,259	Universal Corp.		2,361,059
	126,500	Vector Group Ltd.		1,239,700
		Total Food, Beverage & Tobacco		3,904,809
		Health Care Equipment & Services — 3.2%
	128,700	Allscripts Healthcare Solutions, Inc.*		2,187,900
	2,900	Avanos Medical, Inc.*		71,427
	3,700	Computer Programs & Systems, Inc.*		112,887
	52,000	Eargo, Inc.*		94,640
	7,819	FONAR Corp.*		110,248
	12,100	HealthStream, Inc.*		267,773
	3,658	LENSAR, Inc.*		19,717
	14,200	MEDNAX, Inc.*		253,044
	6,400	Meridian Bioscience, Inc.*		208,576
	1,000	Merit Medical Systems, Inc.*		59,230
	3,300	National HealthCare Corp.		229,185
	41,200	NextGen Healthcare, Inc.*		706,168
	34,000	Owens & Minor, Inc.		1,003,340
	29,000	Select Medical Holdings Corp.		743,560
	16,300	Varex Imaging Corp.*		343,767
		Total Health Care Equipment & Services		6,411,462
		Household & Personal Products — 0.1%
	23,443	Lifevantage Corp.		93,303
		Insurance — 3.1%
	125,000	CNO Financial Group, Inc.		2,301,250
	341,300	Genworth Financial, Inc. – Class A*		1,440,286
	249,100	GoHealth, Inc. – Class A*		112,568
	41,590	Stewart Information Services Corp.		2,106,118
	27,900	Universal Insurance Holdings, Inc.		333,126
		Total Insurance		6,293,348
		Materials — 10.2%
	33,048	AdvanSix, Inc.		1,198,320
	25,608	American Vanguard Corp.		510,367
	11,100	Cabot Corp.		798,867
	500	Commercial Metals Co.		20,255
	8,900	FutureFuel Corp.		64,881
	18,900	Greif, Inc. – Class A		1,267,245
	1,700	Greif, Inc. – Class B		110,959
	104,300	Huntsman Corp.		2,922,486
	9,400	Innospec, Inc.		878,524
	24,219	Koppers Holdings, Inc.		552,920
	70,713	Mativ Holdings, Inc.		1,670,241
	44,180	Mercer International, Inc.		716,600
	6,000	NewMarket Corp.		1,723,260

See accompanying notes to the financial statements. 54

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Materials — continued
	8,000	Olympic Steel, Inc.		210,560
	17,300	Reliance Steel & Aluminum Co.		3,252,054
	39,500	Ryerson Holding Corp.		1,125,750
	9,100	Schnitzer Steel Industries, Inc. – Class A		300,664
	9,400	Stepan Co.		979,762
	76,800	Warrior Met Coal, Inc.		2,499,840
		Total Materials		20,803,555
		Media & Entertainment — 3.7%
	64,000	AMC Networks, Inc. – Class A*		1,714,560
	23,951	Cars.com, Inc.*		305,375
	37,483	DHI Group, Inc.*		191,164
	7,300	John Wiley & Sons, Inc. – Class A		336,019
	6,200	Lee Enterprises, Inc.*		123,380
	15,700	Scholastic Corp.		720,787
	9,600	Sciplay Corp. – Class A*		117,024
	4,600	Shutterstock, Inc.		254,886
	161,590	TEGNA, Inc.		3,458,026
	10,600	Yelp, Inc.*		362,202
		Total Media & Entertainment		7,583,423
		Pharmaceuticals, Biotechnology & Life Sciences —2.1%
	1,300	Amphastar Pharmaceuticals, Inc.*		38,480
	1,300	Perrigo Co PLC		48,646
	12,700	Phibro Animal Health Corp. – Class A		188,087
	75,920	Prestige Consumer Healthcare, Inc.*		3,840,034
	3,900	Supernus Pharmaceuticals, Inc.*		133,497
		Total Pharmaceuticals, Biotechnology & Life Sciences		4,248,744
		Real Estate — 4.3%
	271,082	Anywhere Real Estate, Inc.*		2,648,471
	90,000	Cushman & Wakefield Plc*		1,346,400
	225,900	Diversified Healthcare Trust (REIT)		329,814
	12,381	Five Point Holdings LLC – Class A*		45,191
	10,470	Forestar Group, Inc.*		130,247
	15,200	Marcus & Millichap, Inc.		568,176
	188,614	Newmark Group, Inc. – Class A		1,933,293
	34,000	PotlatchDeltic Corp. (REIT)		1,578,280
	7,500	RMR Group, Inc. (The) – Class A		195,300
		Total Real Estate		8,775,172
		Retailing — 7.4%
	4,600	Aaron’s Co. , Inc. (The)		54,740
	8,100	Caleres, Inc.		206,712
	1,820	Cato Corp. (The) – Class A		19,674
	71,000	Container Store Group , Inc. (The)*		481,380
	63,200	Designer Brands, Inc. – Class A		1,078,192
	37,987	Genesco, Inc.*		2,149,304
	24,094	Group 1 Automotive, Inc.		4,302,948
	36,294	Haverty Furniture Cos, Inc.		973,405
	5,900	Lands’ End, Inc.*		81,538

Shares		Description	Value ($)
		Retailing — continued
	13,813	Penske Automotive Group, Inc.		1,628,691
	66,296	Shoe Carnival, Inc.		1,577,182
	36,800	Signet Jewelers Ltd.		2,405,616
	2,094	Weyco Group, Inc.		53,606
		Total Retailing		15,012,988
		Semiconductors & Semiconductor Equipment — 2.3%
	54,300	Amkor Technology, Inc.		1,093,059
	22,800	Axcelis Technologies, Inc.*		1,526,232
	6,600	Cirrus Logic, Inc.*		506,154
	3,400	CyberOptics Corp.*		181,016
	25,400	Kulicke & Soffa Industries, Inc.		1,067,816
	23,100	Photronics, Inc.*		388,080
		Total Semiconductors & Semiconductor Equipment		4,762,357
		Technology Hardware & Equipment — 9.1%
	87,013	Avnet, Inc.		3,819,001
	6,200	Bel Fuse, Inc. – Class B		176,204
	25,719	Benchmark Electronics, Inc.		705,987
	30,161	CTS Corp.		1,276,414
	38,300	Daktronics, Inc.*		122,560
	7,800	DZS, Inc.*		103,818
	11,800	ePlus, Inc.*		556,016
	24,878	Kimball Electronics, Inc.*		535,872
	121,800	Knowles Corp.*		1,845,270
	67,200	National Instruments Corp.		2,671,872
	4,200	PC Connection, Inc.		208,656
	10,845	Sanmina Corp.*		526,199
	12,853	ScanSource, Inc.*		372,351
	37,144	Super Micro Computer, Inc.*		2,417,331
	187,722	Xerox Holdings Corp.		3,119,940
		Total Technology Hardware & Equipment		18,457,491
		Telecommunication Services — 1.4%
	5,200	ATN International, Inc.		243,620
	47,621	Spok Holdings, Inc.		342,871
	112,832	Telephone & Data Systems, Inc.		1,835,777
	12,452	United States Cellular Corp.*		356,003
		Total Telecommunication Services		2,778,271
		Transportation — 1.4%
	9,300	Hub Group, Inc. – Class A*		742,233
	91,100	Schneider National, Inc. – Class B		2,082,546
		Total Transportation		2,824,779
		TOTAL COMMON STOCKS (COST $199,518,668)		200,825,216

55 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.5%
		Affiliated Issuers — 0.5%
	189,161	GMO U.S. Treasury Fund		943,912
		TOTAL MUTUAL FUNDS (COST $943,912)		943,912
		RIGHTS/WARRANTS — 0.0%
		Pharmaceuticals, Biotechnology & Life Sciences —0.0%
	72,700	Achillion Pharmaceuticals, Inc. CVR* (a)		36,350
		TOTAL RIGHTS/WARRANTS (COST $33,442)		36,350

A summary of outstanding financial instruments at August 31, 2022 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys 13	E-mini Russell 2000 Index	September 2022	$	1,198,990	$	96,730

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	1,064,277	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (b)		1,064,277
		TOTAL SHORT-TERM INVESTMENTS (COST $1,064,277)		1,064,277
		TOTAL INVESTMENTS — 99.9% (Cost $201,560,299)		202,869,755
		Other Assets and Liabilities (net) — 0.1%		222,863
		TOTAL NET ASSETS — 100.0%		$203,092,618

As of August 31, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued using significant unobservable inputs (Note 2).

(b) The rate disclosed is the 7 day net yield as of August 31, 2022.

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 57.

See accompanying notes to the financial statements. 56

GMO Trust Funds

August 31, 2022 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

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

The rates shown on variable rate notes are the current interest rates at August 31, 2022, which are subject to change based on the terms of the security.

57 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited)

	Climate Change Fund		Emerging Domestic Opportunities Fund		Emerging Markets ex-China Fund		Emerging Markets Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	87,358,431	$	1,015,838	$	—	$	2,192,475
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		849,000,136		150,137,130		262,418,835		1,513,832,025
Foreign currency, at value (Note 2)(d)		185,630		2,670,512		971,300		11,340,384
Receivable for investments sold		—		—		7,074,343		28,216,130
Receivable for Fund shares sold		441,819		—		—		83,360
Dividends and interest receivable		787,460		459,038		2,896,016		7,135,140
Dividend withholding tax receivable		23,381		—		5,157		—
Foreign capital gains tax refund receivable (Note 2)		—		6,129,546		—		4,387,116
Due from broker (Note 2)		—		3		—		2,190,566
Receivable for variation margin on open futures contracts (Note 4)		—		—		—		995,810
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		20,041		69,331		35,530		69,510
Total assets		937,816,898		160,481,398		273,401,181		1,570,442,516
Liabilities:
Due to custodian		36,126		—		16,442		98,685
Foreign taxes payable		—		1,060,306		—		1,257,726
Payable for cash collateral from securities loaned (Note 2)		67,881,945		—		—		—
Payable for investments purchased		32,352		1,705		10,048,101		44,420,859
Payable for Fund shares repurchased		102,885		—		—		3,141,555
Accrued foreign capital gains tax payable (Note 2)		—		—		69,709		1,709,403
Payable to affiliate for (Note 5):
Management fee		438,323		101,782		125,176		855,597
Shareholder service fee		109,581		28,097		13,636		136,706
Payable to Trustees and related expenses		3,622		5,813		4,024		11,450
Miscellaneous payable		—		—		—		826,850
Accrued expenses		163,177		339,183		293,441		1,088,638
Total liabilities		68,768,011		1,536,886		10,570,529		53,547,469
Net assets	$	869,048,887	$	158,944,512	$	262,830,652	$	1,516,895,047
(a)  Cost of investments – affiliated issuers:	$	87,358,431	$	1,015,838	$	—	$	13,358,337
(b)  Cost of investments – unaffiliated issuers:	$	867,190,710	$	200,914,434	$	385,388,426	$	2,130,239,190
(c)  Includes securities on loan at value (Note 2):	$	80,910,812	$	—	$	—	$	26,325,934
(d)  Cost of foreign currency:	$	186,650	$	2,502,160	$	981,246	$	11,394,375

See accompanying notes to the financial statements. 58

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited) — (Continued)

	Climate Change Fund			Emerging Domestic Opportunities Fund			Emerging Markets ex-China Fund			Emerging Markets Fund
Net assets consist of:
Paid-in capital	$	900,893,784		$	335,217,924		$	385,485,905		$	3,296,016,124
Distributable earnings (accumulated loss)		(31,844,897	)		(176,273,412	)		(122,655,253	)		(1,779,121,077	)
	$	869,048,887		$	158,944,512		$	262,830,652		$	1,516,895,047
Net assets attributable to:
Class II	$	—		$	141,201,127		$	—		$	186,137,657
Class III	$	311,605,011		$	—		$	13,606,336		$	198,714,412
Class V	$	—		$	7,985,746		$	—		$	—
Class VI	$	—		$	—		$	249,223,968		$	989,223,274
Class R6	$	124,953,406		$	—		$	—		$	34,451,812
Class I	$	432,490,470		$	9,757,639		$	348		$	108,367,892
Shares outstanding:
Class II		—			7,708,983			—			7,866,405
Class III		10,982,235			—			1,025,832			8,370,086
Class V		—			436,842			—			—
Class VI		—			—			18,778,525			42,164,791
Class R6		4,412,360			—			—			1,457,617
Class I		15,284,652			533,259			26			4,588,771
Net asset value per share:
Class II	$	—		$	18.32		$	—		$	23.66
Class III	$	28.37		$	—		$	13.26		$	23.74
Class V	$	—		$	18.28		$	—		$	—
Class VI	$	—		$	—		$	13.27		$	23.46
Class R6	$	28.32		$	—		$	—		$	23.64
Class I	$	28.30		$	18.30		$	13.27		$	23.62

59 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited) — (Continued)

	International Equity Fund		Japan Value Creation Fund		Quality Cyclicals Fund		Quality Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	—	$	—	$	1,423,369	$	5,765,241
Investments in unaffiliated issuers, at value (Note 2)(b)		1,503,308,460		127,493,109		104,231,991		7,079,008,013
Foreign currency, at value (Note 2)(c)		1,488,599		—		31,856		732,878
Cash		564		—		—		9
Receivable for investments sold		1,812		—		67		—
Receivable for Fund shares sold		98,673		—		—		12,776,531
Dividends and interest receivable		5,921,549		252,483		146,085		8,527,752
Dividend withholding tax receivable		1,715,341		98		4,617		2,281,649
EU tax reclaims receivable (Note 2)		1,840,967		—		—		—
Due from broker (Note 2)		4,374		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		50,632		21,342		17,194		107,185
Total assets		1,514,430,971		127,767,032		105,855,179		7,109,199,258
Liabilities:
Due to custodian		—		—		1,698		—
Payable for Fund shares repurchased		67,772		—		—		25,372,264
Payable for IRS closing agreement fees (Note 2)		51,826,505		—		—		—
Payable to affiliate for (Note 5):
Management fee		642,525		55,889		30,919		2,088,526
Shareholder service fee		132,671		8,316		5,159		688,791
Payable for variation margin on open futures contracts (Note 4)		110,400		—		—		—
Payable to Trustees and related expenses		12,689		901		886		55,450
Accrued expenses		468,784		78,915		47,363		661,984
Total liabilities		53,261,346		144,021		86,025		28,867,015
Net assets	$	1,461,169,625	$	127,623,011	$	105,769,154	$	7,080,332,243
(a)  Cost of investments – affiliated issuers:	$	—	$	—	$	1,425,208	$	5,776,758
(b)  Cost of investments – unaffiliated issuers:	$	1,773,867,954	$	154,780,815	$	101,054,108	$	4,862,645,153
(c)  Cost of foreign currency:	$	1,508,994	$	—	$	32,046	$	735,778

See accompanying notes to the financial statements. 60

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited) — (Continued)

	International Equity Fund			Japan Value Creation Fund			Quality Cyclicals Fund		Quality Fund
Net assets consist of:
Paid-in capital	$	2,615,635,146		$	158,348,579		$	94,108,120	$	4,384,359,807
Distributable earnings (accumulated loss)		(1,154,465,521	)		(30,725,568	)		11,661,034		2,695,972,436
	$	1,461,169,625		$	127,623,011		$	105,769,154	$	7,080,332,243
Net assets attributable to:
Class II	$	4,772,882		$	—		$	—	$	—
Class III	$	307,737,734		$	23,658,949		$	—	$	2,553,550,418
Class IV	$	1,146,220,331		$	—		$	—	$	927,093,995
Class VI	$	—		$	101,443,267		$	105,701,956	$	2,627,424,529
Class R6	$	—		$	—		$	—	$	485,163,421
Class I	$	2,438,678		$	2,520,795		$	67,198	$	487,099,880
Shares outstanding:
Class II		247,446			—			—		—
Class III		15,740,899			1,494,692			—		103,021,800
Class IV		58,736,075			—			—		37,299,622
Class VI		—			6,407,056			4,972,876		105,986,470
Class R6		—			—			—		19,597,191
Class I		124,326			159,442			3,162		19,700,094
Net asset value per share:
Class II	$	19.29		$	—		$	—	$	—
Class III	$	19.55		$	15.83		$	—	$	24.79
Class IV	$	19.51		$	—		$	—	$	24.86
Class VI	$	—		$	15.83		$	21.26	$	24.79
Class R6	$	—		$	—		$	—	$	24.76
Class I	$	19.62		$	15.81		$	21.25	$	24.73

61 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited) — (Continued)

	Resources Fund		Tax-Managed International Equities Fund		U.S. Equity Fund		U.S. Small Cap Value Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	—	$	659,037	$	3,824,178	$	943,912
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		2,307,138,349		34,526,100		395,388,806		201,925,843
Foreign currency, at value (Note 2)(d)		9,637,072		53,737		—		—
Receivable for investments sold		2,440		16		—		—
Receivable for Fund shares sold		222,455		—		—		—
Dividends and interest receivable		13,832,007		145,121		866,493		298,757
Dividend withholding tax receivable		313,642		25,876		—		—
Foreign capital gains tax refund receivable (Note 2)		1,105		2,602		—		—
Due from broker (Note 2)		—		11,131		285,954		79,000
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		—		24,886		12,611		—
Total assets		2,331,147,070		35,448,506		400,378,042		203,247,512
Liabilities:
Due to custodian		12,434		—		—		—
Payable for Fund shares repurchased		2,005,295		418,398		—		—
Accrued foreign capital gains tax payable (Note 2)		—		6,507		—		—
Payable for IRS closing agreement fees (Note 2)		—		496,987		—		—
Payable to affiliate for (Note 5):
Management fee		1,001,810		15,411		110,642		56,238
Shareholder service fee		221,389		4,623		26,080		9,977
Payable to broker for closed futures contracts		—		1,473		—		—
Payable for variation margin on open futures contracts (Note 4)		—		—		34,100		7,605
Payable to Trustees and related expenses		11,998		224		2,802		1,659
Accrued expenses		377,959		128,242		77,688		79,415
Total liabilities		3,630,885		1,071,865		251,312		154,894
Net assets	$	2,327,516,185	$	34,376,641	$	400,126,730	$	203,092,618
(a)  Cost of investments – affiliated issuers:	$	—	$	659,354	$	3,824,178	$	943,912
(b)  Cost of investments – unaffiliated issuers:	$	2,312,156,727	$	35,428,114	$	395,251,284	$	200,616,387
(c)  Includes securities on loan at value (Note 2):	$	36,558,293	$	—	$	—	$	—
(d)  Cost of foreign currency:	$	9,779,524	$	54,516	$	—	$	—

See accompanying notes to the financial statements. 62

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited) — (Continued)

	Resources Fund		Tax-Managed International Equities Fund			U.S. Equity Fund		U.S. Small Cap Value Fund
Net assets consist of:
Paid-in capital	$	2,218,491,680	$	37,401,950		$	394,951,084	$	202,866,412
Distributable earnings (accumulated loss)		109,024,505		(3,025,309	)		5,175,646		226,206
	$	2,327,516,185	$	34,376,641		$	400,126,730	$	203,092,618
Net assets attributable to:
Class III	$	247,136,051	$	34,376,641		$	75,748,873	$	—
Class IV	$	403,120,975	$	—		$	—	$	—
Class VI	$	759,395,045	$	—		$	324,377,857	$	203,092,618
Class R6	$	175,143,541	$	—		$	—	$	—
Class I	$	742,720,573	$	—		$	—	$	—
Shares outstanding:
Class III		9,517,684		2,889,938			6,255,773		—
Class IV		15,573,341		—			—		—
Class VI		29,344,467		—			27,144,339		12,398,506
Class R6		6,750,452		—			—		—
Class I		28,612,753		—			—		—
Net asset value per share:
Class III	$	25.97	$	11.90		$	12.11	$	—
Class IV	$	25.89	$	—		$	—	$	—
Class VI	$	25.88	$	—		$	11.95	$	16.38
Class R6	$	25.95	$	—		$	—	$	—
Class I	$	25.96	$	—		$	—	$	—

63 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations —Six Months Ended August 31, 2022 (Unaudited)

	Climate Change Fund			Emerging Domestic Opportunities Fund			Emerging Markets ex-China Fund			Emerging Markets Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	7,163,428		$	8,973,811		$	11,536,940		$	57,026,489
Dividends from affiliated issuers (Note 10)		119,318			23,129			11			—
Interest		312			211,448			21,542			182,077
Non-cash paid in-kind dividends from unaffiliated issuers		—			—			—			10,401,352
Securities lending income from affiliated issuers (net)		640,745			—			—			—
Securities lending income (net)		265,140			—			—			246,729
Other income		1,329			—			326			2,074
Total investment income		8,190,272			9,208,388			11,558,819			67,858,721
Expenses:
Management fee (Note 5)		2,350,368			2,105,636			777,708			5,463,468
Shareholder service fee – Class II (Note 5)		—			198,523			—			223,702
Shareholder service fee – Class III (Note 5)		229,967			—			10,561			171,712
Shareholder service fee – Class V (Note 5)		—			157,575			—			—
Shareholder service fee – Class VI (Note 5)		—			—			73,899			300,975
Shareholder service fee – Class R6 (Note 5)		88,930			—			—			40,868
Shareholder service fee – Class I (Note 5)		268,695			11,289			—			128,859
Audit and tax fees		45,928			60,832			38,037			60,444
Custodian, fund accounting agent and transfer agent fees		257,360			415,762			184,813			1,109,513
Legal fees		9,685			10,249			5,054			24,909
Registration fees		26,104			14,587			2,736			39,417
Trustees’ fees and related expenses (Note 5)		15,554			15,968			5,419			41,560
Miscellaneous		4,160			6,060			16,744			64,268
Total expenses		3,296,751			2,996,481			1,114,971			7,669,695
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(85,762	)		(204,294	)		(153,009	)		(426,630	)
Net expenses		3,210,989			2,792,187			961,962			7,243,065
Net investment income (loss)		4,979,283			6,416,201			10,596,857			60,615,656
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(6,752,120	)		(68,097,477	)		(8,841,350	)		(52,147,999	)
Investments in affiliated issuers		(375,692	)		(18,623	)		(26	)		—
Futures contracts		—			(1,774,049	)		—			(24,654,602	)
Foreign currency and foreign currency related transactions		(145,844	)		(1,306,631	)		(309,147	)		(1,665,455	)
Net realized gain (loss)		(7,273,656	)		(71,196,780	)		(9,150,523	)		(78,468,056	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(32,256,690	)		(58,312,930	)		(63,110,267	)		(351,830,843	)
Investments in affiliated issuers		45,209			9,304			17			(2,284,190	)
Futures contracts		—			—			—			1,566,254
Foreign currency and foreign currency related transactions		(8,388	)		(109,360	)		(11,418	)		(261,236	)
Net change in unrealized appreciation (depreciation)		(32,219,869	)		(58,412,986	)		(63,121,668	)		(352,810,015	)
Net realized and unrealized gain (loss)		(39,493,525	)		(129,609,766	)		(72,272,191	)		(431,278,071	)
Net increase (decrease) in net assets resulting from operations	$	(34,514,242	)	$	(123,193,565	)	$	(61,675,334	)	$	(370,662,415	)
(a)      Withholding tax:	$	412,902		$	1,355,892		$	1,588,735		$	7,141,568
(b)      Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	47,628		$	10,251		$	54,470
(c)      Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	820,484		$	69,709		$	(965,630	)

See accompanying notes to the financial statements. 64

GMO Trust Funds

Statements of Operations —Six Months Ended August 31, 2022 (Unaudited) — (Continued)

	International Equity Fund			Japan Value Creation Fund			Quality Cyclicals Fund			Quality Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	59,992,234		$	2,332,102		$	1,537,427		$	64,950,430
Dividends from affiliated issuers (Note 10)		—			—			9,604			38,895
Interest		515,057			—			3			758,505
Other income (Note 2)		2,323,606			—			—			—
Less: IRS closing agreement fees (Note 2)		(1,212,387	)		—			—			—
Total investment income		61,618,510			2,332,102			1,547,034			65,747,830
Expenses:
Management fee (Note 5)		4,092,174			337,231			191,437			12,517,011
Shareholder service fee – Class II (Note 5)		5,742			—			—			—
Shareholder service fee – Class III (Note 5)		250,671			15,654			—			2,081,115
Shareholder service fee – Class IV (Note 5)		582,622			—			—			454,222
Shareholder service fee – Class VI (Note 5)		—			30,598			31,885			811,498
Shareholder service fee – Class R6 (Note 5)		—			—			—			383,842
Shareholder service fee – Class I (Note 5)		2,976			2,065			56			362,528
Audit and tax fees		53,360			31,648			28,244			59,064
Custodian, fund accounting agent and transfer agent fees		276,931			31,776			19,315			904,120
Legal fees		22,176			3,680			3,061			94,150
Registration fees		26,780			19,792			19,067			49,788
Trustees’ fees and related expenses (Note 5)		38,400			2,998			2,726			169,993
Miscellaneous		25,152			3,019			2,024			17,407
Total expenses		5,376,984			478,461			297,815			17,904,738
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(362,594	)		(83,601	)		(67,883	)		(762,986	)
Net expenses		5,014,390			394,860			229,932			17,141,752
Net investment income (loss)		56,604,120			1,937,242			1,317,102			48,606,078
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(55,286,148	)		(2,634,172	)		8,045,978			440,753,121
Investments in affiliated issuers		—			—			(6,486	)		—
Futures contracts		(1,694,786	)		—			—			—
Foreign currency and foreign currency related transactions		(1,915,320	)		(242,452	)		(5,085	)		(137,592	)
Net realized gain (loss)		(58,896,254	)		(2,876,624	)		8,034,407			440,615,529
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(252,703,525	)		(22,052,732	)		(27,498,369	)		(1,204,850,322	)
Investments in affiliated issuers		—			—			(102	)		(23,107	)
Futures contracts		(964,755	)		—			—			—
Foreign currency and foreign currency related transactions		(221,598	)		(4,426	)		(2,052	)		(366,835	)
Net change in unrealized appreciation (depreciation)		(253,889,878	)		(22,057,158	)		(27,500,523	)		(1,205,240,264	)
Net realized and unrealized gain (loss)		(312,786,132	)		(24,933,782	)		(19,466,116	)		(764,624,735	)
Net increase (decrease) in net assets resulting from operations	$	(256,182,012	)	$	(22,996,540	)	$	(18,149,014	)	$	(716,018,657	)
(a)      Withholding tax:	$	4,340,372		$	259,657		$	53,916		$	2,599,470

65 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations —Six Months Ended August 31, 2022 (Unaudited) — (Continued)

	Resources Fund			Tax-Managed International Equities Fund			U.S. Equity Fund			U.S. Small Cap Value Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	66,772,308		$	1,130,133		$	3,973,079		$	2,297,650
Dividends from affiliated issuers (Note 10)		—			7,470			40,564			17,112
Interest		283,783			131			455			718
Non-cash paid in-kind dividends from unaffiliated issuers		—			146,370			—			—
Securities lending income (net)		581,761			—			—			—
Other income		7,475			15			—			—
Less: IRS closing agreement fees (Note 2)		—			(11,122	)		—			—
Total investment income		67,645,327			1,272,997			4,014,098			2,315,480
Expenses:
Management fee (Note 5)		5,665,111			94,166			668,760			338,509
Shareholder service fee – Class III (Note 5)		191,607			28,250			59,044			—
Shareholder service fee – Class IV (Note 5)		205,952			—			—			—
Shareholder service fee – Class VI (Note 5)		197,621			—			97,001			60,058
Shareholder service fee – Class R6 (Note 5)		110,953			—			—			—
Shareholder service fee – Class I (Note 5)		549,079			—			—			—
Audit and tax fees		50,600			41,584			29,716			27,784
Custodian, fund accounting agent and transfer agent fees		764,338			74,788			41,908			21,698
Legal fees		26,778			1,874			6,562			4,305
Registration fees		76,416			1,216			10,244			736
Trustees’ fees and related expenses (Note 5)		46,768			799			9,475			4,911
Miscellaneous		16,461			10,234			1,866			4,598
Total expenses		7,901,684			252,911			924,576			462,599
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(92,270	)		(124,278	)		(81,564	)		—
Net expenses		7,809,414			128,633			843,012			462,599
Net investment income (loss)		59,835,913			1,144,364			3,171,086			1,852,881
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		92,381,551			(2,163,452	)		2,349,373			(1,754,087	)
Investments in affiliated issuers		—			(7,243	)		(64,261	)		(18,241	)
Futures contracts		—			(134,950	)		(537,864	)		(291,360	)
Foreign currency and foreign currency related transactions		(1,576,688	)		(22,153	)		—			—
Net realized gain (loss)		90,804,863			(2,327,798	)		1,747,248			(2,063,688	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(253,016,879	)		(5,310,021	)		(33,153,218	)		(22,480,310	)
Investments in affiliated issuers		—			2,647			26,176			3,629
Futures contracts		—			14,273			462,887			96,730
Foreign currency and foreign currency related transactions		(372,372	)		(21,466	)		—			—
Net change in unrealized appreciation (depreciation)		(253,389,251	)		(5,314,567	)		(32,664,155	)		(22,379,951	)
Net realized and unrealized gain (loss)		(162,584,388	)		(7,642,365	)		(30,916,907	)		(24,443,639	)
Net increase (decrease) in net assets resulting from operations	$	(102,748,475	)	$	(6,498,001	)	$	(27,745,821	)	$	(22,590,758	)
(a)      Withholding tax:	$	2,376,051		$	179,609		$	227		$	1,837
(b)      Foreign capital gains tax (benefit) on net realized gain (loss):	$	580,573		$	—		$	—		$	—
(c)      Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	(1,500,519	)	$	6,507		$	—		$	—

See accompanying notes to the financial statements. 66

GMO Trust Funds

Statements of Changes in Net Assets

	Climate Change Fund						Emerging Domestic Opportunities Fund
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022			Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,979,283		$	4,209,151		$	6,416,201		$	5,959,918
Net realized gain (loss)		(7,273,656	)		63,585,403			(71,196,780	)		6,464,490
Change in net unrealized appreciation (depreciation)		(32,219,869	)		(58,326,785	)		(58,412,986	)		(140,829,482	)
Net increase (decrease) in net assets from operations		(34,514,242	)		9,467,769			(123,193,565	)		(128,405,074	)
Distributions to shareholders:
Class II		—			—			(810,560	)		(19,585,057	)
Class III		(5,491,679	)		(39,431,752	)		—			—
Class V		—			—			(3,355,182	)		(40,195,516	)
Class R6		(2,225,725	)		(13,530,453	)		—			—
Class I		(6,603,600	)		(30,161,491	)		(56,879	)		(1,037,354	)
Total distributions		(14,321,004	)		(83,123,696	)		(4,222,621	)		(60,817,927	)
Net share transactions (Note 9):
Class II		—			—			(60,833,716	)		(10,423,150	)
Class III		22,526,662			165,751,876			—			—
Class V		—			—			(413,472,635	)		(62,497,493	)
Class R6		15,705,956			50,189,598			—			—
Class I		149,498,645			235,985,857			146,248			(3,642,128	)
Increase (decrease) in net assets resulting from net share transactions		187,731,263			451,927,331			(474,160,103	)		(76,562,771	)
Total increase (decrease) in net assets		138,896,017			378,271,404			(601,576,289	)		(265,785,772	)
Net assets:
Beginning of period		730,152,870			351,881,466			760,520,801			1,026,306,573
End of period	$	869,048,887		$	730,152,870		$	158,944,512		$	760,520,801

67 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Emerging Markets ex-China Fund						Emerging Markets Fund
	Six Months Ended August 31, 2022 (Unaudited)			Period from October 18, 2021 (commencement of operations) through February 28, 2022			Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	10,596,857		$	2,920,797		$	60,615,656		$	94,644,152
Net realized gain (loss)		(9,150,523	)		227,472			(78,468,056	)		134,355,921
Change in net unrealized appreciation (depreciation)		(63,121,668	)		(59,947,593	)		(352,810,015	)		(572,946,926	)
Net increase (decrease) in net assets from operations		(61,675,334	)		(56,799,324	)		(370,662,415	)		(343,946,853	)
Distributions to shareholders:
Class II		—			—			(2,917,840	)		(10,877,340	)
Class III		(93,682	)		(23,270	)*		(3,508,263	)		(15,036,779	)
Class VI		(1,765,929	)		(2,297,709	)		(16,995,970	)		(65,952,879	)
Class R6		—			—			(559,471	)		(1,932,217	)
Class I		(2	)		(3	)**		(1,782,387	)		(6,142,292	)
Total distributions		(1,859,613	)		(2,320,982	)		(25,763,931	)		(99,941,507	)
Net share transactions (Note 9):
Class II		—			—			(27,116,517	)		24,140,732
Class III		1,998,683			16,365,827	*		(13,594,200	)		(166,371,558	)
Class V		—			—			—			(315,869,299	)***
Class VI		27,269,654			339,851,236			1,248,114			(249,450,634	)
Class R6		—			—			3,035,443			5,685,636
Class I		2			503	**		15,016,165			67,945,520
Increase (decrease) in net assets resulting from net share transactions		29,268,339			356,217,566			(21,410,995	)		(633,919,603	)
Total increase (decrease) in net assets		(34,266,608	)		297,097,260			(417,837,341	)		(1,077,807,963	)
Net assets:
Beginning of period		297,097,260			—			1,934,732,388			3,012,540,351
End of period	$	262,830,652		$	297,097,260		$	1,516,895,047		$	1,934,732,388

* Period from November 17, 2021 (commencement of operations) through February 28, 2022.

** Period from December 1, 2021 (commencement of operations) through February 28, 2022.

*** Class V liquidated on April 29, 2021.

See accompanying notes to the financial statements. 68

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	International Equity Fund						Japan Value Creation Fund
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022			Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28,2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	56,604,120		$	84,376,014		$	1,937,242		$	3,126,596
Net realized gain (loss)		(58,896,254	)		211,671,131			(2,876,624	)		20,528,456
Change in net unrealized appreciation (depreciation)		(253,889,878	)		(177,873,927	)		(22,057,158	)		(25,642,038	)
Net increase (decrease) in net assets from operations		(256,182,012	)		118,173,218			(22,996,540	)		(1,986,986	)
Distributions to shareholders:
Class II		(15,443	)		(366,324	)		—			—
Class III		(1,074,582	)		(24,543,676	)		(1,238,546	)		—	**
Class IV		(4,318,919	)		(103,725,040	)		—			—
Class VI		—			—			(5,467,318	)		(24,444,217	)
Class I		(6,386	)		(143,501	)*		(130,740	)		(312,047	)***
Total distributions		(5,415,330	)		(128,778,541	)		(6,836,604	)		(24,756,264	)
Net share transactions (Note 9):
Class II		542			154,410			—			—
Class III		2,888,863			(64,863,064	)		4,646,262			23,595,006	**
Class IV		(181,724,178	)		(220,799,835	)		—			—
Class VI		—			—			(7,025,648	)		(4,444,830	)
Class I		(148,629	)		3,300,506	*		21,273			3,535,322	***
Increase (decrease) in net assets resulting from net share transactions		(178,983,402	)		(282,207,983	)		(2,358,113	)		22,685,498
Total increase (decrease) in net assets		(440,580,744	)		(292,813,306	)		(32,191,257	)		(4,057,752	)
Net assets:
Beginning of period		1,901,750,369			2,194,563,675			159,814,268			163,872,020
End of period	$	1,461,169,625		$	1,901,750,369		$	127,623,011		$	159,814,268

* Period from May 24, 2021 (commencement of operations) through February 28, 2022.

** Period from December 30, 2021 (commencement of operations) through February 28, 2022.

*** Period from June 7, 2021 (commencement of operations) through February 28, 2022.

69 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Quality Cyclicals Fund						Quality Fund
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022			Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,317,102		$	3,195,501		$	48,606,078		$	97,006,929
Net realized gain (loss)		8,034,407			16,586,147			440,615,529			511,445,075
Change in net unrealized appreciation (depreciation)		(27,500,523	)		(5,437,374	)		(1,205,240,264	)		497,845,399
Net increase (decrease) in net assets from operations		(18,149,014	)		14,344,274			(716,018,657	)		1,106,297,403
Distributions to shareholders:
Class III		—			—			(78,379,482	)		(208,459,284	)
Class IV		—			—			(23,944,722	)		(50,525,221	)
Class VI		(3,725,139	)		(29,159,128	)		(80,497,123	)		(211,183,341	)
Class R6		—			—			(14,705,439	)		(30,631,216	)
Class I		(2,367	)		(9,434	)*		(13,927,468	)		(28,062,487	)
Total distributions		(3,727,506	)		(29,168,562	)		(211,454,234	)		(528,861,549	)
Net share transactions (Note 9):
Class III		—			—			(111,957,517	)		(857,439,954	)
Class IV		—			—			122,644,722			111,734,620
Class VI		(13,900,529	)		14,291,719			(468,733,845	)		839,898,152
Class R6		—			—			42,155,971			157,998,340
Class I		—			89,975	*		64,526,220			160,637,473
Increase (decrease) in net assets resulting from net share transactions		(13,900,529	)		14,381,694			(351,364,449	)		412,828,631
Total increase (decrease) in net assets		(35,777,049	)		(442,594	)		(1,278,837,340	)		990,264,485
Net assets:
Beginning of period		141,546,203			141,988,797			8,359,169,583			7,368,905,098
End of period	$	105,769,154		$	141,546,203		$	7,080,332,243		$	8,359,169,583

* Period from July 16, 2021 (commencement of operations) through February 28, 2022.

See accompanying notes to the financial statements. 70

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Resources Fund						Tax-Managed International Equities Fund
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022			Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	59,835,913		$	69,825,573		$	1,144,364		$	1,475,736
Net realized gain (loss)		90,804,863			135,596,926			(2,327,798	)		6,723,726
Change in net unrealized appreciation (depreciation)		(253,389,251	)		(17,199,595	)		(5,314,567	)		(6,159,271	)
Net increase (decrease) in net assets from operations		(102,748,475	)		188,222,904			(6,498,001	)		2,040,191
Distributions to shareholders:
Class III		(8,356,501	)		(29,937,354	)		(845,064	)		(5,390,526	)
Class IV		(13,641,003	)		(94,223,444	)		—			—
Class VI		(25,803,970	)		—	*		—			—
Class R6		(5,656,916	)		(3,478,525	)		—			—
Class I		(25,449,113	)		(55,077,833	)		—			—
Total distributions		(78,907,503	)		(182,717,156	)		(845,064	)		(5,390,526	)
Net share transactions (Note 9):
Class III		27,417,753			138,203,591			9,938,432			(3,827,951	)
Class IV		57,720,303			(167,410,013	)		—			—
Class VI		(38,109,526	)		866,735,067	*		—			—
Class R6		81,875,307			103,708,055			—			—
Class I		176,716,414			257,993,206			—			—
Increase (decrease) in net assets resulting from net share transactions		305,620,251			1,199,229,906			9,938,432			(3,827,951	)
Total increase (decrease) in net assets		123,964,273			1,204,735,654			2,595,367			(7,178,286	)
Net assets:
Beginning of period		2,203,551,912			998,816,258			31,781,274			38,959,560
End of period	$	2,327,516,185		$	2,203,551,912		$	34,376,641		$	31,781,274

* Period from February 8, 2022 (commencement of operations) through February 28, 2022.

71 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	U.S. Equity Fund						U.S. Small Cap Value Fund
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022			Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,171,086		$	5,844,954		$	1,852,881		$	3,936,416
Net realized gain (loss)		1,747,248			79,406,685			(2,063,688	)		76,979,623
Change in net unrealized appreciation (depreciation)		(32,664,155	)		(33,300,126	)		(22,379,951	)		(31,906,411	)
Net increase (decrease) in net assets from operations		(27,745,821	)		51,951,513			(22,590,758	)		49,009,628
Distributions to shareholders:
Class III		(4,108,577	)		(17,687,300	)		—			—
Class VI		(18,202,428	)		(66,498,945	)		(15,906,146	)		(83,549,717	)
Total distributions		(22,311,005	)		(84,186,245	)		(15,906,146	)		(83,549,717	)
Net share transactions (Note 9):
Class III		4,279,235			(24,924,349	)		—			—
Class VI		(19,573,682	)		171,434,661			(12,220,712	)		(84,147,317	)
Increase (decrease) in net assets resulting from net share transactions		(15,294,447	)		146,510,312			(12,220,712	)		(84,147,317	)
Total increase (decrease) in net assets		(65,351,273	)		114,275,580			(50,717,616	)		(118,687,406	)
Net assets:
Beginning of period		465,478,003			351,202,423			253,810,234			372,497,640
End of period	$	400,126,730		$	465,478,003		$	203,092,618		$	253,810,234

See accompanying notes to the financial statements. 72

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND

	Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,																Period from April 5, 2017 (commencement of operations) through February 28, 2018
					2022				2021				2020				2019
Net asset value, beginning of period		$	30.23			$	34.39			$	22.36			$	22.04			$	23.81			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.19				0.28				0.35				0.41				0.36				0.23
Net realized and unrealized gain (loss)			(1.53	)			0.72				13.43				0.87				(1.61	)			4.41
Total from investment operations			(1.34	)			1.00				13.78				1.28				(1.25	)			4.64
Less distributions to shareholders:
From net investment income			(0.04	)			(0.57	)			(0.30	)			(0.45	)			(0.26	)			(0.22	)
From net realized gains			(0.48	)			(4.59	)			(1.45	)			(0.51	)			(0.26	)			(0.61	)
Total distributions			(0.52	)			(5.16	)			(1.75	)			(0.96	)			(0.52	)			(0.83	)
Net asset value, end of period		$	28.37			$	30.23			$	34.39			$	22.36			$	22.04			$	23.81
Total Return(b)			(4.17	)%**			2.91	%			63.84	%			5.66	%			(5.22	)%			23.28	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	311,605			$	306,996			$	178,223			$	121,062			$	113,000			$	26,694
Net expenses to average daily net assets(c)			0.77	%*			0.77	%			0.77	%			0.77	%			0.75	%			0.78	%*
Net investment income (loss) to average daily net assets(a)			1.30	%*			0.84	%			1.39	%			1.84	%			1.61	%			1.09	%*
Portfolio turnover rate(d)			66	%**			63	%			84	%			62	%			29	%			44	%**
Fees and expenses reimbursed and/or waived by GMO toaverage daily net assets:			0.02	%*			0.04	%(e)			0.13	%(e)			0.16	%(e)			0.26	%			0.73	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019			February 28, 2018
Portfolio turnover rate including transactions in USTF		66	%		140	%		145	%		173	%		121	%		174	%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

73 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28,								Period from January 16, 2020 (commencement of operations) through February 29, 2020
					2022				2021
Net asset value, beginning of period		$	30.17			$	34.33			$	22.36			$	24.55
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.19				0.28				0.31				0.01
Net realized and unrealized gain (loss)			(1.52	)			0.72				13.43				(2.20	)
Total from investment operations			(1.33	)			1.00				13.74				(2.19	)
Less distributions to shareholders:
From net investment income			(0.04	)			(0.57	)			(0.32	)			—
From net realized gains			(0.48	)			(4.59	)			(1.45	)			—
Total distributions			(0.52	)			(5.16	)			(1.77	)			—
Net asset value, end of period		$	28.32			$	30.17			$	34.33			$	22.36
Total Return(b)			(4.14	)%**			2.90	%			63.71	%			(8.92	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	124,953			$	115,014			$	74,961			$	1,129
Net expenses to average daily net assets(c)			0.77	%*			0.77	%			0.77	%			0.77	%*
Net investment income (loss) to average daily net assets(a)			1.34	%*			0.84	%			1.04	%			0.40	%*
Portfolio turnover rate(d)			66	%**			63	%			84	%			62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.04	%(e)			0.11	%(e)			0.23	%(e)*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		66	%		140	%		145	%		173	%

^(e)  Ratio includes 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. 74

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28,								Period from February 25, 2020 (commencement of operations) through February 29, 2020
					2022				2021
Net asset value, beginning of period		$	30.16			$	34.33			$	22.36			$	23.37
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.17				0.24				0.21				0.01
Net realized and unrealized gain (loss)			(1.52	)			0.73				13.53				(1.02	)
Total from investment operations			(1.35	)			0.97				13.74				(1.01	)
Less distributions to shareholders:
From net investment income			(0.03	)			(0.55	)			(0.32	)			—
From net realized gains			(0.48	)			(4.59	)			(1.45	)			—
Total distributions			(0.51	)			(5.14	)			(1.77	)			—
Net asset value, end of period		$	28.30			$	30.16			$	34.33			$	22.36
Total Return(b)			(4.20	)%**			2.81	%			63.67	%			(4.32	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	432,491			$	308,143			$	98,697			$	962
Net expenses to average daily net assets(c)			0.87	%*			0.87	%			0.87	%			0.87	%*
Net investment income (loss) to average daily net assets(a)			1.22	%*			0.72	%			0.66	%			1.93	%*
Portfolio turnover rate(d)			66	%**			63	%			84	%			62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.04	%(e)			0.11	%(e)			0.43	%(e)*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		66	%		140	%		145	%		173	%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

75 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND

	Class II Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022				2021				2020				2019				2018
Net asset value, beginning of period		$	21.96			$	27.68			$	21.14			$	21.61			$	28.86			$	22.64
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.21				0.15				0.17				0.40				0.24				0.25
Net realized and unrealized gain (loss)			(3.74	)			(3.95	)			6.53				0.18				(4.58	)			6.33
Total from investment operations			(3.53	)			(3.80	)			6.70				0.58				(4.34	)			6.58
Less distributions to shareholders:
From net investment income			(0.11	)			(0.06	)			(0.16	)			(1.05	)			(0.17	)			(0.36	)
From net realized gains			—				(1.86	)			—				—				(2.74	)			—
Total distributions			(0.11	)			(1.92	)			(0.16	)			(1.05	)			(2.91	)			(0.36	)
Net asset value, end of period		$	18.32			$	21.96			$	27.68			$	21.14			$	21.61			$	28.86
Total Return(b)			(16.09	)%**			(14.13	)%			31.76	%			2.39	%			(15.48	)%			29.10	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	141,201			$	238,702			$	309,966			$	292,418			$	467,336			$	700,211
Net expenses to average daily net assets(c)			1.09	%*			1.06	%			1.03	%			1.03	%			1.04	%			1.06	%
Net investment income (loss) to average daily net assets(a)			2.10	%*			0.56	%			0.73	%			1.81	%			1.00	%			0.96	%
Portfolio turnover rate(d)			75	%**			190	%			216	%			186	%			238	%			201	%
Fees and expenses reimbursed and/or waived by GMO to average dailynet assets:			0.07	%*			0.02	%(e)			0.02	%(e)			0.02	%(e)			0.01	%			0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	0.05			$	0.05			$	0.03

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019			February 28, 2018
Portfolio turnover rate including transactions in USTF		80	%		215	%		236	%		235	%		254	%		254	%

^(e)  Ratio includes 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. 76

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND (continued)

	Class V Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022				2021				2020				2019				2018
Net asset value, beginning of period		$	21.97			$	27.66			$	21.12			$	21.60			$	28.85			$	22.62
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.24				0.18				0.20				0.43				0.28				0.29
Net realized and unrealized gain (loss)			(3.77	)			(3.93	)			6.53				0.17				(4.60	)			6.33
Total from investment operations			(3.53	)			(3.75	)			6.73				0.60				(4.32	)			6.62
Less distributions to shareholders:
From net investment income			(0.16	)			(0.08	)			(0.19	)			(1.08	)			(0.19	)			(0.39	)
From net realized gains			—				(1.86	)			—				—				(2.74	)			—
Total distributions			(0.16	)			(1.94	)			(0.19	)			(1.08	)			(2.93	)			(0.39	)
Net asset value, end of period		$	18.28			$	21.97			$	27.66			$	21.12			$	21.60			$	28.85
Total Return(b)			(16.06	)%**			(13.98	)%			31.95	%			2.50	%			(15.37	)%			29.31	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	7,986			$	510,307			$	697,864			$	565,384			$	755,613			$	1,280,851
Net expenses to average daily net assets(c)			0.94	%*			0.92	%			0.90	%			0.89	%			0.90	%			0.92	%
Net investment income (loss) to average daily net assets(a)			2.38	%*			0.70	%			0.87	%			1.94	%			1.19	%			1.09	%
Portfolio turnover rate(d)			75	%**			190	%			216	%			186	%			238	%			201	%
Fees and expenses reimbursed and/or waived by GMO to averagedaily net assets:			0.07	%*			0.02	%(e)			0.02	%(e)			0.02	%(e)			0.01	%			0.02	%
Purchase premiums and redemption fees consisted of the followingper share amounts (Note 2):†		$	—			$	—			$	—			$	0.04			$	0.05			$	0.03

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019			February 28, 2018
Portfolio turnover rate including transactions in USTF		80	%		215	%		236	%		235	%		254	%		254	%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

77 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING DOMESTIC OPPORTUNITIES FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28, 2022				Period from January 22, 2021 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	21.95			$	27.67			$	28.88
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.22				0.15				0.02
Net realized and unrealized gain (loss)			(3.76	)			(3.94	)			(1.23	)
Total from investment operations			(3.54	)			(3.79	)			(1.21	)
Less distributions to shareholders:
From net investment income			(0.11	)			(0.07	)			—
From net realized gains			—				(1.86	)			—
Total distributions			(0.11	)			(1.93	)			—
Net asset value, end of period		$	18.30			$	21.95			$	27.67
Total Return(b)			(16.12	)%**			(14.12	)%			(4.19	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	9,758			$	11,512			$	18,476
Net expenses to average daily net assets(c)			1.12	%*			1.09	%			1.04	%*
Net investment income (loss) to average daily net assets(a)			2.20	%*			0.57	%			0.82	%*
Portfolio turnover rate(d)			75	%**			190	%			216	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.14	%*			0.09	%(e)			0.08	%(e)*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022			February 28, 2021
Portfolio turnover rate including transactions in USTF		80	%		215	%		236	%

^(e)  Ratio includes 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. 78

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS EX-CHINA FUND

	Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)				Period from November 17, 2021 (commencement of operations) through February 28, 2022
Net asset value, beginning of period		$	16.65			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.54				0.15
Net realized and unrealized gain (loss)			(3.84	)			(3.37	)
Total from investment operations			(3.30	)			(3.22	)
Less distributions to shareholders:
From net investment income			(0.03	)			(0.13	)
From net realized gains			(0.06	)			—
Total distributions			(0.09	)			(0.13	)
Net asset value, end of period		$	13.26			$	16.65
Total Return(b)			(19.77	)%**			(16.20	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	13,606			$	14,810
Net expenses to average daily net assets(c)			0.80	%*			0.80	%*
Net investment income (loss) to average daily net assets(a)			7.55	%*			2.52	%*
Portfolio turnover rate(d)			50	%**			43	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.08	%*			0.16	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022
Portfolio turnover rate including transactions in USTF		150	%		43	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

79 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS EX-CHINA FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2022 (Unaudited)				Period from October 18, 2021 (commencement of operations) through February 28, 2022
Net asset value, beginning of period		$	16.66			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.54				0.17
Net realized and unrealized gain (loss)			(3.84	)			(3.38	)
Total from investment operations			(3.30	)			(3.21	)
Less distributions to shareholders:
From net investment income			(0.03	)			(0.13	)
From net realized gains			(0.06	)			—
Total distributions			(0.09	)			(0.13	)
Net asset value, end of period		$	13.27			$	16.66
Total Return(b)			(19.74	)%**			(16.15	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	249,224			$	282,287
Net expenses to average daily net assets(c)			0.67	%*			0.67	%*
Net investment income (loss) to average daily net assets(a)			7.49	%*			2.36	%*
Portfolio turnover rate(d)			50	%**			43	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.11	%*			0.20	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022
Portfolio turnover rate including transactions in USTF		150	%		43	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 80

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS EX-CHINA FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022 (Unaudited)				Period from December 1, 2021 (commencement of operations) through February 28, 2022
Net asset value, beginning of period		$	16.64			$	19.34
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.54				0.12
Net realized and unrealized gain (loss)			(3.84	)			(2.69	)
Total from investment operations			(3.30	)			(2.57	)
Less distributions to shareholders:
From net investment income			(0.01	)			(0.13	)
From net realized gains			(0.06	)			—
Total distributions			(0.07	)			(0.13	)
Net asset value, end of period		$	13.27			$	16.64
Total Return(b)			(19.76	)%**			(13.38	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	0	(c)		$	0	(c)
Net expenses to average daily net assets(d)			0.95	%*			0.93	%*
Net investment income (loss) to average daily net assets(a)			7.22	%*			2.54	%*
Portfolio turnover rate(e)			50	%**			43	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.09	%*			0.19	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

^(c)  Rounds to less than $1,000.

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

^(e)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022
Portfolio turnover rate including transactions in USTF		150	%		43	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

81 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND

	Class II Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022				2021				2020				2019				2018
Net asset value, beginning of period		$	29.81			$	36.70			$	30.75			$	32.23			$	36.42			$	29.98
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.90				1.21				0.86				1.13				1.01				0.75
Net realized and unrealized gain (loss)			(6.66	)			(6.58	)			6.36				(1.02	)			(4.22	)			6.58
Total from investment operations			(5.76	)			(5.37	)			7.22				0.11				(3.21	)			7.33
Less distributions to shareholders:
From net investment income			(0.39	)			(1.52	)			(1.27	)			(1.59	)			(0.98	)			(0.89	)
Total distributions			(0.39	)			(1.52	)			(1.27	)			(1.59	)			(0.98	)			(0.89	)
Net asset value, end of period		$	23.66			$	29.81			$	36.70			$	30.75			$	32.23			$	36.42
Total Return(b)			(19.30	)%**			(15.13	)%			23.89	%			(0.11	)%			(8.57	)%			24.66	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	186,138			$	262,449			$	291,833			$	397,798			$	451,720			$	479,640
Net expenses to average daily net assets(c)			0.98	%*			0.92	%			0.93	%			0.93	%			0.93	%			0.96	%
Net investment income (loss) to average daily net assets(a)			6.98	%*			3.34	%			2.73	%			3.44	%			3.09	%			2.25	%
Portfolio turnover rate			65	%**			102	%			102	%			100	%(d)			98	%(d)			87	%(d)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.03	%			0.07	%(e)			0.13	%(e)			0.13	%			0.13	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	0.02			$	0.08			$	0.11

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  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 including transactions in USTF during the period and/or year ended:

August 31, 2022

February 28, 2022

February 28, 2021

February 29, 2020

February 28, 2019

February 28, 2018

Portfolio turnover rate including transactions in USTF

N/A

N/A

N/A

123

%

128

%

117

%

^(e) Ratio includes 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. 82

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022				2021				2020				2019				2018
Net asset value, beginning of period		$	29.91			$	36.81			$	30.84			$	32.32			$	36.51			$	30.05
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.93				1.27				0.76				1.21				1.01				0.72
Net realized and unrealized gain (loss)			(6.71	)			(6.64	)			6.51				(1.09	)			(4.21	)			6.64
Total from investment operations			(5.78	)			(5.37	)			7.27				0.12				(3.20	)			7.36
Less distributions to shareholders:
From net investment income			(0.39	)			(1.53	)			(1.30	)			(1.60	)			(0.99	)			(0.90	)
Total distributions			(0.39	)			(1.53	)			(1.30	)			(1.60	)			(0.99	)			(0.90	)
Net asset value, end of period		$	23.74			$	29.91			$	36.81			$	30.84			$	32.32			$	36.51
Total Return(b)			(19.29	)%**			(15.08	)%			23.99	%			(0.08	)%			(8.51	)%			24.71	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	198,714			$	267,177			$	501,907			$	333,779			$	277,824			$	390,827
Net expenses to average daily net assets(c)			0.93	%*			0.87	%			0.88	%			0.88	%			0.88	%			0.91	%
Net investment income (loss) to average daily net assets(a)			7.22	%*			3.47	%			2.36	%			3.68	%			3.08	%			2.14	%
Portfolio turnover rate			65	%**			102	%			102	%			100	%(d)			98	%(d)			87	%(d)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.01	%			0.04	%(e)			0.11	%(e)			0.11	%			0.11	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	0.02			$	0.08			$	0.11

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d) 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 including transactions in USTF during the period and/or year ended:

August 31, 2022

February 28, 2022

February 28, 2021

February 29, 2020

February 28, 2019

February 28, 2018

Portfolio turnover rate including transactions in USTF

N/A

N/A

N/A

123

%

128

%

117

%

^(e) Ratio includes indirect fees waived or borne by GMO.

^† Calculated using average shares outstanding throughout the period.

^* Annualized.

^** Not annualized.

83 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022				2021				2020				2019				2018
Net asset value, beginning of period		$	29.56			$	36.41			$	30.52			$	32.00			$	36.16			$	29.77
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.92				1.33				0.87				1.23				1.06				0.78
Net realized and unrealized gain (loss)			(6.61	)			(6.59	)			6.36				(1.07	)			(4.19	)			6.56
Total from investment operations			(5.69	)			(5.26	)			7.23				0.16				(3.13	)			7.34
Less distributions to shareholders:
From net investment income			(0.41	)			(1.59	)			(1.34	)			(1.64	)			(1.03	)			(0.95	)
Total distributions			(0.41	)			(1.59	)			(1.34	)			(1.64	)			(1.03	)			(0.95	)
Net asset value, end of period		$	23.46			$	29.56			$	36.41			$	30.52			$	32.00			$	36.16
Total Return(b)			(19.22	)%**			(14.98	)%			24.11	%			0.05	%			(8.39	)%			24.90	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	989,223			$	1,244,914			$	1,787,607			$	2,182,893			$	2,685,798			$	3,575,505
Net expenses to average daily net assets(c)			0.80	%*			0.74	%			0.75	%			0.75	%			0.75	%			0.78	%
Net investment income (loss) to average daily net assets(a)			7.26	%*			3.69	%			2.75	%			3.76	%			3.25	%			2.36	%
Portfolio turnover rate			65	%**			102	%			102	%			100	%(d)			98	%(d)			87	%(d)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*			0.05	%			0.08	%(e)			0.15	%(e)			0.14	%			0.14	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	0.02			$	0.08			$	0.11

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d) 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 including transactions in USTF during the period and/or year ended:

August 31, 2022

February 28, 2022

February 28, 2021

February 29, 2020

February 28, 2019

February 28, 2018

Portfolio turnover rate including transactions in USTF

N/A

N/A

N/A

123

%

128

%

117

%

^(e) Ratio includes 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. 84

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28, 2022				Period from March 31, 2020 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	29.78			$	36.67			$	26.05
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.92				1.15				0.72
Net realized and unrealized gain (loss)			(6.67	)			(6.51	)			11.20
Total from investment operations			(5.75	)			(5.36	)			11.92
Less distributions to shareholders:
From net investment income			(0.39	)			(1.53	)			(1.30	)
Total distributions			(0.39	)			(1.53	)			(1.30	)
Net asset value, end of period		$	23.64			$	29.78			$	36.67
Total Return(b)			(19.28	)%**			(15.13	)%			46.24	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	34,452			$	40,197			$	43,664
Net expenses to average daily net assets(c)			0.98	%*			0.93	%			0.93	%*
Net investment income (loss) to average daily net assets(a)			7.22	%*			3.18	%			2.39	%*
Portfolio turnover rate			65	%**			102	%			102	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.03	%			0.05	%(d)*

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5). (d) Ratio includes indirect fees waived or borne by GMO.

^† Calculated using average shares outstanding throughout the period.

^* Annualized.

^** Not annualized.

85 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022				Year Ended February 28,								Period from January 14, 2020 (commencement of operations) through February 29,
	(Unaudited)				2022				2021				2020
Net asset value, beginning of period		$	29.75			$	36.66			$	30.75			$	35.29
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.91				1.13				0.52				0.00	(b)
Net realized and unrealized gain (loss)			(6.66	)			(6.52	)			6.68				(4.54	)
Total from investment operations			(5.75	)			(5.39	)			7.20				(4.54	)
Less distributions to shareholders:
From net investment income			(0.38	)			(1.52	)			(1.29	)			—
Total distributions			(0.38	)			(1.52	)			(1.29	)			—
Net asset value, end of period		$	23.62			$	29.75			$	36.66			$	30.75
Total Return(c)			(19.29	)%**			(15.20	)%			23.83	%			(12.86	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	108,368			$	119,995			$	79,824			$	16,158
Net expenses to average daily net assets(d)			1.03	%*			0.98	%			0.98	%			0.94	%*
Net investment income (loss) to average daily net assets(a)			7.16	%*			3.14	%			1.55	%			(0.05	)%*
Portfolio turnover rate			65	%**			102	%			102	%			100	%(e)**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.11	%*			0.10	%			0.10	%(f)			0.19	%(f)*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Rounds to less than $0.01.

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

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

^(e)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022		February 28, 2022		February 28, 2021		February 29, 2020
Portfolio turnover rate including transactions in USTF		N/A		N/A		N/A		123	%

^(f)  Ratio includes 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. 86

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND

	Class II Shares
	Six Months Ended August 31, 2022			Year Ended February 28/29,
	(Unaudited)			2022			2021			2020			2019			2018
Net asset value, beginning of period	$	22.70		$	23.04		$	19.83		$	20.08		$	23.63		$	20.18
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.72	(b)		0.91	(b)		0.75	(b)		0.72			0.57			0.41
Net realized and unrealized gain (loss)		(4.07	)		0.26			3.46			(0.22	)		(3.45	)		3.78
Total from investment operations		(3.35	)		1.17			4.21			0.50			(2.88	)		4.19
Less distributions to shareholders:
From net investment income		(0.06	)		(1.51	)		(1.00	)		(0.75	)		(0.67	)		(0.74	)
Total distributions		(0.06	)		(1.51	)		(1.00	)		(0.75	)		(0.67	)		(0.74	)
Net asset value, end of period	$	19.29		$	22.70		$	23.04		$	19.83		$	20.08		$	23.63
Total Return(c)		(14.75	)%(d)**		5.00	%(d)		21.58	%(e)		2.19	%		(12.07	)%		20.85	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	4,773		$	5,615		$	5,546		$	10,802		$	18,202		$	23,736
Net expenses to average daily net assets(f)		0.73	%*		0.74	%		0.73	%		0.73	%		0.73	%		0.72	%
Net investment income (loss) to average daily net assets(a)		6.79	%(b)*		3.69	%(b)		3.82	%(b)		3.52	%		2.64	%		1.77	%
Portfolio turnover rate(g)		28	%**		64	%		48	%		46	%		41	%		45	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%*		0.03	%		0.03	%		0.03	%(h)		0.02	%		0.04	%

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

August 31, 2022				February 28, 2022				February 28, 2021
	$	3,533			$	12,515			$	69,807
		6.66	%			3.48	%			2.62	%

^(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)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

August 31, 2022			February 28, 2022
	0.06	%		0.21	%

^(e)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees, had a positive impact to total return, adding 1.58% to each class’s total return (See Note 2).

^(f)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(g)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolio turnover rate including transactions in USTF	N/A	N/A	N/A	65%	54%	61%

^(h)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

87 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

	Class III Shares
	Six Months Ended August 31, 2022			Year Ended February 28/29,
	(Unaudited)			2022			2021			2020			2019			2018
Net asset value, beginning of period	$	23.00		$	23.32		$	20.09		$	20.33		$	23.92		$	20.41
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.73	(b)		0.96	(b)		0.75	(b)		0.70			0.57			0.61
Net realized and unrealized gain (loss)		(4.11	)		0.25			3.51			(0.17	)		(3.47	)		3.64
Total from investment operations		(3.38	)		1.21			4.26			0.53			(2.90	)		4.25
Less distributions to shareholders:
From net investment income		(0.07	)		(1.53	)		(1.03	)		(0.77	)		(0.69	)		(0.74	)
Total distributions		(0.07	)		(1.53	)		(1.03	)		(0.77	)		(0.69	)		(0.74	)
Net asset value, end of period	$	19.55		$	23.00		$	23.32		$	20.09		$	20.33		$	23.92
Total Return(c)		(14.70	)%(d)**		5.08	%(d)		21.60	%(e)		2.29	%		(12.02	)%		20.96	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	307,738		$	358,775		$	423,332		$	452,165		$	507,195		$	485,782
Net expenses to average daily net assets(f)		0.66	%*		0.67	%		0.66	%		0.66	%		0.66	%		0.65	%
Net investment income (loss) to average daily net assets(a)		6.86	%(b)*		3.84	%(b)		3.70	%(b)		3.36	%		2.64	%		2.68	%
Portfolio turnover rate(g)		28	%**		64	%		48	%		46	%		41	%		45	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%*		0.03	%		0.03	%		0.03	%(h)		0.02	%		0.04	%

(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

(b) Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

August 31, 2022				February 28, 2022				February 28, 2021
	$	226,221			$	861,919			$	6,194,610
		6.73	%			3.63	%			2.30	%

^(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)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

August 31, 2022			February 28, 2022
	0.06	%		0.21	%

^(e)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees, had a positive impact to total return, adding 1.58% to each class’s total return (See Note 2).

^(f)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(g)  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 including transactions in USTF during the period and/or year ended:

August 31, 2022

February 28, 2022

February 28, 2021

February 29, 2020

February 28, 2019

February 28, 2018

Portfolio turnover rate including transactions in USTF

N/A

N/A

N/A

65

%

54

%

61

%

^(h) Ratio includes 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. 88

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

	Class IV Shares
	Six Months Ended August 31, 2022			Year Ended February 28/29,
	(Unaudited)			2022			2021			2020			2019			2018
Net asset value, beginning of period	$	22.96		$	23.28		$	20.05		$	20.29		$	23.87		$	20.38
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.74	(b)		0.96	(b)		0.77	(b)		0.74			0.63			0.56
Net realized and unrealized gain (loss)		(4.12	)		0.26			3.50			(0.20	)		(3.51	)		3.69
Total from investment operations		(3.38	)		1.22			4.27			0.54			(2.88	)		4.25
Less distributions to shareholders:
From net investment income		(0.07	)		(1.54	)		(1.04	)		(0.78	)		(0.70	)		(0.76	)
Total distributions		(0.07	)		(1.54	)		(1.04	)		(0.78	)		(0.70	)		(0.76	)
Net asset value, end of period	$	19.51		$	22.96		$	23.28		$	20.05		$	20.29		$	23.87
Total Return(c)		(14.70	)%(d)**		5.16	%(d)		21.71	%(e)		2.34	%		(11.95	)%		20.98	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,146,220		$	1,534,339		$	1,765,686		$	2,584,648		$	3,156,760		$	4,558,167
Net expenses to average daily net assets(f)		0.60	%*		0.61	%		0.60	%		0.60	%		0.60	%		0.59	%
Net investment income (loss) to average daily net assets(a)		6.93	%(b)*		3.88	%(b)		3.81	%(b)		3.53	%		2.89	%		2.45	%
Portfolio turnover rate(g)		28	%**		64	%		48	%		46	%		41	%		45	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%*		0.03	%		0.03	%		0.03	%(h)		0.02	%		0.04	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

August 31, 2022				February 28, 2022				February 28, 2021
	$	876,319			$	3,699,861			$	27,980,578
		6.80	%			3.67	%			2.49	%

^(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)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

August 31, 2022			February 28, 2022
	0.06	%		0.21	%

^(e)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees, had a positive impact to total return, adding 1.58% to each class’s total return (See Note 2).

^(f)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(g)  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 including transactions in USTF during the period and/or year ended:

August 31, 2022

February 28, 2022

February 28, 2021

February 29, 2020

February 28, 2019

February 28, 2018

Portfolio turnover rate including transactions in USTF

N/A

N/A

N/A

65

%

54

%

61

%

^(h)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

89 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022 (Unaudited)				Period from May 24, 2021 (commencement of operations) through February 28, 2022
Net asset value, beginning of period		$	23.08			$	25.79
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.72	(b)			0.44	(b)
Net realized and unrealized gain (loss)			(4.13	)			(2.05	)
Total from investment operations			(3.41	)			(1.61	)
Less distributions to shareholders:
From net investment income			(0.05	)			(1.10	)
Total distributions			(0.05	)			(1.10	)
Net asset value, end of period		$	19.62			$	23.08
Total Return(c)			(14.77	)%(d)**			(6.27	)%(e)**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,439			$	3,021
Net expenses to average daily net assets(f)			0.83	%*			0.89	%*
Net investment income (loss) to average daily net assets(a)			6.69	%(b)*			2.35	%(b)*
Portfolio turnover rate(g)			28	%**			64	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.03	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

August 31, 2022				February 28, 2022
	$	1,831			$	2,264
		6.56	%			1.63	%

^(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)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding 0.06% to class I’s total return (Note 2).

^(e)  EU tax reclaim payments and related interest received during the period, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding 0.16% to Class I’s total return (Note 2). Class I commenced operations on May 24, 2021.

^(f)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(g)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022		February 28, 2022
Portfolio turnover rate including transactions in USTF		N/A		N/A

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 90

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

JAPAN VALUE CREATION FUND

	Class III Shares
	Six Months Ended August 31, 2022				Period from December 30, 2021 (commencement of operations) through February 28,
	(Unaudited)				2022
Net asset value, beginning of period		$	19.71			$	19.81
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.25				(0.03	)
Net realized and unrealized gain (loss)			(3.25	)			(0.07	)
Total from investment operations			(3.00	)			(0.10	)
Less distributions to shareholders:
From net investment income			(0.07	)			—
From net realized gains			(0.81	)			—
Total distributions			(0.88	)			—
Net asset value, end of period		$	15.83			$	19.71
Total Return(b)			(15.25	)%**			(0.50	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	23,659			$	23,673
Net expenses to average daily net assets(c)			0.66	%*			0.66	%*
Net investment income (loss) to average daily net assets(a)			2.86	%*			(0.55	)%*
Portfolio turnover rate			22	%**			47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.13	%*			0.15	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

91 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

JAPAN VALUE CREATION FUND (continued)

	Class VI Shares
							Period from
							September 14, 2020
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022			(commencement of operations) through February 28, 2021
Net asset value, beginning of period	$	19.71		$	23.47		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.25			0.43			0.17
Net realized and unrealized gain (loss)		(3.25	)		(0.71	)		3.59
Total from investment operations		(3.00	)		(0.28	)		3.76
Less distributions to shareholders:
From net investment income		(0.07	)		(1.50	)		(0.28	)
From net realized gains		(0.81	)		(1.98	)		(0.01	)
Total distributions		(0.88	)		(3.48	)		(0.29	)
Net asset value, end of period	$	15.83		$	19.71		$	23.47
Total Return(b)		(15.25	)%**		(1.45	)%		18.82	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	101,443		$	133,035		$	163,872
Net expenses to average daily net assets(c)		0.57	%*		0.57	%		0.56	%*
Net investment income (loss) to average daily net assets(a)		2.87	%*		1.90	%		1.68	%*
Portfolio turnover rate		22	%**		47	%		28	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.12	%*		0.08	%		0.23	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 92

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

JAPAN VALUE CREATION FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022 (Unaudited)				Period from June 7, 2021 (commencement of operations) through February 28, 2022
Net asset value, beginning of period		$	19.69			$	24.95
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.25				0.12
Net realized and unrealized gain (loss)			(3.27	)			(1.91	)(b)
Total from investment operations			(3.02	)			(1.79	)
Less distributions to shareholders:
From net investment income			(0.05	)			(1.49	)
From net realized gains			(0.81	)			(1.98	)
Total distributions			(0.86	)			(3.47	)
Net asset value, end of period		$	15.81			$	19.69
Total Return(c)			(15.33	)%**			(7.43	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,521			$	3,107
Net expenses to average daily net assets(d)			0.76	%*			0.77	%*
Net investment income (loss) to average daily net assets(a)			2.87	%*			0.79	%*
Portfolio turnover rate			22	%**			47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.14	%*			0.12	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 the Fund shares in relation to fluctuating market values of the investments of the Fund.

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

93 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY CYCLICALS FUND

	Class VI Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28, 2022				Period from May 12, 2020 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	25.77			$	29.06			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.27				0.64				0.38
Net realized and unrealized gain (loss)			(4.01	)			2.24				10.23
Total from investment operations			(3.74	)			2.88				10.61
Less distributions to shareholders:
From net investment income			(0.30	)			(0.84	)			(0.60	)
From net realized gains			(0.47	)			(5.33	)			(0.95	)
Total distributions			(0.77	)			(6.17	)			(1.55	)
Net asset value, end of period		$	21.26			$	25.77			$	29.06
Total Return(b)			(14.39	)%**			10.22	%			53.56	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	105,702			$	141,465			$	141,989
Net expenses to average daily net assets(c)			0.40	%*			0.40	%			0.40	%*
Net investment income (loss) to average daily net assets(a)			2.27	%*			2.20	%			1.92	%*
Portfolio turnover rate(d)			9	%**			22	%			65	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.12	%*			0.08	%			0.20	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022			February 28, 2021
Portfolio turnover rate including transactions in USTF		11	%		27	%		70	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 94

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY CYCLICALS FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022 (Unaudited)				Period from July 16, 2021 (commencement of operations) through February 28, 2022
Net asset value, beginning of period		$	25.76			$	28.45
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.24				0.34
Net realized and unrealized gain (loss)			(4.00	)			(0.05	)(b)
Total from investment operations			(3.76	)			0.29
Less distributions to shareholders:
From net investment income			(0.28	)			(0.47	)
From net realized gains			(0.47	)			(2.51	)
Total distributions			(0.75	)			(2.98	)
Net asset value, end of period		$	21.25			$	25.76
Total Return(c)			(14.48	)%**			1.42	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	67			$	81
Net expenses to average daily net assets(d)			0.59	%*			0.59	%*
Net investment income (loss) to average daily net assets(a)			2.07	%*			1.92	%*
Portfolio turnover rate(e)			9	%**			22	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.12	%*			0.08	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 the Fund shares in relation to fluctuating market values of the investments of the Fund.

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

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

^(e)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022
Portfolio turnover rate including transactions in USTF		11	%		27	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

95 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND

	Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022				2021				2020				2019				2018
Net asset value, beginning of period		$	28.05			$	25.98			$	22.77			$	22.28			$	25.13			$	22.05
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.17				0.33	(b)			0.32				0.35				0.35				0.36
Net realized and unrealized gain (loss)			(2.67	)			3.56				6.37				2.15				1.21				4.70
Total from investment operations			(2.50	)			3.89				6.69				2.50				1.56				5.06
Less distributions to shareholders:
From net investment income			(0.04	)			(0.32	)			(0.35	)			(0.36	)			(0.39	)			(0.41	)
From net realized gains			(0.72	)			(1.50	)			(3.13	)			(1.65	)			(4.02	)			(1.57	)
Total distributions			(0.76	)			(1.82	)			(3.48	)			(2.01	)			(4.41	)			(1.98	)
Net asset value, end of period		$	24.79			$	28.05			$	25.98			$	22.77			$	22.28			$	25.13
Total Return(c)			(8.86	)%**			14.71	%(d)			30.83	%			10.64	%			6.86	%			23.32	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,553,550			$	2,996,330			$	3,519,473			$	3,195,240			$	3,065,461			$	3,524,103
Net expenses to average daily net assets(e)			0.49	%*			0.48	%			0.48	%			0.48	%			0.48	%			0.48	%
Net investment income (loss) to average daily net assets(a)			1.25	%*			1.12	%(b)			1.33	%			1.44	%			1.42	%			1.48	%
Portfolio turnover rate(f)			8	%**			18	%			28	%			17	%			18	%			10	%
Fees and expenses reimbursed and/or waived by GMO toaverage daily net assets:			0.02	%*			0.02	%(g)			0.02	%(g)			0.02	%(g)			0.02	%			0.02	%

(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

(b) Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

                February 28,

                    2022

$6,233,641

0.94%

(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) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

                February 28,

                    2022

0.20%

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

(f) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019			February 28, 2018
Portfolio turnover rate including transactions in USTF		8	%		18	%		28	%		17	%		20	%		23	%

(g) Ratio includes 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. 96

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class IV Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022				2021				2020				2019				2018
Net asset value, beginning of period		$	28.13			$	26.04			$	22.82			$	22.32			$	25.17			$	22.08
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.17				0.32	(b)			0.34				0.37				0.36				0.37
Net realized and unrealized gain (loss)			(2.67	)			3.60				6.37				2.14				1.22				4.70
Total from investment operations			(2.50	)			3.92				6.71				2.51				1.58				5.07
Less distributions to shareholders:
From net investment income			(0.05	)			(0.33	)			(0.36	)			(0.36	)			(0.41	)			(0.41	)
From net realized gains			(0.72	)			(1.50	)			(3.13	)			(1.65	)			(4.02	)			(1.57	)
Total distributions			(0.77	)			(1.83	)			(3.49	)			(2.01	)			(4.43	)			(1.98	)
Net asset value, end of period		$	24.86			$	28.13			$	26.04			$	22.82			$	22.32			$	25.17
Total Return(c)			(8.85	)%**			14.79	%(d)			30.86	%			10.70	%			6.91	%			23.37	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	927,094			$	912,163			$	750,632			$	852,866			$	1,139,024			$	957,900
Net expenses to average daily net assets(e)			0.44	%*			0.44	%			0.44	%			0.44	%			0.44	%			0.44	%
Net investment income (loss) to average daily net assets(a)			1.29	%*			1.08	%(b)			1.37	%			1.52	%			1.46	%			1.53	%
Portfolio turnover rate(f)			8	%**			18	%			28	%			17	%			18	%			10	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%(g)			0.02	%(g)			0.02	%(g)			0.02	%			0.02	%

(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

(b) Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

                February 28,

                    2022

$1,577,219

0.91%

(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) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

                February 28,

                    2022

0.20%

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

(f) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolio turnover rate including transactions in USTF	8%	18%	28%	17%	20%	23%

(g) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

97 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class IV Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022				2021				2020				2019				2018
Net asset value, beginning of period		$	28.06			$	25.98			$	22.77			$	22.28			$	25.13			$	22.05
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.18				0.34	(b)			0.35				0.37				0.38				0.38
Net realized and unrealized gain (loss)			(2.68	)			3.60				6.37				2.15				1.21				4.70
Total from investment operations			(2.50	)			3.94				6.72				2.52				1.59				5.08
Less distributions to shareholders:
From net investment income			(0.05	)			(0.36	)			(0.38	)			(0.38	)			(0.42	)			(0.43	)
From net realized gains			(0.72	)			(1.50	)			(3.13	)			(1.65	)			(4.02	)			(1.57	)
Total distributions			(0.77	)			(1.86	)			(3.51	)			(2.03	)			(4.44	)			(2.00	)
Net asset value, end of period		$	24.79			$	28.06			$	25.98			$	22.77			$	22.28			$	25.13
Total Return(c)			(8.85	)%**			14.86	%(d)			30.95	%			10.73	%			6.96	%			23.43	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	2,627,425			$	3,461,580			$	2,465,066			$	2,077,277			$	2,227,287			$	3,561,976
Net expenses to average daily net assets(e)			0.39	%*			0.39	%			0.39	%			0.39	%			0.39	%			0.39	%
Net investment income (loss) to average daily net assets(a)			1.34	%*			1.16	%(b)			1.41	%			1.55	%			1.54	%			1.57	%
Portfolio turnover rate(f)			8	%**			18	%			28	%			17	%			18	%			10	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%(g)			0.02	%(g)			0.02	%(g)			0.02	%			0.02	%

(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

(b) Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

                February 28,

                    2022

$5,862,655

0.99%

(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) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

                February 28,

                    2022

0.20%

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

(f) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019			February 28, 2018
Portfolio turnover rate including transactions in USTF		8	%		18	%		28	%		17	%		20	%		23	%

(g) Ratio includes 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. 98

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28,								Period from November 12, 2019 (commencement of operations) through February 29, 2020
					2022				2021
Net asset value, beginning of period		$	28.02			$	25.96			$	22.76			$	25.21
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.17				0.32	(b)			0.30				0.10
Net realized and unrealized gain (loss)			(2.67	)			3.57				6.39				(0.83	)
Total from investment operations			(2.50	)			3.89				6.69				(0.73	)
Less distributions to shareholders:
From net investment income			(0.04	)			(0.33	)			(0.36	)			(0.32	)
From net realized gains			(0.72	)			(1.50	)			(3.13	)			(1.40	)
Total distributions			(0.76	)			(1.83	)			(3.49	)			(1.72	)
Net asset value, end of period		$	24.76			$	28.02			$	25.96			$	22.76
Total Return(c)			(8.86	)%**			14.71	%(d)			30.81	%			(3.39	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	485,163			$	507,232			$	330,287			$	77,375
Net expenses to average daily net assets(e)			0.48	%*			0.48	%			0.48	%			0.49	%*
Net investment income (loss) to average daily net assets(a)			1.24	%*			1.07	%(b)			1.22	%			1.31	%*
Portfolio turnover rate(f)			8	%**			18	%			28	%			17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.02	%(g)			0.02	%(g)			0.02	%(g)*

(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

(b) Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

                February 28,

                    2022

$822,832

0.89%

(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) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

                February 28,

                    2022

0.20%

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

(f) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020
Portfolio turnover rate including transactions in USTF	8%	18%	28%	17%

(g) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

99 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28,						Period from September 26, 2019 (commencement of operations) through February 29, 2020
				2022			2021
Net asset value, beginning of period	$	27.99		$	25.93		$	22.75		$	23.95
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.15			0.28	(b)		0.28			0.12
Net realized and unrealized gain (loss)		(2.66	)		3.58			6.37			0.39
Total from investment operations		(2.51	)		3.86			6.65			0.51
Less distributions to shareholders:
From net investment income		(0.03	)		(0.30	)		(0.34	)		(0.31	)
From net realized gains		(0.72	)		(1.50	)		(3.13	)		(1.40	)
Total distributions		(0.75	)		(1.80	)		(3.47	)		(1.71	)
Net asset value, end of period	$	24.73		$	27.99		$	25.93		$	22.75
Total Return(c)		(8.91	)%**		14.62	%(d)		30.66	%		1.62	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	487,100		$	481,865		$	303,447		$	80,110
Net expenses to average daily net assets(e)		0.58	%*		0.58	%		0.58	%		0.57	%*
Net investment income (loss) to average daily net assets(a)		1.14	%*		0.96	%(b)		1.12	%		1.13	%*
Portfolio turnover rate(f)		8	%**		18	%		28	%		17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.04	%*		0.04	%(g)		0.02	%(g)		0.02	%(g)*

(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

(b) Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

                February 28,

                    2022

$779,657

0.79%

(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) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

                February 28,

                    2022

$779,657

0.20%

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

(f) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022		February 28, 2022		February 28, 2021		February 29, 2020
Portfolio turnover rate including transactions in USTF		8%		18%		28%		17%

(g) Ratio includes 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. 100

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND

	Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022				2021				2020				2019				2018
Net asset value, beginning of period		$	28.39			$	27.81			$	18.11			$	20.31			$	20.88			$	17.31
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.72				1.54				0.48				0.65				0.54				0.33
Net realized and unrealized gain (loss)			(2.24	)			2.00				10.13				(2.22	)			(0.37	)			4.02
Total from investment operations			(1.52	)			3.54				10.61				(1.57	)			0.17				4.35
Less distributions to shareholders:
From net investment income			(0.18	)			(1.35	)			(0.47	)			(0.63	)			(0.74	)			(0.78	)
From net realized gains			(0.72	)			(1.61	)			(0.44	)			—				—				—
Total distributions			(0.90	)			(2.96	)			(0.91	)			(0.63	)			(0.74	)			(0.78	)
Net asset value, end of period		$	25.97			$	28.39			$	27.81			$	18.11			$	20.31			$	20.88
Total Return(b)			(4.81	)%**			13.29	%			59.36	%			(8.14	)%			0.99	%			26.00	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	247,136			$	239,225			$	96,091			$	201,320			$	169,523			$	54,037
Net expenses to average daily net assets(c)			0.70	%*			0.71	%			0.72	%			0.73	%			0.74	%(d)			0.76	%(d)
Net investment income (loss) to average daily net assets(a)			5.31	%*			5.32	%			2.44	%			3.24	%			2.68	%			1.77	%
Portfolio turnover rate(e)			28	%**			60	%			86	%			37	%			35	%			48	%
Fees and expenses reimbursed and/or waived by GMO to average dailynet assets:			—				—				0.00	%(f)(g)			0.00	%(f)(g)			—				0.06	%
Purchase premiums and redemption fees consisted of the following pershare amounts (Note 2):†		$	—			$	—			$	—			$	0.01			$	0.02			$	0.05

(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

(d) Includes recoupment of past reimbursed and/or waived fees (Note 5 ).

(e) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolio turnover rate including transactions in USTF	140%	60%	89%	101%	69%	85%

(f) Ratio includes indirect fees waived or borne by GMO.

(g) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

101 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class IV Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022				2021				2020				2019				2018
Net asset value, beginning of period		$	28.30			$	27.73			$	18.06			$	20.24			$	20.81			$	17.25
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.73				1.79				0.47				0.68				0.62				0.38
Net realized and unrealized gain (loss)			(2.23	)			1.76				10.12				(2.22	)			(0.46	)			3.97
Total from investment operations			(1.50	)			3.55				10.59				(1.54	)			0.16				4.35
Less distributions to shareholders:
From net investment income			(0.19	)			(1.37	)			(0.48	)			(0.64	)			(0.73	)			(0.79	)
From net realized gains			(0.72	)			(1.61	)			(0.44	)			—				—				—
Total distributions			(0.91	)			(2.98	)			(0.92	)			(0.64	)			(0.73	)			(0.79	)
Net asset value, end of period		$	25.89			$	28.30			$	27.73			$	18.06			$	20.24			$	20.81
Total Return(b)			(4.78	)%**			13.34	%			59.42	%			(8.03	)%			0.98	%			26.12	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	403,121			$	383,353			$	531,006			$	311,515			$	336,954			$	296,196
Net expenses to average daily net assets(c)			0.65	%*			0.65	%			0.67	%			0.68	%			0.70	%(d)			0.71	%(d)
Net investment income (loss) to average daily net assets(a)			5.38	%*			6.21	%			2.33	%			3.40	%			3.06	%			2.04	%
Portfolio turnover rate(e)			28	%**			60	%			86	%			37	%			35	%			48	%
Fees and expenses reimbursed and/or waived by GMO to average dailynet assets:			—				—				0.00	%(f)(g)			0.00	%(f)(g)			—				0.06	%
Purchase premiums and redemption fees consisted of the following pershare amounts (Note 2):†		$	—			$	—			$	—			$	0.01			$	0.02			$	0.04

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d) Includes recoupment of past reimbursed and/or waived fees (Note 5 ).

^(e) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolio turnover rate including transactions in USTF	140%	60%	89%	101%	69%	85%

^(f) Ratio includes indirect fees waived or borne by GMO.

^(g) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 102

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2022 (Unaudited)				Period from February 8, 2022 (commencement of operations) through February 28, 2022
Net asset value, beginning of period		$	28.30			$	29.11
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.71				(0.57	)
Net realized and unrealized gain (loss)			(2.21	)			(0.24	)(b)
Total from investment operations			(1.50	)			(0.81	)
Less distributions to shareholders:
From net investment income			(0.20	)			—
From net realized gains			(0.72	)			—
Total distributions			(0.92	)			—
Net asset value, end of period		$	25.88			$	28.30
Total Return(c)			(4.77	)%**			(2.78	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	759,395			$	842,698
Net expenses to average daily net assets(d)			0.60	%*			0.74	%*
Net investment income (loss) to average daily net assets(a)			5.25	%*			(35.65	)%*
Portfolio turnover rate(e)			28	%**			60	%**

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

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

^(e) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022
Portfolio turnover rate including transactions in USTF	140%	60%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

103 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28, 2022				Period from January 22, 2021 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	28.37			$	27.82			$	27.44
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.74				(0.06	)			0.03
Net realized and unrealized gain (loss)			(2.25	)			3.59				0.35
Total from investment operations			(1.51	)			3.53				0.38
Less distributions to shareholders:
From net investment income			(0.19	)			(1.37	)			—
From net realized gains			(0.72	)			(1.61	)			—
Total distributions			(0.91	)			(2.98	)			—
Net asset value, end of period		$	25.95			$	28.37			$	27.82
Total Return(b)			(4.79	)%**			13.25	%			1.38	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	175,144			$	105,086			$	2,617
Net expenses to average daily net assets(c)			0.70	%*			0.74	%			0.71	%*
Net investment income (loss) to average daily net assets(a)			5.49	%*			(0.20	)%			0.98	%*
Portfolio turnover rate(d)			28	%**			60	%			86	%**

(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

(d) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021
Portfolio turnover rate including transactions in USTF	140%	60%	89%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 104

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022			Period from January 22, 2021 (commencement of operations) through February 28, 2021
Net asset value, beginning of period	$	28.39		$	27.81		$	27.44
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.71			1.25			0.02
Net realized and unrealized gain (loss)		(2.24	)		2.27			0.35
Total from investment operations		(1.53	)		3.52			0.37
Less distributions to shareholders:
From net investment income		(0.18	)		(1.33	)		—
From net realized gains		(0.72	)		(1.61	)		—
Total distributions		(0.90	)		(2.94	)		—
Net asset value, end of period	$	25.96		$	28.39		$	27.81
Total Return(b)		(4.87	)%**		13.19	%		1.35	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	742,721		$	633,189		$	369,102
Net expenses to average daily net assets(c)		0.80	%*		0.81	%		0.81	%*
Net investment income (loss) to average daily net assets(a)		5.20	%*		4.32	%		0.74	%*
Portfolio turnover rate(d)		28	%**		60	%		86	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.03	%		—			—

(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

(d) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021
Portfolio turnover rate including transactions in USTF	140%	60%	89%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

105 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

TAX-MANAGED INTERNATIONAL EQUITIES FUND

	Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022				2021				2020				2019				2018
Net asset value, beginning of period		$	14.30			$	15.98			$	13.57			$	13.82			$	17.00			$	14.28
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.40				0.63	(b)			0.34				0.46				0.37				0.38
Net realized and unrealized gain (loss)			(2.52	)			0.14				2.42				(0.10	)			(2.63	)			2.84
Total from investment operations			(2.12	)			0.77				2.76				0.36				(2.26	)			3.22
Less distributions to shareholders:
From net investment income			(0.04	)			(0.76	)			(0.35	)			(0.61	)			(0.39	)			(0.50	)
From net realized gains			(0.24	)			(1.69	)			—				—				(0.53	)			—
Total distributions			(0.28	)			(2.45	)			(0.35	)			(0.61	)			(0.92	)			(0.50	)
Net asset value, end of period		$	11.90			$	14.30			$	15.98			$	13.57			$	13.82			$	17.00
Total Return(c)			(14.77	)%**			4.77	%(d)			20.53	%			2.31	%			(13.50	)%			22.70	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	34,377			$	31,781			$	38,960			$	36,228			$	48,739			$	68,782
Net expenses to average daily net assets(e)			0.68	%*			0.84	%(f)			0.73	%			0.80	%			0.79	%			0.70	%
Net investment income (loss) to average daily net assets(a)			6.08	%*			3.78	%(b)			2.47	%			3.28	%			2.47	%			2.35	%
Portfolio turnover rate(g)			59	%**			86	%			75	%			52	%			63	%			43	%
Fees and expenses reimbursed and/or waived by GMO to average daily netassets:			0.66	%*			0.60	%(h)			0.54	%(h)			0.54	%(h)			0.54	%			0.34	%

(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

(b) Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

    February 28,

2022

      $61,519

    3.62%

(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) EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

    February 28,

2022

0.14%

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

(f) Net expenses include non-recurring contingent legal fees attributed to EU tax reclaims. The net expense ratio excluding these legal fees is 0.73% (Note 2).

(g) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolioturnover rate including transactions in USTF	59%	107%	77%	65%	117%	80%

(h) Ratio includes 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. 106

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. EQUITY FUND

	Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022				2021				2020				2019				2018
Net asset value, beginning of period		$	13.69			$	14.39			$	11.89			$	13.07			$	15.41			$	15.14
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.09				0.21				0.18				0.22				0.23				0.27
Net realized and unrealized gain (loss)			(0.98	)			2.13				3.56				0.21				(0.04	)(b)			1.73
Total from investment operations			(0.89	)			2.34				3.74				0.43				0.19				2.00
Less distributions to shareholders:
From net investment income			(0.03	)			(0.19	)			(0.21	)			(0.32	)			(0.26	)			(0.28	)
From net realized gains			(0.66	)			(2.85	)			(1.03	)			(1.29	)			(2.27	)			(1.45	)
Total distributions			(0.69	)			(3.04	)			(1.24	)			(1.61	)			(2.53	)			(1.73	)
Net asset value, end of period		$	12.11			$	13.69			$	14.39			$	11.89			$	13.07			$	15.41
Total Return(c)			(6.33	)%**			15.80	%			33.74	%			2.51	%			1.94	%			13.76	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	75,749			$	80,646			$	105,656			$	83,738			$	131,198			$	77,297
Net expenses to average daily net assets(d)			0.47	%*			0.46	%			0.47	%			0.46	%			0.46	%			0.46	%
Net investment income (loss) to average daily net assets(a)			1.39	%*			1.34	%			1.47	%			1.64	%			1.62	%			1.78	%
Portfolio turnover rate(e)			43	%**			94	%			66	%			72	%			89	%			79	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.04	%(f)			0.04	%(f)			0.03	%(f)			0.03	%			0.02	%

(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 the Fund shares in relation to fluctuating market values of the investments of the Fund.

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

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

(e) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolioturnover rate including transactions in USTF	48%	115%	81%	88%	105%	100%

(f) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

107 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. EQUITY FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2022				Year Ended February 28/29,
	(Unaudited)				2022				2021				2020				2019				2018
Net asset value, beginning of period		$	13.52			$	14.25			$	11.78			$	12.97			$	15.31			$	15.06
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.10				0.22				0.19				0.23				0.24				0.29
Net realized and unrealized gain (loss)			(0.98	)			2.11				3.53				0.20				(0.04	)(b)			1.71
Total from investment operations			(0.88	)			2.33				3.72				0.43				0.20				2.00
Less distributions to shareholders:
From net investment income			(0.03	)			(0.21	)			(0.22	)			(0.33	)			(0.27	)			(0.30	)
From net realized gains			(0.66	)			(2.85	)			(1.03	)			(1.29	)			(2.27	)			(1.45	)
Total distributions			(0.69	)			(3.06	)			(1.25	)			(1.62	)			(2.54	)			(1.75	)
Net asset value, end of period		$	11.95			$	13.52			$	14.25			$	11.78			$	12.97			$	15.31
Total Return(c)			(6.29	)%**			15.89	%			33.92	%			2.53	%			2.05	%			13.84	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	324,378			$	384,832			$	245,547			$	365,693			$	758,714			$	1,200,008
Net expenses to average daily net assets(d)			0.37	%*			0.37	%			0.37	%			0.37	%			0.37	%			0.37	%
Net investment income (loss) to average daily net assets(a)			1.49	%*			1.42	%			1.56	%			1.75	%			1.68	%			1.88	%
Portfolio turnover rate(e)			43	%**			94	%			66	%			72	%			89	%			79	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.04	%(f)			0.04	%(f)			0.03	%(f)			0.03	%			0.02	%

(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 the Fund shares in relation to fluctuating market values of the investments of the Fund.

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

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

(e) 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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolioturnover rate including transactions in USTF	48%	115%	81%	88%	105%	100%

(f) Ratio includes 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. 108

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. SMALL CAP VALUE FUND

	Class VI Shares
													Period from
													July 2, 2019
	Six Months												(commencement
	Ended												of operations)
	August 31,				Year Ended								through
	2022				February 28,								February 29,
	(Unaudited)				2022				2021				2020
Net asset value, beginning of period		$	19.74			$	24.99			$	18.06			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.15				0.33				0.30				0.23
Net realized and unrealized gain (loss)			(2.15	)			2.89				6.96				(1.99	)
Total from investment operations			(2.00	)			3.22				7.26				(1.76	)
Less distributions to shareholders:
From net investment income			(0.04	)			(0.39	)			(0.33	)			(0.18	)
From net realized gains			(1.32	)			(8.08	)			—				—
Total distributions			(1.36	)			(8.47	)			(0.33	)			(0.18	)
Net asset value, end of period		$	16.38			$	19.74			$	24.99			$	18.06
Total Return(b)			(9.69	)%**			13.21	%			40.64	%			(8.95	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	203,093			$	253,810			$	372,498			$	415,508
Net expenses to average daily net assets(c)			0.42	%*			0.42	%			0.41	%			0.44	%*
Net investment income (loss) to average daily net assets(a)			1.70	%*			1.32	%			1.67	%			1.69	%*
Portfolio turnover rate(d)			32	%**			62	%			86	%			56	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				0.00	%(e)(f)			0.00	%(e)(f)			0.00	%(e)(f)*

(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

(d) 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 including transactions in USTF during the period and/or year ended:

	August 31,	February 28,	February 28,	February 29,
	2022	2022	2021	2020
Portfolio turnover rate including transactions in USTF	34%	71%	98%	69%

(e) Ratio includes indirect fees waived or borne by GMO. (f) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

109 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2022 (Unaudited)

1. Organization

Each of Climate Change Fund, Emerging Domestic Opportunities Fund, Emerging Markets ex-China Fund, Emerging Markets Fund, International Equity Fund, Japan Value Creation Fund, Quality Cyclicals Fund, Quality Fund, Resources Fund, Tax-Managed International Equities Fund, U.S. Equity Fund and U.S. Small Cap Value 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 financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

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

Fund Name	Benchmark	Investment Objective
Climate Change Fund	Not Applicable	High total return
Emerging Domestic Opportunities Fund	Not Applicable	Total return
Emerging Markets ex-China Fund	MSCI Emerging Markets ex-China Index	Total return in excess of benchmark
Emerging Markets Fund	MSCI Emerging Markets Index	Total return in excess of benchmark
International Equity Fund	Not Applicable	High total return
Japan Value Creation Fund	Not Applicable	Total return
Quality Cyclicals Fund	Not Applicable	Total return
Quality Fund	Not Applicable	Total return
Resources Fund	Not Applicable	Total return
Tax-Managed International Equities Fund	Not Applicable	High after-tax total return
U.S. Equity Fund	Not Applicable	High total return
U.S. Small Cap Value Fund	S&P SmallCap 600 Value Index	Total return in excess of its benchmark

Tax-Managed International Equities Fund currently limits subscriptions.

2. Significant accounting policies

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

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that 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 when a Fund calculates its net asset value, the 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.

110

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before 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. 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).

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates 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 source) 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.

“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 when a Fund calculates its net asset value, 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.

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 fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2022, 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.

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.

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.

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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 certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; 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; 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 August 31, 2022:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	8,979,496	$	—	$	—	$	8,979,496
Australia		—		7,299,492		—		7,299,492
Belgium		—		391,137		—		391,137
Brazil		—		19,453,663		—		19,453,663
Canada		96,464,000		—		—		96,464,000
China		3,981,478		24,813,696		—		28,795,174
Denmark		—		24,275,846		—		24,275,846
Finland		—		8,520,882		—		8,520,882
France		—		48,209,299		—		48,209,299
Germany		—		18,241,617		—		18,241,617
Greece		—		3,567		—		3,567
Italy		—		2,082,653		—		2,082,653
Japan		—		34,314,839		—		34,314,839
Mexico		14,766,912		—		—		14,766,912
Netherlands		—		4,550,226		—		4,550,226
Norway		—		7,041,992		—		7,041,992
Pakistan		—		607,455		—		607,455
Philippines		—		493,211		—		493,211
Russia		—		—		2,604,380		2,604,380
South Korea		—		46,958,950		—		46,958,950
Spain		—		21,024,457		—		21,024,457
Switzerland		—		2,709,166		—		2,709,166
Thailand		—		1,047,193		—		1,047,193
Ukraine		—		987,880		—		987,880
United Kingdom		—		13,307,851		—		13,307,851
United States		422,153,525		—		—		422,153,525
TOTAL COMMON STOCKS		546,345,411		286,335,072		2,604,380		835,284,863

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August 31, 2022 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Preferred Stocks
Chile	$	12,884,437	$	—	$	—	$	12,884,437
TOTAL PREFERRED STOCKS		12,884,437		—		—		12,884,437
Mutual Funds
United States		87,358,431		—		—		87,358,431
TOTAL MUTUAL FUNDS		87,358,431		—		—		87,358,431
Short-Term Investments		830,836		—		—		830,836
Total Investments		647,419,115		286,335,072		2,604,380		936,358,567
Total	$	647,419,115	$	286,335,072	$	2,604,380	$	936,358,567
Emerging Domestic Opportunities Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	573,947	$	2,021,952	$	—	$	2,595,899
China		920,605		46,679,905		—		47,600,510
France		—		1,081,162		—		1,081,162
Hong Kong		—		1,712,580		—		1,712,580
India		—		18,322,624		—		18,322,624
Indonesia		—		6,189,214		—		6,189,214
Japan		—		977,576		—		977,576
Kuwait		—		651,353		—		651,353
Malaysia		—		1,203,164		—		1,203,164
Mexico		6,204,450		—		—		6,204,450
Peru		427,915		—		—		427,915
Philippines		—		310,991		—		310,991
Qatar		—		1,679,119		—		1,679,119
Russia		—		—		623,549		623,549
Saudi Arabia		—		607,141		—		607,141
South Africa		—		2,215,121		—		2,215,121
South Korea		—		12,396,579		—		12,396,579
Switzerland		—		1,627,789		—		1,627,789
Taiwan		—		22,804,912		—		22,804,912
Thailand		—		3,981,562		—		3,981,562
United Arab Emirates		—		1,960,160		—		1,960,160
United Kingdom		—		2,287,224		—		2,287,224
United States		2,013,741		—		—		2,013,741
Vietnam		—		2,762,391		—		2,762,391
TOTAL COMMON STOCKS		10,140,658		131,472,519		623,549		142,236,726
Preferred Stocks
Brazil		—		646,441		—		646,441
TOTAL PREFERRED STOCKS		—		646,441		—		646,441
Investment Funds
Russia		—		—		9,610		9,610
Saudi Arabia		2,468,984		—		—		2,468,984
TOTAL INVESTMENT FUNDS		2,468,984		—		9,610		2,478,594

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August 31, 2022 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Emerging Domestic Opportunities Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	1,015,838	$	—	$	—	$	1,015,838
TOTAL MUTUAL FUNDS		1,015,838		—		—		1,015,838
Short-Term Investments		4,775,369		—		—		4,775,369
Total Investments		18,400,849		132,118,960		633,159		151,152,968
Total	$	18,400,849	$	132,118,960	$	633,159	$	151,152,968
Emerging Markets ex-China Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	2,539,441	$	—	$	2,539,441
Chile		452,104		1,680,415		—		2,132,519
Czech Republic		—		513,384		—		513,384
Egypt		—		1,024,969		—		1,024,969
Hungary		—		3,213,766		—		3,213,766
India		10,223,224		7,440,664		—		17,663,888
Indonesia		—		13,586,360		—		13,586,360
Malaysia		—		160,305		—		160,305
Mexico		21,437,049		—		9,665		21,446,714
Peru		2,113,443		—		—		2,113,443
Philippines		—		558,714		—		558,714
Poland		—		3,115,516		—		3,115,516
Qatar		—		3,034,798		—		3,034,798
Russia		—		678,834		3,393,268		4,072,102
South Africa		105,066		3,168,991		—		3,274,057
South Korea		484,256		55,099,347		—		55,583,603
Taiwan		21,619,426		68,690,961		—		90,310,387
Thailand		—		7,593,678		—		7,593,678
Turkey		—		2,945,149		—		2,945,149
United Kingdom		—		1,627,691		—		1,627,691
Vietnam		—		1,034,469		—		1,034,469
TOTAL COMMON STOCKS		56,434,568		177,707,452		3,402,933		237,544,953
Preferred Stocks
Brazil		8,755,296		7,753,872		—		16,509,168
Chile		548,240		435,251		—		983,491
Russia		—		—		167,971		167,971
Taiwan		—		62,523		—		62,523
TOTAL PREFERRED STOCKS		9,303,536		8,251,646		167,971		17,723,153
Short-Term Investments		7,150,729		—		—		7,150,729
Total Investments		72,888,833		185,959,098		3,570,904		262,418,835
Total	$	72,888,833	$	185,959,098	$	3,570,904	$	262,418,835

114

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August 31, 2022 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	13,365,892	$	—	$	13,365,892
Chile		827,401		3,155,136		—		3,982,537
China		81,630,043		430,307,934		868,886		512,806,863
Czech Republic		—		2,616,451		—		2,616,451
Egypt		—		1,235,994		—		1,235,994
Hungary		—		20,364,452		—		20,364,452
India		11,133,720		88,967,186		—		100,100,906
Indonesia		—		45,823,529		—		45,823,529
Kuwait		—		960,976		—		960,976
Malaysia		—		189,512		—		189,512
Mexico		47,359,087		—		5,657		47,364,744
Panama		80,832		—		—		80,832
Peru		1,101,438		—		—		1,101,438
Philippines		—		3,954,951		—		3,954,951
Poland		—		12,656,024		—		12,656,024
Qatar		—		9,152,493		—		9,152,493
Russia		—		2,246,851		16,120,155		18,367,006
South Africa		128,414		22,294,032		—		22,422,446
South Korea		639,472		177,245,914		—		177,885,386
Sri Lanka		—		—		259,958		259,958
Taiwan		36,366,438		355,161,191		—		391,527,629
Thailand		—		11,505,493		—		11,505,493
Turkey		—		13,638,117		—		13,638,117
United Kingdom		—		10,263,815		—		10,263,815
Vietnam		—		6,144,936		—		6,144,936
TOTAL COMMON STOCKS		179,266,845		1,231,250,879		17,254,656		1,427,772,380
Preferred Stocks
Brazil		763,126		37,458,559		—		38,221,685
Colombia		49,553		—		—		49,553
Russia		—		—		2,768,348		2,768,348
South Korea		—		21,518,808		—		21,518,808
Taiwan		—		839,375		—		839,375
TOTAL PREFERRED STOCKS		812,679		59,816,742		2,768,348		63,397,769
Debt Obligations
United States		6,730,800		—		—		6,730,800
TOTAL DEBT OBLIGATIONS		6,730,800		—		—		6,730,800
Short-Term Investments		18,123,551		—		—		18,123,551
Total Investments		204,933,875		1,291,067,621		20,023,004		1,516,024,500
Derivatives^
Futures Contracts
Equity Risk		—		1,125,783		—		1,125,783
Total	$	204,933,875	$	1,292,193,404	$	20,023,004	$	1,517,150,283

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August 31, 2022 (Unaudited)

Description	Level 1			Level 2		Level 3		Total
Emerging Markets Fund (continued)
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(5,051,447	)	$	—	$	—	$	(5,051,447	)
Total	$	(5,051,447	)	$	—	$	—	$	(5,051,447	)
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	55,829,977	$	—	$	55,829,977
Belgium		—			6,562,650		—		6,562,650
Denmark		—			755,257		—		755,257
Finland		—			4,087,767		—		4,087,767
France		27,386,030			119,507,630		—		146,893,660
Germany		—			56,377,624		—		56,377,624
Hong Kong		—			34,528,101		—		34,528,101
Ireland		—			7,871,015		—		7,871,015
Italy		—			22,902,885		—		22,902,885
Japan		747,444			390,971,747		—		391,719,191
Malta		—			—		16		16
Netherlands		—			98,910,775		—		98,910,775
Norway		—			58,306,881		—		58,306,881
Portugal		—			21,605,520		—		21,605,520
Singapore		—			70,064,916		—		70,064,916
Spain		—			79,389,363		—		79,389,363
Sweden		—			6,820,144		—		6,820,144
Switzerland		—			92,367,593		—		92,367,593
United Kingdom		42,765,886			218,446,372		—		261,212,258
United States		1,848,300			—		—		1,848,300
TOTAL COMMON STOCKS		72,747,660			1,345,306,217		16		1,418,053,893
Preferred Stocks
Germany		—			8,322,549		—		8,322,549
TOTAL PREFERRED STOCKS		—			8,322,549		—		8,322,549
Debt Obligations
United States		14,980,124			—		—		14,980,124
TOTAL DEBT OBLIGATIONS		14,980,124			—		—		14,980,124
Short-Term Investments		61,951,894			—		—		61,951,894
Total Investments		149,679,678			1,353,628,766		16		1,503,308,460
Total	$	149,679,678		$	1,353,628,766	$	16	$	1,503,308,460
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(964,755	)	$	—	$	—	$	(964,755	)
Total	$	(964,755	)	$	—	$	—	$	(964,755	)

116

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August 31, 2022 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Japan Value Creation Fund
Asset Valuation Inputs
Common Stocks	$	—	$	125,349,565	$	—	$	125,349,565
Short-Term Investments		2,143,544		—		—		2,143,544
Total Investments		2,143,544		125,349,565		—		127,493,109
Total	$	2,143,544	$	125,349,565	$	—	$	127,493,109
Quality Cyclicals Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	285,789	$	—	$	285,789
Canada		6,776,357		—		—		6,776,357
China		—		4,139,223		—		4,139,223
Finland		—		2,430,677		—		2,430,677
France		—		8,694,079		—		8,694,079
Germany		—		2,260,450		—		2,260,450
Hong Kong		—		1,608,895		—		1,608,895
Ireland		291,058		2,169,521		—		2,460,579
Mexico		5,795,676		—		—		5,795,676
Russia		—		—		259,159		259,159
Spain		—		4,679,287		—		4,679,287
United Kingdom		—		10,972,906		—		10,972,906
United States		51,872,028		—		—		51,872,028
TOTAL COMMON STOCKS		64,735,119		37,240,827		259,159		102,235,105
Preferred Stocks
Brazil		—		1,884,091		—		1,884,091
TOTAL PREFERRED STOCKS		—		1,884,091		—		1,884,091
Mutual Funds
United States		1,423,369		—		—		1,423,369
TOTAL MUTUAL FUNDS		1,423,369		—		—		1,423,369
Short-Term Investments		112,795		—		—		112,795
Total Investments		66,271,283		39,124,918		259,159		105,655,360
Total	$	66,271,283	$	39,124,918	$	259,159	$	105,655,360
Quality Fund
Asset Valuation Inputs
Common Stocks
China	$	—	$	123,792,871	$	—	$	123,792,871
France		—		259,988,876		—		259,988,876
Germany		—		197,047,659		—		197,047,659
Netherlands		—		68,181,905		—		68,181,905
Spain		—		43,042,767		—		43,042,767
Switzerland		—		231,731,359		—		231,731,359
Taiwan		—		195,566,341		—		195,566,341
United Kingdom		—		323,019,185		—		323,019,185

117

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August 31, 2022 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Quality Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
United States	$	5,429,113,647	$	—	$	—	$	5,429,113,647
TOTAL COMMON STOCKS		5,429,113,647		1,442,370,963		—		6,871,484,610
Debt Obligations
United States		39,946,996		—		—		39,946,996
TOTAL DEBT OBLIGATIONS		39,946,996		—		—		39,946,996
Mutual Funds
United States		5,765,241		—		—		5,765,241
TOTAL MUTUAL FUNDS		5,765,241		—		—		5,765,241
Short-Term Investments		167,576,407		—		—		167,576,407
Total Investments		5,642,402,291		1,442,370,963		—		7,084,773,254
Total	$	5,642,402,291	$	1,442,370,963	$	—	$	7,084,773,254
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	24,650,361	$	—	$	—	$	24,650,361
Australia		—		107,906,347		—		107,906,347
Austria		—		31,468,500		—		31,468,500
Brazil		—		87,416,858		—		87,416,858
Canada		239,474,358		—		—		239,474,358
China		—		37,707,986		—		37,707,986
Colombia		12,564,546		—		—		12,564,546
Denmark		—		33,410,999		—		33,410,999
Finland		—		10,899,347		—		10,899,347
France		—		29,028,383		—		29,028,383
Hungary		—		23,632,194		—		23,632,194
India		—		38,641,546		—		38,641,546
Israel		—		18,139,213		—		18,139,213
Italy		—		8,608,492		—		8,608,492
Japan		—		67,179,667		—		67,179,667
Mexico		47,024,885		—		—		47,024,885
Netherlands		—		3,394,050		—		3,394,050
Norway		—		65,577,502		—		65,577,502
Pakistan		—		3,120,683		—		3,120,683
Poland		—		15,961,484		—		15,961,484
Portugal		—		58,823,593		—		58,823,593
Russia		—		—		16,848,849		16,848,849
Singapore		—		—		0§		0§
South Africa		—		67,453,371		—		67,453,371
South Korea		—		2,451,670		—		2,451,670
Spain		—		33,514,180		—		33,514,180
Switzerland		—		2,711,365		—		2,711,365
Turkey		—		6,477,639		—		6,477,639
Ukraine		—		2,251,264		—		2,251,264

118

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Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
United Kingdom	$	—	$	274,079,874	$	—	$	274,079,874
United States		727,725,667		—		—		727,725,667
TOTAL COMMON STOCKS		1,051,439,817		1,029,856,207		16,848,849		2,098,144,873
Preferred Stocks
Brazil		—		156,163,038		—		156,163,038
Chile		36,930,942		—		—		36,930,942
Russia		—		—		4,268,061		4,268,061
TOTAL PREFERRED STOCKS		36,930,942		156,163,038		4,268,061		197,362,041
Rights/Warrants
Singapore		—		—		2		2
TOTAL RIGHTS/WARRANTS		—		—		2		2
Short-Term Investments		11,631,433		—		—		11,631,433
Total Investments		1,100,002,192		1,186,019,245		21,116,912		2,307,138,349
Total	$	1,100,002,192	$	1,186,019,245	$	21,116,912	$	2,307,138,349
Tax-Managed International Equities Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,358,761	$	—	$	1,358,761
Belgium		—		146,345		—		146,345
Brazil		12,861		158,465		—		171,326
China		—		741,250		—		741,250
Denmark		—		18,403		—		18,403
Finland		—		78,227		—		78,227
France		666,590		2,843,642		—		3,510,232
Germany		25,566		1,373,050		—		1,398,616
Hong Kong		—		436,000		—		436,000
Hungary		—		3,297		—		3,297
India		—		240,577		—		240,577
Ireland		—		148,297		—		148,297
Italy		—		554,460		—		554,460
Japan		—		8,284,912		—		8,284,912
Malaysia		—		12,553		—		12,553
Malta		—		—		2		2
Netherlands		—		2,341,391		—		2,341,391
Norway		—		1,359,038		—		1,359,038
Poland		—		40,788		—		40,788
Portugal		—		464,007		—		464,007
Russia		—		—		623		623
Singapore		—		1,298,971		—		1,298,971
South Africa		—		42,030		—		42,030
South Korea		—		699,313		—		699,313
Spain		—		1,838,081		—		1,838,081
Sweden		—		154,636		—		154,636

119

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Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Tax-Managed International Equities Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Switzerland	$	32,208	$	2,265,729	$	—	$	2,297,937
Taiwan		—		225,662		—		225,662
Thailand		—		191,537		—		191,537
Turkey		—		763,721		—		763,721
United Kingdom		2,162,048		3,254,818		—		5,416,866
TOTAL COMMON STOCKS		2,899,273		31,337,961		625		34,237,859
Preferred Stocks
Brazil		—		94,052		—		94,052
Germany		—		141,420		—		141,420
South Korea		—		10,603		—		10,603
TOTAL PREFERRED STOCKS		—		246,075		—		246,075
Mutual Funds
United States		659,037		—		—		659,037
TOTAL MUTUAL FUNDS		659,037		—		—		659,037
Short-Term Investments		42,166		—		—		42,166
Total Investments		3,600,476		31,584,036		625		35,185,137
Total	$	3,600,476	$	31,584,036	$	625	$	35,185,137
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	394,398,986	$	—	$	—	$	394,398,986
Mutual Funds		3,824,178		—		—		3,824,178
Short-Term Investments		989,820		—		—		989,820
Total Investments		399,212,984		—		—		399,212,984
Derivatives^
Futures Contracts
Equity Risk		135,959		—		—		135,959
Total	$	399,348,943	$	—	$	—	$	399,348,943
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	200,825,216	$	—	$	—	$	200,825,216
Mutual Funds		943,912		—		—		943,912
Rights/Warrants		—		—		36,350		36,350
Short-Term Investments		1,064,277		—		—		1,064,277
Total Investments		202,833,405		—		36,350		202,869,755
Derivatives^
Futures Contracts
Equity Risk		96,730		—		—		96,730
Total	$	202,930,135	$	—	$	36,350	$	202,966,485

120

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

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.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). 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 August 31, 2022.

The underlying funds held at period end are classified above as Level 1. Certain 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 which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

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). The below Funds held classes of investments or derivatives with direct material Level 3 holdings at August 31, 2022:

Investment Type	Number of Investments		Valuation Methodology
Climate Change Fund
Common and/or Preferred Stock		2	Valued off the last traded price with a 93% discount
Emerging Domestic Opportunities Fund
Common and/or Preferred Stock		3	Valued off the last traded price with a 93% discount
Common and/or Preferred Stock		1	Valued off the February 25, 2022 last traded price with a 93% discount and currency
			impact
Emerging Markets ex-China Fund
Common and/or Preferred Stock		20	Valued off the last traded price with a 93% discount
Common and/or Preferred Stock		2	Depositary receipts valued off the corresponding local securities with a 93%
			discount and adjusted for the depositary receipt conversion ratio and currency impact
Emerging Markets Fund
Common and/or Preferred Stock		20	Valued off the last traded price with a 93% discount
Common and/or Preferred Stock		2	Valued at the last price prior to trading being suspended
Common and/or Preferred Stock		1	Depositary receipts valued off the corresponding local securities with a 93%
			discount and adjusted for the depositary receipt conversion ratio and currency impact
Quality Cyclicals Fund
Common and/or Preferred Stock		2	Valued off the last traded price with a 93% discount
Resources Fund
Common and/or Preferred Stock		7	Valued off the last traded price with a 93% discount
Common and/or Preferred Stock		1	Valued off the February 25, 2022 last traded price with a 93% discount and currency impact

121

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Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

For Funds with material total Level 3 assets and/or liabilities, the following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2022		Purchases	Sales			Accrued Discounts/ Premiums		Total Realized Gain/(Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3			Balances as of August 31, 2022		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2022
Climate Change Fund
Common Stocks
Russia	$	—	$—	$	—			$—	$	—		$	—		$	2,604,380	‡	$	—		$	2,604,380	$	—
Total Investments	$	—	$—	$	—			$—	$	—		$	—		$	2,604,380		$	—		$	2,604,380	$	—
Emerging Domestic Opportunities Fund
Common Stocks
India	$	5,986,759	$—	$	(3,834,875	)		$—	$	2,046,996		$	(3,881,283	)	$	—		$	(317,597	)‡	$	—	$	—
Russia		911,572	—		—			—		—			(898,465	)		610,442	‡		—			623,549		(898,465	)
Investment Funds
Russia		—	—		—			—		—			—			9,610	‡		—			9,610		—
Total Investments	$	6,898,331	$—	$	(3,834,875	)		$—	$	2,046,996		$	(4,779,748	)	$	620,052		$	(317,597	)	$	633,159	$	(898,465	)
Emerging Markets ex-China Fund
Common Stocks
Mexico	$	—	$—	$	—			$—	$	—		$	—		$	9,665	‡	$	—		$	9,665	$	—
Russia		949,755	—		—			—		—			(815,866	)		3,259,379	‡		—			3,393,268		(815,866	)
Preferred Stocks
Russia		—	—		—			—		—			—			167,971	‡		—			167,971		—
Total Investments	$	949,755	$—	$	—			$—	$	—		$	(815,866	)	$	3,437,015		$	—		$	3,570,904	$	(815,866	)
Emerging Markets Fund
Common Stocks
China	$	358,312	$—	$	(124,467	)		$—	$	(219,173	)	$	(14,672	)	$	868,886	‡	$	—		$	868,886	$	—
Mexico		—	—		—			—		—			—			5,657	‡		—			5,657		—
Russia		2,870,861	—		—			—		—			(2,418,655	)		15,667,949	‡		—			16,120,155		(2,047,147	)
Sri Lanka		—	—		—			—		—			—			259,958	‡		—			259,958		—
Preferred Stocks
Russia		—	—		—			—		—			—			2,768,348	‡		—			2,768,348		—
Total Investments	$	3,229,173	$—	$	(124,467	)		$—	$	(219,173	)	$	(2,433,327	)	$	19,570,798		$	—		$	20,023,004	$	(2,047,147	)
Quality Cyclicals Fund
Common Stocks
Russia	$	—	$—	$	—			$—	$	—		$	—		$	259,159	‡	$	—		$	259,159	$	—
Total Investments	$	—	$—	$	—			$—	$	—		$	—		$	259,159		$	—		$	259,159	$	—
Resources Fund
Common Stocks
Russia	$	—	$—	$	—			$—	$	—		$	—		$	16,848,849	‡	$	—		$	16,848,849	$	—

122

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

	Balances as of February 28, 2022		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/(Loss)		Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of August 31, 2022		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2022
Resources Fund (continued)
Common Stocks (continued)
United States	$	4,539,029		$—		(4,410,991	)		$—		$—	$	(128,038	)	$	—		$	—	$	—	$	—
Preferred Stocks
Russia		—		—		—			—		—		—			4,268,061	‡		—		4,268,061		—
Rights/Warrants
Singapore		2		—		—			—		—		—			—			—		2		—
Total Investments	$	4,539,031		$—	$	(4,410,991	)		$—		$—	$	(128,038	)	$	21,116,910		$	—	$	21,116,912	$	—

‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs as well as the impact of the Russian invasion of Ukraine on local and global markets, as applicable.

123

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended August 31, 2022 for Funds with material Level 3 investments.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Climate Change Fund
Common Stock		1,098,125	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (American Depositary Receipt)		1,345,240	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		161,015	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Emerging Domestic Opportunities Fund
Common Stock		13,106	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock		450,414	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		160,029	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Investment Fund		9,610	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Emerging Markets ex-China Fund
Common Stock		3,122	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock		2,571,427	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (American Depositary Receipt)		627,223	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		191,496	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Preferred Stock		167,971	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Emerging Markets Fund
Common Stock		951	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock		12,118,218	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock		1	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock (American Depositary Receipt)		2,860,995	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		1,139,991	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Preferred Stock		2,768,348	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Quality Cyclicals Fund
Common Stock		259,159	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Resources Fund
Common Stock		0	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		16,282,988	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depositary Receipt)		565,861	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Preferred Stock		4,268,061	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Warrant		2	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of August 31, 2022, the value of these securities and/or derivatives for Emerging Markets ex-China Fund and Emerging Markets Fund was $9,665 and $1,134,500, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

124

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Cash

Cash and foreign currency, if any, in 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 in 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.

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” in Note 4 “Derivative financial instruments”. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities in an amount equal to the securities loaned (marked to market daily). Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the following business day. Funds participating in securities lending receive compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company serves as the Funds’ lending agent.

A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, the inability to invest proceeds from the sales of such securities and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline and bears the risk of total loss with respect to the investment of collateral.

At August 31, 2022, securities on loan at value and collateral from securities on loan are listed below:

Fund Name	Value of securities on loan ($)		Cash collateral ($)		Non-cash collateral ($)*		Total collateral ($)
Climate Change Fund		80,910,812		67,827,630		15,048,791		82,876,421
Emerging Markets Fund		26,325,934		—		27,083,357		27,083,357
Resources Fund		36,558,293		—		37,994,143		37,994,143

* Non-cash collateral is comprised of U.S. Treasuries and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities.

Information regarding the value of the securities loaned and the value of cash collateral at period end is included in the Statements of Assets and Liabilities.

125

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Taxes and distributions

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

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

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

As a result of court cases involving several countries across the European Union, certain Funds have filed tax reclaims in addition to treaty-based claims, in respect of previously withheld taxes on dividends earned (“EU tax reclaims”). These filings are subject to various administrative proceedings by each local jurisdiction’s tax authority, as well as judicial proceedings. EU tax reclaim and associated interest entitlements that have been recognized, if any, are reflected as Other income in the Statements of Operations. As a result of its entitlements to EU tax reclaims and related interest amounts, a Fund may incur contingent legal fees. Such fees are presented within Legal fees in the Statements of Operations. Related receivables, if any, are reflected as EU tax reclaims receivable in the Statements of Assets and Liabilities. Generally, unless GMO believes that recovery amounts are collectible and free from significant contingencies, recoveries will not be reflected in a Fund’s net asset value. EU tax reclaims and related interest entitlements recognized by a Fund, if any, reduce the amount of foreign taxes, if any, that a Fund may elect to pass-through to its shareholders from a U.S. federal tax perspective. In certain circumstances and to the extent that EU tax reclaims recognized by a Fund were previously passed-through as foreign tax credits to its U.S. taxable shareholders, a Fund may enter into a closing agreement with the U.S. Internal Revenue Service (the “IRS”). Doing so will enable a Fund to quantify and remit its tax liability related to any recoveries (on behalf of its shareholders). Based on current guidance from the IRS, it is expected that International Equity Fund and Tax-Managed International Equities Fund will enter into a closing agreement with the IRS. Accordingly, estimated charges related to International Equity Fund and Tax-Managed International Equities Fund’s closing agreement liabilities are presented as a reduction of Investment Income in the Statements of Operations and their estimated closing agreement liabilities are presented as Payable for IRS closing agreement fees in the Statements of Assets and Liabilities.

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. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 2022, 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.

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.

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

126

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

As of February 28, 2022, certain Funds elected to defer to March 1, 2022 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Losses Deferral ($)
Climate Change Fund		—		—
Emerging Domestic Opportunities Fund		—		(18,035,811)
Emerging Markets ex-China Fund		—		—
Emerging Markets Fund		—		(51,201,848)
International Equity Fund		(525,712)		(7,043,749)
Japan Value Creation Fund		—		—
Quality Cyclicals Fund		—		—
Quality Fund		—		—
Resources Fund		—		—
Tax-Managed International Equities Fund		(46,643)		—
U.S. Equity Fund		—		—
U.S. Small Cap Value Fund		—		—

As of February 28, 2022, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses 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, 2022, 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:

Fund Name	Short-Term ($)		Long-Term ($)
Climate Change Fund		(1,674,056)		(691,973)
Emerging Domestic Opportunities Fund		—		—
Emerging Markets ex-China Fund		—		—
Emerging Markets Fund		(33,803,872)		(1,003,631,550)
International Equity Fund		(731,542,134)		(73,703,505)
Japan Value Creation Fund		—		—
Quality Cyclicals Fund		—		—
Quality Fund		—		—
Resources Fund		—		—
Tax-Managed International Equities Fund		(304,539)		—
U.S. Equity Fund		—		—
U.S. Small Cap Value Fund		—		—

127

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

As of August 31, 2022, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments, for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Climate Change Fund		974,496,160		86,530,992		(124,668,585)		(38,137,593)		—
Emerging Domestic Opportunities Fund		211,346,778		1,334,399		(61,528,209)		(60,193,810)		—
Emerging Markets ex-China Fund		388,031,313		4,463,460		(130,075,938)		(125,612,478)		—
Emerging Markets Fund		2,166,406,521		71,806,866		(722,188,887)		(650,382,021)		(3,925,664)
International Equity Fund		1,778,788,892		44,656,968		(320,137,400)		(275,480,432)		(964,755)
Japan Value Creation Fund		155,293,299		609,854		(28,410,044)		(27,800,190)		—
Quality Cyclicals Fund		102,644,207		16,174,601		(13,163,448)		3,011,153		—
Quality Fund		4,877,713,176		2,568,637,487		(361,577,409)		2,207,060,078		—
Resources Fund		2,340,703,243		388,581,885		(422,146,779)		(33,564,894)		—
Tax-Managed International Equities Fund		36,443,919		2,696,021		(3,954,803)		(1,258,782)		—
U.S. Equity Fund		399,464,099		28,319,264		(28,570,379)		(251,115)		135,959
U.S. Small Cap Value Fund		202,147,771		24,536,291		(23,814,307)		721,984		96,730

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. 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 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. As of August 31, 2022, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

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 underlying funds, if any, 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/deflation 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.

128

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August 31, 2022 (Unaudited)

During the period ended August 31, 2022, the Funds did not recognize dividends on local Russian shares, if any, due to restrictions imposed by the Russian government on dividend payments received by foreign shareholders like the Funds. At this time, no assurance can be given regarding the future payment of outstanding dividends by Russian issuers, the time period during which such Russia’s restrictions will remain in place or on the future ability of foreign shareholders to claim or otherwise gain control over or access to dividends paid.

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).

Custodian, Fund Accounting Agent and Transfer Agent

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Prior to November 3, 2017, Brown Brothers Harriman & Co. served as the Funds’ custodian and fund accounting agent except for Climate Change Fund, Japan Value Creation Fund, Quality Cyclicals Fund, Quality Fund and U.S. Equity Fund. Cash balances maintained at the custodian and transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund directly or indirectly (e.g., through investments in underlying funds) as a result of an investor’s 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 redemption fee or increase or decrease 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 for a purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs. For example, GMO may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees), and GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

As of August 31, 2022, none of the Funds charge a purchase premium or redemption fee. Historical information on purchase premiums and redemption fees are provided in the table below.

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August 31, 2022 (Unaudited)

Emerging Domestic Opportunities Fund	For the period from December 1, 2018 to November 22, 2019, the premium on cash purchases and the fee on cash redemptions were each 0.40% of the amount invested or redeemed. Prior to December 1, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.80% of the amount invested or redeemed.
Emerging Markets Fund	For the period from December 1, 2018 to November 22, 2019, the premium on cash purchases and the fee on cash redemptions were each 0.40% of the amount invested or redeemed. Prior to December 1, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.80% of the amount invested or redeemed.
Resources Fund	Prior to March 9, 2020, the premium on cash purchases and the fee on cash redemptions were each 0.30% of the amount invested or redeemed.

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 0.11% of the Fund’s total net assets as of August 31, 2022, though in recognition of the potential liability, a portion of that amount is included as a 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.

Recently-issued accounting guidance

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. The Investment Adviser does not expect ASU No. 2020-04 to have a material impact on the financial statements.

3. Investment and other risks

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

Market Risk — Equities

X

X

X

X

X

X

X

X

X

X

X

X

Management and Operational Risk

X

X

X

X

X

X

X

X

X

X

X

X

Non-U.S. Investment Risk

X

X

X

X

X

X

X

X

X

X

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Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Focused Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

Currency Risk

X

X

X

X

X

X

X

X

X

X

Commodities Risk

X

X

X

Illiquidity Risk

X

X

X

X

X

X

X

X

X

X

X

Smaller Company Risk

X

X

X

X

X

X

X

X

X

X

X

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

Derivatives and Short Sales Risk

X

X

X

X

X

X

X

X

X

X

X

Counterparty Risk

X

X

X

X

X

X

X

X

X

X

X

Leveraging Risk

X

X

X

X

X

X

X

X

X

X

X

Fund of Funds Risk

X

X

X

Market Risk – Fixed Income

X

Large Shareholder Risk

X

X

X

X

X

X

X

X

X

X

X

Credit Risk

X

Event Driven Risk

X

X

X

X

Non-Diversified Funds

X

X

X

X

X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every possible risk of investing in the Funds. Particular Funds could be subject to additional risks because of the types of investments they make and market conditions, which can change over time. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

Funds that invest in other GMO Funds or other investment companies (collectively, “Underlying Funds”) are 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 and indirectly by the Fund.

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

• MARKET RISK — EQUITIES. The market price of an equity may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. Equities that are characterized as relatively cyclical often are especially sensitive to economic cycles, which means they typically underperform non-cyclical equities during economic downturns. Cyclical equities may include investments in companies in any industry, including industries generally thought of as cyclical (e.g., consumer discretionary, financials, energy, real estate, materials and industrials) and industries not typically viewed as cyclical (e.g., healthcare, technology). If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO and GMO’s assessment proves to be incorrect, the Fund runs the risk that the market price of the equity will not appreciate or will decline. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

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August 31, 2022 (Unaudited)

• MANAGEMENT AND OPERATIONAL RISK. Each Fund runs the risk that GMO’s investment techniques will fail to produce desired results. For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Funds or impair Fund operations.

• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities (particularly of companies tied economically to emerging countries) fluctuate more than those of U.S. securities. Many non-U.S. securities markets (particularly emerging markets) are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, issuers of non-U.S. securities (particularly those tied economically to emerging countries) often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund may be subject to non-U.S. taxes, 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. Also, the Funds need a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, 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. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of a Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities, and often are more volatile than the economies of developed countries.

• FOCUSED INVESTMENT RISK. Investments focused in countries, regions, asset classes, sectors, industries, currencies or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated. A Fund that invests in the securities of a limited number of issuers has greater exposure to a decline in the market price of a particular security held by the Fund than if the Fund invested in the securities of a larger number of issuers.

• CURRENCY RISK. Fluctuations in exchange rates can adversely affect the market value of a Fund’s foreign currency holdings and investments denominated in foreign currencies.

• COMMODITIES RISK. Commodity prices can be extremely volatile, and exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner.

• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size or legal restrictions may limit or prevent a Fund or an underlying fund from selling particular securities or closing derivative positions at desirable prices.

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations 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 DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) may disrupt securities markets and adversely affect particular economies and markets as well as global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Funds’ investments.

Russia’s invasion of Ukraine beginning in late February, and subsequent related events, have had, and could continue to have, severe adverse effects on regional and global economic markets for securities and commodities. Following Russia’s actions, various governments, including the United States, issued broad-ranging economic sanctions against Russia, including, among other sanctions, a prohibition on doing business with certain Russian companies, large financial institutions, officials and oligarchs; the removal by certain countries and the European Union of selected Russian banks from the Society for Worldwide Interbank Financial Telecommunications (commonly referred to as “SWIFT”), the electronic banking network that connects banks globally; and restrictive measures to prevent the Russian Central Bank from undermining the impact of the sanctions. Those events, including

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August 31, 2022 (Unaudited)

sanctions and the potential for future sanctions, including any affecting Russia’s energy sector, and other actions, and Russia’s retaliatory responses to those sanctions and actions, have adversely affected the Russian economy and may result in the further decline of the value and liquidity of Russian securities, a continued weakening of the ruble and continued exchange closures, and may have other adverse consequences on the Russian economy that affect the value of Russian investments and impair the ability of a Fund to buy, sell, receive or deliver those securities. In particular, where a Fund holds securities of a Russian issuer that is subject to blocking sanctions imposed by the U.S. Department of the Treasury’s Office of Foreign Assets Control, those securities will be frozen and consequently unable to be sold or transferred. Moreover, those events have, and could continue to have, an adverse effect on global markets performance and liquidity, thereby negatively affecting the value of a Fund’s investments beyond any direct exposure to Russian issuers.

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. 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 index or underlying securities. A Fund may create short investment exposure by selling securities short or by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index. The risks of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

• COUNTERPARTY RISK. A Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund’s securities is unable or unwilling to make timely settlement payments, return the Fund’s margin or collateral or otherwise honor its obligations.

• LEVERAGING RISK. The use of derivatives, short sales and securities lending can create leverage. Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. In addition, a Fund’s portfolio will be leveraged if it exercises its right to delay payment on a redemption, and losses will result if the value of the Fund’s assets declines between the time a redemption request is deemed to be received by a Fund and the time the Fund liquidates assets to meet that request.

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests (including ETFs), including the risk that those underlying funds will not perform as expected. Because a Fund bears the fees and expenses of the underlying funds in which it invests, an increase in fees and expenses of an underlying fund or a reallocation of the Fund’s investments to underlying funds with higher fees or expenses will increase the Fund’s total expenses.

• MARKET RISK — FIXED INCOME. 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 due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments).

• LARGE SHAREHOLDER RISK. To the extent that 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 that shareholder or group of all or a large portion of their Fund shares will require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• CREDIT RISK. A Fund runs the risk that the issuer or guarantor of a fixed income investment (including a sovereign or quasi-sovereign debt issuer) or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligations to pay principal and interest or otherwise to honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such failure. In addition, investments in emerging country sovereign or quasi-sovereign debt involve a heightened risk that the issuer responsible for repayment of the debt may be unable or unwilling to pay interest and repay principal when due, and a Fund may lack recourse against the issuer in the event of default. Investments in quasi-sovereign debt also are subject to the risk that the issuer will default independently of its sovereign. Below investment grade investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments.

133

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August 31, 2022 (Unaudited)

• EVENT-DRIVEN RISK. If a Fund purchases securities in anticipation of a proposed merger, acquisition, exchange offer, tender offer, or other similar transaction and that transaction later appears likely to be delayed or unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of event-driven strategies (such as merger arbitrage) typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. Event-driven strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated.

• NON-DIVERSIFIED FUNDS. The following Funds are non-diversified investment companies under the 1940 Act and therefore a decline in the market price of a particular security held by the Funds may affect the Funds’ performance more than if the Funds were a diversified investment company.

• Emerging Domestic Opportunities Fund

• Emerging Markets ex-China Fund

• Japan Value Creation Fund

• Quality Cyclicals Fund

• Quality Fund

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. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which its equities are traded.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

Each of the Funds may have investment exposures in excess of its net assets (i.e. the Fund may be leveraged).

A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to

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August 31, 2022 (Unaudited)

increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

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

For Funds that held derivatives during the period ended August 31, 2022, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Emerging Domestic Opportunities Fund

Emerging Markets Fund

International Equity Fund

Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Small Cap Value Fund

Futures contracts

Adjust exposure to certain securities markets

X

X

X

X

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

X

Forward currency contracts

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

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 collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

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

Options

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. 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.

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August 31, 2022 (Unaudited)

That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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

When an option contract is closed, the 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.

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, basis swaps, currency 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. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

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.

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.

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

***

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2022 and the Statements of Operations for the period ended August 31, 2022^:

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

	Equity Contracts
Emerging Domestic Opportunities Fund
Net Realized Gain (Loss) on
Futures Contracts	$	(1,774,049	)
Total	$	(1,774,049	)
Emerging Markets Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	1,125,783
Total	$	1,125,783
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(5,051,447	)
Total	$	(5,051,447	)
Net Realized Gain (Loss) on
Futures Contracts	$	(24,654,602	)
Total	$	(24,654,602	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	1,566,254
Total	$	1,566,254

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	Equity Contracts
International Equity Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(964,755	)
Total	$	(964,755	)
Net Realized Gain (Loss) on
Futures Contracts	$	(1,694,786	)
Total	$	(1,694,786	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(964,755	)
Total	$	(964,755	)
Tax-Managed International Equities Fund
Net Realized Gain (Loss) on
Futures Contracts	$	(134,950	)
Total	$	(134,950	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	14,273
Total	$	14,273
U.S. Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	135,959
Total	$	135,959
Net Realized Gain (Loss) on
Futures Contracts	$	(537,864	)
Total	$	(537,864	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	462,887
Total	$	462,887
U.S. Small Cap Value Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	96,730
Total	$	96,730
Net Realized Gain (Loss) on
Futures Contracts	$	(291,360	)
Total	$	(291,360	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	96,730
Total	$	96,730

^ 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 value of cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

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Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. The Master Agreements may include collateral posting terms and set-off 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 set-off and netting 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 an early termination of 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 paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, in 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, reverse repurchase agreements and securities loans held by the Funds at August 31, 2022, if any.

The average derivative activity of notional amounts (futures contracts), based on absolute values, at each month-end, was as follows for the period ended August 31, 2022:

Fund Name	Futures Contracts ($)
Emerging Domestic Opportunities Fund		4,134,840
Emerging Markets Fund		165,773,846
International Equity Fund		17,419,855
Tax-Managed International Equities Fund		594,353
U.S. Equity Fund		5,781,169
U.S. Small Cap Value Fund		2,301,375

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:

	Climate Change Fund	Emerging Domestic Opportunities Fund	Emerging Markets ex-China Fund	Emerging Markets Fund	International Equity Fund	Japan Value Creation Fund	Quality Cyclicals Fund	Quality Fund	Resources Fund	Tax-Managed International Equities Fund	U.S. Equity Fund	U.S. Small Cap Value Fund
Management Fee	0.60%(a)	0.75%	0.55%	0.65%(b)	0.50%	0.50%	0.33%	0.33%	0.50%	0.50%	0.31%		0.31%

^(a)  Prior to December 31, 2018, GMO voluntarily agreed to reduce its annual management fee by 0.15%.

^(b) Prior to June 30, 2020, GMO contractually agreed to reduce its annual management fee from 0.75% to 0.65%.

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In addition, each class of shares of certain 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 at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class II			Class III			Class IV			Class V			Class VI			Class R6			Class I
Climate Change Fund					0.15%			0.10%	*		0.085%	*		0.055%	*		0.15%			0.15%
Emerging Domestic Opportunities Fund		0.22%			0.15%	*		0.105%	*		0.085%			0.055%	*		0.22%	*		0.22%
Emerging Markets ex-China Fund		0.22%	*		0.15%			0.105%	*		0.085%	*		0.055%			0.22%	*		0.22%
Emerging Markets Fund		0.22%			0.15%			0.105%	*		0.085%	*		0.055%			0.22%			0.22%
International Equity Fund		0.22%			0.15%			0.09%									0.22%*			0.22%
Japan Value Creation Fund					0.15%			0.10%	*		0.085%*			0.055%			0.15%	*		0.15%
Quality Cyclicals Fund					0.15%	*		0.105%	*		0.085%*			0.055%			0.15%*			0.15%
Quality Fund					0.15%			0.105%			0.085%*			0.055%			0.15%			0.15%
Resources Fund					0.15%			0.10%			0.085%*			0.055%			0.15%			0.15%
Tax-Managed International Equities Fund					0.15%												0.15%	*		0.15%*
U.S. Equity Fund					0.15%			0.10%	*		0.085%	*		0.055%			0.15%*			0.15%*
U.S. Small Cap Value Fund					0.15%	*		0.10%	*		0.085%	*		0.055%			0.15%*			0.15%*

* Class is offered but has no shareholders as of August 31, 2022.

For each Fund (prior to June 30, 2022), other than Climate Change Fund, Emerging Markets ex-China Fund, Resources Fund, and U.S. Small Cap Value Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For Climate Change Fund (prior to September 25, 2018), Resources Fund and U.S. Small Cap Value 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. For the period starting June 30, 2022, International Equity Fund, Japan Value Creation Fund, Quality Cyclicals Fund, Tax-Managed International Equities Fund, and U.S. Equity Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.01% of the Fund’s average daily net assets. Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

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 (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Emerging Markets Fund, “Specified Operating Expenses” does not include custody expenses, and in the case of Emerging Domestic Opportunities Fund, “Specified Operating Expenses” only includes custody expenses to the extent that they exceed 0.10% of the Fund’s average daily net assets.

For Resources Fund and U.S Small Cap Value Fund, GMO is permitted to recover from the Fund, on a class-by-class basis the “Specified Operating Expenses” GMO has borne or reimbursed (whether through reduction of its fees or otherwise) to the extent that the Funds’ “Specified Operating Expenses” later fall below the annualized rate of 0.10% per year or any lower expense limit in effect when GMO seeks to recover the expenses. A Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause a Fund to exceed the annual limitation rate set forth above or any lower expense limit in effect when GMO seeks to recover the expenses.

With respect to Climate Change Fund (for the period starting September 25, 2018), Emerging Markets ex-China Fund and Quality Fund (for the period starting June 30, 2022), GMO has contractually agreed to waive its fees with respect to and/or reimburse each Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares (each, an “Expense Cap”). The Expense Cap for Climate Change Fund is

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0.77% for Class III shares; 0.72% for Class IV shares; 0.705% for Class V shares; 0.675% for Class VI shares; 0.77% for Class R6 shares; and 0.77% for Class I shares. The Expense Cap for Emerging Markets ex-China Fund is 0.85% for Class II shares; 0.80% for Class III shares; 0.75%for Class IV shares; 0.70% for Class V shares; 0.67% for Class VI shares; 0.85% for Class R6 shares; and 0.85% for Class I shares. The Expense Cap for Quality Fund is 0.49% for Class III shares; 0.445% for Class IV shares; 0.425% for Class V shares; 0.395% for Class VI shares; 0.48% for Class R6 shares; and 0.48% for Class I shares. Fees and expenses of the “non-interested” Trustees and legal counsel to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (“Excluded Expenses”), are excluded from the Expense Cap. GMO is permitted to recover from Emerging Markets ex-China Fund and Climate Change Fund, on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses.

For the period ended August 31, 2022, GMO did not recoup any previously recorded waivers and/or reimbursements.

On August 31, 2022, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 28, 2023	Expiring the year ending February 29, 2024	Expiring the year ending February 28, 2025		Expiring the year ending February 28, 2026
Emerging Markets ex-China Fund, Class III	—	—		$    1,152		$    5,383
Emerging Markets ex-China Fund, Class VI	—	—		$240,690		$147,626
Emerging Markets ex-China Fund, Class I	—	—		$         0*		$         0*

* Amount is less than $1.

For each Fund that pays GMO a management fee and shareholder service fee, GMO has contractually agreed to waive or reduce the Fund’s management fee and shareholder service fee, to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust (“GMO Funds”). Management fees and shareholder service fees will not be waived below zero.

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% for Class IV shares, 0.05% for Class V shares, 0.02% for Class VI shares, 0.20% for Class R6 shares and 0.20% for Class I shares.

These contractual waivers and reimbursements will continue through at least June 30, 2023 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.

GMO has contractually agreed to reimburse Class I assets of each Fund (or waive its fees) to the extent that payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets. Effective January 27 2020, GMO has contractually agreed to reimburse Class I assets for Emerging Markets Fund and Emerging Domestic Opportunities Fund to the extent payments for sub-transfer agency, recordkeeping and other administrative services from Class I assets exceed 0.05% and 0.03%, respectively, of such Fund’s average daily net assets attributable to Class I assets.

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Sub-Transfer Agent/Recordkeeping Payments

Class II, III, IV, V, VI and R6 shares are not subject to payments to third parties for sub-transfer agent, recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

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 period ended August 31, 2022 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and their legal counsel ($)
Climate Change Fund	15,554
Emerging Domestic Opportunities Fund	15,968
Emerging Markets ex-China Fund	5,419
Emerging Markets Fund	41,560
International Equity Fund	38,400
Japan Value Creation Fund	2,998
Quality Cyclicals Fund	2,726
Quality Fund	169,993
Resources Fund	46,768
Tax-Managed International Equities Fund	799
U.S. Equity Fund	9,475
U.S. Small Cap Value Fund	4,911

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2022, none of the Funds had annualized indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

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 period ended August 31, 2022, the Funds did not engage in these transactions.

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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, if applicable, for the period ended August 31, 2022 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)
Climate Change Fund		—		749,985,270		—		561,511,437
Emerging Domestic Opportunities Fund		—		403,539,271		—		844,843,422
Emerging Markets ex-China Fund		—		172,181,124		—		136,850,285
Emerging Markets Fund		—		1,084,406,541		1,436,151		1,080,487,491
International Equity Fund		14,987,081		430,831,562		—		597,185,134
Japan Value Creation Fund		—		28,893,400		—		32,127,200
Quality Cyclicals Fund		—		12,714,030		—		29,089,075
Quality Fund		39,998,092		524,139,538		—		1,158,469,567
Resources Fund		—		922,114,982		—		620,556,942
Tax-Managed International Equities Fund		—		33,718,019		—		23,273,428
U.S. Equity Fund		—		206,836,778		—		242,840,276
U.S. Small Cap Value Fund		—		74,946,926		—		102,846,147

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 as of August 31, 2022

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
Climate Change Fund	3	39.36%
Emerging Domestic Opportunities Fund	4	59.28%
Emerging Markets ex-China Fund	3#	74.73%
Emerging Markets Fund	2‡	29.49%
International Equity Fund	4§	78.85%
Japan Value Creation Fund	4§	80.09%
Quality Cyclicals Fund	3#	86.98%
Quality Fund	—	—
Resources Fund	2	46.60%
Tax-Managed International Equities Fund	1	85.02%
U.S. Equity Fund	2‡	64.03%

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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
U.S. Small Cap Value Fund	2#	78.82%

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

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

§ Three of the shareholders are other funds of the Trust.

9. Share transactions

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

	Six Months Ended August 31, 2022 (Unaudited)						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
Climate Change Fund
Class III:
Shares sold		979,228		$	27,208,181			4,396,243		$	149,142,682
Shares issued to shareholders in reinvestment of distributions		224,040			5,455,377			1,249,982			39,118,226
Shares repurchased		(376,394	)		(10,136,896	)		(672,638	)		(22,509,032	)
Net increase (decrease)		826,874		$	22,526,662			4,973,587		$	165,751,876
Class R6:
Shares sold		582,792		$	15,520,798			1,285,070		$	39,436,952
Shares issued to shareholders in reinvestment of distributions		91,594			2,225,725			432,217			13,530,454
Shares repurchased		(73,679	)		(2,040,567	)		(88,861	)		(2,777,808	)
Net increase (decrease)		600,707		$	15,705,956			1,628,426		$	50,189,598
Class I:
Shares sold		6,251,161		$	183,428,769			7,873,871		$	255,196,026
Shares issued to shareholders in reinvestment of distributions		256,026			6,216,310			906,464			28,189,754
Shares repurchased		(1,440,423	)		(40,146,434	)		(1,437,226	)		(47,399,923	)
Net increase (decrease)		5,066,764		$	149,498,645			7,343,109		$	235,985,857
Emerging Domestic Opportunities Fund
Class II:
Shares sold		70,922		$	1,500,000			407,827		$	10,609,510
Shares issued to shareholders in reinvestment of distributions		39,740			722,878			833,460			19,536,789
Shares repurchased		(3,271,611	)		(63,056,594	)		(1,571,408	)		(40,569,449	)
Net increase (decrease)		(3,160,949	)	$	(60,833,716	)		(330,121	)	$	(10,423,150	)
Class V:
Shares sold		1,879,698		$	40,000,000			1,027,838		$	24,000,001
Shares issued to shareholders in reinvestment of distributions		184,859			3,355,182			1,710,648			40,195,448
Shares repurchased		(24,857,741	)		(456,827,817	)		(4,735,609	)		(126,692,942	)
Net increase (decrease)		(22,793,184	)	$	(413,472,635	)		(1,997,123	)	$	(62,497,493	)

144

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

	Six Months Ended August 31, 2022 (Unaudited)						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
Emerging Domestic Opportunities Fund (continued)
Class I:
Shares sold		40,749		$	770,443			205,682		$	5,688,566
Shares issued to shareholders in reinvestment of distributions		3,130			56,879			44,186			1,037,354
Shares repurchased		(35,117	)		(681,074	)		(393,002	)		(10,368,048	)
Net increase (decrease)		8,762		$	146,248			(143,134	)	$	(3,642,128	)
Emerging Markets ex-China Fund
Class III:(a)
Shares sold		128,961		$	1,905,000			897,980		$	16,532,557
Shares issued to shareholders in reinvestment of distributions		7,543			93,683			1,172			23,270
Shares repurchased		—			—			(9,824	)		(190,000	)
Net increase (decrease)		136,504		$	1,998,683			889,328		$	16,365,827
Class VI:(b)
Shares sold		2,960,583		$	44,627,648			17,827,432		$	355,913,395
Shares issued to shareholders in reinvestment of distributions		142,184			1,765,928			115,695			2,297,709
Shares repurchased		(1,272,919	)		(19,123,922	)		(994,450	)		(18,359,868	)
Net increase (decrease)		1,829,848		$	27,269,654			16,948,677		$	339,851,236
Class I:(c)
Shares sold		—		$	—			26		$	500
Shares issued to shareholders in reinvestment of distributions		—			2			—			3
Net increase (decrease)		—		$	2			26		$	503
Emerging Markets Fund
Class II:
Shares sold		714,881		$	17,640,000			2,606,322		$	88,755,053
Shares issued to shareholders in reinvestment of distributions		73,110			1,692,493			206,838			7,025,529
Shares repurchased		(1,725,808	)		(46,449,010	)		(1,960,353	)		(71,639,850	)
Net increase (decrease)		(937,817	)	$	(27,116,517	)		852,807		$	24,140,732
Class III:
Shares sold		390,168		$	10,000,000			90,991		$	3,125,000
Shares issued to shareholders in reinvestment of distributions		60,624			1,408,292			200,077			6,847,588
Shares repurchased		(1,014,485	)		(25,002,492	)		(4,992,075	)		(176,344,146	)
Net increase (decrease)		(563,693	)	$	(13,594,200	)		(4,701,007	)	$	(166,371,558	)
Class V:(d)
Shares repurchased		—		$	—			(8,449,876	)	$	(315,869,299	)
Net increase (decrease)		—		$	—			(8,449,876	)	$	(315,869,299	)
Class VI:
Shares sold		4,513,994		$	117,795,142			13,464,812		$	499,344,486
Shares issued to shareholders in reinvestment of distributions		705,155			16,183,304			1,923,723			64,976,185
Shares repurchased		(5,168,096	)		(132,730,332	)		(22,366,927	)		(813,771,305	)
Net increase (decrease)		51,053		$	1,248,114			(6,978,392	)	$	(249,450,634	)

145

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

	Six Months Ended August 31, 2022 (Unaudited)						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
Emerging Markets Fund (continued)
Class R6:
Shares sold		187,003		$	5,082,351			253,043		$	9,226,510
Shares issued to shareholders in reinvestment of distributions		24,198			559,471			57,004			1,932,218
Shares repurchased		(103,507	)		(2,606,379	)		(150,830	)		(5,473,092	)
Net increase (decrease)		107,694		$	3,035,443			159,217		$	5,685,636
Class I:
Shares sold		1,126,854		$	29,405,516			2,589,594		$	93,382,590
Shares issued to shareholders in reinvestment of distributions		67,354			1,556,555			158,470			5,361,706
Shares repurchased		(638,298	)		(15,945,906	)		(892,702	)		(30,798,776	)
Net increase (decrease)		555,910		$	15,016,165			1,855,362		$	67,945,520
International Equity Fund
Class II:
Shares sold		—		$	—			67		$	1,543
Shares issued to shareholders in reinvestment of distributions		362			6,965			6,894			160,857
Shares repurchased		(294	)		(6,423	)		(328	)		(7,990	)
Net increase (decrease)		68		$	542			6,633		$	154,410
Class III:
Shares sold		513,443		$	10,641,773			902,391		$	22,300,898
Shares issued to shareholders in reinvestment of distributions		55,163			1,074,582			1,036,029			24,543,676
Shares repurchased		(424,538	)		(8,827,492	)		(4,491,351	)		(111,707,638	)
Net increase (decrease)		144,068		$	2,888,863			(2,552,931	)	$	(64,863,064	)
Class IV:
Shares sold		319,562		$	6,558,636			6,293,011		$	158,848,803
Shares issued to shareholders in reinvestment of distributions		218,986			4,257,086			4,392,308			103,725,041
Shares repurchased		(8,628,653	)		(192,539,900	)		(19,692,831	)		(483,373,679	)
Net increase (decrease)		(8,090,105	)	$	(181,724,178	)		(9,007,512	)	$	(220,799,835	)
Class I:(e)
Shares sold		—		$	—			130,919		$	3,300,485
Shares issued to shareholders in reinvestment of distributions		327			6,386			6,199			143,501
Shares repurchased		(6,921	)		(155,015	)		(6,198	)		(143,480	)
Net increase (decrease)		(6,594	)	$	(148,629	)		130,920		$	3,300,506
Japan Value Creation Fund
Class III:(f)
Shares sold		619,507		$	11,000,000			1,201,005		$	23,595,006
Shares issued to shareholders in reinvestment of distributions		78,240			1,238,546			—			—
Shares repurchased		(404,060	)		(7,592,284	)		—			—
Net increase (decrease)		293,687		$	4,646,262			1,201,005		$	23,595,006

146

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

	Six Months Ended August 31, 2022 (Unaudited)						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
Japan Value Creation Fund (continued)
Class VI:
Shares sold		67,739		$	1,178,683			711,481	(g)	$	16,519,323	(g)
Shares issued to shareholders in reinvestment of distributions		345,377			5,467,317			1,165,547			24,281,578
Shares repurchased		(755,388	)		(13,671,648	)		(2,110,286	)		(45,245,731	)
Net increase (decrease)		(342,272	)	$	(7,025,648	)		(233,258	)	$	(4,444,830	)
Class I:(h)
Shares sold		33,493		$	592,770			150,076		$	3,372,125
Shares issued to shareholders in reinvestment of distributions		7,390			116,834			14,815			306,209
Shares repurchased		(39,249	)		(688,331	)		(7,083	)		(143,012	)
Net increase (decrease)		1,634		$	21,273			157,808		$	3,535,322
Quality Cyclicals Fund
Class VI:
Shares sold		46,193		$	1,018,510			4,504		$	133,246
Shares issued to shareholders in reinvestment of distributions		182,515			3,725,139			1,088,936			29,159,128
Shares repurchased		(745,868	)		(18,644,178	)		(489,406	)		(15,000,655	)
Net increase (decrease)		(517,160	)	$	(13,900,529	)		604,034		$	14,291,719
Class I:(i)
Shares sold		—		$	—			3,162		$	89,975
Shares issued to shareholders in reinvestment of distributions		116			2,367			380			9,434
Shares repurchased		(116	)		(2,367	)		(380	)		(9,434	)
Net increase (decrease)		—		$	—			3,162		$	89,975
Quality Fund
Class III:
Shares sold		6,762,297		$	177,868,576			10,762,535		$	311,185,638
Shares issued to shareholders in reinvestment of distributions		2,875,648			70,194,570			6,211,089			184,230,822
Shares repurchased		(13,426,708	)		(360,020,663	)		(45,655,713	)		(1,352,856,414	)
Net increase (decrease)		(3,788,763	)	$	(111,957,517	)		(28,682,089	)	$	(857,439,954	)
Class IV:
Shares sold		5,743,309		$	149,800,000			24,890,734		$	743,002,525
Shares issued to shareholders in reinvestment of distributions		978,534			23,944,722			1,698,410			50,525,221
Shares repurchased		(1,851,366	)		(51,100,000	)		(22,990,583	)		(681,793,126	)
Net increase (decrease)		4,870,477		$	122,644,722			3,598,561		$	111,734,620
Class VI:
Shares sold		9,549,275		$	250,700,231			33,411,262		$	985,954,280
Shares issued to shareholders in reinvestment of distributions		3,289,600			80,299,147			7,098,478			210,592,163
Shares repurchased		(30,236,533	)		(799,733,223	)		(12,013,379	)		(356,648,291	)
Net increase (decrease)		(17,397,658	)	$	(468,733,845	)		28,496,361		$	839,898,152

147

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

	Six Months Ended August 31, 2022 (Unaudited)						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
Quality Fund (continued)
Class R6:
Shares sold		3,655,773		$	99,271,463			6,146,062		$	180,898,983
Shares issued to shareholders in reinvestment of distributions		497,944			12,139,879			827,128			24,514,251
Shares repurchased		(2,658,210	)		(69,255,371	)		(1,596,874	)		(47,414,894	)
Net increase (decrease)		1,495,507		$	42,155,971			5,376,316		$	157,998,340
Class I:
Shares sold		4,189,382		$	109,961,911			7,086,571		$	206,735,852
Shares issued to shareholders in reinvestment of distributions		486,951			11,857,262			803,359			23,785,537
Shares repurchased		(2,192,125	)		(57,292,953	)		(2,376,575	)		(69,883,916	)
Net increase (decrease)		2,484,208		$	64,526,220			5,513,355		$	160,637,473
Resources Fund
Class III:
Shares sold		1,893,351		$	51,367,300			8,981,611		$	257,064,425
Shares issued to shareholders in reinvestment of distributions		367,301			8,165,103			1,052,726			29,016,330
Shares repurchased		(1,169,195	)		(32,114,650	)		(5,062,843	)		(147,877,164	)
Net increase (decrease)		1,091,457		$	27,417,753			4,971,494		$	138,203,591
Class IV:
Shares sold		2,106,786		$	63,669,163			20,735,965		$	604,670,278
Shares issued to shareholders in reinvestment of distributions		522,360			11,575,498			3,423,141			94,223,444
Shares repurchased		(601,479	)		(17,524,358	)		(29,760,042	)		(866,303,735	)
Net increase (decrease)		2,027,667		$	57,720,303			(5,600,936	)	$	(167,410,013	)
Class VI:(j)
Shares sold		5,124,785		$	136,665,816			29,775,768		$	866,735,067
Shares issued to shareholders in reinvestment of distributions		1,164,965			25,803,971			—			—
Shares repurchased		(6,721,051	)		(200,579,313	)		—			—
Net increase (decrease)		(431,301	)	$	(38,109,526	)		29,775,768		$	866,735,067
Class R6:
Shares sold		4,083,426		$	111,207,566			3,927,986		$	112,964,982
Shares issued to shareholders in reinvestment of distributions		200,604			4,455,421			121,620			3,313,878
Shares repurchased		(1,237,292	)		(33,787,680	)		(439,984	)		(12,570,805	)
Net increase (decrease)		3,046,738		$	81,875,307			3,609,622		$	103,708,055
Class I:
Shares sold		10,518,445		$	289,039,715			12,802,341		$	367,878,139
Shares issued to shareholders in reinvestment of distributions		568,381			12,629,420			942,416			25,987,421
Shares repurchased		(4,780,389	)		(124,952,721	)		(4,708,721	)		(135,872,354	)
Net increase (decrease)		6,306,437		$	176,716,414			9,036,036		$	257,993,206

148

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

	Six Months Ended August 31, 2022 (Unaudited)						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
Tax-Managed International Equities Fund
Class III:
Shares sold		784,756		$	11,410,096			18,656		$	275,619
Shares issued to shareholders in reinvestment of distributions		10,473			123,584			63,193			910,792
Shares repurchased		(127,493	)		(1,595,248	)		(297,762	)		(5,014,362	)
Net increase (decrease)		667,736		$	9,938,432			(215,913	)	$	(3,827,951	)
U.S. Equity Fund
Class III:
Shares sold		101,870		$	1,360,634			—		$	—
Shares issued to shareholders in reinvestment of distributions		350,258			4,105,019			1,201,808			17,671,434
Shares repurchased		(89,158	)		(1,186,418	)		(2,649,751	)		(42,595,783	)
Net increase (decrease)		362,970		$	4,279,235			(1,447,943	)	$	(24,924,349	)
Class VI:
Shares sold		404,786		$	5,723,000			11,888,253		$	185,874,969
Shares issued to shareholders in reinvestment of distributions		1,567,070			18,115,330			4,617,810			66,354,537
Shares repurchased		(3,301,266	)		(43,412,012	)		(5,260,335	)		(80,794,845	)
Net increase (decrease)		(1,329,410	)	$	(19,573,682	)		11,245,728		$	171,434,661
U.S. Small Cap Value Fund
Class VI:
Shares sold		38,643		$	710,000			119,271		$	3,183,172
Shares issued to shareholders in reinvestment of distributions		1,030,191			15,906,146			4,036,257			83,549,717
Shares repurchased		(1,525,929	)		(28,836,858	)		(6,207,447	)		(170,880,206	)
Net increase (decrease)		(457,095	)	$	(12,220,712	)		(2,051,919	)	$	(84,147,317	)

^(a)  The period under the heading “Year Ended February 28, 2022” represents the period from November 17, 2021 (commencement of operations) through February 28, 2022.

^(b)  The period under the heading “Year Ended February 28, 2022” represents the period from October 18, 2021 (commencement of operations) through February 28, 2022.

^(c)  The period under the heading “Year Ended February 28, 2022” represents the period from December 1, 2021 (commencement of operations) through February 28, 2022.

^(d)  Class V liquidated on April 29, 2021.

^(e)  The period under the heading “Year Ended February 28, 2022” represents the period from May 24, 2021 (commencement of operations) through February 28, 2022.

^(f) The period under the heading “Year Ended February 28, 2022” represents the period from December 30, 2021 (commencement of operations) through February 28, 2022.

^(g)  343,975 shares and $5,174,438 were purchased in-kind.

^(h)  The period under the heading “Year Ended February 28, 2022” represents the period from June 7, 2021 (commencement of operations) through February 28, 2022.

⁽ⁱ⁾  The period under the heading “Year Ended February 28, 2022” represents the period from July 16, 2021 (commencement of operations) through February 28, 2022.

^(j)  The period under the heading “Year Ended February 28, 2022” represents the period from February 8, 2022 (commencement of operations) through February 28, 2022.

149

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

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 or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended August 31, 2022 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Climate Change Fund
GMO U.S. Treasury Fund	$	58,977,551	$	395,073,292	$	366,361,929	$	119,318	**	$	—	$	(375,692	)	$	45,209		$	87,358,431
Emerging Domestic Opportunities Fund
GMO U.S. Treasury Fund	$	2,331,522	$	23,993,635	$	25,300,000	$	23,129		$	—	$	(18,623	)	$	9,304		$	1,015,838
Emerging Markets ex-China Fund
GMO U.S. Treasury Fund	$	4,374	$	9	$	4,374	$	11		$	—	$	(26	)	$	17		$	—
Emerging Markets Fund
Anilana Hotels and Properties Ltd	$	712,685	$	—	$	—	$	—		$	—	$	—		$	(452,727	)	$	259,958
Gayatri Projects Ltd		3,763,980		—		—		—			—		—			(1,831,463	)		1,932,517
Totals	$	4,476,665	$	—	$	—	$	—		$	—	$	—		$	(2,284,190	)	$	2,192,475
Quality Cyclicals Fund
GMO U.S. Treasury Fund	$	434,957	$	2,680,000	$	1,685,000	$	9,604		$	—	$	(6,486	)	$	(102	)	$	1,423,369
Quality Fund
GMO U.S. Treasury Fund	$	5,788,348	$	—	$	—	$	38,895		$	—	$	—		$	(23,107	)	$	5,765,241
Tax-Managed International Equities Fund
GMO U.S. Treasury Fund	$	999,833	$	10,870,000	$	11,206,200	$	7,470		$	—	$	(7,243	)	$	2,647		$	659,037
U.S. Equity Fund
GMO U.S. Treasury Fund	$	10,402,263	$	28,160,000	$	34,700,000	$	40,564		$	—	$	(64,261	)	$	26,176		$	3,824,178
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	1,158,524	$	7,100,000	$	7,300,000	$	17,112		$	—	$	(18,241	)	$	3,629		$	943,912

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2022 through August 31, 2022. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2023.

** Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $640,745 in Climate Change Fund during the period.

11. Subsequent events

Subsequent to August 31, 2022, GMO U.S. Small Cap Value Fund received redemption requests in the amount of $99,300,000.

150

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Pursuant to approval by the Board of Trustees of GMO Trust and effective October 26, 2022, the name of GMO Emerging Domestic Opportunities Fund changed to GMO Emerging Markets Select Equity Fund and the Fund’s investment objective changed to total return above the MSCI Emerging Markets Index. Also effective October 26, 2022, the Fund’s management fee was reduced from 0.75% to 0.55% and GMO has contractually agreed to waive its fees with respect to and/or reimburse the Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.75% for Class II shares; 0.70% for Class III shares; 0.65% for Class IV shares; 0.635% for Class V shares; 0.605% for Class VI shares; 0.75% for Class R6 shares; and 0.75% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (collectively, “Excluded Expenses”), are excluded from the Expense Cap. GMO is permitted to recover from the Fund, on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses. GMO has also contractually agreed to waive its fees with respect to and/or reimburse Class I shares to the extent that amounts paid by the Fund out of the net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders exceed 0.10% of the average daily net assets attributable to Class I shares.

151

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2022 (Unaudited)

GMO Climate Change Fund

Approval of renewal of management agreement for GMO Climate Change Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed account with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to those other vehicles and that other account, as well as the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing those other vehicles and that other account. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

152

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Emerging Domestic Opportunities Fund

Approval of renewal of management agreement and sub-advisory agreement for GMO Emerging Domestic Opportunities Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”), and the sub-advisory agreement among GMO, GMO Singapore Pte. Limited (“GMO Singapore”) and the Trust, on behalf of the Fund.

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and sub-advisory agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement and sub-advisory agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicle and separately managed account with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to that other vehicle and that other account, as well as the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing that other vehicle and that other account. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO. In addition, the Trustees reviewed the fee payable by GMO to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund. The Trustees noted that GMO Singapore’s sub-advisory fee was paid by GMO out of GMO’s management fee and not directly by the Fund.

153

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management and sub-advisory agreements and that the fees charged under those agreements were reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement and sub-advisory agreement for another year.

GMO Emerging Markets ex-China Fund

Approval of renewal of management agreement for GMO Emerging Markets ex-China Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

154

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Emerging Markets Fund

Approval of renewal of management agreement for GMO Emerging Markets Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

155

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service, to fees received by GMO for providing sub-investment advisory services to a third-party managed fund with an investment strategy similar to that of the Fund, and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed accounts with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund, to that third-party managed fund, and to those other vehicles and those other accounts, as well as the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in providing sub-investment advisory services to that third-party managed fund and managing those other vehicles and those other accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

156

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

GMO International Equity Fund

Approval of renewal of management agreement for GMO International Equity Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses, including changes GMO was considering proposing.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its separately managed accounts with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to those other accounts, as well as the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing those other accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund

157

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO-Usonian Japan Value Creation Fund

Approval of renewal of management agreement for GMO-Usonian Japan Value Creation Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses, including changes GMO was considering proposing.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicle and separately managed account with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to that other vehicle and that other account, as well as the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing that other vehicle and that other account. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

158

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Quality Cyclicals Fund

Approval of renewal of management agreement for GMO Quality Cyclicals Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses, including changes GMO was considering proposing.

159

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Quality Fund

Approval of renewal of management agreement for GMO Quality Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

160

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses, including changes GMO was considering proposing.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed accounts with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to those other vehicles and those other accounts, as well as the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing those other vehicles and those other accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Resources Fund

Approval of renewal of management agreement for GMO Resources Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

161

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicle and separately managed accounts with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to that other vehicle and those other accounts, as well as the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing that other vehicle and those other accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

162

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

GMO Tax-Managed International Equities Fund

Approval of renewal of management agreement for GMO Tax-Managed International Equities Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses, including changes GMO was considering proposing.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

163

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO U.S. Equity Fund

Approval of renewal of management agreement for GMO U.S. Equity Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses, including changes GMO was considering proposing.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

164

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO U.S. Small Cap Value Fund

Approval of renewal of management agreement for GMO U.S. Small Cap Value Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

165

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

166

GMO Trust Funds

Liquidity Risk Management Program

August 31, 2022 (Unaudited)

Rule 22e-4 under the Investment Company Act of 1940, as amended, requires open-end registered investment companies (other than money market funds) to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk. Each Fund has adopted a Liquidity Risk Management Program (the “Program”) that is designed to assess and manage liquidity risk, defined as the risk that the Fund could not meet redemption requests without significant dilution of the remaining shareholders’ interests in the Fund. The Program includes the following elements, among others:

• Monitoring of factors material to liquidity risk for each Fund;

• Classification of each Fund’s portfolio investments into one of four liquidity categories: highly liquid, moderately liquid, less liquid, and illiquid;

• Oversight of third parties providing services in support of the Program;

• Determination and review of a highly liquid investment minimum for any Fund that does not primarily hold assets that are highly liquid investments;

• A restriction on each Fund acquiring an illiquid investment if immediately after the acquisition the Fund would have more than 15% of its net assets invested in illiquid investments;

• Periodic reporting to the Board of Trustees, including a written report at least annually that addresses the operation of the Program and assesses its adequacy and effectiveness.

The GMO Trust Board of Trustees reviewed a written report from GMO dated April 20, 2022 addressing the Program’s operation, adequacy and effectiveness.

167

GMO Trust Funds

Fund Expenses

August 31, 2022 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2022.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2022 through August 31, 2022.

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. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value March 1, 2022		Ending Account Value August 31, 2022		Expenses Paid During the Period*		Beginning Account Value March 1, 2022		Ending Account Value August 31, 2022		Expenses Paid During the Period*		Annualized Expense Ratio
Climate Change Fund
Class III		$1,000.00		$958.30		$3.80		$1,000.00		$1,021.32		$3.92		0.77%
Class R6		$1,000.00		$958.60		$3.80		$1,000.00		$1,021.32		$3.92		0.77%
Class I		$1,000.00		$958.00		$4.29		$1,000.00		$1,020.82		$4.43		0.87%
Emerging Domestic Opportunities Fund
Class II		$1,000.00		$839.10		$5.05		$1,000.00		$1,019.71		$5.55		1.09%
Class V		$1,000.00		$839.40		$4.36		$1,000.00		$1,020.47		$4.79		0.94%
Class I		$1,000.00		$838.80		$5.19		$1,000.00		$1,019.56		$5.70		1.12%
Emerging Markets ex-China Fund
Class III		$1,000.00		$802.30		$3.63		$1,000.00		$1,021.17		$4.08		0.80%
Class VI		$1,000.00		$802.60		$3.04		$1,000.00		$1,021.83		$3.41		0.67%
Class I		$1,000.00		$802.40		$4.32		$1,000.00		$1,020.42		$4.84		0.95%
Emerging Markets Fund
Class II		$1,000.00		$807.00		$4.46		$1,000.00		$1,020.27		$4.99		0.98%
Class III		$1,000.00		$807.10		$4.24		$1,000.00		$1,020.52		$4.74		0.93%
Class VI		$1,000.00		$807.80		$3.65		$1,000.00		$1,021.17		$4.08		0.80%
Class R6		$1,000.00		$807.20		$4.46		$1,000.00		$1,020.27		$4.99		0.98%
Class I		$1,000.00		$807.10		$4.69		$1,000.00		$1,020.01		$5.24		1.03%

168

GMO Trust Funds

Fund Expenses — (Continued)

August 31, 2022 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2022		Ending Account Value August 31, 2022		Expenses Paid During the Period*		Beginning Account Value March 1, 2022		Ending Account Value August 31, 2022		Expenses Paid During the Period*		Annualized Expense Ratio
International Equity Fund
Class II		$1,000.00		$852.50		$3.41		$1,000.00		$1,021.53		$3.72		0.73%
Class III		$1,000.00		$853.00		$3.08		$1,000.00		$1,021.88		$3.36		0.66%
Class IV		$1,000.00		$853.00		$2.80		$1,000.00		$1,022.18		$3.06		0.60%
Class I		$1,000.00		$852.30		$3.88		$1,000.00		$1,021.02		$4.23		0.83%
Japan Value Creation Fund
Class III		$1,000.00		$847.50		$3.07		$1,000.00		$1,021.88		$3.36		0.66%
Class VI		$1,000.00		$847.50		$2.65		$1,000.00		$1,022.33		$2.91		0.57%
Class I		$1,000.00		$846.70		$3.54		$1,000.00		$1,021.37		$3.87		0.76%
Quality Cyclicals Fund
Class VI		$1,000.00		$855.20		$1.87		$1,000.00		$1,023.19		$2.04		0.40%
Class I		$1,000.00		$856.10		$2.76		$1,000.00		$1,022.23		$3.01		0.59%
Quality Fund
Class III		$1,000.00		$911.40		$2.36		$1,000.00		$1,022.74		$2.50		0.49%
Class IV		$1,000.00		$911.50		$2.12		$1,000.00		$1,022.99		$2.24		0.44%
Class VI		$1,000.00		$911.50		$1.88		$1,000.00		$1,023.24		$1.99		0.39%
Class R6		$1,000.00		$911.40		$2.31		$1,000.00		$1,022.79		$2.45		0.48%
Class I		$1,000.00		$910.90		$2.79		$1,000.00		$1,022.28		$2.96		0.58%
Resources Fund
Class III		$1,000.00		$951.90		$3.44		$1,000.00		$1,021.68		$3.57		0.70%
Class IV		$1,000.00		$952.20		$3.20		$1,000.00		$1,021.93		$3.31		0.65%
Class VI		$1,000.00		$952.30		$2.95		$1,000.00		$1,022.18		$3.06		0.60%
Class R6		$1,000.00		$952.10		$3.44		$1,000.00		$1,021.68		$3.57		0.70%
Class I		$1,000.00		$951.30		$3.93		$1,000.00		$1,021.17		$4.08		0.80%
Tax-Managed International Equities Fund
Class III		$1,000.00		$852.30		$3.17		$1,000.00		$1,021.78		$3.47		0.68%
U.S. Equity Fund
Class III		$1,000.00		$936.70		$2.29		$1,000.00		$1,022.84		$2.40		0.47%
Class VI		$1,000.00		$937.10		$1.81		$1,000.00		$1,023.34		$1.89		0.37%
U.S. Small Cap Value Fund
Class VI		$1,000.00		$903.10		$2.01		$1,000.00		$1,023.09		$2.14		0.42%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2022, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

169

SR-083122-EQ

GMO Trust

Semiannual Report

August 31, 2022

Asset Allocation Bond Fund

Emerging Country Debt Fund

High Yield Fund

Multi-Sector Fixed Income Fund

Opportunistic Income Fund

U.S. Treasury Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com 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 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

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-PORT which is available on the Commission’s website at www.sec.gov. 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. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

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

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

TABLE OF CONTENTS

Asset Allocation Bond Fund
Investment Concentration Summary	1
Schedule of Investments	2
Emerging Country Debt Fund
Investment Concentration Summary	3
Schedule of Investments	4
High Yield Fund
Investment Concentration Summary	17
Schedule of Investments	18
Multi-Sector Fixed Income Fund
Investment Concentration Summary	22
Schedule of Investments	23
Opportunistic Income Fund
Investment Concentration Summary	32
Schedule of Investments	33
U.S. Treasury Fund
Investment Concentration Summary	44
Schedule of Investments	45
Portfolio, Counterparty and Currency Abbreviations	46
Fund Financial Statements:
Statements of Assets and Liabilities	47
Statements of Operations	51
Statements of Changes in Net Assets	53
Statement of Cash Flow	56
Financial Highlights	57
Notes to Financial Statements	70
Board Review of Investment Management Agreements	104
Liquidity Risk Management Program	112
Fund Expenses	113

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		99.1	%
Short-Term Investments		0.9
Mutual Funds		0.0	^
Other		0.0	^
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

^ Rounds to 0.0%.

1

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value† /     Shares		Description	Value ($)
		DEBT OBLIGATIONS — 99.1%
		U.S. Government — 99.1%
	4,939,000	U.S. Treasury Note, 2.38%, due 03/31/29		4,657,130
	19,737,000	U.S. Treasury Note, 1.25%, due 08/15/31		16,798,808
		Total U.S. Government		21,455,938
		TOTAL DEBT OBLIGATIONS (COST $23,610,272)		21,455,938
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers — 0.0%
	4	GMO U.S. Treasury Fund		19
		TOTAL MUTUAL FUNDS (COST $19)		19
		SHORT-TERM INVESTMENTS — 0.9%
		Money Market Funds — 0.9%
	181,618	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (a)		181,618
		TOTAL SHORT-TERM INVESTMENTS (COST $181,618)		181,618
		TOTAL INVESTMENTS — 100.0% (Cost $23,791,909)		21,637,575
		Other Assets and Liabilities (net) — 0.0%		6,286
		TOTAL NET ASSETS — 100.0%		$21,643,861

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 August 31, 2022.

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 46.

See accompanying notes to the financial statements. 2

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		90.3	%
Short-Term Investments		2.9
Loan Assignments		1.3
Swap Contracts		1.2
Loan Participations		0.8
Forward Currency Contracts		0.4
Investment Funds		0.2
Rights/Warrants		0.2
Written Options/Credit Linked Options		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Other		2.7
		100.0	%

Country/Region Summary¤	% of Investments
Other Emerging		19.8	%†
Turkey		6.3
Oman		5.4
Mexico		5.2
Saudi Arabia		5.1
Bahrain		4.3
Dominican Republic		3.9
Indonesia		3.5
Tunisia		3.2
South Africa		3.1
Colombia		3.0
Egypt		2.7
Peru		2.7
Argentina		2.6
Jordan		2.6
United Arab Emirates		2.5
Ecuador		2.3
Panama		2.2
Chile		2.0
Kenya		1.9
Trinidad & Tobago		1.6
India		1.4
Kazakhstan		1.4
Vietnam		1.4
Israel		1.3
Ivory Coast		1.3
Nigeria		1.3
Philippines		1.3
Costa Rica		1.2
Romania		1.2
Brazil		1.0
Ghana		1.0
Other Developed		0.3	‡
		100.0	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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. 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%.

3

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 90.3%
		Albania — 1.5%
		Sovereign and Sovereign Agency Issuers — 1.5%
	49,649,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		42,962,540
EUR	9,100,000	Republic of Albania Par Bond, Reg S, 3.50%, due 11/23/31		7,503,512
		Total Albania		50,466,052
		Angola — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	23,200,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		17,632,000
		Argentina — 2.7%
		Sovereign and Sovereign Agency Issuers — 2.7%
	29,090,713	Republic of Argentina, 1.00%, due 07/09/29		6,750,896
	35,333,493	Republic of Argentina, Step Up, 0.50%, due 07/09/30		8,374,038
JPY	407,485,276	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c) (d)		733,283
	56,547,942	Republic of Argentina, Step Up, 1.50%, due 07/09/35		12,695,013
EUR	28,500,000	Republic of Argentina, Step Up, 3.00%, due 01/09/38		6,573,129
	72,008,994	Republic of Argentina, Step Up, 3.88%, due 01/09/38		19,847,097
JPY	334,073,000	Republic of Argentina, 0.67%, due 12/31/38 (c) (d)		408,799
EUR	8,260,000	Republic of Argentina, Step Up, 2.75%, due 07/09/41		1,831,384
	69,701,240	Republic of Argentina, Step Up, 3.50%, due 07/09/41		18,261,725
	56,947,000	Republic of Argentina, Step Up, 1.50%, due 07/09/46		12,966,120
		Total Argentina		88,441,484
		Armenia — 0.5%
		Corporate Debt
	15,750,000	Ardshinbank CJSC Via Dilijan Finance BV, Reg S, 6.50%, due 01/28/25		14,942,813
		Azerbaijan — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	11,388,000	International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24		10,818,600
	5,250,000	Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23		5,197,500
	17,800,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		16,598,500
		Total Azerbaijan		32,614,600

Par Value†		Description	Value ($)
		Bahamas — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	10,840,000	Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28		6,987,058
	5,400,000	Bahamas Government International Bond, 144A, 9.00%, due 06/16/29		3,993,637
	15,600,000	Bahamas Government International Bond, Reg S, 8.95%, due 10/15/32		9,991,800
	7,900,000	Bahamas Government International Bond, Reg S, 7.13%, due 04/02/38		6,127,437
		Total Bahamas		27,099,932
		Bahrain — 2.2%
		Sovereign and Sovereign Agency Issuers — 2.2%
	84,290,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		71,240,854
		Barbados — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	19,600,000	Barbados Government International Bond, Reg S, 6.50%, due 10/01/29		18,629,800
		Belarus — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	8,304,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 (c) (d)		1,328,640
	20,300,000	Republic of Belarus International Bond,
		Reg S, 6.20%, due 02/28/30 (c) (d)		3,755,500
		Total Belarus		5,084,140
		Bermuda — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	6,990,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		7,008,786
		Bolivia — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	9,200,000	Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28		7,332,975
		Brazil — 1.7%
		Corporate Debt — 0.9%
	29,813,706	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		27,428,610
		Sovereign and Sovereign Agency Issuers — 0.8%
	17,800,000	Republic of Brazil, 4.75%, due 01/14/50		12,969,525
BRL	75,100,000	Rio Smart Lighting Sarl, Reg S, 12.25%, due 09/20/32 (e)		14,293,995
				27,263,520
		Total Brazil		54,692,130

See accompanying notes to the financial statements. 4

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Bulgaria — 0.0%
		Sovereign and Sovereign Agency Issuers — 0.0%
EUR	1,500,000	Bulgarian Energy Holding EAD, Reg S, 2.45%, due 07/22/28		1,184,083
		Cameroon — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
EUR	7,500,000	Republic of Cameroon International Bond, Reg S, 5.95%, due 07/07/32		5,357,485
		Chile — 2.2%
		Corporate Debt — 1.0%
	20,411,000	Enel Generacion Chile SA, 8.13%, due 02/01/97 (a)		18,555,640
	24,403,985	Inversiones Latin America Power Ltda, Reg S, 5.13%, due 06/15/33		13,178,152
				31,733,792
		Sovereign and Sovereign Agency Issuers — 1.2%
	7,500,000	Chile Government International Bond, 3.10%, due 05/07/41		5,516,250
	3,700,000	Chile Government International Bond, 4.00%, due 01/31/52		2,923,000
	8,100,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		7,755,750
	5,300,000	Empresa Nacional del Petroleo, Reg S, 3.45%, due 09/16/31		4,426,494
	27,550,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		20,194,150
				40,815,644
		Total Chile		72,549,436
		China — 0.3%
		Corporate Debt — 0.1%
	11,200,000	China Evergrande Group, Reg S, 11.50%, due 01/22/23 (d)		793,100
	14,300,000	China Evergrande Group, Reg S, 12.00%, due 01/22/24 (d)		1,017,087
	7,500,000	China Evergrande Group, Reg S, 10.50%, due 04/11/24 (d)		542,813
	6,100,000	Scenery Journey Ltd, Reg S, 11.50%, due 10/24/22 (d)		274,500
	2,100,000	Scenery Journey Ltd, Reg S, 13.00%, due 11/06/22 (d)		94,500
	3,600,000	Scenery Journey Ltd, Reg S, 12.00%, due 10/24/23 (d)		162,000
	4,100,000	Scenery Journey Ltd, Reg S, 13.75%, due 11/06/23 (d)		184,500
				3,068,500
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,500,000	CNAC HK Finbridge Co., Ltd., Reg S, 3.00%, due 09/22/30		6,378,750
		Total China		9,447,250

Par Value†		Description	Value ($)
		Colombia — 3.1%
		Corporate Debt — 0.2%
COP	26,700,000,000	PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36		4,656,977
		Sovereign and Sovereign Agency Issuers — 2.9%
	1,392,000	Colombia Government International Bond, 8.38%, due 02/15/27 (a)		1,416,472
	3,800,000	Colombia Government International Bond, 11.85%, due 03/09/28 (a)		4,442,997
	74,500,000	Colombia Government International Bond, 5.63%, due 02/26/44		54,119,594
	7,600,000	Colombia Government International Bond, 5.20%, due 05/15/49		5,176,550
	9,811,000	Ecopetrol SA, 7.38%, due 09/18/43		8,169,497
	21,300,000	Ecopetrol SA, 5.88%, due 11/02/51		14,111,250
COP	51,200,000,000	Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27		8,843,531
				96,279,891
		Total Colombia		100,936,868
		Congo Republic (Brazzaville) — 1.4%
		Sovereign and Sovereign Agency Issuers — 1.4%
	53,438,925	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		45,155,892
		Costa Rica — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	3,700,000	Costa Rica Government International Bond, Reg S, 7.00%, due 04/04/44		3,218,537
	23,131,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45		20,453,587
	9,198,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		7,046,818
		Total Costa Rica		30,718,942
		Czech Republic — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	5,458,000	CEZ AS, Reg S, 5.63%, due 04/03/42		5,311,097
		Dominican Republic — 2.6%
		Sovereign and Sovereign Agency Issuers — 2.6%
	7,400,000	Dominican Republic International Bond, 144A, 6.00%, due 02/22/33		6,450,950
	4,100,000	Dominican Republic International Bond, Reg S, 5.30%, due 01/21/41		3,037,331
	108,829,000	Dominican Republic International Bond, Reg S, 5.88%, due 01/30/60		77,016,923
		Total Dominican Republic		86,505,204
		Ecuador — 2.4%
		Sovereign and Sovereign Agency Issuers — 2.4%
	1,000,000	Ecuador Government International Bond, 5.00%, due 02/28/25 (c)		920,000
	8,246,892	Ecuador Government International Bond, Reg S, Zero Coupon, due 07/31/30		2,797,758

5 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Ecuador — continued
		Sovereign and Sovereign Agency Issuers — continued
	18,576,250	Ecuador Government International Bond, Reg S, Step Up, 5.50%, due 07/31/30		9,796,650
	112,987,125	Ecuador Government International Bond, Reg S, Step Up, 2.50%, due 07/31/35		43,379,994
	36,603,750	Ecuador Government International Bond, Reg S, Step Up, 1.50%, due 07/31/40		12,543,648
	12,169,160	Ecuador Social Bond Sarl, Reg S, Zero Coupon, due 01/30/35		9,665,355
		Total Ecuador		79,103,405
		Egypt — 2.0%
		Sovereign and Sovereign Agency Issuers — 2.0%
	27,300,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		17,267,250
	34,700,000	Egypt Government International Bond, Reg S, 8.88%, due 05/29/50		22,208,000
	11,200,000	Egypt Government International Bond, Reg S, 8.75%, due 09/30/51		7,093,100
	28,064,000	Egypt Government International Bond, Reg S, 8.15%, due 11/20/59		17,399,680
		Total Egypt		63,968,030
		El Salvador — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	7,600,000	El Salvador Government International Bond, Reg S, 8.25%, due 04/10/32		2,837,175
	7,775,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35 (f)		2,640,099
	32,900,000	El Salvador Government International Bond, Reg S, 7.12%, due 01/20/50		10,965,981
		Total El Salvador		16,443,255
		Ethiopia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	4,090,000	Ethiopia International Bond, Reg S, 6.63%, due 12/11/24		2,250,267
		Gabon — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	6,900,000	Gabon Government International Bond, Reg S, 6.63%, due 02/06/31		5,131,013
	6,400,000	Gabon Government International Bond, Reg S, 7.00%, due 11/24/31		4,816,000
		Total Gabon		9,947,013
		Ghana — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	7,100,000	Republic of Ghana, Reg S, 8.13%, due 03/26/32		2,680,250
	7,500,000	Republic of Ghana, Reg S, 8.63%, due 06/16/49		2,619,375
	30,000,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51		10,524,375

Par Value†		Description	Value ($)
		Ghana — continued
		Sovereign and Sovereign Agency Issuers — continued
	30,400,000	Republic of Ghana, Reg S, 8.75%, due 03/11/61		10,759,700
	9,615,650	Saderea DAC, Reg S, 12.50%, due 11/30/26		6,250,173
		Total Ghana		32,833,873
		Grenada — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	9,201,000	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		7,360,800
		Guatemala — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	4,815,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		5,226,682
	2,000,000	Republic of Guatemala, Reg S, 4.65%, due 10/07/41		1,583,500
	20,600,000	Republic of Guatemala, Reg S, 6.13%, due 06/01/50		18,769,175
		Total Guatemala		25,579,357
		Honduras — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	17,300,000	Honduras Government International Bond, Reg S, 5.63%, due 06/24/30		13,080,963
		Hungary — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	28,500,000	Hungary Government International Bond, 144A, 5.50%, due 06/16/34		26,525,942
	11,300,000	Hungary Government International Bond, Reg S, 3.13%, due 09/21/51		7,032,837
		Total Hungary		33,558,779
		India — 1.7%
		Corporate Debt
	29,700,000	Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29		25,245,000
	1,000,000	GMR Hyderabad International Airport Ltd., Reg S, 4.75%, due 02/02/26		926,438
	21,140,000	GMR Hyderabad International Airport Ltd., Reg S, 4.25%, due 10/27/27		18,237,213
	10,750,000	India Airport Infra, Reg S, 6.25%, due 10/25/25		9,728,750
		Total India		54,137,401
		Indonesia — 3.7%
		Sovereign and Sovereign Agency Issuers — 3.7%
	9,200,000	Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30		8,635,350
	3,700,000	Indonesia Asahan Aluminium Persero PT, Reg S, 5.45%, due 05/15/30		3,615,270

See accompanying notes to the financial statements. 6

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Indonesia — continued
		Sovereign and Sovereign Agency Issuers — continued
	20,900,000	Indonesia Asahan Aluminium Persero PT, Reg S, 5.80%, due 05/15/50		17,749,325
	8,091,000	Indonesia Government International Bond, Reg S, 6.63%, due 02/17/37		9,071,022
	20,400,000	Minejesa Capital BV, Reg S, 5.63%, due 08/10/37		16,680,825
	11,300,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		11,715,275
	8,200,000	Pertamina Persero PT, Reg S, 4.15%, due 02/25/60		6,213,038
	14,200,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		13,609,280
	8,900,000	Perusahaan Penerbit SBSN Indonesia III, 144A, 4.70%, due 06/06/32		9,155,875
	25,649,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		23,377,460
		Total Indonesia		119,822,720
		Israel — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	13,183,000	Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96		17,837,522
		Ivory Coast — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
EUR	1,900,000	Ivory Coast Government International Bond, Reg S, 6.88%, due 10/17/40		1,370,357
EUR	32,000,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		21,823,502
		Total Ivory Coast		23,193,859
		Jamaica — 0.9%
		Corporate Debt — 0.2%
	9,274,950	TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36		7,856,462
		Sovereign and Sovereign Agency Issuers — 0.7%
	9,375,000	Jamaica Government International Bond, 7.88%, due 07/28/45		10,809,375
	11,400,000	National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 (c)		12,198,000
				23,007,375
		Total Jamaica		30,863,837
		Jordan — 1.5%
		Sovereign and Sovereign Agency Issuers — 1.5%
	7,400,000	Jordan Government International Bond, 144A, 7.75%, due 01/15/28		7,325,075
	52,095,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		42,196,950
		Total Jordan		49,522,025

Par Value†		Description	Value ($)
		Kazakhstan — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	5,200,000	Development Bank of Kazakhstan JSC, 144A, 5.75%, due 05/12/25		5,183,100
	9,000,000	Kazakhstan Temir Zholy Finance BV, Reg S, 6.95%, due 07/10/42		8,332,312
	3,800,000	KazMunayGas National Co JSC, Reg S, 5.75%, due 04/19/47		3,114,100
	19,900,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		16,526,950
		Total Kazakhstan		33,156,462
		Kenya — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	50,094,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		33,938,685
		Kuwait — 0.1%
		Corporate Debt
	4,100,000	Equate Petrochemical BV, Reg S, 2.63%, due 04/28/28		3,658,225
		Lebanon — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	20,400,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 (d)		1,406,325
	5,547,000	Lebanon Government International Bond, Reg S, 7.00%, due 03/20/28 (d)		354,662
	60,605,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 (d)		4,177,957
	21,000,000	Lebanon Government International Bond, 8.20%, due 05/17/33 (d)		1,428,000
	56,914,000	Lebanon Government International Bond, 8.25%, due 05/17/34 (d)		3,870,152
		Total Lebanon		11,237,096
		Malaysia — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	16,700,000	1MDB Global Investments Ltd., Reg S, 4.40%, due 03/09/23		15,959,522
	6,000,000	Dua Capital Ltd., Reg S, 2.78%, due 05/11/31		4,891,500
	8,400,000	Petronas Capital Ltd, Reg S, 4.80%, due 04/21/60		8,515,542
		Total Malaysia		29,366,564
		Mexico — 5.7%
		Sovereign and Sovereign Agency Issuers — 5.7%
	158,500,000	Petroleos Mexicanos, 7.69%, due 01/23/50		108,574,085
	23,486,000	Petroleos Mexicanos, 6.95%, due 01/28/60		14,667,007
	6,400,000	Petroleos Mexicanos, Reg S, 6.63%, due 12/28/2170		3,763,200
GBP	62,996,000	United Mexican States, 5.63%, due 03/19/2114		59,771,799
		Total Mexico		186,776,091

7 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Mongolia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	3,700,000	Mongolia Government International Bond, Reg S, 4.45%, due 07/07/31		2,849,407
		Montenegro — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
EUR	8,100,000	Montenegro Government International Bond, 144A, 2.88%, due 12/16/27		6,182,913
		Morocco — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	10,500,000	OCP SA, Reg S, 5.13%, due 06/23/51 (f)		7,468,125
	11,300,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		9,939,056
		Total Morocco		17,407,181
		Mozambique — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	9,276,000	Mozambique International Bond, Reg S, Step Up, 5.00%, due 09/15/31		6,468,851
		Nigeria — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	10,700,000	Nigeria Government International Bond, Reg S, 7.70%, due 02/23/38		6,821,250
	42,350,000	Nigeria Government International Bond, Reg S, 8.25%, due 09/28/51		26,839,312
		Total Nigeria		33,660,562
		Oman — 3.4%
		Sovereign and Sovereign Agency Issuers — 3.4%
	14,200,000	Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25		13,594,725
	97,900,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		87,008,625
	5,400,000	Oman Government International Bond, Reg S, 7.00%, due 01/25/51		4,981,500
	7,300,000	Oryx Funding Ltd., Reg S, 5.80%, due 02/03/31		6,943,212
		Total Oman		112,528,062
		Pakistan — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	14,762,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		7,932,730
	5,926,000	Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31		2,888,184
		Total Pakistan		10,820,914
		Panama — 1.8%
		Sovereign and Sovereign Agency Issuers — 1.8%
	26,200,000	Aeropuerto Internacional de Tocumen SA, Reg S, 5.13%, due 08/11/61		21,054,975
	12,137,000	Panama Government International Bond, 8.13%, due 04/28/34		14,253,389

Par Value†		Description	Value ($)
		Panama — continued
		Sovereign and Sovereign Agency Issuers — continued
	16,800,000	Panama Government International Bond, 4.50%, due 04/01/56		12,986,400
	12,600,000	Panama Government International Bond, 4.50%, due 01/19/63		9,513,000
		Total Panama		57,807,764
		Papua New Guinea — 0.0%
		Sovereign and Sovereign Agency Issuers — 0.0%
	1,400,000	Papua New Guinea Government International Bond, Reg S, 8.38%, due 10/04/28		1,134,154
		Peru — 2.2%
		Sovereign and Sovereign Agency Issuers — 2.2%
PEN	52,700,000	Peru Government Bond, 6.15%, due 08/12/32		11,939,739
	16,100,000	Peruvian Government International Bond, 3.60%, due 01/15/72		10,988,250
	19,700,000	Peruvian Government International Bond, 3.23%, due 07/28/2121		12,266,944
	52,995,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		36,086,945
		Total Peru		71,281,878
		Philippines — 1.8%
		Sovereign and Sovereign Agency Issuers — 1.8%
	4,700,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		7,191,000
	4,000,000	Philippine Government International Bond, 3.20%, due 07/06/46		3,060,440
	40,012,000	Power Sector Assets & Liabilities Management Corp., 9.63%, due 05/15/28		48,014,400
		Total Philippines		58,265,840
		Qatar — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	13,378,000	QNB Finansbank AS, Reg S, 6.88%, due 09/07/24		13,418,134
		Republic of North Macedonia — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
EUR	7,800,000	North Macedonia Government International Bond, Reg S, 1.63%, due 03/10/28		6,360,545
		Romania — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
EUR	9,000,000	Romanian Government International Bond, Reg S, 2.88%, due 04/13/42		5,239,058
EUR	6,900,000	Romanian Government International Bond, Reg S, 4.63%, due 04/03/49		5,121,742
EUR	18,300,000	Romanian Government International Bond, Reg S, 3.38%, due 01/28/50		10,813,668
		Total Romania		21,174,468

See accompanying notes to the financial statements. 8

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Russia — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	6,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 (c) (d)		1,580,100
	5,200,000	GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 (c) (d)		650,000
	6,800,000	GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 (c) (d)		850,000
	6,400,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35 (c) (d)		3,008,000
	34,000,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35 (c) (d)		15,980,000
	4,000,000	Russian Foreign Bond, Reg S, 5.63%, due 04/04/42 (c) (d)		2,560,000
	33,200,000	Russian Foreign Bond, Reg S, 5.25%, due 06/23/47 (c) (d)		15,604,000
		Total Russia		40,232,100
		Saudi Arabia — 3.2%
		Corporate Debt — 1.1%
	23,702,500	ACWA Power Management And Investments One Ltd., Reg S, 5.95%, due 12/15/39		22,388,493
	15,600,000	EIG Pearl Holdings Sarl, 144A, 4.39%, due 11/30/46		12,597,000
				34,985,493
		Sovereign and Sovereign Agency Issuers — 2.1%
	90,500,000	Saudi Government International Bond, Reg S, 3.45%, due 02/02/61		68,893,125
		Total Saudi Arabia		103,878,618
		Senegal — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	8,800,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		6,131,400
		Serbia — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
EUR	16,700,000	Serbia International Bond, Reg S, 2.05%, due 09/23/36		9,629,058
		South Africa — 3.8%
		Sovereign and Sovereign Agency Issuers — 3.8%
	11,720,000	Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25		10,993,360
	19,600,000	Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28		17,640,000
ZAR	203,950,000	Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32		2,101,684
ZAR	543,600,000	Republic of South Africa Government International Bond, 6.50%, due 02/28/41		19,975,470
	82,500,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		58,471,875
	14,800,000	Republic of South Africa Government International Bond, 7.30%, due 04/20/52		12,191,500

Par Value†		Description	Value ($)
		South Africa — continued
		Sovereign and Sovereign Agency Issuers — continued
ZAR	27,300,000	Transnet SOC, Ltd., 13.50%, due 04/18/28		1,777,578
		Total South Africa		123,151,467
		Sri Lanka — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	7,280,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26 (d)		2,437,890
	11,644,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27 (d)		3,746,457
	34,500,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28 (d)		11,100,375
	8,800,000	Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29 (d)		2,828,650
	30,100,000	Sri Lanka Government International Bond, Reg S, 7.55%, due 03/28/30 (d)		9,637,644
		Total Sri Lanka		29,751,016
		SupraNational — 0.0%
		Sovereign and Sovereign Agency Issuers — 0.0%
TRY	263,000,000	International Finance Corp., Reg S, Zero Coupon, due 02/15/29		1,531,296
		Suriname — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	16,700,000	Republic of Suriname, Reg S, 12.88%, due 12/30/23 (d)		13,459,156
	17,559,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26 (d)		12,349,464
		Total Suriname		25,808,620
		Tajikistan — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	11,374,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		7,313,482
		Trinidad And Tobago — 1.3%
		Sovereign and Sovereign Agency Issuers — 1.3%
	26,000,000	Heritage Petroleum Co., Ltd., 144A, 9.00%, due 08/12/29		27,560,000
	9,800,000	Telecommunications Services of Trinidad & Tobago Ltd, Reg S, 8.88%, due 10/18/29		9,163,000
	6,127,000	Trinidad Generation UnLtd., Reg S, 5.25%, due 11/04/27		5,946,253
		Total Trinidad And Tobago		42,669,253
		Tunisia — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
JPY	7,340,000,000	Banque Centrale de Tunisie SA, 4.30%,
		due 08/02/30 (c)		24,853,237
JPY	2,500,000,000	Banque Centrale de Tunisie SA, 4.20%,
		due 03/17/31 (c)		8,274,429

9 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Tunisia — continued
		Sovereign and Sovereign Agency Issuers — continued
JPY	900,000,000	Banque Centrale de Tunisie SA, 3.50%, due 02/03/33		2,720,893
		Total Tunisia		35,848,559
		Turkey — 3.8%
		Sovereign and Sovereign Agency Issuers — 3.8%
	20,100,000	Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25		16,190,550
	1,300,000	Istanbul Metropolitan Municipality, 144A, 10.75%, due 04/12/27		1,168,619
	23,002,000	Republic of Turkey, 6.00%, due 01/14/41		14,778,785
	151,913,000	Republic of Turkey, 5.75%, due 05/11/47		91,147,800
		Total Turkey		123,285,754
		Ukraine — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
EUR	3,800,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24 (c) (d)		764,956
	17,200,000	NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.63%, due 11/08/26 (c) (d)		3,405,600
	6,800,000	NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 (c) (d)		1,258,000
	9,100,000	State Agency of Roads of Ukraine, Reg S, 6.25%, due 06/24/30 (c) (d)		1,588,519
	8,019,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/28 (c) (d)		1,623,847
	5,869,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/29 (c) (d)		1,188,472
	4,700,000	Ukraine Government International Bond, Reg S, 9.75%, due 11/01/30 (c) (d)		963,500
	37,600,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/34 (c) (d)		6,674,000
	29,900,000	Ukraine Government International Bond, Reg S, 7.25%, due 03/15/35 (c) (d)		5,232,500
	200,000	Ukraine Railways Via Rail Capital Markets Plc, Reg S, 7.88%, due 07/15/26 (c)		39,413
		Total Ukraine		22,738,807
		United Arab Emirates — 1.6%
		Sovereign and Sovereign Agency Issuers — 1.6%
	4,500,000	Abu Dhabi Crude Oil Pipeline LLC, Reg S, 4.60%, due 11/02/47		4,392,562
	8,200,000	Abu Dhabi Government International Bond, Reg S, 3.13%, due 09/30/49		6,461,600
	9,100,000	Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70		6,238,050
	6,000,000	DAE Funding LLC, Reg S, 3.38%, due 03/20/28		5,348,625
	18,700,000	Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50		11,813,725

Par Value†		Description	Value ($)
		United Arab Emirates — continued
		Sovereign and Sovereign Agency Issuers — continued
	28,300,000	Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51		18,347,244
		Total United Arab Emirates		52,601,806
		United States — 5.1%
		Asset-Backed Securities — 0.3%
	1,105,094	CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 2.63%, due 12/15/35		1,056,613
	364,501	CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 2.63%, due 12/15/35		357,436
	776,567	CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 2.59%, due 05/15/36		734,637
	8,220,812	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 2.59%, due 11/25/36		3,023,450
	8,330,422	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 2.66%, due 11/25/36		3,071,648
	4,315,565	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 2.80%, due 04/25/37		1,757,288
				10,001,072
		Corporate Debt — 0.0%
	385,402	AMBAC Assurance Corp., 144A, 5.10%, due 06/07/2170		385,402
		U.S. Government — 4.8%
	34,900,000	U.S. Treasury Note, 0.13%, due 04/30/23		34,167,918
	25,000,000	U.S. Treasury Note, 0.13%, due 08/31/23		24,169,922
	10,000,000	U.S. Treasury Note, 0.13%, due 10/15/23		9,633,203
	14,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 10/31/23		14,010,875
	56,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 2.83%, due 04/30/24		55,879,249
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 07/31/24 (g)		19,973,498
				157,834,665
		Total United States		168,221,139
		Uruguay — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	20,918,000	Uruguay Government International Bond, 5.10%, due 06/18/50		21,314,135

See accompanying notes to the financial statements. 10

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Uzbekistan — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	7,600,000	Republic of Uzbekistan International Bond, Reg S, 3.70%, due 11/25/30		5,865,300
	1,237,000	Uzbek Industrial & Construction Bank ATB, Reg S, 5.75%, due 12/02/24		1,111,599
	10,000,000	Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28		7,355,000
		Total Uzbekistan		14,331,899
		Venezuela — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (d)		835,988
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (d)		5,280,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (d)		1,859,010
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (d)		1,641,165
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (d)		3,019,500
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (d)		2,048,437
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (d)		14,687,405
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (d)		5,839,500
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (d)		595,000
		Total Venezuela		35,806,005
		Vietnam — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	22,558,000	Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25		19,686,085
	9,918,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 1.92%, due 03/13/28 (c)		9,223,740
		Total Vietnam		28,909,825
		Zambia — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	3,600,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22 (d)		2,025,000
	27,572,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 (d)		16,539,752
		Total Zambia		18,564,752
		TOTAL DEBT OBLIGATIONS (COST $4,331,006,573)		2,961,067,716

Par Value†		Description	Value ($)
		LOAN ASSIGNMENTS — 1.3%
		Chad — 0.5%
	4,415,686	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 5.10%, due 09/30/25 (c)		3,598,784
	18,501,482	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 5.35%, due 12/31/27 (c)		12,395,993
		Total Chad		15,994,777
		Kenya — 0.1%
	3,650,000	Republic of Kenya Loan Agreement, 6 mo. LIBOR + 6.70%, 10.36%, due 04/10/25 (a)		3,216,651
		Turkey — 0.7%
	27,171,429	Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, 9.91%, due 06/23/28 (a)		25,242,102
		TOTAL LOAN ASSIGNMENTS (COST $51,281,265)		44,453,530
		LOAN PARTICIPATIONS — 0.8%
		Angola — 0.5%
	351,000	Republic of Angola Loan Agreement (Participation via Avenir II BV), Reg S, 6 mo. LIBOR + 4.50%, 8.16%, due 12/07/23 (c)		354,510
	10,800,000	Republic of Angola Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (c)		10,017,000
	6,333,334	Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		5,700,000
		Total Angola		16,071,510
		Egypt — 0.0%
CHF	353	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a)		305
		Iraq — 0.2%
EUR	615,808	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (c)		482,708
JPY	981,061,970	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		5,190,430
JPY	208,256,139	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		1,101,805
JPY	88,520,104	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 (c)		468,327
		Total Iraq		7,243,270

11 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value† /     Shares		Description	Value ($)
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d)		2
		Sudan — 0.1%
CHF	11,833,578	Republic of Sudan Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) (c) (d)		1,210,596
CHF	5,155,077	Republic of Sudan Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) (c) (d)		527,374
		Total Sudan		1,737,970
		TOTAL LOAN PARTICIPATIONS (COST $46,710,740)		25,053,057
		INVESTMENT FUNDS — 0.2%
		Colombia — 0.2%
	7,850,000	Bona Fide Investments Feeder LLC (a) (h)		8,228,574
		TOTAL INVESTMENT FUNDS (COST $7,850,000)		8,228,574
		MUTUAL FUNDS — 2.3%
		United States — 2.3%
		Affiliated Issuers — 2.3%
	14,838,144	GMO U.S. Treasury Fund		74,042,340
		TOTAL MUTUAL FUNDS (COST $74,296,430)		74,042,340

Shares		Description	Value ($)
		RIGHTS/WARRANTS — 0.2%
		Argentina — 0.1%
EUR	335,089,676	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (i)		2,273,053
JPY	740,189,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (a) (i)		17,982
		Total Argentina		2,291,035
		Ukraine — 0.1%
	14,446,000	Government of Ukraine GDP Linked, Variable Rate, Reg S, Expires 05/31/40 (c) (i)		4,333,800
		TOTAL RIGHTS/WARRANTS (COST $49,378,719)		6,624,835
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	19,898,963	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (j)		19,898,963
		TOTAL SHORT-TERM INVESTMENTS (COST $19,898,963)		19,898,963
		TOTAL INVESTMENTS — 95.7% (Cost $4,580,422,690)		3,139,369,015
		Other Assets and Liabilities (net) — 4.3%		141,357,139
		TOTAL NET ASSETS — 100.0%		$3,280,726,154

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2022
Bona Fide Investments Feeder LLC		12/31/21	$	7,850,000	0.2%		$8,228,574

See accompanying notes to the financial statements. 12

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

A summary of outstanding financial instruments at August 31, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)($)
09/16/2022	JPM	COP	80,600,000,000	USD	20,734,853		2,575,520
09/16/2022	MSCI	COP	18,000,000,000	USD	4,056,795		1,361
09/21/2022	DB	EUR	128,600,000	USD	135,820,196		6,422,649
09/21/2022	MSCI	GBP	53,011,000	USD	64,519,688		2,914,835
09/21/2022	SSB	GBP	4,700,000	USD	5,708,672		246,733
09/15/2022	BOA	JPY	6,196,000,000	USD	46,037,338		1,394,344
09/16/2022	JPM	PEN	49,700,000	USD	13,096,179		196,428

Settlement Date		Counter- party		Currency Sold			Currency Purchased		Net Unrealized Appreciation (Depreciation)($)
	09/16/2022		JPM		USD	3,420,082	COP	15,770,000,000		132,929
	11/30/2022		MSCI		ZAR	356,500,000	USD	21,055,305		409,087
	10/04/2022		MSCI		BRL	36,600,000	USD	6,825,811		(154,423	)
	09/21/2022		BCLY		USD	3,669,381	GBP	3,000,000		(183,037	)
	09/21/2022		CITI		USD	4,503,862	GBP	3,700,000		(204,038	)
										$13,752,388

Reverse Repurchase Agreements^(k)

Face Value		Description	Value ($)
USD	713,857	J.P. Morgan Securities Plc, 1.47%, dated 07/28/22, (collateral: OCP SA, Reg S, 5.13%, due 06/23/51), to be repurchased on demand at face value plus accrued interest.		(713,857	)
USD	888,634	J.P. Morgan Securities Plc, 3.56%, dated 07/28/22, (collateral: El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35), to be repurchased on demand at face value plus accrued interest.		(888,634	)
				$(1,602,491	)
Average balance outstanding			$	(5,405,976	)
Average interest rate (net)				(0.26	)%
Maximum balance outstanding			$	(12,778,500	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements.

Credit Linked Options

Principal / Notional Amount		Expiration Date		Description	Premiums Paid/ (Received) ($)			Value ($)
Put Sold USD	9,746,000		01/24/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (a)		(140,667	)		36,087
Put Sold USD	50,797,000		04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) (a)		(1,255,148	)		164,867
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)		(4,271,667	)		77,999
						$(5,667,482	)		$278,953

13 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount			Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX-EMS.37.V1		USD	143,000,000		1.00	%		3.31	%		N/A		06/20/2027		Quarterly			8,794,500			13,216,346			4,421,846
CDX-EMS.31.V2		USD	125,396,000		1.00	%		4.79	%		N/A		06/20/2024		Quarterly			3,918,625			7,351,591			3,432,966
																	$	12,713,125		$	20,567,937		$	7,854,812

OTC Credit Default Swaps

Reference Entity	Counter- party		Notional Amount			Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Republic of Ghana		JPM		USD	3,700,000		5.00%		61.36%		N/A		06/20/2023		Quarterly		(112,513	)		1,178,750			1,291,263
Republic of Ghana		JPM		USD	3,700,000		5.00%		61.36%		N/A		06/20/2023		Quarterly		(112,260	)		1,178,750			1,291,010
Republic of Ghana		JPM		USD	3,700,000		5.00%		61.36%		N/A		06/20/2023		Quarterly		370,000			1,178,750			808,750
Republic of Nigeria		JPM		USD	11,200,000		5.00%		7.16%		N/A		12/20/2023		Quarterly		225,023			295,123			70,100
Petrobras Global Finance BV		CITI		USD	13,000,000		1.00%		1.57%		N/A		06/20/2024		Quarterly		371,175			128,122			(243,053	)
Petrobras Global Finance BV		CITI		USD	37,000,000		1.00%		1.57%		N/A		06/20/2024		Quarterly		1,923,458			364,655			(1,558,803	)
Republic of Colombia		JPM		USD	55,500,000		1.00%		1.46%		N/A		06/20/2024		Quarterly		536,319			440,197			(96,122	)
Republic of Ghana		JPM		USD	7,500,000		5.00%		47.54%		N/A		06/20/2024		Quarterly		58,680			3,163,256			3,104,576
Republic of South Africa		GS		USD	35,900,000		1.00%		1.85%		N/A		06/20/2024		Quarterly		38,627			526,541			487,914
Commonwealth of Bahamas		DB		EUR	29,001,331		1.00%		14.99%		N/A		06/20/2025		Quarterly		3,768,212			5,702,841			1,934,629
Kingdom of Bahrain		MORD		USD	7,400,000		1.00%		2.98%		N/A		06/20/2027		Quarterly		770,902			605,703			(165,199	)
Republic of Colombia		CITI		USD	6,000,000		1.00%		2.73%		N/A		06/20/2027		Quarterly		217,220			437,008			219,788
Republic of South Africa		GS		USD	52,000,000		1.00%		2.83%		N/A		06/20/2027		Quarterly		2,596,750			3,969,995			1,373,245
Republic of South Africa		MORD		USD	3,700,000		1.00%		2.83%		N/A		06/20/2027		Quarterly		293,091			282,480			(10,611	)
Republic of South Africa		MORD		USD	3,700,000		1.00%		2.83%		N/A		06/20/2027		Quarterly		296,666			282,480			(14,186	)
Republic of South Africa		MORD		USD	7,400,000		1.00%		2.83%		N/A		06/20/2027		Quarterly		615,550			564,961			(50,589	)
Republic of Turkey		GS		USD	29,000,000		1.00%		7.75%		N/A		06/20/2027		Quarterly		5,526,698			6,983,698			1,457,000
United States of Mexico		MORD		USD	20,000,000		1.00%		1.62%		N/A		06/20/2027		Quarterly		(28,801	)		537,062			565,863
United States of Mexico		GS		USD	20,000,000		1.00%		2.03%		N/A		06/20/2029		Quarterly		1,589,641			1,187,380			(402,261	)
United States of Mexico		GS		USD	20,000,000		1.00%		2.27%		N/A		09/20/2031		Quarterly		2,640,655			1,820,073			(820,582	)
Sell Protection^:
Commonwealth of Bahamas		DB		USD	3,487,000		1.00%		15.90%		3,487,000 USD		06/20/2023		Quarterly		(646,296	)		(382,120	)		264,176
Commonwealth of Bahamas		DB		USD	6,975,000		1.00%		15.90%		6,975,000 USD		06/20/2023		Quarterly		(1,268,582	)		(764,351	)		504,231
Commonwealth of Bahamas		DB		USD	38,867,771		1.00%		14.98%		38,867,771 USD		06/20/2025		Quarterly		(4,312,367	)		(7,441,196	)		(3,128,829	)

See accompanying notes to the financial statements. 14

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

OTC Credit Default Swaps — continued

Reference Entity	Counter- party	Notional Amount			Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)				Net Unrealized Appreciation/ (Depreciation) ($)
Russia	CITI		USD	11,700,000		1.00%		27.30%		11,700,000 USD		12/20/2026		Quarterly			(974,925	)			(6,368,813	)			(5,393,888	)
																$	14,382,923			$	15,871,345			$	1,488,422

^ Buy Protection - 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.

Sell Protection - 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.

⁽¹⁾  As of August 31, 2022, 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.

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)				Net Unrealized Appreciation/ (Depreciation) ($)
BRL-CDI	11.97%		BRL	256,957,941		01/02/2025		At Maturity			—				(77,003	)			(77,003	)
BRL-CDI	12.36%		BRL	1,732,820,320		01/02/2025		At Maturity			293,193				3,178,683				2,885,490
0.33%	JPY-TONA-OIS-COMPOUND		JPY	11,400,000,000		09/21/2027		Semi-Annually			—				(551,653	)			(551,653	)
2.50%	6 Month EURIBOR		EUR	15,600,000		09/15/2032		Semi-Annually			74,886				(106,468	)			(181,354	)
0.59%	JPY-TONA-OIS-COMPOUND		JPY	5,800,000,000		09/21/2032		Semi-Annually			—				(700,089	)			(700,089	)
2.20%	6 Month EURIBOR		EUR	29,600,000		09/18/2052		Semi-Annually			(105,293	)			(952,641	)			(847,348	)
2.35%	GBP - SONIA - COMPOUND		GBP	30,500,000		09/21/2052		Annually			(158,524	)			2,111,795				2,270,319
										$	104,262			$	2,902,624			$	2,798,362

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

SOFR

Republic of Colombia Treasury Bond, 7.25%, due 10/26/50

CITI

COP  125,600,000,000

09/01/2022

At Maturity

—

(37,232

)

(37,232

)

SOFR

Republic of Colombia Treasury Bond, 7.25%, due 10/26/50

CITI

COP    73,900,000,000

09/22/2022

At Maturity

—

138,353

138,353

SOFR

Republic of Colombia Treasury Bond, due 10/04/22

CITI

COP    96,100,000,000

10/04/2022

At Maturity

—

52,591

52,591

$

—

$

153,712

$

153,712

15 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

As of August 31, 2022, 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) 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. Investment valued using significant unobservable inputs (Note 2).

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

(c) Investment valued using significant unobservable inputs (Note 2).

(d) Security is in default.

(e) Security is backed by the United States International Development Finance Corporation.

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

(g) 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).

(h) Private placement security; restricted as to resale. Represents investment in a pool of constitutional obligations of the Colombian government owed to individuals.

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

(j) The rate disclosed is the 7 day net yield as of August 31, 2022.

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

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 46.

See accompanying notes to the financial statements. 16

GMO High Yield Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Short-Term Investments		52.7	%
Debt Obligations		47.1
Forward Currency Contracts		0.5
Futures Contracts		(0.1	)
Swap Contracts		(0.7	)
Other		0.5
		100.0	%

Industry Group Summary¤	% of Investments
Communications		22.2	%
Consumer Cyclical		15.9
Consumer Non-Cyclical		12.6
Energy		11.2
Capital Goods		7.7
Technology		7.0
Basic Industry		6.1
Finance Companies		4.6
Other Industrial		1.9
Banking		1.8
Electric		1.7
Insurance		1.6
REITS		1.6
Cash/Cash Equivalents		1.2
Other Financial		1.0
Other Utility		1.0
Transportation		0.9
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table excludes short-term investments and mutual funds, if any. The table includes exposure through the use of certain derivative financial instruments and excludes exposures through certain currency linked derivatives such as forward currency contracts. The table takes in account the market values of securities and the notional amounts of swaps. The table is not normalized, thus the table may not total to 100%.

17

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 47.1%
		Corporate Debt — 13.3%
		Australia — 0.7%
	2,625,000	FMG Resources August 2006 Pty. Ltd., 144A, 4.38%, due 04/01/31		2,141,160
		United Kingdom — 0.6%
	190,000	Jaguar Land Rover Automotive Plc, 144A, 5.63%, due 02/01/23		185,338
	1,020,000	Virgin Media Secured Finance Plc, 144A, 5.50%, due 05/15/29		907,361
	1,000,000	Virgin Media Secured Finance Plc, 144A, 4.50%, due 08/15/30		832,700
		Total United Kingdom		1,925,399
		United States — 12.0%
	125,000	Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 144A, 3.50%, due 02/15/23		123,750
	325,000	Apache Corp., 5.35%, due 07/01/49		266,705
	125,000	Bath & Body Works, Inc., 6.88%, due 11/01/35		109,119
	740,000	Booz Allen Hamilton, Inc., 144A, 3.88%, due 09/01/28		658,230
	1,000,000	Booz Allen Hamilton, Inc., 144A, 4.00%, due 07/01/29		881,675
	250,000	Brinker International, Inc., 3.88%, due 05/15/23		245,625
	3,750,000	CCO Holdings LLC / CCO Holdings Capital Corp., 144A, 4.75%, due 03/01/30		3,223,256
	1,375,000	Centene Corp., 2.63%, due 08/01/31		1,097,882
	250,000	Cogent Communications Group, Inc., 144A, 3.50%, due 05/01/26		225,082
	748,000	CoreCivic, Inc., 8.25%, due 04/15/26		739,466
	1,500,000	Crown Americas LLC, 144A, 5.25%, due 04/01/30		1,440,000
	1,750,000	Crown Americas LLC / Crown Americas Capital Corp. V, 4.25%, due 09/30/26		1,640,582
	400,000	Enact Holdings, Inc., 144A, 6.50%, due 08/15/25		382,000
	1,125,000	FirstEnergy Corp., 4.40%, due 07/15/27		1,065,938
	125,000	Fluor Corp., 4.25%, due 09/15/28		113,184
	670,000	Hexcel Corp., 4.20%, due 02/15/27		636,913
	1,625,000	Icahn Enterprises LP / Icahn Enterprises Finance Corp., 4.38%, due 02/01/29		1,382,111
	2,125,000	Iron Mountain Information Management Services, Inc., 144A, 5.00%, due 07/15/32		1,763,977
	500,000	KB Home, 4.80%, due 11/15/29		431,002
	625,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, 4.25%, due 02/01/27		546,724
	1,500,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, 4.75%, due 06/15/29		1,271,023
	750,000	Lumen Technologies, Inc., 144A, 4.50%, due 01/15/29		559,493
	1,625,000	Mattel, Inc., 144A, 3.38%, due 04/01/26		1,476,434

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	750,000	Molina Healthcare, Inc., 144A, 3.88%, due 05/15/32		645,413
	625,000	Murphy Oil USA, Inc., 144A, 3.75%, due 02/15/31		527,950
	262,000	New Fortress Energy, Inc., 144A, 6.75%, due 09/15/25		253,446
	1,500,000	New Fortress Energy, Inc., 144A, 6.50%, due 09/30/26		1,421,025
	1,125,000	Newell Brands, Inc., 5.63%, due 04/01/36		1,007,550
	812,000	Occidental Petroleum Corp., 8.50%, due 07/15/27		909,399
	1,750,000	OneMain Finance Corp., 6.13%, due 03/15/24		1,708,691
	250,000	OneMain Finance Corp., 6.88%, due 03/15/25		243,006
	875,000	OneMain Finance Corp., 7.13%, due 03/15/26		815,054
	375,000	OneMain Finance Corp., 6.63%, due 01/15/28		342,849
	166,000	Owens-Brockway Glass Container, Inc.,
		144A, 5.88%, due 08/15/23		165,021
	250,000	PBF Logistics LP / PBF Logistics Finance
		Corp., 6.88%, due 05/15/23		250,000
	2,000,000	PDC Energy, Inc., 5.75%, due 05/15/26		1,915,180
	750,000	Perrigo Finance Unlimited Co., 4.40%, due 06/15/30		649,170
	836,000	PG&E Corp., 5.00%, due 07/01/28		742,339
	750,000	PG&E Corp., 5.25%, due 07/01/30		648,375
	375,000	Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26		360,814
	400,000	Royal Caribbean Cruises Ltd., 144A, 10.88%, due 06/01/23		407,252
	250,000	Sensata Technologies BV, 144A, 4.88%, due 10/15/23		252,236
	250,000	Service Properties Trust, 4.50%, due 03/15/25		218,317
	800,000	Spirit AeroSystems, Inc., 3.85%, due 06/15/26		717,643
	203,548	Transocean Guardian Ltd., 144A, 5.88%, due 01/15/24		192,862
	375,000	W&T Offshore, Inc., 144A, 9.75%, due 11/01/23		367,502
	565,000	Western Midstream Operating LP, 3.35%, due 02/01/25		533,060
	1,375,000	Western Midstream Operating LP, 3.95%, due 06/01/25		1,313,648
	925,000	Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 144A, 4.25%, due 05/30/23		908,813
		Total United States		37,796,786
		Total Corporate Debt		41,863,345
		U.S. Government — 33.8%
	45,000,000	U.S. Treasury Note, 0.13%, due 12/31/22 (a)		44,569,526

See accompanying notes to the financial statements. 18

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		U.S. Government — continued
	3,630,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.93%, due 07/31/23		3,633,565
	54,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 2.83%, due 04/30/24		53,883,561
	4,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 07/31/24 (a)		3,994,700
		Total U.S. Government		106,081,352
		TOTAL DEBT OBLIGATIONS (COST $150,548,212)		147,944,697
		SHORT-TERM INVESTMENTS — 52.7%
		Repurchase Agreements — 13.4%
	20,083,508	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 08/31/22, maturing on 09/01/22 with a maturity value of $20,084,763 and an effective yield of 2.25%, collateralized by a U.S. Treasury Note with maturity date 02/15/28 and a market value of $20,493,375.		20,083,508
	21,999,362	Nomura Securities International, Inc. Repurchase Agreement, dated 08/31/22, maturing on 09/01/22 with a maturity value of $22,000,737 and an effective yield of 2.25%, collateralized by a U.S. Treasury Note with maturity date 02/28/27 and a market value of 22,448,329.		21,999,362
		Total Repurchase Agreements		42,082,870
		U.S. Government — 2.6%
	8,000,000	U.S. Treasury Bill, 2.90%, due 12/01/22 (b)		7,941,947

Par Value† /      Shares		Description	Value ($)
		U.S. Government Agency — 11.8%
	27,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 2.33%, due 11/25/22		27,000,375
	10,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 2.32%, due 12/02/22		10,000,530
		Total U.S. Government Agency		37,000,905
		Sovereign and Sovereign Agency Issuers — 24.9%
JPY	2,335,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/31/22		16,810,611
JPY	8,518,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/21/22		61,327,958
		Total Sovereign and Sovereign Agency Issuers		78,138,569
		Money Market Funds — 0.0%
	42,642	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (c)		42,642
		TOTAL SHORT-TERM INVESTMENTS (COST $166,890,535)		165,206,933
		TOTAL INVESTMENTS — 99.8% (Cost $317,438,747)		313,151,630
		Other Assets and Liabilities (net) — 0.2%		700,083
		TOTAL NET ASSETS — 100.0%		$313,851,713

A summary of outstanding financial instruments at August 31, 2022 is as follows:

Forward Currency Contracts

						Net Unrealized
Settlement	Counter-	Currency		Currency		Appreciation
Date	party	Sold		Purchased		(Depreciation)($)
11/21/2022	CITI		JPY 4,784,000,000		USD 35,196,815		512,626
10/31/2022	DB		JPY 2,335,000,000		USD 17,482,872		591,053
11/21/2022	JPM		JPY 1,372,000,000		USD 10,106,845		159,791

								Net Unrealized
Settlement		Counter-		Currency		Currency		Appreciation
Date		party		Sold		Purchased		(Depreciation)($)
	11/21/2022		SSB		JPY 2,362,000,000		USD 17,382,102			257,509
									$	1,520,979

19 See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
191	U.S. Treasury Note 10 Yr. (CBT)	December 2022			22,329,094			(134,589	)
72	U.S. Treasury Note 2 Yr. (CBT)	December 2022			14,999,625			(23,989	)
232	U.S. Treasury Note 5 Yr. (CBT)	December 2022			25,710,312			(132,990	)
				$	63,039,031		$	(291,568	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
4	U.S. Long Bond (CBT)	December 2022			543,375			267
1	U.S. Ultra Bond (CBT)	December 2022			149,500			(1,517	)
				$	692,875		$	(1,250	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Credit Default Swaps

Maximum

Potential

Amount of

Future

Payments by

Implied

the Fund

Periodic

Premiums

Net Unrealized

Notional

Annual

Credit

Under the

Expiration

Payment

Paid/

Appreciation/

Reference Entity

Amount

Premium

Spread (1)

Contract (2)

Date

Frequency

(Received) ($)

Value ($)

(Depreciation) ($)

Sell Protection^:

CDX.NA.HYS.38.V2

USD 111,139,380

5.00

%

5.32

%

111,139,380 USD

06/20/2027

Quarterly

$

(873,893

)

$

(1,395,577

)

$

(521,684

)

^ Buy Protection - 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. Sell Protection - 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.

⁽¹⁾  As of August 31, 2022, 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.

OTC Total Return Swaps

						Periodic	Premiums		Net Unrealized
			Notional		Expiration	Payment	Paid/		Appreciation/
Fund Pays	Fund Receives	Counterparty	Amount		Date	Frequency	(Received) ($)	Value ($)	(Depreciation) ($)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	GS	USD	16,542,000	09/20/2022	Quarterly	(37)	548,442	548,479
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	MSCI	USD	50,100,000	09/20/2022	Quarterly	(1,357)	(454,321)	(452,964)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	BCLY	USD	589,000	09/20/2022	Quarterly	(16)	(2,481)	(2,465)

See accompanying notes to the financial statements. 20

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

OTC Total Return Swaps — continued

Fund Pays	Fund Receives	Counterparty		Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)				Net Unrealized Appreciation/ (Depreciation) ($)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF		JPM		USD	41,200,000		09/20/2022		Quarterly			(710	)			(739,028	)			(738,318	)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF		JPM		USD	33,200,000		12/20/2022		Quarterly			11				847,170				847,159
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF		BCLY		USD	18,750,000		12/20/2022		Quarterly			(327	)			(860,932	)			(860,605	)
												$	(2,436	)		$	(661,150	)		$	(658,714	)

As of August 31, 2022, 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) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

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

(c) The rate disclosed is the 7 day net yield as of August 31, 2022.

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 46.

21 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		80.2	%
Short-Term Investments		29.6
Swap Contracts		0.9
Forward Currency Contracts		0.4
Loan Assignments		0.1
Loan Participations		0.0	^
Investment Funds		0.0	^
Rights/Warrants		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Written Options/Credit Linked Options		(0.0	)^
Futures Contracts		(0.2	)
Other		(11.0	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		92.8	%
Switzerland		8.0
Euro Region		6.0	§
Other Emerging		4.1	†
Australia		3.6
Other Developed		0.7	‡
New Zealand		(2.8	)
Canada		(5.1	)
United Kingdom		(7.3	)
		100.0	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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. 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.

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

† “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%.

22

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 56.4%
		Australia — 0.2%
		Corporate Debt
	250,000	National Australia Bank Ltd., 2.50%, due 07/12/26		234,754
		Brazil — 0.4%
		Corporate Debt
	150,000	Fibria Overseas Finance Ltd., 5.50%, due 01/17/27		151,196
	100,000	Suzano Austria GmbH, 6.00%, due 01/15/29		100,200
	200,000	Suzano Austria GmbH, 5.00%, due 01/15/30		186,640
		Total Brazil		438,036
		Canada — 0.4%
		Corporate Debt
	450,000	National Bank of Canada, Variable Rate, 0.55%, due 11/15/24		429,072
		Germany — 0.6%
		Corporate Debt
	400,000	Deutsche Bank AG, Variable Rate, 3.96%, due 11/26/25		383,466
	350,000	Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31		286,127
		Total Germany		669,593
		Japan — 1.2%
		Corporate Debt
	500,000	Mitsubishi UFJ Financial Group, Inc., Variable Rate, 4.08%, due 04/19/28		484,004
	200,000	Mitsubishi UFJ Financial Group, Inc., Variable Rate, 4.32%, due 04/19/33		189,245
	200,000	Mizuho Financial Group, Inc., 4.02%, due 03/05/28		190,482
	250,000	Mizuho Financial Group, Inc., Variable Rate, 4.25%, due 09/11/29		236,799
	250,000	Takeda Pharmaceutical Co. Ltd., 5.00%, due 11/26/28		253,367
		Total Japan		1,353,897
		Netherlands — 0.3%
		Corporate Debt
	350,000	ING Groep NV, Variable Rate, 2.73%, due 04/01/32		287,889
		United Kingdom — 3.2%
		Corporate Debt
	300,000	Barclays Plc, Variable Rate, 2.89%, due 11/24/32		235,295
	300,000	BAT Capital Corp., 4.39%, due 08/15/37		237,288
	200,000	British Telecommunications Plc, 4.50%, due 12/04/23		200,479

Par Value†		Description	Value ($)
		United Kingdom — continued
		Corporate Debt — continued
	250,000	British Telecommunications Plc, 5.13%, due 12/04/28		245,695
	350,000	CNH Industrial NV, 4.50%, due 08/15/23		350,729
	200,000	HSBC Holdings Plc, Variable Rate, 2.25%, due 11/22/27		176,319
	200,000	HSBC Holdings Plc, Variable Rate, 4.58%, due 06/19/29		188,145
	500,000	HSBC Holdings Plc, Variable Rate, 3.97%, due 05/22/30		451,419
	250,000	Mead Johnson Nutrition Co., 4.13%, due 11/15/25		250,746
	250,000	Natwest Group Plc, Variable Rate, 3.07%, due 05/22/28		225,847
	200,000	Natwest Group Plc, Variable Rate, 4.89%, due 05/18/29		192,424
	200,000	NatWest Group Plc, Variable Rate, 4.52%, due 06/25/24		198,885
	300,000	Reynolds American, Inc., 5.70%, due 08/15/35		276,614
	250,000	Reynolds American, Inc., 6.15%, due 09/15/43		230,996
	150,000	Vodafone Group Plc, 5.13%, due 06/19/59		138,698
		Total United Kingdom		3,599,579
		United States — 50.1%
		Asset-Backed Securities — 3.0%
	3,380,000	Citigroup Commercial Mortgage Trust, 144A, 3.90%, due 05/10/36		3,336,397
		Corporate Debt — 18.7%
	700,000	AbbVie, Inc., 4.50%, due 05/14/35		665,767
	250,000	Aircastle Ltd., 4.13%, due 05/01/24		243,741
	200,000	Aircastle Ltd., 4.25%, due 06/15/26		184,845
	250,000	Altria Group, Inc., 5.80%, due 02/14/39		231,219
	150,000	Altria Group, Inc., 5.95%, due 02/14/49		134,627
	350,000	Altria Group, Inc., 4.00%, due 02/04/61		233,981
	150,000	Amcor Finance USA, Inc., 3.63%, due 04/28/26		142,836
	200,000	American Financial Group, Inc., 4.50%, due 06/15/47		169,360
	300,000	Amgen, Inc., 2.77%, due 09/01/53		199,160
	250,000	Amgen, Inc., 4.40%, due 02/22/62		216,658
	450,000	Apple, Inc., 0.75%, due 05/11/23		441,799
	100,000	Ares Capital Corp., 2.15%, due 07/15/26		86,854
	100,000	Baxalta, Inc., 5.25%, due 06/23/45		98,748
	250,000	Block Financial LLC, 3.88%, due 08/15/30		227,305
	650,000	Broadcom, Inc., 144A, 3.42%, due 04/15/33		536,134
	150,000	Broadcom, Inc., 144A, 4.93%, due 05/15/37		133,626
	250,000	Carlisle Cos., Inc., 3.75%, due 12/01/27		237,202
	300,000	Carlisle Cos., Inc., 2.75%, due 03/01/30		257,312
	550,000	Carrier Global Corp., 2.72%, due 02/15/30		475,088
	250,000	CF Industries, Inc., 5.15%, due 03/15/34		241,065
	450,000	CF Industries, Inc., 5.38%, due 03/15/44		419,634

23 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	200,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 5.38%, due 04/01/38		175,376
	150,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, due 10/23/45		143,180
	250,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 6.83%, due 10/23/55		249,861
	250,000	Cheniere Corpus Christi Holdings LLC, 7.00%, due 06/30/24		256,986
	400,000	Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27		399,212
	150,000	Cigna Corp., 4.90%, due 12/15/48		142,402
	450,000	CNH Industrial Capital LLC, 1.95%, due 07/02/23		440,499
	200,000	CNH Industrial Capital LLC, 1.45%, due 07/15/26		177,135
	100,000	Constellation Energy Generation LLC, 5.60%, due 06/15/42		100,043
	350,000	Corning, Inc., 5.45%, due 11/15/79		324,195
	500,000	Devon Energy Corp., 5.60%, due 07/15/41		494,141
	350,000	DuPont de Nemours, Inc., 5.32%, due 11/15/38		348,967
	250,000	Edison International, 5.75%, due 06/15/27		253,309
	750,000	Elevance Health, Inc., 2.38%, due 01/15/25		719,381
	100,000	Eli Lilly & Co., 3.38%, due 03/15/29		96,829
	150,000	Eli Lilly & Co., 4.15%, due 03/15/59		142,269
	150,000	EQT Corp., 6.13%, due 02/01/25		154,158
	250,000	Georgia Power Co., 4.70%, due 05/15/32		248,710
	250,000	GLP Capital LP / GLP Financing II, Inc., 5.38%, due 04/15/26		245,671
	150,000	GLP Capital LP / GLP Financing II, Inc., 5.75%, due 06/01/28		148,803
	400,000	GLP Capital LP / GLP Financing II, Inc., 4.00%, due 01/15/31		348,464
	250,000	GSK Consumer Healthcare Capital US LLC, 144A, 3.38%, due 03/24/29		227,099
	200,000	Host Hotels & Resorts LP, 3.38%, due 12/15/29		171,153
	450,000	Host Hotels & Resorts LP, 3.50%, due 09/15/30		381,341
	150,000	International Business Machines Corp., 3.43%, due 02/09/52		114,970
	350,000	Johnson & Johnson, 3.63%, due 03/03/37		324,779
	168,000	Keurig Dr Pepper, Inc., 4.42%, due 05/25/25		169,153
	200,000	Kraft Heinz Foods Co., 5.00%, due 07/15/35		193,651
	250,000	Kraft Heinz Foods Co., 4.88%, due 10/01/49		226,808
	250,000	Kraft Heinz Foods Co., 5.50%, due 06/01/50		248,897
	150,000	L3Harris Technologies, Inc., 4.40%, due 06/15/28		147,447
	350,000	Las Vegas Sands Corp., 3.50%, due 08/18/26		314,106

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	250,000	Magallanes, Inc., 144A, 5.39%, due 03/15/62		200,676
	300,000	Marathon Oil Corp., 5.20%, due 06/01/45		272,715
	400,000	Marathon Petroleum Corp., 4.75%, due 09/15/44		351,872
	100,000	Marriott International, Inc., 5.75%, due 05/01/25		102,829
	200,000	McKesson Corp., 3.80%, due 03/15/24		199,732
	300,000	Morgan Stanley, 6.38%, due 07/24/42		341,965
	350,000	Office Properties Income Trust, 4.50%, due 02/01/25		327,423
	100,000	ONEOK, Inc., 4.95%, due 07/13/47		86,084
	400,000	Procter & Gamble Co. (The), 3.10%, due 08/15/23		398,268
	400,000	Sabra Health Care LP, 5.13%, due 08/15/26		386,378
	150,000	Shire Acquisitions Investments Ireland DAC, 3.20%, due 09/23/26		143,376
	250,000	Southern California Edison Co., 4.70%, due 06/01/27		250,638
	300,000	Synchrony Financial, 4.25%, due 08/15/24		296,595
	100,000	Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.00%, due 01/15/28		97,501
	250,000	Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.88%, due 01/15/29		255,478
	350,000	Union Pacific Corp., 4.10%, due 09/15/67		299,319
	350,000	Union Pacific Corp., 3.80%, due 04/06/71		281,073
	300,000	United Parcel Service, Inc., 5.20%, due 04/01/40		317,450
	150,000	UnitedHealth Group, Inc., 4.75%, due 05/15/52		148,432
	150,000	UnitedHealth Group, Inc., 3.88%, due 08/15/59		127,837
	200,000	UnitedHealth Group, Inc., 4.95%, due 05/15/62		200,209
	100,000	VICI Properties LP, 4.38%, due 05/15/25		97,647
	200,000	VICI Properties LP, 4.75%, due 02/15/28		191,922
	150,000	VICI Properties LP, 4.95%, due 02/15/30		144,018
	450,000	Welltower, Inc., 2.80%, due 06/01/31		379,290
	150,000	Weyerhaeuser Co., 4.00%, due 04/15/30		141,215
	400,000	Williams Cos, Inc. (The), 5.40%, due 03/04/44		382,105
	250,000	Williams Cos, Inc. (The), 5.75%, due 06/24/44		252,365
	200,000	Williams Cos, Inc. (The), 5.10%, due 09/15/45		186,178
				20,566,546
		U.S. Government — 16.5%
	11,500,000	U.S. Treasury Bonds, 1.13%, due 08/15/40		7,756,211
	10,500,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 2.83%, due 04/30/24 (a)		10,477,359
				18,233,570

See accompanying notes to the financial statements. 24

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government Agency — 11.9%
	1,900,000	Federal National Mortgage Association, TBA, 2.00%, due 09/14/52		1,634,408
	3,500,000	Federal National Mortgage Association, TBA, 2.50%, due 09/19/37		3,310,781
	2,400,000	Federal National Mortgage Association, TBA, 2.50%, due 09/14/52		2,142,750
	3,300,000	Federal National Mortgage Association, TBA, 3.00%, due 09/14/52		3,054,305
	3,200,000	Government National Mortgage Association, TBA, 3.00%, due 09/21/52		3,003,375
				13,145,619
		Total United States		55,282,132
		TOTAL DEBT OBLIGATIONS (COST $66,558,335)		62,294,952
		MUTUAL FUNDS — 25.9%
		United States — 25.9%
		Affiliated Issuers
	247,731	GMO Emerging Country Debt Fund, Class VI		4,597,886
	974,867	GMO Opportunistic Income Fund, Class VI		23,971,989
		TOTAL MUTUAL FUNDS (COST $32,367,720)		28,569,875
		SHORT-TERM INVESTMENTS — 28.6%
		Money Market Funds — 0.6%
	664,589	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (b)		664,589

Par Value†		Description	Value ($)
		Sovereign and Sovereign Agency Issuers — 24.4%
JPY	1,900,000,000	Japan Treasury Discount Bill, Zero Coupon		13,681,175
JPY	1,025,000,000	Japan Treasury Discount Bill, Zero Coupon		7,379,390
JPY	814,000,000	Japan Treasury Discount Bill, Zero Coupon		5,860,643
		Total Sovereign and Sovereign Agency Issuers		26,921,208
		U.S. Government — 0.9%
	1,000,000	U.S. Treasury Bill, 2.64%, due 11/03/22 (c)		995,397
	21,000	U.S. Treasury Bill, 2.83%, due 11/25/22 (c)		20,861
		Total U.S. Government		1,016,258
		U.S. Government Agency — 2.7%
	3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 2.33%, due 11/25/22		3,000,042
		TOTAL SHORT-TERM INVESTMENTS (COST $32,048,987)		31,602,097
		TOTAL INVESTMENTS — 110.9% (Cost $130,975,042)		122,466,924
		Other Assets and Liabilities (net) — (10.9%)		(12,035,006	)
		TOTAL NET ASSETS — 100.0%		$110,431,918

A summary of outstanding financial instruments at August 31, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
11/09/2022	JPM		AUD	1,230,000		USD	847,370		4,945
09/16/2022	JPM		CHF	1,320,000		USD	1,391,320		39,479
09/16/2022	MSCI		CLP	349,728,500		USD	394,549		5,370
09/16/2022	JPM		COP	920,000,000		USD	230,432		23,154
11/18/2022	JPM		CZK	14,242,868		USD	583,825		4,907
11/18/2022	MSCI		CZK	1,600,000		USD	66,049		1,015
09/30/2022	BCLY		EUR	1,000,000		USD	1,026,542		19,744
09/30/2022	DB		EUR	3,920,000		USD	4,157,234		210,590
09/21/2022	BOA		GBP	400,000		USD	479,189		14,343
09/21/2022	BCLY		GBP	230,000		USD	272,538		5,252
09/21/2022	JPM		GBP	660,000		USD	801,085		34,089
11/30/2022	JPM		ILS	1,186,203		USD	366,457		8,644
11/30/2022	MSCI		ILS	250,000		USD	75,770		359

Settlement Date		Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
	12/20/2022	DB		JPY	1,900,000,000		USD	13,880,922		58,449
	10/31/2022	DB		JPY	1,025,000,000		USD	7,674,494		259,456
	11/21/2022	JPM		JPY	814,000,000		USD	5,996,335		94,803
	11/04/2022	MSCI		KRW	154,221,675		USD	118,083		3,124
	11/30/2022	MSCI		NZD	7,940,000		USD	4,930,899		73,603
	09/02/2022	BCLY		PHP	26,701,640		USD	480,693		5,195
	10/03/2022	BCLY		PHP	32,701,640		USD	580,733		247
	09/02/2022	CITI		PHP	6,000,000		USD	107,317		470
	10/19/2022	DB		PLN	750,000		USD	161,129		2,812
	10/19/2022	MSCI		PLN	800,000		USD	171,956		3,084
	09/30/2022	BOA		RON	300,000		USD	62,152		154
	09/21/2022	BOA		SGD	120,000		USD	87,214		1,337
	09/21/2022	JPM		SGD	90,000		USD	64,756		349

25 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/21/2022	MSCI		SGD	510,686		USD	367,147		1,680
11/18/2022	BCLY		THB	33,622,300		USD	954,582		27,961
09/12/2022	JPM		TWD	27,945,600		USD	932,048		12,013
10/04/2022	MSCI		USD	916,387		BRL	4,913,667		20,732
09/16/2022	MSCI		USD	115,850		CLP	110,000,000		6,558
09/16/2022	JPM		USD	94,198		COP	440,000,000		4,935
11/04/2022	MSCI		USD	942,840		IDR	14,094,041,000		3,763
10/24/2022	MSCI		USD	931,113		MXN	19,419,101		23,228
10/18/2022	JPM		USD	3,408,813		NOK	35,185,429		134,565
09/16/2022	JPM		USD	81,311		PEN	320,000		1,746
09/16/2022	MSCI		USD	227,268		PEN	880,000		1,138
09/02/2022	BCLY		USD	581,869		PHP	32,701,640		477
09/21/2022	MSCI		USD	135,298		SGD	190,000		673
10/04/2022	GS		BRL	1,200,000		USD	217,103		(11,757	)
10/04/2022	JPM		BRL	650,000		USD	121,287		(2,679	)
09/16/2022	JPM		CHF	2,103,976		USD	2,141,058		(13,670	)
11/18/2022	CITI		CZK	4,200,000		USD	169,395		(1,319	)
11/16/2022	BOA		HUF	35,000,000		USD	83,715		(2,454	)
11/16/2022	CITI		HUF	65,000,000		USD	159,923		(104	)
11/16/2022	MSCI		HUF	25,000,000		USD	60,584		(965	)
11/25/2022	JPM		INR	65,579,444		USD	814,388		(4,319	)
10/03/2022	CITI		PHP	4,000,000		USD	70,925		(79	)
10/19/2022	BOA		PLN	500,000		USD	102,851		(2,693	)
10/19/2022	DB		PLN	500,000		USD	104,521		(1,024	)
10/19/2022	MSCI		PLN	121,873		USD	25,321		(405	)

Settlement Date		Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
	09/30/2022	DB		RON	700,000		USD	143,923		(740	)
	09/30/2022	GS		RON	300,000		USD	61,038		(961	)
	09/30/2022	MSCI		RON	1,631,041		USD	332,696		(4,379	)
	11/09/2022	BCLY		USD	2,497,783		AUD	3,589,000		(39,683	)
	11/09/2022	JPM		USD	555,253		AUD	790,000		(14,183	)
	10/04/2022	GS		USD	115,337		BRL	600,000		(907	)
	10/04/2022	JPM		USD	68,775		BRL	350,000		(2,024	)
	10/03/2022	BCLY		USD	4,936,166		CAD	6,341,887		(108,577	)
	10/03/2022	DB		USD	693,955		CAD	889,296		(17,003	)
	09/16/2022	JPM		USD	1,712,991		CHF	1,650,000		(23,191	)
	09/16/2022	MSCI		USD	56,085		CLP	50,000,000		(445	)
	09/16/2022	JPM		USD	1,112,810		COP	4,373,658,000		(127,416	)
	09/16/2022	MSCI		USD	81,198		COP	320,000,000		(9,101	)
	09/21/2022	DB		USD	580,358		GBP	480,000		(22,543	)
	09/21/2022	JPM		USD	2,599,137		GBP	2,210,000		(30,864	)
	11/16/2022	MSCI		USD	306,474		HUF	119,769,900		(11,607	)
	09/15/2022	BOA		USD	3,290,392		JPY	442,842,084		(99,657	)
	11/04/2022	CITI		USD	92,174		KRW	120,000,000		(2,725	)
	11/08/2022	BCLY		USD	3,241,098		SEK	32,902,650		(144,845	)
	09/21/2022	SSB		USD	28,821		SGD	40,000		(196	)
	11/30/2022	DB		USD	47,095		ZAR	800,000		(764	)
	11/30/2022	MSCI		USD	97,866		ZAR	1,657,035		(1,901)
										$409,263

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
36	U.S. Long Bond (CBT)	December 2022		4,890,375			(45,892	)
63	U.S. Treasury Note 10 Yr. (CBT)	December 2022		7,365,094			(44,393	)
46	U.S. Treasury Note 2 Yr. (CBT)	December 2022		9,583,094			(15,326	)
167	U.S. Treasury Note 5 Yr. (CBT)	December 2022		18,506,992			(95,730	)
30	U.S. Treasury Ultra 10 Yr. (CBT)	December 2022		3,755,625			(33,498	)
				$44,101,180		$	(234,839	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

See accompanying notes to the financial statements. 26

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.83%	3 Month AUD BBSW		AUD	6,250,000	09/21/2024		Quarterly		—			(11,885	)		(11,885	)
3.40%	3 Month CAD CDOR		CAD	6,930,000	09/21/2024		Semi-Annually		—			70,641			70,641
3.53%	3 Month CAD CDOR		CAD	49,740,000	09/21/2024		Semi-Annually		44,905			412,772			367,867
3.69%	3 Month CAD CDOR		CAD	3,500,000	09/21/2024		Semi-Annually		—			20,678			20,678
3.61%	3 Month CAD CDOR		CAD	1,440,000	09/21/2024		Semi-Annually		—			10,239			10,239
3 Month CAD CDOR	3.45%		CAD	5,750,000	09/21/2024		Semi-Annually		—			(54,506	)		(54,506	)
3 Month CAD CDOR	3.52%		CAD	6,570,000	09/21/2024		Semi-Annually		—			(55,288	)		(55,288	)
3 Month CAD CDOR	3.69%		CAD	9,650,000	09/21/2024		Semi-Annually		—			(57,576	)		(57,576	)
3 Month CAD CDOR	3.76%		CAD	6,100,000	09/21/2024		Semi-Annually		—			(30,616	)		(30,616	)
3 Month CAD CDOR	3.93%		CAD	6,825,512	09/21/2024		Semi-Annually		—			(16,847	)		(16,847	)
3 Month CAD CDOR	3.98%		CAD	6,824,488	09/21/2024		Semi-Annually		—			(11,622	)		(11,622	)
3 Month CAD CDOR	4.01%		CAD	1,650,000	09/21/2024		Semi-Annually		—			(2,040	)		(2,040	)
CHF - SARON - OIS - COMPOUND	0.68%		CHF	6,900,000	09/21/2024		Semi-Annually		—			(76,134	)		(76,134	)
CHF - SARON - OIS - COMPOUND	0.89%		CHF	2,950,000	09/21/2024		Semi-Annually		—			(19,568	)		(19,568	)
CHF - SARON - OIS - COMPOUND	0.90%		CHF	3,500,000	09/21/2024		Semi-Annually		—			(22,500	)		(22,500	)
CHF - SARON - OIS - COMPOUND	1.18%		CHF	3,300,000	09/21/2024		Semi-Annually		—			(2,605	)		(2,605	)
CHF - SARON - OIS - COMPOUND	1.42%		CHF	9,800,000	09/21/2024		Semi-Annually		—			42,110			42,110
0.84%	CHF - SARON - OIS - COMPOUND		CHF	38,410,000	09/21/2024		Annually		—			298,021			298,021
0.87%	CHF - SARON - OIS - COMPOUND		CHF	5,000,000	09/21/2024		Annually		(368	)		35,725			36,093
0.72%	CHF - SARON - OIS - COMPOUND		CHF	3,000,000	09/21/2024		Semi-Annually		—			30,338			30,338
EUR - EuroSTR - COMPOUND	1.35%		EUR	22,850,000	09/21/2024		Annually		88			(287,969	)		(288,057	)
EUR - EuroSTR - COMPOUND	1.37%		EUR	3,690,000	09/21/2024		Annually		1,061			(45,256	)		(46,317	)
1.82%	EUR - EuroSTR - COMPOUND		EUR	3,100,939	09/21/2024		Annually		—			10,327			10,327
1.87%	EUR - EuroSTR - COMPOUND		EUR	3,099,061	09/21/2024		Annually		—			6,809			6,809
1.37%	EUR - EuroSTR - COMPOUND		EUR	3,500,000	09/21/2024		Annually		—			42,509			42,509
1.19%	EUR - EuroSTR - COMPOUND		EUR	4,750,000	09/21/2024		Annually		—			74,591			74,591
1.14%	EUR - EuroSTR - COMPOUND		EUR	3,000,000	09/21/2024		Annually		—			50,270			50,270
1.28%	EUR - EuroSTR - COMPOUND		EUR	3,000,000	09/21/2024		Annually		—			42,191			42,191
1.03%	EUR - EuroSTR - COMPOUND		EUR	3,000,000	09/21/2024		Annually		—			56,859			56,859
1.13%	EUR - EuroSTR - COMPOUND		EUR	4,500,000	09/21/2024		Annually		—			76,255			76,255
GBP - SONIA - COMPOUND	2.65%		GBP	1,300,000	09/21/2024		Annually		—			(36,777	)		(36,777	)
GBP - SONIA - COMPOUND	2.73%		GBP	24,760,000	09/21/2024		Annually		22,225			(658,771	)		(680,996	)
3.28%	GBP - SONIA - COMPOUND		GBP	3,000,000	09/21/2024		Annually		—			43,508			43,508
3.27%	GBP - SONIA - COMPOUND		GBP	3,000,000	09/21/2024		Annually		—			44,400			44,400
2.84%	GBP - SONIA - COMPOUND		GBP	1,850,000	09/21/2024		Annually		—			44,723			44,723
2.67%	GBP - SONIA - COMPOUND		GBP	5,400,000	09/21/2024		Annually		—			151,398			151,398
3 Month SEK STIBOR	2.41%		SEK	71,300,000	09/21/2024		Quarterly		—			(95,664	)		(95,664	)
3 Month SEK STIBOR	2.54%		SEK	77,920,000	09/21/2024		Quarterly		13,518			(85,826	)		(99,344	)
3.23%	3 Month SEKSTIBOR		SEK	36,000,000	09/21/2024		Quarterly		—			(4,890	)		(4,890	)
3 Month SEK STIBOR	3.21%		SEK	20,000,000	09/21/2024		Quarterly		—			2,175			2,175
USD - SOFR - COMPOUND	2.71%		USD	2,030,000	09/21/2024		Semi-Annually		118			(32,713	)		(32,831	)

27 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
USD - SOFR - COMPOUND	2.95%		USD	3,590,000	09/21/2024		Semi-Annually		(815	)		(40,906	)		(40,091	)
3.29%	USD - SOFR - COMPOUND		USD	5,600,000	09/21/2024		Semi-Annually		—			27,498			27,498
2.87%	USD - SOFR - COMPOUND		USD	2,950,000	09/21/2024		Semi-Annually		—			37,990			37,990
2.11%	EUR - EuroSTR - COMPOUND		EUR	3,000,000	12/21/2024		Annually		—			(45	)		(45	)
GBP - SONIA - COMPOUND	4.04%		GBP	2,500,000	12/21/2024		Annually		—			(565	)		(565	)
6 Month AUD BBSW	3.73%		AUD	1,500,000	09/21/2032		Semi-Annually		—			(30,502	)		(30,502	)
6 Month AUD BBSW	3.85%		AUD	1,800,000	09/21/2032		Semi-Annually		—			(24,184	)		(24,184	)
6 Month AUD BBSW	3.93%		AUD	2,630,000	09/21/2032		Semi-Annually		—			(23,608	)		(23,608	)
6 Month AUD BBSW	4.04%		AUD	1,150,000	09/21/2032		Semi-Annually		(1,055	)		(3,711	)		(2,656	)
6 Month AUD BBSW	4.04%		AUD	2,000,000	09/21/2032		Semi-Annually		—			(6,342	)		(6,342	)
6 Month AUD BBSW	4.08%		AUD	6,960,000	09/21/2032		Semi-Annually		—			(5,676	)		(5,676	)
6 Month AUD BBSW	4.27%		AUD	1,450,000	09/21/2032		Semi-Annually		2,556			14,107			11,551
4.67%	6 Month AUD BBSW		AUD	1,920,000	09/21/2032		Semi-Annually		—			(61,918	)		(61,918	)
4.33%	6 Month AUD BBSW		AUD	2,680,000	09/21/2032		Semi-Annually		—			(35,695	)		(35,695	)
4.27%	6 Month AUD BBSW		AUD	1,720,000	09/21/2032		Semi-Annually		(2,602	)		(16,831	)		(14,229	)
3.65%	6 Month AUD BBSW		AUD	2,100,000	09/21/2032		Semi-Annually		—			52,007			52,007
4.16%	6 Month AUD BBSW		AUD	1,700,000	09/21/2032		Semi-Annually		—			(6,051	)		(6,051	)
3.90%	3 Month CAD CDOR		CAD	1,580,102	09/21/2032		Semi-Annually		—			(33,808	)		(33,808	)
3.99%	3 Month CAD CDOR		CAD	1,579,898	09/21/2032		Semi-Annually		—			(42,154	)		(42,154	)
3.88%	3 Month CAD CDOR		CAD	1,560,000	09/21/2032		Semi-Annually		—			(30,764	)		(30,764	)
3.77%	3 Month CAD CDOR		CAD	2,220,000	09/21/2032		Semi-Annually		—			(28,468	)		(28,468	)
3.51%	3 Month CAD CDOR		CAD	1,310,000	09/21/2032		Semi-Annually		—			5,155			5,155
3.25%	3 Month CAD CDOR		CAD	1,800,000	09/21/2032		Semi-Annually		—			37,597			37,597
3.20%	3 Month CAD CDOR		CAD	1,300,000	09/21/2032		Semi-Annually		—			31,427			31,427
3.06%	3 Month CAD CDOR		CAD	1,500,000	09/21/2032		Semi-Annually		—			49,411			49,411
3.13%	3 Month CAD CDOR		CAD	1,700,000	09/21/2032		Semi-Annually		—			48,877			48,877
3.27%	3 Month CAD CDOR		CAD	1,200,000	09/21/2032		Semi-Annually		—			23,208			23,208
3.52%	3 Month CAD CDOR		CAD	1,400,000	09/21/2032		Semi-Annually		—			4,787			4,787
3.58%	3 Month CAD CDOR		CAD	1,300,000	09/21/2032		Semi-Annually		—			(1,043	)		(1,043	)
3 Month CAD CDOR	3.15%		CAD	3,078,000	09/21/2032		Semi-Annually		(652	)		(84,330	)		(83,678	)
3 Month CAD CDOR	3.49%		CAD	1,570,000	09/21/2032		Semi-Annually		—			(8,202	)		(8,202	)
3 Month CAD CDOR	3.55%		CAD	800,000	09/21/2032		Semi-Annually		—			(1,343	)		(1,343	)
3 Month CAD CDOR	3.58%		CAD	11,400,000	09/21/2032		Semi-Annually		(21,799	)		6,575			28,374
CHF - SARON - OIS - COMPOUND	1.27%		CHF	11,777,000	09/21/2032		Semi-Annually		25,482			(494,102	)		(519,584	)
CHF - SARON - OIS - COMPOUND	1.27%		CHF	800,000	09/21/2032		Semi-Annually		—			(34,175	)		(34,175	)
CHF - SARON - OIS - COMPOUND	1.64%		CHF	7,510,000	09/21/2032		Annually		—			(54,144	)		(54,144	)
CHF - SARON - OIS - COMPOUND	1.64%		CHF	920,000	09/21/2032		Annually		—			(6,808	)		(6,808	)
CHF - SARON - OIS - COMPOUND	1.70%		CHF	510,000	09/21/2032		Annually		(305	)		(854	)		(549	)
2.13%	CHF - SARON - OIS - COMPOUND		CHF	2,150,000	09/21/2032		Semi-Annually		—			(85,471	)		(85,471	)
1.77%	CHF - SARON - OIS - COMPOUND		CHF	640,000	09/21/2032		Semi-Annually		—			(3,205	)		(3,205	)
1.60%	CHF - SARON - OIS - COMPOUND		CHF	1,490,000	09/21/2032		Semi-Annually		—			16,005			16,005
1.54%	CHF - SARON - OIS - COMPOUND		CHF	420,000	09/21/2032		Semi-Annually		—			6,756			6,756
1.63%	CHF - SARON - OIS - COMPOUND		CHF	800,000	09/21/2032		Semi-Annually		—			6,188			6,188
1.17%	CHF - SARON - OIS - COMPOUND		CHF	2,000,000	09/21/2032		Semi-Annually		—			104,051			104,051
1.73%	CHF - SARON - OIS - COMPOUND		CHF	900,000	09/21/2032		Semi-Annually		—			(1,501	)		(1,501	)

See accompanying notes to the financial statements. 28

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
EUR - EuroSTR - COMPOUND	1.43%		EUR	800,000	09/21/2032		Annually		—			(49,056	)		(49,056	)
EUR - EuroSTR - COMPOUND	1.44%		EUR	11,073,000	09/21/2032		Annually		37,353			(672,421	)		(709,774	)
EUR - EuroSTR - COMPOUND	1.49%		EUR	700,000	09/21/2032		Annually		—			(39,632	)		(39,632	)
EUR - EuroSTR - COMPOUND	1.49%		EUR	700,000	09/21/2032		Annually		—			(39,120	)		(39,120	)
EUR - EuroSTR - COMPOUND	1.49%		EUR	700,000	09/21/2032		Annually		—			(39,216	)		(39,216	)
EUR - EuroSTR - COMPOUND	1.71%		EUR	800,000	09/21/2032		Annually		—			(29,112	)		(29,112	)
EUR - EuroSTR - COMPOUND	1.76%		EUR	700,000	09/21/2032		Annually		—			(22,213	)		(22,213	)
EUR - EuroSTR - COMPOUND	1.90%		EUR	1,040,000	09/21/2032		Annually		—			(19,422	)		(19,422	)
EUR - EuroSTR - COMPOUND	2.00%		EUR	760,000	09/21/2032		Annually		—			(7,288	)		(7,288	)
EUR - EuroSTR - COMPOUND	2.21%		EUR	674,194	09/21/2032		Annually		—			6,279			6,279
EUR - EuroSTR - COMPOUND	2.32%		EUR	685,806	09/21/2032		Annually		—			13,151			13,151
2.25%	EUR - EuroSTR - COMPOUND		EUR	550,000	09/21/2032		Annually		—			(7,056	)		(7,056	)
1.81%	EUR - EuroSTR - COMPOUND		EUR	4,610,000	09/21/2032		Annually		4,019			125,452			121,433
1.82%	EUR - EuroSTR - COMPOUND		EUR	800,000	09/21/2032		Annually		(786	)		20,821			21,607
1.51%	EUR - EuroSTR - COMPOUND		EUR	1,600,000	09/21/2032		Annually		—			87,446			87,446
1.46%	EUR - EuroSTR - COMPOUND		EUR	2,200,000	09/21/2032		Annually		—			129,680			129,680
1.83%	EUR - EuroSTR - COMPOUND		EUR	1,000,000	09/21/2032		Annually		—			25,387			25,387
2.09%	EUR - EuroSTR - COMPOUND		EUR	900,000	09/21/2032		Annually		—			1,603			1,603
GBP - SONIA - COMPOUND	1.89%		GBP	1,200,000	09/21/2032		Annually		—			(128,886	)		(128,886	)
GBP - SONIA - COMPOUND	2.15%		GBP	1,300,000	09/21/2032		Annually		—			(107,131	)		(107,131	)
GBP - SONIA - COMPOUND	2.18%		GBP	900,000	09/21/2032		Annually		—			(70,948	)		(70,948	)
GBP - SONIA - COMPOUND	2.25%		GBP	1,180,000	09/21/2032		Annually		—			(85,097	)		(85,097	)
GBP - SONIA - COMPOUND	2.44%		GBP	400,000	09/21/2032		Annually		—			(21,514	)		(21,514	)
GBP - SONIA - COMPOUND	2.46%		GBP	1,200,000	09/21/2032		Annually		—			(61,661	)		(61,661	)
GBP - SONIA - COMPOUND	2.58%		GBP	670,000	09/21/2032		Annually		—			(26,579	)		(26,579	)
GBP - SONIA - COMPOUND	2.74%		GBP	660,000	09/21/2032		Annually		—			(16,381	)		(16,381	)
2.26%	GBP - SONIA - COMPOUND		GBP	5,240,000	09/21/2032		Annually		(7,177	)		374,292			381,469
2.56%	GBP - SONIA - COMPOUND		GBP	310,000	09/21/2032		Annually		—			13,164			13,164
2.18%	GBP - SONIA - COMPOUND		GBP	190,000	09/21/2032		Annually		684			15,061			14,377
2.09%	GBP - SONIA - COMPOUND		GBP	9,491,000	09/21/2032		Annually		1,011			836,100			835,089
2.93%	GBP - SONIA - COMPOUND		GBP	800,000	09/21/2032		Annually		—			4,760			4,760
4.13%	3 Month NZD Bank Bill Rate		NZD	7,540,000	09/21/2032		Quarterly		—			(498	)		(498	)
4.17%	3 Month NZD Bank Bill Rate		NZD	1,960,000	09/21/2032		Quarterly		1,607			(4,160	)		(5,767	)
4.06%	3 Month NZD Bank Bill Rate		NZD	1,930,000	09/21/2032		Quarterly		—			6,068			6,068
3.94%	3 Month NZD Bank Bill Rate		NZD	2,300,000	09/21/2032		Quarterly		—			21,304			21,304

29 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.99%	3 Month NZD Bank Bill Rate		NZD	2,200,000	09/21/2032		Quarterly		—			14,420			14,420
3 Month NZD Bank Bill Rate	3.63%		NZD	3,000,000	09/21/2032		Quarterly		—			(74,433	)		(74,433	)
3 Month NZD Bank Bill Rate	3.80%		NZD	2,053,000	09/21/2032		Quarterly		—			(33,432	)		(33,432	)
3 Month NZD Bank Bill Rate	4.21%		NZD	3,050,000	09/21/2032		Quarterly		—			12,287			12,287
3 Month NZD Bank Bill Rate	4.55%		NZD	2,690,000	09/21/2032		Quarterly		—			57,383			57,383
3 Month SEK STIBOR	2.63%		SEK	9,000,000	09/21/2032		Quarterly		—			(14,451	)		(14,451	)
3 Month SEK STIBOR	2.71%		SEK	14,000,000	09/21/2032		Quarterly		—			(12,540	)		(12,540	)
3 Month SEK STIBOR	2.77%		SEK	11,000,000	09/21/2032		Quarterly		—			(5,167	)		(5,167	)
3 Month SEK STIBOR	2.83%		SEK	22,000,000	09/21/2032		Quarterly		—			734			734
3 Month SEK STIBOR	2.85%		SEK	5,434,000	09/21/2032		Quarterly		(1,585	)		1,249			2,834
3 Month SEK STIBOR	2.87%		SEK	9,000,000	09/21/2032		Quarterly		—			3,075			3,075
3 Month SEK STIBOR	2.89%		SEK	27,000,000	09/21/2032		Quarterly		—			14,703			14,703
2.62%	3 Month SEK STIBOR		SEK	15,800,000	09/21/2032		Quarterly		—			25,434			25,434
2.77%	3 Month SEK STIBOR		SEK	16,900,000	09/21/2032		Quarterly		(4,744	)		7,253			11,997
2.65%	3 Month SEK STIBOR		SEK	20,200,000	09/21/2032		Quarterly		—			29,156			29,156
2.48%	3 Month SEK STIBOR		SEK	14,100,000	09/21/2032		Quarterly		—			38,943			38,943
2.59%	3 Month SEK STIBOR		SEK	38,400,000	09/21/2032		Quarterly		—			73,342			73,342
2.51%	3 Month SEK STIBOR		SEK	14,000,000	09/21/2032		Quarterly		—			35,827			35,827
2.42%	3 Month SEK STIBOR		SEK	23,000,000	09/21/2032		Quarterly		—			74,721			74,721
2.23%	3 Month SEK STIBOR		SEK	17,000,000	09/21/2032		Quarterly		—			81,437			81,437
2.35%	3 Month SEK STIBOR		SEK	15,000,000	09/21/2032		Quarterly		—			58,164			58,164
2.24%	3 Month SEK STIBOR		SEK	22,000,000	09/21/2032		Quarterly		—			104,497			104,497
2.39%	3 Month SEK STIBOR		SEK	9,000,000	09/21/2032		Quarterly		—			31,685			31,685
2.85%	3 Month SEK STIBOR		SEK	4,000,000	09/21/2032		Quarterly		1,169			(913	)		(2,082	)
3 Month SEK STIBOR	3.03%		SEK	70,941,000	09/21/2032		Quarterly		42,504			119,793			77,289
3 Month SEK STIBOR	3.12%		SEK	8,200,000	09/21/2032		Quarterly		11,039			19,769			8,730
USD - SOFR - COMPOUND	2.56%		USD	1,300,000	09/21/2032		Semi-Annually		—			(41,763	)		(41,763	)
USD - SOFR - COMPOUND	2.57%		USD	900,000	09/21/2032		Semi-Annually		—			(28,796	)		(28,796	)
USD - SOFR - COMPOUND	2.58%		USD	1,900,000	09/21/2032		Semi-Annually		—			(57,930	)		(57,930	)
USD - SOFR - COMPOUND	2.61%		USD	1,100,000	09/21/2032		Semi-Annually		—			(30,982	)		(30,982	)
USD - SOFR - COMPOUND	2.63%		USD	660,000	09/21/2032		Semi-Annually		—			(17,311	)		(17,311	)
USD - SOFR - COMPOUND	2.77%		USD	2,190,000	09/21/2032		Semi-Annually		—			(31,049	)		(31,049	)
USD - SOFR - COMPOUND	2.78%		USD	2,700,000	09/21/2032		Semi-Annually		—			(36,652	)		(36,652	)
USD - SOFR - COMPOUND	2.79%		USD	1,400,000	09/21/2032		Semi-Annually		—			(18,101	)		(18,101	)
USD - SOFR - COMPOUND	3.02%		USD	1,250,000	09/21/2032		Semi-Annually		—			9,232			9,232
USD - SOFR - COMPOUND	3.03%		USD	630,000	09/21/2032		Semi-Annually		3,970			4,827			857
USD - SOFR - COMPOUND	3.06%		USD	3,210,000	09/21/2032		Semi-Annually		—			33,378			33,378
USD - SOFR - COMPOUND	3.12%		USD	1,720,000	09/21/2032		Semi-Annually		—			27,064			27,064

See accompanying notes to the financial statements. 30

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.18%	USD - SOFR - COMPOUND		USD	710,000	09/21/2032		Semi-Annually			—			(14,533	)			(14,533	)
2.64%	USD - SOFR - COMPOUND		USD	460,000	09/21/2032		Semi-Annually			(1,210	)		11,787				12,997
2.57%	USD - SOFR - COMPOUND		USD	650,000	09/21/2032		Semi-Annually			—			20,546				20,546
2.68%	USD - SOFR - COMPOUND		USD	1,710,000	09/21/2032		Semi-Annually			—			38,080				38,080
2.80%	USD - SOFR - COMPOUND		USD	18,650,000	09/21/2032		Semi-Annually			(34,603	)		221,065				255,668
2.83%	USD - SOFR - COMPOUND		USD	800,000	09/21/2032		Semi-Annually			(113	)		7,417				7,530
2.88%	USD - SOFR - COMPOUND		USD	600,000	09/21/2032		Semi-Annually			—			3,187				3,187
3.56%	3 Month CAD CDOR		CAD	1,500,000	12/21/2032		Semi-Annually			—			668				668
EUR - EuroSTR - COMPOUND	2.17%		EUR	700,000	12/21/2032		Annually			—			1,373				1,373
3.00%	GBP - SONIA - COMPOUND		GBP	600,000	12/21/2032		Annually			—			(400	)			(400	)
2.96%	GBP - SONIA - COMPOUND		GBP	1,300,000	12/21/2032		Annually			—			3,118				3,118
2.89%	USD - SOFR - COMPOUND		USD	1,700,000	12/21/2032		Semi-Annually			—			5,570				5,570
									$	135,495		$	268,627			$	133,132

As of August 31, 2022, 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) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b) The rate disclosed is the 7 day net yield as of August 31, 2022.

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

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 46.

31 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		92.4	%
Short-Term Investments		2.8
Swap Contracts		2.6
Mutual Funds		1.2
Forward Currency Contracts		0.0	^
Written Options		(0.0	)^
Futures Contracts		(0.0	)^
Other		1.0
		100.0	%

Industry Sector Summary	% of Debt Obligations
Commercial Mortgage-Backed Securities		23.4	%
Collateralized Loan Obligations		18.2
Student Loans - Private		13.9
U.S. Government		11.4
Residential Mortgage-Backed Securities — Other		7.5
Small Balance Commercial Mortgages		7.4
Student Loans - Federal Family Education Loan Program		5.6
Residential Mortgage-Backed Securities — Prime		4.0
Residential Mortgage-Backed Securities — Alt-A		3.2
Residential Mortgage-Backed Securities — Subprime		2.2
Residential Mortgage-Backed Securities — Performing Loans		1.6
U.S. Government Agency		0.9
Corporate Debt		0.4
CMBS Collateralized Debt Obligations		0.3
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

^ Rounds to 0.0%.

32

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 92.4%
		Asset-Backed Securities — 81.4%
		CMBS Collateralized Debt Obligations — 0.2%
	8,586,000	ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		1,803,060
	562,379	GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		507,065
		Total CMBS Collateralized Debt Obligations		2,310,125
		Collateralized Loan Obligations — 17.0%
	4,000,000	AMMC CLO 24 Ltd., Series 21-24A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.19%, 3.90%, due 01/20/35		3,881,116
	10,000,000	Ballyrock CLO 15 Ltd., Series 21-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 3.57%, due 04/15/34		9,693,070
	6,093,000	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 3.83%, due 01/20/30		5,988,627
	4,075,000	Crown City CLO III, Series 21-1A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 3.88%, due 07/20/34		3,950,268
	4,550,000	Fort Washington CLO Ltd., Series 21-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 3.93%, due 10/20/34		4,432,310
	7,101,886	Gallatin CLO IX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 3.78%, due 01/21/28		7,038,750
	863,095	Halcyon Loan Advisors Funding Ltd., Series 14-2A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 3.50%, 6.29%, due 04/28/25		840,061
	170,515	Hull Street CLO Ltd., Series 14-1A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.70%, 5.44%, due 10/18/26		170,246
	5,718,682	JFIN CLO Ltd., Series 15-2A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.20%, 5.94%, due 10/17/26		5,356,118
	4,320,000	JFIN CLO Ltd., Series 12-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 5.06%, due 07/20/28		4,190,093
	3,000,000	JFIN CLO Ltd., Series 16-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.40%, 6.17%, due 10/27/28		2,879,766
	1,493,337	JMP Credit Advisors CLO IV Ltd., Series 17-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.28%, 4.02%, due 07/17/29		1,479,224
	6,161,000	Man GLG US CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 3.85%, due 04/22/30		6,038,735
	10,000,000	Neuberger Berman CLO XVI-S Ltd., Series 17-16SA, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.04%, 3.55%, due 04/15/34		9,743,590
	3,906,000	Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 3.82%, due 04/22/31		3,831,157

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	5,000,000	Oak Hill Credit Partners X-R Ltd., Series 14-10RA, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.04%, 3.75%, due 04/20/34		4,877,095
	5,000,000	OFSI BSL VIII Ltd., Series 17-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 4.24%, due 08/16/29		4,815,235
	1,083,456	OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26		45,309
	8,957,960	OZLM VII Ltd., Series 14-7RA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.01%, 3.75%, due 07/17/29		8,846,218
	1,991,025	Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 3.72%, due 06/22/30		1,970,770
	1,262,000	Signal Peak CLO 2 LLC, Series 15-1A, Class BR2, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 4.21%, due 04/20/29		1,227,300
	2,000,000	Telos CLO Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 5.34%, due 07/17/26		1,987,770
	7,737,500	Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.48%, 4.22%, due 04/17/28		7,644,812
	4,335,500	Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.15%, 4.89%, due 04/17/28		4,185,288
	7,000,000	THL Credit Wind River CLO Ltd., Series 17-1A, Class ARR, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 3.80%, due 04/18/36		6,768,755
	4,993,200	Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 3.84%, due 07/18/31		4,903,253
	3,254,162	Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 3.73%, due 10/15/29		3,217,396
	9,000,000	Venture XXIV CLO Ltd., Series 16-24A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 4.21%, due 10/20/28		8,665,515
	11,935,153	Wellfleet CLO Ltd., Series 17-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 3.77%, due 10/20/29		11,785,701
	1,360,000	Whitebox CLO II Ltd., Series 20-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 4.00%, due 10/24/34		1,335,063
	2,992,071	WhiteHorse VIII Ltd., Series 14-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.45%, 6.23%, due 05/01/26		2,936,350
	4,042,250	WhiteHorse X Ltd., Series 15-10A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 5.74%, due 04/17/27		3,875,677
	4,453,900	Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 3.76%, due 10/15/31		4,369,312
	4,836,411	Zais CLO 7 Ltd., Series 17-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.29%, 3.80%, due 04/15/30		4,769,780
	962,118	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 3.46%, due 04/15/29		951,464

33 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	3,474,000	Zais CLO 8 Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.45%, 3.96%, due 04/15/29		3,341,359
		Total Collateralized Loan Obligations		162,032,553
		Commercial Mortgage-Backed Securities — 21.8%
	10,000,000	BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32		9,310,866
	11,857,600	Barclays Commercial Mortgage Trust, Series 18-TALL, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.72%, 3.11%, due 03/15/37		11,303,801
	8,448,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38		6,295,876
	6,327,638	Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.42%, 2.86%, due 07/25/36		5,694,228
	7,000,000	Benchmark Mortgage Trust, Series 19-B12, Class A5, 3.12%, due 08/15/52		6,425,733
	19,000,000	Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72		17,151,528
	6,550,000	BX Commercial Mortgage Trust, Series 21-VINO, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.65%, 3.04%, due 05/15/38		6,324,681
	6,400,000	BX Commercial Mortgage Trust, Series 21-ACNT, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 3.24%, due 11/15/38		6,191,988
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44		6,841,624
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.67%, due 03/11/44		6,340,874
	8,000,000	BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41		7,064,190
	4,895,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		4,273,513
	9,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41		7,417,984
	6,800,000	Citigroup Commercial Mortgage Trust, Series 19-C7, Class A4, 3.10%, due 12/15/72		6,179,883
	3,031,837	Commercial Mortgage Trust, Series 15-PC1, Class B, Variable Rate, 4.43%, due 07/10/50		2,876,369
	4,186,852	Commercial Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51		4,104,598
	113,312	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 2.63%, due 04/15/37		112,150
	89,524	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		89,413

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	5,570,000	ELP Commercial Mortgage Trust, Series 21-ELP, Class A, Variable Rate, 144A, 1 mo. LIBOR + 0.70%, 3.09%, due 11/15/38		5,372,071
	4,698,295	FREMF Mortgage Trust, Series 16-KF13, Class B, 144A, Variable Rate, 1 mo. LIBOR + 7.50%, 9.86%, due 11/25/25		4,648,053
	3,600,000	Great Wolf Trust, Series 19-WOLF, Class E, 144A, Variable Rate, 1 mo. LIBOR + 2.73%, 5.12%, due 12/15/36		3,420,000
	7,000,000	GS Mortgage Securities Corp. Trust, Series 22-SHIP, Class A, Variable Rate, 144A, SOFR + 0.73%, 3.04%, due 08/15/36		6,889,805
	10,000,000	GS Mortgage Securities Trust, Series 21-GSA3, Class A5, 2.62%, due 12/15/54		8,525,172
	5,500,000	ILPT Commercial Mortgage Trust, Series 22-LPFX, Class A, 144A, 3.38%, due 03/15/32		4,810,217
	146,274	LB Commercial Conduit Mortgage Trust, Series 98-C1, Class K, 144A, 6.30%, due 02/18/30		144,854
	204,257	LB-UBS Commercial Mortgage Trust, Series 04-C6, Class K, 144A, Variable Rate, 6.52%, due 08/15/36		204,108
	528,667	Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26		530,116
	10,000,000	MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40		8,358,746
	1,982,000	Morgan Stanley Capital I Trust, Series 19-H6, Class A4, 3.42%, due 06/15/52		1,843,132
	2,248,973	SLIDE, Series 18-FUN, Class E, 144A, Variable Rate, 1 mo. LIBOR + 2.55%, 4.94%, due 06/15/31		2,153,393
	5,000,000	Taubman Centers Commercial Mortgage Trust, Series 22-DPM, Class A, Variable Rate, 144A, SOFR + 2.19%, 4.49%, due 05/15/37		4,912,183
	5,268,100	UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51		5,119,039
	7,933,000	UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51		7,826,872
	1,913,195	Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate, 3.38%, due 02/25/52		1,802,960
	4,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 1.99%, due 11/23/43		4,439,681
	3,163,402	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 2.79%, due 03/23/45		3,153,768
	3,572,960	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 2.79%, due 03/23/45		3,321,607
	4,317,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35		4,151,062

See accompanying notes to the financial statements. 34

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	8,733,000	Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35		8,219,411
	2,704,000	Wells Fargo Commercial Mortgage Trust, Series 19-C50, Class C, 4.35%, due 05/15/52		2,359,661
	1,395,022	Wells Fargo Commercial Mortgage Trust, Series 18-C47, Class A4, 4.44%, due 09/15/61		1,383,942
		Total Commercial Mortgage-Backed Securities		207,589,152
		Residential Mortgage-Backed Securities — Other —7.0%
	808,465	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 2.72%, due 02/25/36		120,324
	17,663,707	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 2.80%, due 02/25/36		461,042
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		4,299,836
	4,757,483	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		4,443,722
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		1,400,595
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		482,958
	168,364	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 2.76%, due 02/25/37		186,180
	3,120,031	Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		2,956,983
	2,310,670	Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		2,200,989
	5,399,766	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		4,900,984
	1,045,451	Corevest American Finance Trust, Series 21-1, Class A, 144A, 1.57%, due 04/15/53		931,192
	8,545,045	FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38		7,708,490
	701,365	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 2.94%, due 10/25/34		665,171
	2,887,163	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		2,541,142
	4,332,782	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, Step Up, 5.59%, due 09/25/35		664,882

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	28,580,324	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 2.70%, due 06/25/36		642,669
	9,051,135	Home Loan Trust, Series 06-HI4, Class A4, Step Up, Step Up, 5.72%, due 09/25/36		3,485,124
	9,502,778	Home Loan Trust, Series 07-HI1, Class A4, Step Up, Step Up, 0.00, due 03/25/37		2,026,058
	3,674,337	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 2.76%, due 03/25/36		317,563
	233,422	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25%, 2.70%, due 02/26/34		205,661
	1,341,242	New Century Home Equity Loan Trust, Series 03-B, Class M1, Variable Rate, 1 mo. LIBOR + 0.98%, 3.42%, due 10/25/33		1,287,032
	13,679,319	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 2.64%, due 03/25/36		454,698
	7,802,964	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 2.78%, due 03/25/36		259,187
	20,803,561	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 2.84%, due 03/25/36		690,811
	81,702	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 3.34%, due 08/25/35		403,803
	1,065,222	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		1,017,465
	1,203,092	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		1,162,858
	3,671,205	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		2,448,710
	11,814,493	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		3,407,043
	943,435	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		570,931
	528,444	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		523,475
	1,350,000	Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40		1,184,364
	4,605,424	Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38		4,350,225
	2,969,845	Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39		2,576,571

35 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	5,879,920	Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 3.80%, due 04/25/67		5,616,447
		Total Residential Mortgage-Backed Securities — Other		66,595,185
		Residential Mortgage-Backed Securities — Performing Loans — 1.5%
	3,128,101	Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65		2,797,578
	7,237,877	CSMC Mortgage-Backed Trust, Series 22-NQM1, Class A1, 144A, Variable Rate, 2.27%, due 11/25/66		6,437,244
	5,918,472	Verus Securitization Trust, Series 21-8, Class A, 144A, Variable Rate, 1.82%, due 11/25/66		5,256,088
		Total Residential Mortgage-Backed Securities — Performing Loans		14,490,910
		Residential Mortgage-Backed Securities — Prime —3.7%
	7,436,793	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1mo. LIBOR + 0.21%, 2.65%, due 10/25/46		4,203,757
	581,278	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 5.23%, due 10/25/35		565,481
	3,992,142	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		2,570,392
	1,348,302	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.01%, due 12/25/36		1,192,201
	919,358	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.01%, due 03/25/37		780,539
	7,860,912	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.44%, 2.88%, due 04/25/46		6,936,752
	1,630,097	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		897,185
	93,335	RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 4.10%, due 09/25/35		89,244
	4,725,112	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA + 1.40%, 2.26%, due 05/25/35		3,745,072
	805,637	WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 3.84%, due 09/25/35		752,025
	938,541	WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, 12 MTA + 1.25%, 2.11%, due 01/25/47		833,016

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	2,285,899	Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 2.89%, due 06/25/35		1,996,716
	2,361,406	Washington Mutual Mortgage Pass-Through Certificates, Series 05-10, Class 4CB3, Variable Rate, 1 mo. LIBOR + 0.60%, 3.04%, due 12/25/35		2,216,782
	9,255,157	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		8,763,436
		Total Residential Mortgage-Backed Securities — Prime		35,542,598
		Residential Mortgage-Backed Securities — Subprime — 2.1%
	1,313,446	Asset Backed Funding Certificates Trust, Series 05-AQ1, Class A5, Step Up, Step Up, 4.40%, due 06/25/35		1,252,060
	1,374,213	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 2.75%, due 05/26/37		1,343,681
	9,697,144	Bravo Mortgage Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.60%, 3.04%, due 07/25/36		8,835,903
	645,334	Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + 0.14%, 2.58%, due 12/25/36		608,571
	1,066,944	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 2.91%, due 11/20/34		1,026,566
	2,863,380	First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 2.55%, due 09/25/36		2,629,002
	973,416	Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.50%, 2.69%, due 08/25/37		898,966
	3,301,815	Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. LIBOR + 0.80%, 3.64%, due 01/25/35		3,057,091
		Total Residential Mortgage-Backed Securities — Subprime		19,651,840
		Residential Mortgage-Backed Securities — Alt-A —2.9%
	355,961	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		342,905
	2,635,736	Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35		2,488,636
	1,626,564	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 3.14%, due 05/25/36		723,957
	1,642,375	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 3.14%, due 10/25/36		639,898
	1,434,000	Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. LIBOR + 0.90%, 3.34%, due 11/25/34		1,413,802

See accompanying notes to the financial statements. 36

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Alt-A — continued
	2,214,092	Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.32%, 2.76%, due 01/25/47		1,960,299
	2,082,744	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, Step Up, 5.75%, due 10/25/34		1,936,734
	3,922,425	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.48%, due 07/25/36		2,397,357
	11,281,430	GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. LIBOR + 0.32%, 2.76%, due 06/25/36		2,728,473
	9,785,087	GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 2.50%, due 06/25/47		6,506,143
	7,263,421	HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.22%, 2.59%, due 07/19/47		6,615,436
	190,778	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		188,247
		Total Residential Mortgage-Backed Securities — Alt-A		27,941,887
		Small Balance Commercial Mortgages — 6.9%
	3,378,945	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.47%, 2.91%, due 08/25/35		3,088,420
	1,726,076	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.59%, 3.03%, due 01/25/36		1,576,150
	1,968,436	Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.54%, 2.98%, due 04/25/36		1,772,261
	867,897	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 3.01%, due 04/25/36		773,989
	1,258,200	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 2.79%, due 07/25/36		1,150,500
	2,573,664	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.42%,, 2.86%, due 07/25/36		2,359,320
	2,968,891	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.38%, 2.82%, due 10/25/36		2,769,653
	9,439,223	Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.42%,, 2.86%, due 01/25/37		8,576,897
	1,718,463	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 2.66%, due 03/25/37		1,571,619
	2,704,628	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 2.68%, due 07/25/37		2,442,194
	5,775,866	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 2.71%, due 07/25/37		5,116,018

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	2,073,372	Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. LIBOR + 1.50%, 3.94%, due 01/25/38		1,993,873
	90,067,912	FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.30%, due 05/25/30		4,651,386
	21,032,549	FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 1.26%, due 03/25/40		985,287
	71,275,615	FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 1.01%, due 06/25/40		3,228,942
	388,260	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class M3, 144A, Variable Rate, 1 mo. LIBOR + 0.53%, 2.97%, due 04/25/31		387,664
	2,022,599	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 3.44%, due 04/25/31		1,987,298
	4,251,301	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 2.84%, due 06/25/37		4,131,609
	343,428	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class AJ, 144A, Variable Rate, 4.39%, due 10/25/37		341,669
	6,221,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 4.39%, due 10/25/37		5,938,848
	7,034,378	Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51		6,585,568
	1,831,169	Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51		1,582,385
	2,974,631	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 2.85%, due 12/27/49		2,883,350
		Total Small Balance Commercial Mortgages		65,894,900
		Student Loans - Federal Family Education Loan Program — 5.3%
	5,701,196	AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 3.48%, due 01/25/43		5,218,812
	3,096,302	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 2.55%, due 03/28/35		2,553,439
	8,095,058	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 2.73%, due 06/15/21		7,811,120
	17,855,635	SLM Student Loan Trust, Series 08-9, Class A, Variable Rate, 3 mo. LIBOR + 1.50%, 4.28%, due 04/25/23		17,766,657

37 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans - Federal Family Education Loan Program — continued
	7,141,513	SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 3 mo. LIBOR + 1.70%, 4.48%, due 07/25/23		7,091,041
	9,673,921	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 4.43%, due 07/25/25		9,628,464
		Total Student Loans - Federal Family Education Loan Program		50,069,533
		Student Loans - Private — 13.0%
	1,953,857	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 3.58%, due 07/25/34		1,884,323
	6,256,706	KeyCorp Student Loan Trust, Series 06-A, Class 2C, Variable Rate, 3 mo. LIBOR + 1.30%, 3.50%, due 12/27/38		5,840,324
	4,484,094	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 2.68%, due 12/27/41		4,449,561
	686,359	KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 3.57%, due 04/28/42		685,053
	5,622,500	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 4.02%, due 07/28/42		5,180,456
	45,545	L2L Education Loan Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 0.50%, 2.89%, due 10/15/28		45,505
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 0.00, due 03/31/38 (a)		2,391,188
	3,275,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, 0.00, due 03/25/38 (a)		867,875
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, 0.00, due 03/25/38 (a)		2,020,625
	4,709,326	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 2.75%, due 05/25/32		4,401,733
	3,404,985	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 2.73%, due 01/25/33		3,134,046
	11,306,272	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 2.79%, due 03/25/33		10,377,066
	4,739,327	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 2.81%, due 06/25/33		4,444,506
	16,148,644	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 2.75%, due 10/25/33		14,684,978
	3,493,560	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 2.98%, due 12/26/33		3,320,426
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 0.06%, due 03/25/38 (b)		57,000

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans - Private — continued
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 3.67%, due 03/25/38 (b)		19,000
	4,150,626	Navient Student Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70		3,782,511
	3,578,337	Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62		3,222,299
	3,938,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 5.90%, due 06/15/32 (a)		3,839,550
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 3.43%, due 09/15/32		1,747,464
	1,950,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 5.88%, due 09/15/32 (a)		1,901,250
	4,097,580	SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.40%, 2.23%, due 06/15/33		4,001,684
	9,080,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 2.26%, due 09/15/33		8,722,332
	3,121,655	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 2.12%, due 06/15/39		2,950,656
	11,807,396	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 2.16%, due 06/15/39		11,288,653
	9,466,778	SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. LIBOR + 0.27%, 2.10%, due 12/15/39		8,977,474
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 2.22%, due 12/15/39		2,384,834
	6,989,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 3.49%, due 01/25/46		6,664,415
		Total Student Loans - Private		123,286,787
		Total Asset-Backed Securities		775,405,470
		Corporate Debt — 0.4%
		Airlines — 0.4%
	2,568,125	American Airlines Class AA Pass-Through Certificates, 3.65%, due 02/15/29		2,346,925
	1,457,331	American Airlines Class AA Pass-Through Certificates, 3.35%, due 04/15/31		1,295,760
		Total Airlines		3,642,685
		Total Corporate Debt		3,642,685
		U.S. Government — 9.9%
	1,800,000	U.S. Treasury Note, Variable Rate, USBM + 0.03%, 2.93%, due 07/31/23		1,801,768
	47,400,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 10/31/23		47,436,819

See accompanying notes to the financial statements. 38

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value† /     Shares		Description	Value ($)
		U.S. Government — continued
	7,500,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 2.83%, due 04/30/24		7,483,828
	38,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 07/31/24 (c)		37,949,646
		Total U.S. Government		94,672,061
		U.S. Government Agency — 0.7%
	705,000	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR - 0.02%, 0.00%, due 07/01/23 (a)		702,221
	2,468,750	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR - 0.02%, 2.30%, due 02/01/25 (a)		2,444,062
	3,375,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 2.46%, due 10/29/26 (a)		3,341,250
		Total U.S. Government Agency		6,487,533
		TOTAL DEBT OBLIGATIONS (COST $969,548,023)		880,207,749
		MUTUAL FUNDS — 1.2%
		United States — 1.2%
		Affiliated Issuers — 1.2%
	2,183,242	GMO U.S. Treasury Fund		10,894,379
		TOTAL MUTUAL FUNDS (COST $11,003,541)		10,894,379
		SHORT-TERM INVESTMENTS — 2.8%
		U.S. Government Agency — 2.6%
	20,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 2.33%, due 11/25/22		20,000,278
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 2.32%, due 12/02/22		5,000,265
		Total U.S. Government Agency		25,000,543
		Money Market Funds — 0.2%
	1,988,492	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (d)		1,988,492
		TOTAL SHORT-TERM INVESTMENTS (COST $26,988,492)		26,989,035
		TOTAL INVESTMENTS — 96.4% (Cost $1,007,540,056)		918,091,163
		Other Assets and Liabilities (net) — 3.6%		34,209,500
		TOTAL NET ASSETS — 100.0%		$952,300,663

39 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

A summary of outstanding financial instruments at August 31, 2022 is as follows:

Forward Currency Contracts

Settlement         Date	Counter-         party	Currency                          Sold	Currency              Purchased	Net Unrealized Appreciation (Depreciation)($)
10/18/2022	SSB	EUR 4,909,300	USD 5,005,517	$56,730

Futures Contracts

Number of Contracts +	Type		Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
585		U.S. Treasury Note 2 Yr. (CBT)		December 2022		121,871,954		(194,909)
455		U.S. Treasury Note 5 Yr. (CBT)		December 2022		50,423,242		(216,810)
70		U.S. Treasury Ultra 10 Yr. (CBT)		December 2022		8,763,125		(78,162)
						$181,058,321		$(489,881)

Number of Contracts +	Type		Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
172		U.S. Treasury Note 10 Yr. (CBT)		December 2022		$20,107,875		$76,166
+ Buys - Fund is long the futures contract.    Sales - Fund is short the futures contract.

Written Options

Principal/

Exercise

Expiration

Notional

Floating

Pay/Receive

Value

Description

Counterparty

Rate

Date

Amount

Rate Index

Floating Rate

($)

Written Options on Credit Default Swaps – Puts

CDX.NA.IG.S38

BCLY

1.05%

11/16/22

USD   (71,000,000

)

Fixed Spread

Pay

(257,692)

TOTAL WRITTEN OPTIONS

(Premiums $99,400)

$(257,692)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity

Notional Amount

Annual Premium

Implied Credit Spread (1)

Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Buy Protection^:

ITRAXX.XO.36.V1

EUR    16,780,000

5.00%

5.57%

N/A

12/20/2026

Quarterly

(597,455)

331,696

929,151

CDX.NA.HYS.37.V2

USD    13,355,100

5.00%

4.97%

N/A

12/20/2026

Quarterly

(741,208)

(8,948)

732,260

See accompanying notes to the financial statements. 40

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Credit Default Swaps — continued

Reference Entity	Notional Amount			Annual Premium		Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received) ($)				Value ($)				Net Unrealized Appreciation/ (Depreciation) ($)
CDX.NA.IGS.38.V1		USD	65,535,000		1.00%	0.92%	N/A	06/20/2027	Quarterly			(889,110	)			(218,559	)			670,551
											$	(2,227,773	)		$	104,189			$	2,331,962

OTC Credit Default Swaps

Reference Entity	Counter- party		Notional Amount		Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.29		JPM	USD	870,000	5.00%	1.35%	N/A	12/20/2022	Quarterly		(51,765	)		(9,695	)		42,070
CDX.NA.HYS.29		JPM	USD	6,425,250	5.00%	1.35%	N/A	12/20/2022	Quarterly		(282,711	)		(71,598	)		211,113
CDX.NA.HYS.29		MORD	USD	3,450,800	5.00%	1.35%	N/A	12/20/2022	Quarterly		(188,414	)		(38,453	)		149,961
Navient Corp.		BCLY	USD	2,082,800	5.00%	1.60%	N/A	12/20/2022	Quarterly		(160,627	)		(21,583	)		139,044
Navient Corp.		BCLY	USD	3,435,200	5.00%	1.60%	N/A	12/20/2022	Quarterly		(264,646	)		(35,597	)		229,049
Navient Corp.		GS	USD	2,700,000	5.00%	1.60%	N/A	12/20/2022	Quarterly		(277,471	)		(27,979	)		249,492
Navient Corp.		GS	USD	4,050,000	5.00%	1.60%	N/A	12/20/2022	Quarterly		(421,122	)		(41,968	)		379,154
CDX.NA.HYS.31.V1-5Y		CITI	USD	3,941,000	5.00%	6.44%	N/A	12/20/2023	Quarterly		(15,370	)		71,417			86,787
CDX.NA.HYS.31.V1-5Y		CITI	USD	4,025,000	5.00%	6.44%	N/A	12/20/2023	Quarterly		41,458			72,939			31,481
CMBX.NA.A.7		CGMI	USD	1,420,000	2.00%	7.03%	N/A	01/17/2047	Monthly		89,177			74,921			(14,256	)
CMBX.NA.A.7		GS	USD	2,840,000	2.00%	7.03%	N/A	01/17/2047	Monthly		156,358			149,842			(6,516	)
CMBX.NA.AA.7		GS	USD	5,000,000	1.50%	2.87%	N/A	01/17/2047	Monthly		7,975			73,619			65,644
CMBX.NA.AS.7		BOA	USD	4,505,000	1.00%	1.15%	N/A	01/17/2047	Monthly		47,352			7,358			(39,994	)
CMBX.NA.AS.7		DB	USD	7,608,000	1.00%	1.15%	N/A	01/17/2047	Monthly		(119,899	)		12,427			132,326
CMBX.NA.AS.7		DB	USD	16,677,794	1.00%	1.15%	N/A	01/17/2047	Monthly		197,705			27,242			(170,463	)
CMBX.NA.AS.7		GS	USD	4,400,000	1.00%	1.15%	N/A	01/17/2047	Monthly		112,812			7,187			(105,625	)
CMBX.NA.AS.7		MORD	USD	13,270,000	1.00%	1.15%	N/A	01/17/2047	Monthly		205,782			21,675			(184,107	)
CMBX.NA.AA.11		CGMI	USD	4,000,000	1.50%	1.75%	N/A	11/18/2054	Monthly		(6,041	)		45,090			51,131
CMBX.NA.AA.11		CGMI	USD	4,626,000	1.50%	1.75%	N/A	11/18/2054	Monthly		(63,740	)		52,146			115,886
CMBX.NA.AA.11		MORD	USD	4,624,500	1.50%	1.75%	N/A	11/18/2054	Monthly		(67,279	)		52,129			119,408
CMBX.NA.AA.11		MORD	USD	4,624,500	1.50%	1.75%	N/A	11/18/2054	Monthly		(61,371	)		52,129			113,500
CMBX.NA.BBB-.11		GS	USD	3,064,050	3.00%	6.00%	N/A	11/18/2054	Monthly		116,418			374,082			257,664
CMBX.NA.AA.8		CSI	USD	8,892,000	1.50%	1.54%	N/A	10/17/2057	Monthly		247,717			6,909			(240,808	)
CMBX.NA.AS.8		CGMI	USD	8,892,000	1.00%	0.99%	N/A	10/17/2057	Monthly		73,095			(2,441	)		(75,536	)
CMBX.NA.AS.8		MORD	USD	3,384,000	1.00%	0.99%	N/A	10/17/2057	Monthly		140,432			(929	)		(141,361	)
CMBX.NA.BBB-.8		GS	USD	1,444,000	3.00%	11.84%	N/A	10/17/2057	Monthly		216,864			228,294			11,430
CMBX.NA.BBB-.8		GS	USD	4,224,000	3.00%	11.84%	N/A	10/17/2057	Monthly		400,908			667,809			266,901
CMBX.NA.BBB-.9		CGMI	USD	425,200	3.00%	9.47%	N/A	09/17/2058	Monthly		118,565			70,219			(48,346	)
CMBX.NA.BBB-.9		CGMI	USD	1,500,000	3.00%	9.47%	N/A	09/17/2058	Monthly		175,119			247,716			72,597
CMBX.NA.BBB-.9		CGMI	USD	2,500,000	3.00%	9.47%	N/A	09/17/2058	Monthly		290,110			412,859			122,749
CMBX.NA.BBB-.9		DB	USD	4,263,000	3.00%	9.47%	N/A	09/17/2058	Monthly		517,160			704,008			186,848
CMBX.NA.BBB-.9		MORD	USD	5,116,800	3.00%	9.47%	N/A	09/17/2058	Monthly		584,727			845,008			260,281

41 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

OTC Credit Default Swaps — continued

Reference Entity	Counter- party	Notional Amount		Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CMBX.NA.AA.12	GS	USD	6,974,000	1.50%	1.84%		N/A	08/17/2061	Monthly		(61,732	)		121,121			182,853
CMBX.NA.BBB-.12	GS	USD	2,949,240	3.00%	5.99%		N/A	08/17/2061	Monthly		116,575			407,219			290,644
CMBX.NA.AA.6	GS	USD	4,703,648	1.50%	10.22%		N/A	05/11/2063	Monthly		34,885			70,362			35,477
CMBX.NA.BBB-.6	CGMI	USD	4,274,000	3.00%	140.23%		N/A	05/11/2063	Monthly		1,357,351			681,763			(675,588	)
CMBX.NA.BB.13	GS	USD	1,860,000	5.00%	10.02%		N/A	12/16/2072	Monthly		182,990			429,349			246,359
CMBX.NA.BB.14	GS	USD	1,360,000	5.00%	8.93%		N/A	12/16/2072	Monthly		75,915			270,970			195,055
CMBX.NA.BB.14	GS	USD	3,140,000	5.00%	8.93%		N/A	12/16/2072	Monthly		175,274			625,623			450,349
CMBX.NA.BB.14	MSCI	USD	4,235,000	5.00%	8.93%		N/A	12/16/2072	Monthly		427,602			843,794			416,192
CMBX.NA.BBB-.13	CGMI	USD	2,000,000	3.00%	5.99%		N/A	12/16/2072	Monthly		286,083			312,043			25,960
CMBX.NA.BBB-.13	GS	USD	273,500	3.00%	5.99%		N/A	12/16/2072	Monthly		16,840			42,672			25,832
CMBX.NA.BBB-.13	GS	USD	1,800,000	3.00%	5.99%		N/A	12/16/2072	Monthly		66,662			280,839			214,177
CMBX.NA.BBB-.13	MORD	USD	4,982,250	3.00%	5.99%		N/A	12/16/2072	Monthly		674,981			777,339			102,358
Sell Protection^:
CDX.NA.HYS.29.V1-5Y	BOA	USD	5,115,600	5.00%	0.28%		5,115,600 USD	12/20/2022	Quarterly		742,274			73,686			(668,588	)
CDX.NA.HYS.29.V1-5Y	MORD	USD	4,264,000	5.00%	0.28%		4,264,000 USD	12/20/2022	Quarterly		644,717			61,420			(583,297	)
CDX.NA.HYS.29.V6-5Y	CITI	USD	5,994,100	5.00%	0.28%		5,994,100 USD	12/20/2022	Quarterly		229,274			86,341			(142,933	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	2,866,000	5.00%	1.49%		1,187,000 USD	12/20/2023	Quarterly		293,765			128,667			(165,098	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	4,657,000	5.00%	1.49%		1,928,000 USD	12/20/2023	Quarterly		492,478			209,073			(283,405	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	8,050,000	5.00%	1.49%		3,560,000 USD	12/20/2023	Quarterly		539,350			361,400			(177,950	)
CDX.NA.HYS.33.V12-5Y	CITI	USD	10,598,036	5.00%	0.55%		4,388,727 USD	12/20/2024	Quarterly		1,827,631			1,026,194			(801,437	)
CDX.NA.HYS.33.V12-5Y	JPM	USD	10,394,872	5.00%	0.55%		10,394,872 USD	12/20/2024	Quarterly		1,704,759			1,006,522			(698,237	)
CDX.NA.HYS.33.V12-5Y	MORD	USD	2,800,896	5.00%	0.55%		2,800,895 USD	12/20/2024	Quarterly		482,034			271,207			(210,827	)
CDX.NA.HYS.33.V1-5Y	GS	USD	25,937,869	5.00%	0.55%		25,937,869 USD	12/20/2024	Quarterly		5,736,853			2,511,530			(3,225,323	)
CDX.NA.HYS.33.V3-5Y	CITI	USD	4,201,343	5.00%	0.55%		4,201,343 USD	12/20/2024	Quarterly		444,572			406,810			(37,762	)
CDX.NA.HYS.35	GS	USD	6,643,000	5.00%	2.70%		2,225,000 USD	12/20/2025	Quarterly		396,845			470,377			73,532
CDX.NA.HYS.35.V1-5Y	MSCI	USD	4,810,000	5.00%	6.00%		2,160,000 USD	12/20/2025	Quarterly		353,535			(142,460	)		(495,995	)
CDX.NA.HYS.37	GS	USD	33,720,000	5.00%	1.01%		11,125,000 USD	12/20/2026	Quarterly		6,308,637			5,063,207			(1,245,430	)
ITRAXX.XO.36 35	MSCI	EUR	33,560,000	5.00%	1.55%		13,350,000 EUR	12/20/2026	Quarterly		5,830,388			4,283,850			(1,546,538	)
CMBX.NA.A.9	CGMI	USD	2,500,000	2.00%	3.26%		1,112,500 USD	09/17/2058	Monthly		(74,374	)		(88,055	)		(13,681	)
CMBX.NA.A.9	GS	USD	4,158,800	2.00%	3.26%		4,158,800 USD	09/17/2058	Monthly		54,550			(146,481	)		(201,031	)
CMBX.NA.AAA.10	GS	USD	7,540,000	0.50%	0.51%		4,610,000 USD	11/17/2059	Monthly		68,960			(3,496	)		(72,456	)

See accompanying notes to the financial statements. 42

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

OTC Credit Default Swaps — continued

Reference Entity	Counter- party	Notional Amount		Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received) ($)	Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CMBX.NA.AAA.13	GS	USD	2,825,000	0.50%	0.70%	1,730,000 USD	12/16/2072	Monthly	6,410		(34,327	)		(40,737	)
									$31,195,362	$	24,435,341			$(6,760,021	)

^ Buy Protection - 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.

Sell Protection - 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.

⁽¹⁾  As of August 31, 2022, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

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

As of August 31, 2022, 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)  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. Investment valued using significant unobservable inputs (Note 2).

^(b)  Investment valued using significant unobservable inputs (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 securities sold short, 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 August 31, 2022.

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 46.

43 See accompanying notes to the financial statements.

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		100.0	%
Other		0.0^
		100.0	%

^ Rounds to 0.0%.

44

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		SHORT-TERM INVESTMENTS — 100.0%
		U.S. Government — 68.4%
	13,950,000	U.S. Treasury Note, 0.13%, due 01/31/23		13,774,535
	42,500,000	U.S. Treasury Note, 0.13%, due 03/31/23		41,741,309
	46,500,000	U.S. Treasury Note, 0.25%, due 06/15/23		45,359,297
	22,700,000	U.S. Treasury Note, 0.13%, due 08/15/23		21,987,965
	10,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 10/31/23		10,007,768
	57,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 2.83%, due 04/30/24		56,877,092
	25,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 07/31/24		24,966,872
		Total U.S. Government		214,714,838
		U.S. Government Agency — 17.5%
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 2.36%, due 11/10/22		5,000,323
	20,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 2.33%, due 11/25/22		20,000,278
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 2.32%, due 12/02/22		5,000,265
	15,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.04%, 2.32%, due 01/19/23		14,999,803
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.02%, 2.31%, due 03/15/23		4,998,999
	5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 2.32%, due 06/07/23		5,000,142
		Total U.S. Government Agency		54,999,810
		Repurchase Agreements — 14.0%
	4,016,163	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 08/31/22, maturing on 09/01/22 with a maturity value of $4,016,410 and an effective yield of 2.22%, collateralized by a U.S. Treasury Note with maturity date 01/31/23 and a market value of $4,098,125.		4,016,163
	40,071,832	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 08/31/22, maturing on 09/01/22 with a maturity value of $40,074,337 and an effective yield of 2.25%, collateralized by a U.S. Treasury Note with maturity date 01/31/23 and a market value of $40,889,625.		40,071,832
		Total Repurchase Agreements		44,087,995

Shares		Description	Value ($)
		Money Market Funds — 0.1%
	259,308	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 2.10% (a)		259,308
		TOTAL SHORT-TERM INVESTMENTS (COST $315,173,394)		314,061,951
		TOTAL INVESTMENTS — 100.0% (Cost $315,173,394)		314,061,951
		Other Assets and Liabilities (net) — (0.0)%		(94,518	)
		TOTAL NET ASSETS — 100.0%		$313,967,433

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 August 31, 2022.

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 46.

45 See accompanying notes to the financial statements.

GMO Trust Funds

August 31, 2022 (Unaudited)

Portfolio Abbreviations:

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

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

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

CDI - Certificado de Deposito Interbancario

CDOR - Canadian Dollar Offering Rate

CJSC - Closed Joint-Stock Company

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

EuroSTR - Euro Short-Term 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.

GDP - Gross Domestic Product

IO - Interest Only

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

MTA - Monthly Treasury Average Index

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OIS - Overnight Indexed Swaps

OJSC - Open Joint-Stock Company

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.

SARON - Swiss Average Rate Overnight

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

TBA - To Be Announced - Delayed Delivery Security

TONA - Tokyo Overnight Average Rate

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

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

The rates shown on variable rate notes are the current interest rates at August 31, 2022, which are subject to change based on the terms of the security.

Counterparty Abbreviations:
BCLY - Barclays Bank PLC	JPM - JPMorgan Chase Bank, N.A.
BOA - Bank of America, N.A.	MORD - Morgan Stanley Capital
CGMI - Citigroup Global Markets Inc.	Services LLC
CITI - Citibank N.A.	MSCI - Morgan Stanley & Co.
CSI - Credit Suisse International	International PLC
DB - Deutsche Bank AG	SSB - State Street Bank and Trust Company
GS - Goldman Sachs International
Currency Abbreviations:
AUD - Australian Dollar	MXN - Mexico Peso
BRL - Brazil Real	NOK - Norway Krone
CAD - Canada Dollar	NZD - New Zealand Dollar
CHF - Switzerland Franc	PEN - Peru Nuevo Sol
CLP - Chile Peso	PHP - Philippines Peso
COP - Colombia Peso	PLN - Poland Zloty
CZK - Czech Republic Koruna	RON - Romania New Leu
EUR - Euro	SEK - Sweden Krona
GBP - United Kingdom Pound	SGD - Singapore Dollar
HUF - Hungary Forint	THB - Thailand Baht
IDR - Indonesia Rupiah	TRY - Turkish Lira
ILS - Israel Shekel	TWD - Taiwan New Dollar
INR - Indian Rupee	USD - United States Dollar
JPY - Japan Yen	ZAR - South Africa Rand
KRW - Korean Won

See accompanying notes to the financial statements. 46

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited)

	Asset		Emerging
	Allocation		Country		High Yield
	Bond Fund		Debt Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	19	$	74,042,340	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		21,637,556		3,065,326,675		271,068,760
Repurchase agreements, at value (Note 2)(c)		—		—		42,082,870
Foreign currency, at value (Note 2)		—		1,031,541		—
Cash		—		6,081,938		—
Receivable for investments sold		—		15,867,268		—
Receivable for Fund shares sold		—		28,000,248		—
Receivable for closed swap contracts (Note 4)		—		938,404		—
Dividends and interest receivable		60,972		56,152,452		882,324
Unrealized appreciation on open forward currency contracts (Note 4)		—		14,293,886		1,520,979
Receivable for variation margin on open cleared swap contracts (Note 4)		—		1,273,845		—
Due from broker (Note 2)		—		39,917,380		10,173,538
Receivable for open OTC swap contracts (Note 4)		—		31,018,769		1,395,612
Interest receivable for open OTC swap contracts (Note 4)		—		98,660		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		11,506		—		—
Receivable for options (Note 4)(d)		—		278,953		—
Miscellaneous receivable		—		1,763		—
Total assets		21,710,053		3,334,324,122		327,124,083
Liabilities:
Payable for investments purchased		—		5,726,228		—
Payable for Fund shares repurchased		—		28,000,000		111,785
Payable for recoupment of past waived and/or reimbursed fees (Note 5)		—		—		3,544
Payable to affiliate for (Note 5):
Management fee		4,712		991,787		96,381
Shareholder service fee		1,037		271,349		15,146
Payable for variation margin on open futures contracts (Note 4)		—		—		27,454
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		10,372,605
Unrealized depreciation on open forward currency contracts (Note 4)		—		541,498		—
Interest payable for open OTC swap contracts (Note 4)		—		978,299		524,016
Payable for open OTC swap contracts (Note 4)		—		14,993,712		2,056,762
Payable for reverse repurchase agreements (Note 2)		—		1,602,491		—
Payable to Trustees and related expenses		475		25,323		478
Accrued expenses		59,968		467,281		64,199
Total liabilities		66,192		53,597,968		13,272,370
Net assets	$	21,643,861	$	3,280,726,154	$	313,851,713
(a)     Cost of investments – affiliated issuers:	$	19	$	74,296,430	$	—
(b)     Cost of investments – unaffiliated issuers:	$	23,791,890	$	4,506,126,260	$	275,355,877
(c)     Cost of investments – repurchase agreements:	$	—	$	—	$	42,082,870
(e)     Cost of foreign currency:	$	—	$	1,049,046	$	—
(d)     Premiums on options:	$	—	$	5,667,482	$	—

47 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited) — (Continued)

	Asset			Emerging
	Allocation			Country			High Yield
	Bond Fund			Debt Fund			Fund
Net assets consist of:
Paid-in capital	$	71,702,726		$	5,017,594,729		$	323,839,175
Distributable earnings (accumulated loss)		(50,058,865	)		(1,736,868,575	)		(9,987,462	)
	$	21,643,861		$	3,280,726,154		$	313,851,713
Net assets attributable to:
Class III	$	19,983		$	788,520,795		$	—
Class IV	$	—		$	1,326,691,955		$	—
Class VI	$	21,623,878		$	1,165,513,404		$	313,851,713
Shares outstanding:
Class III		937			42,400,868			—
Class IV		—			71,464,838			—
Class VI		1,018,298			62,803,782			18,133,567
Net asset value per share:
Class III	$	21.33		$	18.60		$	—
Class IV	$	—		$	18.56		$	—
Class VI	$	21.24		$	18.56		$	17.31

See accompanying notes to the financial statements. 48

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited) — (Continued)

	Multi-Sector		Opportunistic
	Fixed Income		Income		U.S. Treasury
	Fund		Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	28,569,875	$	10,894,379	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		93,897,049		907,196,784		269,973,956
Repurchase agreements, at value (Note 2)(c)		—		—		44,087,995
Cash		46		482,045		50
Receivable for investments sold		15,000,000		29,118,092		—
Receivable for Fund shares sold		—		463,589		—
Receivable for closed swap contracts (Note 4)		1,585		—		—
Dividends and interest receivable		367,517		3,543,703		370,890
Unrealized appreciation on open forward currency contracts (Note 4)		1,114,443		56,730		—
Receivable for variation margin on open cleared swap contracts (Note 4)		44,261		125,464		—
Due from broker (Note 2)		957,487		2,598,838		—
Receivable for variation margin on open futures contracts (Note 4)		—		27,264		—
Receivable for open OTC swap contracts (Note 4)		—		25,100,403		—
Interest receivable for open OTC swap contracts (Note 4)		—		1,646,070		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		28,742		35,541		9,551
Total assets		139,981,005		981,288,902		314,442,442
Liabilities:
Foreign currency due to custodian		84		—		—
Payable for investments purchased		28,667,734		26,489,624		—
Payable for Fund shares repurchased		—		632,409		—
Payable to affiliate for (Note 5):
Management fee		23,859		324,336		660
Shareholder service fee		9,893		94,210		—
Payable for variation margin on open futures contracts (Note 4)		30,688		—		—
Payable for closed swap contracts (Note 4)		1,169		—		—
Dividend payable		—		—		421,514
Unrealized depreciation on open forward currency contracts (Note 4)		705,180		—		—
Interest payable for open OTC swap contracts (Note 4)		—		365,844		—
Payable for open OTC swap contracts (Note 4)		—		665,062		—
Payable to Trustees and related expenses		1,284		5,386		1,477
Written options outstanding, at value (Note 4)(d)		—		257,692		—
Accrued expenses		109,196		153,676		51,358
Total liabilities		29,549,087		28,988,239		475,009
Net assets	$	110,431,918	$	952,300,663	$	313,967,433
(a)     Cost of investments – affiliated issuers:	$	32,367,720	$	11,003,541	$	—
(b)     Cost of investments – unaffiliated issuers:	$	98,607,322	$	996,536,515	$	271,085,399
(c)     Cost of investments – repurchase agreements:	$	—	$	—	$	44,087,995
(d)     Premiums on written options:	$	—	$	99,400	$	—

49 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited) — (Continued)

	Multi-Sector			Opportunistic
	Fixed Income			Income			U.S. Treasury
	Fund			Fund			Fund
Net assets consist of:
Paid-in capital	$	154,792,833		$	1,095,266,182		$	316,572,023
Distributable earnings (accumulated loss)		(44,360,915	)		(142,965,519	)		(2,604,590	)
	$	110,431,918		$	952,300,663		$	313,967,433
Net assets attributable to:
Core Class	$	—		$	—		$	313,967,433
Class III	$	8,041,863		$	4,799,452		$	—
Class IV	$	102,390,055		$	—		$	—
Class VI	$	—		$	338,642,815		$	—
Class R6	$	—		$	197,444,074		$	—
Class I	$	—		$	411,414,322		$	—
Shares outstanding:
Core Class		—			—			62,965,848
Class III		466,912			195,250			—
Class IV		5,916,170			—			—
Class VI		—			13,773,175			—
Class R6		—			8,058,632			—
Class I		—			16,767,333			—
Net asset value per share:
Core Class	$	—		$	—		$	4.99
Class III	$	17.22		$	24.58		$	—
Class IV	$	17.31		$	—		$	—
Class VI	$	—		$	24.59		$	—
Class R6	$	—		$	24.50		$	—
Class I	$	—		$	24.54		$	—

See accompanying notes to the financial statements. 50

GMO Trust Funds

Statements of Operations —Six Months Ended August 31, 2022 (Unaudited)

	Asset			Emerging
	Allocation			Country			High Yield
	Bond Fund			Debt Fund			Fund
Investment Income:
Interest	$	276,457		$	121,249,625		$	1,968,193
Dividends from unaffiliated issuers		374			62,540			18,795
Dividends from affiliated issuers (Note 10)		56			499,521			—
Other income		—			9,979			—
Total investment income		276,887			121,821,665			1,986,988
Expenses:
Management fee (Note 5)		33,713			6,091,304			410,747
Shareholder service fee – Class III (Note 5)		16			635,197			—
Shareholder service fee – Class IV (Note 5)		—			717,311			—
Shareholder service fee – Class VI (Note 5)		7,411			329,778			64,546
Audit and tax fees		40,848			69,000			34,592
Custodian, fund accounting agent and transfer agent fees		18,472			344,419			25,783
Legal fees		1,380			83,937			2,206
Registration fees		2,875			6,624			460
Trustees’ fees and related expenses (Note 5)		576			78,754			3,677
Interest expense (Note 2)		—			7,526			30
Miscellaneous		1,564			31,187			2,300
Total expenses		106,855			8,395,037			544,341
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(63,640	)		—			(3,190	)
Net expenses		43,215			8,395,037			541,151
Net investment income (loss)		233,672			113,426,628			1,445,837
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(1,690,721	)		(64,495,699	)		(7,394,140	)
Investments in affiliated issuers		(93	)		—			—
Futures contracts		—			—			(1,463,497	)
Options		—			(134,184	)		(813,785	)
Swap contracts		—			3,521,434			(4,885,040	)
Forward currency contracts		—			33,413,769			7,283,235
Foreign currency and foreign currency related transactions		—			(903,609	)		219,208
Net realized gain (loss)		(1,690,814	)		(28,598,289	)		(7,054,019	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,522,169	)		(495,747,845	)		(3,680,414	)
Investments in affiliated issuers		47			(296,763	)		—
Futures contracts		—			—			(461,978	)
Options		—			87,026			(82,597	)
Swap contracts		—			13,272,004			811,756
Forward currency contracts		—			9,510,892			1,302,580
Foreign currency and foreign currency related transactions		—			1,441,856			—
Net change in unrealized appreciation (depreciation)		(1,522,122	)		(471,732,830	)		(2,110,653	)
Net realized and unrealized gain (loss)		(3,212,936	)		(500,331,119	)		(9,164,672	)
Net increase (decrease) in net assets resulting from operations	$	(2,979,264	)	$	(386,904,491	)	$	(7,718,835	)

51 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations —Six Months Ended August 31, 2022 (Unaudited) — (Continued)

	Multi-Sector			Opportunistic
	Fixed Income Fund			Income Fund			U.S. Treasury Fund
Investment Income:
Interest	$	692,570		$	20,271,765		$	1,991,834
Dividends from affiliated issuers (Note 10)		310,755			73,498			—
Dividends from unaffiliated issuers		10,283			24,390			6,113
Total investment income		1,013,608			20,369,653			1,997,947
Expenses:
Management fee (Note 5)		145,777			1,967,930			116,632
Shareholder service fee – Class III (Note 5)		6,228			7,534			—
Shareholder service fee – Class IV (Note 5)		54,159			—			—
Shareholder service fee – Class VI (Note 5)		—			99,104			—
Shareholder service fee – Class R6 (Note 5)		—			141,965			—
Shareholder service fee – Class I (Note 5)		—			318,190			—
Audit and tax fees		40,572			56,856			16,744
Custodian, fund accounting agent and transfer agent fees		64,823			300,502			24,444
Legal fees		2,116			15,030			4,981
Registration fees		3,127			40,053			1,196
Trustees’ fees and related expenses (Note 5)		2,032			20,475			5,523
Interest expense (Note 2)		200			479			—
Miscellaneous		1,655			18,985			1,562
Total expenses		320,689			2,987,103			171,082
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(109,040	)		(219,930	)		(163,536	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(58,460	)		—			—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(8,213	)		—			—
Net expenses		144,976			2,767,173			7,546
Net investment income (loss)		868,632			17,602,480			1,990,401
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(7,718,027	)		(5,374,061	)		(760,103	)
Investments in affiliated issuers		(454,191	)		—			—
Realized gain distributions from affiliated issuers (Note 10)		357,581			—			—
Futures contracts		(3,509,771	)		3,339,163			—
Written options		—			2,026,399			—
Swap contracts		(495,963	)		234,137			—
Forward currency contracts		3,473,112			731,568			—
Foreign currency and foreign currency related transactions		98,723			105,369			—
Net realized gain (loss)		(8,248,536	)		1,062,575			(760,103	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,397,479	)		(36,103,636	)		(718,457	)
Investments in affiliated issuers		(1,192,073	)		(43,664	)		—
Futures contracts		(643,590	)		(131,531	)		—
Written options		—			(125,075	)		—
Swap contracts		432,184			1,174,046			—
Forward currency contracts		942,653			(16,766	)		—
Foreign currency and foreign currency related transactions		16,345			(19,187	)		—
Net change in unrealized appreciation (depreciation)		(2,841,960	)		(35,265,813	)		(718,457	)
Net realized and unrealized gain (loss)		(11,090,496	)		(34,203,238	)		(1,478,560	)
Net increase (decrease) in net assets resulting from operations	$	(10,221,864	)	$	(16,600,758	)	$	511,841

See accompanying notes to the financial statements. 52

GMO Trust Funds

Statements of Changes in Net Assets

	Asset								Emerging
	Allocation								Country
	Bond Fund								Debt Fund
	Six Months Ended								Six Months Ended
	August 31, 2022				Year Ended				August 31, 2022				Year Ended
	(Unaudited)				February 28, 2022				(Unaudited)				February 28, 2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	233,672			$	1,103,782			$	113,426,628			$	238,557,153
Net realized gain (loss)			(1,690,814	)			9,714,027				(28,598,289	)			42,391,923
Change in net unrealized appreciation (depreciation)			(1,522,122	)			(10,233,591	)			(471,732,830	)			(598,650,728	)
Net increase (decrease) in net assets from operations			(2,979,264	)			584,218				(386,904,491	)			(317,701,652	)
Distributions to shareholders:
Class III			—				(300,707	)			(20,788,846	)			(100,344,029	)
Class IV			—				—				(35,473,090	)			(220,289,705	)
Class VI			(157,978	)			(699,355	)			(31,025,553	)			(98,169,031	)*
Total distributions			(157,978	)			(1,000,062	)			(87,287,489	)			(418,802,765	)
Net share transactions (Note 9):
Class III			—				(62,140,074	)			(38,797,162	)			113,189,447
Class IV			—				—				(8,825,135	)			(1,395,160,087	)
Class VI			(13,237,673	)			(19,881,378	)			72,362,759				1,516,676,054	*
Increase (decrease) in net assets resulting from net share transactions			(13,237,673	)			(82,021,452	)			24,740,462				234,705,414
Purchase premiums and redemption fees (Notes 2 and 9):
Class III			—				—				386,427				678,088
Class IV			—				—				305,213				1,511,015
Class VI			—				—				269,423				605,125	*
Increase (decrease) in net assets resulting from purchase premiums and redemption fees			—				—				961,063				2,794,229
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees			(13,237,673	)			(82,021,452	)			25,701,525				237,499,642
Total increase (decrease) in net assets			(16,374,915	)			(82,437,296	)			(448,490,455	)			(499,004,775	)
Net assets:
Beginning of period			38,018,776				120,456,072				3,729,216,609				4,228,221,384
End of period		$	21,643,861			$	38,018,776			$	3,280,726,154			$	3,729,216,609

* Period from July 29, 2021 (commencement of operations) through February 28, 2022.

53 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

									Multi-Sector
	High Yield								Fixed Income
	Fund								Fund
	Six Months Ended								Six Months Ended
	August 31, 2022				Year Ended				August 31, 2022				Year Ended
	(Unaudited)				February 28, 2022				(Unaudited)				February 28, 2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	1,445,837			$	986,956			$	868,632			$	2,405,102
Net realized gain (loss)			(7,054,019	)			4,454,786				(8,248,536	)			(1,528,423	)
Change in net unrealized appreciation (depreciation)			(2,110,653	)			(3,881,686	)			(2,841,960	)			(5,325,792	)
Net increase (decrease) in net assets from operations			(7,718,835	)			1,560,056				(10,221,864	)			(4,449,113	)
Distributions to shareholders:
Class III			—				—				—				(771,747	)
Class IV			—				—				—				(4,376,860	)
Class VI			(620,033	)			(11,979,726	)			—				—
Total distributions			(620,033	)			(11,979,726	)			—				(5,148,607	)
Net share transactions (Note 9):
Class III			—				—				(4,800	)			(22,088,583	)
Class IV			—				—				(4,321,577	)			(8,797,990	)
Class VI			237,604,360				460,560				—				—
Increase (decrease) in net assets resulting from net share transactions			237,604,360				460,560				(4,326,377	)			(30,886,573	)
Total increase (decrease) in net assets			229,265,492				(9,959,110	)			(14,548,241	)			(40,484,293	)
Net assets:
Beginning of period			84,586,221				94,545,331				124,980,159				165,464,452
End of period		$	313,851,713			$	84,586,221			$	110,431,918			$	124,980,159

See accompanying notes to the financial statements. 54

GMO Trust Funds

Statements of Changes in Net Assets — (Continued)

	Opportunistic
	Income								U.S. Treasury
	Fund								Fund
	Six Months Ended								Six Months Ended
	August 31, 2022				Year Ended				August 31, 2022				Year Ended
	(Unaudited)				February 28, 2022				(Unaudited)				February 28, 2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	17,602,480			$	30,121,595			$	1,990,401			$	400,559
Net realized gain (loss)			1,062,575				7,063,562				(760,103	)			(591,117	)
Change in net unrealized appreciation (depreciation)			(35,265,813	)			(28,564,681	)			(718,457	)			(560,101	)
Net increase (decrease) in net assets from operations			(16,600,758	)			8,620,476				511,841				(750,659	)
Distributions to shareholders:
Core Class			—				—				(1,990,820	)			(700,751	)
Class III			(213,391	)			(224,578	)*			—				—
Class VI			(8,074,012	)			(8,572,000	)			—				—
Class R6			(4,345,199	)			(2,592,002	)**			—				—
Class I			(8,906,631	)			(8,435,870	)			—				—
Total distributions			(21,539,233	)			(19,824,450	)			(1,990,820	)			(700,751	)
Net share transactions (Note 9):
Core Class			—				—				57,680,094				(123,236,970	)
Class III			(7,034,918	)			12,503,177	*			—				—
Class VI			(22,429,866	)			(98,588,215	)			—				—
Class R6			51,854,533				155,415,258	**			—				—
Class I			(15,826,255	)			31,143,682				—				—
Increase (decrease) in net assets resulting from net share transactions			6,563,494				100,473,902				57,680,094				(123,236,970	)
Total increase (decrease) in net assets			(31,576,497	)			89,269,928				56,201,115				(124,688,380	)
Net assets:
Beginning of period			983,877,160				894,607,232				257,766,318				382,454,698
End of period		$	952,300,663			$	983,877,160			$	313,967,433			$	257,766,318

* Period from July 21, 2021 (commencement of operations) through December 28, 2021, when all outstanding shares of the class were redeemed, and February 1, 2022, when the class recommenced operations, to February 28, 2022.

** Period from May 19, 2021 (commencement of operations) through February 28, 2022.

55 See accompanying notes to the financial statements.

GMO Trust Funds

Statement of Cash Flows —Six Months Ended August 31, 2022

	Emerging
	Country
	Debt Fund
	(Unaudited)
Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$	(386,904,491	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Net change in unrealized (appreciation) depreciation		471,732,830
Net realized (gain) loss		28,598,289
Cost of purchase of investments held long		(580,198,236	)
Proceeds from sale of investments held long		483,806,447
Net accretion of discount and amortization of premium		(18,303,923	)
Short-term investments, net		43,951,104
Cash flows related to derivative transactions:
Swap contracts		8,733,588
Forward currency contracts		33,413,769
Foreign currency and foreign currency related transactions		538,247
Change in assets and liabilities:
(Increase) decrease in due from broker		(727,064	)
(Increase) decrease in dividends and interest receivable		8,082,770
(Increase) decrease in interest receivable for open OTC swap contracts		21,704
(Increase) decrease in receivable for closed swap contracts		(938,404	)
(Increase) decrease in miscellaneous receivable		165,404
Increase (decrease) in payable to affiliate for:
Management fee		(76,511	)
Shareholder service fee		(25,530	)
Increase (decrease) in payable to Trustees and related expenses		10,498
Increase (decrease) in interest payable for OTC swap contracts		227,044
Increase (decrease) in accrued expenses		(111,181	)
Net cash provided by (used in) operating activities		91,996,354
Cash flows from financing activities:
Proceeds from shares sold		110,106,200
Shares repurchased		(185,630,822	)
Cash distributions paid		(8,673,477	)
Purchase premiums and redemption fees		961,063
Increase (decrease) in payable for reverse repurchase agreements		(4,743,511	)
Net cash provided by (used in) financing activities		(87,980,547	)
Net increase (decrease) in cash		4,015,807
Cash, beginning of period		3,097,672
Cash, end of period	$	7,113,479

See accompanying notes to the financial statements. 56

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND

	Class III Shares
	Six Months Ended August 31,
	2022				Year Ended February 28/29,
	(Unaudited)				2022			2021			2020			2019			2018
Net asset value, beginning of period		$	23.48		$	23.82		$	22.66		$	21.61		$	21.95		$	22.15
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.18			0.41			0.26			0.55			0.54			0.33
Net realized and unrealized gain (loss)			(2.33	)		(0.36	)		1.18			1.52			0.18			(0.31	)
Total from investment operations			(2.15	)		0.05			1.44			2.07			0.72			0.02
Less distributions to shareholders:
From net investment income			—			(0.39	)		(0.28	)		(1.02	)		(1.06	)		(0.22	)
Total distributions			—			(0.39	)		(0.28	)		(1.02	)		(1.06	)		(0.22	)
Net asset value, end of period		$	21.33		$	23.48		$	23.82		$	22.66		$	21.61		$	21.95
Total Return(b)			(9.16	)%**		0.16	%		6.33	%		9.74	%		3.37	%		0.07	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	20		$	22		$	61,836		$	41,124		$	82,801		$	207,008
Net operating expenses to average daily net assets			0.42	%(c) *		0.41	%(c)		0.41	%(c)		0.40	%(c)		0.41	%(c)		0.41	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			—			—			—			0.00	%(e)		0.00	%(e)		0.00	%(e)
Total net expenses to average daily net assets			0.42	%(c) *		0.41	%(c)		0.41	%(c)		0.40	%(c)		0.41	%(c)		0.41	%
Net investment income (loss) to average daily net assets(a)			1.66	%*		1.68	%		1.11	%		2.49	%		2.48	%		1.50	%
Portfolio turnover rate			41	%(f) **		209	%(f)		30	%(f)		16	%(f)		59	%(f)		89	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.48	%*		0.16	%(g)		0.08	%(g)		0.06	%(g)		0.04	%		0.02	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(e)  Rounds to less than 0.01%.

^(f)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolio turnover rate including transactions in USTF	41%	206%	39%	37%	88%	N/A

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

57 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND (continued)

	Class VI Shares
	Six Months Ended August 31,
	2022				Year Ended February 28/29,
	(Unaudited)				2022			2021			2020			2019			2018
Net asset value, beginning of period		$	23.52		$	23.88		$	22.72		$	21.67		$	22.02		$	22.23
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.19			0.39			0.27			0.56			0.57			0.36
Net realized and unrealized gain (loss)			(2.32	)		(0.31	)		1.18			1.53			0.18			(0.33	)
Total from investment operations			(2.13	)		0.08			1.45			2.09			0.75			0.03
Less distributions to shareholders:
From net investment income			(0.15	)		(0.44	)		(0.29	)		(1.04	)		(1.10	)		(0.24	)
Total distributions			(0.15	)		(0.44	)		(0.29	)		(1.04	)		(1.10	)		(0.24	)
Net asset value, end of period		$	21.24		$	23.52		$	23.88		$	22.72		$	21.67		$	22.02
Total Return(b)			(9.09	)%**		0.26	%		6.39	%		9.83	%		3.48	%		0.12	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	21,624		$	37,997		$	58,621		$	192,410		$	305,842		$	1,019,135
Net operating expenses to average daily net assets			0.32	%*		0.31	%(c)		0.31	%(c)		0.31	%(c)		0.31	%(c)		0.31	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			—			—			—			0.00	%(e)		0.00	%(e)		0.00	%(e)
Total net expenses to average daily net assets			0.32	%*		0.31	%(c)		0.31	%(c)		0.31	%(c)		0.31	%(c)		0.31	%
Net investment income (loss) to average daily net assets(a)			1.73	%*		1.60	%		1.15	%		2.49	%		2.57	%		1.59	%
Portfolio turnover rate			41	%(f) **		209	%(f)		30	%(f)		16	%(f)		59	%(f)		89	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.47	%*		0.17	%(g)		0.08	%(g)		0.06	%(g)		0.04	%		0.02	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(e)  Rounds to less than 0.01%.

^(f)  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 including transactions in USTF during the year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolio turnover rate including transactions in USTF	41%	206%	39%	37%	88%	N/A

^(g)  Ratio includes 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. 58

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND

	Class III Shares
	Six Months Ended August 31,
	2022				Year Ended February 28/29,
	(Unaudited)				2022			2021			2020			2019			2018
Net asset value, beginning of period		$	21.34		$	25.54		$	27.38		$	26.82		$	28.62		$	28.99
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.64			1.42			1.56			1.44			1.36			1.36
Net realized and unrealized gain (loss)			(2.88	)		(3.16	)		(0.85	)		0.91			(1.19	)		0.32
Total from investment operations			(2.24	)		(1.74	)		0.71			2.35			0.17			1.68
Less distributions to shareholders:
From net investment income			(0.50	)		(1.82	)		(1.93	)		(1.79	)		(1.97	)		(2.05	)
From net realized gains			—			(0.64	)		(0.62	)		—			—			—
Total distributions			(0.50	)		(2.46	)		(2.55	)		(1.79	)		(1.97	)		(2.05	)
Net asset value, end of period		$	18.60		$	21.34		$	25.54		$	27.38		$	26.82		$	28.62
Total Return(b)			(10.45	)%**		(7.83	)%		2.67	%		8.97	%		0.97	%		5.81	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	788,521		$	942,565		$	1,010,106		$	1,133,945		$	1,294,577		$	1,273,188
Net operating expenses to average daily net assets(c)			0.54	%*		0.53	%		0.54	%		0.53	%		0.52	%		0.53	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.00	%(e) *		—			0.00	%(e)		0.01	%		0.02	%		0.00	%(e)
Total net expenses to average daily net assets(c)			0.54	%*		0.53	%		0.54	%		0.54	%		0.54	%		0.53	%
Net investment income (loss) to average daily net assets(a)			6.46	%*		5.62	%		6.02	%		5.23	%		4.99	%		4.57	%
Portfolio turnover rate(f)			13	%**		34	%		56	%		41	%		15	%		34	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—			0.00	%(e) (g)		0.00	%(e) (g)		0.00	%(e) (g)		0.00	%(e) (g)		0.00	%(e) (g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.01		$	0.02		$	0.03		$	0.03		$	0.03		$	0.03

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(e)  Rounds to less than 0.01%.

^(f)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolio turnover rate including transactions in USTF	13%	33%	55%	40%	15%	33%

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

59 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND (continued)

	Class IV Shares
	Six Months Ended August 31,
	2022				Year Ended February 28/29,
	(Unaudited)				2022			2021			2020			2019			2018
Net asset value, beginning of period		$	21.30		$	25.50		$	27.34		$	26.77		$	28.57		$	28.95
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.65			1.41			1.39			1.43			1.37			1.39
Net realized and unrealized gain (loss)			(2.89	)		(3.14	)		(0.66	)		0.94			(1.19	)		0.29
Total from investment operations			(2.24	)		(1.73	)		0.73			2.37			0.18			1.68
Less distributions to shareholders:
From net investment income			(0.50	)		(1.83	)		(1.95	)		(1.80	)		(1.98	)		(2.06	)
From net realized gains			—			(0.64	)		(0.62	)		—			—			—
Total distributions			(0.50	)		(2.47	)		(2.57	)		(1.80	)		(1.98	)		(2.06	)
Net asset value, end of period		$	18.56		$	21.30		$	25.50		$	27.34		$	26.77		$	28.57
Total Return(b)			(10.45	)%**		(7.82	)%		2.73	%		9.08	%		1.02	%		5.83	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,326,692		$	1,531,528		$	3,218,116		$	3,219,098		$	2,849,316		$	2,862,977
Net operating expenses to average daily net assets(c)			0.49	%*		0.48	%		0.49	%		0.48	%		0.47	%		0.48	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.00	%(e) *		—			0.00	%(e)		0.01	%		0.02	%		0.00	%(e)
Total net expenses to average daily net assets(c)			0.49	%*		0.48	%		0.49	%		0.49	%		0.49	%		0.48	%
Net investment income (loss) to average daily net assets(a)			6.51	%*		5.56	%		5.38	%		5.22	%		5.04	%		4.67	%
Portfolio turnover rate(f)			13	%**		34	%		56	%		41	%		15	%		34	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—			0.00	%(e) (g)		0.00	%(e) (g)		0.00	%(e) (g)		0.00	%(e) (g)		0.00	%(e) (g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(h)	$	0.02		$	0.03		$	0.03		$	0.03		$	0.03

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(e)  Rounds to less than 0.01%.

^(f)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolio turnover rate including transactions in USTF	13%	33%	55%	40%	15%	33%

^(g)  Ratio includes indirect fees waived or borne by GMO. (h) Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 60

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2022 (Unaudited)				Period from July 29, 2021 (commencement of operations) through February 28, 2022
Net asset value, beginning of period		$	21.30			$	25.89
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.65				0.77
Net realized and unrealized gain (loss)			(2.88	)			(3.60	)
Total from investment operations			(2.23	)			(2.83	)
Less distributions to shareholders:
From net investment income			(0.51	)			(1.55	)
From net realized gains			—				(0.21	)
Total distributions			(0.51	)			(1.76	)
Net asset value, end of period		$	18.56			$	21.30
Total Return(b)			(10.43	)%**			(11.63	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,165,513			$	1,255,123
Net operating expenses to average daily net assets(c)			0.44	%*			0.43	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.00	%(e) *			—
Total net expenses to average daily net assets(c)			0.44	%*			0.43	%*
Net investment income (loss) to average daily net assets(a)			6.56	%*			5.35	%*
Portfolio turnover rate(f)			13	%**			34	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			—				0.00	%(e) (g) *
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.00	(h)		$	0.01

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(e)  Rounds to less than 0.01%.

^(f)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022
Portfolio turnover rate including transactions in USTF	13%	33%

^(g)  Ratio includes indirect fees waived or borne by GMO.

^(h)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

61 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

HIGH YIELD FUND

	Class VI Shares
	Six Months Ended August 31, 2022				Year Ended February 28/29,									Period from June 25, 2018 (commencement of operations) through February 28,
	(Unaudited)				2022			2021			2020			2019
Net asset value, beginning of period		$	18.61		$	20.90		$	19.94		$	20.21			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.11			0.21			0.64			0.48				0.27
Net realized and unrealized gain (loss)			(1.38	)		0.13			0.77			0.82				0.71
Total from investment operations			(1.27	)		0.34			1.41			1.30				0.98
Less distributions to shareholders:
From net investment income			—			(0.68	)		(0.40	)		(1.57	)			(0.61	)
From net realized gains			(0.03	)		(1.95	)		(0.05	)		—				(0.16	)
Total distributions			(0.03	)		(2.63	)		(0.45	)		(1.57	)			(0.77	)
Net asset value, end of period		$	17.31		$	18.61		$	20.90		$	19.94			$	20.21
Total Return(b)			(6.81	)%**		1.35	%		7.21	%		6.40	%			5.07	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	313,852		$	84,586		$	94,545		$	161,449			$	212,762
Net operating expenses to average daily net assets(c)			0.46	%*		0.51	%		0.52	%(d)		0.52	%(d)			0.51	%(d) *
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.00	%(f) *		0.00	%(f)		0.00	%(f)		0.03	%			0.04	%*
Total net expenses to average daily net assets(c)			0.46	%*		0.51	%		0.52	%(d)		0.55	%(d)			0.55	%(d) *
Net investment income (loss) to average daily net assets(a)			1.23	%*		1.05	%		3.23	%		2.34	%			2.00	%*
Portfolio turnover rate(g)			19	%**		98	%		288	%		105	%			81	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.00	%(f) *		0.03	%		0.00	%(f) (h)		0.00	%(f) (h)			0.12	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  Includes recoupment of past reimbursed and/or waived fees (Note 5 ).

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

^(f)  Rounds to less than 0.01%.

^(g)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	N/A	N/A	317%	214%	159%

^(h)  Ratio includes 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. 62

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

MULTI-SECTOR FIXED INCOME FUND

	Class III Shares
	Six Months Ended August 31,
	2022				Year Ended February 28/29,
	(Unaudited)				2022			2021			2020			2019			2018
Net asset value, beginning of period		$	18.84		$	20.13		$	22.19		$	20.88		$	20.93		$	21.10
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.13			0.27			0.43			0.53			0.51			0.41
Net realized and unrealized gain (loss)			(1.75	)		(0.99	)		(0.24	)(b)		2.01			0.49			(0.06	)
Total from investment operations			(1.62	)		(0.72	)		0.19			2.54			1.00			0.35
Less distributions to shareholders:
From net investment income			—			—			(0.93	)		(0.64	)		(1.05	)		(0.52	)
From net realized gains			—			(0.57	)		(1.32	)		(0.59	)		—			—
Total distributions			—			(0.57	)		(2.25	)		(1.23	)		(1.05	)		(0.52	)
Net asset value, end of period		$	17.22		$	18.84		$	20.13		$	22.19		$	20.88		$	20.93
Total Return(c)			(8.60	)%**		(3.74	)%		0.59	%		12.38	%		4.88	%		1.61	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	8,042		$	8,803		$	31,602		$	80,639		$	84,163		$	34,641
Net operating expenses to average daily net assets(d)			0.29	%*		0.31	%		0.30	%		0.29	%		0.29	%		0.29	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.00	%(f) *		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)
Total net expenses to average daily net assets(d)			0.29	%*		0.31	%		0.30	%		0.29	%		0.29	%		0.29	%
Net investment income (loss) to average daily net assets(a)			1.43	%*		1.33	%		1.98	%		2.43	%		2.41	%		1.91	%
Portfolio turnover rate(g)			191	%**		256	%		262	%		215	%		201	%		198	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)			0.30	%*		0.24	%		0.19	%		0.16	%		0.16	%		0.14	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

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

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

^(f)  Rounds to less than 0.01%.

^(g)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolio turnover rate including transactions in USTF	N/A	263%	335%	285%	250%	221%

^(h)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

63 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

MULTI-SECTOR FIXED INCOME FUND (continued)

	Class IV Shares
	Six Months Ended August 31,
	2022				Year Ended February 28/29,
	(Unaudited)				2022			2021			2020			2019			2018
Net asset value, beginning of period		$	18.93		$	20.20		$	22.26		$	20.94		$	20.98		$	21.15
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.13			0.28			0.35			0.54			0.48			0.46
Net realized and unrealized gain (loss)			(1.75	)		(0.98	)		(0.16	)(b)		2.02			0.53			(0.10	)
Total from investment operations			(1.62	)		(0.70	)		0.19			2.56			1.01			0.36
Less distributions to shareholders:
From net investment income			—			—			(0.93	)		(0.65	)		(1.05	)		(0.53	)
From net realized gains			—			(0.57	)		(1.32	)		(0.59	)		—			—
Total distributions			—			(0.57	)		(2.25	)		(1.24	)		(1.05	)		(0.53	)
Net asset value, end of period		$	17.31		$	18.93		$	20.20		$	22.26		$	20.94		$	20.98
Total Return(c)			(8.56	)%**		(3.63	)%		0.59	%		12.44	%		4.93	%		1.68	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	102,390		$	116,178		$	133,862		$	449,655		$	580,456		$	920,637
Net operating expenses to average daily net assets(d)			0.25	%*		0.25	%		0.24	%		0.24	%		0.24	%		0.24	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.00	%(f) *		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)
Total net expenses to average daily net assets(d)			0.25	%*		0.25	%		0.24	%		0.24	%		0.24	%		0.24	%
Net investment income (loss) to average daily net assets(a)			1.49	%*		1.39	%		1.57	%		2.47	%		2.29	%		2.14	%
Portfolio turnover rate(g)			191	%**		256	%		262	%		215	%		201	%		198	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)			0.30	%*		0.25	%		0.19	%		0.16	%		0.15	%		0.14	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

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

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

^(f)  Rounds to less than 0.01%.

^(g)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolio turnover rate including transactions in USTF	N/A	263%	335%	285%	250%	221%

^(h)  Ratio includes 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. 64

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND

	Class III Shares
	Six Months Ended August 31, 2022				Period from February 1, 2022 (commencement of operations) through February 28,				Period from July 21, 2021 (commencement of operations) through December 28,
	(Unaudited)				2022				2021
Net asset value, beginning of period		$	25.56			$	25.66			$	25.88
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.44				0.07				0.44
Net realized and unrealized gain (loss)			(0.87	)			(0.17	)			(0.33	)
Total from investment operations			(0.43	)			(0.10	)			0.11
Less distributions to shareholders:
From net investment income			(0.18	)			—				(0.42	)
From net realized gains			(0.37	)			—				—
Total distributions			(0.55	)			—				(0.42	)
Net asset value, end of period		$	24.58			$	25.56			$	25.57
Total Return(b)			(1.69	%)**			(0.39	%)**			0.43	%*
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4,799			$	12,281			$	13,847
Net operating expenses to average daily net assets(c)			0.56	%*			0.70	%*			0.56	%*
Interest and/or dividend expenses to average daily net assets(d)			0.00	%(e) *			0.00	%(e) *			0.00	%(e) *
Total net expenses to average daily net assets(c)			0.56	%*			0.70	%*			0.56	%*
Net investment income (loss) to average daily net assets(a)			3.45	%*			3.92	%*			3.84	%*
Portfolio turnover rate(f)			39	%**			95	%**			95	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.08	%*			0.04	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(e)  Rounds to less than 0.01%.

^(f)  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 including transactions in USTF during the year ended:

	August 31, 2022	February 28, 2022	February 28, 2021
Portfolio turnover rate including transactions in USTF	39%	94%	45%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

65 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (continued)

	Class VI Shares
	Six Months Ended August 31,
	2022				Year Ended February 28/29,
	(Unaudited)				2022			2021			2020			2019			2018
Net asset value, beginning of period		$	25.56		$	25.84		$	26.15		$	26.21		$	26.41		$	25.78
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.46			0.81			1.06			1.46			1.32			1.15
Net realized and unrealized gain (loss)			(0.87	)		(0.55	)		(0.31	)		(0.06	)		(0.38	)		0.18
Total from investment operations			(0.41	)		0.26			0.75			1.40			0.94			1.33
Less distributions to shareholders:
From net investment income			(0.19	)		(0.54	)		(1.06	)		(1.46	)		(1.14	)		(0.70	)
From net realized gains			(0.37	)		—			—			—			—			—
Total distributions			(0.56	)		(0.54	)		(1.06	)		(1.46	)		(1.14	)		(0.70	)
Net asset value, end of period		$	24.59		$	25.56		$	25.84		$	26.15		$	26.21		$	26.41
Total Return(b)			(1.62	)%**		1.00	%		2.95	%		5.45	%		3.58	%		5.18	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	338,643		$	375,117		$	477,457		$	825,876		$	1,001,146		$	1,205,954
Net operating expenses to average daily net assets(c)			0.46	%*		0.47	%		0.47	%		0.47	%		0.49	%		0.47	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.00	%(e) *		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)
Total net expenses to average daily net assets(c)			0.46	%*		0.47	%		0.47	%		0.47	%		0.49	%		0.47	%
Net investment income (loss) to average daily net assets(a)			3.67	%*		3.13	%		4.12	%		5.50	%		4.99	%		4.39	%
Portfolio turnover rate(f)			39	%**		95	%		43	%		47	%		75	%		152	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*		0.05	%(g)		0.05	%(g)		0.04	%(g)		0.04	%		0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—		$	—		$	—		$	0.01		$	0.05		$	0.04

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(e)  Rounds to less than 0.01%.

^(f)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolio turnover rate including transactions in USTF	39%	94%	45%	48%	83%	175%

^(g)  Ratio includes 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. 66

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2022				Period from May 19, 2021 (commencement of operations) through February 28,
	(Unaudited)				2022
Net asset value, beginning of period		$	25.48			$	25.86
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.45				0.67
Net realized and unrealized gain (loss)			(0.88	)			(0.51	)
Total from investment operations			(0.43	)			0.16
Less distributions to shareholders:
From net investment income			(0.18	)			(0.54	)
From net realized gains			(0.37	)			—
Total distributions			(0.55	)			(0.54	)
Net asset value, end of period		$	24.50			$	25.48
Total Return(b)			(1.70	)%**			0.62	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	197,444			$	152,877
Net operating expenses to average daily net assets(c)			0.56	%*			0.58	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.00	%(e) *			0.00	%(e) *
Total net expenses to average daily net assets(c)			0.56	%*			0.58	%*
Net investment income (loss) to average daily net assets(a)			3.61	%*			3.29	%*
Portfolio turnover rate(f)			39	%**			95	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.05	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(e)  Rounds to less than 0.01%.

^(f)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022
Portfolio turnover rate including transactions in USTF	39%	94%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

67 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022				Year Ended February 28,						Period from November 5, 2019 (commencement of operations) through February 29,
	(Unaudited)				2022			2021			2020
Net asset value, beginning of period		$	25.51		$	25.80		$	26.12			$	26.85
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.44			0.77			0.89				0.54
Net realized and unrealized gain (loss)			(0.87	)		(0.57	)		(0.18	)			(0.08	)
Total from investment operations			(0.43	)		0.20			0.71				0.46
Less distributions to shareholders:
From net investment income			(0.17	)		(0.49	)		(1.03	)			(1.19	)
From net realized gains			(0.37	)		—			—				—
Total distributions			(0.54	)		(0.49	)		(1.03	)			(1.19	)
Net asset value, end of period		$	24.54		$	25.51		$	25.80			$	26.12
Total Return(b)			(1.70	)%**		0.77	%		2.79	%			1.80	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	411,414		$	443,602		$	417,150			$	22,684
Net operating expenses to average daily net assets(c)			0.65	%*		0.67	%		0.68	%			0.66	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.00	%(e) *		0.00	%(e)		0.00	%(e)			0.00	%(e) *
Total net expenses to average daily net assets(c)			0.65	%*		0.67	%		0.68	%			0.66	%*
Net investment income (loss) to average daily net assets(a)			3.49	%*		2.97	%		3.47	%			6.55	%*
Portfolio turnover rate(f)			39	%**		95	%		43	%			47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*		0.05	%(g)		0.07	%(g)			0.07	%(g) *

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(e)  Rounds to less than 0.01%.

^(f)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020
Portfolio turnover rate including transactions in USTF	39%	94%	45%	48%

^(g)  Ratio includes 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. 68

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. TREASURY FUND

	Core Shares
	Six Months Ended August 31,
	2022				Year Ended February 28/29,
	(Unaudited)				2022			2021			2020			2019(a)			2018(a)
Net asset value, beginning of period		$	5.01		$	5.04		$	5.02		$	5.00		$	5.00		$	5.01
Income (loss) from investment operations:
Net investment income (loss)†			0.03			0.01			0.01			0.10			0.10			0.05
Net realized and unrealized gain (loss)			(0.02	)		(0.04	)		0.02			0.02			0.01			(0.01	)
Total from investment operations			0.01			(0.03	)		0.03			0.12			0.11			0.04
Less distributions to shareholders:
From net investment income			(0.03	)		(0.00	)(b)		(0.01	)		(0.10	)		(0.11	)		(0.05	)
From net realized gains			—			(0.00	)(b)		(0.00	)(b)		—			—			—
Total distributions			(0.03	)		(0.00	)(b)		(0.01	)		(0.10	)		(0.11	)		(0.05	)
Net asset value, end of period		$	4.99		$	5.01		$	5.04		$	5.02		$	5.00		$	5.00
Total Return(c)			0.27	%**		(0.37	)%		0.63	%		2.47	%		2.16	%		0.96	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	313,967		$	257,766		$	382,455		$	222,762		$	635,777		$	2,324,706
Net expenses to average daily net assets			0.01	%*		0.02	%		0.08	%		0.06	%		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets			1.37	%*		0.13	%		0.20	%		2.03	%		1.97	%		1.06	%
Portfolio turnover rate(e)			0	%**		0	%		0	%		0	%		0	%		0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.11	%*		0.10	%		0.03	%		0.05	%		0.10	%		0.09	%

^(a)  Per share amounts were adjusted to reflect an approximate 5 for 1 stock split effective December 6, 2018.

^(b)  Rounds to less than $0.01.

^(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)  Rounds to less than 0.01%.

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

69 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2022 (Unaudited)

1. Organization

Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income Fund, Opportunistic Income 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 financial statements are available without charge on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

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

Fund Name	Benchmark	Investment Objective
Asset Allocation Bond Fund	FTSE 3-Month Treasury Bill Index	Total return in excess of benchmark
Emerging Country Debt Fund	J.P. Morgan EMBI Global Diversified	Total return in excess of benchmark
High Yield Fund	Markit iBoxx USD Liquid High Yield Index	Total return in excess of benchmark
Multi-Sector Fixed Income Fund	Bloomberg U.S. Aggregate Index	Total return in excess of benchmark
Opportunistic Income 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 currently limits subscriptions.

2. Significant accounting policies

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

Portfolio valuation

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates 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 source) 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.

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 that 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 when a Fund calculates its net asset

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value, the 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.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before 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. 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).

“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 when a Fund calculates its net asset value, 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.

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 fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2022, 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.

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.

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; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity

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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 may be 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; certain investment funds valued at cost; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price and potential litigation recoveries and interests related to bankruptcy proceedings.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2022:

Description	Level 1		Level 2		Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	21,455,938	$	—	$	—	$	21,455,938
TOTAL DEBT OBLIGATIONS		21,455,938		—		—		21,455,938
Mutual Funds		19		—		—		19
Short-Term Investments		181,618		—		—		181,618
Total Investments		21,637,575		—		—		21,637,575
Total	$	21,637,575	$	—	$	—	$	21,637,575
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	10,001,072	$	—	$	10,001,072
Corporate Debt		—		164,298,035		18,555,640		182,853,675
Sovereign and Sovereign Agency Issuers		—		2,348,736,863		261,641,441		2,610,378,304
U.S. Government		157,834,665		—		—		157,834,665
TOTAL DEBT OBLIGATIONS		157,834,665		2,523,035,970		280,197,081		2,961,067,716
Loan Assignments		—		—		44,453,530		44,453,530
Loan Participations		—		—		25,053,057		25,053,057
Investment Funds		—		—		8,228,574		8,228,574
Mutual Funds		74,042,340		—		—		74,042,340
Rights/Warrants		—		2,273,053		4,351,782		6,624,835
Short-Term Investments		19,898,963		—		—		19,898,963
Total Investments		251,775,968		2,525,309,023		362,284,024		3,139,369,015
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		14,293,886		—		14,293,886
Options
Credit Risk		—		—		278,953		278,953

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Description	Level 1			Level 2			Level 3		Total
Emerging Country Debt Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^ (continued)
Swap Contracts
Credit Risk	$	—		$	51,395,762		$	—	$	51,395,762
Interest Rate Risk		—			5,481,422			—		5,481,422
Total	$	251,775,968		$	2,596,480,093		$	362,562,977	$	3,210,819,038
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(541,498	)	$	—	$	(541,498	)
Swap Contracts
Credit Risk		—			(14,956,480	)		—		(14,956,480	)
Interest Rate Risk		—			(2,425,086	)		—		(2,425,086	)
Total	$	—		$	(17,923,064	)	$	—	$	(17,923,064	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	41,863,345		$	—	$	41,863,345
U.S. Government		106,081,352			—			—		106,081,352
TOTAL DEBT OBLIGATIONS		106,081,352			41,863,345			—		147,944,697
Short-Term Investments		44,985,494			120,221,439			—		165,206,933
Total Investments		151,066,846			162,084,784			—		313,151,630
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,520,979			—		1,520,979
Futures Contracts
Interest Rate Risk		267			—			—		267
Swap Contracts
Interest Rate Risk		—			1,395,612			—		1,395,612
Total	$	151,067,113		$	165,001,375		$	—	$	316,068,488
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(293,085	)	$	—		$	—	$	(293,085	)
Swap Contracts
Credit Risk		—			(1,395,577	)		—		(1,395,577	)
Interest Rate Risk		—			(2,056,762	)		—		(2,056,762	)
Total	$	(293,085	)	$	(3,452,339	)	$	—	$	(3,745,424	)
Multi-Sector Fixed Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	3,336,397		$	—	$	3,336,397
Corporate Debt		—			27,579,366			—		27,579,366

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Description	Level 1			Level 2			Level 3		Total
Multi-Sector Fixed Income Fund (continued)
Asset Valuation Inputs (continued)
Debt Obligations (continued)
U.S. Government	$	10,477,359		$	7,756,211		$	—	$	18,233,570
U.S. Government Agency		—			13,145,619			—		13,145,619
TOTAL DEBT OBLIGATIONS		10,477,359			51,817,593			—		62,294,952
Mutual Funds		28,569,875			—			—		28,569,875
Short-Term Investments		3,664,631			27,937,466			—		31,602,097
Total Investments		42,711,865			79,755,059			—		122,466,924
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,114,443			—		1,114,443
Swap Contracts
Interest Rate Risk		—			4,909,930			—		4,909,930
Total	$	42,711,865		$	85,779,432		$	—	$	128,491,297
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(705,180	)	$	—	$	(705,180	)
Futures Contracts
Interest Rate Risk		(234,839	)		—			—		(234,839	)
Swap Contracts
Interest Rate Risk		—			(4,641,303	)		—		(4,641,303	)
Total	$	(234,839	)	$	(5,346,483	)	$	—	$	(5,581,322	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	764,308,982		$	11,096,488	$	775,405,470
Corporate Debt		—			3,642,685			—		3,642,685
U.S. Government		94,672,061			—			—		94,672,061
U.S. Government Agency		—			—			6,487,533		6,487,533
TOTAL DEBT OBLIGATIONS		94,672,061			767,951,667			17,584,021		880,207,749
Mutual Funds		10,894,379			—			—		10,894,379
Short-Term Investments		26,989,035			—			—		26,989,035
Total Investments		132,555,475			767,951,667			17,584,021		918,091,163
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			56,730			—		56,730
Futures Contracts
Interest Rate Risk		76,166			—			—		76,166
Swap Contracts
Credit Risk		—			25,432,099			—		25,432,099
Total	$	132,631,641		$	793,440,496		$	17,584,021	$	943,656,158

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Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund (continued)
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(489,881	)	$	—		$	—	$	(489,881	)
Written Options
Credit Risk		—			(257,692	)		—		(257,692	)
Swap Contracts
Credit Risk		—			(892,569	)		—		(892,569	)
Total	$	(489,881	)	$	(1,150,261	)	$	—	$	(1,640,142	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	269,973,956		$	44,087,995		$	—	$	314,061,951
Total Investments		269,973,956			44,087,995			—		314,061,951
Total	$	269,973,956		$	44,087,995		$	—	$	314,061,951

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.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

Emerging Country Debt Fund has committed an additional $7,850,000 to its investment in Bona Fide Investments Feeder LLC, a private investment in a pool of constitutional obligations of the Colombian government owed to individuals.

The underlying funds held at period end are classified above as Level 1. Certain 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 which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

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). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, one Colombia Government International Bond, due 3/09/28 which is valued by applying a 160 basis point spread to the yield of the Colombia Government International Bond, due 4/25/27, Empresa Nacional de Electricidad SA, due 2/01/97 which is valued based on the average of a selection of comparable bonds and applying a 200 basis point discount for liquidity considerations, Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, due 6/23/28, which is valued by applying a 550 basis point spread to the yield of the Republic of Turkey, due 3/31/25, a Republic of Kenya loan agreement, which is valued by applying 500 basis point yield spread to a comparable bond and an investment fund valued based on a monthly net asset value statement. Opportunistic Income Fund’s Level 3 holdings also consists of three U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations, three asset-backed securities that were valued in line with general movement of spreads, interest rates or a comparable bond and two asset-backed securities priced based on market trades. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2022.

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For Funds with material total Level 3 assets and/or liabilities, the following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2022			Purchases			Sales				Accrued Discounts/ Premiums				Total Realized Gain/ (Loss)				Change in Unrealized Appreciation (Depreciation)				Transfer into Level 3			Transfer out of Level 3			Balances as of August 31, 2022			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2022
Emerging Country Debt Fund
Debt Obligations
Corporate Debt		$	20,629,398		$	—		$	—			$	(922	)		$	—			$	(2,072,836	)		$	—		$	—		$	18,555,640		$	(2,072,836	)
Sovereign and Sovereign Agency Issuers			272,728,861			2,104,750			(8,110,085	)			3,253,642				(15,372,231	)			7,036,504				—			—			261,641,441			4,493,103
Investment Funds			7,850,000			—			—				—				—				378,574				—			—			8,228,574			378,574
Loan Assignments			53,869,474			—			(5,792,401	)			706,186				—				(4,329,729	)			—			—			44,453,530			(4,329,729	)
Loan Participation			43,258,898			—			(15,159,199	)			1,010,573				649,800				(4,707,015	)			—			—			25,053,057			(3,705,520	)
Rights/Warrants			2,194,666			—			—				—				—				2,157,116				—			—			4,351,782			2,157,116
Total Investments			400,531,297			2,104,750			(29,061,685	)			4,969,479				(14,722,431	)			(1,537,386	)			—			—			362,284,024			(3,079,292	)
Derivatives
Options			326,111			—			—				—				(134,184	)			87,026				—			—			278,953			87,026
Total		$	400,857,408		$	2,104,750		$	(29,061,685	)#		$	4,969,479			$	(14,856,615	)		$	(1,450,360	)		$	—		$	—		$	362,562,977		$	(2,992,266	)
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities		$	12,356,438		$	—		$	(825,000	)		$	128,257			$	—			$	(563,207	)		$	—		$	—		$	11,096,488		$	(563,207	)
U.S. Government Agency			7,640,437			—			(1,217,928	)			16,339				—				48,685				—			—			6,487,533			48,685
Total		$	19,996,875		$	—		$	(2,042,928	)##		$	144,596			$	—			$	(514,522	)		$	—		$	—		$	17,584,021		$	(514,522	)

# Includes $15,730,112 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $2,042,928 of proceeds received from partial calls and/or principal paydowns as applicable.

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The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended August 31, 2022 for Funds with material Level 3 investments.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)	Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Emerging Country Debt Fund
Sovereign and Sovereign Agency Issuers	48,822,009	Fair Value	Discount for lack of liquidity/marketability	1.40% - 1.60%(1.42%)
Corporate Debt	18,555,640	Fair Value	Discount for lack of liquidity/marketability	2.00% (N/A)
Loan Assignments and Participations	28,459,058	Fair Value	Discount for lack of liquidity/marketability	5.00%-6.00%(5.44%)
Warrants	17,982	Fair Value	Discount for lack of liquidity/marketability	50% (N/A)
Options	278,953	Fair Value	Probability of CDS threshold event	<5% (N/A)
Investment Funds	8,228,574	Fair Value	Net asset value statement	(N/A)
Opportunistic Income Fund
Asset-Backed Securities	11,020,488	Fair Value	Broker mark of comparable bond	N/A
Government Agency	6,487,533	Fair Value	Discount for lack of liquidity/marketability	1.25% (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of August 31, 2022, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $258,200,761 and $76,000 respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

Cash

Cash and foreign currency, if any, in 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 in 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

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recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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” in Note 4 “Derivative financial instruments”. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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 August 31, 2022, 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. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Fund Name	Counterparty	Gross Value ($)	Net Value (with   related collateral) ($)	Weighted Average   Maturity (days)
High Yield Fund	Daiwa Capital Markets America, Inc.	20,083,508	20,493,375	1.0
High Yield Fund	Nomura Securities International, Inc.	21,999,362	22,448,329	1.0
U.S. Treasury Fund	Daiwa Capital Markets America, Inc.	44,087,995	44,987,750	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 August 31, 2022, the Funds listed below had entered into reverse repurchase agreements.

Fund Name	Received from     reverse repurchase     agreements ($)	Market value of securities plus     accrued interest ($)
Emerging Country Debt Fund	1,602,491	938,622

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As of August 31, 2022, Emerging Country Debt Fund had investments in reverse repurchase agreements with J.P. Morgan Securities Plc with a gross value of $1,602,491. The value of related collateral on reverse repurchase agreements exceeded the value at period end. As of August 31, 2022, the reverse repurchase agreements held by 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:

	August 31, 2022
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous			Up to 30 days			Between 30-90 days			Greater Than 90 days			On Demand			Total
Emerging Country Debt Fund
Reverse Repurchase Agreements
Sovereign and Sovereign Agency Issuers		$	—		$	—		$	—		$	—		$	1,602,491		$	1,602,491
Total borrowings		$	—		$	—		$	—		$	—		$	1,602,491		$	1,602,491

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.

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

Delayed delivery commitments and when-issued securities

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

Short sales

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

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Taxes and distributions

Each Fund has elected to be treated or intends to elect 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. U.S. Treasury Fund will generally pay dividends on the first business day following the end of each month in which dividends were declared. Accrued dividends in respect of a shareholder’s partial redemption of U.S. Treasury Fund shares redeemed between monthly payment dates will be paid on the first business day following the end of the month in which redemptions are made. Accrued dividends in respect of a shareholder’s complete redemption of U.S. Treasury Fund shares between monthly payment dates will be paid with the redemption proceeds. 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. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 2022, 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.

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 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, 2022, certain Funds elected to defer to March 1, 2022 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Losses Deferral ($)
Asset Allocation Bond Fund		—		(148,152)
Emerging Country Debt Fund		—		(6,905,248)
High Yield Fund		(68,060)		—
Multi-Sector Fixed Income Fund		(2,852,871)		(3,662,952)
Opportunistic Income Fund		—		—
U.S. Treasury Fund		—		(732,625)

As of February 28, 2022, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses 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

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losses realized subsequent to February 28, 2022, 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:

Fund Name	Short-Term ($)		Long-Term ($)
Asset Allocation Bond Fund		(25,503,316)		(20,399,243)
Emerging Country Debt Fund		—		—
High Yield Fund		—		—
Multi-Sector Fixed Income Fund		—		(22,199,368)
Opportunistic Income Fund		—		(58,989,497)
U.S. Treasury Fund		—		—

As of August 31, 2022, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments, for U.S. federal income tax purposes were as follows:

	Total Investments				Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)	Gross Unrealized     Appreciation ($)	Gross Unrealized   (Depreciation) ($)	Net Unrealized Appreciation   (Depreciation) ($)	Net Unrealized Appreciation   (Depreciation) ($)
Asset Allocation Bond Fund	23,951,888	—	(2,314,313)	(2,314,313)	—
Emerging Country Debt Fund	4,820,141,007	26,851,794	(1,707,623,786)	(1,680,771,992)	26,493,407
High Yield Fund	324,398,979	19,176	(11,266,525)	(11,247,349)	(328,948)
Multi-Sector Fixed Income Fund	135,725,308	11,194	(13,269,578)	(13,258,384)	307,555
Opportunistic Income Fund	1,014,531,595	8,371,428	(104,811,860)	(96,440,432)	(4,943,336)
U.S. Treasury Fund	315,173,394	7,571	(1,119,014)	(1,111,443)	—

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. 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 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. As of August 31, 2022, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

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 underlying funds, if any, 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/deflation 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

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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).

Custodian, Fund Accounting Agent and Transfer Agent

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund directly or indirectly (e.g., through investments in underlying funds) as a result of an investor’s 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 redemption fee or increase or decrease 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 for a purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs. For example, GMO may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees), and GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

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As of August 31, 2022, the premium on cash purchases and the fee on cash redemptions were as follows:

Purchase Premium	—	0.75%	—	—	—	—
Redemption Fee	—	0.75%	—	—	—	—

⁽¹⁾  For the periods from July 31, 2020 to May 18, 2021, May 8, 2020 to July 31, 2020, March 25, 2020 to May 8, 2020, March 16, 2020 to March 25, 2020, February 1, 2016 to March 16, 2020 the premiums on purchases and the fee on redemptions were each 1.00%, 1.50%, 2.00%, 1.15% and 0.75%, respectively, of the amount invested or redeemed.

⁽²⁾  Prior to June 30, 2019, the premiums on purchases and the fee on redemptions were each 0.40% of the amount invested or redeemed.

Recently-issued accounting guidance

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, “Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. The Investment Adviser does not expect ASU No. 2020-04 to have a material impact on the financial statements.

3. Investment and other risks

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

Credit Risk	X	X	X	X	X	X
Market Risk – Fixed Income	X	X	X	X	X	X
Illiquidity Risk	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X
Market Risk – Asset-Backed Securities	X			X	X
Counterparty Risk	X	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X
Currency Risk	X	X	X	X	X

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Futures Contracts Risk			X	X	X
Fund of Funds Risk	X		X	X
Non-U.S. Investment Risk	X	X	X	X	X
Commodities Risk	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X
Market Risk – Equities	X				X
Smaller Company Risk	X			X	X
Non-Diversified Funds			X	X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every possible risk of investing in the Funds. Particular Funds could be subject to additional risks because of the types of investments they make and market conditions, which can change over time. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

Funds that invest in other GMO Funds or other investment companies (collectively, “Underlying Funds”) are 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 and indirectly by the Fund.

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.

• CREDIT RISK. A Fund runs the risk that the issuer or guarantor of a fixed income investment (including a sovereign or quasi-sovereign debt issuer) or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligations to pay principal and interest or otherwise to honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such failure. In addition, investments in emerging country sovereign or quasi-sovereign debt involve a heightened risk that the issuer responsible for repayment of the debt may be unable or unwilling to pay interest and repay principal when due, and the Fund may lack recourse against the issuer in the event of default. Investments in quasi-sovereign debt also are subject to the risk that the issuer will default independently of its sovereign. Securities issued by the U.S. Treasury 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 U.S. credit default would decrease, the value of a Fund’s investments and increase the volatility of a Fund’s portfolio. Below investment grade investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments. Investments in distressed or defaulted or other low quality debt investments 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 their issuers’ payment defaults and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the

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issuer might not make any interest or other payments, and the Fund may incur additional expenses to seek recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, the 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.

• MARKET RISK — FIXED INCOME. 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 due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market prices of emerging country sovereign and quasi-sovereign debt investments can decline due to uncertainty about their credit quality and the reliability of their payment streams.

• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent a Fund or an underlying fund from selling particular securities or closing derivative positions at desirable prices.

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. 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 index or underlying securities. A Fund may create short investment exposure by selling securities short or taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index. The risks of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

• MARKET RISK— ASSET BACKED SECURITIES. The market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including market uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by a Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure, creditworthiness of any credit-support provider, and reliability of various other service providers with access to the payment stream), and a problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. The liquidity of asset-backed securities (particularly below investment grade asset-backed securities) may change over time. During periods of deteriorating economic conditions, such as recessions or periods of rising unemployment, delinquencies and losses generally increase, sometimes dramatically, with respect to securitizations involving loans, sales contracts, receivables and other obligations underlying asset-backed securities. The effects of the COVID-19 virus, and governmental responses to the effects of the virus, have resulted, and may continue to result, in delinquencies and losses and have other, potentially unanticipated, adverse effects on such investments and the markets for those investments.

• COUNTERPARTY RISK. A Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund’s securities is unable or unwilling to make timely settlement payments, return the Fund’s collateral or otherwise honor its obligations.

• MANAGEMENT AND OPERATIONAL RISK. A Fund runs the risk that GMO’s investment techniques will fail to produce desired results. For many funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. A Fund also runs the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• FOCUSED INVESTMENT RISK. Investments focused in countries, regions, asset classes, sectors, industries, currencies, or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated.

• CURRENCY RISK. Fluctuations in exchange rates can adversely affect the market value of a Fund’s foreign currency holdings and investments denominated in foreign currencies.

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• FUTURES CONTRACTS RISK. The 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 increases the volatility of the Fund’s net asset value. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund may be unable when it wishes to effect closing transactions to terminate its exposure under that contract. When a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are subject to the hedge. In addition, a Fund may be unable to recover or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. Foreign futures contracts are often less liquid and more volatile than U.S. futures contracts.

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment in the underlying funds (including underlying GMO Funds and ETFs) in which it invests, including the risk that those underlying funds will not perform as expected. Because a Fund bears the fees and expenses of the underlying funds in which it invests, an increase in fees and expenses of an underlying fund or a reallocation of the Fund’s investments to underlying funds with higher fees or expenses will increase the Fund’s total expenses.

• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities (particularly of companies tied economically to emerging countries) fluctuate more than those of U.S. securities. Many non-U.S. securities markets (particularly emerging markets) are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, issuers of non-U.S. securities (particularly those tied economically to emerging countries) often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund may be subject to non-U.S. taxes, 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. Also, the Fund needs a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, 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. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and other geopolitical risks) tend to be higher for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities, and often are more volatile than the economies of developed countries.

• COMMODITIES RISK. Commodity prices can be extremely volatile, and exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) may disrupt securities markets and adversely affect particular economies and markets as well as global economies and markets. Those events, as well as other changes in non U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Funds’ investments.

Russia’s invasion of Ukraine beginning in late February, and subsequent related events, have had, and could continue to have, severe adverse effects on regional and global economic markets for securities and commodities. Following Russia’s actions, various governments, including the United States, issued broad-ranging economic sanctions against Russia, including, among other sanctions, a prohibition on doing business with certain Russian companies, large financial institutions, officials and oligarchs; the removal by certain countries and the European Union of selected Russian banks from the Society for Worldwide Interbank Financial Telecommunications (commonly referred to as “SWIFT”), the electronic banking network that connects banks globally; and restrictive measures to prevent the Russian Central Bank from undermining the impact of the sanctions. Those events, including sanctions and the potential for future sanctions, including any affecting Russia’s energy sector, and other actions, and Russia’s retaliatory responses to those sanctions and actions, have adversely affected the Russian economy and may result in the further decline of the value and liquidity of Russian securities, a continued weakening of the ruble and continued exchange closures, and may have other adverse consequences on the Russian economy that affect the value of Russian investments and impair the ability of a Fund to buy, sell, receive or deliver those securities. In particular, where a Fund holds securities of a Russian issuer that is subject to blocking sanctions imposed

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by the U.S. Department of the Treasury’s Office of Foreign Assets Control, those securities will be frozen and consequently unable to be sold or transferred. Moreover, those events have, and could continue to have, an adverse effect on global markets performance and liquidity, thereby negatively affecting the value of a Fund’s investments beyond any direct exposure to Russian issuers.

• LARGE SHAREHOLDER RISK. To the extent that 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 require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• LEVERAGING RISK. The use of derivatives, short sales and securities lending can create leverage. Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. In addition, a Fund’s portfolio will be leveraged if it exercises its right to delay payment on a redemption, and losses will result if the value of the Fund’s assets declines between the time a redemption request is deemed to be received by a Fund and the time the Fund liquidates assets to meet that request.

• MARKET RISK—EQUITIES. The market price of an equity may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO and GMO’s assessment proves to be incorrect, the Fund runs the risk that the market price of the equity will not appreciate or will decline. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations 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.

• NON-DIVERSIFIED FUNDS. High Yield Fund and Multi-Sector Fixed Income Fund are non-diversified investment companies under the 1940 Act and therefore a decline in the market price of a particular security held by the Funds may affect the Funds’ performance more than if the Funds were a diversified investment company.

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

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

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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, a Fund may have gross investment exposures in excess of its net assets (i.e., the Fund may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than 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 period ended August 31, 2022, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Emerging Country Debt Fund	High Yield Fund	Multi-Sector Fixed Income Fund	Opportunistic Income Fund
Forward currency contracts
Adjust currency exchange rate risk	X	X	X	X
Adjust exposure to foreign currencies	X		X
Futures contracts
Adjust interest rate exposure		X	X	X
Maintain the diversity and liquidity of the portfolio		X	X	X
Options (Purchased)
Achieve exposure to a reference entity’s credit				X
Adjust currency exchange rate risk			X
Adjust exposure to foreign currencies	X		X
Provide a measure of protection against default loss				X
Options (Written)
Achieve exposure to a reference entity’s credit		X		X
Provide a measure of protection against default loss				X
Options (Credit linked)
Achieve exposure to a reference entity’s credit	X
Swap contracts
Achieve exposure to a reference entity’s credit	X	X		X
Adjust exposure to certain markets	X			X
Adjust interest rate exposure	X		X	X
Adjust portfolio beta	X
Generate long risk exposure to an index		X

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Type of Derivative and Objective for Use (continued)	Emerging Country     Debt Fund	High Yield     Fund	Multi-Sector     Fixed Income      Fund	Opportunistic     Income Fund
Hedge non-core equity exposure			X
Provide a measure of protection against default loss	X	X		X
Provide exposure to the Fund’s benchmark		X	X

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 collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

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

Options

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

The Funds may write (i.e. sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price.

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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, the 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.

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, basis swaps, currency 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. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

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

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

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

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

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

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

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

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

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

****

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2022 and the Statements of Operations for the period ended August 31, 2022^:

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.

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	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Emerging Country Debt Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	14,293,886		$	—		$	14,293,886
Options, at value		278,953			—			—			278,953
Swap Contracts, at value¤		51,395,762			—			5,481,422			56,877,184
Total	$	51,674,715		$	14,293,886		$	5,481,422		$	71,450,023
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(541,498	)	$	—		$	(541,498	)
Swap Contracts, at value¤		(14,956,480	)		—			(2,425,086	)		(17,381,566	)
Total	$	(14,956,480	)	$	(541,498	)	$	(2,425,086	)	$	(17,923,064	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	(377,508	)	$	—		$	(377,508	)
Options		(134,184	)		—			—			(134,184	)
Swap Contracts		949,242			—			2,572,192			3,521,434
Forward Currency Contracts		—			33,413,769			—			33,413,769
Total	$	815,058		$	33,036,261		$	2,572,192		$	36,423,511
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	1,064,064		$	—		$	1,064,064
Options		87,026			—			—			87,026
Swap Contracts		6,843,283			—			6,428,721			13,272,004
Forward Currency Contracts		—			9,510,892			—			9,510,892
Total	$	6,930,309		$	10,574,956		$	6,428,721		$	23,933,986
High Yield Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	1,520,979		$	—		$	1,520,979
Unrealized Appreciation on Futures Contracts¤		—			—			267			267
Swap Contracts, at value¤		—			—			1,395,612			1,395,612
Total	$	—		$	1,520,979		$	1,395,879		$	2,916,858
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—		$	—		$	(293,085	)	$	(293,085	)
Swap Contracts, at value¤		(1,395,577	)		—			(2,056,762	)		(3,452,339	)
Total	$	(1,395,577	)	$	—		$	(2,349,847	)	$	(3,745,424	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	(1,463,497	)	$	(1,463,497	)
Written Options		—			—			(813,785	)		(813,785	)
Swap Contracts		(2,954,098	)		—			(1,930,942	)		(4,885,040	)
Forward Currency Contracts		—			7,283,235			—			7,283,235
Total	$	(2,954,098	)	$	7,283,235		$	(4,208,224	)	$	120,913
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—		$	(461,978	)	$	(461,978	)
Written Options		(82,597	)		—			—			(82,597	)
Swap Contracts		655,588			—			156,168			811,756
Forward Currency Contracts		—			1,302,580			—			1,302,580
Total	$	572,991		$	1,302,580		$	(305,810	)	$	1,569,761

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	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Multi-Sector Fixed Income Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	1,114,443		$	—		$	1,114,443
Swap Contracts, at value¤		—			—			4,909,930			4,909,930
Total	$	—		$	1,114,443		$	4,909,930		$	6,024,373
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(705,180	)	$	—		$	(705,180	)
Unrealized Depreciation on Futures Contracts¤		—			—			(234,839	)		(234,839	)
Swap Contracts, at value¤		—			—			(4,641,303	)		(4,641,303	)
Total	$	—		$	(705,180	)	$	(4,876,142	)	$	(5,581,322	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	(3,509,771	)	$	(3,509,771	)
Swap Contracts		—			—			(495,963	)		(495,963	)
Forward Currency Contracts		—			3,473,112			—			3,473,112
Total	$	—		$	3,473,112		$	(4,005,734	)	$	(532,622	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—		$	(643,590	)	$	(643,590	)
Swap Contracts		—			—			432,184			432,184
Forward Currency Contracts		—			942,653			—			942,653
Total	$	—		$	942,653		$	(211,406	)	$	731,247
Opportunistic Income Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	56,730		$	—		$	56,730
Unrealized Appreciation on Futures Contracts¤		—			—			76,166			76,166
Swap Contracts, at value¤		25,432,099			—			—			25,432,099
Total	$	25,432,099		$	56,730		$	76,166		$	25,564,995
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—		$	—		$	(489,881	)	$	(489,881	)
Written Options, at value		—			—			(257,692	)		(257,692	)
Swap Contracts, at value¤		(892,569	)		—			—			(892,569	)
Total	$	(892,569	)	$	—		$	(747,573	)	$	(1,640,142	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	3,339,163		$	3,339,163
Written Options		—			—			2,026,399			2,026,399
Swap Contracts		(239,305	)		—			473,442			234,137
Forward Currency Contracts		—			731,568			—			731,568
Total	$	(239,305	)	$	731,568		$	5,839,004		$	6,331,267
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	(69,849	)	$	(69,849	)
Futures Contracts		—			—			(131,531	)		(131,531	)
Written Options		—			—			(125,075	)		(125,075	)
Swap Contracts		1,309,630			—			(135,584	)		1,174,046
Forward Currency Contracts		—			(16,766	)		—			(16,766	)
Total	$	1,309,630		$	(16,766	)	$	(462,039	)	$	830,825

^ 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 value of cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

93

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Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

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 OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and set-off 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 set-off and netting 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 an early termination of 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 paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2022, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2022:

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.		$	1,394,344		$	(1,360,174	)		$	—			$	34,170
Citibank N.A.			1,120,729			—				(1,120,729	)			—
Deutsche Bank AG			12,404,443			(3,816,776	)			(8,587,667	)			—	*
Goldman Sachs International			14,487,687			(13,909,231	)			—				578,456
JPMorgan Chase Bank, N.A.			10,339,703			(9,642,641	)			—				697,062
Morgan Stanley & Co. International PLC			3,325,283			(3,170,860	)			(154,423	)			—	*
Morgan Stanley Capital Services LLC			2,272,686			(2,190,000	)			—				82,686
State Street Bank and Trust Company			246,733			—				—				246,733
Total		$	45,591,608		$	(34,089,682	)		$	(9,862,819	)		$	1,639,107

94

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Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Emerging Country Debt Fund (Continued)

Counterparty	Gross Derivative Liabilities Subject to Master Agreement				Collateral Pledged				Derivative Assets/Liabilities Available for Offset				Net Amount of Derivative Liabilities
Barclays Bank PLC		$	(183,037	)		$	—			$	—			$	(183,037	)
Citibank N.A.			(6,610,083	)			4,971,271				1,120,729				(518,083	)
Deutsche Bank AG			(8,587,667	)			—				8,587,667				—
Morgan Stanley & Co. International PLC			(154,423	)			—				154,423				—
Total		$	(15,535,210	)		$	4,971,271			$	9,862,819			$	(701,120	)
High Yield Fund
Counterparty	Gross Derivative Assets Subject to Master Agreements				Collateral Received				Derivative Assets/Liabilities Available for Offset				Net Amount of Derivative Assets
Citibank N.A.		$	512,626			$	(450,000	)		$	—			$	62,626
Deutsche Bank AG			591,053				(350,000	)			—				241,053
Goldman Sachs International			548,442				(548,442	)			—				—	*
JPMorgan Chase Bank, N.A.			1,006,961				(267,933	)			(739,028	)			—	*
State Street Bank and Trust Company			257,509				—				—				257,509
Total		$	2,916,591			$	(1,616,375	)		$	(739,028	)		$	561,188
Counterparty	Gross Derivative Liabilities Subject to Master Agreement				Collateral Pledged				Derivative Assets/Liabilities Available for Offset				Net Amount of Derivative Liabilities
Barclays Bank PLC		$	(863,413	)		$	863,413			$	—			$	—	*
JPMorgan Chase Bank, N.A.			(739,028	)			—				739,028				—
Morgan Stanley & Co. International PLC			(454,321	)			454,321				—				—	*
Total		$	(2,056,762	)		$	1,317,734			$	739,028			$	—
Multi-Sector Fixed Income 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.		$	15,834			$	—			$	(15,834	)		$	—
Barclays Bank PLC			58,876				—				(58,876	)			—
Citibank N.A.			470				—				(470	)			—
Deutsche Bank AG			531,307				(489,233	)			(42,074	)			—	*
JPMorgan Chase Bank, N.A.			363,629				—				(218,346	)			145,283
Morgan Stanley & Co. International PLC			144,327				(115,524	)			(28,803	)			—	*
Total		$	1,114,443			$	(604,757	)		$	(364,403	)		$	145,283

95

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Multi-Sector Fixed Income Fund (Continued)

Counterparty	Gross Derivative Liabilities Subject to Master Agreement				Collateral Pledged				Derivative Assets/Liabilities Available for Offset				Net Amount of Derivative Liabilities
Bank of America, N.A.		$	(104,804	)		$	—			$	15,834			$	(88,970	)
Barclays Bank PLC			(293,105	)			30,927				58,876				(203,302	)
Citibank N.A.			(4,227	)			—				470				(3,757	)
Deutsche Bank AG			(42,074	)			—				42,074				—
Goldman Sachs International			(13,625	)			—				—				(13,625	)
JPMorgan Chase Bank, N.A.			(218,346	)			—				218,346				—
Morgan Stanley & Co. International PLC			(28,803	)			—				28,803				—
State Street Bank and Trust Company			(196	)			—				—				(196	)
Total		$	(705,180	)		$	30,927			$	364,403			$	(309,850	)
Opportunistic Income 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.		$	81,044			$	(81,044	)		$	—			$	—	*
Citibank N.A.			2,362,841				(2,362,841	)			—				—	*
Citigroup Global Markets Inc.			1,896,757				(1,640,000	)			(90,496	)			166,261
Credit Suisse International			6,909				—				—				6,909
Deutsche Bank AG			743,677				(690,000	)			—				53,677
Goldman Sachs International			11,794,102				(11,539,851	)			(254,251	)			—	*
JPMorgan Chase Bank, N.A.			1,006,522				—				(81,293	)			925,229
Morgan Stanley & Co. International PLC			5,127,644				(4,985,184	)			(142,460	)			—	*
Morgan Stanley Capital Services LLC			2,080,907				(1,450,000	)			(39,382	)			591,525
State Street Bank and Trust Company			56,730				—				—				56,730
Total		$	25,157,133			$	(22,748,920	)		$	(607,882	)		$	1,800,331
Counterparty	Gross Derivative Liabilities Subject to Master Agreement				Collateral Pledged				Derivative Assets/Liabilities Available for Offset				Net Amount of Derivative Liabilities
Barclays Bank PLC		$	(314,872	)		$	304,526			$	—			$	(10,346	)
Citigroup Global Markets Inc.			(90,496	)			—				90,496				—
Goldman Sachs International			(254,251	)			—				254,251				—
JPMorgan Chase Bank, N.A.			(81,293	)			—				81,293				—
Morgan Stanley & Co. International PLC			(142,460	)			—				142,460				—
Morgan Stanley Capital Services LLC			(39,382	)			—				39,382				—
Total		$	(922,754	)		$	304,526			$	607,882			$	(10,346	)

* 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) and principal amounts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2022:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Swap Contracts ($)
Emerging Country Debt Fund		369,382,367		—		160,543,000		1,358,010,801

96

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Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Fund Name	Forward Currency     Contracts ($)	Futures     Contracts ($)	Options     (Principal)	Swap     Contracts ($)
High Yield Fund	61,982,429	57,069,593	14,730,667	211,148,956
Multi-Sector Fixed Income Fund	105,817,388	51,053,595	—	419,352,038
Opportunistic Income Fund	7,339,868	527,635,749	209,701,667	624,868,204

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	Emerging Country     Debt Fund	High Yield     Fund	Multi-Sector         Fixed Income     Fund	Opportunistic     Income Fund	U.S. Treasury     Fund
Management Fee	0.25%	0.35%	0.35%	0.25%	0.40%	0.08%(a)

^(a) Since April 9, 2021 and prior to June 30, 2019, GMO voluntarily waived the Fund’s entire management fee.

In addition, each class of shares of certain 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 at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class III	Class IV	Class V	Class VI	Class R6	Class I
Asset Allocation Bond Fund	0.15%			0.055%
Emerging Country Debt Fund	0.15%	0.10%		0.055%
High Yield Fund	0.15%*	0.10%*	0.085%*	0.055%	0.15%*	0.15%*
Multi-Sector Fixed Income Fund	0.15%	0.10%			0.15%*	0.15%*
Opportunistic Income Fund	0.15%			0.055%	0.15%	0.15%

* Class is offered but has no shareholders as of August 31, 2022.

For each Fund (prior to June 30, 2022), other than Emerging Country Debt Fund and High Yield Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For the period starting June 30, 2022, Asset Allocation Bond Fund, Multi-Sector Fixed Income Fund and Opportunistic Income Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.01% of the Fund’s average daily net assets. Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), 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.

With respect to High Yield Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse the Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.55% for Class III shares; 0.50% for Class IV shares; 0.485% for Class V shares; 0.455% for Class VI shares; 0.55% for Class R6 shares; and 0.55% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses,

97

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (“Excluded Expenses”), are excluded from the Expense Cap. GMO is permitted to recover from the Fund, on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses.

For the period ended August 31, 2022, GMO did not recoup any previously recorded waivers and/or reimbursements.

On August 31, 2022, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending     February 28,     2023	Expiring the year ending     February 29,     2024	Expiring the year ending     February 28,     2025	Expiring the year ending     February 28,     2026
High Yield Fund, Class VI	—	—	$28,545	$3,190

GMO has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust (“GMO Funds”). Management fees and shareholder service fees will not be waived below zero.

These contractual waivers and reimbursements will continue through at least June 30, 2023 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.

For each Fund, other than High Yield Fund, GMO has contractually agreed to reimburse Class I shares of each Fund (or waive its fees) to the extent that payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets.

For High Yield Fund prior to June 30, 2022, GMO has contractually agreed to reimburse Class I assets to the extent payments for sub-transfer agency, recordkeeping and other administrative services from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets. For the period starting June 30, 2022, GMO has contractually agreed to reimburse Class I assets to the extent payments for sub-transfer agency, recordkeeping and other administrative services from Class I assets exceed 0.04% of such Fund’s average daily net assets attributable to Class I assets.

Sub-Transfer Agent/Recordkeeping Payments

Class III, IV, V, VI, and R6 shares are not subject to payments to third parties for sub-transfer agent, recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class III, IV, V, VI, or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

98

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

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 period ended August 31, 2022 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and     their legal counsel ($)
Asset Allocation Bond Fund		576
Emerging Country Debt Fund		78,754
High Yield Fund		3,677
Multi-Sector Fixed Income Fund		2,032
Opportunistic Income Fund		20,475
U.S. Treasury Fund		5,523

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the six month period ended August 31, 2022, the Funds below had indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

Fund Name	Total Indirect Expense
Multi-Sector Fixed Income Fund		0.117	%

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 period ended August 31, 2022, 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, if applicable, for the period ended August 31, 2022 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	10,969,943	56	24,212,674	11,617
Emerging Country Debt Fund	133,308,230	353,476,349	112,248,247	318,080,666
High Yield Fund	57,994,737	33,508,364	—	13,037,055
Multi-Sector Fixed Income Fund	166,389,540	16,818,862	151,684,293	20,639,056
Opportunistic Income Fund	140,993,431	248,113,549	218,425,153	138,578,563
U.S. Treasury Fund	—	—	—	—

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.

99

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

8. Principal shareholders as of August 31, 2022

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
Asset Allocation Bond Fund	1‡	99.82%
Emerging Country Debt Fund	1	18.46%
High Yield Fund	3#	92.69%
Multi-Sector Fixed Income Fund	4#	86.16%
Opportunistic Income Fund	4‡	69.76%
U.S. Treasury Fund	3#	68.98%

‡ 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:

	Six Months Ended August 31, 2022 (Unaudited)						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:
Shares sold		—		$	—			231,090		$	5,615,500
Shares issued to shareholders in reinvestment of distributions		—			—			15			359
Shares repurchased		—			—			(2,826,353	)		(67,755,933	)
Net increase (decrease)		—		$	—			(2,595,248	)	$	(62,140,074	)
Class VI:
Shares sold		45,818		$	1,030,000			685,291		$	16,677,005
Shares issued to shareholders in reinvestment of distributions		7,321			157,978			28,792			699,355
Shares repurchased		(650,692	)		(14,425,651	)		(1,552,611	)		(37,257,738	)
Net increase (decrease)		(597,553	)	$	(13,237,673	)		(838,528	)	$	(19,881,378	)
Emerging Country Debt Fund
Class III:
Shares sold		1,218,546		$	23,757,587			7,338,675		$	177,081,443
Shares issued to shareholders in reinvestment of distributions		1,054,598			19,193,681			3,749,384			91,061,066
Shares repurchased		(4,044,939	)		(81,748,430	)		(6,465,058	)		(154,953,062	)
Purchase premiums		—			24,563			—			262,799
Redemption fees		—			361,864			—			415,289
Net increase (decrease)		(1,771,795	)	$	(38,410,735	)		4,623,001		$	113,867,535

100

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

	Six Months Ended August 31, 2022 (Unaudited)						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
Emerging Country Debt Fund (continued)
Class IV:
Shares sold		3,240,675		$	65,599,999			19,770,838		$	511,809,366
Shares issued to shareholders in reinvestment of distributions		1,589,437			28,880,078			7,567,539			186,159,290
Shares repurchased		(5,262,370	)		(103,305,212	)		(81,664,417	)		(2,093,128,743	)
Purchase premiums		—			1			—			676,346
Redemption fees		—			305,212			—			834,669
Net increase (decrease)		(432,258	)	$	(8,519,922	)		(54,326,040	)	$	(1,393,649,072	)
Class VI:(a)
Shares sold		2,492,115		$	48,345,581			57,276,130		$	1,479,762,322
Shares issued to shareholders in reinvestment of distributions		1,681,732			30,540,253			4,061,385			96,336,051
Shares repurchased		(309,438	)		(6,523,075	)		(2,398,142	)		(59,422,319	)
Purchase premiums		—			255,000			—			151,434
Redemption fees		—			14,423			—			453,691
Net increase (decrease)		3,864,409		$	72,632,182			58,939,373		$	1,517,281,179
High Yield Fund
Class VI:
Shares sold		15,001,589		$	262,696,111			—		$	—
Shares issued to shareholders in reinvestment of distributions		36,537			620,033			607,965			11,960,560
Shares repurchased		(1,449,298	)		(25,711,784	)		(585,873	)		(11,500,000	)
Net increase (decrease)		13,588,828		$	237,604,360			22,092		$	460,560
Multi-Sector Fixed Income Fund
Class III:
Shares sold		—		$	—			198,808		$	4,000,000
Shares issued to shareholders in reinvestment of distributions		—			—			38,703			771,747
Shares repurchased		(281	)		(4,800	)		(1,340,616	)		(26,860,330	)
Net increase (decrease)		(281	)	$	(4,800	)		(1,103,105	)	$	(22,088,583	)
Class IV:
Shares sold		1,263,498		$	22,335,000			2,988,268		$	60,053,854
Shares issued to shareholders in reinvestment of distributions		—			—			193,216			3,868,186
Shares repurchased		(1,485,472	)		(26,656,577	)		(3,669,201	)		(72,720,030	)
Net increase (decrease)		(221,974	)	$	(4,321,577	)		(487,717	)	$	(8,797,990	)
Opportunistic Income Fund
Class III:(b)
Shares sold		—		$	—			1,013,442		$	26,129,885
Shares issued to shareholders in reinvestment of distributions		8,685			213,391			8,790			224,578
Shares repurchased		(293,945	)		(7,248,309	)		(541,722	)		(13,851,286	)
Net increase (decrease)		(285,260	)	$	(7,034,918	)		480,510		$	12,503,177

101

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

	Six Months Ended August 31, 2022 (Unaudited)						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
Opportunistic Income Fund (continued)
Class VI:
Shares sold		1,429,991		$	36,000,000			1,201,167		$	30,987,689
Shares issued to shareholders in reinvestment of distributions		285,739			7,020,604			294,328			7,561,416
Shares repurchased		(2,618,374	)		(65,450,470	)		(5,293,597	)		(137,137,320	)
Net increase (decrease)		(902,644	)	$	(22,429,866	)		(3,798,102	)	$	(98,588,215	)
Class R6:(c)
Shares sold		2,599,920		$	65,475,157			6,348,670		$	164,336,615
Shares issued to shareholders in reinvestment of distributions		89,809			2,199,428			26,344			673,318
Shares repurchased		(632,045	)		(15,820,052	)		(374,066	)		(9,594,675	)
Net increase (decrease)		2,057,684		$	51,854,533			6,000,948		$	155,415,258
Class I:
Shares sold		1,868,881		$	46,539,604			5,654,035		$	146,238,616
Shares issued to shareholders in reinvestment of distributions		261,419			6,412,603			234,350			6,009,933
Shares repurchased		(2,750,798	)		(68,778,462	)		(4,671,231	)		(121,104,867	)
Net increase (decrease)		(620,498	)	$	(15,826,255	)		1,217,154		$	31,143,682
U.S. Treasury Fund
Core Class:
Shares sold		164,048,392		$	820,111,619			304,783,797		$	1,534,292,585
Shares issued to shareholders in reinvestment of distributions		92,624			462,472			63,726			320,558
Shares repurchased		(152,589,615	)		(762,893,997	)		(329,360,932	)		(1,657,850,113	)
Net increase (decrease)		11,551,401		$	57,680,094			(24,513,409	)	$	(123,236,970	)

^(a)  The period under the heading “Year Ended February 28, 2022” represents the period from July 29, 2021 (commencement of operations) through February 28, 2022.

^(b)  The period under the heading “Year Ended February 28, 2022” represents the period from July 21, 2021 (commencement of operations) through December 28, 2021 and the period under the heading “Year Ended February 28, 2022” represents the period from February 1, 2022 (commencement of operations) through February 28, 2022.

^(c)  The period under the heading “Year Ended February 28, 2022” represents the period from May 19, 2021 (commencement of operations) through February 28, 2022.

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 or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended August 31, 2022 is set forth below:

Affiliate	Value, beginning of period			Purchases			Sales Proceeds			Dividend Income*			Distributions of Realized Gains*			Net Realized Gain (Loss)				Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of  period
Asset Allocation Bond Fund
GMO U.S. Treasury Fund		$	11,626		$	56		$	11,617		$	56		$	—		$	(93	)		$	47		$	19

102

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Affiliate	Value, beginning of period			Purchases			Sales Proceeds			Dividend Income*			Distributions of Realized Gains*			Net Realized Gain (Loss)				Net Increase/ Decrease in Unrealized Appreciation/ Depreciation				Value, end of  period
Emerging Country Debt Fund
GMO U.S. Treasury Fund		$	74,339,103		$	—		$	—		$	499,521		$	—		$	—			$	(296,763	)		$	74,042,340
Multi-Sector Fixed Income Fund
GMO Emerging Country Debt Fund, Class VI		$	6,291,438		$	—			1,000,000		$	125,748		$	—		$	(409,719	)		$	(283,833	)		$	4,597,886
GMO Opportunistic Income Fund, Class VI			25,924,702			—			1,000,001			184,153			357,581			(34,894	)			(917,818	)			23,971,989
GMO U.S. Treasury Fund			2,399,326			—			2,399,326			854			—			(9,578	)			9,578				—
Totals		$	34,615,466		$	—		$	4,399,327		$	310,755		$	357,581		$	(454,191	)		$	(1,192,073	)		$	28,569,875
Opportunistic Income Fund
GMO U.S. Treasury Fund		$	10,938,043		$	—		$	—		$	73,498		$	—		$	—			$	(43,664	)		$	10,894,379

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2022 through August 31, 2022. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2023.

103

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2022 (Unaudited)

GMO Asset Allocation Bond Fund

Approval of renewal of management agreement for GMO Asset Allocation Bond Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses, including changes GMO was considering proposing.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements.The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those other funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

104

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Emerging Country Debt Fund

Approval of renewal of management agreement for GMO Emerging Country Debt Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

105

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those other funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO High Yield Fund

Approval of renewal of management agreement for GMO High Yield Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO fund whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

106

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Multi-Sector Fixed Income Fund

Approval of renewal of management agreement for GMO Multi-Sector Fixed Income Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

107

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses, including changes GMO was considering proposing.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those other funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Opportunistic Income Fund

Approval of renewal of management agreement for GMO Opportunistic Income Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

108

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO fund whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses, including changes GMO was considering proposing.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

109

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

GMO U.S. Treasury Fund

Approval of renewal of management agreement for GMO U.S. Treasury Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management agreement. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

110

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

111

GMO Trust Funds

Liquidity Risk Management Program

August 31, 2022 (Unaudited)

Rule 22e-4 under the Investment Company Act of 1940, as amended, requires open-end registered investment companies (other than money market funds) to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk. Each Fund has adopted a Liquidity Risk Management Program (the “Program”) that is designed to assess and manage liquidity risk, defined as the risk that the Fund could not meet redemption requests without significant dilution of the remaining shareholders’ interests in the Fund. The Program includes the following elements, among others:

• Monitoring of factors material to liquidity risk for each Fund;

• Classification of each Fund’s portfolio investments into one of four liquidity categories: highly liquid, moderately liquid, less liquid, and illiquid;

• Oversight of third parties providing services in support of the Program;

• Determination and review of a highly liquid investment minimum for any Fund that does not primarily hold assets that are highly liquid investments;

• A restriction on each Fund acquiring an illiquid investment if immediately after the acquisition the Fund would have more than 15% of its net assets invested in illiquid investments;

• Periodic reporting to the Board of Trustees, including a written report at least annually that addresses the operation of the Program and assesses its adequacy and effectiveness.

The GMO Trust Board of Trustees reviewed a written report from GMO dated April 20, 2022 addressing the Program’s operation, adequacy and effectiveness.

112

GMO Trust Funds

Fund Expenses

August 31, 2022 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2022.

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, March 1, 2022 through August 31, 2022.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premium and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value March 1, 2022		Ending Account Value August 31, 2022		Expenses Paid During the Period*		Beginning Account Value March 1, 2022		Ending Account Value August 31, 2022		Expenses Paid During the Period*		Annualized Expense Ratio
Asset Allocation Bond Fund
Class III		$1,000.00		$908.40		$2.02		$1,000.00		$1,023.09		$2.14		0.42%
Class VI		$1,000.00		$909.10		$1.54		$1,000.00		$1,023.59		$1.63		0.32%
Emerging Country Debt Fund
Class III		$1,000.00		$895.50		$2.58		$1,000.00		$1,022.48		$2.75		0.54%
Class IV		$1,000.00		$895.50		$2.34		$1,000.00		$1,022.74		$2.50		0.49%
Class VI		$1,000.00		$895.70		$2.10		$1,000.00		$1,022.99		$2.24		0.44%
High Yield Fund
Class VI		$1,000.00		$931.90		$2.24		$1,000.00		$1,022.89		$2.35		0.46%
Multi-Sector Fixed Income Fund
Class III		$1,000.00		$914.00		$1.98		$1,000.00		$1,023.14		$2.09		0.41%
Class IV		$1,000.00		$914.40		$1.79		$1,000.00		$1,023.34		$1.89		0.37%
Opportunistic Income Fund
Class III		$1,000.00		$1,000.00		$2.82		$1,000.00		$1,022.38		$2.85		0.56%
Class VI		$1,000.00		$1,000.00		$2.32		$1,000.00		$1,022.89		$2.35		0.46%
Class R6		$1,000.00		$1,000.00		$2.82		$1,000.00		$1,022.38		$2.85		0.56%
Class I		$1,000.00		$1,000.00		$3.28		$1,000.00		$1,021.93		$3.31		0.65%

113

GMO Trust Funds

Fund Expenses — (Continued)

August 31, 2022 (Unaudited)

Actual

Hypothetical

Beginning Account Value March 1, 2022

Ending Account Value August 31, 2022

Expenses Paid During the Period*

Beginning Account Value March 1, 2022

Ending Account Value August 31, 2022

Expenses Paid During the Period*

Annualized Expense Ratio

U.S. Treasury Fund

Core Class

$1,000.00

$1,002.70

$0.05

$1,000.00

$1,025.16

$0.05

0.01%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2022, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

114

SR-083122-FI

GMO Trust

Semiannual Report

August 31, 2022

Alternative Allocation 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

Strategic Opportunities Allocation Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com 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 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

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-PORT which is available on the Commission’s website at www.sec.gov. 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. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

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

Alternative Allocation Fund
Investment Concentration Summary	1
Schedule of Investments	2
Benchmark-Free Allocation Fund
Investment Concentration Summary	22
Schedule of Investments	23
Benchmark-Free Fund
Investment Concentration Summary	24
Schedule of Investments	25
Global Asset Allocation Fund
Investment Concentration Summary	51
Schedule of Investments	52
Global Developed Equity Allocation Fund
Investment Concentration Summary	53
Schedule of Investments	54
Global Equity Allocation Fund
Investment Concentration Summary	55
Schedule of Investments	56
Implementation Fund
Investment Concentration Summary	57
Schedule of Investments	58
International Developed Equity Allocation Fund
Investment Concentration Summary	92
Schedule of Investments	93
International Equity Allocation Fund
Investment Concentration Summary	94
Schedule of Investments	95
SGM Major Markets Fund
Investment Concentration Summary	96
Schedule of Investments	97
Strategic Opportunities Allocation Fund
Investment Concentration Summary	101
Schedule of Investments	102
Portfolio, Counterparty and Currency Abbreviations	114
Fund Financial Statements:
Statements of Assets and Liabilities	115
Statements of Operations	121
Statements of Changes in Net Assets	124
Statements of Cash Flow	130
Financial Highlights	131
Notes to Financial Statements	156
Board Review of Investment Management Agreements	210
Liquidity Risk Management Program	224
Fund Expenses	225

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		62.4	%
Short-Term Investments		38.3
Debt Obligations		29.7
Swap Contracts		3.2
Investment Funds		1.9
Preferred Stocks		0.4
Rights/Warrants		0.2
Purchased Options		0.0	^
Forward Currency Contracts		(0.1	)
Written Options		(0.4	)
Futures Contracts		(0.5	)
Securities Sold Short		(31.6	)
Other		(3.5	)
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Switzerland		4.4	%
Euro Region		3.2	§
Australia		2.2
Germany		1.7
Other Developed		0.1	‡
New Zealand		(1.3	)
Canada		(2.6	)
United States		(4.1	)
United Kingdom		(4.7	)
		(1.1	)%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		17.6	%
Japan		5.4
Canada		2.2
China		2.2
Taiwan		2.2
Other Emerging		1.5	†
Sweden		1.5
Other Developed		1.4	‡
United Kingdom		(1.1	)
		32.9	%

^(a)  GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of GMO Alternative Allocation Fund. As such, the holdings of GMO Alternative Allocation SPC Ltd. have been included with GMO Alternative Allocation Fund.

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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. 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%.

§ “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.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

^ Rounds to 0.0%.

1

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 59.6%
		Australia — 0.9%
	26,848	Aurizon Holdings Ltd (a)		67,902
	26,459	BlueScope Steel Ltd (a)		296,865
	34,350	Brambles Ltd (a)		289,097
	23,988	Dexus (REIT) (a)		141,889
	27,011	Fortescue Metals Group Ltd (a)		335,681
	47,960	GPT Group (The) (REIT) (a)		136,662
	128,580	Mirvac Group (REIT) (a)		183,115
	1,199	Rio Tinto Ltd (a)		76,153
	71,129	Scentre Group (REIT) (a)		141,354
	75,217	Stockland (REIT) (a)		185,024
		Total Australia		1,853,742
		Belgium — 0.3%
	6,036	Ageas SA/NV		244,914
	730	Sofina SA (a)		146,332
	3,571	UCB SA (a)		250,923
		Total Belgium		642,169
		Brazil — 0.1%
	4,700	Banco do Brasil SA		37,664
	7,900	Petroleo Brasileiro SA Sponsored ADR (a)		112,891
	11,200	Telefonica Brasil SA ADR (a)		90,944
		Total Brazil		241,499
		Canada — 3.4%
	8,500	BlackBerry Ltd * (a)		50,490
	4,800	Canadian Apartment Properties (REIT) (a)		163,259
	2,200	Canadian Tire Corp Ltd – Class A (a)		258,753
	100	Fairfax Financial Holdings Ltd (a)		49,853
	800	iA Financial Corp Inc		42,974
	5,200	Magna International Inc		300,395
	10,600	Manulife Financial Corp (a) (b)		183,372
	5,700	Manulife Financial Corp (a) (b)		98,553
	2,700	Onex Corp (a)		133,525
	1,400	Power Corp of Canada (a)		35,998
	9,800	Quebecor Inc – Class B (a)		211,692
	117,927	Shaw Communications Inc – Class B (a)		3,024,161
	7,900	Teck Resources Ltd – Class B (a) (b)		267,554
	3,500	Teck Resources Ltd – Class B (a) (b)		118,475
	3,900	West Fraser Timber Co Ltd (a) (b)		348,917
	900	West Fraser Timber Co Ltd (a) (b)		80,730
	270,217	Yamana Gold Inc (a)		1,191,657
		Total Canada		6,560,358
		China — 1.3%
	1,000	Autohome Inc ADR		35,610
	449,000	Bank of China Ltd – Class H		156,687
	366,000	Bank of Communications Co Ltd – Class H		208,535
	21,500	Beijing Enterprises Holdings Ltd		63,950
	104,000	China Communications Services Corp Ltd – Class H		44,657

Shares		Description	Value ($)
		China — continued
	17,500	China Conch Venture Holdings Ltd		35,714
	432,000	China Construction Bank Corp – Class H		267,055
	115,000	China Overseas Land & Investment Ltd		309,059
	389,000	China Railway Group Ltd – Class H		222,700
	308,000	China Zhongwang Holdings Ltd * (c)		65,927
	178,000	CITIC Ltd		183,496
	110,000	Dongfeng Motor Group Co Ltd – Class H*		69,745
	50,500	Fosun International Ltd		37,276
	21,000	Kingboard Holdings Ltd		66,312
	57,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		83,593
	239,500	Shimao Group Holdings Ltd (c)		134,875
	63,200	Sinopharm Group Co Ltd – Class H		140,796
	374,000	Sunac China Holdings Ltd * (c)		218,242
	15,100	Vipshop Holdings Ltd ADR * (a)		175,311
		Total China		2,519,540
		Denmark — 0.5%
	39	AP Moller – Maersk A/S – Class A (a)		91,108
	113	AP Moller – Maersk A/S – Class B (a)		271,105
	23,256	Danske Bank A/S (a)		310,535
	3,514	Pandora A/S		211,109
		Total Denmark		883,857
		Finland — 0.2%
	71,190	Nokia Oyj (a)		358,752
		France — 0.5%
	11,613	ArcelorMittal SA		275,624
	5,142	BNP Paribas SA (a)		238,950
	2,417	Publicis Groupe SA (a)		118,011
	11,937	Societe Generale SA (a)		263,156
		Total France		895,741
		Germany — 0.5%
	1,962	Bayer AG (Registered) (a)		103,766
	3,182	Bayerische Motoren Werke AG		234,445
	3,994	Fresenius SE & Co KGaA (a)		98,805
	5,147	HeidelbergCement AG (a)		232,425
	4,416	Mercedes-Benz Group AG (a)		247,586
	1,367	SAP SE (a)		116,427
		Total Germany		1,033,454
		Hong Kong — 0.2%
	58,000	CK Hutchison Holdings Ltd (a)		374,544
	5,500	Sun Hung Kai Properties Ltd (a)		64,615
		Total Hong Kong		439,159
		India — 0.6%
	51,490	GAIL India Ltd		87,494
	10,390	Hindalco Industries Ltd		56,223
	30,419	Hindustan Petroleum Corp Ltd		92,121
	56,680	Indian Oil Corp Ltd		50,611

See accompanying notes to the financial statements. 2

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		India — continued
	86,678	NTPC Ltd		177,407
	189,372	Oil & Natural Gas Corp Ltd		327,115
	221,209	Tata Steel Ltd		297,407
		Total India		1,088,378
		Israel — 0.9%
	42,100	Teva Pharmaceutical Industries Ltd Sponsored ADR * (a)		380,584
	26,684	Tower Semiconductor Ltd *		1,237,871
	5,800	ZIM Integrated Shipping Services Ltd		209,322
		Total Israel		1,827,777
		Italy — 0.4%
	3,938	EXOR NV (a)		237,088
	22,256	Stellantis NV (a)		296,462
	1,111,840	Telecom Italia SPA * (a)		229,327
		Total Italy		762,877
		Japan — 8.1%
	22,100	Aeon Mall Co Ltd (a)		263,594
	2,600	AGC Inc (a)		88,241
	3,600	Aisin Corp		107,045
	12,400	Amano Corp		229,384
	42,600	Asahi Kasei Corp (a)		311,312
	1,100	Astellas Pharma Inc (a)		15,596
	7,100	Daiwa House Industry Co Ltd (a)		158,736
	20,100	Daiwabo Holdings Co Ltd		282,951
	11,900	Denka Co Ltd		285,077
	9,100	ENEOS Holdings Inc (a)		34,388
	20,100	EXEO Group Inc (a)		308,383
	7,400	Ezaki Glico Co Ltd		192,545
	17,200	Fuji Corp (a)		250,183
	1,900	FUJIFILM Holdings Corp (a)		96,457
	10,300	H.U. Group Holdings Inc		209,205
	18,100	Haseko Corp		207,412
	28,800	Honda Motor Co Ltd (a)		766,721
	1,700	Honda Motor Co Ltd Sponsored ADR (a)		45,084
	4,300	Idemitsu Kosan Co Ltd (a)		113,379
	31,300	Inpex Corp (a)		359,782
	10,600	ITOCHU Corp (a)		291,720
	18,500	JFE Holdings Inc (a)		198,756
	6,200	KDDI Corp (a)		189,727
	18,900	Kirin Holdings Co Ltd (a)		311,127
	22,600	K’s Holdings Corp (a)		208,223
	13,000	Kyudenko Corp (a)		261,702
	9,500	Maruichi Steel Tube Ltd		202,521
	9,800	Mitsubishi Corp (a)		320,858
	10,900	Mitsui OSK Lines Ltd (a)		283,984
	7,100	Morinaga & Co Ltd		202,798
	8,300	MS&AD Insurance Group Holdings Inc (a)		247,638
	9,400	NEC Corp (a)		342,834
	10,600	NH Foods Ltd		303,427
	10,500	Nippon Steel Corp (a)		165,859

Shares		Description	Value ($)
		Japan — continued
	14,300	Nippon Telegraph & Telephone Corp (a)		387,591
	800	Nippon Yusen KK (a)		61,019
	42,200	Obayashi Corp (a)		291,880
	4,800	ORIX Corp (a)		78,899
	49,200	Penta-Ocean Construction Co Ltd (a)		259,644
	3,000	Renesas Electronics Corp * (a)		28,406
	3,800	Rohm Co Ltd (a)		284,308
	9,000	Sankyu Inc (a)		276,816
	3,600	Sawai Group Holdings Co Ltd (a)		106,390
	4,500	Secom Co Ltd (a)		286,692
	21,100	Sekisui House Ltd (a)		358,798
	40,400	Shimizu Corp (a)		221,532
	17,600	Stanley Electric Co Ltd		324,882
	8,000	Subaru Corp		145,419
	18,500	SUMCO Corp (a)		251,098
	60,300	Sumitomo Chemical Co Ltd (a)		237,360
	20,600	Sumitomo Corp (a)		289,751
	2,400	Sumitomo Electric Industries Ltd		27,491
	11,400	Sumitomo Mitsui Financial Group Inc (a)		343,861
	9,700	Sumitomo Mitsui Trust Holdings Inc (a)		301,701
	30,600	T&D Holdings Inc		334,189
	9,500	Taisei Corp (a)		288,036
	18,400	Takara Holdings Inc		139,610
	19,200	Takuma Co Ltd		192,901
	25,900	Teijin Ltd		273,827
	13,000	THK Co Ltd (a)		263,879
	33,800	Tokai Carbon Co Ltd		246,731
	7,900	Tokyo Seimitsu Co Ltd (a)		263,159
	15,700	Toppan Inc (a)		246,563
	14,600	Tosoh Corp (a)		188,776
	6,000	Toyota Industries Corp (a)		335,357
	11,700	Tsumura & Co		267,830
	4,700	Yamaha Motor Co Ltd		97,404
	7,200	Zenkoku Hosho Co Ltd		237,916
		Total Japan		15,796,365
		Netherlands — 1.0%
	71,702	Aegon NV		320,438
	5,400	AerCap Holdings NV *		237,870
	17,779	ING Groep NV (a)		155,823
	9,170	JDE Peet’s NV (a)		282,759
	10,452	Koninklijke Ahold Delhaize NV (a)		287,501
	7,520	Koninklijke Philips NV (a)		124,892
	6,387	NN Group NV (a)		262,493
	5,683	Prosus NV *		351,263
		Total Netherlands		2,023,039
		New Zealand — 0.1%
	15,249	Auckland International Airport Ltd * (a)		70,325
	34,163	Meridian Energy Ltd (a)		104,224
	10,696	Spark New Zealand Ltd (a)		35,381
		Total New Zealand		209,930

3 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Portugal — 0.1%
	38,712	EDP – Energias de Portugal SA		184,873
		South Africa — 0.1%
	16,373	Bidvest Group Ltd (The)		205,100
		South Korea — 0.4%
	4,998	Kia Corp		299,569
	1,292	LG Corp		78,839
	162	POSCO Holdings Inc		30,645
	3,200	POSCO Holdings Inc Sponsored ADR (a)		150,464
	60	Samsung Electronics Co Ltd GDR (Registered) (a)		65,614
	2,591	SK Square Co Ltd *		77,857
		Total South Korea		702,988
		Spain — 0.4%
	68,961	Banco Bilbao Vizcaya Argentaria SA (a)		309,441
	110,304	Banco Santander SA (a)		267,013
	32,365	Telefonica SA (a)		133,571
		Total Spain		710,025
		Sweden — 1.7%
	18,459	Fastighets AB Balder – Class B* (a)		101,934
	2,356	Industrivarden AB – A Shares (a)		52,214
	6,997	Industrivarden AB – C Shares (a)		153,500
	9,682	Investor AB – A Shares (a)		160,922
	14,877	Investor AB – B Shares (a)		234,479
	11,059	Kinnevik AB – Class B* (a)		157,381
	7,327	Skanska AB – B Shares (a)		108,239
	3,739	Svenska Cellulosa AB SCA – Class B (a)		56,023
	220,238	Swedish Match AB (a)		2,211,000
		Total Sweden		3,235,692
		Switzerland — 0.4%
	7,611	Adecco Group AG (Registered) * (a)		241,273
	4,624	Logitech International SA (Registered) (a)		230,071
	927	Roche Holding AG – Genusschein (a)		298,718
		Total Switzerland		770,062
		Taiwan — 1.5%
	2,000	Hon Hai Precision Industry Co Ltd		7,122
	70,000	Ruentex Development Co Ltd		144,344
	36,141	Silicon Motion Technology Corp (a)		2,786,832
		Total Taiwan		2,938,298
		United Kingdom — 0.8%
	6,325	Berkeley Group Holdings Plc		267,757
	175,605	BT Group Plc (a)		307,186
	4,965	Coca-Cola HBC AG *		113,298
	68,574	Kingfisher Plc (a)		184,208
	135,110	M&G Plc (a)		306,623
	95,202	Taylor Wimpey Plc		119,434
	2,336	Unilever Plc (a)		106,369

Shares		Description	Value ($)
		United Kingdom — continued
	2,300	Vodafone Group Plc Sponsored ADR (a)		30,866
	5,600	WPP Plc (a)		48,233
		Total United Kingdom		1,483,974
		United States — 35.2%
	38,271	Activision Blizzard, Inc. (a)		3,003,891
	3,700	Aflac, Inc.		219,854
	600	Akamai Technologies, Inc. * (a)		54,168
	4,745	Alleghany Corp. *		3,991,399
	7,300	Ally Financial, Inc. (a)		242,360
	800	AppLovin Corp. – Class A* (a)		19,704
	1,400	Arch Capital Group Ltd. * (a)		64,008
	3,400	Arrow Electronics, Inc. *		356,354
	3,900	AT&T, Inc. (a)		68,406
	3,500	Best Buy Co., Inc.		247,415
	1,500	Biogen, Inc. * (a)		293,070
	700	Bio-Rad Laboratories, Inc. – Class A*		339,528
	8,400	BorgWarner, Inc.		316,680
	3,000	Capital One Financial Corp. (a)		317,460
	8,100	Carrier Global Corp. (a)		316,872
	4,100	CBRE Group, Inc. – Class A* (a)		323,736
	4,700	Centene Corp. * (a)		421,778
	105,691	Change Healthcare, Inc. * (a)		2,596,828
	1,500	Cigna Corp. (a)		425,175
	6,700	Citigroup, Inc. (a)		327,027
	16,800	Cleveland-Cliffs, Inc. * (a)		290,136
	4,300	Cognizant Technology Solutions Corp. – Class A (a)		271,631
	8,000	Comcast Corp. – Class A (a)		289,520
	22,734	Cowen, Inc. – Class A (a)		874,122
	3,600	CVS Health Corp. (a)		353,340
	3,500	Dell Technologies, Inc. – Class C (a)		134,015
	2,700	Discover Financial Services (a)		271,323
	16,500	DISH Network Corp. – Class A* (a)		286,275
	4,300	DR Horton, Inc. (a)		305,945
	57,281	Duke Realty Corp. (REIT) (a)		3,370,987
	7,100	eBay, Inc. (a)		313,323
	1,000	FedEx Corp. (a)		210,810
	7,400	Fidelity National Financial, Inc. (a)		289,340
	118,985	First Horizon Corp. (a)		2,691,441
	54,085	Flagstar Bancorp, Inc. (a)		2,083,895
	21,800	Ford Motor Co. (a)		332,232
	2,300	Fortune Brands Home & Security, Inc. (a)		141,289
	51,589	Fox Corp. – Class B (a)		1,631,244
	12,000	Franklin Resources, Inc. (a)		312,840
	300	Garmin Ltd. (a)		26,547
	9,200	General Motors Co. * (a)		351,532
	5,500	Gilead Sciences, Inc. (a)		349,085
	1,000	Goldman Sachs Group, Inc. (The) (a)		332,670
	7,008	HEICO Corp.		859,041
	600	Henry Schein, Inc. * (a)		44,046
	10,600	HP, Inc. (a)		304,326
	3,500	IAC, Inc. *		224,945
	4,400	Incyte Corp. * (a)		309,892

See accompanying notes to the financial statements. 4

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	8,900	Intel Corp. (a)		284,088
	3,200	International Business Machines Corp. (a)		411,040
	15,100	Invesco Ltd. (a)		248,697
	2,500	Jazz Pharmaceuticals Plc * (a)		388,050
	22,200	Kinder Morgan, Inc. (a)		406,704
	2,800	Knight-Swift Transportation Holdings, Inc. (a)		141,428
	1,600	Kroger Co. (The) (a)		76,704
	1,600	Laboratory Corp. of America Holdings (a)		360,432
	4,200	Lennar Corp. – Class A (a)		325,290
	10,856	LHC Group, Inc. * (a)		1,752,918
	22,294	Liberty Broadband Corp. – Class C* (a)		2,267,300
	42,153	Liberty Global Plc – Class A* (a)		851,491
	12,500	Liberty Global Plc – Class C*		266,375
	6,000	Lincoln National Corp.		276,360
	1,300	LKQ Corp. (a)		69,186
	26,600	Lumen Technologies, Inc. (a)		264,936
	3,900	LyondellBasell Industries NV – Class A (a)		323,700
	2,100	Meta Platforms, Inc. – Class A* (a)		342,153
	4,500	MetLife, Inc. (a)		289,485
	5,600	Micron Technology, Inc. (a)		316,568
	2,400	Mohawk Industries, Inc. * (a)		264,864
	7,500	Molson Coors Brewing Co. – Class B (a)		387,525
	800	Netflix, Inc. * (a)		178,848
	7,000	NRG Energy, Inc. (a)		288,960
	600	Nucor Corp. (a)		79,764
	10	NVR, Inc. * (a)		41,401
	4,700	Oracle Corp. (a)		348,505
	10,500	Paramount Global – Class B (a)		245,595
	3,800	PayPal Holdings, Inc. * (a)		355,072
	153,945	Pershing Square Tontine Holdings Ltd. (c)		15,394
	800	Pfizer, Inc. (a)		36,184
	0	Philip Morris International, Inc.		—
	14,158	PNM Resources, Inc. (a)		671,514
	3,700	Prudential Financial, Inc. (a)		354,275
	7,400	PulteGroup, Inc. (a)		300,884
	2,000	Quest Diagnostics, Inc. (a)		250,620
	600	Regeneron Pharmaceuticals, Inc. * (a)		348,636
	43,138	Resolute Forest Products, Inc. *		873,976
	8,207	Rogers Corp. * (a)		2,056,018
	700	Skyworks Solutions, Inc. (a)		68,985
	64,498	South Jersey Industries, Inc. (a)		2,183,257
	50,915	Sportsman’s Warehouse Holdings, Inc. *		405,283
	1,600	SS&C Technologies Holdings, Inc. (a)		89,216
	600	Stanley Black & Decker, Inc. (a)		52,860
	4,100	Steel Dynamics, Inc. (a)		330,952
	78,103	Switch, Inc. – Class A (a)		2,651,597
	9,800	Synchrony Financial (a)		320,950
	167,015	TEGNA, Inc. (a)		3,574,121
	39,027	Terminix Global Holdings, Inc. *		1,664,502
	4,700	Textron, Inc. (a)		293,186
	4,300	Tyson Foods, Inc. – Class A (a)		324,134
	139,369	Umpqua Holdings Corp. (a)		2,472,406
	200	United Parcel Service, Inc. – Class B (a)		38,902

Shares /          Par Value		Description	Value ($)
		United States — continued
	3,000	Universal Health Services, Inc. – Class B (a)		293,520
	6,900	Verizon Communications, Inc. (a)		288,489
	1,200	Vertex Pharmaceuticals, Inc. * (a)		338,112
	31,800	Viatris, Inc. (a)		303,690
	17,548	VMware, Inc. – Class A (a)		2,036,094
	6,800	Walgreens Boots Alliance, Inc. (a)		238,408
	3,943	Warner Bros Discovery, Inc. * (a)		52,205
	19,700	Western Union Co. (The) (a)		291,954
	6,400	Western Digital Corp. * (a)		270,464
	700	Westlake Corp. (a)		69,041
	1,900	Whirlpool Corp. (a)		297,540
	6,308	Willis Towers Watson Plc (a)		1,304,684
	24,954	Zogenix, Inc. (c)		18,715
	3,300	Zoom Video Communications, Inc. – Class A* (a)		265,320
		Total United States		68,501,032
		TOTAL COMMON STOCKS (COST $128,064,743)		115,868,681
		PREFERRED STOCKS (d) — 0.2%
		Brazil — 0.1%
	19,700	Petroleo Brasileiro SA Sponsored ADR (a)		250,978
		Germany — 0.1%
	2,200	Bayerische Motoren Werke AG (a)		152,953
	223	Volkswagen AG (a)		31,719
		Total Germany		184,672
		TOTAL PREFERRED STOCKS (COST $439,565)		435,650
		RIGHTS/WARRANTS — 0.2%
		United States — 0.2%
	195,149	Bristol-Myers Squibb Co. CVR * (c)		361,026
		TOTAL RIGHTS/WARRANTS (COST $284,429)		361,026
		INVESTMENT FUNDS — 1.9%
		United States — 1.9%
	1,000,824	Altaba, Inc. (c)		3,753,090
		TOTAL INVESTMENT FUNDS (COST $3,301,440)		3,753,090
		DEBT OBLIGATIONS — 29.6%
		United States — 29.6%
		U.S. Government — 22.9%
	3,550,000	U.S. Treasury Note, Variable Rate, USBM + 0.05%, 2.95%, due 01/31/23 (a)		3,553,188
	16,025,000	U.S. Treasury Note, 0.13%, due 02/28/23		15,778,991

5 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value / Shares		Description(e)	Value ($)
		United States — continued
		U.S. Government — continued
	6,025,000	U.S. Treasury Note, 0.13%, due 04/30/23 (a)		5,898,616
	5,050,000	U.S. Treasury Note, 0.13%, due 06/30/23 (a)		4,913,689
	400,000	U.S. Treasury Note, 0.13%, due 07/31/23		388,000
	3,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 10/31/23		3,502,719
	10,650,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 07/31/24 (a)		10,635,888
		Total U.S. Government		44,671,091
		U.S. Government Agency — 6.7%
	13,000,000	Federal Home Loan Banks, 1.00%, due 03/02/23		13,000,435
		Total United States		57,671,526
		TOTAL DEBT OBLIGATIONS (COST $58,077,628)		57,671,526
		MUTUAL FUNDS — 3.1%
		United States — 3.1%
		Affiliated Issuers — 3.1%
	256,058	GMO Emerging Markets Fund, Class VI		6,007,107
		TOTAL MUTUAL FUNDS (COST $8,893,542)		6,007,107

Shares / Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 38.3%
		Money Market Funds — 0.4%
	635,080	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (f)		746,330
		Repurchase Agreements — 26.2%
	51,017,820	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 08/31/22, maturing on 09/01/22 with a maturity value of $51,021,009 and an effective yield of 2.25%, collateralized by a U.S. Treasury Note with maturity date 02/15/28 and a market value of $52,059,000.		51,017,820
		U.S. Government — 11.7%
	23,000,000	U.S. Treasury Bill, 3.30%, due 02/23/23 (g)		22,640,265
		TOTAL SHORT-TERM INVESTMENTS (COST $74,414,758)		74,404,415

PURCHASED OPTIONS — 0.0%

		Exercise		Expiration		Number of		Notional		Value
Description		Price		Date		Contracts		Amount		($)
Equity Options – Puts — 0.0%
VMware, Inc.			110.00		10/21/22		91		USD 1,055,873		19,565
	TOTAL PURCHASED OPTIONS (COST $16,476)										19,565
	TOTAL INVESTMENTS — 132.9% (Cost $273,492,581)										258,521,060

Shares	Description	Value ($)
	SECURITIES SOLD SHORT — (31.6)%
	Common Stocks — (31.4)%
	Australia — (0.6)%
(43,655)	APA Group		(329,195	)
(4,663)	ASX Ltd		(248,222	)
(1,027)	Cochlear Ltd		(149,508	)
(487)	Domino’s Pizza Enterprises Ltd		(20,991	)
(3,773)	IDP Education Ltd		(74,277	)
(85,949)	Qantas Airways Ltd*		(308,877	)
	Total Australia		(1,131,070	)

Shares	Description	Value ($)
	Austria — (0.2)%
(3,765)	Verbund AG		(359,775	)
	Belgium — (0.1)%
(5,656)	Anheuser-Busch InBev SA/NV		(273,154	)
	Canada — (1.2)%
(200)	Agnico Eagle Mines Ltd		(8,242	)
(12,600)	Algonquin Power & Utilities Corp		(172,746	)
(15,200)	AltaGas Ltd		(327,760	)
(7,100)	Brookfield Renewable Corp – Class A		(272,569	)
(7,900)	Enbridge Inc		(325,638	)
(2,500)	Franco-Nevada Corp		(300,500	)

See accompanying notes to the financial statements. 6

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	(13,500)	Pan American Silver Corp		(200,880	)
	(10,800)	Pembina Pipeline Corp		(381,456	)
	(5,600)	Restaurant Brands International Inc		(330,400	)
	(1,100)	Ritchie Bros Auctioneers Inc		(76,274	)
		Total Canada		(2,396,465	)
		France — (0.8)%
	(10,681)	Accor SA*		(254,754	)
	(2,282)	Aeroports de Paris*		(312,475	)
	(20,049)	Getlink SE		(377,543	)
	(240)	Hermes International		(307,384	)
	(313)	Sartorius Stedim Biotech		(114,483	)
	(2,397)	Ubisoft Entertainment SA*		(110,538	)
	(1,369)	Wendel SE		(107,565	)
		Total France		(1,584,742	)
		Germany — (0.8)%
	(7,435)	Delivery Hero SE*		(308,562	)
	(477)	MTU Aero Engines AG		(84,125	)
	(3,042)	Puma SE		(185,938	)
	(1,701)	QIAGEN NV*		(77,151	)
	(274)	Rational AG		(147,785	)
	(1,574)	Scout24 SE		(90,683	)
	(2,908)	Symrise AG – Class A		(304,276	)
	(130,794)	Telefonica Deutschland Holding AG		(339,534	)
	(2,391)	Zalando SE*		(55,358	)
		Total Germany		(1,593,412	)
		Israel — (0.2)%
	(2,500)	CyberArk Software Ltd*		(360,700	)
	(1,600)	Kornit Digital Ltd*		(49,728	)
	(800)	Wix.com Ltd*		(50,632	)
		Total Israel		(461,060	)
		Italy — (0.5)%
	(7,521)	Amplifon SPA		(196,004	)
	(1,437)	Ferrari NV (b)		(277,402	)
	(200)	Ferrari NV (b)		(38,932	)
	(25,513)	FinecoBank Banca Fineco SPA		(275,854	)
	(26,970)	Infrastrutture Wireless Italiane SPA		(249,956	)
		Total Italy		(1,038,148	)
		Japan — (2.7)%
	(9,100)	Aeon Co Ltd		(177,502	)
	(15,700)	ANA Holdings Inc*		(301,854	)
	(13,600)	Asahi Intecc Co Ltd		(241,911	)
	(3,100)	East Japan Railway Co		(160,570	)
	(100)	Fast Retailing Co Ltd		(58,473	)
	(3,500)	GMO Payment Gateway Inc		(277,565	)
	(17,200)	Japan Airlines Co Ltd*		(314,593	)
	(6,200)	Japan Exchange Group Inc		(92,394	)
	(5,600)	Keio Corp		(213,082	)

Shares		Description	Value ($)
		Japan — continued
	(1,200)	Keisei Electric Railway Co Ltd		(33,475	)
	(3,800)	Kintetsu Group Holdings Co Ltd		(129,035	)
	(2,400)	Lasertec Corp		(332,274	)
	(1,900)	LIXIL Corp		(33,040	)
	(10,600)	M3 Inc		(339,538	)
	(20,300)	MonotaRO Co Ltd		(364,228	)
	(2,900)	Nidec Corp		(192,653	)
	(15,600)	Nihon M&A Center Inc		(193,335	)
	(26,800)	Nippon Paint Holdings Co Ltd		(206,691	)
	(2,400)	Nissin Foods Holdings Co Ltd		(171,711	)
	(14,100)	Odakyu Electric Railway Co Ltd		(192,621	)
	(2,200)	ORIENTAL LAND CO LTD		(327,992	)
	(60,400)	Rakuten Group Inc		(293,137	)
	(1,900)	Shiseido Co Ltd		(71,770	)
	(5,000)	Tobu Railway Co Ltd		(118,131	)
	(13,700)	Tokyu Corp		(162,862	)
	(8,600)	West Japan Railway Co		(334,698	)
		Total Japan		(5,335,135	)
		Netherlands — (0.5)%
	(218)	Adyen NV*		(336,405	)
	(1,140)	IMCD NV		(157,270	)
	(10,178)	Just Eat Takeaway.com NV*		(169,315	)
	(14,244)	Universal Music Group NV		(282,857	)
		Total Netherlands		(945,847	)
		New Zealand — (0.2)%
	(5,443)	Xero Ltd*		(320,207	)
		Norway — (0.2)%
	(8,389)	Aker BP ASA		(293,874	)
		Peru — (0.1)%
	(4,300)	Southern Copper Corp		(202,401	)
		Singapore — (0.3)%
	(7,200)	City Developments Ltd		(41,805	)
	(71,400)	Singapore Airlines Ltd*		(271,095	)
	(28,300)	Singapore Exchange Ltd		(192,044	)
		Total Singapore		(504,944	)
		South Africa — (0.7)%
	(162,134)	Gold Fields Ltd – Sponsored ADR		(1,311,664	)
		Spain — (0.4)%
	(643)	Aena SME SA*		(78,974	)
	(8,628)	Cellnex Telecom SA		(335,998	)
	(14,827)	Ferrovial SA		(371,795	)
		Total Spain		(786,767	)
		Sweden — (0.2)%
	(26,596)	Embracer Group AB – Class B*		(165,014	)
	(89)	Epiroc AB – Class B		(1,212	)

7 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Sweden — continued
	(3,168)	Evolution AB		(253,450	)
		Total Sweden		(419,676	)
		Switzerland — (0.3)%
	(6)	Chocoladefabriken Lindt & Spruengli AG		(63,458	)
	(282)	Partners Group Holding AG		(272,202	)
	(168)	Sika AG (Registered)		(37,799	)
	(1,861)	Straumann Holding AG (Registered)		(203,933	)
		Total Switzerland		(577,392	)
		United Kingdom — (1.9)%
	(3,262)	Admiral Group Plc		(80,241	)
	(44,789)	Auto Trader Group Plc		(338,187	)
	(658)	Croda International Plc		(51,288	)
	(3,877)	Halma Plc		(93,261	)
	(18,955)	Hargreaves Lansdown Plc		(179,450	)
	(55,219)	Informa Plc*		(349,351	)
	(3,075)	InterContinental Hotels Group Plc		(166,930	)
	(11,387)	Land Securities Group Plc (REIT)		(85,886	)
	(3,989)	London Stock Exchange Group Plc		(374,174	)
	(27,924)	Ocado Group Plc*		(234,677	)
	(4,680)	Prudential Plc		(49,117	)
	(207,219)	Rentokil Initial Plc		(1,251,493	)
	(289,398)	Rolls-Royce Holdings Plc*		(257,917	)
	(1,085)	Spirax-Sarco Engineering Plc		(132,453	)
		Total United Kingdom		(3,644,425	)
		United States — (19.5)%
	(15,600)	AES Corp. (The)		(397,020	)
	(1,800)	Alnylam Pharmaceuticals, Inc.*		(372,006	)
	(5,700)	Altria Group, Inc.		(257,184	)
	(800)	American Tower Corp. (REIT)		(203,240	)
	(6,505)	Aon Plc – Class A		(1,816,586	)
	(8,300)	Aramark		(296,393	)
	(2,100)	Arthur J Gallagher & Co.		(381,297	)
	(1,400)	Autodesk, Inc.*		(282,436	)
	(2,400)	Bill.Com Holdings, Inc.*		(388,512	)
	(2,500)	BioMarin Pharmaceutical, Inc.*		(223,000	)
	(900)	Bio-Techne Corp.		(298,629	)
	(2,100)	Boeing Co. (The)*		(336,525	)
	(1,705)	Broadcom, Inc.		(850,983	)
	(1,700)	Burlington Stores, Inc.*		(238,323	)
	(7,100)	Caesars Entertainment, Inc.*		(306,152	)
	(1,900)	Carnival Corp.*		(17,974	)
	(8,100)	Carvana Co. – Class A*		(267,219	)
	(2,100)	Catalent, Inc.*		(184,800	)
	(5,900)	Ceridian HCM Holding, Inc.*		(351,876	)
	(5,474)	Charter Communications, Inc. – Class A*		(2,258,737	)
	(200)	Chipotle Mexican Grill, Inc. – Class A*		(319,360	)
	(52)	Citizens Financial Group, Inc.		(1,907	)
	(14,500)	Clarivate Plc*		(169,215	)
	(4,500)	Cloudflare, Inc. – Class A*		(281,565	)
	(1,500)	CME Group, Inc.		(293,415	)

Shares		Description	Value ($)
		United States — continued
	(83,038)	Columbia Banking System, Inc.		(2,486,988	)
	(100)	Costco Wholesale Corp.		(52,210	)
	(5,300)	Coupa Software, Inc.*		(309,520	)
	(1,200)	Crown Castle, Inc. (REIT)		(204,996	)
	(200)	Delta Air Lines, Inc.*		(6,214	)
	(4,100)	Dexcom, Inc.*		(337,061	)
	(2,400)	Diamondback Energy, Inc.		(319,872	)
	(2,100)	DocuSign, Inc. – Class A*		(122,262	)
	(3,000)	Dominion Energy, Inc.		(245,400	)
	(1,200)	Dynatrace, Inc.*		(45,816	)
	(200)	Equinix, Inc. (REIT)		(131,474	)
	(2,500)	Equity LifeStyle Properties, Inc. (REIT)		(175,250	)
	(7,600)	Exact Sciences Corp.*		(270,180	)
	(5,500)	Fastenal Co.		(276,815	)
	(5,500)	Fortinet, Inc.*		(267,795	)
	(35,822)	Fox Corp. – Class A		(1,224,396	)
	(800)	Gartner, Inc.*		(228,256	)
	(1)	Goldman Sachs Group, Inc. (The)		(333	)
	(4,300)	Guidewire Software, Inc.*		(308,353	)
	(5,649)	HEICO Corp.		(860,343	)
	(1,500)	Hess Corp.		(181,170	)
	(1,000)	HubSpot, Inc.*		(337,040	)
	(700)	IDEXX Laboratories, Inc.*		(243,334	)
	(4,000)	Ingersoll Rand, Inc.		(189,480	)
	(1,600)	Insulet Corp.*		(408,752	)
	(1,800)	IQVIA Holdings, Inc.*		(382,788	)
	(3,700)	Iron Mountain, Inc. (REIT)		(194,657	)
	(33,057)	Liberty Global Plc – Class C*		(704,445	)
	(6,300)	Liberty Media Corp.-Liberty Formula One – Class C*		(401,184	)
	(1,100)	Linde Plc*		(311,146	)
	(3,800)	Live Nation Entertainment, Inc.*		(343,368	)
	(3)	M&T Bank Corp.		(545	)
	(1,100)	MarketAxess Holdings, Inc.		(273,449	)
	(1,800)	Marriott International, Inc. – Class A		(276,732	)
	(700)	Marvell Technology, Inc.		(32,774	)
	(6,108)	MaxLinear, Inc.*		(219,460	)
	(1,200)	MongoDB, Inc. – Class A*		(387,432	)
	(500)	Monolithic Power Systems, Inc.		(226,590	)
	(600)	Moody’s Corp.		(170,712	)
	(700)	MSCI, Inc. – Class A		(314,468	)
	(217,157)	New York Community Bancorp, Inc.		(2,125,967	)
	(10,500)	NiSource, Inc.		(309,855	)
	(5,600)	Novocure Ltd.*		(459,928	)
	(3,400)	Okta, Inc.*		(310,760	)
	(5,000)	ONEOK, Inc.		(306,150	)
	(13,100)	Palantir Technologies, Inc. – Class A*		(101,132	)
	(600)	Palo Alto Networks, Inc.*		(334,086	)
	(2,400)	Paychex, Inc.		(296,016	)
	(5,400)	Peloton Interactive, Inc. – Class A*		(55,026	)
	(3,200)	Philip Morris International, Inc.		(305,568	)
	(27,210)	Prologis, Inc. (REIT)		(3,387,917	)
	(200)	PTC, Inc.*		(22,978	)
	(100)	Public Storage (REIT)		(33,083	)

See accompanying notes to the financial statements. 8

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	(1,100)	RingCentral, Inc. – Class A*		(47,344	)
	(6,100)	ROBLOX Corp. – Class A*		(238,571	)
	(3,000)	Roku, Inc.*		(204,000	)
	(8,100)	Rollins, Inc.		(273,456	)
	(7,400)	Royal Caribbean Cruises Ltd.*		(302,290	)
	(100)	S&P Global, Inc.		(35,218	)
	(2,200)	Seagen, Inc.*		(339,438	)
	(700)	ServiceNow, Inc.*		(304,234	)
	(1,000)	Sherwin-Williams Co. (The)		(232,100	)
	(1,700)	Simon Property Group, Inc. (REIT)		(173,366	)
	(11,300)	Snap, Inc. – Class A*		(122,944	)
	(1,100)	Starbucks Corp.		(92,477	)
	(3,800)	Sysco Corp.		(312,436	)
	(7,100)	Teladoc Health, Inc.*		(220,526	)
	(1,500)	Tesla, Inc.*		(413,415	)
	(500)	TransDigm Group, Inc.*		(300,195	)
	(3,500)	Twilio, Inc. – Class A*		(243,530	)
	(9,800)	Uber Technologies, Inc.*		(281,848	)
	(4,100)	UDR, Inc. (REIT)		(183,967	)
	(1,400)	Vail Resorts, Inc.		(314,552	)
	(100)	Waste Connections, Inc.		(13,918	)
	(1,300)	Wayfair, Inc. – Class A*		(68,523	)
	(11,900)	Williams Cos, Inc. (The)		(404,957	)
	(2,888)	Zillow Group, Inc. – Class C*		(96,632	)
	(400)	Zoetis, Inc.		(62,612	)
	(200)	ZoomInfo Technologies, Inc. – Class A*		(9,084	)
	(1,800)	Zscaler, Inc.*		(286,632	)
		Total United States		(37,894,145	)
		TOTAL COMMON STOCKS (PROCEEDS $73,283,561)		(61,074,303	)
		PREFERRED STOCKS (d) — (0.2)%
		Germany — (0.2)%
	(810)	Sartorius AG		(337,466	)
		TOTAL PREFERRED STOCKS (PROCEEDS $378,658)		(337,466	)
		TOTAL SECURITIES SOLD SHORT (PROCEEDS $73,662,219)		(61,411,769	)
		Other Assets and Liabilities (net) — (1.0%)		(2,515,271	)
		TOTAL NET ASSETS — 100.0%		$194,594,020

9 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

A summary of outstanding financial instruments at August 31, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
11/09/2022	JPM		AUD	1,110,000		USD	764,700		4,463
09/09/2022	BOA		CAD	1,646,325		USD	1,273,458		19,963
10/03/2022	DB		CAD	5,770,217		USD	4,502,744		110,324
09/09/2022	MSCI		CAD	99,144		USD	76,713		1,226
09/19/2022	MSCI		CAD	416,430		USD	323,565		6,529
10/24/2022	MSCI		CAD	1,157,042		USD	894,662		13,961
09/09/2022	SSB		CAD	5,482,526		USD	4,369,967		195,629
09/16/2022	JPM		CHF	1,190,000		USD	1,253,983		35,278
09/30/2022	UBSA		CHF	5,857,062		USD	6,111,273		106,027
09/16/2022	MSCI		CLP	325,903,500		USD	367,671		5,004
09/16/2022	JPM		COP	3,200,000,000		USD	792,140		71,174
11/18/2022	JPM		CZK	12,170,976		USD	498,896		4,193
11/18/2022	MSCI		CZK	2,400,000		USD	99,074		1,523
09/30/2022	BCLY		EUR	1,050,000		USD	1,078,450		21,313
09/30/2022	DB		EUR	3,240,000		USD	3,436,086		174,064
09/30/2022	JPM		EUR	740,916		USD	754,678		8,726
09/30/2022	SSB		EUR	462,601		USD	473,876		8,130
10/18/2022	SSB		EUR	1,953,100		USD	1,991,379		22,569
09/30/2022	UBSA		EUR	1,171,796		USD	1,202,390		22,629
09/21/2022	BOA		GBP	340,000		USD	407,311		12,192
09/21/2022	BCLY		GBP	230,000		USD	272,538		5,252
09/21/2022	JPM		GBP	550,000		USD	667,571		28,408
10/18/2022	MSCI		GBP	1,932,224		USD	2,328,446		81,762
09/19/2022	UBSA		GBP	2,591,850		USD	3,066,369		54,457
11/30/2022	JPM		ILS	1,117,605		USD	345,265		8,144
11/30/2022	MSCI		ILS	250,000		USD	75,770		359
09/13/2022	BCLY		JPY	141,524,614		USD	1,077,013		57,476
10/11/2022	BCLY		JPY	42,686,280		USD	312,829		4,590
10/11/2022	JPM		JPY	159,640,459		USD	1,187,304		34,537
10/11/2022	MSCI		JPY	145,951,016		USD	1,081,777		27,862
10/11/2022	UBSA		JPY	88,650,370		USD	670,291		30,144
11/04/2022	MSCI		KRW	141,169,825		USD	108,090		2,860
11/30/2022	MSCI		NZD	6,930,000		USD	4,303,669		64,240
09/19/2022	SSB		NZD	904,417		USD	553,805		469
09/02/2022	BCLY		PHP	29,974,970		USD	539,977		6,188
10/03/2022	BCLY		PHP	30,163,090		USD	535,652		228
09/02/2022	CITI		PHP	6,500,000		USD	116,260		509
10/19/2022	DB		PLN	650,000		USD	139,645		2,437
10/19/2022	MSCI		PLN	800,000		USD	171,914		3,042
09/30/2022	BOA		RON	350,000		USD	72,511		179
09/21/2022	BOA		SGD	110,000		USD	79,946		1,226
09/21/2022	JPM		SGD	90,000		USD	64,756		349
09/21/2022	MSCI		SGD	775,848		USD	558,105		2,875
11/18/2022	BCLY		THB	30,052,251		USD	852,254		24,022
09/12/2022	BCLY		TWD	1,500,000		USD	49,616		233
09/12/2022	JPM		TWD	23,743,349		USD	791,894		10,207
10/04/2022	MSCI		USD	781,260		BRL	4,189,119		17,675
09/16/2022	MSCI		USD	105,319		CLP	100,000,000		5,962
09/16/2022	JPM		USD	94,198		COP	440,000,000		4,935

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
11/04/2022	MSCI		USD	843,982		IDR	12,614,143,000		3,225
10/24/2022	MSCI		USD	787,250		MXN	16,418,725		19,639
10/18/2022	JPM		USD	2,938,196		NOK	30,327,768		115,987
09/16/2022	JPM		USD	81,311		PEN	320,000		1,746
09/16/2022	MSCI		USD	206,639		PEN	800,000		1,003
09/02/2022	BCLY		USD	536,700		PHP	30,163,090		440
09/21/2022	MSCI		USD	113,936		SGD	160,000		567
09/19/2022	DB		AUD	4,960,501		USD	3,354,350		(40,747	)
10/04/2022	GS		BRL	900,000		USD	162,766		(8,879	)
10/04/2022	JPM		BRL	500,000		USD	93,298		(2,061	)
09/19/2022	SSB		CAD	4,037,253		USD	3,073,522		(119	)
09/16/2022	JPM		CHF	2,967,275		USD	3,015,050		(23,802	)
11/18/2022	CITI		CZK	4,200,000		USD	169,395		(1,319	)
09/30/2022	BCLY		EUR	450,656		USD	452,629		(1,091	)
09/30/2022	JPM		EUR	324,952		USD	322,688		(4,473	)
09/30/2022	SSB		EUR	644,526		USD	645,065		(3,842	)
09/30/2022	UBSA		EUR	734,839		USD	737,558		(2,275	)
11/16/2022	BOA		HUF	30,000,000		USD	71,755		(2,103	)
11/16/2022	CITI		HUF	60,000,000		USD	147,621		(96	)
11/16/2022	MSCI		HUF	25,000,000		USD	60,584		(965	)
11/25/2022	GS		INR	2,000,000		USD	24,832		(137	)
11/25/2022	JPM		INR	55,926,936		USD	694,520		(3,683	)
10/03/2022	CITI		PHP	4,000,000		USD	70,925		(79	)
10/19/2022	BOA		PLN	450,000		USD	92,566		(2,424	)
10/19/2022	DB		PLN	500,000		USD	104,521		(1,024	)
10/19/2022	MSCI		PLN	107,005		USD	22,232		(356	)
09/30/2022	DB		RON	700,000		USD	143,923		(740	)
09/30/2022	GS		RON	350,000		USD	71,211		(1,121	)
09/30/2022	MSCI		RON	1,391,896		USD	283,916		(3,737	)
09/19/2022	BCLY		USD	1,576,724		AUD	2,268,928		(23,812	)
11/09/2022	BCLY		USD	2,304,307		AUD	3,311,000		(36,609	)
09/19/2022	DB		USD	1,048,771		AUD	1,518,717		(9,321	)
11/09/2022	JPM		USD	527,139		AUD	750,000		(13,465	)
09/19/2022	JPM		USD	655,871		AUD	938,516		(13,526	)
09/19/2022	SSB		USD	650,993		AUD	917,481		(23,045	)
10/04/2022	GS		USD	115,337		BRL	600,000		(907	)
10/04/2022	JPM		USD	68,775		BRL	350,000		(2,024	)
10/03/2022	BCLY		USD	9,349,073		CAD	12,011,502		(205,645	)
09/09/2022	BBH		USD	1,901,834		CAD	2,451,951		(34,944	)
09/19/2022	JPM		USD	907,497		CAD	1,168,392		(17,976	)
10/24/2022	JPM		USD	339,977		CAD	443,857		(2,128	)
09/19/2022	MSCI		USD	1,061,346		CAD	1,367,825		(19,994	)
10/24/2022	MSCI		USD	591,249		CAD	773,144		(2,758	)
09/19/2022	SSB		USD	2,130,751		CAD	2,734,444		(48,963	)
10/24/2022	SSB		USD	555,929		CAD	723,210		(5,446	)
10/24/2022	UBSA		USD	1,086,579		CAD	1,409,582		(13,654	)
09/30/2022	BCLY		USD	659,801		CHF	626,172		(17,786	)
09/30/2022	DB		USD	782,277		CHF	744,324		(19,121	)
09/16/2022	JPM		USD	2,590,035		CHF	2,490,000		(39,971	)

See accompanying notes to the financial statements. 10

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/30/2022	UBSA		USD	765,196		CHF	732,014		(14,661	)
09/16/2022	MSCI		USD	56,085		CLP	50,000,000		(445	)
09/16/2022	JPM		USD	1,485,327		COP	5,775,101,500		(184,186	)
09/16/2022	MSCI		USD	162,395		COP	640,000,000		(18,202	)
09/30/2022	BCLY		USD	266,616		EUR	261,714		(3,124	)
09/30/2022	SSB		USD	1,030,310		EUR	1,011,665		(11,769	)
10/18/2022	BOA		USD	2,285,147		GBP	1,932,224		(38,463	)
09/19/2022	BCLY		USD	1,409,454		GBP	1,196,461		(19,081	)
09/21/2022	DB		USD	447,359		GBP	370,000		(17,377	)
09/19/2022	DB		USD	346,345		GBP	285,078		(15,064	)
09/21/2022	JPM		USD	2,434,353		GBP	2,070,000		(28,775	)
09/19/2022	SSB		USD	216,028		GBP	177,308		(9,984	)
09/19/2022	UBSA		USD	409,685		GBP	339,701		(14,928	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
11/16/2022	MSCI		USD	280,247		HUF	109,520,539			(10,613	)
09/15/2022	BOA		USD	2,904,165		JPY	390,861,155			(87,959	)
09/13/2022	DB		USD	3,907,634		JPY	526,670,191			(113,528	)
10/11/2022	MSCI		USD	9,989,743		JPY	1,338,284,786			(325,956	)
09/13/2022	SSB		USD	377,758		JPY	52,053,550			(2,766	)
11/04/2022	CITI		USD	84,493		KRW	110,000,000			(2,498	)
09/02/2022	BCLY		USD	113,611		PHP	6,311,880			(1,210	)
11/08/2022	BCLY		USD	611,749		SEK	6,210,293			(27,339	)
09/21/2022	SSB		USD	259,391		SGD	360,000			(1,760	)
11/30/2022	DB		USD	47,095		ZAR	800,000			(764	)
11/30/2022	MSCI		USD	91,150		ZAR	1,543,323			(1,771	)
									$	(140,240	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
10	Australian Government Bond 10 Yr.	September 2022			820,821			7,140
150	CAC40 10 Euro	September 2022			9,180,973			(704,190	)
22	Euro Bund	September 2022			3,271,455			(83,517	)
116	FTSE 100 Index	September 2022			9,789,370			(96,898	)
14	Hang Seng Index	September 2022			1,761,845			(26,855	)
260	Mini MSCI Emerging Markets	September 2022			12,764,700			(577,094	)
110	MSCI Singapore	September 2022			2,268,098			(58,433	)
26	TOPIX Index	September 2022			3,646,022			(69,691	)
				$	43,503,284		$	(1,609,538	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
2	Canadian Government Bond 10 Yr.	December 2022			189,729			42
2	DAX Index	September 2022			644,098			46,325
10	E-mini Russell 2000 Index	September 2022			922,300			77,520
35	FTSE Taiwan Index	September 2022			1,813,664			41,641
67	MSCI EAFE	September 2022			6,120,785			421,540
112	S&P 500 E-Mini	September 2022			22,156,400			(32,384	)
15	S&P/TSX 60	September 2022			2,661,134			106,372
38	SPI 200 Futures	September 2022			4,443,652			(52,178	)
71	U.S. Treasury Note 10 Yr. (CBT)	December 2022			8,300,344			42,418
16	UK Gilt Long Bond	December 2022			2,006,117			31,528
				$	49,258,223		$	682,824

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

11 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Written Options

Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Value ($)
Equity Options – Calls
VMware, Inc.		115.00		10/21/22		(91)		USD 1,055,873		(56,966	)
Index Options – Puts
S&P 500 Index		4,145.00		09/02/22		(9)		USD 3,559,500		(168,030	)
S&P 500 Index		4,280.00		09/09/22		(8)		USD 3,164,000		(258,800	)
S&P 500 Index		4,230.00		09/16/22		(8)		USD 3,164,000		(221,040	)
S&P 500 Index		4,060.00		09/23/22		(9)		USD 3,559,500		(132,030	)
				Total Index Options – Puts						(779,900	)

Principal/

Exercise

Expiration

Notional

Floating

Pay/Receive

Value

Description

Counterparty

Rate

Date

Amount

Rate Index

Floating Rate

($)

Written Options on Credit Default Swaps - Puts

CDX.NA.IG.S38

BCLY

1.05%

11/16/22

USD (11,125,000)

Fixed Spread

Pay

(40,378

)

TOTAL WRITTEN OPTIONS

(Premiums $360,629)

$

(877,244

)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount		Annual Premium			Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
ITRAXX.XO.36.V1	EUR	6,675,000		5.00	%		5.57	%		N/A		12/20/2026		Quarterly			(237,665	)		131,947				369,612
CDX.NA.HYS.37.V2	USD	4,405,500		5.00	%		4.97	%		N/A		12/20/2026		Quarterly			(244,505	)		(2,951	)			241,554
CDX.NA.IGS.38.V1	USD	11,125,000		1.00	%		0.92	%		N/A		06/20/2027		Quarterly			(150,932	)		(37,102	)			113,830
Sell Protection^:
CDX.NA.HYS.38.V2	USD	9,999,000		5.00	%		5.32	%		9,999,000 USD		06/20/2027		Quarterly		$	103,731		$	(125,558	)		$	(229,289	)
																$	(529,371	)	$	(33,664	)		$	495,707

OTC Credit Default Swaps

Maximum

Potential

Amount of

Future

Payments by

Implied

the Fund

Periodic

Premiums

Net Unrealized

Counter-

Notional

Annual

Credit

Under the

Expiration

Payment

Paid/

Appreciation/

Reference Entity

party

Amount

Premium

Spread (1)

Contract (2)

Date

Frequency

(Received) ($)

Value ($)

(Depreciation) ($)

Buy Protection^:

CDX.NA.HYS.31.V1-5Y

CITI

USD  1,631,000

5.00%

6.44%

N/A

12/20/2023

Quarterly

(6,361)

29,556

35,917

CDX.NA.HYS.31.V1-5Y

CITI

USD  1,780,000

5.00%

6.44%

N/A

12/20/2023

Quarterly

18,334

32,256

13,922

See accompanying notes to the financial statements. 12

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

OTC Credit Default Swaps — continued

Reference Entity	Counter- party	Notional Amount		Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received) ($)				Value ($)			Net Unrealized Appreciation/ Depreciation) ($)
CMBX.NA.BBB-.11	GS	USD	1,440,000	3.00%	6.00%	N/A	11/18/2054	Monthly			54,713			175,806				121,093
CMBX.NA.9.A	MLCS	USD	4,750,000	2.00%	3.26%	N/A	09/17/2058	Monthly			9,294			(167,304	)			(176,598	)
CMBX.NA.9.BBB	MLCS	USD	2,750,000	3.00%	9.47%	N/A	09/17/2058	Monthly			221,089			454,146				233,057
CMBX.NA.BBB-.9	CGMI	USD	666,000	3.00%	9.47%	N/A	09/17/2058	Monthly			77,753			109,986				32,233
CMBX.NA.BBB-.9	CGMI	USD	1,110,000	3.00%	9.47%	N/A	09/17/2058	Monthly			128,809			183,310				54,501
CMBX.NA.BBB-.12	GS	USD	1,260,000	3.00%	5.99%	N/A	08/17/2061	Monthly			49,804			173,976				124,172
CMBX.NA.13.BBB	CGMI	USD	1,500,000	3.00%	5.99%	N/A	12/16/2072	Monthly			65,524			234,033				168,509
CMBX.NA.13.BBB	GS	USD	576,500	3.00%	5.99%	N/A	12/16/2072	Monthly			35,495			89,946				54,451
CMBX.NA.BBB-.13	MORD	USD	1,668,750	3.00%	5.99%	N/A	12/16/2072	Monthly			226,078			260,361				34,283
Sell Protection^:
CDX.NA.HYS.31.V14-5Y	CITI	USD	1,187,000	5.00%	1.49%	1,187,000 USD	12/20/2023	Quarterly			121,668			53,290				(68,378	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	1,928,000	5.00%	1.49%	1,928,000 USD	12/20/2023	Quarterly			203,886			86,556				(117,330	)
CDX.NA.HYS.31.V14-5Y	CITI	USD	3,560,000	5.00%	1.49%	3,560,000 USD	12/20/2023	Quarterly			238,520			159,824				(78,696	)
CDX.NA.HYS.33.V12-5Y	CITI	USD	4,388,727	5.00%	0.55%	4,388,727 USD	12/20/2024	Quarterly			756,836			424,955				(331,881	)
CDX.NA.HYS.35	GS	USD	2,225,000	5.00%	2.70%	2,225,000 USD	12/20/2025	Quarterly			132,919			157,547				24,628
CDX.NA.HYS.35.V1-5Y	MSCI	USD	2,160,000	5.00%	6.00%	2,160,000 USD	12/20/2025	Quarterly			158,760			(63,974	)			(222,734	)
CDX.NA.HYS.37	GS	USD	11,125,000	5.00%	1.01%	11,125,000 USD	12/20/2026	Quarterly			2,081,364			1,670,468				(410,896	)
ITRAXX.XO.36 35	MSCI	EUR	13,350,000	5.00%	1.55%	13,350,000 EUR	12/20/2026	Quarterly			2,319,299			1,704,094				(615,205	)
CMBX.NA.9.A	CGMI	USD	1,780,000	2.00%	3.26%	1,780,000 USD	09/17/2058	Monthly			(44,602	)		(62,695	)			(18,093	)
CMBX.NA.A.9	CGMI	USD	1,112,500	2.00%	3.26%	1,112,500 USD	09/17/2058	Monthly			(33,096	)		(39,184	)			(6,088	)
CMBX.NA.AAA.10	GS	USD	4,610,000	0.50%	0.51%	4,610,000 USD	11/17/2059	Monthly			42,162			(2,137	)			(44,299	)
CMBX.NA.AAA.13	GS	USD	1,730,000	0.50%	0.70%	1,730,000 USD	12/16/2072	Monthly			4,051			(20,897	)			(24,948	)
										$	6,862,299		$	5,643,919			$	(1,218,380	)

^ Buy Protection - 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.

Sell Protection - 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.

⁽¹⁾  As of August 31, 2022, 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.

Centrally Cleared Interest Rate Swaps

Periodic

Premiums

Net Unrealized

Notional

Expiration

Payment

Paid/

Appreciation/

Fund Pays

Fund Receives

Amount

Date

Frequency

(Received) ($)

Value ($)

(Depreciation) ($)

3.83%

3 Month AUD BBSW

AUD

5,200,000

09/21/2024

Quarterly

—

(9,888

)

(9,888)

3.40%

3 Month CAD CDOR

CAD

13,370,000

09/21/2024

Semi-Annually

—

136,287

136,287

3.53%

3 Month CAD CDOR

CAD

83,840,000

09/21/2024

Semi-Annually

75,690

695,754

620,064

3.69%

3 Month CAD CDOR

CAD

4,000,000

09/21/2024

Semi-Annually

—

23,632

23,632

13 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

					Periodic		Premiums					Net Unrealized
		Notional		Expiration	Payment		Paid/					Appreciation/
Fund Pays	Fund Receives	Amount		Date	Frequency		(Received) ($)		Value ($)			(Depreciation) ($)
3.61%	3 Month CAD CDOR	CAD	1,410,000	09/21/2024		Semi-Annually		—		10,026			10,026
3 Month CAD CDOR	3.45%	CAD	4,450,000	09/21/2024		Semi-Annually		—		(42,183	)		(42,183)
3 Month CAD CDOR	3.52%	CAD	5,060,000	09/21/2024		Semi-Annually		—		(42,581	)		(42,581)
3 Month CAD CDOR	3.69%	CAD	7,650,000	09/21/2024		Semi-Annually		—		(45,643	)		(45,643)
3 Month CAD CDOR	3.76%	CAD	6,700,000	09/21/2024		Semi-Annually		—		(33,627	)		(33,627)
3 Month CAD CDOR	3.91%	CAD	14,320,000	09/21/2024		Semi-Annually		—		(39,310	)		(39,310)
3 Month CAD CDOR	3.93%	CAD	11,625,872	09/21/2024		Semi-Annually		—		(28,695	)		(28,695)
3 Month CAD CDOR	3.95%	CAD	14,320,000	09/21/2024		Semi-Annually		—		(30,857	)		(30,857)
3 Month CAD CDOR	3.97%	CAD	7,010,000	09/21/2024		Semi-Annually		—		(13,675	)		(13,675)
3 Month CAD CDOR	3.98%	CAD	11,624,128	09/21/2024		Semi-Annually		—		(19,795	)		(19,795)
3 Month CAD CDOR	4.01%	CAD	2,650,000	09/21/2024		Semi-Annually		—		(3,277	)		(3,277)
CHF - SARON - OIS - COMPOUND	0.68%	CHF	5,150,000	09/21/2024		Semi-Annually		—		(56,824	)		(56,824)
CHF - SARON - OIS - COMPOUND	0.89%	CHF	3,750,000	09/21/2024		Semi-Annually		—		(24,874	)		(24,874)
CHF - SARON - OIS - COMPOUND	0.90%	CHF	3,000,000	09/21/2024		Semi-Annually		—		(19,286	)		(19,286)
CHF - SARON - OIS - COMPOUND	1.18%	CHF	7,600,000	09/21/2024		Semi-Annually		—		(6,000	)		(6,000)
CHF - SARON - OIS - COMPOUND	1.35%	CHF	26,050,000	09/21/2024		Semi-Annually		—		72,477			72,477
CHF - SARON - OIS - COMPOUND	1.42%	CHF	17,200,000	09/21/2024		Semi-Annually		—		73,906			73,906
0.84%	CHF - SARON - OIS - COMPOUND	CHF	68,190,000	09/21/2024		Annually		—		529,082			529,082
0.87%	CHF - SARON - OIS - COMPOUND	CHF	8,870,000	09/21/2024		Annually		(654)		63,375			64,029
0.72%	CHF - SARON - OIS - COMPOUND	CHF	4,500,000	09/21/2024		Semi-Annually		—		45,508			45,508
EUR - EuroSTR - COMPOUND	1.35%	EUR	39,940,000	09/21/2024		Annually		153		(503,348	)		(503,501)
EUR - EuroSTR - COMPOUND	1.37%	EUR	7,290,000	09/21/2024		Annually		2,095		(89,410	)		(91,505)
1.82%	EUR - EuroSTR - COMPOUND	EUR	6,051,834	09/21/2024		Annually		—		20,154			20,154
1.87%	EUR - EuroSTR - COMPOUND	EUR	6,048,166	09/21/2024		Annually		—		13,289			13,289
1.37%	EUR - EuroSTR - COMPOUND	EUR	4,050,000	09/21/2024		Annually		—		49,189			49,189
1.19%	EUR - EuroSTR - COMPOUND	EUR	3,950,000	09/21/2024		Annually		—		62,028			62,028
1.14%	EUR - EuroSTR - COMPOUND	EUR	1,500,000	09/21/2024		Annually		—		25,135			25,135
1.28%	EUR - EuroSTR - COMPOUND	EUR	2,500,000	09/21/2024		Annually		—		35,159			35,159
1.03%	EUR - EuroSTR - COMPOUND	EUR	3,000,000	09/21/2024		Annually		—		56,859			56,859
1.13%	EUR - EuroSTR - COMPOUND	EUR	3,500,000	09/21/2024		Annually		—		59,310			59,310
1.81%	EUR - EuroSTR - COMPOUND	EUR	8,360,000	09/21/2024		Annually		—		29,585			29,585
1.79%	EUR - EuroSTR - COMPOUND	EUR	9,090,000	09/21/2024		Annually		—		35,963			35,963
GBP - SONIA - COMPOUND	2.65%	GBP	1,800,000	09/21/2024		Annually		—		(50,922	)		(50,922)
GBP - SONIA - COMPOUND	2.73%	GBP	43,470,000	09/21/2024		Annually		39,021		(1,156,573	)		(1,195,594)
3.28%	GBP - SONIA - COMPOUND	GBP	5,550,000	09/21/2024		Annually		—		80,491			80,491
3.27%	GBP - SONIA - COMPOUND	GBP	5,550,000	09/21/2024		Annually		—		82,139			82,139
2.84%	GBP - SONIA - COMPOUND	GBP	2,650,000	09/21/2024		Annually		—		64,063			64,063
2.67%	GBP - SONIA - COMPOUND	GBP	4,200,000	09/21/2024		Annually		—		117,754			117,754
3.13%	GBP - SONIA - COMPOUND	GBP	7,980,000	09/21/2024		Annually		—		142,864			142,864
3.08%	GBP - SONIA - COMPOUND	GBP	7,970,000	09/21/2024		Annually		—		150,227			150,227
3 Month SEK STIBOR	2.41%	SEK	125,000,000	09/21/2024		Quarterly		—		(167,714	)		(167,714)
3 Month SEK STIBOR	2.54%	SEK	132,710,000	09/21/2024		Quarterly		23,023		(146,176	)		(169,199)

See accompanying notes to the financial statements. 14

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

					Periodic		Premiums					Net Unrealized
		Notional		Expiration	Payment		Paid/					Appreciation/
Fund Pays	Fund Receives	Amount		Date	Frequency		(Received) ($)		Value ($)			(Depreciation) ($)
3.23%	3 Month SEK STIBOR	SEK	62,000,000	09/21/2024		Quarterly		—		(8,422	)		(8,422)
3.17%	3 Month SEK STIBOR	SEK	91,500,000	09/21/2024		Quarterly		—		(2,926	)		(2,926)
3 Month SEK STIBOR	3.21%	SEK	25,000,000	09/21/2024		Quarterly		—		2,719			2,719
USD - SOFR - COMPOUND	2.71%	USD	4,540,000	09/21/2024		Semi-Annually		263		(73,163	)		(73,426)
USD - SOFR - COMPOUND	2.95%	USD	5,070,000	09/21/2024		Semi-Annually		(1,151)		(57,769	)		(56,618)
3.29%	USD - SOFR - COMPOUND	USD	4,900,000	09/21/2024		Semi-Annually		—		24,061			24,061
2.87%	USD - SOFR - COMPOUND	USD	2,500,000	09/21/2024		Semi-Annually		—		32,195			32,195
3.49%	USD - SOFR - COMPOUND	USD	4,750,000	09/21/2024		Semi-Annually		—		4,607			4,607
2.11%	EUR - EuroSTR - COMPOUND	EUR	2,500,000	12/21/2024		Annually		—		(37	)		(37)
GBP - SONIA - COMPOUND	4.04%	GBP	3,000,000	12/21/2024		Annually		—		(677	)		(677)
6 Month AUD BBSW	3.73%	AUD	1,400,000	09/21/2032		Semi-Annually		—		(28,468	)		(28,468)
6 Month AUD BBSW	3.85%	AUD	1,500,000	09/21/2032		Semi-Annually		—		(20,153	)		(20,153)
6 Month AUD BBSW	3.93%	AUD	2,350,000	09/21/2032		Semi-Annually		—		(21,095	)		(21,095)
6 Month AUD BBSW	4.04%	AUD	1,980,000	09/21/2032		Semi-Annually		(1,817)		(6,390	)		(4,573)
6 Month AUD BBSW	4.04%	AUD	1,800,000	09/21/2032		Semi-Annually		—		(5,708	)		(5,708)
6 Month AUD BBSW	4.08%	AUD	11,980,000	09/21/2032		Semi-Annually		—		(9,769	)		(9,769)
6 Month AUD BBSW	4.27%	AUD	1,200,000	09/21/2032		Semi-Annually		2,115		11,675			9,560
4.67%	6 Month AUD BBSW	AUD	3,290,000	09/21/2032		Semi-Annually		—		(106,099	)		(106,099)
4.59%	6 Month AUD BBSW	AUD	1,370,000	09/21/2032		Semi-Annually		—		(38,303	)		(38,303)
4.27%	6 Month AUD BBSW	AUD	2,090,000	09/21/2032		Semi-Annually		—		(21,096	)		(21,096)
4.38%	6 Month AUD BBSW	AUD	1,680,000	09/21/2032		Semi-Annually		—		(27,087	)		(27,087)
4.33%	6 Month AUD BBSW	AUD	2,450,000	09/21/2032		Semi-Annually		—		(32,631	)		(32,631)
4.27%	6 Month AUD BBSW	AUD	1,440,000	09/21/2032		Semi-Annually		(2,178)		(14,091	)		(11,913)
3.65%	6 Month AUD BBSW	AUD	1,500,000	09/21/2032		Semi-Annually		—		37,148			37,148
4.16%	6 Month AUD BBSW	AUD	1,500,000	09/21/2032		Semi-Annually		—		(5,339	)		(5,339)
3.90%	3 Month CAD CDOR	CAD	2,690,174	09/21/2032		Semi-Annually		—		(57,559	)		(57,559)
3.99%	3 Month CAD CDOR	CAD	2,689,826	09/21/2032		Semi-Annually		—		(71,769	)		(71,769)
3.88%	3 Month CAD CDOR	CAD	1,790,000	09/21/2032		Semi-Annually		—		(35,299	)		(35,299)
3.77%	3 Month CAD CDOR	CAD	1,750,000	09/21/2032		Semi-Annually		—		(22,441	)		(22,441)
3.51%	3 Month CAD CDOR	CAD	1,010,000	09/21/2032		Semi-Annually		—		3,975			3,975
3.25%	3 Month CAD CDOR	CAD	1,700,000	09/21/2032		Semi-Annually		—		35,508			35,508
3.20%	3 Month CAD CDOR	CAD	1,100,000	09/21/2032		Semi-Annually		—		26,592			26,592
3.06%	3 Month CAD CDOR	CAD	1,100,000	09/21/2032		Semi-Annually		—		36,235			36,235
3.13%	3 Month CAD CDOR	CAD	1,600,000	09/21/2032		Semi-Annually		—		46,002			46,002
3.27%	3 Month CAD CDOR	CAD	1,200,000	09/21/2032		Semi-Annually		—		23,208			23,208
3.52%	3 Month CAD CDOR	CAD	1,200,000	09/21/2032		Semi-Annually		—		4,103			4,103
3.58%	3 Month CAD CDOR	CAD	1,300,000	09/21/2032		Semi-Annually		—		(1,043	)		(1,043)
3 Month CAD CDOR	3.15%	CAD	2,837,000	09/21/2032		Semi-Annually		(600)		(77,726	)		(77,126)
3 Month CAD CDOR	3.49%	CAD	3,030,000	09/21/2032		Semi-Annually		—		(15,830	)		(15,830)
3 Month CAD CDOR	3.55%	CAD	900,000	09/21/2032		Semi-Annually		—		(1,511	)		(1,511)
3 Month CAD CDOR	3.58%	CAD	19,260,000	09/21/2032		Semi-Annually		(36,829)		11,108			47,937
3.97%	CAD CDOR	CAD	1,620,000	09/21/2032		Semi-Annually		—		(41,188	)		(41,188)
3.94%	CAD CDOR	CAD	3,300,000	09/21/2032		Semi-Annually		—		(78,265	)		(78,265)
3.90%	CAD CDOR	CAD	3,300,000	09/21/2032		Semi-Annually		—		(69,969	)		(69,969)
CHF - SARON - OIS - COMPOUND	1.27%	CHF	10,379,000	09/21/2032		Semi-Annually		22,457		(435,449	)		(457,906)
CHF - SARON - OIS - COMPOUND	1.27%	CHF	900,000	09/21/2032		Semi-Annually		—		(38,447	)		(38,447)

15 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

					Periodic		Premiums					Net Unrealized
		Notional		Expiration	Payment		Paid/					Appreciation/
Fund Pays	Fund Receives	Amount		Date	Frequency		(Received) ($)		Value ($)			(Depreciation) ($)
CHF - SARON - OIS - COMPOUND	1.64%	CHF	12,980,000	09/21/2032		Annually		—		(93,580	)		(93,580)
CHF - SARON - OIS - COMPOUND	1.64%	CHF	1,640,000	09/21/2032		Annually		—		(12,137	)		(12,137)
CHF - SARON - OIS - COMPOUND	1.70%	CHF	870,000	09/21/2032		Annually		(520)		(1,456	)		(936)
2.13%	CHF - SARON - OIS - COMPOUND	CHF	3,770,000	09/21/2032		Semi-Annually		—		(149,872	)		(149,872)
2.08%	CHF - SARON - OIS - COMPOUND	CHF	5,730,000	09/21/2032		Semi-Annually		—		(198,254	)		(198,254)
1.77%	CHF - SARON - OIS - COMPOUND	CHF	820,000	09/21/2032		Semi-Annually		—		(4,107	)		(4,107)
1.60%	CHF - SARON - OIS - COMPOUND	CHF	1,120,000	09/21/2032		Semi-Annually		—		12,030			12,030
1.54%	CHF - SARON - OIS - COMPOUND	CHF	160,000	09/21/2032		Semi-Annually		—		2,574			2,574
1.63%	CHF - SARON - OIS - COMPOUND	CHF	700,000	09/21/2032		Semi-Annually		—		5,414			5,414
1.17%	CHF - SARON - OIS - COMPOUND	CHF	1,400,000	09/21/2032		Semi-Annually		—		72,835			72,835
1.73%	CHF - SARON - OIS - COMPOUND	CHF	600,000	09/21/2032		Semi-Annually		—		(1,001	)		(1,001)
EUR - EuroSTR - COMPOUND	1.43%	EUR	800,000	09/21/2032		Annually		—		(49,056	)		(49,056)
EUR - EuroSTR - COMPOUND	1.44%	EUR	9,664,000	09/21/2032		Annually		32,600		(586,858	)		(619,458)
EUR - EuroSTR - COMPOUND	1.49%	EUR	700,000	09/21/2032		Annually		—		(39,632	)		(39,632)
EUR - EuroSTR - COMPOUND	1.49%	EUR	800,000	09/21/2032		Annually		—		(44,709	)		(44,709)
EUR - EuroSTR - COMPOUND	1.49%	EUR	700,000	09/21/2032		Annually		—		(39,216	)		(39,216)
EUR - EuroSTR - COMPOUND	1.71%	EUR	500,000	09/21/2032		Annually		—		(18,195	)		(18,195)
EUR - EuroSTR - COMPOUND	1.76%	EUR	500,000	09/21/2032		Annually		—		(15,867	)		(15,867)
EUR - EuroSTR - COMPOUND	1.90%	EUR	860,000	09/21/2032		Annually		—		(16,060	)		(16,060)
EUR - EuroSTR - COMPOUND	2.00%	EUR	890,000	09/21/2032		Annually		—		(8,534	)		(8,534)
EUR - EuroSTR - COMPOUND	2.19%	EUR	2,010,000	09/21/2032		Annually		—		15,784			15,784
EUR - EuroSTR - COMPOUND	2.21%	EUR	1,318,645	09/21/2032		Annually		—		12,281			12,281
EUR - EuroSTR - COMPOUND	2.22%	EUR	1,840,000	09/21/2032		Annually		—		19,322			19,322
EUR - EuroSTR - COMPOUND	2.32%	EUR	1,341,355	09/21/2032		Annually		—		25,722			25,722
2.25%	EUR - EuroSTR - COMPOUND	EUR	1,220,000	09/21/2032		Annually		—		(15,652	)		(15,652)
1.81%	EUR - EuroSTR - COMPOUND	EUR	7,790,000	09/21/2032		Annually		6,791		211,989			205,198
1.82%	EUR - EuroSTR - COMPOUND	EUR	1,580,000	09/21/2032		Annually		(1,552)		41,121			42,673
1.51%	EUR - EuroSTR - COMPOUND	EUR	1,200,000	09/21/2032		Annually		—		65,584			65,584
1.46%	EUR - EuroSTR - COMPOUND	EUR	1,900,000	09/21/2032		Annually		—		111,996			111,996
1.83%	EUR - EuroSTR - COMPOUND	EUR	900,000	09/21/2032		Annually		—		22,848			22,848
2.09%	EUR - EuroSTR - COMPOUND	EUR	800,000	09/21/2032		Annually		—		1,425			1,425
GBP - SONIA - COMPOUND	1.89%	GBP	1,100,000	09/21/2032		Annually		—		(118,145	)		(118,145)
GBP - SONIA - COMPOUND	2.15%	GBP	1,100,000	09/21/2032		Annually		—		(90,649	)		(90,649)
GBP - SONIA - COMPOUND	2.18%	GBP	800,000	09/21/2032		Annually		—		(63,065	)		(63,065)

See accompanying notes to the financial statements. 16

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

					Periodic		Premiums					Net Unrealized
		Notional		Expiration	Payment		Paid/					Appreciation/
Fund Pays	Fund Receives	Amount		Date	Frequency		(Received) ($)		Value ($)			(Depreciation) ($)
GBP - SONIA - COMPOUND	2.25%	GBP	910,000	09/21/2032		Annually		—		(65,626	)		(65,626)
GBP - SONIA - COMPOUND	2.44%	GBP	590,000	09/21/2032		Annually		—		(31,733	)		(31,733)
GBP - SONIA - COMPOUND	2.46%	GBP	1,000,000	09/21/2032		Annually		—		(51,384	)		(51,384)
GBP - SONIA - COMPOUND	2.58%	GBP	1,240,000	09/21/2032		Annually		—		(49,191	)		(49,191)
GBP - SONIA - COMPOUND	2.58%	GBP	1,760,000	09/21/2032		Annually		—		(71,113	)		(71,113)
GBP - SONIA - COMPOUND	2.63%	GBP	1,770,000	09/21/2032		Annually		—		(62,929	)		(62,929)
GBP - SONIA - COMPOUND	2.74%	GBP	1,220,000	09/21/2032		Annually		—		(30,280	)		(30,280)
2.26%	GBP - SONIA - COMPOUND	GBP	9,180,000	09/21/2032		Annually		(12,573)		655,726			668,299
2.56%	GBP - SONIA - COMPOUND	GBP	560,000	09/21/2032		Annually		—		23,780			23,780
2.18%	GBP - SONIA - COMPOUND	GBP	310,000	09/21/2032		Annually		1,117		24,574			23,457
2.09%	GBP - SONIA - COMPOUND	GBP	8,508,000	09/21/2032		Annually		906		749,504			748,598
2.93%	GBP - SONIA - COMPOUND	GBP	800,000	09/21/2032		Annually		—		4,760			4,760
4.13%	3 Month NZD Bank Bill Rate	NZD	13,090,000	09/21/2032		Quarterly		—		(865	)		(865)
4.17%	3 Month NZD Bank Bill Rate	NZD	3,410,000	09/21/2032		Quarterly		2,796		(7,238	)		(10,034)
4.06%	3 Month NZD Bank Bill Rate	NZD	3,140,000	09/21/2032		Quarterly		—		9,872			9,872
3.94%	3 Month NZD Bank Bill Rate	NZD	2,100,000	09/21/2032		Quarterly		—		19,452			19,452
3.99%	3 Month NZD Bank Bill Rate	NZD	2,000,000	09/21/2032		Quarterly		—		13,109			13,109
3 Month NZD Bank Bill Rate	3.63%	NZD	2,600,000	09/21/2032		Quarterly		—		(64,509	)		(64,509)
3 Month NZD Bank Bill Rate	3.80%	NZD	1,785,000	09/21/2032		Quarterly		—		(29,068	)		(29,068)
3 Month NZD Bank Bill Rate	4.16%	NZD	2,350,000	09/21/2032		Quarterly		—		4,457			4,457
3 Month NZD Bank Bill Rate	4.21%	NZD	2,740,000	09/21/2032		Quarterly		—		11,038			11,038
3 Month NZD Bank Bill Rate	4.26%	NZD	1,220,000	09/21/2032		Quarterly		—		8,433			8,433
3 Month NZD Bank Bill Rate	4.26%	NZD	1,870,000	09/21/2032		Quarterly		—		12,223			12,223
3 Month NZD Bank Bill Rate	4.54%	NZD	1,900,000	09/21/2032		Quarterly		—		39,340			39,340
3 Month NZD Bank Bill Rate	4.55%	NZD	4,570,000	09/21/2032		Quarterly		—		97,487			97,487
3 Month SEK STIBOR	2.63%	SEK	8,000,000	09/21/2032		Quarterly		—		(12,845	)		(12,845)
3 Month SEK STIBOR	2.71%	SEK	12,000,000	09/21/2032		Quarterly		—		(10,748	)		(10,748)
3 Month SEK STIBOR	2.77%	SEK	11,000,000	09/21/2032		Quarterly		—		(5,167	)		(5,167)
3 Month SEK STIBOR	2.83%	SEK	21,000,000	09/21/2032		Quarterly		—		701			701
3 Month SEK STIBOR	2.85%	SEK	5,093,000	09/21/2032		Quarterly		(1,486)		1,170			2,656
3 Month SEK STIBOR	2.87%	SEK	9,000,000	09/21/2032		Quarterly		—		3,075			3,075
3 Month SEK STIBOR	2.89%	SEK	24,000,000	09/21/2032		Quarterly		—		13,069			13,069
2.62%	3 Month SEK STIBOR	SEK	27,800,000	09/21/2032		Quarterly		—		44,750			44,750
2.77%	3 Month SEK STIBOR	SEK	28,480,000	09/21/2032		Quarterly		(7,995)		12,222			20,217
2.65%	3 Month SEK STIBOR	SEK	14,900,000	09/21/2032		Quarterly		—		21,506			21,506
2.48%	3 Month SEK STIBOR	SEK	12,200,000	09/21/2032		Quarterly		—		33,695			33,695
2.59%3 Month SEK STIBOR		SEK	32,800,000	09/21/2032		Quarterly		—		62,646			62,646
2.51%3 Month SEK STIBOR		SEK	12,000,000	09/21/2032		Quarterly		—		30,709			30,709

17 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

					Periodic		Premiums					Net Unrealized
		Notional		Expiration	Payment		Paid/					Appreciation/
Fund Pays	Fund Receives	Amount		Date	Frequency		(Received) ($)		Value ($)			(Depreciation) ($)
2.42%	3 Month SEK STIBOR	SEK	20,000,000	09/21/2032		Quarterly		—		64,975			64,975
2.23%	3 Month SEK STIBOR	SEK	17,000,000	09/21/2032		Quarterly		—		81,437			81,437
2.35%	3 Month SEK STIBOR	SEK	13,000,000	09/21/2032		Quarterly		—		50,409			50,409
2.24%	3 Month SEK STIBOR	SEK	21,000,000	09/21/2032		Quarterly		—		99,747			99,747
2.39%	3 Month SEK STIBOR	SEK	9,000,000	09/21/2032		Quarterly		—		31,685			31,685
2.85%	3 Month SEK STIBOR	SEK	6,000,000	09/21/2032		Quarterly		1,754		(1,368	)		(3,122)
3 Month SEK STIBOR	3.03%	SEK	58,449,000	09/21/2032		Quarterly		35,020		98,699			63,679
3 Month SEK STIBOR	3.08%	SEK	20,600,000	09/21/2032		Quarterly		20,383		42,558			22,175
3 Month SEK STIBOR	3.12%	SEK	14,000,000	09/21/2032		Quarterly		18,847		33,751			14,904
USD - SOFR - COMPOUND	2.56%	USD	900,000	09/21/2032		Semi-Annually		—		(28,913	)		(28,913)
USD - SOFR - COMPOUND	2.57%	USD	900,000	09/21/2032		Semi-Annually		—		(28,796	)		(28,796)
USD - SOFR - COMPOUND	2.58%	USD	1,500,000	09/21/2032		Semi-Annually		—		(45,734	)		(45,734)
USD - SOFR - COMPOUND	2.61%	USD	1,000,000	09/21/2032		Semi-Annually		—		(28,166	)		(28,166)
USD - SOFR - COMPOUND	2.63%	USD	560,000	09/21/2032		Semi-Annually		—		(14,688	)		(14,688)
USD - SOFR - COMPOUND	2.77%	USD	1,120,000	09/21/2032		Semi-Annually		—		(15,879	)		(15,879)
USD - SOFR - COMPOUND	2.78%	USD	2,400,000	09/21/2032		Semi-Annually		—		(32,580	)		(32,580)
USD - SOFR - COMPOUND	2.79%	USD	1,100,000	09/21/2032		Semi-Annually		—		(14,222	)		(14,222)
USD - SOFR - COMPOUND	3.02%	USD	1,090,000	09/21/2032		Semi-Annually		—		8,050			8,050
USD - SOFR - COMPOUND	3.03%	USD	1,050,000	09/21/2032		Semi-Annually		6,616		8,044			1,428
USD - SOFR - COMPOUND	3.06%	USD	5,530,000	09/21/2032		Semi-Annually		—		57,502			57,502
USD - SOFR - COMPOUND	3.11%	USD	4,690,000	09/21/2032		Semi-Annually		—		70,770			70,770
USD - SOFR - COMPOUND	3.11%	USD	4,688,318	09/21/2032		Semi-Annually		—		68,121			68,121
USD - SOFR - COMPOUND	3.11%	USD	4,911,682	09/21/2032		Semi-Annually		—		72,424			72,424
USD - SOFR - COMPOUND	3.12%	USD	3,740,000	09/21/2032		Semi-Annually		—		58,849			58,849
USD - SOFR - COMPOUND	3.12%	USD	1,070,000	09/21/2032		Semi-Annually		—		16,744			16,744
3.18%	USD - SOFR - COMPOUND	USD	1,970,000	09/21/2032		Semi-Annually		—		(40,325	)		(40,325)
2.64%	USD - SOFR - COMPOUND	USD	1,030,000	09/21/2032		Semi-Annually		(2,708)		26,395			29,103
2.57%	USD - SOFR - COMPOUND	USD	1,370,000	09/21/2032		Semi-Annually		—		43,305			43,305
2.68%	USD - SOFR - COMPOUND	USD	3,290,000	09/21/2032		Semi-Annually		—		73,265			73,265
2.80%	USD - SOFR - COMPOUND	USD	31,600,000	09/21/2032		Semi-Annually		(58,630)		374,567			433,197
2.83%	USD - SOFR - COMPOUND	USD	1,130,000	09/21/2032		Semi-Annually		(160)		10,476			10,636
2.88%	USD - SOFR - COMPOUND	USD	600,000	09/21/2032		Semi-Annually		—		3,188			3,188
3.56%	3 Month CAD CDOR	CAD	1,400,000	12/21/2032		Semi-Annually		—		624			624
EUR - EuroSTR - COMPOUND	2.17%	EUR	500,000	12/21/2032		Annually		—		981			981
3.00%	GBP - SONIA - COMPOUND	GBP	700,000	12/21/2032		Annually		—		(467	)		(467)
2.96%	GBP - SONIA - COMPOUND	GBP	1,300,000	12/21/2032		Annually		—		3,118			3,118

See accompanying notes to the financial statements. 18

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
2.89%	USD - SOFR - COMPOUND	USD	1,500,000	12/21/2032		Semi-Annually			—		4,914			4,914
								$	162,794	$	629,957		$	467,163

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
SOFR	Total Return on iShares iBoxx High Yield Corporate Bond ETF	JPM	USD	5,100,000	09/20/2022	Quarterly		(88	)		(91,482	)		(91,394	)
1 Month Federal Funds Rate plus 0.09%	Total Return on MSCI World Daily Total Return Net Growth Index	GS	USD	2,955,578	05/09/2023	Monthly		—			(109,897	)		(109,897	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%	GS	USD	2,784,083	05/09/2023	Monthly		—			147,998			147,998
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%	GS	USD	284,090	05/09/2023	Monthly		—			15,102			15,102
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Growth Index	UBSA	USD	3,497,818	05/12/2023	Monthly		—			(182,733	)		(182,733	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA	USD	3,716,714	05/12/2023	Monthly		—			262,482			262,482
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Growth Index	UBSA	USD	913,376	05/22/2023	Monthly		—			(19,975	)		(19,975	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.06%	UBSA	USD	789,578	05/22/2023	Monthly		—			28,802			28,802
Total Return on Bloomberg Commodity Index (h)	0.15%	MSCI	USD	5,763,980	07/06/2023	Monthly		(25,876	)		(213,347	)		(187,471	)
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Growth Index	UBSA	USD	444,727	08/09/2023	Monthly		—			(16,536	)		(16,536	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 1.00%	UBSA	USD	255,681	08/09/2023	Monthly		—			13,591			13,591
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	1	05/24/2024	Monthly		—			(8,359	)		(8,359	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 0.75%	GS	USD	1	05/24/2024	Monthly		—			(927	)		(927	)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate minus 1.00%	MORD	USD	1	05/24/2024	Monthly		—			(85	)		(85	)

19 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

OTC Total Return Swaps — continued

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date	Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (i)	1 Month Federal Funds Rate	GS	USD	1,170,061	05/24/2024		Monthly			—			29,370				29,370
Total Return on Equity Basket (j)	1 Month Federal Funds Rate	MORD	USD	4,538,739	05/24/2024		Monthly			—			105,707				105,707
									$	(25,964	)	$	(40,289	)		$	(14,325	)

As of August 30, 2022, 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.

* Non-income producing security.

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

(b) Securities are traded on separate exchanges for the same entity.

(c) Investment valued using significant unobservable inputs (Note 2).

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) Security is in default.

(f) The rate disclosed is the 7 day net yield as of August 31, 2022.

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

(h) All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Allocation Fund.

(i) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(j) The following table represents the individual long and/or short positions within the custom equity basket swap as of August 31, 2022:

Shares	Description	% of Equity Basket			Value ($)
(42,000)	Air China Ltd – Class H		0.8%			(33,644	)
(181,500)	Airports of Thailand Pcl NVDR		8.2%			(361,685	)
(240,000)	Alibaba Health Information Technology Ltd		3.1%			(137,535	)
(490,000)	Alibaba Pictures Group Ltd		0.9%			(38,547	)
(498,000)	China Molybdenum Co Ltd – Class H		5.0%			(222,066	)
(38,000)	China Resources Beer Holdings Co Ltd		6.0%			(264,899	)
(47,000)	Citic Securities Co Ltd – Class H		2.2%			(95,260	)
(32,000)	Far EasTone Telecommunications Co Ltd		1.8%			(78,482	)
(25,760)	Ganfeng Lithium Co Ltd – Class H		5.1%			(226,313	)
(76,000)	Greentown Service Group Co Ltd		1.3%			(54,907	)
(174,500)	Gulf Energy Development Pcl NVDR		5.5%			(244,868	)
(369)	Hanmi Pharm Co Ltd		1.9%			(84,560	)
27,000	Hon Hai Precision Industry Co Ltd		(2.2%	)		96,141
(7,500)	Hong Kong Exchanges and Clearing Ltd		6.8%			(302,209	)
(3,653)	Hotel Shilla Co Ltd		4.5%			(200,108	)
(19)	Iljin Materials Co Ltd		0.0%			(1,041	)
(2,341)	Kakao Corp		2.9%			(127,125	)
(156,000)	Kingdee International Software Group Co Ltd		6.8%			(302,781	)
(19,200)	Klabin SA		1.6%			(69,494	)
(6,360)	Korea Aerospace Industries Ltd		6.5%			(288,590	)
(15,500)	Kuaishou Technology		3.0%			(134,300	)
(237)	POSCO Chemical Co Ltd		0.7%			(29,462	)
(494)	Samsung Biologics Co Ltd		6.9%			(307,248	)
(44,253)	Samsung Heavy Industries Co Ltd		4.4%			(196,344	)
(172,800)	Sands China Ltd		8.7%			(386,398	)
(406)	Yuhan Corp		0.4%			(17,170	)
(282,000)	Zijin Mining Group Co Ltd – Class H		7.2%			(318,652	)
	TOTAL COMMON STOCKS				$	(4,427,547	)

See accompanying notes to the financial statements. 20

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

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 114.

21 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		65.9	%
Debt Obligations		39.8
Short-Term Investments		9.4
Preferred Stocks		1.5
Investment Funds		0.3
Swap Contracts		0.3
Loan Assignments		0.1
Rights/Warrants		0.0	^
Loan Participations		0.0	^
Purchased Options		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Written Options/Credit Linked Options		(0.0	)^
Forward Currency Contracts		(0.0	)^
Futures Contracts		(0.2	)
Securities Sold Short		(18.6	)
Other		1.5
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Other Emerging		2.4	%†
United States		2.3
Switzerland		1.7
Euro Region		1.2§
Other Developed		1.0	‡
Canada		(1.0	)
United Kingdom		(1.8	)
		5.8	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
Japan		8.5	%
United States		8.3
Other Developed		7.0	‡
China		4.9
Taiwan		4.0
Other Emerging		3.9	†
South Korea		2.9
India		2.1
United Kingdom		2.1
Brazil		1.9
Canada		1.8
France		1.0
		48.4	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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. 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 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%.

22

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.8%
		Affiliated Issuers — 99.8%
	7,645,231	GMO Emerging Country Debt Fund, Class VI		141,895,494
	8,107,507	GMO High Yield Fund, Class VI		140,340,945
	342,315,846	GMO Implementation Fund		4,029,057,504
	7,476,270	GMO Opportunistic Income Fund, Class VI		183,841,480
	4,801,596	GMO SGM Major Markets Fund, Class VI		126,330,008
		TOTAL MUTUAL FUNDS (COST $5,136,177,295)		4,621,465,431
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	3,612,347	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (a)		3,612,347
		TOTAL SHORT-TERM INVESTMENTS (COST $3,612,347)		3,612,347
		TOTAL INVESTMENTS — 99.9% (Cost $5,139,789,642)		4,625,077,778
		Other Assets and Liabilities (net) — 0.1%		2,856,576
		TOTAL NET ASSETS — 100.0%		$ 4,627,934,354

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2022.

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 114.

23 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		73.2	%
Debt Obligations		31.6
Short-Term Investments		11.9
Preferred Stocks		1.7
Swap Contracts		0.3
Loan Assignments		0.1
Loan Participations		0.0^
Futures Contracts		0.0^
Investment Funds		0.0^
Rights/Warrants		0.0^
Forward Currency Contracts		0.0^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Securities Sold Short		(18.1	)
Other		(0.7	)
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Other Emerging		3.3	%†
United States		2.9
Euro Region		0.5§
Other Developed		(0.3	)‡
		6.4	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
Japan		11.5	%
China		6.3
Other Developed		6.1	‡
United States		5.4
Taiwan		4.9
Other Emerging		4.2	†
South Korea		3.7
United Kingdom		2.9
India		2.6
Brazil		2.3
Canada		1.7
France		1.3
Australia		1.1
Mexico		1.1
Spain		1.1
		56.2	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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. 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 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%.

24

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 69.1%
		Argentina — 0.0%
	4,800	Banco BBVA Argentina SA ADR		14,160
	3,496	Grupo Financiero Galicia SA ADR		28,353
		Total Argentina		42,513
		Australia — 1.3%
	9,892	Accent Group Ltd		10,059
	23,382	Adairs Ltd (a)		36,030
	192,708	Aurizon Holdings Ltd (b)		487,384
	416,929	Beach Energy Ltd		481,898
	193,333	BlueScope Steel Ltd		2,169,162
	184,462	Brambles Ltd (b)		1,552,474
	11,117	Brickworks Ltd		153,891
	4,591	Challenger Ltd		19,793
	57,664	CSR Ltd		176,918
	119,072	Dexus (REIT) (b)		704,308
	182,926	Fortescue Metals Group Ltd (a) (b)		2,273,326
	125,751	Genworth Mortgage Insurance Australia Ltd		241,943
	293,086	GPT Group (The) (REIT) (b)		835,149
	114,462	GrainCorp Ltd – Class A		647,393
	174,801	Grange Resources Ltd		103,351
	31,307	HomeCo Daily Needs (REIT)		27,517
	40,692	Incitec Pivot Ltd		107,535
	23,177	JB Hi-Fi Ltd (a) (b)		639,215
	155,426	Metcash Ltd (a)		434,942
	649,207	Mirvac Group (REIT) (b)		924,556
	39,726	Mount Gibson Iron Ltd (a)		11,519
	13,544	Nufarm Ltd		48,901
	4,019	Premier Investments Ltd		57,789
	30,472	Rio Tinto Ltd (b)		1,935,379
	354,446	Scentre Group (REIT) (b)		704,389
	35,066	Sims Ltd		361,791
	3,379	South32 Ltd (b)		9,305
	24,820	Southern Cross Media Group Ltd		18,134
	336,080	Stockland (REIT) (b)		826,711
	4,122	Suncorp Group Ltd		30,442
	114	Woodside Energy Group Ltd		2,648
		Total Australia		16,033,852
		Austria — 0.0%
	1,459	Strabag SE		56,064
	1,101	Vienna Insurance Group AG Wiener
		Versicherung Gruppe		26,101
		Total Austria		82,165
		Belgium — 0.4%
	2,105	Ackermans & van Haaren NV		307,736
	35,604	Ageas SA/NV		1,444,651
	10,686	Bekaert SA		327,771
	1,235	Cie d’Entreprises CFE * (a)		12,292
	980	Deme Group NV *		112,155
	12,643	Econocom Group SA (b)		39,406

Shares		Description	Value ($)
		Belgium — continued
	2,246	Orange Belgium SA *		41,825
	22,408	Proximus SADP		285,232
	4,061	Sofina SA (a)		814,047
	19,602	UCB SA (b)		1,377,370
		Total Belgium		4,762,485
		Brazil — 1.0%
	64,000	Banco do Brasil SA		512,871
	11,600	Cia de Saneamento do Parana		38,597
	7,700	Companhia Energetica de Minas Gerais		27,145
	16,800	CPFL Energia SA		112,928
	40,900	EDP - Energias do Brasil SA		178,383
	57,427	Enauta Participacoes SA		184,454
	41,800	Itau Unibanco Holding SA		177,889
	239,200	Itau Unibanco Holding SA Sponsored ADR		1,181,648
	17,800	JBS SA		101,242
	36,053	Localiza Rent a Car SA		421,487
	342,200	Marfrig Global Foods SA		864,972
	185,600	Petroleo Brasileiro SA Sponsored ADR (b)		2,652,224
	54,100	Ser Educacional SA		64,994
	155,900	Telefonica Brasil SA		1,232,840
	65,300	Telefonica Brasil SA ADR (b)		530,236
	839,000	TIM SA		1,907,845
	9,600	TIM SA – ADR		108,864
	45,700	Transmissora Alianca de Energia Eletrica SA		366,134
	9,552	Vale SA		118,427
	23,200	Vale SA Sponsored ADR – Class B (b)		288,144
	135,112	Vamos Locacao de Caminhoes Maquinas e Equipamentos SA		366,452
	340,040	Vibra Energia SA		1,200,049
		Total Brazil		12,637,825
		Canada — 2.3%
	3,100	Alimentation Couche-Tard Inc (b)		133,220
	12,600	Bank of Montreal (a) (b)		1,163,247
	4,400	Baytex Energy Corp *		22,815
	28,900	Birchcliff Energy Ltd		254,595
	50,300	BlackBerry Ltd * (b)		298,782
	57,048	Brookfield Asset Management Inc – Class A (b)		2,744,579
	4,900	Canaccord Genuity Group Inc		29,288
	24,500	Canadian Apartment Properties (REIT) (b)		833,300
	13,000	Canadian Tire Corp Ltd – Class A (a) (b)		1,528,998
	13,600	Canfor Corp * (a)		266,853
	44,800	Celestica Inc * (a) (c)		462,207
	15,400	Celestica Inc * (c)		158,928
	9,000	Cenovus Energy Inc (c)		168,840
	2,700	Cenovus Energy Inc (c)		50,655
	3,703	Cogeco Inc (a)		178,108
	2,900	DREAM UnLtd Corp – Class A		62,246
	7,500	Enerplus Corp		115,575
	400	Fairfax Financial Holdings Ltd (b)		199,411
	12,300	Finning International Inc		265,040

25 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)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	5,900	iA Financial Corp Inc		316,934
	15,500	Imperial Oil Ltd (c)		760,120
	1,500	Imperial Oil Ltd (c)		73,621
	32,500	Interfor Corp *		799,539
	7,401	International Petroleum Corp *		72,683
	400	Loblaw Cos Ltd (b)		35,351
	26,600	Magna International Inc		1,536,637
	59,800	Manulife Financial Corp (b) (c)		1,034,497
	25,500	Manulife Financial Corp (b) (c)		440,895
	2,400	Morguard North American Residential Real Estate Investment Trust		30,536
	1,500	National Bank of Canada		99,239
	35,389	Nutrien Ltd (b)		3,247,649
	14,100	Onex Corp		697,297
	14,100	Parex Resources Inc		225,561
	19,400	Power Corp of Canada (b)		498,830
	15,200	PrairieSky Royalty Ltd (a)		207,165
	48,900	Quebecor Inc – Class B (b)		1,056,301
	2,100	Russel Metals Inc		45,411
	7,300	Sleep Country Canada Holdings Inc (a)		147,295
	1,200	Spin Master Corp *		42,121
	99,600	Teck Resources Ltd – Class B* (b) (c)		3,373,212
	50,900	Teck Resources Ltd – Class B (c)		1,722,965
	5,200	Topaz Energy Corp		81,879
	11,800	Uni-Select Inc *		333,780
	1,100	Wajax Corp		17,773
	21,000	West Fraser Timber Co Ltd (c)		1,878,783
	3,200	West Fraser Timber Co Ltd (c)		287,040
		Total Canada		27,999,801
		Chile — 0.1%
	1,287,640	Banco de Chile		122,162
	940,576	Banco Santander Chile		37,781
	3,800	Banco Santander Chile ADR		60,952
	1,433	CAP SA		11,562
	69,684	Cencosud SA		97,422
	37,376	Cencosud Shopping SA		52,962
	7,100	Cia Cervecerias Unidas SA Sponsored ADR		77,603
	2,397,196	Colbun SA		233,768
	1,368	Empresas COPEC SA		11,800
	280,958	Falabella SA		662,073
	28,643	Inversiones La Construccion SA		111,856
		Total Chile		1,479,941
		China — 6.3%
	191,000	361 Degrees International Ltd *		97,597
	200,500	3SBio Inc		133,304
	78,000	Agile Group Holdings Ltd (a)		27,316
	11,278,136	Agricultural Bank of China Ltd – Class H		3,685,262
	266,388	Alibaba Group Holding Ltd *		3,178,153
	25,500	A-Living Smart City Services Co Ltd		26,267
	9,100	Anhui Conch Cement Co Ltd – Class A		42,014

Shares		Description	Value ($)
		China — continued
	71,500	Anhui Conch Cement Co Ltd – Class H		272,476
	12,000	Anhui Expressway Co Ltd – Class H		8,711
	33,520	ANTA Sports Products Ltd		403,662
	11,584	Autohome Inc – Class A (a)		102,393
	23,996	Autohome Inc ADR (b)		854,498
	838,000	BAIC Motor Corp Ltd – Class H		230,682
	2,300	Baidu Inc Sponsored ADR * (b)		331,131
	711,596	Bank of China Ltd – Class A		313,434
	8,130,000	Bank of China Ltd – Class H		2,837,111
	3,960,091	Bank of Communications Co Ltd – Class H		2,256,336
	139,500	Beijing Enterprises Holdings Ltd		414,932
	43,400	BYD Electronic International Co Ltd (a)		114,668
	404,000	China BlueChemical Ltd – Class H		105,196
	3,563,000	China Cinda Asset Management Co Ltd – Class H		489,281
	129,800	China Coal Energy Co Ltd – Class A		187,376
	92,000	China Coal Energy Co Ltd – Class H		81,813
	1,294,354	China Communications Services Corp Ltd – Class H		555,791
	62,500	China Conch Venture Holdings Ltd		127,549
	14,856	China Construction Bank Corp – Class A		11,876
	6,975,480	China Construction Bank Corp – Class H		4,312,122
	1,589,040	China Dongxiang Group Co Ltd *		70,667
	95,000	China Education Group Holdings Ltd		82,762
	1,894,000	China Energy Engineering Corp Ltd – Class H (a)		223,643
	1,247,000	China Everbright Environment Group Ltd		616,345
	961,280	China Feihe Ltd		795,609
	1,058,000	China Greenfresh Group Co Ltd (d)		0
	1,415,500	China Hongqiao Group Ltd		1,372,556
	402,920	China Lesso Group Holdings Ltd		478,911
	52,000	China Lilang Ltd		25,393
	392,645	China Medical System Holdings Ltd		581,107
	34,000	China Merchants Port Holdings Co Ltd		51,043
	306,000	China National Building Material Co Ltd – Class H		288,946
	112,640	China Oriental Group Co Ltd		20,751
	555,000	China Overseas Grand Oceans Group Ltd		262,024
	1,325,860	China Overseas Land & Investment Ltd		3,563,210
	1,665,397	China Petroleum & Chemical Corp – Class A		1,031,353
	7,342,000	China Petroleum & Chemical Corp – Class H		3,452,538
	5,009,042	China Railway Group Ltd – Class H		2,867,642
	1,122,120	China Reinsurance Group Corp – Class H		82,674
	21,740	China Resources Gas Group Ltd		84,643
	123,440	China Resources Land Ltd		505,394
	1,196,000	China Resources Pharmaceutical Group Ltd		819,441
	280,399	China Shenhua Energy Co Ltd – Class A		1,231,294
	171,000	China Shenhua Energy Co Ltd – Class H		536,302
	56,000	China Shineway Pharmaceutical Group Ltd		42,957
	1,156,000	China South City Holdings Ltd * (a)		72,679
	730,000	China State Construction International Holdings Ltd		842,895

See accompanying notes to the financial statements. 26

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		China — continued
	17,899	China Suntien Green Energy Corp Ltd –
		Class A		29,487
	38,000	China Suntien Green Energy Corp Ltd – Class H		17,043
	2,160,000	China Traditional Chinese Medicine Holdings Co Ltd *		931,464
	2,900	China Yuchai International Ltd		24,157
	1,776,400	China Zhongwang Holdings Ltd * (e)		380,235
	2,121,000	CITIC Ltd		2,186,493
	2,586,000	CSPC Pharmaceutical Group Ltd		2,623,300
	1,204,000	Dongfeng Motor Group Co Ltd – Class H*		763,394
	20,000	Dongyue Group Ltd		22,447
	18,260	ENN Energy Holdings Ltd		265,271
	561,000	Fosun International Ltd		414,092
	56,240	Guangdong Investment Ltd		51,524
	82,000	Guangzhou Automobile Group Co Ltd – Class H		70,504
	58,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		139,308
	79,200	Guangzhou R&F Properties Co Ltd – Class H* (a)		16,382
	58,800	Haier Smart Home Co Ltd – Class H		192,100
	13,500	Hello Group Inc Sponsored ADR		69,525
	20,000	Hengan International Group Co Ltd		95,710
	19,780	Hisense Home Appliances Group Co Ltd – Class A		36,606
	67,000	Hisense Home Appliances Group Co Ltd – Class H		72,017
	33,000	Huabao International Holdings Ltd * (a)		16,875
	1,331,080	Industrial & Commercial Bank of China Ltd – Class H		676,246
	630,536	Inner Mongolia Eerduosi Resources Co Ltd – Class A		1,608,838
	64,900	Inner Mongolia Yitai Coal Co Ltd – Class H		94,390
	253,500	Kingboard Holdings Ltd		800,476
	6,240	Kingboard Laminates Holdings Ltd		5,952
	42,000	Kunlun Energy Co Ltd		36,571
	158,380	KWG Group Holdings Ltd		28,494
	66,000	Lee & Man Paper Manufacturing Ltd		23,692
	126,900	Legend Holdings Corp – Class H		144,141
	2,742,000	Lenovo Group Ltd		2,258,344
	52,781	Livzon Pharmaceutical Group Inc – Class H		149,138
	35,320	Logan Group Co Ltd (a)		3,853
	531,520	Lonking Holdings Ltd		89,998
	746,000	Metallurgical Corp of China Ltd – Class H		141,290
	52,000	MMG Ltd *		14,225
	23,500	NetDragon Websoft Holdings Ltd		51,131
	15,000	NetEase Inc		267,861
	10,300	NetEase Inc ADR (b)		911,653
	740,000	Nexteer Automotive Group Ltd (a)		549,920
	815,099	PetroChina Co Ltd – Class A		632,767
	2,258,000	PetroChina Co Ltd – Class H		1,050,009
	33,700	PetroChina Co Ltd ADR (b)		1,557,951

Shares		Description	Value ($)
		China — continued
	2,963,600	PICC Property & Casualty Co Ltd – Class H		3,205,520
	52,800	Ping An Insurance Group Co of China Ltd – Class A		334,301
	41,500	Ping An Insurance Group Co of China Ltd – Class H		244,088
	245,000	Poly Property Group Co Ltd		49,798
	791,132	Postal Savings Bank of China Co Ltd – Class A		515,916
	93,000	Powerlong Real Estate Holdings Ltd		11,663
	12,000	Road King Infrastructure Ltd		6,276
	192,799	Shaanxi Coal Industry Co Ltd – Class A		614,738
	553,200	Shanghai Pharmaceuticals Holding Co Ltd – Class H		804,238
	1,294,500	Shimao Group Holdings Ltd (a) (e)		728,998
	616,000	Sino-Ocean Group Holding Ltd		89,910
	388,020	Sinopec Engineering Group Co Ltd – Class H		173,356
	668,400	Sinopharm Group Co Ltd – Class H		1,489,057
	340,860	Sinotruk Hong Kong Ltd		339,849
	1,424,000	Skyworth Group Ltd		707,495
	58,000	SSY Group Ltd		27,312
	1,768,000	Sunac China Holdings Ltd * (a) (e)		1,031,692
	145,000	Sunac Services Holdings Ltd (a)		43,720
	14,032	Sunny Optical Technology Group Co Ltd		191,571
	276,000	TCL Electronics Holdings Ltd *		131,855
	60,471	Tencent Holdings Ltd		2,499,312
	17,500	Tencent Holdings Ltd ADR (b)		722,750
	100,000	Tianjin Port Development Holdings Ltd		7,502
	274,960	Tianneng Power International Ltd (a)		292,529
	149,672	Vipshop Holdings Ltd ADR * (b)		1,737,692
	25,000	Xtep International Holdings Ltd		34,692
	146,000	Yadea Group Holdings Ltd		278,480
	33,600	Yankuang Energy Group Co Ltd – Class A		233,215
	68,000	Yanzhou Coal Mining Co Ltd – Class H		269,172
	58,000	Zhejiang Expressway Co Ltd – Class H		44,145
	23,640	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		47,595
	62,000	Zhongsheng Group Holdings Ltd		293,159
		Total China		77,920,200
		Czech Republic — 0.0%
	62,965	Moneta Money Bank AS		199,773
	212	Philip Morris CR AS		143,759
		Total Czech Republic		343,532
		Denmark — 0.4%
	200	AP Moller – Maersk A/S – Class A (b)		467,221
	634	AP Moller – Maersk A/S – Class B (b)		1,521,063
	120,141	Danske Bank A/S		1,604,231
	2,393	Matas A/S		24,541
	17,609	Pandora A/S		1,057,889
	15,047	Scandinavian Tobacco Group A/S		225,499
		Total Denmark		4,900,444

27 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)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Egypt — 0.0%
	62,093	Commercial International Bank Egypt SAE		122,977
	249,818	Eastern Co SAE		126,564
	71,535	Fawry for Banking & Payment Technology Services SAE *		13,605
	24,934	Misr Fertilizers Production Co SAE		148,903
		Total Egypt		412,049
		Finland — 0.5%
	3,549	Kesko Oyj (b)		74,662
	14,312	Metsa Board Oyj – Class B		123,043
	43,552	Neste Oyj		2,148,717
	388,622	Nokia Oyj (b)		1,958,408
	136,665	Outokumpu Oyj		548,021
	50,702	Stora Enso Oyj – R Shares		754,749
		Total Finland		5,607,600
		France — 1.9%
	20,056	ALD SA (b)		218,297
	86	Alten SA (b)		10,574
	8,237	APERAM SA		222,328
	59,973	ArcelorMittal SA		1,423,406
	3,764	Arkema SA		317,763
	470	Axway Software SA		9,911
	32,470	BNP Paribas SA		1,508,887
	721	Boiron SA		33,559
	680	Bonduelle SCA		8,782
	36,862	Cie de Saint-Gobain		1,484,718
	41,537	Coface SA *		415,348
	33,761	Derichebourg SA		189,922
	2,031	Eramet SA		172,195
	389	HEXAOM		11,057
	14,399	Ipsen SA		1,379,959
	11,474	IPSOS		521,275
	3,610	Kering SA (b)		1,811,326
	4,483	LVMH Moet Hennessy Louis Vuitton SE (b)		2,892,731
	948	Mersen SA		28,036
	21,085	Metropole Television SA		260,277
	38,771	Publicis Groupe SA (b)		1,893,006
	10,135	Quadient SA		171,676
	1,204	Rothschild & Co		42,865
	29,696	Safran SA (b)		3,027,640
	9,119	Sanofi (b)		745,476
	68,624	SES SA, ADR – Class A		481,764
	2,753	Societe BIC SA		156,608
	84,067	Societe Generale SA		1,853,291
	27,200	STMicroelectronics NV		949,280
	577	Synergie SE		15,876
	55,969	Television Francaise 1		354,945
	14,649	TotalEnergies SE (b)		741,674
	325	Vilmorin & Cie SA		13,965
		Total France		23,368,417

Shares		Description	Value ($)
		Germany — 1.0%
	1,868	1&1 AG		30,023
	940	Allianz SE (Registered) (b)		158,894
	137	Amadeus Fire AG		13,667
	5,749	Aurubis AG		348,082
	16,719	Bayer AG (Registered) (b)		884,234
	20,223	Bayerische Motoren Werke AG		1,490,003
	19,770	Beiersdorf AG (b)		1,995,584
	206	Cewe Stiftung & Co KGaA		16,289
	6,042	Commerzbank AG *		40,203
	29,726	Deutsche Pfandbriefbank AG		256,540
	846	Draegerwerk AG & Co KGaA		34,198
	1,126	Elmos Semiconductor SE		47,767
	20,743	Fresenius SE & Co KGaA (b)		513,146
	3,748	Hamburger Hafen und Logistik AG (b)		45,838
	24,714	HeidelbergCement AG		1,116,022
	1,271	Henkel AG & Co KGaA (b)		79,488
	3,256	Hornbach Holding AG & Co KGaA		229,665
	74,555	Kloeckner & Co SE		672,814
	22,994	Mercedes-Benz Group AG		1,289,174
	7,286	Merck KGaA (b)		1,251,589
	10,015	ProSiebenSat.1 Media SE		77,415
	1,625	RTL Group SA *		60,377
	17,512	Salzgitter AG		430,525
	7,010	SAP SE (b)		597,037
	2,366	Takkt AG		23,967
	2,168	Volkswagen AG (b)		401,016
		Total Germany		12,103,557
		Greece — 0.0%
	12,055	FF Group * (d)		—
	3,210	Hellenic Telecommunications Organization SA		51,067
	14,501	JUMBO SA		207,303
	2,005	Mytilineos SA		31,354
		Total Greece		289,724
		Hong Kong — 0.9%
	4,200	AIA Group Ltd (b)		40,409
	106,700	ASMPT Ltd		826,435
	45,400	Bank of East Asia Ltd (The)		57,200
	44,000	BOC Hong Kong Holdings Ltd		151,439
	58,400	Champion (REIT)		25,136
	53,000	Chow Sang Sang Holdings International Ltd		59,669
	376,000	CITIC Telecom International Holdings Ltd		129,820
	57,500	CK Asset Holdings Ltd (b)		388,111
	326,000	CK Hutchison Holdings Ltd (b)		2,105,195
	550,000	CSI Properties Ltd		12,243
	100,500	Dah Sing Banking Group Ltd		78,041
	30,000	Dah Sing Financial Holdings Ltd		79,869
	426,000	First Pacific Co Ltd		164,280
	254,573	Galaxy Entertainment Group Ltd		1,422,982
	104,000	Giordano International Ltd		24,200

See accompanying notes to the financial statements. 28

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	23,000	Health & Happiness H&H International Holdings Ltd		30,738
	239,000	HKT Trust & HKT Ltd – Class SS (b)		320,638
	132,000	IGG Inc		56,746
	86,500	Johnson Electric Holdings Ltd		102,163
	113,000	K Wah International Holdings Ltd		42,615
	33,000	Kerry Logistics Network Ltd		72,552
	93,500	Kerry Properties Ltd (b)		215,568
	37,800	Luk Fook Holdings International Ltd		96,627
	25,000	NWS Holdings Ltd		24,050
	13,000	Orient Overseas International Ltd (b)		362,374
	172,000	Pacific Textiles Holdings Ltd		64,593
	29,760	PAX Global Technology Ltd		28,446
	331,000	PCCW Ltd		165,701
	130,000	Power Assets Holdings Ltd (b)		777,556
	268,000	Shun Tak Holdings Ltd *		44,631
	70,000	Sino Land Co Ltd (b)		102,363
	57,000	SITC International Holdings Co Ltd		144,542
	55,500	SmarTone Telecommunications Holdings Ltd		29,701
	93,000	Sun Hung Kai & Co Ltd		42,862
	32,500	Sun Hung Kai Properties Ltd (b)		381,817
	39,000	Swire Pacific Ltd – Class A (b)		269,754
	56,500	Texhong Textile Group Ltd		53,084
	46,000	Texwinca Holdings Ltd		8,178
	232,000	VSTECS Holdings Ltd		153,379
	51,400	VTech Holdings Ltd		349,542
	1,638,500	WH Group Ltd		1,116,348
	71,000	Yue Yuen Industrial Holdings Ltd		105,863
		Total Hong Kong		10,727,460
		Hungary — 0.1%
	37,438	MOL Hungarian Oil & Gas Plc		257,961
	66,521	OTP Bank Nyrt		1,414,702
		Total Hungary		1,672,663
		India — 2.6%
	139,036	Arvind Ltd *		168,535
	19,526	Asian Paints Ltd		823,815
	5,013	Aurobindo Pharma Ltd		34,133
	60,206	Axis Bank Ltd		561,089
	4,001	Bajaj Consumer Care Ltd		8,046
	11,640	Bharat Electronics Ltd		44,534
	25,597	Bharat Petroleum Corp Ltd		104,967
	141,815	Brightcom Group Ltd		71,971
	2,745	Cipla Ltd		35,567
	2,326	Clean Science & Technology Ltd		49,962
	440,095	Coal India Ltd		1,284,856
	65	Coromandel International Ltd		854
	1,300	Cummins India Ltd		19,346
	42,558	Dhampur Bio Organics Ltd * (e)		18,130
	2,681	Emami Ltd		16,248
	954,562	GAIL India Ltd		1,622,041

Shares		Description	Value ($)
		India — continued
	26,561	Glenmark Pharmaceuticals Ltd		122,952
	5,458	Grasim Industries Ltd		113,505
	10,756	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		99,983
	132,082	Gujarat State Fertilizers & Chemicals Ltd		258,575
	6,909	Gujarat State Petronet Ltd		20,775
	70,854	HCL Technologies Ltd		822,319
	4,681	HDFC Asset Management Co Ltd		120,480
	22,248	HDFC Bank Ltd		407,175
	2,762	Hero MotoCorp Ltd		97,602
	251,425	Hindalco Industries Ltd		1,360,522
	5,871	Hindustan Aeronautics Ltd		167,863
	178,886	Hindustan Petroleum Corp Ltd		541,737
	17,007	Hindustan Zinc Ltd		60,460
	18,492	Housing Development Finance Corp Ltd		559,990
	96,682	ICICI Bank Ltd		1,062,183
	22,038	Indiabulls Housing Finance Ltd *		37,128
	228,528	Indian Oil Corp Ltd		204,060
	23,382	Infosys Ltd		430,075
	55,200	Infosys Ltd Sponsored ADR (b)		1,010,160
	899,619	ITC Ltd		3,597,373
	148,484	Karnataka Bank Ltd (The)		138,265
	8,158	Mahanagar Gas Ltd		88,474
	14,513	Mahindra & Mahindra Ltd		235,609
	77	Manappuram Finance Ltd		101
	376	Maruti Suzuki India Ltd		42,266
	17,328	Mindtree Ltd		707,986
	169,088	National Aluminium Co Ltd		168,484
	24,979	NBCC India Ltd		10,656
	35,818	NCC Ltd		31,076
	50,102	NHPC Ltd		23,888
	522,799	NMDC Ltd		795,413
	464,136	NTPC Ltd		949,963
	2,604,430	Oil & Natural Gas Corp Ltd		4,498,805
	25,470	Oil India Ltd		61,361
	482	Oracle Financial Services Software Ltd		19,067
	83,616	Petronet LNG Ltd		230,416
	314,672	Power Finance Corp Ltd		470,627
	185,341	Power Grid Corp of India Ltd		530,413
	6,540	Prestige Estates Projects Ltd		37,258
	15,658	Rajesh Exports Ltd		115,551
	477,379	REC Ltd		647,596
	78,595	Redington India Ltd		147,086
	3,411	Reliance Industries Ltd		111,916
	2,047	Sobha Ltd		17,709
	177,780	Sun Pharmaceutical Industries Ltd		1,980,842
	12,668	Sun TV Network Ltd		78,809
	28,702	Tata Consultancy Services Ltd		1,144,271
	1,326,889	Tata Steel Ltd		1,783,952
	24,037	Titan Co Ltd		775,912
	223,662	TV18 Broadcast Ltd *		113,336
	35,130	Vardhman Textiles Ltd		145,507
	7,963	Welspun Corp Ltd		22,342
		Total India		32,083,968

29 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)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Indonesia — 0.6%
	1,844,300	Adaro Energy Indonesia Tbk PT		439,675
	5,201,200	Bank Central Asia Tbk PT		2,872,221
	1,055,996	Bank Mandiri Persero Tbk PT		628,407
	2,588,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		125,555
	5,153,000	Bank Rakyat Indonesia Persero Tbk PT		1,504,826
	979,700	Bukit Asam Tbk PT		280,321
	100,100	Indo Tambangraya Megah Tbk PT		265,143
	42,300	Indocement Tunggal Prakarsa Tbk PT		26,901
	237,900	Indofood Sukses Makmur Tbk PT		99,803
	1,219,000	Kalbe Farma Tbk PT		137,843
	2,116,700	Media Nusantara Citra Tbk PT		130,359
	963,900	Panin Financial Tbk PT		24,798
	757,100	Perusahaan Gas Negara Tbk PT		93,666
	840,724	Telkom Indonesia Persero Tbk PT		257,456
	103,348	United Tractors Tbk PT		235,330
		Total Indonesia		7,122,304
		Ireland — 0.4%
	1,633	AIB Group Plc		3,704
	250,808	Bank of Ireland Group Plc		1,545,366
	12,899	Glanbia Plc		164,154
	2,914	Kingspan Group Plc		164,987
	15,644	Origin Enterprises Plc		58,644
	9,611	Permanent TSB Group Holdings Plc *		14,737
	96,472	Ryanair Holdings Plc *		1,195,210
	13,723	Ryanair Holdings Plc Sponsored ADR * (b)		997,799
	29,779	Smurfit Kappa Group Plc (c)		998,477
	2,716	Smurfit Kappa Group Plc (c)		90,967
		Total Ireland		5,234,045
		Israel — 0.3%
	35,324	Bank Leumi Le-Israel BM		373,418
	161,463	Oil Refineries Ltd		69,331
	210,700	Teva Pharmaceutical Industries Ltd Sponsored ADR *		1,904,728
	46,200	ZIM Integrated Shipping Services Ltd		1,667,358
		Total Israel		4,014,835
		Italy — 0.8%
	8,748	ACEA SPA (b)		104,755
	10,115	Anima Holding SPA		34,372
	20,201	Banca IFIS SPA		241,214
	26,305	Banco BPM SPA		65,311
	55,960	CIR SpA-Compagnie Industriali *		23,487
	22,116	Credito Emiliano SPA		127,857
	8,996	Eni SPA		106,269
	2,100	Eni SPA – Sponsored ADR		49,602
	7,503	Esprinet SPA		51,037
	50,502	EXOR NV		3,040,480
	128,551	Italgas SPA (b)		661,226
	149,539	Leonardo SPA		1,223,797
	161,648	MFE-MediaForEurope NV – Class A*		68,571

Shares		Description	Value ($)
		Italy — continued
	99,484	Stellantis NV (b)		1,325,180
	5,491,125	Telecom Italia SPA * (a)		1,132,594
	87,336	Telecom Italia SPA – RSP *		17,321
	33,347	Terna - Rete Elettrica Nazionale (b)		237,071
	4,760	Unieuro SPA (a)		54,126
	198,668	Unipol Gruppo SPA		831,940
		Total Italy		9,396,210
		Japan — 13.5%
	12,500	ADEKA Corp		210,929
	1,200	Advantest Corp (b)		67,962
	185,700	Aeon Mall Co Ltd (a)		2,214,908
	13,500	AGC Inc		458,176
	6,100	Aichi Corp		36,474
	17,400	Aisin Corp		517,383
	101,400	Amano Corp		1,875,772
	6,600	AOKI Holdings Inc		33,366
	43,300	Arcs Co Ltd (a)		633,132
	227,900	Asahi Kasei Corp (b)		1,665,445
	3,600	Bando Chemical Industries Ltd		26,090
	57,500	Brother Industries Ltd		1,100,407
	74,100	Canon Inc (a) (b)		1,774,643
	8,100	Canon Marketing Japan Inc		183,681
	1,400	Cawachi Ltd		21,256
	2,100	Central Glass Co Ltd		50,667
	1,600	Chiyoda Integre Co Ltd		24,853
	106,000	Chugoku Marine Paints Ltd (a)		672,114
	70,300	Citizen Watch Co Ltd (a)		300,365
	3,900	CONEXIO Corp		36,984
	35,500	Dai Nippon Printing Co Ltd (b)		747,234
	5,400	Dai Nippon Toryo Co Ltd		28,861
	1,500	Dai-Dan Co Ltd		23,962
	1,400	Daiichi Jitsugyo Co Ltd		38,476
	35,700	Daiwa House Industry Co Ltd (b)		798,153
	225,500	Daiwabo Holdings Co Ltd		3,174,398
	96,800	Denka Co Ltd		2,318,948
	2,800	Dentsu Group Inc (b)		90,174
	2,700	DTS Corp (b)		69,564
	2,000	Ehime Bank Ltd (The) (a)		12,230
	1,300	Eizo Corp		35,385
	6,200	Exedy Corp		79,885
	167,400	EXEO Group Inc		2,568,319
	71,900	Ezaki Glico Co Ltd		1,870,812
	132,000	Fuji Corp		1,920,011
	15,400	Fuji Electric Co Ltd		665,313
	18,700	FUJIFILM Holdings Corp (b)		949,339
	8,000	Fukuoka Financial Group Inc		142,957
	2,000	Furuno Electric Co Ltd (a)		16,102
	3,500	G-7 Holdings Inc (a)		37,528
	86,500	H.U. Group Holdings Inc (b)		1,756,918
	8,000	Hanwa Co Ltd		197,909
	249,700	Haseko Corp		2,861,371
	1,800	Heiwado Co Ltd		25,728

See accompanying notes to the financial statements. 30

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	52,100	Hogy Medical Co Ltd		1,303,036
	164,400	Honda Motor Co Ltd (b)		4,376,700
	3,300	Honda Motor Co Ltd Sponsored ADR (b)		87,516
	16,300	Hosiden Corp		185,196
	600	Hyakujushi Bank Ltd (The)		7,320
	20,200	Idemitsu Kosan Co Ltd		532,618
	12,600	Iida Group Holdings Co Ltd (a)		191,934
	12,300	Inabata & Co Ltd		215,231
	331,400	Inpex Corp		3,809,319
	12,500	Isuzu Motors Ltd		155,246
	122,100	ITOCHU Corp (b)		3,360,280
	3,700	Itochu Enex Co Ltd		29,029
	600	Itochu-Shokuhin Co Ltd		21,959
	24,000	Itoham Yonekyu Holdings Inc		116,064
	8,000	Itoki Corp (a)		25,146
	5,800	Jaccs Co Ltd		159,500
	7,900	Japan Aviation Electronics Industry Ltd		132,113
	98,200	Japan Tobacco Inc (b)		1,663,843
	113,600	JFE Holdings Inc		1,220,468
	7,100	JVCKenwood Corp		10,422
	5,100	Kaga Electronics Co Ltd		150,968
	91,100	Kajima Corp		958,603
	3,500	Kamei Corp		27,536
	11,900	Kandenko Co Ltd		71,608
	3,400	Kaneka Corp		91,194
	104,100	Kanematsu Corp		1,126,153
	105,800	KDDI Corp (b)		3,237,599
	168,600	Kirin Holdings Co Ltd (b)		2,775,454
	5,097	Kohnan Shoji Co Ltd (a)		126,343
	13,401	Komeri Co Ltd		251,689
	61,000	Konoike Transport Co Ltd (b)		578,900
	183,500	K’s Holdings Corp		1,690,663
	1,300	Kureha Corp		87,299
	3,000	Kyokuto Kaihatsu Kogyo Co Ltd		29,440
	96,300	Kyudenko Corp		1,938,610
	4,700	Lintec Corp		78,332
	10,000	Macnica Holdings Inc		214,565
	87,700	Macromill Inc		665,028
	98,800	Mandom Corp		1,062,722
	114,400	Marubeni Corp (b)		1,192,309
	103,000	Maruichi Steel Tube Ltd		2,195,749
	1,000	Maruzen Showa Unyu Co Ltd		22,835
	95,200	Maxell Ltd		1,009,735
	7,900	MCJ Co Ltd		54,918
	81,500	Mebuki Financial Group Inc		156,200
	1,300	Melco Holdings Inc		31,052
	73,400	Mitsubishi Corp (b)		2,403,162
	2,200	Mitsubishi Research Institute Inc		65,861
	2,200	Mitsubishi Shokuhin Co Ltd		54,001
	314,200	Mitsubishi UFJ Financial Group Inc (b)		1,628,796
	3,100	Mitsuboshi Belting Ltd		71,265
	22,800	Mitsui & Co Ltd (b)		535,096
	6,200	Mitsui DM Sugar Holdings Co Ltd		83,439
	50,900	Mitsui OSK Lines Ltd (b)		1,326,128

Shares		Description	Value ($)
		Japan — continued
	3,500	Mitsui-Soko Holdings Co Ltd (b)		84,595
	66,900	Morinaga & Co Ltd		1,910,875
	67,900	MS&AD Insurance Group Holdings Inc		2,025,859
	78,900	NEC Corp (b)		2,877,613
	54,100	NGK Spark Plug Co Ltd		1,110,005
	90,300	NH Foods Ltd		2,584,856
	10,600	Nichias Corp		183,056
	2,600	Nichiha Corp		51,812
	5,200	Nichireki Co Ltd		50,828
	76,000	Nikon Corp		867,556
	3,000	Nippn Corp		33,836
	2,000	Nippon Densetsu Kogyo Co Ltd		25,734
	3,600	Nippon Soda Co Ltd		119,044
	57,300	Nippon Steel Corp (b)		905,117
	3,000	Nippon Steel Trading Corp		115,424
	31,200	Nippon Suisan Kaisha Ltd		127,672
	138,500	Nippon Telegraph & Telephone Corp (b)		3,753,942
	34,800	Nippon Television Holdings Inc		295,716
	4,800	Nippon Yusen KK (b)		366,116
	2,700	Nisshinbo Holdings Inc		20,894
	1,500	Nissin Corp		19,986
	8,400	Nissin Electric Co Ltd		89,517
	1,600	Nitto Kogyo Corp (a)		29,517
	5,800	Nojima Corp		116,853
	2,200	Nomura Real Estate Holdings Inc (b)		54,049
	1,600	Noritake Co Ltd		48,091
	223,300	Obayashi Corp		1,544,474
	8,600	Organo Corp		572,036
	29,300	ORIX Corp (b)		481,615
	2,500	Osaka Soda Co Ltd (a)		67,855
	104,400	Pacific Industrial Co Ltd		812,875
	403,000	Penta-Ocean Construction Co Ltd		2,126,761
	1,800	Prima Meat Packers Ltd		28,095
	5,700	Proto Corp		45,743
	100	Raito Kogyo Co Ltd		1,328
	15,400	Renesas Electronics Corp * (b)		145,816
	400	Restar Holdings Corp		5,894
	900	Rion Co Ltd		13,738
	30,500	Rohm Co Ltd (b)		2,281,948
	2,400	Roland DG Corp		56,292
	1,300	Ryobi Ltd		12,073
	15,600	San-A Co Ltd		465,867
	8,800	Sanki Engineering Co Ltd		103,945
	82,000	Sankyu Inc (b)		2,522,096
	45,800	Sawai Group Holdings Co Ltd		1,353,515
	40,100	Secom Co Ltd (b)		2,554,739
	12,100	Sega Sammy Holdings Inc		179,622
	44,800	Seiko Epson Corp		703,979
	3,500	Seiko Holdings Corp		72,121
	7,200	Sekisui Chemical Co Ltd		98,160
	131,600	Sekisui House Ltd (b)		2,237,809
	2,900	Sekisui Jushi Corp		35,858
	9,900	Shimamura Co Ltd (b)		897,337
	181,300	Shimizu Corp		994,152

31 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)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	2,700	Shinmaywa Industries Ltd		20,577
	7,700	Shizuoka Gas Co Ltd (b)		57,633
	800	Sinanen Holdings Co Ltd		22,009
	3,600	Sinko Industries Ltd		41,662
	27,300	SKY Perfect JSAT Holdings Inc		108,496
	102,860	Sojitz Corp		1,730,715
	183,200	Stanley Electric Co Ltd		3,381,721
	5,700	Star Micronics Co Ltd		74,954
	46,900	Subaru Corp		852,520
	160,800	SUMCO Corp		2,182,518
	1,900	Sumitomo Bakelite Co Ltd		59,892
	707,400	Sumitomo Chemical Co Ltd		2,784,557
	113,400	Sumitomo Corp (b)		1,595,038
	8,600	Sumitomo Electric Industries Ltd		98,509
	38,600	Sumitomo Forestry Co Ltd		652,629
	108,200	Sumitomo Mitsui Financial Group Inc (a) (b)		3,263,665
	91,800	Sumitomo Mitsui Trust Holdings Inc		2,855,273
	1,500	Sumitomo Seika Chemicals Co Ltd		33,580
	4,300	Sumitomo Warehouse Co Ltd (The) (b)		67,477
	279,600	T&D Holdings Inc		3,053,571
	80,200	Tachi-S Co Ltd		704,560
	50,500	Taisei Corp		1,531,136
	110,500	Takara Holdings Inc		838,416
	32,900	Takara Leben Co Ltd		89,492
	161,400	Takuma Co Ltd		1,621,571
	3,000	Tamron Co Ltd		65,546
	2,600	TDK Corp		90,902
	232,400	Teijin Ltd		2,457,044
	2,100	T-Gaia Corp		24,969
	115,600	THK Co Ltd		2,346,494
	59,900	Toho Holdings Co Ltd		793,362
	290,500	Tokai Carbon Co Ltd		2,120,574
	85,300	Tokyo Gas Co Ltd (b)		1,600,330
	71,200	Tokyo Seimitsu Co Ltd		2,371,762
	8,200	Tokyu Construction Co Ltd		38,571
	147,400	Toppan Inc		2,314,864
	92,200	Tosei Corp		920,994
	70,600	Tosoh Corp		912,846
	6,900	Towa Pharmaceutical Co Ltd		109,426
	28,500	Toyo Construction Co Ltd		175,826
	15,900	Toyota Boshoku Corp		230,910
	52,500	Toyota Industries Corp (b)		2,934,372
	11,900	Toyota Tsusho Corp (b)		416,597
	2,200	TPR Co Ltd		20,145
	70,000	Tsumura & Co		1,602,403
	7,100	TV Asahi Holdings Corp		73,985
	5,200	Ulvac Inc		201,636
	4,000	Wacoal Holdings Corp		63,925
	12,000	YAMABIKO Corp		97,962
	39,100	Yamada Holdings Co Ltd (b)		135,327
	29,100	Yamaha Motor Co Ltd		603,077
	5,300	Yamazen Corp		35,491
	2,600	Yellow Hat Ltd		33,568
	39,900	Yokogawa Bridge Holdings Corp		557,906

Shares		Description	Value ($)
		Japan — continued
	5,100	Yuasa Trading Co Ltd		128,489
	65,400	Zenkoku Hosho Co Ltd		2,161,071
		Total Japan		167,577,227
		Kuwait — 0.0%
	13,850	Humansoft Holding Co KSC		155,563
	0	Kuwait Finance House KSCP		—
		Total Kuwait		155,563
		Luxembourg — 0.0%
	16,943	Ternium SA Sponsored ADR		522,014
		Malaysia — 0.1%
	2,000	Fraser & Neave Holdings Bhd		9,972
	45,800	IHH Healthcare Bhd		63,212
	116,300	Kossan Rubber Industries Bhd		26,170
	10,500	Kuala Lumpur Kepong Bhd		54,253
	17,700	MISC Bhd		28,006
	193,100	Petronas Chemicals Group Bhd		378,760
	8,200	PPB Group Bhd		32,234
	51,900	Westports Holdings Bhd		40,250
		Total Malaysia		632,857
		Mexico — 1.1%
	746,200	America Movil SAB de CV – Series L		635,214
	28,825	America Movil SAB de CV – Class L Sponsored ADR		490,025
	29,412	Arca Continental SAB de CV		199,073
	88,200	Banco del Bajio SA		184,792
	28,800	Becle SAB de CV		58,696
	4,576	Coca-Cola Femsa SAB de CV Sponsored ADR		280,188
	495,200	Credito Real SAB de CV SOFOM ER * (e)		8,873
	50,992	El Puerto de Liverpool SAB de CV – Class C1		227,239
	439,088	Fomento Economico Mexicano SAB de CV		2,748,318
	14,208	Gentera SAB de CV		11,136
	1,440	Gruma SAB de CV – Class B		15,743
	6,439	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		42,140
	2,125	Grupo Aeroportuario del Sureste SAB de CV – Class B		44,765
	708,465	Grupo Financiero Banorte SAB de CV – Class O		4,184,714
	25,856	Grupo Financiero Inbursa SAB de CV – Class O*		40,504
	703,433	Grupo Mexico SAB de CV – Series B		2,650,116
	39,500	Industrias Bachoco SAB de CV – Series B		156,145
	53,856	Kimberly-Clark de Mexico SAB de CV – Class A		73,112
	20,400	Megacable Holdings SAB de CV		42,792
	47,700	Qualitas Controladora SAB de CV		208,946
	23,400	Regional SAB de CV		126,510
	8,151	Unifin Financiera SAB de CV SOFOM ENR *		704

See accompanying notes to the financial statements. 32

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Mexico — continued
	337,892	Wal-Mart de Mexico SAB de CV		1,107,271
		Total Mexico		13,537,016
		Netherlands — 1.3%
	21,042	ABN AMRO Bank NV CVA GDR		202,148
	367,019	Aegon NV		1,640,217
	25,800	AerCap Holdings NV *		1,136,490
	10,625	ASR Nederland NV		433,651
	9,049	ForFarmers NV (a)		25,503
	119	Hunter Douglas NV *		20,898
	89,085	ING Groep NV		780,780
	47,665	JDE Peet’s NV (b)		1,469,762
	113,306	Koninklijke Ahold Delhaize NV (b)		3,116,687
	40,114	Koninklijke Philips NV (b)		666,213
	40,850	NN Group NV		1,678,852
	27,883	Prosus NV *		1,723,433
	52,182	Randstad NV (a) (b)		2,430,154
	9,571	Signify NV		272,064
	1,799	Wolters Kluwer NV (b)		175,929
		Total Netherlands		15,772,781
		New Zealand — 0.1%
	59,921	Auckland International Airport Ltd * (b)		276,341
	226,050	Meridian Energy Ltd (b)		689,632
	62,536	Spark New Zealand Ltd		206,864
		Total New Zealand		1,172,837
		Norway — 0.4%
	2,120	Austevoll Seafood ASA		22,724
	9,568	BW LPG Ltd		62,195
	58,693	DNO ASA		83,392
	61,105	Elkem ASA		243,170
	51,747	Equinor ASA (b)		2,008,334
	50,517	Europris ASA		303,066
	163,679	Norsk Hydro ASA		1,124,655
	3,159	Selvaag Bolig ASA		12,995
	10,559	SpareBank 1 Nord Norge		95,173
	12,110	SpareBank 1 SMN		147,446
	2,503	Stolt-Nielsen Ltd (b)		53,488
	31,610	Wallenius Wilhelmsen ASA (b)		177,962
		Total Norway		4,334,600
		Panama — 0.0%
	297,879	BAC Holding International Corp *		15,133
		Peru — 0.1%
	18,900	Southern Copper Corp		889,623
		Philippines — 0.0%
	10,800	GT Capital Holdings Inc		92,501
	4,691	Manila Electric Co		25,123
	758,080	Megaworld Corp		33,652

Shares		Description	Value ($)
		Philippines — continued
	33,900	Puregold Price Club Inc		20,644
		Total Philippines		171,920
		Poland — 0.2%
	5,274	Asseco Poland SA		80,403
	109,129	Bank Polska Kasa Opieki SA		1,509,702
	3,461	Budimex SA		185,982
	24,558	Cyfrowy Polsat SA		101,284
	10,850	Jastrzebska Spolka Weglowa SA *		109,601
	39	LPP SA		70,224
	53,842	Polski Koncern Naftowy ORLEN SA		697,373
	88,955	Polskie Gornictwo Naftowe i Gazownictwo SA *		105,672
	6,916	Powszechna Kasa Oszczednosci Bank Polski SA *		34,501
	25,640	Powszechny Zaklad Ubezpieczen SA		153,477
		Total Poland		3,048,219
		Portugal — 0.4%
	22,206	Altri SGPS SA		125,296
	115,292	Banco Comercial Portugues SA – Class R		16,774
	200,232	EDP – Energias de Portugal SA		956,227
	227,645	Galp Energia SGPS SA		2,458,334
	15,640	Jeronimo Martins SGPS SA		346,766
	83,477	Navigator Co SA (The)		331,230
	61,689	NOS SGPS SA		227,387
	56,580	REN - Redes Energeticas Nacionais SGPS SA		149,993
	516,313	Sonae SGPS SA		518,967
		Total Portugal		5,130,974
		Qatar — 0.1%
	7,568	Qatar Gas Transport Co Ltd		8,298
	215,563	Qatar National Bank QPSC		1,219,824
	14,520	Qatar National Cement Co QSC		19,741
		Total Qatar		1,247,863
		Russia — 0.3%
	3,038,020	Alrosa PJSC * (d) (f)		254,845
	10,190	Detsky Mir PJSC (d)		994
	148,200,000	Federal Grid Co Unified Energy System PJSC * (d)		16,620
	68,395	Fix Price Group Ltd GDR (d)		16,982
	180,610	Gazprom Neft PJSC (d)		87,059
	497,450	Gazprom PJSC * (d)		145,508
	776,704	Gazprom PJSC Sponsored ADR * (e)		457,007
	7,736	Globaltrans Investment Plc Sponsored GDR (Registered) (e)		2,885
	6,310,100	Inter RAO UES PJSC * (d)		23,244
	19,776	LSR Group PJSC * (d)		13,639
	1	LSR Group PJSC GDR (Registered) (d)		0
	74,944	LUKOIL PJSC (d)		367,226
	1,561	Magnit PJSC (d)		9,835

33 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)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	1,468,850	Magnitogorsk Iron & Steel Works PJSC * (d) (f)		49,252
	30,345	Magnitogorsk Iron & Steel Works PJSC
		Sponsored GDR (Registered) * (e) (f)		13,304
	25,400	Mechel PJSC * (d)		3,629
	45,541	MMC Norilsk Nickel PJSC ADR (d)		84,835
	16,770	Mobile TeleSystems PJSC (d)		4,547
	20,400	Mobile TeleSystems PJSC ADR* (d)		11,127
	361,420	Moscow Exchange MICEX-RTS PJSC * (d)		37,534
	3,294,000	Mosenergo PJSC * (d)		6,931
	75,720	Novatek PJSC (d)		98,448
	1,212,010	Novolipetsk Steel PJSC * (d)		167,818
	3,466	PhosAgro PJSC * (d)		31,493
	67	PhosAgro PJSC GDR (d) (f)		204
	130,264	Polymetal International Plc		319,453
	10,215	Polyus PJSC * (d)		97,528
	46,000	QIWI Plc Sponsored ADR (c) (d)		24,908
	1,352	QIWI Plc Sponsored ADR (c) (d)		546
	5,248	Ros Agro Plc GDR (Registered) (d)		5,490
	1,879,040	ROSSETI PJSC * (d)		1,293
	23,515,000	RusHydro PJSC * (d)		21,598
	9,562	RusHydro PJSC ADR * (d)		883
	3,677,652	Sberbank of Russia PJSC * (d) (f)		566,570
	425	Severstal PAO (d) (f)		368
	91,185	Severstal PJSC GDR (Registered) * (d) (f)		79,437
	11,580	SFI PJSC * (d)		6,187
	5,940,620	Surgutneftegas PJSC (d)		173,836
	55,398	Tatneft PJSC Sponsored ADR (d)		174,935
	1,300,440	Unipro PJSC (d)		2,055
	50,950	United Co Rusal International PJSC * (d)		2,853
	8,456	X5 Retail Group NV GDR (Registered) (d)		9,747
		Total Russia		3,392,653
		Saudi Arabia — 0.2%
	1,193	Abdullah Al Othaim Markets Co		40,623
	3,313	Almarai Co JSC		46,628
	2,823	Co for Cooperative Insurance (The) *		56,925
	92,743	Saudi Arabian Oil Co		923,811
	45,538	Saudi Basic Industries Corp		1,209,728
	38,297	Saudi Telecom Co		425,193
		Total Saudi Arabia		2,702,908
		Singapore — 0.7%
	51,300	AIMS APAC (REIT)		50,227
	39,000	Bumitama Agri Ltd		17,423
	63,494	Capitaland Investment Ltd		167,165
	80,000	City Developments Ltd		464,496
	160,500	ComfortDelGro Corp Ltd		161,759
	78,035	DBS Group Holdings Ltd		1,816,927
	187,200	First Real Estate Investment Trust (a)		36,762
	1,318,100	Golden Agri-Resources Ltd		264,238
	161,540	Japfa Ltd		69,305
	37,516	Jardine Cycle & Carriage Ltd		880,729

Shares		Description	Value ($)
		Singapore — continued
	210,600	Keppel Corp Ltd		1,093,755
	37,420	Lendlease Global Commercial (REIT)		22,050
	40,900	Sasseur Real Estate Investment Trust		22,666
	27,500	Sheng Siong Group Ltd		31,875
	237,800	Silverlake Axis Ltd		61,030
	700	Singapore Exchange Ltd		4,750
	11,200	Singapore Technologies Engineering Ltd		29,845
	114,700	StarHub Ltd		100,838
	7,800	United Overseas Bank Ltd		152,096
	32,000	UOL Group Ltd		158,329
	154,300	Wilmar International Ltd		445,371
	1,320,399	Yangzijiang Financial Holding Ltd *		353,236
	2,511,099	Yangzijiang Shipbuilding Holdings Ltd		1,740,282
	190,400	Yanlord Land Group Ltd		140,126
		Total Singapore		8,285,280
		South Africa — 0.8%
	256,194	Absa Group Ltd		2,653,441
	2,052	African Rainbow Minerals Ltd		28,262
	6,107	Anglo American Platinum Ltd		426,327
	10,455	Astral Foods Ltd		126,071
	50,051	Barloworld Ltd		254,758
	82,509	Bidvest Group Ltd (The)		1,033,569
	77,272	Blue Label Telecoms Ltd *		28,157
	3,237	Capitec Bank Holdings Ltd		384,897
	95,174	FirstRand Ltd		355,485
	4,420	Impala Platinum Holdings Ltd		46,314
	35,314	Investec Ltd		165,816
	46,344	Kumba Iron Ore Ltd		1,026,024
	18,305	Lewis Group Ltd		51,061
	31,586	Metair Investments Ltd		48,723
	30,082	Motus Holdings Ltd		203,852
	19,169	Mr Price Group Ltd		207,654
	73,824	MTN Group Ltd		534,341
	12,234	Ninety One Ltd		27,570
	126,916	Pepkor Holdings Ltd		149,027
	4,861	PSG Group Ltd *		25,597
	27,686	Raubex Group Ltd		56,380
	20,426	Reunert Ltd		53,576
	492,133	RMB Holdings Ltd *		51,776
	28,160	Sappi Ltd *		75,063
	11,928	Sibanye Stillwater Ltd		26,647
	10,000	Sibanye Stillwater Ltd ADR		89,800
	123,463	Telkom SA SOC Ltd *		316,857
	22,061	Tiger Brands Ltd		214,653
	185,099	Truworths International Ltd		617,267
	3,806	Vodacom Group Ltd		28,015
	83,295	Woolworths Holdings Ltd		271,741
		Total South Africa		9,578,721
		South Korea — 3.5%
	111,492	BNK Financial Group Inc		555,934
	6,772	Cheil Worldwide Inc		110,407

See accompanying notes to the financial statements. 34

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	90	CJ CheilJedang Corp		27,300
	1,423	Coway Co Ltd		67,513
	889	Daihan Pharmaceutical Co Ltd		17,118
	5,533	Daou Data Corp		49,892
	1,908	DB HiTek Co Ltd		65,492
	4,280	DB Insurance Co Ltd		190,605
	33,334	DGB Financial Group Inc		184,753
	1,374	DL E&C Co Ltd		41,704
	34,093	Dongwon Development Co Ltd		94,528
	1,367	E-MART Inc		99,242
	2,748	Fila Holdings Corp		63,473
	23,183	GS Engineering & Construction Corp		518,565
	8,557	GS Holdings Corp		293,779
	1,141	GS Retail Co Ltd		21,569
	82,344	Hana Financial Group Inc		2,400,052
	1,994	Handsome Co Ltd		42,045
	30,823	Hankook Tire & Technology Co Ltd		868,956
	19,213	HDC Hyundai Development Co-Engineering & Construction		177,532
	439	Hyosung TNC Corp		102,093
	1,760	Hyundai Department Store Co Ltd		80,967
	28,146	Hyundai Engineering & Construction Co Ltd		1,006,440
	1,640	Hyundai Glovis Co Ltd		214,884
	1,022	Hyundai Home Shopping Network Corp		38,070
	7,307	Hyundai Mobis Co Ltd		1,165,271
	2,160	Hyundai Motor Co GDR (Registered)		72,831
	25,990	JB Financial Group Co Ltd		146,835
	30,079	KB Financial Group Inc		1,104,168
	1,300	KB Financial Group Inc ADR *		47,554
	3,100	KC Co Ltd		41,494
	166	KCC Corp		36,248
	643	KCC Glass Corp		24,087
	92,044	Kia Corp		5,516,917
	505	KIWOOM Securities Co Ltd		32,089
	895	Korea Petrochemical Ind Co Ltd		80,846
	6,570	Korea Real Estate Investment & Trust Co Ltd		7,961
	1,511	Korea Zinc Co Ltd		755,842
	20,967	KT Skylife Co Ltd		133,526
	83,989	KT&G Corp		5,217,182
	6,808	Kumho Petrochemical Co Ltd		656,679
	4,998	LF Corp		62,964
	5,926	LG Corp		361,610
	35,056	LG Electronics Inc		2,623,241
	640	LG H&H Co Ltd		338,906
	1,809	LG Innotek Co Ltd		460,495
	3,101	Lotte Chemical Corp		402,648
	15,770	LOTTE Fine Chemical Co Ltd		825,126
	3,117	LX International Corp		100,380
	4,458	LX Semicon Co Ltd		313,662
	5,965	NAVER Corp		1,058,469
	265	NCSoft Corp		74,468
	1,743	NH Investment & Securities Co Ltd		12,903

Shares		Description	Value ($)
		South Korea — continued
	323	Orion Corp		23,661
	9,631	POSCO Holdings Inc		1,821,850
	19,246	POSCO Holdings Inc Sponsored ADR		904,947
	652	PSK Inc		16,518
	2,615	Samjin Pharmaceutical Co Ltd		48,304
	6	Samsung C&T Corp		537
	105,665	Samsung Electronics Co Ltd		4,681,038
	988	Samsung Electronics Co Ltd GDR (Registered) (b)		1,080,446
	11,168	Samsung Engineering Co Ltd *		194,179
	449	Samsung Fire & Marine Insurance Co Ltd		65,255
	1,300	Samsung SDS Co Ltd		124,070
	17,144	SD Biosensor Inc		448,223
	326	Sebang Global Battery Co Ltd		12,600
	1,788	Seegene Inc		41,889
	56,254	Shinhan Financial Group Co Ltd		1,524,116
	11,630	SK Hynix Inc		817,681
	15,887	SK Square Co Ltd *		477,388
	2,470	SK Telecom Co Ltd		95,827
	19,593	SK Telecom Co Ltd Sponsored ADR		418,311
	2,438	SL Corp		69,500
	5	S-Oil Corp		379
	170,388	Woori Financial Group Inc		1,541,317
	11,709	Woori Technology Investment Co Ltd *		50,837
	3,413	Youngone Corp		113,002
		Total South Korea		43,579,190
		Spain — 1.3%
	743	Acciona SA (b)		145,528
	184,119	Acerinox SA		1,665,876
	44,352	Amadeus IT Group SA * (b)		2,341,314
	35,785	Atresmedia Corp de Medios de Comunicacion SA		98,001
	729,766	Banco Bilbao Vizcaya Argentaria SA		3,274,601
	2,679,000	Banco de Sabadell SA		1,842,439
	804,644	Banco Santander SA		1,947,799
	39,599	Bankinter SA		202,936
	17,925	Cia de Distribucion Integral Logista Holdings SA (b)		348,395
	1,696	Enagas SA (b)		30,969
	33,423	Faes Farma SA		132,746
	897	Grupo Catalana Occidente SA		26,376
	83,139	Industria de Diseno Textil SA (b)		1,795,090
	10,082	Mediaset Espana Comunicacion SA *		28,044
	137,084	Repsol SA		1,780,458
	163,622	Telefonica SA (b)		675,270
	50,658	Unicaja Banco SA		45,616
		Total Spain		16,381,458
		Sweden — 0.6%
	87,336	Fastighets AB Balder – Class B* (b)		482,287
	7,459	Industrivarden AB – A Shares		165,306
	36,294	Industrivarden AB – C Shares (a)		796,216
	52,790	Investor AB – A Shares (b)		877,407

35 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)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Sweden — continued
	90,796	Investor AB – B Shares (b)		1,431,054
	21,646	Inwido AB		211,684
	58,363	Kinnevik AB – Class B*		830,564
	15,131	New Wave Group AB – B Shares		243,374
	33,869	Skanska AB – B Shares		500,336
	189,808	SSAB AB – A Shares		912,929
	6,151	SSAB AB – B Shares		28,719
	31,667	Svenska Cellulosa AB SCA – Class B (b)		474,483
		Total Sweden		6,954,359
		Switzerland — 0.6%
	43,312	Adecco Group AG (Registered) * (b)		1,373,014
	2,011	Bobst Group SA (Registered)		162,032
	697	DKSH Holding AG (b)		51,859
	26,581	Logitech International SA (Registered) (a)		1,322,562
	6,116	Mobilezone Holding AG (Registered)		101,251
	9,262	Roche Holding AG – Genusschein (b)		2,984,599
	1,243	u-blox Holding AG *		172,277
	99,690	UBS Group AG (Registered) (b)		1,579,759
	180	Zurich Insurance Group AG (b)		79,902
		Total Switzerland		7,827,255
		Taiwan — 4.9%
	84,560	Acer Inc		60,733
	7,207	Acter Group Corp Ltd		50,080
	313,000	AmTRAN Technology Co Ltd		130,662
	486,035	Asustek Computer Inc		4,044,316
	19,000	Aten International Co Ltd		48,724
	149,000	AUO Corp *		81,358
	8,400	Aurora Corp		23,558
	715,000	Catcher Technology Co Ltd *		4,334,180
	1,382,399	Cathay Financial Holding Co Ltd		2,011,150
	113,033	Chailease Holding Co Ltd		725,752
	118,000	Chicony Electronics Co Ltd		315,027
	133,000	China Steel Corp		125,960
	452,000	Chipbond Technology Corp		843,617
	9,280	Chong Hong Construction Co Ltd		22,594
	163,000	Chunghwa Telecom Co Ltd		646,798
	2,100	Chunghwa Telecom Co Ltd Sponsored ADR (b)		83,412
	428,000	Compal Electronics Inc		318,674
	33,000	Compeq Manufacturing Co Ltd		56,589
	48,440	Coretronic Corp		99,334
	39,000	Elan Microelectronics Corp		123,341
	63,000	Elite Material Co Ltd		331,608
	14,000	Elite Semiconductor Microelectronics Technology Inc		36,018
	258,000	Evergreen Marine Corp Taiwan Ltd *		739,355
	21,000	Far Eastern New Century Corp		22,503
	203,000	Far EasTone Telecommunications Co Ltd		497,869
	91,000	Farglory Land Development Co Ltd		190,239
	147,800	First Financial Holding Co Ltd		128,228
	43,701	FLEXium Interconnect Inc *		133,533

Shares		Description	Value ($)
		Taiwan — continued
	10,000	Formosa Chemicals & Fibre Corp		22,466
	16,000	Formosa Petrochemical Corp		43,858
	325,000	Formosa Plastics Corp		969,018
	120,821	Foxconn Technology Co Ltd		199,754
	1,584,175	Fubon Financial Holding Co Ltd		2,970,405
	6,080	Fusheng Precision Co Ltd		39,288
	15,000	Gamania Digital Entertainment Co Ltd		29,770
	11,560	Getac Technology Corp		17,992
	74,000	Gigabyte Technology Co Ltd		206,395
	265,000	Grand Pacific Petrochemical		162,753
	58,000	HannStar Display Corp		22,550
	27,946	Hiwin Technologies Corp		188,623
	13,000	Holtek Semiconductor Inc		31,403
	2,146,318	Hon Hai Precision Industry Co Ltd		7,642,564
	69,000	Huaku Development Co Ltd		210,094
	86,820	IEI Integration Corp		212,984
	33,687	Innodisk Corp		188,838
	21,938	International Games System Co Ltd		267,487
	104,000	King’s Town Bank Co Ltd		119,965
	31,000	Kung Long Batteries Industrial Co Ltd		143,297
	23,000	Largan Precision Co Ltd		1,463,034
	508,000	Lite-On Technology Corp		1,093,231
	1,000	Lotes Co Ltd		23,708
	4,807	Makalot Industrial Co Ltd		28,245
	148,000	MediaTek Inc		3,202,235
	5,408	Merry Electronics Co Ltd		14,936
	302,000	Micro-Star International Co Ltd		1,130,575
	99,000	Mitac Holdings Corp		91,019
	293,000	Nan Ya Plastics Corp		658,135
	77,903	Nantex Industry Co Ltd		108,853
	236,000	Nanya Technology Corp		409,882
	26,000	Nichidenbo Corp		44,125
	4,800	Nien Made Enterprise Co Ltd		44,327
	143,000	Novatek Microelectronics Corp		1,223,408
	20,000	Oneness Biotech Co Ltd *		193,621
	23,640	Pegatron Corp		49,167
	78,000	Phison Electronics Corp		792,901
	821,000	Pou Chen Corp		777,727
	53,000	Primax Electronics Ltd		115,958
	128,000	Quanta Computer Inc		331,828
	64,472	Radiant Opto-Electronics Corp		211,863
	488,400	Ruentex Development Co Ltd		1,007,106
	245,400	Ruentex Industries Ltd		522,705
	31,760	Shin Zu Shing Co Ltd		91,466
	68,000	Shinkong Insurance Co Ltd		128,700
	27,900	Simplo Technology Co Ltd		263,260
	7,945	Sinmag Equipment Corp		25,262
	20,000	Sitronix Technology Corp		123,657
	2,000	Soft-World International Corp		5,063
	29,750	Syncmold Enterprise Corp		66,237
	14,000	Synnex Technology International Corp		25,519
	39,000	T3EX Global Holdings Corp		99,976
	12,000	TaiDoc Technology Corp *		87,642
	278,432	Taiwan Cement Corp		358,422

See accompanying notes to the financial statements. 36

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	333,000	Taiwan Semiconductor Manufacturing Co Ltd		5,451,137
	62,485	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (b)		5,208,125
	1,760	TCI Co Ltd		8,440
	36,000	Teco Electric and Machinery Co Ltd		34,823
	9,000	Test Research Inc		17,588
	36,681	TOPBI International Holdings Ltd *		14,645
	40,000	Transcend Information Inc		86,667
	59,000	Tripod Technology Corp		193,714
	13,000	Tung Ho Steel Enterprise Corp		22,984
	37,624	United Integrated Services Co Ltd		194,838
	148,000	Universal Inc		136,216
	12,000	Walsin Technology Corp		36,263
	76,850	Wan Hai Lines Ltd		216,593
	328,000	Winbond Electronics Corp		236,325
	5,000	Yageo Corp		53,476
	1,196,000	Yang Ming Marine Transport Corp		3,063,880
	2,126,960	Yuanta Financial Holding Co Ltd		1,411,866
	6,000	Yulon Nissan Motor Co Ltd		40,838
	9,000	Zeng Hsing Industrial Co Ltd		39,411
	23,000	Zhen Ding Technology Holding Ltd		85,357
		Total Taiwan		61,281,695
		Thailand — 0.7%
	140,700	Advanced Info Service Pcl NVDR		740,239
	2,012,400	AP Thailand Pcl NVDR		551,009
	418,300	Bangkok Bank Pcl NVDR		1,568,277
	320,000	Bangkok Dusit Medical Services Pcl NVDR		256,464
	72,000	Central Retail Corp Pcl NVDR		79,809
	32,300	CP ALL Pcl (Foreign Registered)		54,443
	34,600	CP ALL Pcl NVDR		58,320
	10,300	Kasikornbank Pcl (Foreign Registered)		43,264
	541,800	Kasikornbank Pcl NVDR		2,275,774
	124,300	Kiatnakin Phatra Bank Pcl NVDR		246,723
	3,567,500	Krung Thai Bank Pcl NVDR		1,649,510
	53,632	Pruksa Holding Pcl NVDR		18,931
	187,100	PTT Exploration & Production Pcl NVDR		865,343
	53,700	PTT Pcl NVDR		55,173
	3,851,300	Sansiri Pcl NVDR		116,038
	141,300	Somboon Advance Technology Pcl NVDR		75,457
	270,400	Sri Trang Gloves Thailand Pcl NVDR		105,263
	23,760	Supalai Pcl (Foreign Registered)		12,699
	97,624	Supalai Pcl NVDR		52,177
	88,000	Thai Vegetable Oil Pcl NVDR		73,644
		Total Thailand		8,898,557
		Turkey — 0.5%
	4,630,207	Akbank TAS		2,973,904
	133,246	Arcelik AS		513,401
	31,960	Dogus Otomotiv Servis ve Ticaret AS		175,269
	20,084	Enerjisa Enerji AS		18,841
	822,274	Haci Omer Sabanci Holding AS		1,148,671

Shares		Description	Value ($)
		Turkey — continued
	25,315	Kardemir Karabuk Demir Celik Sanayi ve
		Ticaret AS – Class D		16,399
	1,746	Koza Altin Isletmeleri AS		15,207
	580,824	Turkiye Garanti Bankasi AS		732,712
	73,104	Turkiye Is Bankasi AS – Class C		31,667
	43,400	Vestel Elektronik Sanayi ve Ticaret AS		71,014
	2,337,802	Yapi ve Kredi Bankasi AS		903,330
		Total Turkey		6,600,415
		United Arab Emirates — 0.0%
	115,234	Abu Dhabi National Oil Co for Distribution PJSC		139,237
		United Kingdom — 3.5%
	112,828	3i Group Plc		1,588,199
	3,173	AG Barr Plc		18,578
	188,995	Airtel Africa Plc		290,148
	6,430	BAE Systems Plc (b)		57,909
	4,859	Bank of Georgia Group Plc		112,844
	396,742	Barratt Developments Plc		1,964,185
	36,734	Bellway Plc		868,553
	70,596	Berkeley Group Holdings Plc		2,988,546
	71,000	BP Plc Sponsored ADR (b)		2,189,640
	35,561	British American Tobacco Plc (b)		1,424,316
	26,100	British American Tobacco Plc Sponsored ADR (b)		1,045,305
	1,781,739	BT Group Plc (b)		3,116,797
	19,381	Bunzl Plc		642,755
	220,372	Centrica Plc * (b)		193,281
	1,212	Clarkson Plc (b)		42,361
	11,654	CMC Markets Plc		31,082
	114,271	Coca-Cola HBC AG *		2,607,589
	191,485	Compass Group Plc (b)		4,119,044
	522	Computacenter Plc (b)		14,954
	33,628	Crest Nicholson Holdings Plc		91,391
	295	DCC Plc		16,979
	2,761	EMIS Group Plc (b)		60,395
	23,265	Evraz Plc * (d)		553
	320	Ferguson Plc		37,059
	212,689	Ferrexpo Plc		365,849
	1,720	Galliford Try Holdings Plc		3,147
	4,567	Grafton Group Plc		38,335
	39,860	GSK Plc Sponsored ADR (b)		1,294,653
	53,700	Haleon Plc ADR * (b)		321,126
	55,459	Halfords Group Plc		83,840
	24,206	IG Group Holdings Plc		229,714
	44,501	Imperial Brands Plc (b)		978,659
	117,498	Indivior Plc *		393,701
	22,506	International Personal Finance Plc		26,158
	112,349	Investec Plc		540,032
	4,789	Keller Group Plc		38,980
	482,200	Kingfisher Plc (b)		1,295,318
	217,437	Legal & General Group Plc (b)		636,888
	1,211,225	M&G Plc		2,748,796

37 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)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	9,511	Morgan Advanced Materials Plc		29,321
	11,562	Morgan Sindall Group Plc		230,832
	1,147	Next Plc (b)		77,241
	64,458	OSB Group Plc		410,966
	3,455	Paragon Banking Group Plc		21,476
	82,333	Persimmon Plc		1,408,809
	23,017	Pets at Home Group Plc		84,564
	63,648	Plus500 Ltd		1,254,251
	9,234	Premier Foods Plc		11,555
	35,451	Redde Northgate Plc (b)		140,713
	89,543	Redrow Plc		526,016
	143,760	S4 Capital Plc *		220,954
	51,753	Serica Energy Plc		224,037
	95,106	Shell Plc (b)		2,517,269
	34,236	Spirent Communications Plc		102,408
	470,112	Taylor Wimpey Plc		589,772
	3,340	TBC Bank Group Plc		68,766
	19,589	Unilever Plc (c)		888,603
	11,769	Unilever Plc (b) (c)		535,896
	5,800	Unilever Plc Sponsored ADR (b)		263,262
	8,184	Vesuvius Plc		32,928
	17,800	Vodafone Group Plc Sponsored ADR (b)		238,876
	11,135	Wickes Group Plc		15,437
	65,392	WPP Plc (b)		563,224
		Total United Kingdom		42,974,835
		United States — 13.3%
	6,669	ADTRAN Holdings, Inc.		154,988
	20,000	Aflac, Inc. (b)		1,188,400
	3,400	Akamai Technologies, Inc. * (b)		306,952
	41,400	Ally Financial, Inc.		1,374,480
	19,353	American Express Co. (b)		2,941,656
	4,300	AppLovin Corp. – Class A* (b)		105,909
	7,300	Arch Capital Group Ltd. * (b)		333,756
	16,700	Arrow Electronics, Inc. *		1,750,327
	20,000	AT&T, Inc. (b)		350,800
	17,000	Best Buy Co., Inc. (b)		1,201,730
	8,000	Biogen, Inc. * (b)		1,563,040
	3,100	Bio-Rad Laboratories, Inc. – Class A*		1,503,624
	1,238	Booking Holdings, Inc. * (b)		2,322,253
	104,123	BorgWarner, Inc.		3,925,437
	15,400	Capital One Financial Corp. (b)		1,629,628
	7,801	CarMax, Inc. * (b)		689,920
	42,000	Carrier Global Corp. (b)		1,643,040
	20,700	CBRE Group, Inc. – Class A* (b)		1,634,472
	22,900	Centene Corp. * (b)		2,055,046
	14,914	Chevron Corp. (b)		2,357,307
	7,600	Cigna Corp. (b)		2,154,220
	34,700	Citigroup, Inc. (b)		1,693,707
	99,600	Cleveland-Cliffs, Inc. *		1,720,092
	23,600	Cognizant Technology Solutions Corp. – Class A (b)		1,490,812
	41,800	Comcast Corp. – Class A (b)		1,512,742
	16,200	CVS Health Corp. (b)		1,590,030

Shares		Description	Value ($)
		United States — continued
	41,604	Darling Ingredients, Inc. *		3,164,400
	18,100	Dell Technologies, Inc. – Class C (b)		693,049
	14,800	Discover Financial Services (b)		1,487,252
	83,800	DISH Network Corp. – Class A* (b)		1,453,930
	23,700	DR Horton, Inc.		1,686,255
	35,000	eBay, Inc. (b)		1,544,550
	27,012	EOG Resources, Inc.		3,276,556
	4,500	FedEx Corp. (b)		948,645
	41,800	Fidelity National Financial, Inc. (b)		1,634,380
	121,800	Ford Motor Co. (b)		1,856,232
	10,700	Fortune Brands Home & Security, Inc.		657,301
	2,900	Fox Corp. – Class A (b)		99,122
	61,900	Fox Corp. – Class B (b)		1,957,278
	60,100	Franklin Resources, Inc. (b)		1,566,807
	1,100	Garmin Ltd. (b)		97,339
	45,100	General Motors Co. * (b)		1,723,271
	28,400	Gilead Sciences, Inc. (b)		1,802,548
	19,286	Global Payments, Inc. (b)		2,395,900
	5,200	Goldman Sachs Group, Inc. (The) (b)		1,729,884
	28,625	Green Plains, Inc. *		1,048,534
	3,400	Henry Schein, Inc. * (b)		249,594
	18,449	Hilton Worldwide Holdings, Inc. (b)		2,349,665
	58,500	HP, Inc. (b)		1,679,535
	22,000	IAC, Inc. * (b)		1,413,940
	24,400	Incyte Corp. * (b)		1,718,492
	45,400	Intel Corp. (b)		1,449,168
	30,392	Intercontinental Exchange, Inc. (b)		3,065,033
	16,400	International Business Machines Corp. (b)		2,106,580
	74,000	Invesco Ltd.		1,218,780
	12,800	Jazz Pharmaceuticals Plc *		1,986,816
	113,900	Kinder Morgan, Inc. (b)		2,086,648
	15,000	Knight-Swift Transportation Holdings, Inc. (b)		757,650
	4,600	Kroger Co. (The) (b)		220,524
	8,300	Laboratory Corp. of America Holdings (b)		1,869,741
	1,911	Lam Research Corp. (b)		836,846
	45,772	Las Vegas Sands Corp. * (b)		1,722,400
	22,900	Lennar Corp. – Class A (b)		1,773,605
	37,100	Liberty Global Plc – Class A*		749,420
	64,000	Liberty Global Plc – Class C*		1,363,840
	32,500	Lincoln National Corp.		1,496,950
	8,400	LKQ Corp. (b)		447,048
	141,200	Lumen Technologies, Inc.		1,406,352
	66,727	Lyft, Inc. – Class A* (b)		982,889
	20,800	LyondellBasell Industries NV – Class A (b)		1,726,400
	2,070	Markel Corp. * (b)		2,471,808
	9,600	Meta Platforms, Inc. – Class A* (b)		1,564,128
	21,500	MetLife, Inc. (b)		1,383,095
	42,752	Micron Technology, Inc. (b)		2,416,771
	11,500	Mohawk Industries, Inc. *		1,269,140
	35,100	Molson Coors Brewing Co. – Class B (b)		1,813,617
	3,600	Netflix, Inc. * (b)		804,816
	32,800	NRG Energy, Inc. (b)		1,353,984
	1,400	Nucor Corp. (b)		186,116

See accompanying notes to the financial statements. 38

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	30	NVR, Inc. * (b)		124,202
	22,700	Oracle Corp. (b)		1,683,205
	63,000	Paramount Global – Class B (b)		1,473,570
	22,200	PayPal Holdings, Inc. * (b)		2,074,368
	4,300	Pfizer, Inc. (b)		194,489
	17,600	Prudential Financial, Inc. (b)		1,685,200
	39,900	PulteGroup, Inc.		1,622,334
	10,900	Quest Diagnostics, Inc. (b)		1,365,879
	34,987	Raytheon Technologies Corp. (b)		3,140,083
	3,400	Regeneron Pharmaceuticals, Inc. * (b)		1,975,604
	5,800	Resolute Forest Products, Inc. *		117,382
	60,015	Sensata Technologies Holding Plc		2,417,404
	3,000	Skyworks Solutions, Inc. (b)		295,650
	8,900	SS&C Technologies Holdings, Inc. (b)		496,264
	3,400	Stanley Black & Decker, Inc.		299,540
	20,400	Steel Dynamics, Inc.		1,646,688
	46,700	Synchrony Financial		1,529,425
	21,600	Textron, Inc.		1,347,408
	23,400	Tyson Foods, Inc. – Class A (b)		1,763,892
	1,400	United Parcel Service, Inc. – Class B (b)		272,314
	15,500	Universal Health Services, Inc. – Class B (b)		1,516,520
	61,589	US Bancorp (b)		2,809,074
	35,400	Verizon Communications, Inc. (b)		1,480,074
	5,300	Vertex Pharmaceuticals, Inc. * (b)		1,493,328
	41,261	VF Corp.		1,710,268
	158,700	Viatris, Inc. (b)		1,515,585
	36,500	Walgreens Boots Alliance, Inc. (b)		1,279,690
	20,248	Warner Bros Discovery, Inc. * (b)		268,083
	64,600	Wells Fargo & Co. (b)		2,823,666
	100,600	Western Union Co. (The) (b)		1,490,892
	32,700	Western Digital Corp. *		1,381,902
	3,500	Westlake Corp. (b)		345,205
	8,300	Whirlpool Corp.		1,299,780
	18,000	Zoom Video Communications, Inc. – Class A* (b)		1,447,200
		Total United States		164,345,160
		Vietnam — 0.0%
	469,700	Vietnam Joint Stock Commercial Bank for Industry and Trade		564,594
		TOTAL COMMON STOCKS (COST $1,074,759,901)		855,950,534
		PREFERRED STOCKS (g) —1.3%
		Brazil — 0.9%
	26,200	Alpargatas SA		103,946
	396,417	Bradespar SA		1,667,993
	350,300	Cia Energetica de Minas Gerais		814,745
	115,300	Cia Energetica de Minas Gerais Sponsored ADR (b)		272,108
	1,212,200	Cia Paranaense de Energia – Class B		1,624,065
	55,600	Gerdau SA		249,230
	52,900	Itau Unibanco Holding SA		262,446

Shares /          Par Value†		Description	Value ($)
		Brazil — continued
	485,500	Petroleo Brasileiro SA		3,101,100
	220,300	Petroleo Brasileiro SA Sponsored ADR (b)		2,806,622
		Total Brazil		10,902,255
		Chile — 0.0%
	3,211	Sociedad Quimica y Minera de Chile SA – Class B		321,018
		Colombia — 0.0%
	297,879	Grupo Aval Acciones y Valores SA		44,726
		Germany — 0.1%
	13,543	Bayerische Motoren Werke AG (b)		941,565
	1,946	Draegerwerk AG & Co KGaA (b)		92,071
	1,952	Henkel AG & Co KGaA (b)		125,970
	153	Sixt SE (b)		9,145
	1,552	Villeroy & Boch AG		29,298
	1,385	Volkswagen AG (b)		197,001
		Total Germany		1,395,050
		Russia — 0.1%
	12,924	Bashneft PJSC (d)		10,819
	56,000	Nizhnekamskneftekhim PJSC (d)		5,043
	20,810	Sberbank of Russia PJSC * (d) (f)		3,064
	9,254,300	Surgutneftegas PJSC (d)		307,759
	161	Transneft PJSC (d)		18,734
		Total Russia		345,419
		South Korea — 0.2%
	186	Hyundai Motor Co Ltd-Prf		12,622
	4,881	LG Electronics Inc		171,377
	62,498	Samsung Electronics Co Ltd		2,528,179
	89	Samsung Electronics Co Ltd GDR (Registered) (b)		90,227
		Total South Korea		2,802,405
		Taiwan — 0.0%
	12,589	Chailease Holding Co Ltd		41,149
		TOTAL PREFERRED STOCKS (COST $20,613,994)		15,852,022
		DEBT OBLIGATIONS — 17.0%
		United States — 17.0%
		Asset-Backed Securities — 0.0%
	2,571,735	Crest G-Star LP, Class D, 144A, 9.00%, due 11/28/35 (h)		2
		U.S. Government — 17.0%
	82,400,000	U.S. Treasury Note, 0.13%, due 04/30/23		80,671,531
	7,000,000	U.S. Treasury Note, 0.13%, due 05/31/23		6,833,477
	13,700,000	U.S. Treasury Note, 0.13%, due 06/30/23		13,330,207

39 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)

August 31, 2022 (Unaudited)

Par Value† /          Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	1,000,000	U.S. Treasury Note, 0.13%, due 07/31/23		970,000
	46,725,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 10/31/23		46,761,295
	32,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 2.83%, due 04/30/24 (b)		31,930,999
	30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 07/31/24 (b)		29,960,247
		Total U.S. Government		210,457,756
		Total United States		210,457,758
		TOTAL DEBT OBLIGATIONS (COST $213,186,480)		210,457,758
		MUTUAL FUNDS — 24.1%
		United States — 24.1%
		Affiliated Issuers — 24.1%
	2,800,923	GMO Emerging Country Debt Fund, Class VI		51,985,137
	3,533,772	GMO High Yield Fund, Class VI		61,169,593
	2,847,952	GMO Opportunistic Income Fund, Class VI		70,031,125
	2,173,216	GMO Resources Fund		56,242,834
	1,794,827	GMO SGM Major Markets Fund, Class VI		47,221,899
	2,302,583	GMO U.S. Treasury Fund (i)		11,489,887
		Total Affiliated Issuers		298,140,475
		TOTAL MUTUAL FUNDS (COST $336,686,126)		298,140,475
		SHORT-TERM INVESTMENTS — 7.3%
		Money Market Funds — 0.3%
	3,635,088	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (j)		3,635,088
		Repurchase Agreements — 7.0%
	86,999,276	Nomura Securities International, Inc. Repurchase Agreement, dated 08/31/22, maturing on 09/01/22 with a maturity value of $87,004,713, and an effective yield of 2.25%, collateralized by a U.S. Treasury Note with maturity date 02/28/27 and a market value of $88,774,677.		86,999,276
		TOTAL SHORT-TERM INVESTMENTS (COST $90,634,364)		90,634,364
		TOTAL INVESTMENTS — 118.8% (Cost $1,735,880,865)		1,471,035,153
		SECURITIES SOLD SHORT — (18.1)%
		Common Stocks — (18.0)%
		Australia — (0.5)%
	(218,984)	APA Group		(1,651,319	)

Shares		Description	Value ($)
		Australia — continued
	(25,012)	ASX Ltd		(1,331,446	)
	(4,985)	Cochlear Ltd		(725,701	)
	(3,881)	Domino’s Pizza Enterprises Ltd		(167,279	)
	(20,993)	IDP Education Ltd		(413,281	)
	(458,690)	Qantas Airways Ltd*		(1,648,407	)
		Total Australia		(5,937,433	)
		Austria — (0.1)%
	(18,442)	Verbund AG		(1,762,274	)
		Belgium — (0.1)%
	(30,658)	Anheuser-Busch InBev SA/NV		(1,480,613	)
		Canada — (1.0)%
	(2,800)	Agnico Eagle Mines Ltd		(115,388	)
	(56,900)	Algonquin Power & Utilities Corp		(780,099	)
	(77,800)	AltaGas Ltd		(1,677,615	)
	(43,400)	Brookfield Renewable Corp – Class A		(1,666,126	)
	(41,800)	Enbridge Inc		(1,722,996	)
	(11,800)	Franco-Nevada Corp		(1,418,360	)
	(71,800)	Pan American Silver Corp		(1,068,384	)
	(54,300)	Pembina Pipeline Corp		(1,917,876	)
	(30,700)	Restaurant Brands International Inc		(1,811,300	)
	(6,300)	Ritchie Bros Auctioneers Inc		(436,842	)
		Total Canada		(12,614,986	)
		France — (0.7)%
	(55,659)	Accor SA*		(1,327,532	)
	(12,295)	Aeroports de Paris*		(1,683,558	)
	(105,233)	Getlink SE		(1,981,646	)
	(1,301)	Hermes International		(1,666,276	)
	(1,363)	Sartorius Stedim Biotech		(498,533	)
	(9,943)	Ubisoft Entertainment SA*		(458,522	)
	(7,095)	Wendel SE		(557,468	)
		Total France		(8,173,535	)
		Germany — (0.7)%
	(38,877)	Delivery Hero SE*		(1,613,442	)
	(2,004)	MTU Aero Engines AG		(353,430	)
	(15,905)	Puma SE		(972,170	)
	(9,662)	QIAGEN NV*		(438,235	)
	(1,431)	Rational AG		(771,826	)
	(8,229)	Scout24 SE		(474,098	)
	(14,354)	Symrise AG – Class A		(1,501,919	)
	(708,453)	Telefonica Deutschland Holding AG		(1,839,104	)
	(11,894)	Zalando SE*		(275,380	)
		Total Germany		(8,239,604	)
		Israel — (0.2)%
	(12,400)	CyberArk Software Ltd*		(1,789,072	)
	(9,400)	Kornit Digital Ltd*		(292,152	)

See accompanying notes to the financial statements. 40

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Israel — continued
	(4,500)	Wix.com Ltd*		(284,805	)
		Total Israel		(2,366,029	)
		Italy — (0.4)%
	(41,927)	Amplifon SPA		(1,092,656	)
	(7,698)	Ferrari NV		(1,486,040	)
	(129,671)	FinecoBank Banca Fineco SPA		(1,402,041	)
	(147,595)	Infrastrutture Wireless Italiane SPA		(1,367,897	)
		Total Italy		(5,348,634	)
		Japan — (2.2)%
	(51,800)	Aeon Co Ltd		(1,010,397	)
	(82,300)	ANA Holdings Inc*		(1,582,328	)
	(57,500)	Asahi Intecc Co Ltd		(1,022,786	)
	(17,500)	East Japan Railway Co		(906,441	)
	(300)	Fast Retailing Co Ltd		(175,420	)
	(18,600)	GMO Payment Gateway Inc		(1,475,059	)
	(81,200)	Japan Airlines Co Ltd*		(1,485,174	)
	(30,100)	Japan Exchange Group Inc		(448,557	)
	(30,800)	Keio Corp		(1,171,951	)
	(10,200)	Keisei Electric Railway Co Ltd		(284,542	)
	(13,600)	Kintetsu Group Holdings Co Ltd		(461,811	)
	(12,100)	Lasertec Corp		(1,675,214	)
	(2,600)	LIXIL Corp		(45,213	)
	(57,900)	M3 Inc		(1,854,644	)
	(105,500)	MonotaRO Co Ltd		(1,892,911	)
	(14,900)	Nidec Corp		(989,837	)
	(80,300)	Nihon M&A Center Inc		(995,177	)
	(135,100)	Nippon Paint Holdings Co Ltd		(1,041,937	)
	(12,800)	Nissin Foods Holdings Co Ltd		(915,794	)
	(78,100)	Odakyu Electric Railway Co Ltd		(1,066,927	)
	(12,000)	ORIENTAL LAND CO LTD		(1,789,049	)
	(319,800)	Rakuten Group Inc		(1,552,072	)
	(9,800)	Shiseido Co Ltd		(370,183	)
	(31,700)	Tobu Railway Co Ltd		(748,948	)
	(72,000)	Tokyu Corp		(855,918	)
	(39,500)	West Japan Railway Co		(1,537,276	)
		Total Japan		(27,355,566	)
		Netherlands — (0.4)%
	(1,140)	Adyen NV*		(1,759,185	)
	(5,327)	IMCD NV		(734,890	)
	(48,077)	Just Eat Takeaway.com NV*		(799,782	)
	(71,534)	Universal Music Group NV		(1,420,519	)
		Total Netherlands		(4,714,376	)
		New Zealand — (0.1)%
	(27,602)	Xero Ltd*		(1,623,801	)
		Norway — (0.1)%
	(43,873)	Aker BP ASA		(1,536,908	)

Shares		Description	Value ($)
		Peru — (0.1)%
	(21,220)	Southern Copper Corp		(998,825	)
		Russia — (0.0)%
	(1,138)	Magnit PJSC (d)		(7,170	)
		Singapore — (0.2)%
	(37,700)	City Developments Ltd		(218,894	)
	(349,800)	Singapore Airlines Ltd*		(1,328,139	)
	(161,400)	Singapore Exchange Ltd		(1,095,262	)
		Total Singapore		(2,642,295	)
		Spain — (0.3)%
	(3,360)	Aena SME SA*		(412,681	)
	(42,429)	Cellnex Telecom SA		(1,652,301	)
	(78,916)	Ferrovial SA		(1,978,810	)
		Total Spain		(4,043,792	)
		Sweden — (0.2)%
	(139,214)	Embracer Group AB – Class B*		(863,749	)
	(15,712)	Evolution AB		(1,257,011	)
		Total Sweden		(2,120,760	)
		Switzerland — (0.3)%
	(7)	Chocoladefabriken Lindt & Spruengli AG		(74,034	)
	(2)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(217,788	)
	(1,498)	Partners Group Holding AG		(1,445,950	)
	(879)	Sika AG (Registered)		(197,770	)
	(10,057)	Straumann Holding AG (Registered)		(1,102,074	)
		Total Switzerland		(3,037,616	)
		United Kingdom — (1.0)%
	(16,956)	Admiral Group Plc		(417,097	)
	(225,757)	Auto Trader Group Plc		(1,704,619	)
	(5,042)	Croda International Plc		(392,998	)
	(21,205)	Halma Plc		(510,085	)
	(103,348)	Hargreaves Lansdown Plc		(978,414	)
	(294,433)	Informa Plc*		(1,862,772	)
	(15,295)	InterContinental Hotels Group Plc		(830,307	)
	(50,531)	Land Securities Group Plc (REIT)		(381,126	)
	(21,213)	London Stock Exchange Group Plc		(1,989,812	)
	(174,877)	Ocado Group Plc*		(1,469,688	)
	(24,385)	Prudential Plc		(255,925	)
	(1,669,884)	Rolls-Royce Holdings Plc*		(1,488,231	)
	(4,731)	Spirax-Sarco Engineering Plc		(577,543	)
		Total United Kingdom		(12,858,617	)
		United States — (9.4)%
	(75,500)	AES Corp. (The)		(1,921,475	)
	(9,400)	Alnylam Pharmaceuticals, Inc.*		(1,942,698	)
	(29,800)	Altria Group, Inc.		(1,344,576	)
	(4,200)	American Tower Corp. (REIT)		(1,067,010	)
	(5,000)	Aon Plc – Class A		(1,396,300	)

41 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)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	(40,100)	Aramark		(1,431,971	)
	(10,000)	Arthur J Gallagher & Co.		(1,815,700	)
	(6,500)	Autodesk, Inc.*		(1,311,310	)
	(800)	Ball Corp.		(44,648	)
	(14,200)	Bill.Com Holdings, Inc.*		(2,298,696	)
	(12,900)	BioMarin Pharmaceutical, Inc.*		(1,150,680	)
	(4,400)	Bio-Techne Corp.		(1,459,964	)
	(11,900)	Boeing Co. (The)*		(1,906,975	)
	(3,600)	Broadcom, Inc.		(1,796,796	)
	(8,000)	Burlington Stores, Inc.*		(1,121,520	)
	(39,400)	Caesars Entertainment, Inc.*		(1,698,928	)
	(40,500)	Carvana Co. – Class A*		(1,336,095	)
	(10,400)	Catalent, Inc.*		(915,200	)
	(31,600)	Ceridian HCM Holding, Inc.*		(1,884,624	)
	(1,300)	Chipotle Mexican Grill, Inc. – Class A*		(2,075,840	)
	(62,500)	Clarivate Plc*		(729,375	)
	(26,500)	Cloudflare, Inc. – Class A*		(1,658,105	)
	(7,700)	CME Group, Inc.		(1,506,197	)
	(300)	Costco Wholesale Corp.		(156,630	)
	(27,300)	Coupa Software, Inc.*		(1,594,320	)
	(6,300)	Crown Castle, Inc. (REIT)		(1,076,229	)
	(4,800)	Delta Air Lines, Inc.*		(149,136	)
	(20,900)	Dexcom, Inc.*		(1,718,189	)
	(12,400)	Diamondback Energy, Inc.		(1,652,672	)
	(11,500)	DocuSign, Inc. – Class A*		(669,530	)
	(16,100)	Dominion Energy, Inc.		(1,316,980	)
	(3,000)	Dynatrace, Inc.*		(114,540	)
	(1,000)	Equinix, Inc. (REIT)		(657,370	)
	(12,900)	Equity LifeStyle Properties, Inc. (REIT)		(904,290	)
	(39,300)	Exact Sciences Corp.*		(1,397,115	)
	(27,200)	Fastenal Co.		(1,368,976	)
	(27,100)	Fortinet, Inc.*		(1,319,499	)
	(3,800)	Gartner, Inc.*		(1,084,216	)
	(21,400)	Guidewire Software, Inc.*		(1,534,594	)
	(7,900)	Hess Corp.		(954,162	)
	(5,300)	HubSpot, Inc.*		(1,786,312	)
	(3,600)	IDEXX Laboratories, Inc.*		(1,251,432	)
	(19,600)	Ingersoll Rand, Inc.		(928,452	)
	(8,000)	Insulet Corp.*		(2,043,760	)
	(8,900)	IQVIA Holdings, Inc.*		(1,892,674	)
	(22,300)	Iron Mountain, Inc. (REIT)		(1,173,203	)
	(32,300)	Liberty Media Corp.-Liberty Formula One – Class C*		(2,056,864	)
	(5,900)	Linde Plc*		(1,668,874	)
	(20,700)	Live Nation Entertainment, Inc.*		(1,870,452	)
	(5,700)	MarketAxess Holdings, Inc.		(1,416,963	)
	(7,800)	Marriott International, Inc. – Class A		(1,199,172	)
	(600)	Marsh & McLennan Cos., Inc.		(96,822	)
	(6,200)	MongoDB, Inc. – Class A*		(2,001,732	)
	(2,700)	Monolithic Power Systems, Inc.		(1,223,586	)
	(2,800)	Moody’s Corp.		(796,656	)
	(400)	Motorola Solutions, Inc.		(97,364	)
	(3,900)	MSCI, Inc. – Class A		(1,752,036	)

Shares		Description	Value ($)
		United States — continued
	(51,100)	NiSource, Inc.		(1,507,961	)
	(25,900)	Novocure Ltd.*		(2,127,167	)
	(19,100)	Okta, Inc.*		(1,745,740	)
	(24,700)	ONEOK, Inc.		(1,512,381	)
	(49,600)	Palantir Technologies, Inc. – Class A*		(382,912	)
	(3,100)	Palo Alto Networks, Inc.*		(1,726,111	)
	(12,700)	Paychex, Inc.		(1,566,418	)
	(28,100)	Peloton Interactive, Inc. – Class A*		(286,339	)
	(16,800)	Philip Morris International, Inc.		(1,604,232	)
	(400)	Public Storage (REIT)		(132,332	)
	(3,600)	RingCentral, Inc. – Class A*		(154,944	)
	(35,600)	ROBLOX Corp. – Class A*		(1,392,316	)
	(15,700)	Roku, Inc.*		(1,067,600	)
	(46,700)	Rollins, Inc.		(1,576,592	)
	(41,600)	Royal Caribbean Cruises Ltd.*		(1,699,360	)
	(700)	S&P Global, Inc.		(246,526	)
	(11,800)	Seagen, Inc.*		(1,820,622	)
	(3,800)	ServiceNow, Inc.*		(1,651,556	)
	(5,100)	Sherwin-Williams Co. (The)		(1,183,710	)
	(7,800)	Simon Property Group, Inc. (REIT)		(795,444	)
	(36,500)	Snap, Inc. – Class A*		(397,120	)
	(3,500)	Starbucks Corp.		(294,245	)
	(17,800)	Sysco Corp.		(1,463,516	)
	(36,200)	Teladoc Health, Inc.*		(1,124,372	)
	(7,800)	Tesla, Inc.*		(2,149,758	)
	(2,300)	TransDigm Group, Inc.*		(1,380,897	)
	(17,300)	Twilio, Inc. – Class A*		(1,203,734	)
	(46,200)	Uber Technologies, Inc.*		(1,328,712	)
	(20,700)	UDR, Inc. (REIT)		(928,809	)
	(6,700)	Vail Resorts, Inc.		(1,505,356	)
	(8,400)	Wayfair, Inc. – Class A*		(442,764	)
	(62,400)	Williams Cos, Inc. (The)		(2,123,472	)
	(14,956)	Zillow Group, Inc. – Class C*		(500,428	)
	(2,200)	Zoetis, Inc.		(344,366	)
	(11,100)	Zscaler, Inc.*		(1,767,564	)
		Total United States		(115,874,861	)
		TOTAL COMMON STOCKS (PROCEEDS $264,011,466)		(222,737,695	)
		PREFERRED STOCKS (g) — (0.1)%
		Germany — (0.1)%
	(4,443)	Sartorius AG		(1,851,066	)
		TOTAL PREFERRED STOCKS (PROCEEDS $1,828,068)		(1,851,066	)
		TOTAL SECURITIES SOLD SHORT (PROCEEDS $265,839,534)		(224,588,761	)
		Other Assets and Liabilities (net) — (1.0%)		(8,090,640	)
		TOTAL NET ASSETS — 100.0%		$1,238,355,752

See accompanying notes to the financial statements. 42

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Additional information on each restricted security is as follows:

						Value as a
						Percentage
Issuer Description	Acquisition Date		Acquisition Cost			of Fund’s Net Assets		Value as of August 31, 2022
Alrosa PJSC		12/06/17		$	4,239,436		0.0%		$	254,845
Magnitogorsk Iron & Steel Works PJSC		09/08/17			1,315,681		0.0%			49,252
Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		10/29/20			234,770		0.0%			13,304
PhosAgro PJSC GDR		12/03/20			1,365		0.0%			204
Sberbank of Russia PJSC		09/09/20			12,774,954		0.1%			566,570
Sberbank of Russia PJSC		01/10/22			77,024		0.0%			3,064
Severstal PAO		02/02/21			7,249		0.0%			368
Severstal PJSC GDR (Registered)		03/16/20			1,679,360		0.0%			79,437
									$	967,044

A summary of outstanding financial instruments at August 31, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
11/09/2022	JPM		AUD	1,430,000		USD	985,153		5,749
10/03/2022	DB		CAD	1,947,926		USD	1,520,049		37,243
09/16/2022	JPM		CHF	1,560,000		USD	1,644,002		46,371
09/16/2022	MSCI		CLP	415,887,500		USD	469,187		6,386
09/16/2022	JPM		COP	4,440,000,000		USD	1,098,978		98,638
11/18/2022	JPM		CZK	16,705,948		USD	684,788		5,755
11/18/2022	MSCI		CZK	2,200,000		USD	90,818		1,396
09/30/2022	BCLY		EUR	1,370,000		USD	1,407,118		27,807
09/30/2022	DB		EUR	4,210,000		USD	4,464,791		226,177
09/21/2022	BOA		GBP	440,000		USD	527,108		15,777
09/21/2022	BCLY		GBP	310,000		USD	367,334		7,079
09/21/2022	JPM		GBP	710,000		USD	861,773		36,672
11/30/2022	JPM		ILS	1,433,563		USD	442,875		10,446
11/30/2022	MSCI		ILS	350,000		USD	106,079		503
11/04/2022	MSCI		KRW	187,005,899		USD	143,185		3,788
11/30/2022	MSCI		NZD	9,020,000		USD	5,601,600		83,614
09/02/2022	BCLY		PHP	30,632,240		USD	551,537		6,043
10/03/2022	BCLY		PHP	39,132,240		USD	694,931		296
09/02/2022	CITI		PHP	8,500,000		USD	152,033		666
10/19/2022	DB		PLN	850,000		USD	182,613		3,187
10/19/2022	MSCI		PLN	1,050,000		USD	225,642		3,998
09/30/2022	BOA		RON	450,000		USD	93,229		231
09/21/2022	BOA		SGD	150,000		USD	109,017		1,671
09/21/2022	JPM		SGD	120,000		USD	86,342		465
09/21/2022	MSCI		SGD	1,051,598		USD	756,501		3,934
11/18/2022	BCLY		THB	39,539,025		USD	1,122,566		32,882
09/12/2022	JPM		TWD	32,826,001		USD	1,094,820		14,111
10/04/2022	MSCI		USD	1,076,694		BRL	5,773,234		24,358
09/16/2022	MSCI		USD	126,382		CLP	120,000,000		7,154
09/16/2022	JPM		USD	77,071		COP	360,000,000		4,037

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
11/04/2022	MSCI		USD	1,114,449		IDR	16,659,337,000		4,447
10/24/2022	MSCI		USD	1,091,792		MXN	22,770,191		27,236
10/18/2022	JPM		USD	3,854,954		NOK	39,790,448		152,177
09/16/2022	JPM		USD	101,639		PEN	400,000		2,182
09/16/2022	MSCI		USD	278,945		PEN	1,080,000		1,371
09/02/2022	BCLY		USD	696,291		PHP	39,132,240		570
09/21/2022	MSCI		USD	163,782		SGD	230,000		815
10/04/2022	GS		BRL	1,500,000		USD	271,523		(14,552	)
10/04/2022	JPM		BRL	650,000		USD	121,287		(2,679	)
09/16/2022	JPM		CHF	4,002,004		USD	4,066,010		(32,531	)
11/18/2022	CITI		CZK	5,600,000		USD	225,800		(1,818	)
11/16/2022	BOA		HUF	45,000,000		USD	107,633		(3,154	)
11/16/2022	CITI		HUF	75,000,000		USD	184,526		(120	)
11/16/2022	MSCI		HUF	35,000,000		USD	84,817		(1,351	)
11/25/2022	GS		INR	3,000,000		USD	37,248		(205	)
11/25/2022	JPM		INR	73,049,384		USD	907,153		(4,811	)
10/03/2022	CITI		PHP	5,500,000		USD	97,521		(109	)
10/19/2022	BOA		PLN	600,000		USD	123,422		(3,232	)
10/19/2022	DB		PLN	600,000		USD	125,425		(1,229	)
10/19/2022	MSCI		PLN	124,008		USD	25,764		(412	)
09/30/2022	DB		RON	750,000		USD	154,203		(793	)
09/30/2022	GS		RON	450,000		USD	91,557		(1,441	)
09/30/2022	MSCI		RON	1,934,153		USD	394,524		(5,192	)
11/09/2022	BCLY		USD	2,992,606		AUD	4,300,000		(47,544	)
11/09/2022	JPM		USD	681,766		AUD	970,000		(17,415	)
10/04/2022	GS		USD	153,783		BRL	800,000		(1,209	)
10/04/2022	JPM		USD	88,425		BRL	450,000		(2,602	)
10/03/2022	BCLY		USD	7,695,557		CAD	9,887,098		(169,274	)
09/16/2022	JPM		USD	3,537,365		CHF	3,400,000		(55,350	)
09/16/2022	MSCI		USD	67,302		CLP	60,000,000		(534	)

43 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/16/2022	JPM		USD	2,052,919		COP	7,981,955,400		(254,570	)
09/16/2022	MSCI		USD	223,294		COP	880,000,000		(25,028	)
09/21/2022	DB		USD	580,358		GBP	480,000		(22,543	)
09/21/2022	JPM		USD	3,163,565		GBP	2,690,000		(37,477	)
11/16/2022	MSCI		USD	368,801		HUF	144,127,316		(13,967	)
09/15/2022	BOA		USD	3,774,506		JPY	507,997,183		(114,319	)
11/04/2022	CITI		USD	107,537		KRW	140,000,000		(3,179	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
11/08/2022	BCLY		USD	3,783,292		SEK	38,406,846		(169,075	)
09/21/2022	SSB		USD	353,059		SGD	490,000		(2,395	)
11/30/2022	DB		USD	70,643		ZAR	1,200,000		(1,147	)
11/30/2022	MSCI		USD	109,683		ZAR	1,857,104		(2,131	)
									$(108,156	)

Futures Contracts

Number of Contracts +	Type		Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
605		S&P 500 E- Mini		September 2022		119,684,125			1,450,382
177		SGX Nifty 50		September 2022		6,108,382			160,917
					$	125,792,507		$	1,611,299
+ Buys - Fund is long the futures contract.
Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.83%	3 Month AUD BBSW	AUD	6,750,000		09/21/2024		Quarterly		—		(12,835	)		(12,835	)
3.40%	3 Month CAD CDOR	CAD	18,630,000		09/21/2024		Semi-Annually		—		189,904			189,904
3.53%	3 Month CAD CDOR	CAD	115,980,000		09/21/2024		Semi-Annually		104,705		962,471			857,766
3.69%	3 Month CAD CDOR	CAD	5,000,000		09/21/2024		Semi-Annually		—		29,541			29,541
3.61%	3 Month CAD CDOR	CAD	1,820,000		09/21/2024		Semi-Annually		—		12,941			12,941
3 Month CAD CDOR	3.45%	CAD	5,750,000		09/21/2024		Semi-Annually		—		(54,506	)		(54,506	)
3 Month CAD CDOR	3.52%	CAD	6,570,000		09/21/2024		Semi-Annually		—		(55,288	)		(55,288	)
3 Month CAD CDOR	3.69%	CAD	9,950,000		09/21/2024		Semi-Annually		—		(59,366	)		(59,366	)
3 Month CAD CDOR	3.76%	CAD	11,500,000		09/21/2024		Semi-Annually		—		(57,718	)		(57,718	)
3 Month CAD CDOR	3.91%	CAD	19,780,000		09/21/2024		Semi-Annually		—		(54,299	)		(54,299	)
3 Month CAD CDOR	3.93%	CAD	16,151,211		09/21/2024		Semi-Annually		—		(39,864	)		(39,864	)
3 Month CAD CDOR	3.95%	CAD	19,780,000		09/21/2024		Semi-Annually		—		(42,622	)		(42,622	)
3 Month CAD CDOR	3.97%	CAD	9,690,000		09/21/2024		Semi-Annually		—		(18,903	)		(18,903	)
3 Month CAD CDOR	3.98%	CAD	16,148,789		09/21/2024		Semi-Annually		—		(27,501	)		(27,501	)
3 Month CAD CDOR	4.01%	CAD	3,900,000		09/21/2024		Semi-Annually		—		(4,822	)		(4,822	)
CHF - SARON - OIS - COMPOUND	0.68%	CHF	6,750,000		09/21/2024		Semi-Annually		—		(74,479	)		(74,479	)
CHF - SARON - OIS - COMPOUND	0.89%	CHF	7,000,000		09/21/2024		Semi-Annually		—		(46,432	)		(46,432	)
CHF - SARON - OIS - COMPOUND	0.90%	CHF	4,000,000		09/21/2024		Semi-Annually		—		(25,714	)		(25,714	)

See accompanying notes to the financial statements. 44

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CHF - SARON - OIS - COMPOUND	1.18%	CHF	8,550,000		09/21/2024		Semi-Annually		—			(6,750	)		(6,750)
CHF - SARON - OIS - COMPOUND	1.35%	CHF	36,000,000		09/21/2024		Semi-Annually		—			100,161			100,161
CHF - SARON - OIS - COMPOUND	1.42%	CHF	23,850,000		09/21/2024		Semi-Annually		—			102,481			102,481
0.84%	CHF - SARON - OIS - COMPOUND	CHF	92,680,000		09/21/2024		Annually		—			719,099			719,099
0.87%	CHF - SARON - OIS - COMPOUND	CHF	11,900,000		09/21/2024		Annually		(877	)		85,024			85,901
0.72%	CHF - SARON - OIS - COMPOUND	CHF	6,500,000		09/21/2024		Semi-Annually		—			65,733			65,733
EUR - EuroSTR - COMPOUND	1.35%	EUR	53,720,000		09/21/2024		Annually		206			(677,012	)		(677,218	)
EUR - EuroSTR - COMPOUND	1.37%	EUR	10,150,000		09/21/2024		Annually		2,917			(124,487	)		(127,404	)
1.82%	EUR - EuroSTR - COMPOUND	EUR	7,702,334		09/21/2024		Annually		—			25,651			25,651
1.87%	EUR - EuroSTR - COMPOUND	EUR	7,697,666		09/21/2024		Annually		—			16,914			16,914
1.37%	EUR - EuroSTR - COMPOUND	EUR	6,700,000		09/21/2024		Annually		—			81,374			81,374
1.19%	EUR - EuroSTR - COMPOUND	EUR	5,200,000		09/21/2024		Annually		—			81,657			81,657
1.14%	EUR - EuroSTR - COMPOUND	EUR	2,000,000		09/21/2024		Annually		—			33,514			33,514
1.28%	EUR - EuroSTR - COMPOUND	EUR	3,500,000		09/21/2024		Annually		—			49,222			49,222
1.03%	EUR - EuroSTR - COMPOUND	EUR	4,000,000		09/21/2024		Annually		—			75,812			75,812
1.13%	EUR - EuroSTR - COMPOUND	EUR	4,000,000		09/21/2024		Annually		—			67,782			67,782
1.81%	EUR - EuroSTR - COMPOUND	EUR	11,540,000		09/21/2024		Annually		—			40,839			40,839
1.79%	EUR - EuroSTR - COMPOUND	EUR	12,560,000		09/21/2024		Annually		—			49,692			49,692
GBP - SONIA - COMPOUND	2.65%	GBP	2,450,000		09/21/2024		Annually		—			(69,310	)		(69,310	)
GBP - SONIA - COMPOUND	2.73%	GBP	59,920,000		09/21/2024		Annually		53,787			(1,594,246	)		(1,648,033	)
3.28%	GBP - SONIA - COMPOUND	GBP	7,630,000		09/21/2024		Annually		—			110,657			110,657
3.27%	GBP - SONIA - COMPOUND	GBP	7,620,000		09/21/2024		Annually		—			112,775			112,775
2.84%	GBP - SONIA - COMPOUND	GBP	4,800,000		09/21/2024		Annually		—			116,038			116,038
2.67%	GBP - SONIA - COMPOUND	GBP	5,500,000		09/21/2024		Annually		—			154,202			154,202
3.13%	GBP - SONIA - COMPOUND	GBP	11,030,000		09/21/2024		Annually		—			197,468			197,468
3.08%	GBP - SONIA - COMPOUND	GBP	11,020,000		09/21/2024		Annually		—			207,717			207,717
3 Month SEK STIBOR	2.41%	SEK	173,300,000		09/21/2024		Quarterly		—			(232,518	)		(232,518	)
3 Month SEK STIBOR	2.54%	SEK	181,940,000		09/21/2024		Quarterly		31,564			(200,401	)		(231,965	)
3.23%	3 Month SEK STIBOR	SEK	85,500,000		09/21/2024		Quarterly		—			(11,615	)		(11,615	)
3.17%	3 Month SEK STIBOR	SEK	126,500,000		09/21/2024		Quarterly		—			(4,046	)		(4,046	)
3 Month SEK STIBOR	3.21%	SEK	25,000,000		09/21/2024		Quarterly		—			2,719			2,719
USD - SOFR - COMPOUND	2.71%	USD	4,800,000		09/21/2024		Semi-Annually		278			(77,353	)		(77,631	)
USD - SOFR - COMPOUND	2.95%	USD	8,480,000		09/21/2024		Semi-Annually		(1,925	)		(96,624	)		(94,699	)
3.29%	USD - SOFR - COMPOUND	USD	6,800,000		09/21/2024		Semi-Annually		—			33,390			33,390
2.87%	USD - SOFR - COMPOUND	USD	3,300,000		09/21/2024		Semi-Annually		—			42,497			42,497
3.49%	USD - SOFR - COMPOUND	USD	6,550,000		09/21/2024		Semi-Annually		—			6,353			6,353
2.11%	EUR - EuroSTR - COMPOUND	EUR	3,500,000		12/21/2024		Annually		—			(52	)		(52	)
GBP - SONIA - COMPOUND	4.04%	GBP	4,000,000		12/21/2024		Annually		—			(903	)		(903	)
6 Month AUD BBSW	3.73%	AUD	1,800,000		09/21/2032		Semi-Annually		—			(36,602	)		(36,602	)
6 Month AUD BBSW	3.85%	AUD	2,000,000		09/21/2032		Semi-Annually		—			(26,871	)		(26,871	)
6 Month AUD BBSW	3.93%	AUD	3,060,000		09/21/2032		Semi-Annually		—			(27,468	)		(27,468	)
6 Month AUD BBSW	4.04%	AUD	2,730,000		09/21/2032		Semi-Annually		(2,505	)		(8,811	)		(6,306	)

45 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
6 Month AUD BBSW	4.04%	AUD	2,300,000		09/21/2032		Semi-Annually		—			(7,294	)		(7,294	)
6 Month AUD BBSW	4.08%	AUD	16,520,000		09/21/2032		Semi-Annually		—			(13,471	)		(13,471	)
6 Month AUD BBSW	4.27%	AUD	1,570,000		09/21/2032		Semi-Annually		2,768			15,275			12,507
4.67%	6 Month AUD BBSW	AUD	4,520,000		09/21/2032		Semi-Annually		—			(145,765	)		(145,765	)
4.59%	6 Month AUD BBSW	AUD	1,890,000		09/21/2032		Semi-Annually		—			(52,841	)		(52,841	)
4.27%	6 Month AUD BBSW	AUD	2,890,000		09/21/2032		Semi-Annually		—			(29,171	)		(29,171	)
4.38%	6 Month AUD BBSW	AUD	2,320,000		09/21/2032		Semi-Annually		—			(37,406	)		(37,406	)
4.33%	6 Month AUD BBSW	AUD	3,620,000		09/21/2032		Semi-Annually		—			(48,215	)		(48,215	)
4.27%	6 Month AUD BBSW	AUD	1,860,000		09/21/2032		Semi-Annually		(2,813	)		(18,200	)		(15,387	)
3.65%	6 Month AUD BBSW	AUD	2,000,000		09/21/2032		Semi-Annually		—			49,531			49,531
4.16%	6 Month AUD BBSW	AUD	1,900,000		09/21/2032		Semi-Annually		—			(6,763	)		(6,763	)
3.90%	3 Month CAD CDOR	CAD	3,740,242		09/21/2032		Semi-Annually		—			(80,027	)		(80,027	)
3.99%	3 Month CAD CDOR	CAD	3,739,758		09/21/2032		Semi-Annually		—			(99,783	)		(99,783	)
3.88%	3 Month CAD CDOR	CAD	2,990,000		09/21/2032		Semi-Annually		—			(58,964	)		(58,964	)
3.77%	3 Month CAD CDOR	CAD	2,290,000		09/21/2032		Semi-Annually		—			(29,366	)		(29,366	)
3.51%	3 Month CAD CDOR	CAD	1,300,000		09/21/2032		Semi-Annually		—			5,116			5,116
3.25%	3 Month CAD CDOR	CAD	2,100,000		09/21/2032		Semi-Annually		—			43,863			43,863
3.20%	3 Month CAD CDOR	CAD	1,500,000		09/21/2032		Semi-Annually		—			36,262			36,262
3.06%	3 Month CAD CDOR	CAD	1,500,000		09/21/2032		Semi-Annually		—			49,411			49,411
3.13%	3 Month CAD CDOR	CAD	2,000,000		09/21/2032		Semi-Annually		—			57,502			57,502
3.27%	3 Month CAD CDOR	CAD	1,600,000		09/21/2032		Semi-Annually		—			30,945			30,945
3.52%	3 Month CAD CDOR	CAD	1,600,000		09/21/2032		Semi-Annually		—			5,471			5,471
3.58%	3 Month CAD CDOR	CAD	1,700,000		09/21/2032		Semi-Annually		—			(1,364	)		(1,364	)
3 Month CAD CDOR	3.15%	CAD	3,614,000		09/21/2032		Semi-Annually		(765	)		(99,014	)		(98,249	)
3 Month CAD CDOR	3.49%	CAD	4,220,000		09/21/2032		Semi-Annually		—			(22,047	)		(22,047	)
3 Month CAD CDOR	3.55%	CAD	1,200,000		09/21/2032		Semi-Annually		—			(2,015	)		(2,015	)
3 Month CAD CDOR	3.58%	CAD	26,600,000		09/21/2032		Semi-Annually		(50,865	)		15,341			66,206
3.97%	CAD CDOR	CAD	2,230,000		09/21/2032		Semi-Annually		—			(56,697	)		(56,697	)
3.94%	CAD CDOR	CAD	4,560,000		09/21/2032		Semi-Annually		—			(108,148	)		(108,148	)
3.90%	CAD CDOR	CAD	4,560,000		09/21/2032		Semi-Annually		—			(96,685	)		(96,685	)
CHF - SARON - OIS - COMPOUND	1.27%	CHF	13,205,000		09/21/2032		Semi-Annually		28,571			(554,014	)		(582,585	)
CHF - SARON - OIS - COMPOUND	1.27%	CHF	1,200,000		09/21/2032		Semi-Annually		—			(51,262	)		(51,262	)
CHF - SARON - OIS - COMPOUND	1.64%	CHF	17,760,000		09/21/2032		Annually		—			(128,042	)		(128,042	)
CHF - SARON - OIS - COMPOUND	1.64%	CHF	2,460,000		09/21/2032		Annually		—			(18,205	)		(18,205	)
CHF - SARON - OIS - COMPOUND	1.70%	CHF	1,190,000		09/21/2032		Annually		(711	)		(1,991	)		(1,280	)
2.13%	CHF - SARON - OIS - COMPOUND	CHF	5,230,000		09/21/2032		Semi-Annually		—			(207,913	)		(207,913	)
2.08%	CHF - SARON - OIS - COMPOUND	CHF	7,910,000		09/21/2032		Semi-Annually		—			(273,681	)		(273,681	)
1.77%	CHF - SARON - OIS - COMPOUND	CHF	1,530,000		09/21/2032		Semi-Annually		—			(7,663	)		(7,663	)
1.60%	CHF - SARON - OIS - COMPOUND	CHF	1,460,000		09/21/2032		Semi-Annually		—			15,682			15,682
1.54%	CHF - SARON - OIS - COMPOUND	CHF	190,000		09/21/2032		Semi-Annually		—			3,056			3,056
1.63%	CHF - SARON - OIS - COMPOUND	CHF	900,000		09/21/2032		Semi-Annually		—			6,961			6,961
1.17%	CHF - SARON - OIS - COMPOUND	CHF	1,500,000		09/21/2032		Semi-Annually		—			78,038			78,038
1.73%	CHF - SARON - OIS - COMPOUND	CHF	800,000		09/21/2032		Semi-Annually		—			(1,334	)		(1,334	)
EUR - EuroSTR - COMPOUND	1.43%	EUR	1,100,000		09/21/2032		Annually		—			(67,452	)		(67,452	)
EUR - EuroSTR - COMPOUND	1.44%	EUR	12,520,000		09/21/2032		Annually		42,234			(760,292	)		(802,526	)

See accompanying notes to the financial statements. 46

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
EUR - EuroSTR - COMPOUND	1.49%	EUR	800,000		09/21/2032		Annually		—			(45,294	)		(45,294	)
EUR - EuroSTR - COMPOUND	1.49%	EUR	1,100,000		09/21/2032		Annually		—			(61,475	)		(61,475	)
EUR - EuroSTR - COMPOUND	1.49%	EUR	900,000		09/21/2032		Annually		—			(50,421	)		(50,421	)
EUR - EuroSTR - COMPOUND	1.71%	EUR	600,000		09/21/2032		Annually		—			(21,834	)		(21,834	)
EUR - EuroSTR - COMPOUND	1.76%	EUR	700,000		09/21/2032		Annually		—			(22,213	)		(22,213	)
EUR - EuroSTR - COMPOUND	1.90%	EUR	1,130,000		09/21/2032		Annually		—			(21,103	)		(21,103	)
EUR - EuroSTR - COMPOUND	2.00%	EUR	1,470,000		09/21/2032		Annually		—			(14,096	)		(14,096	)
EUR - EuroSTR - COMPOUND	2.19%	EUR	2,770,000		09/21/2032		Annually		—			21,752			21,752
EUR - EuroSTR - COMPOUND	2.21%	EUR	1,680,529		09/21/2032		Annually		—			15,652			15,652
EUR - EuroSTR - COMPOUND	2.22%	EUR	2,550,000		09/21/2032		Annually		—			26,777			26,777
EUR - EuroSTR - COMPOUND	2.32%	EUR	1,709,471		09/21/2032		Annually		—			32,781			32,781
2.25%	EUR - EuroSTR - COMPOUND	EUR	1,380,000		09/21/2032		Annually		—			(17,705	)		(17,705	)
1.81%	EUR - EuroSTR - COMPOUND	EUR	10,760,000		09/21/2032		Annually		9,381			292,812			283,431
1.82%	EUR - EuroSTR - COMPOUND	EUR	2,200,000		09/21/2032		Annually		(2,161	)		57,257			59,418
1.51%	EUR - EuroSTR - COMPOUND	EUR	1,500,000		09/21/2032		Annually		—			81,980			81,980
1.46%	EUR - EuroSTR - COMPOUND	EUR	2,500,000		09/21/2032		Annually		—			147,364			147,364
1.83%	EUR - EuroSTR - COMPOUND	EUR	1,200,000		09/21/2032		Annually		—			30,464			30,464
2.09%	EUR - EuroSTR - COMPOUND	EUR	1,000,000		09/21/2032		Annually		—			1,781			1,781
GBP - SONIA - COMPOUND	1.89%	GBP	1,400,000		09/21/2032		Annually		—			(150,367	)		(150,367	)
GBP - SONIA - COMPOUND	2.15%	GBP	1,500,000		09/21/2032		Annually		—			(123,613	)		(123,613	)
GBP - SONIA - COMPOUND	2.18%	GBP	900,000		09/21/2032		Annually		—			(70,948	)		(70,948	)
GBP - SONIA - COMPOUND	2.25%	GBP	1,200,000		09/21/2032		Annually		—			(86,539	)		(86,539	)
GBP - SONIA - COMPOUND	2.44%	GBP	1,060,000		09/21/2032		Annually		—			(57,013	)		(57,013	)
GBP - SONIA - COMPOUND	2.46%	GBP	1,300,000		09/21/2032		Annually		—			(66,799	)		(66,799	)
GBP - SONIA - COMPOUND	2.58%	GBP	1,700,000		09/21/2032		Annually		—			(67,439	)		(67,439	)
GBP - SONIA - COMPOUND	2.58%	GBP	2,430,000		09/21/2032		Annually		—			(98,185	)		(98,185	)
GBP - SONIA - COMPOUND	2.63%	GBP	2,440,000		09/21/2032		Annually		—			(86,749	)		(86,749	)
GBP - SONIA - COMPOUND	2.74%	GBP	1,680,000		09/21/2032		Annually		—			(41,696	)		(41,696	)
2.26%	GBP - SONIA - COMPOUND	GBP	12,690,000		09/21/2032		Annually		(17,380	)		906,445			923,825
2.56%	GBP - SONIA - COMPOUND	GBP	740,000		09/21/2032		Annually		—			31,423			31,423
2.18%	GBP - SONIA - COMPOUND	GBP	420,000		09/21/2032		Annually		1,513			33,294			31,781
2.09%	GBP - SONIA - COMPOUND	GBP	10,981,000		09/21/2032		Annually		1,169			967,360			966,191
2.93%	GBP - SONIA - COMPOUND	GBP	1,000,000		09/21/2032		Annually		—			5,950			5,950

47 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
4.13%	3 Month NZD Bank Bill Rate	NZD	18,100,000		09/21/2032		Quarterly		—			(1,196	)		(1,196	)
4.17%	3 Month NZD Bank Bill Rate	NZD	4,710,000		09/21/2032		Quarterly		3,862			(9,997	)		(13,859	)
4.06%	3 Month NZD Bank Bill Rate	NZD	4,330,000		09/21/2032		Quarterly		—			13,613			13,613
3.94%	3 Month NZD Bank Bill Rate	NZD	2,700,000		09/21/2032		Quarterly		—			25,010			25,010
3.99%	3 Month NZD Bank Bill Rate	NZD	2,500,000		09/21/2032		Quarterly		—			16,386			16,386
3 Month NZD Bank Bill Rate	3.63%	NZD	3,400,000		09/21/2032		Quarterly		—			(84,357	)		(84,357	)
3 Month NZD Bank Bill Rate	3.80%	NZD	2,292,000		09/21/2032		Quarterly		—			(37,324	)		(37,324	)
3 Month NZD Bank Bill Rate	4.16%	NZD	3,230,000		09/21/2032		Quarterly		—			6,127			6,127
3 Month NZD Bank Bill Rate	4.21%	NZD	4,060,000		09/21/2032		Quarterly		—			16,355			16,355
3 Month NZD Bank Bill Rate	4.26%	NZD	1,690,000		09/21/2032		Quarterly		—			11,682			11,682
3 Month NZD Bank Bill Rate	4.26%	NZD	2,590,000		09/21/2032		Quarterly		—			16,929			16,929
3 Month NZD Bank Bill Rate	4.54%	NZD	2,620,000		09/21/2032		Quarterly		—			54,247			54,247
3 Month NZD Bank Bill Rate	4.55%	NZD	6,340,000		09/21/2032		Quarterly		—			135,245			135,245
3 Month SEK STIBOR	2.63%	SEK	10,000,000		09/21/2032		Quarterly		—			(16,057	)		(16,057	)
3 Month SEK STIBOR	2.71%	SEK	15,000,000		09/21/2032		Quarterly		—			(13,435	)		(13,435	)
3 Month SEK STIBOR	2.77%	SEK	13,000,000		09/21/2032		Quarterly		—			(6,106	)		(6,106	)
3 Month SEK STIBOR	2.83%	SEK	27,000,000		09/21/2032		Quarterly		—			901			901
3 Month SEK STIBOR	2.85%	SEK	6,621,000		09/21/2032		Quarterly		(1,932	)		1,521			3,453
3 Month SEK STIBOR	2.87%	SEK	12,000,000		09/21/2032		Quarterly		—			4,100			4,100
3 Month SEK STIBOR	2.89%	SEK	32,000,000		09/21/2032		Quarterly		—			17,426			17,426
2.62%	3 Month SEK STIBOR	SEK	38,400,000		09/21/2032		Quarterly		—			61,813			61,813
2.77%	3 Month SEK STIBOR	SEK	39,310,000		09/21/2032		Quarterly		(11,035	)		16,869			27,904
2.65%	3 Month SEK STIBOR	SEK	19,200,000		09/21/2032		Quarterly		—			27,713			27,713
2.48%	3 Month SEK STIBOR	SEK	15,900,000		09/21/2032		Quarterly		—			43,914			43,914
2.59%	3 Month SEK STIBOR	SEK	42,800,000		09/21/2032		Quarterly		—			81,745			81,745
2.51%	3 Month SEK STIBOR	SEK	15,000,000		09/21/2032		Quarterly		—			38,386			38,386
2.42%	3 Month SEK STIBOR	SEK	26,000,000		09/21/2032		Quarterly		—			84,467			84,467
2.23%	3 Month SEK STIBOR	SEK	21,000,000		09/21/2032		Quarterly		—			100,599			100,599
2.35%	3 Month SEK STIBOR	SEK	18,000,000		09/21/2032		Quarterly		—			69,797			69,797
2.24%	3 Month SEK STIBOR	SEK	27,000,000		09/21/2032		Quarterly		—			128,246			128,246
2.39%	3 Month SEK STIBOR	SEK	11,000,000		09/21/2032		Quarterly		—			38,726			38,726
2.85%	3 Month SEK STIBOR	SEK	5,000,000		09/21/2032		Quarterly		1,462			(1,140	)		(2,602	)
3 Month SEK STIBOR	3.03%	SEK	75,945,000		09/21/2032		Quarterly		45,502			128,243			82,741
3 Month SEK STIBOR	3.08%	SEK	28,400,000		09/21/2032		Quarterly		28,101			58,673			30,572
3 Month SEK STIBOR	3.12%	SEK	19,300,000		09/21/2032		Quarterly		25,982			46,528			20,546
USD - SOFR - COMPOUND	2.56%	USD	1,300,000		09/21/2032		Semi-Annually		—			(41,763	)		(41,763	)
USD - SOFR - COMPOUND	2.57%	USD	1,000,000		09/21/2032		Semi-Annually		—			(31,996	)		(31,996	)
USD - SOFR - COMPOUND	2.58%	USD	2,000,000		09/21/2032		Semi-Annually		—			(60,979	)		(60,979	)
USD - SOFR - COMPOUND	2.61%	USD	1,300,000		09/21/2032		Semi-Annually		—			(36,615	)		(36,615	)
USD - SOFR - COMPOUND	2.63%	USD	730,000		09/21/2032		Semi-Annually		—			(19,147	)		(19,147	)

See accompanying notes to the financial statements. 48

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
USD - SOFR - COMPOUND	2.77%	USD	1,410,000		09/21/2032		Semi-Annually		—			(19,990	)		(19,990	)
USD - SOFR - COMPOUND	2.78%	USD	3,100,000		09/21/2032		Semi-Annually		—			(42,082	)		(42,082	)
USD - SOFR - COMPOUND	2.79%	USD	1,500,000		09/21/2032		Semi-Annually		—			(19,394	)		(19,394	)
USD - SOFR - COMPOUND	3.02%	USD	1,500,000		09/21/2032		Semi-Annually		—			11,078			11,078
USD - SOFR - COMPOUND	3.03%	USD	2,520,000		09/21/2032		Semi-Annually		15,878			19,305			3,427
USD - SOFR - COMPOUND	3.06%	USD	7,630,000		09/21/2032		Semi-Annually		—			79,338			79,338
USD - SOFR - COMPOUND	3.11%	USD	6,470,000		09/21/2032		Semi-Annually		—			97,629			97,629
USD - SOFR - COMPOUND	3.11%	USD	6,475,740		09/21/2032		Semi-Annually		—			94,093			94,093
USD - SOFR - COMPOUND	3.11%	USD	6,784,260		09/21/2032		Semi-Annually		—			100,035			100,035
USD - SOFR - COMPOUND	3.12%	USD	5,160,000		09/21/2032		Semi-Annually		—			81,193			81,193
USD - SOFR - COMPOUND	3.12%	USD	1,480,000		09/21/2032		Semi-Annually		—			23,161			23,161
3.18%	USD - SOFR - COMPOUND	USD	2,820,000		09/21/2032		Semi-Annually		—			(57,724	)		(57,724	)
2.64%	USD - SOFR - COMPOUND	USD	1,090,000		09/21/2032		Semi-Annually		(2,866	)		27,932			30,798
2.57%	USD - SOFR - COMPOUND	USD	1,940,000		09/21/2032		Semi-Annually		—			61,321			61,321
2.68%	USD - SOFR - COMPOUND	USD	4,480,000		09/21/2032		Semi-Annually		—			99,765			99,765
2.80%	USD - SOFR - COMPOUND	USD	43,530,000		09/21/2032		Semi-Annually		(80,764	)		515,978			596,742
2.83%	USD - SOFR - COMPOUND	USD	1,890,000		09/21/2032		Semi-Annually		(267	)		17,523			17,790
2.88%	USD - SOFR - COMPOUND	USD	800,000		09/21/2032		Semi-Annually		—			4,249			4,249
3.56%	3 Month CAD CDOR	CAD	1,800,000		12/21/2032		Semi-Annually		—			802			802
EUR - EuroSTR - COMPOUND	2.17%	EUR	800,000		12/21/2032		Annually		—			1,570			1,570
3.00%	GBP - SONIA - COMPOUND	GBP	900,000		12/21/2032		Annually		—			(600	)		(600	)
2.96%	GBP - SONIA - COMPOUND	GBP	1,700,000		12/21/2032		Annually		—			4,078			4,078
2.89%	USD - SOFR - COMPOUND	USD	2,000,000		12/21/2032		Semi-Annually		—			6,552			6,552
									$223,014			$  872,143			$  649,129

OTC Total Return Swaps

Periodic

Premiums

Net Unrealized

Notional

Expiration

Payment

Paid/

Appreciation/

Fund Pays

Fund Receives

Counterparty

Amount

Date

Frequency

(Received) ($)

Value ($)

(Depreciation) ($)

Total Return on Equity Basket (k)

1 Month Federal Funds Rate minus 0.75%

GS

USD

1

05/24/2024

Monthly

—

(5,878

)

(5,878

)

Total Return on Equity Basket (k)

1 Month Federal Funds Rate minus 1.00%

MORD

USD

1

05/24/2024

Monthly

—

(1,100

)

(1,100

)

Total Return on Equity Basket (k)

1 Month Federal Funds Rate minus 0.40%

MORD

USD

1

05/24/2024

Monthly

—

(45,823

)

(45,823

)

Total Return on Equity Basket (k)

1 Month Federal Funds Rate minus 0.40%

GS

USD

5,989,381

05/24/2024

Monthly

—

132,386

132,386

Total Return on Equity Basket (l)

1 Month Federal Funds Rate minus 0.40%

MORD

USD

25,154,545

05/24/2024

Monthly

—

626,261

626,261

$—

$705,846

$705,846

49 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

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

(c) Securities are traded on separate exchanges for the same entity.

(d) 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. Investment valued using significant unobservable inputs (Note 2).

(e) Investment valued using significant unobservable inputs (Note 2).

(f) The security is restricted as to resale.

(g) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(h) Security is in default.

(i) All or a portion of this security is purchased with collateral from securities loaned (Note 2).

(j) The rate disclosed is the 7 day net yield as of August 31, 2022.

(k) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(l) The following table represents the individual long and/or short positions within the custom equity basket swap as of August 31, 2022:

			% of
			Equity
Shares		Description	Basket		Value ($)
	(276,000)	Air China Ltd – Class H		0.9%		(221,090	)
	(929,800)	Airports of Thailand Pcl NVDR		7.6%		(1,852,861	)
	(1,572,000)	Alibaba Health Information Technology Ltd		3.7%		(900,856	)
	(2,550,000)	Alibaba Pictures Group Ltd		0.8%		(200,601	)
	(2,517,000)	China Molybdenum Co Ltd – Class H		4.6%		(1,122,372	)
	(192,000)	China Resources Beer Holdings Co Ltd		5.5%		(1,338,435	)
	(203,000)	Citic Securities Co Ltd – Class H		1.7%		(411,448	)
	(1,692)	Elisa Oyj		0.4%		(90,485	)
	(188,000)	Far EasTone Telecommunications Co Ltd		1.9%		(461,080	)
	(138,160)	Ganfeng Lithium Co Ltd – Class H		5.0%		(1,213,799	)
	(446,000)	Greentown Service Group Co Ltd		1.3%		(322,215	)
	(964,600)	Gulf Energy Development Pcl NVDR		5.5%		(1,353,578	)
	(2,340)	Hanmi Pharm Co Ltd		2.2%		(536,235	)
	(1,800)	Hapvida Participacoes e Investimentos SA		0.0%		(2,519	)
	(38,400)	Hong Kong Exchanges and Clearing Ltd		6.3%		(1,547,310	)
	(19,103)	Hotel Shilla Co Ltd		4.3%		(1,046,446	)
	(76)	Iljin Materials Co Ltd		0.0%		(4,165	)
	(13,267)	Kakao Corp		2.9%		(720,447	)
	(825,000)	Kingdee International Software Group Co Ltd		6.5%		(1,601,245	)
	(97,400)	Klabin SA		1.4%		(352,538	)
	(33,540)	Korea Aerospace Industries Ltd		6.2%		(1,521,904	)
	(85,900)	Kuaishou Technology		3.0%		(744,279	)
	(400)	Lojas Renner SA		0.0%		(2,035	)
	(1)	MicroPort NeuroTech Ltd		0.0%		(3	)
	(83,100)	Microport Scientific Corp		0.7%		(165,126	)
	(1,647)	POSCO Chemical Co Ltd		0.8%		(204,745	)
	(2,510)	Samsung Biologics Co Ltd		6.4%		(1,561,117	)
	(243,659)	Samsung Heavy Industries Co Ltd		4.4%		(1,081,076	)
	(772,000)	Sands China Ltd		7.0%		(1,726,267	)
	(180,000)	Taiwan High Speed Rail Corp		0.7%		(172,092	)
	(10,922)	Yuhan Corp		1.9%		(461,901	)
	(1,382,000)	Zijin Mining Group Co Ltd – Class H		6.4%		(1,561,623	)
		TOTAL COMMON STOCKS			$	(24,501,893	)

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 114.

See accompanying notes to the financial statements. 50

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		65.7	%
Debt Obligations		26.7
Short-Term Investments		12.0
Preferred Stocks		1.1
Swap Contracts		0.7
Investment Funds		0.3
Loan Assignments		0.1
Forward Currency Contracts		0.0	^
Rights/Warrants		0.0	^
Loan Participations		0.0	^
Purchased Options		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Written Options/Credit Linked Options		(0.1	)
Futures Contracts		(0.1	)
Securities Sold Short		(4.8	)
Other		(1.6	)
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		13.0	%
Other Emerging		2.9	†
Switzerland		1.6
Euro Region		1.1	§
Other Developed		(1.3	)‡
United Kingdom		(1.3	)
		16.0	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		21.0	%
Japan		9.2
Other Developed		5.4	‡
Taiwan		5.1
China		4.5
Other Emerging		4.0	†
United Kingdom		3.3
South Korea		2.7
France		1.9
Netherlands		1.3
India		1.2
Switzerland		1.1
Spain		1.0
		61.7	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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. 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 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%.

51

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.5%
		Affiliated Issuers — 99.5%
	3,186,691	GMO Alternative Allocation Fund, Class VI		56,245,097
	1,017,370	GMO Asset Allocation Bond Fund, Class VI		21,608,941
	698,032	GMO Emerging Country Debt Fund, Class VI		12,955,473
	1,418,517	GMO Emerging Markets ex-China Fund, Class VI		18,823,728
	1,940,314	GMO Emerging Markets Fund, Class VI		45,519,770
	431,150	GMO High Yield Fund, Class VI		7,463,215
	3,168,366	GMO International Equity Fund, Class IV		61,814,824
	919,305	GMO-Usonian Japan Value Creation Fund, Class VI		14,552,598
	2,509,813	GMO Multi-Sector Fixed Income Fund, Class IV		43,444,862
	451,252	GMO Opportunistic Income Fund, Class VI		11,096,277
	521,897	GMO Quality Cyclicals Fund, Class VI		11,095,531
	293,554	GMO Quality Fund, Class VI		7,277,215
	3,073,557	GMO U.S. Equity Fund, Class VI		36,729,001
	1,340,630	GMO U.S. Small Cap Value Fund, Class VI		21,959,513
	15	GMO U.S. Treasury Fund		74
		TOTAL MUTUAL FUNDS (COST $459,340,274)		370,586,119
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	376,778	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (a)		376,778
		TOTAL SHORT-TERM INVESTMENTS (COST $376,778)		376,778
		TOTAL INVESTMENTS — 99.6% (Cost $459,717,052)		370,962,897
		Other Assets and Liabilities (net) — 0.4%		1,661,153
		TOTAL NET ASSETS — 100.0%		$372,624,050

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2022.

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 114.

See accompanying notes to the financial statements. 52

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.0	%
Short-Term Investments		2.7
Preferred Stocks		0.9
Debt Obligations		0.5
Rights/Warrants		0.0	^
Futures Contracts		(0.0	)^
Other		(1.1	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		42.3	%
Japan		15.1
United Kingdom		8.3
France		4.9
Other Emerging		4.2	†
Taiwan		3.4
Switzerland		3.0
Netherlands		2.9
Spain		2.5
Germany		2.3
Other Developed		1.9	‡
Singapore		1.9
Korea		1.8
Australia		1.6
Norway		1.6
China		1.3
Hong Kong		1.0
		100.0	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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 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%.

53

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares	Description	Value ($)
	MUTUAL FUNDS — 100.0%
	Affiliated Issuers — 100.0%
387,790	GMO Emerging Markets ex-China Fund, Class VI		5,145,970
79,956	GMO Emerging Markets Fund, Class VI		1,875,776
1,548,126	GMO International Equity Fund, Class IV		30,203,942
190,126	GMO-Usonian Japan Value Creation Fund, Class VI		3,009,704
174,676	GMO Quality Cyclicals Fund, Class VI		3,713,615
402,818	GMO Quality Fund, Class VI		9,985,863
1,204,940	GMO U.S. Equity Fund, Class VI		14,399,029
466,613	GMO U.S. Small Cap Value Fund, Class VI		7,643,117
	TOTAL MUTUAL FUNDS (COST $84,206,065)		75,977,016
	SHORT-TERM INVESTMENTS — 0.0%
	Money Market Funds — 0.0%
36,838	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (a)		36,838
	TOTAL SHORT-TERM INVESTMENTS (COST $36,838)		36,838
	TOTAL INVESTMENTS — 100.0% (Cost $84,242,903)		76,013,854
	Other Assets and Liabilities (net) — (0.0%)		(14,823	)
	TOTAL NET ASSETS — 100.0%		$75,999,031

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2022.

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 114.

See accompanying notes to the financial statements. 54

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.4	%
Short-Term Investments		2.5
Preferred Stocks		1.5
Debt Obligations		0.5
Rights/Warrants		0.0	^
Futures Contracts		(0.1	)
Other		(0.8	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		34.0	%
Japan		13.0
Taiwan		7.4
United Kingdom		7.2
China		5.9
France		4.3
Other Emerging		3.9	†
Korea		3.9
Other Developed		2.7	‡
Switzerland		2.6
Netherlands		2.4
Spain		2.1
Germany		2.0
India		1.7
Singapore		1.7
Australia		1.3
Brazil		1.3
Mexico		1.3
Norway		1.3
		100.0	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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 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%.

55

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	8,014,784	GMO Emerging Markets ex-China Fund, Class VI		106,356,181
	8,831,421	GMO Emerging Markets Fund, Class VI		207,185,134
	22,249,800	GMO International Equity Fund, Class IV		434,093,601
	3,426,653	GMO-Usonian Japan Value Creation Fund, Class VI		54,243,921
	3,124,798	GMO Quality Cyclicals Fund, Class VI		66,433,215
	7,651,024	GMO Quality Fund, Class VI		189,668,881
	10,298,167	GMO U.S. Equity Fund, Class VI		123,063,092
	8,431,806	GMO U.S. Small Cap Value Fund, Class VI		138,112,975
		TOTAL MUTUAL FUNDS (COST $1,594,640,412)		1,319,157,000
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	75,077	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (a)		75,077
		TOTAL SHORT-TERM INVESTMENTS (COST $75,077)		75,077
		TOTAL INVESTMENTS —100.0% (Cost $1,594,715,489)		1,319,232,077
		Other Assets and Liabilities (net) — (0.0%)		(84,995	)
		TOTAL NET ASSETS — 100.0%	$	1,319,147,082

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2022.

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 114.

See accompanying notes to the financial statements. 56

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		75.7	%
Debt Obligations		34.0
Short-Term Investments		7.5
Preferred Stocks		1.7
Mutual Funds		0.5
Investment Funds		0.4
Swap Contracts		0.2
Rights/Warrants		0.0	^
Purchased Options		0.0	^
Written Options		(0.0	)^
Forward Currency Contracts		(0.0	)^
Futures Contracts		(0.1	)
Securities Sold Short		(21.4	)
Other		1.5
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Switzerland		2.0	%
Euro Region		1.4	§
Other Developed		1.4	‡
Other Emerging		0.0	^†
Canada		(1.1	)
United Kingdom		(1.9	)
		1.8	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
Japan		9.9	%
United States		9.2
Other Developed		6.3	‡
China		5.6
Taiwan		4.6
Other Emerging		3.6	†
South Korea		3.2
United Kingdom		2.5
India		2.4
Brazil		2.1
Canada		2.1
France		1.1
Australia		1.0
Mexico		1.0
Spain		1.0
		55.6	%

Industry Group Summary#	% of Equity Investments
Banks		12.6	%
Materials		12.4
Energy		9.4
Technology Hardware & Equipment		8.6
Capital Goods		8.5
Food, Beverage & Tobacco		5.9
Consumer Durables & Apparel		5.2
Insurance		5.0
Automobiles & Components		4.7
Semiconductors & Semiconductor Equipment		4.7
Diversified Financials		4.4
Media & Entertainment		3.8
Pharmaceuticals, Biotechnology & Life Sciences		3.2
Telecommunication Services		3.2
Retailing		2.5
Real Estate		2.2
Health Care Equipment & Services		1.4
Commercial & Professional Services		1.2
Utilities		0.9
Food & Staples Retailing		0.9
Household & Personal Products		0.6
Transportation		0.2
Consumer Services		(0.7	)
Software & Services		(0.8	)
		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, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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. 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%.

§ “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.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

# 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.

^ Rounds to 0.0%.

57

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 75.7%
		Argentina — 0.0%
	174,685	Adecoagro SA		1,610,596
		Australia — 1.5%
	88,698	Accent Group Ltd		90,193
	56,277	Adairs Ltd (a)		86,719
	617,395	Aurizon Holdings Ltd (b)		1,561,473
	2,365,365	Beach Energy Ltd		2,733,954
	620,221	BlueScope Steel Ltd		6,958,769
	641,678	Brambles Ltd (b)		5,400,506
	29,132	Brickworks Ltd		403,269
	14,104	Challenger Ltd		60,805
	155,051	CSR Ltd		475,711
	451,555	Dexus (REIT)		2,670,936
	940,409	Fortescue Metals Group Ltd (b)		11,686,999
	305,490	Genworth Mortgage Insurance Australia Ltd		587,758
	976,872	GPT Group (The) (REIT)		2,783,600
	322,688	GrainCorp Ltd – Class A		1,825,112
	543,783	Grange Resources Ltd (a)		321,511
	50,524	HomeCo Daily Needs (REIT)		44,408
	153,203	Incitec Pivot Ltd		404,863
	68,988	JB Hi-Fi Ltd (a)		1,902,670
	449,614	Jupiter Mines Ltd		61,511
	463,669	Metcash Ltd (a)		1,297,527
	13,199	Mineral Resources Ltd		562,375
	2,000,076	Mirvac Group (REIT)		2,848,372
	72,933	Mount Gibson Iron Ltd (a)		21,148
	22,823	Nufarm Ltd		82,403
	482,630	Perenti Global Ltd * (a)		256,005
	15,220	Premier Investments Ltd		218,846
	98,792	Rio Tinto Ltd (b)		6,274,613
	281,060	Sandfire Resources Ltd		868,010
	1,357,705	Scentre Group (REIT) (b)		2,698,160
	99,148	Sims Ltd (a)		1,022,952
	8,109	South32 Ltd (b)		22,330
	79,010	Southern Cross Media Group Ltd		57,727
	1,140,811	Stockland (REIT)		2,806,240
	11,073	Suncorp Group Ltd		81,777
	106,070	Sunrise Energy Metals Ltd *		214,777
	27,995	Viva Energy Group Ltd		56,613
	2,152	Woodside Energy Group Ltd		49,988
		Total Australia		59,500,630
		Austria — 0.1%
	51,457	OMV AG		2,073,319
	4,397	Strabag SE		168,960
		Total Austria		2,242,279
		Belgium — 0.4%
	6,109	Ackermans & van Haaren NV		893,094
	120,198	Ageas SA/NV		4,877,098
	15,143	AGFA-Gevaert NV * (b)		54,753

Shares		Description	Value ($)
		Belgium — continued
	32,157	Bekaert SA		986,349
	3,217	Cie d’Entreprises CFE * (a)		32,018
	2,424	Deme Group NV *		277,412
	32,497	Econocom Group SA (b)		101,288
	2,309	Etablissements Franz Colruyt NV		64,174
	4,864	Orange Belgium SA *		90,577
	69,848	Proximus SADP		889,096
	13,881	Sofina SA (a)		2,782,514
	569	Solvay SA		45,933
	65,697	UCB SA		4,616,319
		Total Belgium		15,710,625
		Brazil — 1.1%
	274,300	Banco do Brasil SA		2,198,133
	5,200	BB Seguridade Participacoes SA		28,267
	24,000	Cia de Saneamento do Parana		79,856
	66,500	CPFL Energia SA		447,006
	128,300	EDP - Energias do Brasil SA		559,574
	283,435	Enauta Participacoes SA		910,387
	10,100	Engie Brasil Energia SA		78,627
	111,800	Itau Unibanco Holding SA		475,790
	625,100	Itau Unibanco Holding SA Sponsored ADR		3,087,994
	104,519	Localiza Rent a Car SA		1,221,906
	996,400	Marfrig Global Foods SA		2,518,580
	585,700	Petroleo Brasileiro SA Sponsored ADR (b)		8,369,653
	217,481	Sao Martinho SA		1,331,875
	136,200	Ser Educacional SA		163,626
	60,400	SLC Agricola SA		564,247
	136,600	Suzano SA		1,162,140
	465,500	Telefonica Brasil SA		3,681,122
	208,800	Telefonica Brasil SA ADR		1,695,456
	2,442,100	TIM SA		5,553,215
	14,700	TIM SA – ADR		166,698
	154,900	Transmissora Alianca de Energia Eletrica SA		1,241,010
	313,419	Vale SA		3,885,808
	76,100	Vale SA Sponsored ADR – Class B (b)		945,162
	414,421	Vamos Locacao de Caminhoes Maquinas e
		Equipamentos SA		1,123,997
	955,900	Vibra Energia SA		3,373,505
		Total Brazil		44,863,634
		Canada — 3.1%
	6,700	Alimentation Couche-Tard Inc (b)		287,926
	58,000	Anaergia Inc *		422,188
	39,200	Bank of Montreal (a) (b)		3,618,990
	12,500	Baytex Energy Corp *		64,815
	121,200	Birchcliff Energy Ltd		1,067,715
	150,800	BlackBerry Ltd * (b)		895,752
	165,310	Brookfield Asset Management Inc – Class A (b)		7,953,064
	78,800	Canadian Apartment Properties (REIT)		2,680,166
	95,500	Canadian Solar Inc *		4,313,735
	44,100	Canadian Tire Corp Ltd – Class A (a) (b)		5,186,833

See accompanying notes to the financial statements. 58

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	48,700	Canfor Corp *		955,571
	118,200	Celestica Inc * (a) (c)		1,219,485
	44,600	Celestica Inc * (c)		460,272
	29,300	Cenovus Energy Inc (c)		549,668
	2,400	Cenovus Energy Inc (c)		45,027
	9,800	Cogeco Inc (a)		471,364
	37,200	Crescent Point Energy Corp		282,348
	12,000	DREAM UnLtd Corp – Class A		257,570
	50,066	Enerflex Ltd (a)		251,216
	17,200	Enerplus Corp (c)		265,052
	1,600	Enerplus Corp (c)		24,658
	1,300	Fairfax Financial Holdings Ltd (b)		648,085
	40,100	Finning International Inc		864,073
	100,000	First Quantum Minerals Ltd		1,769,521
	12,200	iA Financial Corp Inc		655,355
	39,300	Imperial Oil Ltd (c)		1,927,272
	11,600	Imperial Oil Ltd (a) (c)		569,335
	96,100	Interfor Corp *		2,364,176
	17,309	International Petroleum Corp *		169,987
	439,600	Ivanhoe Mines Ltd – Class A* (a)		2,825,008
	110,972	Largo Inc * (a)		755,389
	101,700	Li-Cycle Holdings Corp * (b)		733,257
	600	Loblaw Cos Ltd (b)		53,026
	92,300	Magna International Inc (a)		5,332,014
	195,400	Manulife Financial Corp (b) (c)		3,380,278
	106,600	Manulife Financial Corp (b) (c)		1,843,114
	5,400	Morguard North American Residential Real Estate Investment Trust		68,705
	5,600	National Bank of Canada		370,491
	118,342	Nutrien Ltd (b)		10,860,245
	49,000	Onex Corp		2,423,231
	39,100	Parex Resources Inc		625,493
	71,200	Power Corp of Canada (b)		1,830,756
	39,300	PrairieSky Royalty Ltd (a)		535,630
	169,500	Quebecor Inc – Class B		3,661,412
	9,500	Russel Metals Inc (a)		205,429
	610,271	Shaw Communications Inc – Class B		15,650,000
	24,600	Sleep Country Canada Holdings Inc (a)		496,364
	7,500	Spin Master Corp *		263,258
	72,000	Tamarack Valley Energy Ltd (a)		229,703
	351,500	Teck Resources Ltd – Class B* (c)		11,904,458
	171,800	Teck Resources Ltd – Class B (c)		5,815,430
	18,900	Topaz Energy Corp		297,599
	35,600	Uni-Select Inc *		1,006,997
	42,100	Vermilion Energy Inc		1,124,491
	3,400	Wajax Corp		54,934
	69,000	West Fraser Timber Co Ltd (c)		6,173,145
	12,400	West Fraser Timber Co Ltd (c)		1,112,280
	1,399,974	Yamana Gold Inc		6,173,885
		Total Canada		126,047,241
		Chile — 0.1%
	160,921	Aguas Andinas SA – Class A		35,253
	2,501,415	Banco de Chile		237,317

Shares		Description	Value ($)
		Chile — continued
	3,384,206	Banco Santander Chile		135,935
	12,600	Banco Santander Chile ADR		202,104
	22,030	CAP SA		177,739
	288,483	Cencosud SA		403,313
	107,776	Cencosud Shopping SA		152,720
	37,700	Cia Cervecerias Unidas SA Sponsored ADR		412,061
	7,163,360	Colbun SA		698,552
	13,072	Empresas COPEC SA		112,758
	3,849,027	Enel Chile SA		126,347
	767,001	Falabella SA		1,807,427
	62,938	Inversiones La Construccion SA		245,783
		Total Chile		4,747,309
		China — 5.7%
	1,192,720	361 Degrees International Ltd *		609,455
	565,000	3SBio Inc		375,645
	64,000	7Road Holdings Ltd *		20,317
	272,000	Agile Group Holdings Ltd (a)		95,254
	453,600	Agricultural Bank of China Ltd – Class A		187,333
	30,392,280	Agricultural Bank of China Ltd – Class H		9,931,031
	22,000	AK Medical Holdings Ltd		19,075
	585,053	Alibaba Group Holding Ltd *		6,979,999
	18,282	Alibaba Group Holding Ltd Sponsored ADR * (b)		1,744,286
	200,500	A-Living Smart City Services Co Ltd		206,532
	224,500	Anhui Conch Cement Co Ltd – Class H		855,536
	56,600	Anhui Expressway Co Ltd – Class A		55,546
	46,000	Anhui Expressway Co Ltd – Class H		33,392
	63,320	ANTA Sports Products Ltd		762,527
	39,960	Autohome Inc – Class A (a)		353,214
	83,390	Autohome Inc ADR		2,969,518
	2,446,000	BAIC Motor Corp Ltd – Class H		673,328
	3,800	Baidu Inc – Class A*		67,832
	5,900	Baidu Inc Sponsored ADR * (b)		849,423
	2,483,596	Bank of China Ltd – Class A		1,093,941
	24,257,000	Bank of China Ltd – Class H		8,464,919
	12,429,416	Bank of Communications Co Ltd – Class H		7,081,893
	435,000	Beijing Enterprises Holdings Ltd		1,293,874
	52,000	Bosideng International Holdings Ltd		29,198
	141,220	BYD Electronic International Co Ltd (a)		373,121
	1,232,000	China BlueChemical Ltd – Class H		320,797
	10,150,000	China Cinda Asset Management Co Ltd – Class H		1,393,826
	369,500	China Coal Energy Co Ltd – Class A		533,401
	239,000	China Coal Energy Co Ltd – Class H		212,535
	4,193,893	China Communications Services Corp Ltd – Class H		1,800,843
	341,000	China Conch Venture Holdings Ltd		695,908
	309,600	China Construction Bank Corp – Class A		247,493
	18,093,513	China Construction Bank Corp – Class H		11,185,100
	2,419,480	China Dongxiang Group Co Ltd *		107,598
	327,000	China Education Group Holdings Ltd		284,875

59 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		China — continued
	5,532,000	China Energy Engineering Corp Ltd – Class H (a)		653,218
	3,218,000	China Everbright Environment Group Ltd		1,590,537
	3,410,200	China Feihe Ltd		2,822,472
	3,659,000	China Greenfresh Group Co Ltd (d)		1
	940,000	China High Speed Transmission Equipment Group Co Ltd *		531,423
	4,116,000	China Hongqiao Group Ltd		3,991,128
	1,162,480	China Lesso Group Holdings Ltd		1,381,726
	207,000	China Lilang Ltd		101,082
	1,147,925	China Medical System Holdings Ltd		1,698,906
	15,100	China Merchants Bank Co Ltd – Class A		76,414
	94,000	China Merchants Port Holdings Co Ltd		141,119
	1,388,000	China National Building Material Co Ltd – Class H		1,310,646
	348,000	China Oilfield Services Ltd – Class H		361,444
	355,520	China Oriental Group Co Ltd		65,497
	1,622,000	China Overseas Grand Oceans Group Ltd		765,770
	4,105,000	China Overseas Land & Investment Ltd		11,032,068
	3,751,293	China Petroleum & Chemical Corp – Class A		2,323,113
	21,924,000	China Petroleum & Chemical Corp – Class H		10,309,649
	14,948,000	China Railway Group Ltd – Class H		8,557,626
	629,000	China Railway Signal & Communication Corp Ltd – Class H		197,771
	3,194,320	China Reinsurance Group Corp – Class H		235,346
	32,000	China Resources Cement Holdings Ltd		19,725
	22,760	China Resources Gas Group Ltd		88,614
	358,640	China Resources Land Ltd		1,468,361
	3,229,500	China Resources Pharmaceutical Group Ltd		2,212,696
	652,994	China Shenhua Energy Co Ltd – Class A		2,867,441
	515,000	China Shenhua Energy Co Ltd – Class H		1,615,180
	150,000	China Shineway Pharmaceutical Group Ltd		115,063
	2,324,000	China South City Holdings Ltd * (a)		146,113
	2,190,000	China State Construction International Holdings Ltd		2,528,686
	48,995	China Suntien Green Energy Corp Ltd – Class A		80,714
	115,000	China Suntien Green Energy Corp Ltd – Class H		51,577
	6,108,000	China Traditional Chinese Medicine Holdings Co Ltd *		2,633,973
	394,000	China Water Affairs Group Ltd		358,886
	7,358	China Yuchai International Ltd		61,292
	78,000	China Yuhua Education Corp Ltd – Class L* (a)		12,257
	4,237,600	China Zhongwang Holdings Ltd * (a) (e)		907,051
	6,673,000	CITIC Ltd		6,879,051
	7,508,000	CSPC Pharmaceutical Group Ltd		7,616,293
	3,780,000	Dongfeng Motor Group Co Ltd – Class H*		2,396,701
	9,000	Dongyue Group Ltd		10,101
	41,660	ENN Energy Holdings Ltd		605,212
	1,505,500	Fosun International Ltd		1,111,257
	142,040	Greenland Hong Kong Holdings Ltd		14,783
	116,080	Guangdong Investment Ltd		106,347

Shares		Description	Value ($)
		China — continued
	126,000	Guangzhou Automobile Group Co Ltd – Class H		108,336
	168,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		403,514
	273,200	Guangzhou R&F Properties Co Ltd – Class H* (a)		56,508
	135,400	Haier Smart Home Co Ltd – Class H		442,352
	43,200	Hello Group Inc Sponsored ADR		222,480
	67,000	Hengan International Group Co Ltd		320,629
	253,644	Hisense Home Appliances Group Co Ltd – Class A		469,413
	244,000	Hisense Home Appliances Group Co Ltd – Class H		262,272
	114,000	Huabao International Holdings Ltd * (a)		58,294
	622,888	Industrial & Commercial Bank of China Ltd – Class A		395,266
	2,557,696	Industrial & Commercial Bank of China Ltd – Class H		1,299,419
	1,753,208	Inner Mongolia Eerduosi Resources Co Ltd – Class A		4,473,382
	174,700	Inner Mongolia Yitai Coal Co Ltd – Class H		254,083
	689,000	Kingboard Holdings Ltd		2,175,654
	155,760	Kingboard Laminates Holdings Ltd		148,581
	522,000	KWG Group Holdings Ltd		93,913
	34,000	KWG Living Group Holdings Ltd		6,031
	228,000	Lee & Man Paper Manufacturing Ltd		81,845
	370,400	Legend Holdings Corp – Class H		420,724
	7,900,000	Lenovo Group Ltd		6,506,533
	153,900	Livzon Pharmaceutical Group Inc – Class H		434,860
	1,742,640	Lonking Holdings Ltd		295,068
	2,177,000	Metallurgical Corp of China Ltd – Class H		412,316
	296,000	MMG Ltd *		80,974
	55,000	NetDragon Websoft Holdings Ltd		119,667
	52,800	NetEase Inc		942,870
	22,432	NetEase Inc ADR (b)		1,985,456
	2,080,000	Nexteer Automotive Group Ltd (a)		1,545,721
	1,810,074	PetroChina Co Ltd – Class A		1,405,172
	8,262,000	PetroChina Co Ltd – Class H		3,841,974
	79,800	PetroChina Co Ltd ADR		3,689,154
	9,291,720	PICC Property & Casualty Co Ltd – Class H		10,050,206
	131,000	Ping An Insurance Group Co of China Ltd – Class A		829,421
	101,500	Ping An Insurance Group Co of China Ltd – Class H		596,987
	712,000	Poly Property Group Co Ltd		144,718
	1,722,826	Postal Savings Bank of China Co Ltd – Class A		1,123,495
	320,000	Powerlong Real Estate Holdings Ltd		40,130
	98,000	Road King Infrastructure Ltd		51,256
	526,894	Shaanxi Coal Industry Co Ltd – Class A		1,679,997
	21,500	Shandong Publishing & Media Co Ltd – Class A		20,786
	1,905,600	Shanghai Pharmaceuticals Holding Co Ltd – Class H		2,770,347

See accompanying notes to the financial statements. 60

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		China — continued
	3,118,000	Shimao Group Holdings Ltd (a) (e)		1,755,904
	62,000	Shougang Fushan Resources Group Ltd		19,666
	1,787,500	Sino-Ocean Group Holding Ltd		260,899
	1,109,040	Sinopec Engineering Group Co Ltd – Class H		495,485
	2,101,200	Sinopharm Group Co Ltd – Class H		4,681,038
	1,008,940	Sinotruk Hong Kong Ltd		1,005,947
	4,190,000	Skyworth Group Ltd		2,081,744
	166,000	SSY Group Ltd		78,170
	60,000	Sun King Technology Group Ltd *		17,029
	5,905,000	Sunac China Holdings Ltd * (a) (e)		3,445,781
	467,000	Sunac Services Holdings Ltd (a)		140,809
	23,272	Sunny Optical Technology Group Co Ltd		317,720
	35,000	TangShan Port Group Co Ltd – Class A		13,273
	936,000	TCL Electronics Holdings Ltd *		447,161
	221,937	Tencent Holdings Ltd		9,172,822
	15,092	Tencent Holdings Ltd ADR (b)		623,300
	844,000	Tianjin Port Development Holdings Ltd		63,320
	674,000	Tianneng Power International Ltd (a)		717,067
	26,000	Topsports International Holdings Ltd		20,522
	452,032	Vipshop Holdings Ltd ADR *		5,248,092
	71,000	Want Want China Holdings Ltd		50,014
	21,100	Weifu High-Technology Group Co Ltd – Class A		56,208
	93,200	Western Mining Co Ltd – Class A		143,189
	93,500	Xiabuxiabu Catering Management China Holdings Co Ltd		44,024
	30,193	Xinhua Winshare Publishing and Media Co Ltd – Class A		47,031
	579,400	Xinjiang Goldwind Science & Technology Co Ltd – Class H		863,400
	72,000	Xtep International Holdings Ltd		99,913
	412,000	Yadea Group Holdings Ltd		785,847
	96,700	Yankuang Energy Group Co Ltd – Class A		671,188
	178,000	Yanzhou Coal Mining Co Ltd – Class H (a)		704,597
	222,000	Zhejiang Expressway Co Ltd – Class H		168,969
	28,850	Zhengzhou Coal Mining Machinery Group Co Ltd – Class A		58,084
	160,500	Zhongsheng Group Holdings Ltd		758,903
		Total China		229,279,815
		Colombia — 0.0%
	1,610,418	Ecopetrol SA		820,662
		Czech Republic — 0.0%
	193,327	Moneta Money Bank AS		613,381
	627	Philip Morris CR AS		425,173
		Total Czech Republic		1,038,554
		Denmark — 0.5%
	883	AP Moller – Maersk A/S – Class A (b)		2,062,783
	1,973	AP Moller – Maersk A/S – Class B (b)		4,733,529
	416,413	Danske Bank A/S		5,560,321
	7,295	Matas A/S		74,812

Shares		Description	Value ($)
		Denmark — continued
	61,033	Pandora A/S		3,666,655
	43,795	Scandinavian Tobacco Group A/S		656,327
	86,992	Vestas Wind Systems A/S (b)		2,176,635
		Total Denmark		18,931,062
		Egypt — 0.0%
	314,767	Commercial International Bank Egypt SAE		623,405
	713,067	Eastern Co SAE		361,258
	203,341	Fawry for Banking & Payment Technology Services SAE *		38,672
	63,170	Medinet Nasr Housing *		9,646
	34,352	Misr Fertilizers Production Co SAE		205,146
		Total Egypt		1,238,127
		Finland — 0.5%
	22,296	Kemira Oyj		268,372
	13,782	Kesko Oyj		289,940
	51,268	Metsa Board Oyj – Class B		440,761
	134,930	Neste Oyj		6,657,016
	1,274,148	Nokia Oyj (b)		6,420,897
	431,682	Outokumpu Oyj		1,731,027
	5,821	Sanoma Oyj		79,393
	158,561	Stora Enso Oyj – R Shares (b)		2,360,335
		Total Finland		18,247,741
		France — 1.8%
	50,372	ALD SA (b)		548,268
	841	Alten SA (b)		103,402
	23,836	APERAM SA		643,365
	207,856	ArcelorMittal SA		4,933,277
	12,041	Arkema SA		1,016,521
	1,788	Axway Software SA		37,703
	113,208	BNP Paribas SA		5,260,797
	1,836	Boiron SA		85,457
	909	Caisse Regionale de Credit Agricole Mutuel Nord de France		15,989
	113,255	Cie de Saint-Gobain (b)		4,561,656
	126,641	Coface SA *		1,266,344
	123,666	Derichebourg SA		695,681
	8,440	Eramet SA		715,573
	694	Groupe Crit (a)		41,567
	989	HEXAOM		28,110
	44,477	Ipsen SA		4,262,547
	33,100	IPSOS		1,503,766
	10,550	Kering SA (b)		5,293,488
	12,957	LVMH Moet Hennessy Louis Vuitton SE (b)		8,360,722
	4,309	Mersen SA		127,433
	66,550	Metropole Television SA		821,506
	127,055	Publicis Groupe SA		6,203,498
	29,439	Quadient SA		498,664
	5,563	Rexel SA *		90,354
	2,190	Rothschild & Co		77,969

61 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		France — continued
	86,083	Safran SA (b)		8,776,547
	27,176	Sanofi (b)		2,221,633
	222,252	SES SA, ADR – Class A		1,560,286
	9,901	Societe BIC SA		563,232
	277,172	Societe Generale SA		6,110,370
	81,400	STMicroelectronics NV		2,840,860
	1,570	Synergie SE		43,198
	48,884	Technip Energies NV		611,180
	154,673	Television Francaise 1		980,906
	41,367	TotalEnergies SE (b) (c)		2,094,398
	2,003	TotalEnergies SE (c)		102,562
	46,029	Veolia Environnement SA (b)		1,025,867
		Total France		74,124,696
		Germany — 0.9%
	7,456	1&1 AG		119,835
	2,985	Allianz SE (Registered) (b)		504,574
	279	Amadeus Fire AG (b)		27,833
	17,093	Aurubis AG		1,034,921
	54,144	Bayer AG (Registered) (b)		2,863,567
	57,233	Bayerische Motoren Werke AG		4,216,850
	57,385	Beiersdorf AG		5,792,442
	56	Cewe Stiftung & Co KGaA (b)		4,428
	26,638	Commerzbank AG *		177,247
	94,807	Deutsche Pfandbriefbank AG		818,201
	1,918	Draegerwerk AG & Co KGaA		77,531
	4,253	Elmos Semiconductor SE		180,422
	69,350	Fresenius SE & Co KGaA (b)		1,715,600
	4,837	Hamburger Hafen und Logistik AG (b)		59,157
	82,865	HeidelbergCement AG		3,741,974
	3,462	Henkel AG & Co KGaA (b)		216,511
	8,831	Hornbach Holding AG & Co KGaA		622,903
	209,497	Kloeckner & Co SE		1,890,583
	83,129	Mercedes-Benz Group AG (b)		4,660,685
	22,406	Merck KGaA (b)		3,848,902
	35,127	ProSiebenSat.1 Media SE		271,528
	5,191	RTL Group SA *		192,871
	55,620	Salzgitter AG		1,367,393
	23,961	SAP SE (b)		2,040,743
	3,559	Traton SE		50,328
	6,851	Volkswagen AG (b)		1,267,233
	813	Wuestenrot & Wuerttembergische AG		13,239
		Total Germany		37,777,501
		Greece — 0.0%
	9,371	Hellenic Telecommunications Organization SA		149,082
	46,623	JUMBO SA		666,511
	7,777	Mytilineos SA		121,614
		Total Greece		937,207
		Hong Kong — 0.8%
	7,800	AIA Group Ltd (b)		75,046

Shares		Description	Value ($)
		Hong Kong — continued
	333,500	ASMPT Ltd		2,583,094
	197,000	Bank of East Asia Ltd (The)		248,201
	133,500	BOC Hong Kong Holdings Ltd		459,480
	130,000	Chow Sang Sang Holdings International Ltd		146,358
	983,000	CITIC Telecom International Holdings Ltd		339,396
	165,500	CK Asset Holdings Ltd (b)		1,117,086
	1,098,500	CK Hutchison Holdings Ltd		7,093,731
	9,000	CK Infrastructure Holdings Ltd – Class L (b)		54,729
	1,170,000	CSI Properties Ltd		26,043
	274,400	Dah Sing Banking Group Ltd		213,079
	78,800	Dah Sing Financial Holdings Ltd		209,789
	1,256,000	First Pacific Co Ltd		484,356
	733,827	Galaxy Entertainment Group Ltd		4,101,860
	254,000	Giordano International Ltd		59,103
	30,000	Hang Lung Group Ltd		50,741
	63,500	Health & Happiness H&H International Holdings Ltd		84,863
	800,000	HKT Trust & HKT Ltd – Class SS (b)		1,073,264
	662,000	IGG Inc		284,590
	243,500	Johnson Electric Holdings Ltd		287,591
	443,000	K Wah International Holdings Ltd		167,067
	74,500	Kerry Logistics Network Ltd		163,792
	240,000	Kerry Properties Ltd		553,330
	65,000	Luk Fook Holdings International Ltd		166,157
	144,000	NWS Holdings Ltd		138,529
	38,500	Orient Overseas International Ltd (b)		1,073,185
	644,000	Pacific Textiles Holdings Ltd		241,847
	426,000	PAX Global Technology Ltd		407,190
	1,029,000	PCCW Ltd		515,125
	406,500	Power Assets Holdings Ltd (b)		2,431,360
	636,000	Shun Tak Holdings Ltd *		105,915
	350,000	Singamas Container Holdings Ltd		32,422
	252,000	Sino Land Co Ltd (b)		368,506
	199,000	SITC International Holdings Co Ltd		504,630
	126,000	SmarTone Telecommunications Holdings Ltd		67,428
	246,000	Sun Hung Kai & Co Ltd		113,377
	101,500	Sun Hung Kai Properties Ltd (b)		1,192,444
	142,500	Swire Pacific Ltd – Class A		985,641
	40,000	TAI Cheung Holdings Ltd		22,858
	137,500	Texhong Textile Group Ltd		129,188
	414,000	VPower Group International Holdings Ltd – Class H		42,972
	632,000	VSTECS Holdings Ltd		417,827
	162,700	VTech Holdings Ltd		1,106,430
	4,992,500	WH Group Ltd		3,401,505
	274,500	Yue Yuen Industrial Holdings Ltd		409,287
		Total Hong Kong		33,750,412
		Hungary — 0.2%
	341,691	MOL Hungarian Oil & Gas Plc		2,354,371
	194,442	OTP Bank Nyrt		4,135,199

See accompanying notes to the financial statements. 62

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Hungary — continued
	12,883	Richter Gedeon Nyrt		259,748
		Total Hungary		6,749,318
		India — 2.5%
	402,891	Arvind Ltd *		488,371
	55,611	Asian Paints Ltd		2,346,266
	16,736	Aurobindo Pharma Ltd		113,953
	190,826	Axis Bank Ltd		1,778,401
	15,336	Bajaj Consumer Care Ltd		30,841
	1	Balrampur Chini Mills Ltd		4
	24,956	Bharat Electronics Ltd		95,481
	56,730	Bharat Petroleum Corp Ltd		232,636
	343,628	Brightcom Group Ltd		174,390
	46	Chambal Fertilisers and Chemicals Ltd		200
	11,567	Cipla Ltd		149,875
	5,608	Clean Science & Technology Ltd		120,457
	1,239,282	Coal India Ltd		3,618,081
	1,951	Coromandel International Ltd		25,637
	8	Cummins India Ltd		119
	129,948	Dhampur Bio Organics Ltd * (e)		55,359
	17,305	Dhampur Sugar Mills Ltd		49,760
	26,184	Engineers India Ltd		22,133
	62,406	Exide Industries Ltd		124,580
	7,780	Finolex Industries Ltd		14,718
	2,841,115	GAIL India Ltd		4,827,770
	58,786	Glenmark Pharmaceuticals Ltd		272,123
	21,179	Grasim Industries Ltd		440,441
	20,626	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		191,731
	369,926	Gujarat State Fertilizers & Chemicals Ltd		724,199
	4,718	Gujarat State Petronet Ltd		14,187
	214,560	HCL Technologies Ltd		2,490,145
	13,306	HDFC Asset Management Co Ltd		342,471
	74,215	HDFC Bank Ltd		1,358,258
	11,035	Hero MotoCorp Ltd		389,950
	784,190	Hindalco Industries Ltd		4,243,444
	15,815	Hindustan Aeronautics Ltd		452,181
	541,962	Hindustan Petroleum Corp Ltd		1,641,272
	69,360	Hindustan Zinc Ltd		246,574
	54,230	Housing Development Finance Corp Ltd		1,642,238
	273,550	ICICI Bank Ltd		3,005,317
	79	Indiabulls Housing Finance Ltd *		133
	1,097,418	Indian Oil Corp Ltd		979,920
	54,748	Infosys Ltd		1,007,004
	167,000	Infosys Ltd Sponsored ADR (b)		3,056,100
	2,680,022	ITC Ltd		10,716,800
	8,464	Jindal Stainless Hisar Ltd *		25,759
	366,696	Karnataka Bank Ltd (The)		341,460
	37,830	LIC Housing Finance Ltd		192,243
	19,226	Mahanagar Gas Ltd		208,507
	35,445	Mahindra & Mahindra Ltd		575,427
	19,623	Manappuram Finance Ltd		25,756
	2,034	Maruti Suzuki India Ltd		228,640
	52,816	Mindtree Ltd		2,157,953

Shares		Description	Value ($)
		India — continued
	337,748	National Aluminium Co Ltd		336,541
	4,647	NBCC India Ltd		1,982
	106,829	NCC Ltd		92,686
	69,147	NHPC Ltd		32,968
	1,518,894	NMDC Ltd		2,310,921
	1,573,564	NTPC Ltd		3,220,665
	8,734,103	Oil & Natural Gas Corp Ltd		15,086,997
	192,475	Oil India Ltd		463,698
	833	Oracle Financial Services Software Ltd		32,952
	214	Page Industries Ltd		136,361
	188,289	Petronet LNG Ltd		518,857
	918,655	Power Finance Corp Ltd		1,373,950
	494,441	Power Grid Corp of India Ltd		1,415,003
	14,047	Prestige Estates Projects Ltd		80,024
	97,251	PTC India Ltd		102,726
	45,714	Rajesh Exports Ltd		337,355
	1,396,831	REC Ltd		1,894,891
	182,397	Redington India Ltd		341,345
	16,080	Reliance Industries Ltd		527,590
	1,299	Sharda Cropchem Ltd		8,393
	1,368	Sobha Ltd		11,835
	511,633	Sun Pharmaceutical Industries Ltd		5,700,664
	29,114	Sun TV Network Ltd		181,122
	1	Supreme Industries Ltd		25
	90,923	Tata Consultancy Services Ltd		3,624,855
	3,936,666	Tata Steel Ltd		5,292,697
	73,172	Titan Co Ltd		2,361,984
	3,509	Triveni Engineering & Industries Ltd		10,256
	496,557	TV18 Broadcast Ltd *		251,620
	128,580	Vardhman Textiles Ltd		532,573
	248,689	Vedanta Ltd		830,837
	80,148	Welspun Corp Ltd		224,876
		Total India		98,578,514
		Indonesia — 0.5%
	6,045,000	Adaro Energy Indonesia Tbk PT		1,441,108
	14,766,100	Bank Central Asia Tbk PT		8,154,178
	3,126,692	Bank Mandiri Persero Tbk PT		1,860,647
	124,400	Bank Negara Indonesia Persero Tbk PT		71,352
	3,007,300	Bank Pembangunan Daerah Jawa Timur Tbk PT		145,869
	14,736,500	Bank Rakyat Indonesia Persero Tbk PT		4,303,485
	3,073,800	Bukit Asam Tbk PT		879,506
	475,200	Indika Energy Tbk PT *		91,802
	315,300	Indo Tambangraya Megah Tbk PT		835,160
	120,300	Indocement Tunggal Prakarsa Tbk PT		76,505
	668,000	Indofood Sukses Makmur Tbk PT		280,236
	2,963,500	Kalbe Farma Tbk PT		335,109
	5,089,000	Media Nusantara Citra Tbk PT		313,411
	30,353,400	Panin Financial Tbk PT		780,884
	1,865,200	Perusahaan Gas Negara Tbk PT		230,757
	2,104,468	Telkom Indonesia Persero Tbk PT		644,453

63 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	300,100	United Tractors Tbk PT		683,348
		Total Indonesia		21,127,810
		Ireland — 0.4%
	37,163	AIB Group Plc		84,301
	754,283	Bank of Ireland Group Plc		4,647,551
	43,296	Glanbia Plc		550,989
	7,783	Kingspan Group Plc		440,664
	38,104	Origin Enterprises Plc		142,839
	26,839	Permanent TSB Group Holdings Plc *		41,152
	194,970	Ryanair Holdings Plc *		2,415,520
	52,276	Ryanair Holdings Plc Sponsored ADR * (b)		3,800,988
	91,172	Smurfit Kappa Group Plc (c)		3,056,958
	9,692	Smurfit Kappa Group Plc (c)		324,614
		Total Ireland		15,505,576
		Israel — 0.5%
	107,889	Bank Leumi Le-Israel BM		1,140,518
	5,549	Delek Group Ltd *		963,784
	5,711	Equital Ltd *		212,101
	9,060	Naphtha Israel Petroleum Corp Ltd *		54,547
	547,729	Oil Refineries Ltd		235,192
	709,200	Teva Pharmaceutical Industries Ltd Sponsored ADR * (b)		6,411,168
	137,404	Tower Semiconductor Ltd *		6,374,172
	155,100	ZIM Integrated Shipping Services Ltd		5,597,559
		Total Israel		20,989,041
		Italy — 0.8%
	25,505	ACEA SPA (b)		305,415
	44,306	Anima Holding SPA		150,559
	51,659	Arnoldo Mondadori Editore SPA		84,337
	51,555	Banca IFIS SPA		615,602
	96,830	Banco BPM SPA		240,413
	60,403	Credito Emiliano SPA		349,202
	86,483	Eni SPA		1,021,617
	4,000	Eni SPA – Sponsored ADR		94,480
	16,855	Esprinet SPA		114,652
	163,061	EXOR NV		9,817,109
	100,916	IMMSI SPA (a)		38,787
	419,981	Italgas SPA (b)		2,160,250
	466,787	Leonardo SPA		3,820,091
	719,492	MFE-MediaForEurope NV – Class A*		305,209
	1,097	Prima Industrie SPA		26,993
	1,661	Sabaf SPA		32,978
	344,796	Stellantis NV (b)		4,592,865
	18,530,843	Telecom Italia SPA * (a)		3,822,154
	564,587	Telecom Italia SPA – RSP *		111,969
	96,961	Terna - Rete Elettrica Nazionale (b)		689,316
	10,058	Unieuro SPA (a)		114,370
	587,924	Unipol Gruppo SPA		2,461,985
		Total Italy		30,970,353

Shares		Description	Value ($)
		Japan — 12.3%
	34,500	ADEKA Corp		582,164
	2,600	Advantest Corp (b)		147,252
	513,000	Aeon Mall Co Ltd (a)		6,118,727
	43,681	AGC Inc (b)		1,482,487
	15,500	Aichi Corp		92,681
	51,100	Aisin Corp		1,519,441
	266,800	Amano Corp		4,935,463
	17,600	AOKI Holdings Inc		88,976
	122,900	Arcs Co Ltd (a)		1,797,042
	823,000	Asahi Kasei Corp		6,014,309
	18,900	Astellas Pharma Inc (b)		267,960
	9,100	Bando Chemical Industries Ltd		65,949
	175,700	Brother Industries Ltd		3,362,460
	5,600	Canon Electronics Inc		65,285
	223,400	Canon Inc (b)		5,350,273
	4,100	Canon Inc Sponsored ADR (b)		97,908
	23,700	Canon Marketing Japan Inc		537,438
	4,800	Central Glass Co Ltd		115,811
	4,000	Chiyoda Integre Co Ltd		62,131
	276,100	Chugoku Marine Paints Ltd (a)		1,750,668
	205,100	Citizen Watch Co Ltd		876,315
	9,600	CONEXIO Corp		91,037
	108,200	Dai Nippon Printing Co Ltd		2,277,484
	13,700	Dai Nippon Toryo Co Ltd		73,220
	4,000	Dai-Dan Co Ltd		63,898
	4,800	Daiichi Jitsugyo Co Ltd		131,918
	2,800	Daito Pharmaceutical Co Ltd		53,418
	119,300	Daiwa House Industry Co Ltd (b)		2,667,216
	657,400	Daiwabo Holdings Co Ltd		9,254,319
	271,500	Denka Co Ltd		6,504,074
	5,200	Dentsu Group Inc (b)		167,466
	100	Dowa Holdings Co Ltd		3,769
	25,700	Ebara Corp		973,558
	9,200	EDION Corp (a)		79,140
	5,000	Eizo Corp		136,097
	61,700	ENEOS Holdings Inc		233,160
	21,300	Exedy Corp		274,445
	476,300	EXEO Group Inc		7,307,590
	202,800	Ezaki Glico Co Ltd		5,276,782
	8,200	FJ Next Co Ltd		60,650
	376,200	Fuji Corp		5,472,032
	46,100	Fuji Electric Co Ltd		1,991,619
	3,800	Fuji Pharma Co Ltd		27,940
	51,400	FUJIFILM Holdings Corp (b)		2,609,413
	27,500	Fukuoka Financial Group Inc		491,416
	6,800	Furuno Electric Co Ltd (a)		54,747
	7,800	Furyu Corp		56,891
	8,400	G-7 Holdings Inc (a)		90,066
	236,400	H.U. Group Holdings Inc		4,801,566
	21,700	Hanwa Co Ltd		536,829
	688,994	Haseko Corp		7,895,345
	10,800	Hazama Ando Corp		66,981
	5,900	Heiwado Co Ltd		84,331
	800	Hirose Electric Co Ltd		113,358

See accompanying notes to the financial statements. 64

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	2,400	Hochiki Corp		23,135
	123,500	Hogy Medical Co Ltd		3,088,770
	483,200	Honda Motor Co Ltd (b)		12,863,878
	17,400	Honda Motor Co Ltd Sponsored ADR (b)		461,448
	42,000	Hosiden Corp		477,192
	3,400	Hosokawa Micron Corp		64,184
	5,900	Hyakujushi Bank Ltd (The)		71,984
	70,500	Idemitsu Kosan Co Ltd (a)		1,858,891
	43,200	Iida Group Holdings Co Ltd (a)		658,060
	39,900	Inabata & Co Ltd		698,188
	1,272,200	Inpex Corp		14,623,465
	44,700	Isuzu Motors Ltd		555,160
	409,200	ITOCHU Corp (b)		11,261,479
	1,300	Itochu-Shokuhin Co Ltd		47,577
	58,500	Itoham Yonekyu Holdings Inc		282,906
	25,000	Itoki Corp		78,582
	15,600	Jaccs Co Ltd		429,001
	25,400	Japan Aviation Electronics Industry Ltd		424,769
	9,800	Japan Petroleum Exploration Co Ltd		279,206
	304,700	Japan Tobacco Inc (b)		5,162,659
	356,300	JFE Holdings Inc		3,827,928
	56,100	JVCKenwood Corp		82,351
	11,500	Kaga Electronics Co Ltd		340,418
	279,700	Kajima Corp		2,943,153
	13,400	Kamei Corp		105,423
	19,600	Kandenko Co Ltd		117,943
	13,200	Kaneka Corp		354,048
	285,800	Kanematsu Corp		3,091,781
	316,600	KDDI Corp (b)		9,688,316
	469,700	Kirin Holdings Co Ltd (b)		7,732,092
	17,400	Kitz Corp		101,454
	14,579	Kohnan Shoji Co Ltd (a)		361,380
	40,300	Komeri Co Ltd		756,888
	193,800	Konoike Transport Co Ltd (b)		1,839,193
	1,700	Krosaki Harima Corp		57,564
	494,800	K’s Holdings Corp		4,558,800
	2,400	Kureha Corp		161,167
	6,600	Kyokuto Kaihatsu Kogyo Co Ltd		64,768
	7,600	Kyosan Electric Manufacturing Co Ltd		23,364
	277,300	Kyudenko Corp		5,582,312
	11,400	Lintec Corp		189,997
	28,500	Macnica Holdings Inc		611,509
	230,500	Macromill Inc		1,747,880
	271,500	Mandom Corp		2,920,333
	346,700	Marubeni Corp (b)		3,613,405
	288,700	Maruichi Steel Tube Ltd		6,154,493
	5,400	Maruzen Showa Unyu Co Ltd		123,308
	256,100	Maxell Ltd		2,716,314
	17,000	MCJ Co Ltd		118,177
	243,700	Mebuki Financial Group Inc		467,068
	1,600	Melco Holdings Inc		38,217
	235,400	Mitsubishi Corp (b)		7,707,143
	50,000	Mitsubishi Materials Corp		746,251
	5,300	Mitsubishi Research Institute Inc		158,665

Shares		Description	Value ($)
		Japan — continued
	8,000	Mitsubishi Shokuhin Co Ltd		196,367
	987,800	Mitsubishi UFJ Financial Group Inc (b)		5,120,703
	11,100	Mitsuboshi Belting Ltd (a)		255,174
	66,500	Mitsui & Co Ltd (b)		1,560,697
	12,600	Mitsui DM Sugar Holdings Co Ltd		169,569
	170,300	Mitsui OSK Lines Ltd (b)		4,436,927
	9,000	Mitsui-Soko Holdings Co Ltd (b)		217,531
	12,500	Modec Inc *		129,674
	182,900	Morinaga & Co Ltd		5,224,200
	193,500	MS&AD Insurance Group Holdings Inc		5,773,251
	13,800	MTI Ltd (a)		50,850
	3,700	Nagase & Co Ltd		53,098
	213,400	NEC Corp (b)		7,783,051
	166,000	NGK Spark Plug Co Ltd		3,405,930
	252,500	NH Foods Ltd		7,227,865
	31,900	Nichias Corp		550,896
	11,700	Nichiha Corp		233,155
	8,400	Nichireki Co Ltd		82,106
	239,600	Nikon Corp		2,735,085
	5,300	Nippn Corp		59,777
	4,200	Nippon Densetsu Kogyo Co Ltd		54,041
	6,100	Nippon Soda Co Ltd		201,713
	191,000	Nippon Steel Corp (b)		3,017,056
	7,600	Nippon Steel Trading Corp		292,408
	106,400	Nippon Suisan Kaisha Ltd		435,394
	454,800	Nippon Telegraph & Telephone Corp (b)		12,327,023
	102,200	Nippon Television Holdings Inc		868,454
	18,600	Nippon Yusen KK (b)		1,418,699
	7,100	Nisshin Oillio Group Ltd (The)		166,168
	10,900	Nisshinbo Holdings Inc		84,350
	3,800	Nissin Corp		50,631
	19,500	Nissin Electric Co Ltd		207,808
	4,800	Nittetsu Mining Co Ltd		212,563
	8,900	Nitto Kogyo Corp (a)		164,186
	20,600	Nojima Corp		415,031
	11,700	Nomura Real Estate Holdings Inc		287,444
	3,800	Noritake Co Ltd		114,217
	807,400	Obayashi Corp		5,584,453
	25,800	Organo Corp		1,716,109
	97,800	ORIX Corp (b)		1,607,575
	8,200	Osaka Soda Co Ltd (a)		222,564
	7,700	Osaki Electric Co Ltd		29,072
	274,100	Pacific Industrial Co Ltd		2,134,186
	1,111,900	Penta-Ocean Construction Co Ltd		5,867,856
	8,200	Prima Meat Packers Ltd		127,991
	8,000	Proto Corp		64,201
	5,400	Raito Kogyo Co Ltd		71,711
	45,700	Renesas Electronics Corp * (b)		432,713
	84,600	Rohm Co Ltd		6,329,600
	43,000	San-A Co Ltd		1,284,119
	21,600	Sanki Engineering Co Ltd		255,138
	225,000	Sankyu Inc (b)		6,920,386
	131,100	Sawai Group Holdings Co Ltd		3,874,364
	106,500	Secom Co Ltd (b)		6,785,031

65 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	31,200	Sega Sammy Holdings Inc		463,158
	7,200	Seikitokyu Kogyo Co Ltd (a)		39,248
	148,500	Seiko Epson Corp		2,333,501
	21,100	Sekisui Chemical Co Ltd		287,663
	443,300	Sekisui House Ltd		7,538,150
	7,500	Sekisui Jushi Corp		92,737
	30,000	Shimamura Co Ltd		2,719,202
	674,600	Shimizu Corp		3,699,144
	6,900	Shin-Etsu Polymer Co Ltd		66,018
	17,600	Shinmaywa Industries Ltd		134,131
	4,700	Shinnihon Corp		24,706
	16,900	Shizuoka Gas Co Ltd (b)		126,494
	2,000	Sinanen Holdings Co Ltd		55,024
	10,600	Sinko Industries Ltd		122,671
	84,900	SKY Perfect JSAT Holdings Inc		337,412
	311,920	Sojitz Corp (a)		5,248,345
	504,900	Stanley Electric Co Ltd		9,320,039
	21,500	Star Micronics Co Ltd		282,722
	167,100	Subaru Corp		3,037,443
	445,000	SUMCO Corp		6,039,928
	5,300	Sumitomo Bakelite Co Ltd		167,067
	2,321,300	Sumitomo Chemical Co Ltd		9,137,392
	369,800	Sumitomo Corp (b)		5,201,457
	52,700	Sumitomo Electric Industries Ltd		603,657
	117,900	Sumitomo Forestry Co Ltd		1,993,394
	294,800	Sumitomo Mitsui Financial Group Inc (a) (b)		8,892,129
	250,600	Sumitomo Mitsui Trust Holdings Inc		7,794,459
	1,500	Sumitomo Seika Chemicals Co Ltd		33,580
	14,500	Sumitomo Warehouse Co Ltd (The) (b)		227,537
	769,900	T&D Holdings Inc		8,408,241
	183,400	Tachi-S Co Ltd		1,611,176
	169,000	Taisei Corp		5,123,999
	300,100	Takara Holdings Inc		2,277,002
	75,800	Takara Leben Co Ltd		206,185
	435,800	Takuma Co Ltd		4,378,441
	7,500	Tamron Co Ltd		163,864
	7,200	TDK Corp		251,728
	625,900	Teijin Ltd		6,617,314
	321,300	THK Co Ltd		6,521,872
	186,700	Toho Holdings Co Ltd		2,472,801
	794,200	Tokai Carbon Co Ltd (a)		5,797,453
	2,500	Token Corp		159,235
	259,100	Tokyo Gas Co Ltd (b)		4,861,027
	197,500	Tokyo Seimitsu Co Ltd		6,578,973
	10,200	Tokyo Steel Manufacturing Co Ltd		108,071
	420,600	Toppan Inc		6,605,372
	255,800	Tosei Corp		2,555,209
	224,900	Tosoh Corp		2,907,920
	19,900	Towa Pharmaceutical Co Ltd		315,590
	69,300	Toyo Construction Co Ltd		427,535
	2,500	Toyo Ink SC Holdings Co Ltd		34,283
	54,400	Toyota Boshoku Corp		790,032
	140,500	Toyota Industries Corp		7,852,939
	34,800	Toyota Tsusho Corp (b)		1,218,283

Shares		Description	Value ($)
		Japan — continued
	2,700	Tsubakimoto Chain Co		62,391
	177,500	Tsumura & Co		4,063,236
	18,800	TV Asahi Holdings Corp		195,904
	16,200	Ulvac Inc		628,174
	10,600	Unipres Corp (a)		73,030
	6,400	Vital KSK Holdings Inc		30,773
	8,900	Wacoal Holdings Corp		142,234
	9,100	Warabeya Nichiyo Holdings Co Ltd		148,126
	23,800	YAMABIKO Corp		194,291
	142,400	Yamada Holdings Co Ltd		492,852
	88,000	Yamaha Motor Co Ltd		1,823,737
	23,300	Yamazen Corp		156,026
	19,300	Yellow Hat Ltd		249,178
	106,000	Yokogawa Bridge Holdings Corp		1,482,157
	7,200	Yuasa Trading Co Ltd		181,396
	181,500	Zenkoku Hosho Co Ltd		5,997,468
		Total Japan		496,840,239
		Kuwait — 0.0%
	14,744	Humansoft Holding Co KSC		165,605
		Luxembourg — 0.0%
	48,878	Ternium SA Sponsored ADR		1,505,931
		Malaysia — 0.1%
	5,700	Fraser & Neave Holdings Bhd		28,421
	83,000	IHH Healthcare Bhd		114,554
	247,800	Kossan Rubber Industries Bhd		55,760
	27,600	Kuala Lumpur Kepong Bhd		142,608
	87,800	Malayan Banking Bhd		175,644
	141,200	MISC Bhd		223,412
	498,100	Petronas Chemicals Group Bhd		977,008
	22,900	PPB Group Bhd		90,020
	136,500	Westports Holdings Bhd		105,860
		Total Malaysia		1,913,287
		Mexico — 1.0%
	2,046,800	America Movil SAB de CV – Series L		1,742,368
	83,148	America Movil SAB de CV – Class L Sponsored ADR		1,413,516
	75,540	Arca Continental SAB de CV		511,287
	303,400	Banco del Bajio SA		635,669
	81,800	Becle SAB de CV		166,714
	12,496	Coca-Cola Femsa SAB de CV Sponsored ADR		765,130
	1,136,700	Credito Real SAB de CV SOFOM ER * (e)		20,368
	100,800	El Puerto de Liverpool SAB de CV – Class C1		449,201
	1,272,710	Fomento Economico Mexicano SAB de CV		7,966,085
	1,000	GCC SAB de CV		5,746
	3,080	Gruma SAB de CV – Class B		33,672
	16,300	Grupo Aeroportuario del Centro Norte SAB de CV – Class B		106,676

See accompanying notes to the financial statements. 66

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Mexico — continued
	15,935	Grupo Aeroportuario del Sureste SAB de CV – Class B		335,682
	200	Grupo Aeroportuario del Sureste SAB de CV ADR		42,294
	1,928,015	Grupo Financiero Banorte SAB de CV – Class O		11,388,270
	44,600	Grupo Financiero Inbursa SAB de CV – Class O*		69,867
	29,255	Grupo Herdez SAB de CV – Series *		47,426
	2,861,293	Grupo Mexico SAB de CV – Series B		10,779,646
	100,744	Industrias Bachoco SAB de CV – Series B		398,246
	64,800	Megacable Holdings SAB de CV		135,927
	13,200	Orbia Advance Corp SAB de CV		24,898
	107,224	Qualitas Controladora SAB de CV		469,685
	123,300	Regional SAB de CV		666,609
	120,948	Unifin Financiera SAB de CV SOFOM ENR *		10,446
	884,156	Wal-Mart de Mexico SAB de CV		2,897,376
		Total Mexico		41,082,804
		Netherlands — 1.3%
	68,934	ABN AMRO Bank NV CVA GDR		662,241
	1,222,564	Aegon NV		5,463,667
	87,200	AerCap Holdings NV *		3,841,160
	30,398	ASR Nederland NV		1,240,671
	9,661	Brunel International NV		90,455
	16,510	Evander Gold Mines Ltd (e)		166
	59,053	ForFarmers NV (a)		166,428
	860	Hunter Douglas NV *		151,030
	308,754	ING Groep NV		2,706,056
	172,595	JDE Peet’s NV		5,322,009
	367,787	Koninklijke Ahold Delhaize NV (b)		10,116,647
	9,947	Koninklijke BAM Groep NV *		26,514
	134,114	Koninklijke Philips NV (b)		2,227,365
	144,599	NN Group NV		5,942,725
	96,638	Prosus NV *		5,973,142
	159,411	Randstad NV (a)		7,423,887
	17,532	SBM Offshore NV		244,832
	34,356	Signify NV		976,598
	6,252	Wolters Kluwer NV (b)		611,401
		Total Netherlands		53,186,994
		New Zealand — 0.1%
	209,361	Auckland International Airport Ltd * (b)		965,524
	715,618	Meridian Energy Ltd (b)		2,183,203
	166,472	Spark New Zealand Ltd		550,675
		Total New Zealand		3,699,402
		Norway — 0.5%
	101,831	Austevoll Seafood ASA		1,091,519
	28,264	BW LPG Ltd		183,724
	488,962	DNO ASA		694,726
	210,369	Elkem ASA		837,173
	231,250	Equinor ASA (b)		8,974,959

Shares		Description	Value ($)
		Norway — continued
	153,833	Europris ASA		922,890
	506,819	Norsk Hydro ASA		3,482,403
	30,565	SpareBank 1 Nord Norge		275,497
	39,755	SpareBank 1 SMN		484,040
	9,566	Stolt-Nielsen Ltd (b)		204,420
	16,806	TGS ASA		255,754
	15,354	Var Energi ASA		66,708
	105,915	Wallenius Wilhelmsen ASA (b)		596,295
		Total Norway		18,070,108
		Pakistan — 0.0%
	303,135	Fauji Fertilizer Co Ltd		144,158
	43,862	Pakistan Oilfields Ltd		84,847
		Total Pakistan		229,005
		Panama — 0.0%
	494,873	BAC Holding International Corp *		25,140
		Peru — 0.1%
	50,500	Southern Copper Corp		2,377,035
		Philippines — 0.0%
	34,100	GT Capital Holdings Inc		292,062
	128,872	Manila Electric Co		690,194
	5,535,024	Megaworld Corp		245,707
	223,000	Puregold Price Club Inc		135,798
		Total Philippines		1,363,761
		Poland — 0.3%
	19,122	Asseco Poland SA		291,517
	341,613	Bank Polska Kasa Opieki SA		4,725,911
	14,181	Budimex SA		762,037
	54,037	Cyfrowy Polsat SA		222,864
	33,831	Jastrzebska Spolka Weglowa SA *		341,743
	3,202	KGHM Polska Miedz SA		60,004
	22	LPP SA		39,614
	166,043	Polski Koncern Naftowy ORLEN SA		2,150,625
	1,395,702	Polskie Gornictwo Naftowe i Gazownictwo SA *		1,657,994
	16,451	Powszechna Kasa Oszczednosci Bank Polski SA *		82,067
	147,933	Powszechny Zaklad Ubezpieczen SA		885,501
		Total Poland		11,219,877
		Portugal — 0.5%
	76,822	Altri SGPS SA		433,462
	656,466	Banco Comercial Portugues SA – Class R		95,508
	693,975	EDP – Energias de Portugal SA		3,314,144
	1,054,100	Galp Energia SGPS SA		11,383,206
	48,975	Jeronimo Martins SGPS SA		1,085,861
	252,667	Navigator Co SA (The)		1,002,563
	191,052	NOS SGPS SA		704,222

67 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Portugal — continued
	190,336	REN - Redes Energeticas Nacionais SGPS SA		504,579
	1,582,903	Sonae SGPS SA		1,591,040
		Total Portugal		20,114,585
		Qatar — 0.1%
	623,753	Qatar National Bank QPSC		3,529,681
	160,925	Qatar National Cement Co QSC		218,790
		Total Qatar		3,748,471
		Russia — 0.2%
	10,221,010	Alrosa PJSC * (d) (f)		857,392
	376,870,000	Federal Grid Co Unified Energy System PJSC * (d)		42,265
	214,678	Fix Price Group Ltd GDR (d)		53,303
	415,363	Gazprom Neft PJSC (d)		200,215
	873,330	Gazprom PJSC * (d)		255,456
	2,025,633	Gazprom PJSC Sponsored ADR * (e)		1,191,866
	75,924	Globaltrans Investment Plc Sponsored GDR (Registered) (d)		28,314
	18,204,300	Inter RAO UES PJSC * (d)		67,057
	88,304	LSR Group PJSC * (d)		60,901
	4	LSR Group PJSC GDR (Registered) (d)		1
	192,855	LUKOIL PJSC (d)		944,989
	4,239,830	Magnitogorsk Iron & Steel Works PJSC * (d) (f)		142,166
	116,953	Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) * (e) (f)		51,275
	71,800	Mechel PJSC * (d)		10,258
	127,978	MMC Norilsk Nickel PJSC ADR (d)		238,400
	23,942	Mobile TeleSystems PJSC (d)		6,492
	37,065	Mobile TeleSystems PJSC ADR* (d)		20,217
	1,472,470	Moscow Exchange MICEX-RTS PJSC * (d)		152,920
	7,545,000	Mosenergo PJSC * (d)		15,875
	191,960	Novatek PJSC (d)		249,579
	3,493,400	Novolipetsk Steel PJSC * (d)		483,704
	6,115	PhosAgro PJSC * (e)		55,562
	118	PhosAgro PJSC GDR (d) (f)		359
	254,956	Polymetal International Plc		625,241
	25,552	Polyus PJSC * (d)		243,959
	138,892	QIWI Plc Sponsored ADR (c) (d)		75,207
	4,500	QIWI Plc Sponsored ADR (c) (d)		1,818
	1,493	Ros Agro Plc GDR (Registered) (c) (d)		1,562
	1,208	Ros Agro Plc GDR (Registered) (c) (d)		1,096
	47,669,440	RusHydro PJSC * (d)		43,784
	23,047	RusHydro PJSC ADR * (d)		2,129
	8,073,970	Sberbank of Russia PJSC * (d) (f)		1,243,855
	7,395	Severstal PAO (d)		6,405
	261,549	Severstal PJSC GDR (Registered) * (d)		227,852
	29,090	SFI PJSC * (d)		15,543
	27,770,670	Surgutneftegas PJSC (d)		812,634
	35,844	Tatneft PJSC (d)		18,756
	158,512	Tatneft PJSC Sponsored ADR (e)		500,547
	725,480	Unipro PJSC (d)		1,146

Shares		Description	Value ($)
		Russia — continued
	55,470	United Co Rusal International PJSC * (d)		3,106
	752,312,000	VTB Bank PJSC * (d) (f)		16,699
		Total Russia		8,969,905
		Saudi Arabia — 0.2%
	3,391	Abdullah Al Othaim Markets Co		115,469
	7,212	Almarai Co JSC		101,503
	8,024	Co for Cooperative Insurance (The) *		161,802
	289,154	Saudi Arabian Oil Co		2,880,258
	128,744	Saudi Basic Industries Corp		3,420,114
	101,605	Saudi Telecom Co		1,128,070
		Total Saudi Arabia		7,807,216
		Singapore — 0.6%
	231,200	AIMS APAC (REIT)		226,362
	621,000	Asian Pay Television Trust		50,664
	102,600	Bumitama Agri Ltd		45,837
	171,573	Capitaland Investment Ltd		451,713
	239,800	City Developments Ltd		1,392,327
	524,300	ComfortDelGro Corp Ltd		528,412
	245,024	DBS Group Holdings Ltd		5,705,012
	512,600	First Real Estate Investment Trust		100,663
	48,800	First Resources Ltd		52,602
	3,940,400	Golden Agri-Resources Ltd		789,927
	886,799	Japfa Ltd (a)		380,459
	107,000	Jardine Cycle & Carriage Ltd		2,511,942
	626,900	Keppel Corp Ltd		3,255,818
	242,500	Sasseur Real Estate Investment Trust		134,390
	57,600	Sheng Siong Group Ltd		66,763
	502,900	Silverlake Axis Ltd		129,066
	18,200	Singapore Technologies Engineering Ltd		48,499
	279,000	StarHub Ltd		245,282
	20,300	United Overseas Bank Ltd		395,839
	121,300	UOL Group Ltd		600,167
	451,900	Wilmar International Ltd		1,304,363
	4,944,677	Yangzijiang Financial Holding Ltd *		1,322,811
	7,909,213	Yangzijiang Shipbuilding Holdings Ltd		5,481,368
	530,800	Yanlord Land Group Ltd		390,646
		Total Singapore		25,610,932
		South Africa — 0.8%
	747,835	Absa Group Ltd		7,745,443
	39,872	AECI Ltd		193,057
	56,405	African Rainbow Minerals Ltd		776,849
	24,543	Anglo American Platinum Ltd		1,713,336
	6,111	Aspen Pharmacare Holdings Ltd		52,443
	25,568	Astral Foods Ltd		308,311
	9,615	AVI Ltd		41,299
	118,517	Barloworld Ltd		603,249
	284,616	Bidvest Group Ltd (The)		3,565,310
	302,582	Blue Label Telecoms Ltd *		110,259
	9,171	Capitec Bank Holdings Ltd		1,090,481
	564	Clicks Group Ltd		9,806

See accompanying notes to the financial statements. 68

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	253,524	FirstRand Ltd		946,940
	3,257	Foschini Group Ltd (The)		24,112
	174,143	Impala Platinum Holdings Ltd		1,824,731
	57,216	Investec Ltd		268,656
	142,498	Kumba Iron Ore Ltd		3,154,806
	147,736	Lewis Group Ltd		412,106
	87,806	Motus Holdings Ltd		595,021
	53,742	Mr Price Group Ltd		582,177
	201,807	MTN Group Ltd		1,460,688
	96,015	Ninety One Ltd		216,372
	49,681	Old Mutual Ltd		29,432
	9,923	Omnia Holdings Ltd		35,777
	375,699	Pepkor Holdings Ltd		441,151
	14,190	PSG Group Ltd *		74,722
	68,797	Reunert Ltd		180,451
	675,044	RMB Holdings Ltd *		71,019
	7,732	Sanlam Ltd		24,038
	3,420	Santam Ltd		48,544
	114,316	Sappi Ltd *		304,720
	15,870	Sasol Ltd *		305,222
	935	Shoprite Holdings Ltd		12,679
	756,842	Sibanye Stillwater Ltd		1,690,801
	41,900	Sibanye Stillwater Ltd ADR		376,262
	396,668	Telkom SA SOC Ltd *		1,018,013
	68,730	Tiger Brands Ltd		668,740
	511,690	Truworths International Ltd		1,706,381
	80,115	Tsogo Sun Gaming Ltd *		58,807
	24,441	Vodacom Group Ltd		179,902
	276,244	Woolworths Holdings Ltd		901,215
		Total South Africa		33,823,328
		South Korea — 3.0%
	1,008	AfreecaTV Co Ltd		57,209
	310	BGF retail Co Ltd		37,131
	1,021	BH Co Ltd		23,875
	296,523	BNK Financial Group Inc		1,478,555
	26,434	Cheil Worldwide Inc		430,967
	621	CJ CheilJedang Corp		188,373
	4,480	Coway Co Ltd		212,551
	1,412	Daewoo Engineering & Construction Co Ltd *		5,445
	3,120	Daihan Pharmaceutical Co Ltd		60,077
	991	Daou Data Corp		8,936
	5,554	DB HiTek Co Ltd		190,639
	6,316	DB Insurance Co Ltd		281,275
	97,301	DGB Financial Group Inc		539,290
	4,885	DL E&C Co Ltd		148,271
	192,374	Dongwon Development Co Ltd		533,385
	4,307	E-MART Inc		312,680
	2,220	Fila Holdings Corp		51,277
	73,389	GS Engineering & Construction Corp		1,641,591
	26,891	GS Holdings Corp		923,222
	235,748	Hana Financial Group Inc		6,871,265
	11,389	Handsome Co Ltd		240,144

Shares		Description	Value ($)
		South Korea — continued
	86,667	Hankook Tire & Technology Co Ltd		2,443,300
	56,637	HDC Hyundai Development Co-Engineering & Construction		523,336
	3,917	Huchems Fine Chemical Corp		61,899
	1,055	Hyosung TNC Corp		245,349
	4,221	Hyundai Department Store Co Ltd		194,182
	81,210	Hyundai Engineering & Construction Co Ltd		2,903,894
	4,671	Hyundai Glovis Co Ltd		612,027
	2,982	Hyundai Home Shopping Network Corp		111,080
	9,750	Hyundai Marine & Fire Insurance Co Ltd		228,715
	20,880	Hyundai Mobis Co Ltd		3,329,801
	5,895	Hyundai Motor Co GDR (Registered)		198,767
	4,636	Industrial Bank of Korea		33,010
	1,717	INTOPS Co Ltd		38,291
	78,402	JB Financial Group Co Ltd		442,945
	70,372	KB Financial Group Inc		2,583,282
	6,500	KB Financial Group Inc ADR *		237,770
	9,994	KC Co Ltd		133,770
	1,665	KC Tech Co Ltd		20,080
	238	KCC Corp		51,970
	1,293	KCC Glass Corp		48,436
	281,411	Kia Corp		16,867,164
	1,001	KIWOOM Securities Co Ltd		63,607
	4,702	Korea Petrochemical Ind Co Ltd		424,735
	14,716	Korea Real Estate Investment & Trust Co Ltd		17,833
	3,855	Korea Zinc Co Ltd		1,928,374
	54,413	KT Skylife Co Ltd		346,524
	247,899	KT&G Corp		15,398,852
	26,341	Kumho Petrochemical Co Ltd		2,540,773
	17,853	LG Corp		1,089,408
	102,058	LG Electronics Inc		7,637,001
	1,656	LG H&H Co Ltd		876,920
	5,221	LG Innotek Co Ltd		1,329,047
	8,055	Lotte Chemical Corp		1,045,897
	43,149	LOTTE Fine Chemical Co Ltd		2,257,663
	5,172	LOTTE Himart Co Ltd		60,512
	2,644	LS Corp		131,755
	9,099	LX International Corp		293,025
	15,042	LX Semicon Co Ltd		1,058,345
	516	MegaStudyEdu Co Ltd		30,016
	18,888	Meritz Securities Co Ltd		68,073
	17,848	NAVER Corp		3,167,067
	859	NCSoft Corp		241,390
	3,195	NH Investment & Securities Co Ltd		23,652
	161	NongShim Co Ltd		35,993
	2,028	Orion Corp		148,560
	18,223	POSCO Holdings Inc		3,447,157
	79,000	POSCO Holdings Inc Sponsored ADR		3,714,580
	3,424	Samjin Pharmaceutical Co Ltd		63,248
	156,615	Samsung Electronics Co Ltd		6,938,161
	2,774	Samsung Electronics Co Ltd GDR (Registered)		3,033,559

69 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	29,677	Samsung Engineering Co Ltd *		515,995
	2,261	Samsung Fire & Marine Insurance Co Ltd		328,600
	5,445	Samsung SDS Co Ltd		519,663
	3,204	Samsung Securities Co Ltd		80,661
	136	Samyang Foods Co Ltd		11,296
	3,202	Sangsangin Co Ltd		20,372
	54,350	SD Biosensor Inc		1,420,958
	5,275	Seegene Inc		123,582
	155,778	Shinhan Financial Group Co Ltd		4,220,566
	554	Shinsegae Inc		91,817
	219	SK Gas Ltd		18,983
	38,214	SK Hynix Inc		2,686,747
	56,350	SK Square Co Ltd *		1,693,259
	5,999	SK Telecom Co Ltd		232,739
	54,767	SK Telecom Co Ltd Sponsored ADR		1,169,276
	6,517	SL Corp		185,779
	258	S-Oil Corp		19,569
	80	Soulbrain Co Ltd		12,852
	180	Taekwang Industrial Co Ltd		110,685
	831	TY Holdings Co Ltd *		10,447
	543	Unid Co Ltd		41,933
	502,275	Woori Financial Group Inc		4,543,541
	60,223	Woori Technology Investment Co Ltd *		261,471
	307	Young Poong Corp		159,530
	14,400	Youngone Corp		476,774
		Total South Korea		121,914,048
		Spain — 1.3%
	2,012	Acciona SA (b)		394,083
	568,769	Acerinox SA		5,146,120
	124,660	Amadeus IT Group SA * (b)		6,580,724
	117,613	Atresmedia Corp de Medios de Comunicacion SA		322,094
	2,330,197	Banco Bilbao Vizcaya Argentaria SA		10,456,044
	8,277,149	Banco de Sabadell SA		5,692,475
	2,824,987	Banco Santander SA		6,838,436
	113,360	Bankinter SA		580,946
	56,949	Cia de Distribucion Integral Logista Holdings SA (b)		1,106,875
	1,762	Enagas SA (b)		32,174
	102,942	Faes Farma SA		408,855
	2,218	Grupo Catalana Occidente SA		65,219
	8,364	Iberdrola SA (b)		87,083
	232,265	Industria de Diseno Textil SA (b)		5,014,933
	28,498	Mediaset Espana Comunicacion SA *		79,271
	592,333	Repsol SA		7,693,268
	567,092	Telefonica SA (a) (b)		2,340,397
	213,435	Unicaja Banco SA		192,190
		Total Spain		53,031,187
		Sweden — 0.9%
	303,745	Fastighets AB Balder – Class B*		1,677,342
	74,115	Industrivarden AB – A Shares (a)		1,642,532

Shares		Description	Value ($)
		Sweden — continued
	69,969	Industrivarden AB – C Shares (a)		1,534,977
	195,591	Investor AB – A Shares		3,250,859
	306,711	Investor AB – B Shares (b)		4,834,134
	62,840	Inwido AB		614,536
	182,462	Kinnevik AB – Class B*		2,596,618
	43,467	New Wave Group AB – B Shares		699,144
	117,792	Skanska AB – B Shares		1,740,103
	595,407	SSAB AB – A Shares		2,863,757
	30,464	SSAB AB – B Shares		142,236
	98,900	Svenska Cellulosa AB SCA – Class B (b)		1,481,869
	1,139,728	Swedish Match AB		11,441,887
		Total Sweden		34,519,994
		Switzerland — 0.7%
	150,244	Adecco Group AG (Registered) *		4,762,816
	5,923	Bobst Group SA (Registered)		477,232
	3,039	DKSH Holding AG (b)		226,110
	1,888	Gurit Holding AG (a)		197,647
	184	Kuehne + Nagel International AG (Registered) (b)		42,525
	89,534	Logitech International SA (Registered) (a)		4,454,847
	20,793	Mobilezone Holding AG (Registered)		344,230
	30,496	Roche Holding AG – Genusschein (b)		9,827,072
	4,237	u-blox Holding AG *		587,239
	309,525	UBS Group AG (Registered) (b)		4,904,955
	2,258	Zehnder Group AG		133,394
	714	Zurich Insurance Group AG (b)		316,944
		Total Switzerland		26,275,011
		Taiwan — 4.7%
	160,000	Acer Inc		114,915
	21,788	Acter Group Corp Ltd		151,401
	7,000	Advantech Co Ltd		74,676
	1,000	Allied Supreme Corp		12,882
	880,224	AmTRAN Technology Co Ltd		367,449
	94,000	Asia Cement Corp		133,069
	11,000	ASROCK Inc		34,493
	1,356,672	Asustek Computer Inc		11,288,920
	60,000	Aten International Co Ltd		153,864
	323,000	AUO Corp *		176,367
	2,780,000	Catcher Technology Co Ltd *		16,851,775
	3,066,000	Cathay Financial Holding Co Ltd		4,460,497
	410,673	Chailease Holding Co Ltd		2,636,811
	225,490	Chicony Electronics Co Ltd		601,995
	489,200	China Development Financial Holding Corp		213,728
	10,000	China Motor Corp		15,214
	755,000	China Steel Corp		715,035
	1,219,000	Chipbond Technology Corp		2,275,153
	13,000	ChipMOS Technologies Inc		15,149
	1,000	Chlitina Holding Ltd		5,638
	122,640	Chong Hong Construction Co Ltd		298,597
	433,560	Chunghwa Telecom Co Ltd		1,720,404

See accompanying notes to the financial statements. 70

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	2,500	Chunghwa Telecom Co Ltd Sponsored ADR (b)		99,300
	1,002,000	Compal Electronics Inc		746,054
	106,000	Compeq Manufacturing Co Ltd		181,770
	162,080	Coretronic Corp		332,371
	28,000	Co-Tech Development Corp		39,230
	26,000	CTCI Corp		38,352
	39,080	Elan Microelectronics Corp		123,594
	38,960	Elite Material Co Ltd		205,071
	49,000	Elite Semiconductor Microelectronics Technology Inc		126,063
	700,000	Evergreen Marine Corp Taiwan Ltd *		2,006,001
	100,000	Far Eastern New Century Corp		107,156
	552,000	Far EasTone Telecommunications Co Ltd		1,353,811
	299,000	Farglory Land Development Co Ltd		625,069
	520	Feng Hsin Steel Co Ltd		1,139
	261,360	First Financial Holding Co Ltd		226,750
	121,000	FIT Hon Teng Ltd *		17,944
	81,709	FLEXium Interconnect Inc *		249,670
	35,000	Formosa Advanced Technologies Co Ltd		44,357
	41,000	Formosa Chemicals & Fibre Corp		92,111
	10,000	Formosa International Hotels Corp		56,826
	64,000	Formosa Petrochemical Corp		175,431
	1,010,000	Formosa Plastics Corp		3,011,410
	310,000	Foxconn Technology Co Ltd		512,525
	3,743,903	Fubon Financial Holding Co Ltd		7,019,999
	15,000	Gamania Digital Entertainment Co Ltd		29,770
	48,000	Getac Technology Corp		74,709
	109,000	Gigabyte Technology Co Ltd		304,014
	5,000	Global Mixed Mode Technology Inc		24,291
	913,000	Grand Pacific Petrochemical		560,730
	944,160	HannStar Display Corp		367,089
	83,899	Hiwin Technologies Corp		566,281
	22,000	Holtek Semiconductor Inc		53,144
	5,753,406	Hon Hai Precision Industry Co Ltd		20,486,607
	222,000	Huaku Development Co Ltd		675,956
	379,980	IEI Integration Corp		932,152
	51,941	International Games System Co Ltd		633,309
	1,000	King Slide Works Co Ltd		14,914
	321,000	King’s Town Bank Co Ltd		370,275
	154,000	Kung Long Batteries Industrial Co Ltd		711,861
	76,000	Largan Precision Co Ltd		4,834,372
	1,387,000	Lite-On Technology Corp		2,984,864
	5,000	Lotes Co Ltd		118,541
	24,000	Makalot Industrial Co Ltd		141,019
	425,000	MediaTek Inc		9,195,608
	371,714	Mercuries Life Insurance Co Ltd *		86,713
	789,000	Micro-Star International Co Ltd		2,953,720
	548,000	Mitac Holdings Corp		503,824
	854,000	Nan Ya Plastics Corp		1,918,251
	281,502	Nantex Industry Co Ltd		393,340
	601,000	Nanya Technology Corp		1,043,811
	6,000	Nien Made Enterprise Co Ltd		55,408
	283,000	Novatek Microelectronics Corp		2,421,151

Shares		Description	Value ($)
		Taiwan — continued
	57,000	Oneness Biotech Co Ltd *		551,820
	66,000	Pegatron Corp		137,268
	182,000	Phison Electronics Corp		1,850,103
	2,226,566	Pou Chen Corp		2,109,208
	4,000	Powertech Technology Inc		11,162
	123,000	Primax Electronics Ltd		269,110
	220,880	Quanta Computer Inc		572,611
	250,263	Radiant Opto-Electronics Corp		822,395
	7,000	Raydium Semiconductor Corp		62,983
	17,000	Rexon Industrial Corp Ltd		19,063
	1,691,400	Ruentex Development Co Ltd		3,487,753
	710,000	Ruentex Industries Ltd		1,512,308
	55,000	Shanghai Commercial & Savings Bank Ltd (The)		89,524
	140,280	Shin Zu Shing Co Ltd		403,992
	153,000	Shinkong Insurance Co Ltd		289,576
	181,315	Silicon Motion Technology Corp		13,981,200
	97,000	Simplo Technology Co Ltd		915,277
	126,250	SinoPac Financial Holdings Co Ltd		71,573
	33,360	Sitronix Technology Corp		206,260
	10,000	Soft-World International Corp		25,314
	303,000	Syncmold Enterprise Corp		674,614
	67,000	Synnex Technology International Corp		122,126
	147,000	T3EX Global Holdings Corp		376,832
	25,311	Tah Hsin Industrial Corp		58,979
	38,000	TaiDoc Technology Corp *		277,532
	642,196	Taiwan Cement Corp		826,691
	564,000	Taiwan Semiconductor Manufacturing Co Ltd		9,232,557
	251,650	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (b)		20,975,028
	53,000	Taiwan Union Technology Corp		99,489
	14,000	Test Research Inc		27,359
	8,000	Thinking Electronic Industrial Co Ltd		37,377
	122,699	TOPBI International Holdings Ltd *		48,989
	6,000	Topco Scientific Co Ltd		32,046
	296,000	Transcend Information Inc		641,335
	215,000	Tripod Technology Corp		705,908
	14,000	Tung Ho Steel Enterprise Corp		24,752
	134,681	United Integrated Services Co Ltd		697,453
	308,000	Universal Inc		283,476
	22,000	Vanguard International Semiconductor Corp		53,186
	66,000	Walsin Technology Corp		199,449
	224,400	Wan Hai Lines Ltd		632,447
	1,095,000	Winbond Electronics Corp		788,952
	41,000	WPG Holdings Ltd		68,951
	40,000	WT Microelectronics Co Ltd		84,355
	7,000	Yageo Corp		74,867
	3,260,000	Yang Ming Marine Transport Corp		8,351,378
	272,000	Youngtek Electronics Corp		579,788
	6,389,070	Yuanta Financial Holding Co Ltd		4,241,034
	2,505	Yulon Finance Corp		13,245
	7,000	Yulon Nissan Motor Co Ltd		47,645

71 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	39,000	Zhen Ding Technology Holding Ltd		144,736
		Total Taiwan		189,976,836
		Thailand — 0.7%
	393,800	Advanced Info Service Pcl NVDR		2,071,826
	5,829,700	AP Thailand Pcl NVDR		1,596,211
	1,244,800	Bangkok Bank Pcl NVDR		4,666,966
	771,400	Bangkok Dusit Medical Services Pcl NVDR		618,239
	238,400	Central Retail Corp Pcl NVDR		264,257
	147,600	CP ALL Pcl (Foreign Registered)		248,788
	47,300	CP ALL Pcl NVDR		79,727
	52,300	Kasikornbank Pcl (Foreign Registered)		219,681
	1,603,600	Kasikornbank Pcl NVDR		6,735,754
	342,200	Kiatnakin Phatra Bank Pcl NVDR		679,232
	10,118,400	Krung Thai Bank Pcl NVDR		4,678,460
	159,808	Pruksa Holding Pcl (Foreign Registered)		56,409
	565,380	Pruksa Holding Pcl NVDR		199,568
	639,300	PTT Exploration & Production Pcl NVDR		2,956,782
	94,400	PTT Global Chemical Pcl NVDR		122,741
	142,200	PTT Pcl NVDR		146,099
	12,974,100	Sansiri Pcl NVDR		390,904
	849,700	SC Asset Corp Pcl (Foreign Registered)		81,872
	207,800	Somboon Advance Technology Pcl NVDR		110,969
	842,500	Sri Trang Gloves Thailand Pcl NVDR		327,973
	60,200	Thai Union Group Pcl NVDR		28,867
	208,230	Thai Vegetable Oil Pcl NVDR		174,259
		Total Thailand		26,455,584
		Turkey — 0.5%
	13,103,782	Akbank TAS		8,416,338
	25,489	Aksa Akrilik Kimya Sanayii AS		77,119
	387,882	Arcelik AS		1,494,521
	102,676	Dogus Otomotiv Servis ve Ticaret AS		563,076
	293,344	Enerjisa Enerji AS		275,194
	23,817	Eregli Demir ve Celik Fabrikalari TAS		37,635
	2,478,252	Haci Omer Sabanci Holding AS		3,461,981
	120,016	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS – Class D		77,746
	10,181	Koza Altin Isletmeleri AS		88,675
	303,450	Koza Anadolu Metal Madencilik Isletmeleri AS *		451,275
	22,026	Mavi Giyim Sanayi Ve Ticaret AS – Class B		84,654
	1,685,118	Turkiye Garanti Bankasi AS		2,125,783
	591,871	Turkiye Is Bankasi AS – Class C		256,383
	76,508	Vestel Elektronik Sanayi ve Ticaret AS		125,188
	7,180,879	Yapi ve Kredi Bankasi AS		2,774,703
		Total Turkey		20,310,271
		Ukraine — 0.0%
	36,516	Kernel Holding SA		163,975

Shares		Description	Value ($)
		United Arab Emirates — 0.0%
	277,206	Abu Dhabi National Oil Co for Distribution PJSC		334,947
		United Kingdom — 3.7%
	342,595	3i Group Plc		4,822,466
	15,686	AG Barr Plc		91,843
	558,372	Airtel Africa Plc		857,220
	18,756	Anglo American Plc		602,714
	12,264	BAE Systems Plc (b)		110,451
	16,165	Bank of Georgia Group Plc		375,412
	1,195,940	Barratt Developments Plc		5,920,844
	111,962	Bellway Plc		2,647,274
	226,240	Berkeley Group Holdings Plc		9,577,434
	818,517	BP Plc (b)		4,182,561
	221,700	BP Plc Sponsored ADR (b)		6,837,228
	65,056	British American Tobacco Plc (b)		2,605,672
	127,700	British American Tobacco Plc Sponsored ADR (b)		5,114,385
	5,753,916	BT Group Plc		10,065,327
	58,840	Bunzl Plc (b)		1,951,379
	95,377	Central Asia Metals Plc		253,944
	751,192	Centrica Plc * (b)		658,845
	5,464	Clarkson Plc (b)		190,973
	345,271	Coca-Cola HBC AG *		7,878,856
	554,102	Compass Group Plc (b)		11,919,318
	3,537	Computacenter Plc (b)		101,324
	107,096	Crest Nicholson Holdings Plc		291,056
	1,869	DCC Plc		107,569
	10,765	EMIS Group Plc (b)		235,478
	30,601	Evraz Plc * (d)		728
	1,254	Ferguson Plc		145,223
	922,806	Ferrexpo Plc		1,587,329
	938,236	Glencore Plc (b)		5,129,862
	19,354	Grafton Group Plc		162,458
	120,380	GSK Plc Sponsored ADR (b)		3,909,942
	146,100	Haleon Plc ADR * (b)		873,678
	180,667	Halfords Group Plc		273,121
	67,041	IG Group Holdings Plc		636,218
	134,144	Imperial Brands Plc (b)		2,950,073
	349,595	Indivior Plc *		1,171,390
	27,836	International Personal Finance Plc		32,353
	325,455	Investec Plc		1,564,377
	134,320	John Wood Group Plc *		201,097
	11,440	Keller Group Plc		93,115
	1,655,915	Kingfisher Plc		4,448,231
	650,955	Legal & General Group Plc (b)		1,906,693
	3,888,988	M&G Plc		8,825,803
	41,349	Morgan Sindall Group Plc		825,522
	4,063	Next Plc (b)		273,610
	188,664	OSB Group Plc		1,202,867
	21,878	Paragon Banking Group Plc		135,989
	241,234	Persimmon Plc		4,127,780
	80,113	Pets at Home Group Plc		294,335
	171,628	Plus500 Ltd		3,382,110
	80,654	Premier Foods Plc		100,926

See accompanying notes to the financial statements. 72

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	101,046	Redde Northgate Plc (b)		401,075
	268,469	Redrow Plc		1,577,109
	408,312	S4 Capital Plc *		627,562
	250,108	Serica Energy Plc		1,082,712
	530,506	Shell Plc (b)		14,041,454
	101,487	Spirent Communications Plc		303,573
	1,505,149	Taylor Wimpey Plc		1,888,261
	8,168	TBC Bank Group Plc		168,169
	54,111	Unilever Plc (c)		2,454,601
	40,929	Unilever Plc (b) (c)		1,863,682
	42,325	Vesuvius Plc		170,291
	68,000	Vodafone Group Plc Sponsored ADR (b)		912,560
	44,440	Wickes Group Plc		61,610
	26,057	Wincanton Plc		102,249
	217,950	WPP Plc (b)		1,877,214
		Total United Kingdom		149,186,525
		United States — 20.6%
	199,300	Activision Blizzard, Inc. (b)		15,643,057
	17,805	ADTRAN Holdings, Inc.		413,788
	61,232	Aemetis, Inc. *		558,436
	62,200	Aflac, Inc. (b)		3,695,924
	31,100	AGCO Corp.		3,380,881
	10,500	Akamai Technologies, Inc. * (b)		947,940
	24,557	Alleghany Corp. *		20,656,857
	131,100	Ally Financial, Inc. (b)		4,352,520
	69,000	Ameresco, Inc. – Class A*		4,750,650
	56,218	American Express Co. (b)		8,545,136
	1,888,723	Anchor Hocking Holdings, Inc. (d)		1,680,963
	6,600	AppLovin Corp. – Class A* (b)		162,558
	25,100	Arch Capital Group Ltd. * (b)		1,147,572
	59,100	Arrow Electronics, Inc. *		6,194,271
	67,000	AT&T, Inc. (b)		1,175,180
	60,300	Best Buy Co., Inc. (b)		4,262,607
	28,800	Biogen, Inc. * (b)		5,626,944
	10,200	Bio-Rad Laboratories, Inc. – Class A*		4,947,408
	3,878	Booking Holdings, Inc. * (b)		7,274,391
	331,045	BorgWarner, Inc.		12,480,396
	78	Bristol-Myers Squibb Co. (b)		5,258
	99,576	Bruin Blocker LLC (e)		57,226
	6,200	California Resources Corp.		309,752
	50,500	Capital One Financial Corp. (b)		5,343,910
	22,011	CarMax, Inc. * (b)		1,946,653
	144,100	Carrier Global Corp. (b)		5,637,192
	71,300	CBRE Group, Inc. – Class A* (b)		5,629,848
	79,100	Centene Corp. * (b)		7,098,434
	552,061	Change Healthcare, Inc. * (b)		13,564,139
	164,929	Chatham Lodging Trust (REIT) *		2,005,537
	43,479	Chevron Corp. (b)		6,872,291
	27,100	Cigna Corp. (b)		7,681,495
	130,121	Citigroup, Inc. (b)		6,351,206
	61	Citizens Financial Group, Inc.		2,237
	319,900	Clean Energy Fuels Corp. *		2,149,728

Shares		Description	Value ($)
		United States — continued
	314,900	Cleveland-Cliffs, Inc. *		5,438,323
	77,400	Cognizant Technology Solutions Corp. – Class A (b)		4,889,358
	150,300	Comcast Corp. – Class A (b)		5,439,357
	118,361	Cowen, Inc. – Class A		4,550,980
	58,700	CVS Health Corp. (b)		5,761,405
	162,970	Darling Ingredients, Inc. * (b)		12,395,498
	4,300	Deere & Co. (b)		1,570,575
	55,400	Dell Technologies, Inc. – Class C (b)		2,121,266
	53,800	Discover Financial Services (b)		5,406,362
	273,600	DISH Network Corp. – Class A* (b)		4,746,960
	78,000	DR Horton, Inc. (b)		5,549,700
	296,431	Duke Realty Corp. (REIT) (b)		17,444,964
	114,600	eBay, Inc. (b)		5,057,298
	79,000	EOG Resources, Inc.		9,582,700
	16,800	FedEx Corp. (b)		3,541,608
	136,800	Fidelity National Financial, Inc. (b)		5,348,880
	612,706	First Horizon Corp.		13,859,410
	277,481	Flagstar Bancorp, Inc.		10,691,343
	425,700	Ford Motor Co. (b)		6,487,668
	32,700	Fortune Brands Home & Security, Inc.		2,008,761
	46,600	Fox Corp. – Class A (b)		1,592,788
	381,809	Fox Corp. – Class B (b)		12,072,801
	217,900	Franklin Resources, Inc. (b)		5,680,653
	71,000	Freeport-McMoRan, Inc. (b)		2,101,600
	5,300	Garmin Ltd. (b)		468,997
	147,300	General Motors Co. * (b)		5,628,333
	102,500	Gilead Sciences, Inc. (b)		6,505,675
	55,228	Global Payments, Inc. (b)		6,860,974
	17,400	Goldman Sachs Group, Inc. (The) (b)		5,788,458
	90,000	GrafTech International Ltd.		529,200
	155,386	Green Plains, Inc. *		5,691,789
	5,716	Gulfport Energy Corp. *		558,796
	36,178	HEICO Corp.		4,434,699
	6,100	Henry Schein, Inc. * (b)		447,801
	33,800	Hess Corp.		4,082,364
	53,572	Hilton Worldwide Holdings, Inc. (b)		6,822,930
	192,900	HP, Inc. (b)		5,538,159
	70,400	IAC, Inc. *		4,524,608
	82,400	Incyte Corp. * (b)		5,803,432
	149,300	Intel Corp. (b)		4,765,656
	86,032	Intercontinental Exchange, Inc. (b)		8,676,327
	54,400	International Business Machines Corp. (b)		6,987,680
	229,200	Invesco Ltd.		3,774,924
	45,800	Jazz Pharmaceuticals Plc *		7,109,076
	404,200	Kinder Morgan, Inc.		7,404,944
	47,300	Knight-Swift Transportation Holdings, Inc. (b)		2,389,123
	1,145,000	Kosmos Energy Ltd. *		8,095,150
	9,300	Kroger Co. (The) (b)		445,842
	27,400	Laboratory Corp. of America Holdings (b)		6,172,398
	5,422	Lam Research Corp. (b)		2,374,348
	131,833	Las Vegas Sands Corp. * (b)		4,960,876
	73,700	Lennar Corp. – Class A (b)		5,708,065

73 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	56,179	LHC Group, Inc. *		9,071,223
	115,053	Liberty Broadband Corp. – Class C* (b)		11,700,890
	286,040	Liberty Global Plc – Class A*		5,778,008
	222,900	Liberty Global Plc – Class C*		4,749,999
	106,300	Lincoln National Corp.		4,896,178
	89,100	Livent Corp. *		2,867,238
	28,000	LKQ Corp. (b)		1,490,160
	501,100	Lumen Technologies, Inc. (b)		4,990,956
	193,188	Lyft, Inc. – Class A* (b)		2,845,659
	74,800	LyondellBasell Industries NV – Class A (b)		6,208,400
	10,300	Marathon Oil Corp.		263,577
	5,988	Markel Corp. *		7,150,331
	34,800	Meta Platforms, Inc. – Class A* (b)		5,669,964
	78,400	MetLife, Inc. (b)		5,043,472
	127,192	Micron Technology, Inc. (b)		7,190,164
	38,500	Mohawk Industries, Inc. *		4,248,860
	130,700	Molson Coors Brewing Co. – Class B (b)		6,753,269
	53,400	Mosaic Co. (The)		2,876,658
	12,100	Netflix, Inc. * (b)		2,705,076
	1,288,200	NII Holdings, Inc. (e)		450,870
	112,300	NRG Energy, Inc. (b)		4,635,744
	7,100	Nucor Corp. (b)		943,874
	160	NVR, Inc. * (b)		662,410
	74,500	Oracle Corp. (b)		5,524,175
	197,600	Paramount Global – Class B (b)		4,621,864
	48,276	Park Hotels & Resorts, Inc. (REIT)		675,864
	71,100	PayPal Holdings, Inc. * (b)		6,643,584
	755,227	Pershing Square Tontine Holdings Ltd. (e)		75,523
	8,800	Pfizer, Inc. (b)		398,024
	71,101	PNM Resources, Inc. (b)		3,372,320
	13,300	PotlatchDeltic Corp. (REIT)		617,386
	63,400	Prudential Financial, Inc. (b)		6,070,550
	131,100	PulteGroup, Inc.		5,330,526
	36,300	Quest Diagnostics, Inc. (b)		4,548,753
	101,380	Raytheon Technologies Corp. (b)		9,098,855
	11,100	Regeneron Pharmaceuticals, Inc. * (b)		6,449,766
	225,710	Resolute Forest Products, Inc. * (c)		4,572,885
	15,600	Resolute Forest Products, Inc. * (c)		315,718
	42,264	Rogers Corp. *		10,587,977
	173,988	Sensata Technologies Holding Plc		7,008,237
	114,350	Skillsoft Corp. *		368,207
	14,200	Skyworks Solutions, Inc. (b)		1,399,410
	8,400	SolarEdge Technologies, Inc. * (b)		2,318,148
	328,363	South Jersey Industries, Inc. (b)		11,115,088
	298,457	Southeastern Grocers, Inc. * (d)		6,640,668
	249,781	Sportsman’s Warehouse Holdings, Inc. *		1,988,257
	28,200	SS&C Technologies Holdings, Inc. (b)		1,572,432
	10,800	Stanley Black & Decker, Inc. (b)		951,480
	70,200	Steel Dynamics, Inc.		5,666,544
	143,252	Sunrun, Inc. *		4,731,614
	402,186	Switch, Inc. – Class A (b)		13,654,215
	166,000	Synchrony Financial (b)		5,436,500
	1,507,100	Syncora Holdings Ltd. * (d)		15,071
	42,200	TechnipFMC Plc *		345,196

Shares		Description	Value ($)
		United States — continued
	854,940	TEGNA, Inc.		18,295,716
	23,689	Tempur Sealy International, Inc.		592,462
	203,852	Terminix Global Holdings, Inc. * (b)		8,694,288
	78,500	Textron, Inc. (b)		4,896,830
	5,869	TRU TAJ Liquidation Unit Trust/TRU TAJ Finance, Inc. (d)		59
	160,204	TRU TAJ LLC/TRU TAJ Finance, Inc. (d)		780,994
	83,500	Tyson Foods, Inc. – Class A (b)		6,294,230
	725,929	Umpqua Holdings Corp.		12,877,980
	4,400	United Parcel Service, Inc. – Class B (b)		855,844
	50,700	Universal Health Services, Inc. – Class B (b)		4,960,488
	178,423	US Bancorp (b)		8,137,873
	119,300	Verizon Communications, Inc. (b)		4,987,933
	19,300	Vertex Pharmaceuticals, Inc. * (b)		5,437,968
	119,439	VF Corp. (b)		4,950,747
	518,800	Viatris, Inc. (b)		4,954,540
	80,202	VMware, Inc. – Class A (b)		9,305,838
	127,400	Walgreens Boots Alliance, Inc. (b)		4,466,644
	64,277	Warner Bros Discovery, Inc. * (b)		851,027
	187,207	Wells Fargo & Co. (b)		8,182,818
	329,600	Western Union Co. (The) (b)		4,884,672
	106,700	Western Digital Corp. *		4,509,142
	9,100	Westlake Corp. (b)		897,533
	107,060	Westmoreland Mining Holdings (e)		26,765
	30,300	Whirlpool Corp.		4,744,980
	31,987	Willis Towers Watson Plc (b)		6,615,871
	99,222	Zogenix, Inc. (e)		74,417
	57,500	Zoom Video Communications, Inc. – Class A* (b)		4,623,000
		Total United States		829,651,743
		Vietnam — 0.1%
	11,000	PetroVietnam Nhon Trach 2 Power JSC		12,790
	35,000	Pha Lai Thermal Power JSC		27,125
	1,415,900	Vietnam Joint Stock Commercial Bank for Industry and Trade		1,701,957
		Total Vietnam		1,741,872
		TOTAL COMMON STOCKS (COST $3,717,102,989)		3,050,104,321
		PREFERRED STOCKS (g) —1.7%
		Brazil — 1.1%
	74,400	Alpargatas SA		295,174
	2,157,978	Bradespar SA		9,080,067
	1,220,890	Cia Energetica de Minas Gerais		2,839,606
	255,150	Cia Energetica de Minas Gerais Sponsored ADR (b)		602,154
	3,738,100	Cia Paranaense de Energia – Class B		5,008,180
	206,400	Gerdau SA		925,198
	234,500	Itau Unibanco Holding SA		1,163,395
	5,100	Itausa SA		8,970
	1,805,100	Petroleo Brasileiro SA		11,529,962
	821,400	Petroleo Brasileiro SA Sponsored ADR (b)		10,464,636

See accompanying notes to the financial statements. 74

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Brazil — continued
	5,000	Unipar Carbocloro SA – Class B		98,512
		Total Brazil		42,015,854
		Chile — 0.1%
	34,984	Embotelladora Andina SA – Class B		71,678
	2,404	Sociedad Quimica y Minera de Chile SA – Class B		240,338
	25,500	Sociedad Quimica y Minera de Chile SA Sponsored ADR		2,541,840
		Total Chile		2,853,856
		Colombia — 0.0%
	115,614	Grupo Aval Acciones y Valores SA		17,359
		Germany — 0.1%
	51,749	Bayerische Motoren Werke AG		3,597,804
	7,473	Draegerwerk AG & Co KGaA		353,571
	6,867	Henkel AG & Co KGaA (b)		443,152
	3,461	Villeroy & Boch AG		65,336
	5,493	Volkswagen AG (b)		781,320
		Total Germany		5,241,183
		Russia — 0.0%
	15,222	Bashneft PJSC (d)		12,743
	79,750	Nizhnekamskneftekhim PJSC (d)		7,182
	49,530	Sberbank of Russia PJSC * (d) (f)		7,293
	20,862,000	Surgutneftegas PJSC (d)		693,781
	12,313	Tatneft PJSC (d)		5,906
	337	Transneft PJSC (d)		39,214
		Total Russia		766,119
		South Korea — 0.3%
	15,737	LG Electronics Inc		552,543
	277,666	Samsung Electronics Co Ltd		11,232,188
	1,457	Samsung Electronics Co Ltd GDR (Registered)		1,477,091
		Total South Korea		13,261,822
		Taiwan — 0.0%
	97,864	Chailease Holding Co Ltd		319,880
	368,832	China Development Financial Holding Corp		102,659
		Total Taiwan		422,539
		United States — 0.1%
	39	Gulfport Energy Corp. (e)		261,300
	2,313	Murray Energy Corp. (d)		1,364,670
		Total United States		1,625,970
		TOTAL PREFERRED STOCKS (COST $78,112,655)		66,204,702

Shares /     Par Value†		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		Canada — 0.0%
	222,285	Clementia Pharmaceuticals Inc (e)		277,856
		United States — 0.0%
	408,963	Bristol-Myers Squibb Co. CVR * (e)		756,582
		TOTAL RIGHTS/WARRANTS (COST $1,183,901)		1,034,438
		INVESTMENT FUNDS — 0.4%
		United States — 0.4%
	3,927,656	Altaba, Inc. (e)		14,728,710
		TOTAL INVESTMENT FUNDS (COST $10,638,061)		14,728,710
		DEBT OBLIGATIONS — 34.0%
		Austria — 0.0%
		Corporate Debt — 0.0%
EUR	900,000	ams-OSRAM AG, Reg S, 2.13%, due 11/03/27		639,495
		Canada — 0.1%
		Corporate Debt — 0.1%
	4,539,000	Bombardier Inc, 144A, 7.88%, due 04/15/27		4,346,319
		China — 0.0%
		Corporate Debt — 0.0%
	6,630,000	Scenery Journey Ltd, Reg S, 11.50%, due 10/24/22 (h)		298,350
	709,000	Scenery Journey Ltd, Reg S, 13.00%, due 11/06/22 (h)		31,905
	2,130,000	Scenery Journey Ltd, Reg S, 12.00%, due 10/24/23 (h)		95,850
		Total China		426,105
		Israel — 0.1%
		Corporate Debt — 0.1%
	5,496,000	Teva Pharmaceutical Finance Co LLC, 6.15%, due 02/01/36		4,978,346
		Macau — 0.1%
		Corporate Debt — 0.1%
	1,120,000	Wynn Macau Ltd, 144A, 5.50%, due 10/01/27		803,600
	3,361,000	Wynn Macau Ltd, 144A, 5.63%, due 08/26/28		2,352,700
		Total Macau		3,156,300

75 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		Netherlands — 0.0%
		Corporate Debt — 0.0%
EUR	490,150	Evander Gold Mines Ltd, Variable Rate, 1.00%, due 04/19/26 (d)		49
		Ukraine — 0.0%
		Corporate Debt — 0.0%
	319,000	MHP Lux SA, 144A, 6.95%, due 04/03/26 (e) (h)		143,610
	1,740,000	MHP Lux SA, Reg S, 6.25%, due 09/19/29 (e) (h)		756,900
	814,000	MHP SE, Reg S, 7.75%, due 05/10/24 (e) (h)		370,370
		Total Ukraine		1,270,880
		United States — 33.7%
		Asset-Backed Securities — 0.1%
	4,136,037	Alaska Airlines Pass-Through Trust, Class B, 144A, 8.00%, due 02/15/27		4,183,697
	7,063,382	Crest G-Star LP, Class D, 144A, 9.00%, due 11/28/35 (h)		7
	460,968	JetBlue Pass-Through Trust, Class B, 7.75%, due 05/15/30		453,715
		Total Asset-Backed Securities		4,637,419
		Bank Loans — 0.5%
	815,723	American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, Variable Rate, 1 mo. LIBOR plus 13.00%, 15.44%, due 09/16/25 (e)		823,880
	1,900,643	Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 2 mo. LIBOR plus 3.75%, 6.56%, due 10/10/25 (e)		532,180
	2,435,339	Frontier Communications Corp., 2021 DIP Term Loan B, Variable Rate, 3 mo. LIBOR plus 3.75%, 6.06%, due 05/01/28 (e)		2,350,101
	8,302,716	Gibson Brands, Inc., 2021 Term Loan, Variable Rate, 1 mo. LIBOR plus 5.00%, 7.39%, due 08/11/28 (e)		7,223,363
	4,015,517	Quorum Health Corporation, 2020 Term Loan, Variable Rate, 3 mo. LIBOR plus 8.25%, 10.60%, due 04/29/25 (e)		2,569,931
	4,904,722	SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, Variable Rate, 1 mo. LIBOR plus 3.00%, 5.56%, due 08/25/28 (e)		4,814,819
		Total Bank Loans		18,314,274
		Corporate Debt — 2.8%
	1,200,635	American Airlines Pass-Through Trust – Class B, 4.38%, due 04/01/24		1,199,078
	1,777,780	American Airlines Pass-Through Trust – Class B, 3.70%, due 11/01/24		1,710,235
	4,898,867	American Airlines Pass-Through Trust – Class B, 4.40%, due 03/22/25		4,712,350
	2,122,731	American Airlines Pass-Through Trust – Class B, 5.25%, due 07/15/25		1,971,335
	2,635,236	American Airlines Pass-Through Trust – Class B, 4.95%, due 08/15/26		2,428,969

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	3,525,805	American Airlines Pass-Through Trust – Class B, 3.70%, due 04/15/27		3,116,810
	2,697,104	American Airlines Pass-Through Trust – Class B, 3.75%, due 04/15/27		2,339,147
	2,447,721	American Airlines Pass-Through Trust – Class B, 3.85%, due 08/15/29		2,032,085
	1,759,925	American Airlines Pass-Through Trust – Class B, 144A, 4.38%, due 12/15/25		1,635,783
	1,140,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28		1,080,697
	1,188,000	Bath & Body Works, Inc., 6.88%, due 11/01/35		1,037,071
	2,963,000	Boeing Co. (The), 5.93%, due 05/01/60		2,829,604
	3,799,000	Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, Variable Rate, 5.25%, due 06/21/24 (e)		3,453,937
	1,505,000	Carnival Corp., 6.65%, due 01/15/28		1,079,236
	4,751,000	Carnival Corp., 144A, 7.63%, due 03/01/26		4,044,764
	4,765,000	CEC Entertainment LLC, 144A, 6.75%, due 05/01/26		4,336,150
	7,850,000	Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 6.50%, due 10/01/28		7,681,586
	768,000	Cumulus Media New Holdings, Inc., 144A, 6.75%, due 07/01/26		686,974
	4,856,000	Dave & Buster’s, Inc., 144A, 7.63%, due 11/01/25		4,886,133
	2,010,000	EnLink Midstream Partners LP, 5.60%, due 04/01/44		1,575,086
	1,818,000	EnLink Midstream Partners LP, 5.05%, due 04/01/45		1,309,763
	1,565,000	EnLink Midstream Partners LP, 5.45%, due 06/01/47		1,195,269
	1,400,000	Esc Cb Gulfport Energy, 6.38%, due 01/15/26 (d) (h)		140
	1,340,000	Ford Motor Credit Co. LLC, 5.58%, due 03/18/24		1,333,570
	290,000	Ford Motor Credit Co. LLC, 4.27%, due 01/09/27		264,887
	890,000	Ford Motor Credit Co. LLC, 5.11%, due 05/03/29		822,516
	330,563	Frontier Communications Holdings LLC, 5.88%, due 11/01/29		269,822
	7,923,000	Frontier Communications Holdings LLC, 144A, 6.00%, due 01/15/30		6,528,710
	860,000	Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT + 3.22%, 4.95%, due 02/10/25		808,635
	2,461,000	GPS Hospitality Holding Co. LLC / GPS Finco, Inc., 144A, 7.00%, due 08/15/28		1,563,309
	4,040,000	Guitar Center, Inc., 144A, 8.50%, due 01/15/26		3,737,000
	18,156	Gulfport Energy Corp., 8.00%, due 05/17/26		18,277
	2,534,100	JPMorgan Chase & Co., Variable Rate, SOFR + 2.75%, 4.00%, due 12/31/99		2,166,022

See accompanying notes to the financial statements. 76

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	4,820,000	LD Holdings Group LLC, 144A, 6.50%, due 11/01/25		2,769,379
	2,615,000	Marriott Ownership Resorts, Inc., 4.75%, due 01/15/28		2,286,300
	8,344,000	NCL Finance Ltd., 144A, 6.13%, due 03/15/28		6,479,033
	1,540,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 144A, 4.63%, due 03/15/30		1,284,814
	1,454,000	Owens & Minor, Inc., 4.38%, due 12/15/24		1,412,565
	2,170,969	Peloton Interactive, Inc., Variable Rate, 0.00, due 05/25/27 (e)		2,132,977
	1,076,000	Penn Virginia Holdings LLC, 144A, 9.25%, due 08/15/26		1,056,417
	2,986,000	Redfin Corp., 0.00, due 10/15/25		1,896,934
	6,282,000	Rithm Capital Corp., 144A, 6.25%, due 10/15/25		5,572,511
	3,851,000	Royal Caribbean Cruises Ltd., 7.50%, due 10/15/27		3,277,201
	2,967,000	SeaWorld Parks & Entertainment, Inc., 144A, 8.75%, due 05/01/25		3,066,764
	2,000,000	Tempur Sealy International, Inc., 144A, 3.88%, due 10/15/31		1,538,955
	1,260,370	TGP Holdings III LLC, Variable Rate, 4.00%, due 06/29/28 (e)		1,009,556
	166,188	TGP Holdings III LLC, Variable Rate, 4.00%, due 06/29/28 (e)		133,117
	1,252,000	Townsquare Media, Inc., 144A, 6.88%, due 02/01/26		1,171,346
	1,846,000	United Wholesale Mortgage LLC, 144A, 5.75%, due 06/15/27		1,520,448
	1,680,000	Wayfair, Inc., 0.63%, due 10/01/25		1,182,366
	2,278,000	XHR LP, 144A, 4.88%, due 06/01/29		1,978,540
		Total Corporate Debt		113,624,173
		U.S. Government — 30.3%
	372,100,000	U.S. Treasury Note, 0.13%, due 02/28/23		366,387,684
	246,150,000	U.S. Treasury Note, 0.13%, due 04/30/23		240,986,620
	205,000,000	U.S. Treasury Note, 0.13%, due 06/30/23 (b)		199,466,601
	100,000,000	U.S. Treasury Note, 0.13%, due 07/31/23		97,000,000
	88,450,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 10/31/23		88,518,705
	175,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 2.83%, due 04/30/24 (b)		174,622,653
	52,105,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 07/31/24 (b)		52,035,956
		Total U.S. Government		1,219,018,219
		Total United States		1,355,594,085
		TOTAL DEBT OBLIGATIONS (COST $1,406,857,175)		1,370,411,579

Shares /     Par Value†		Description	Value ($)
		MUTUAL FUNDS — 0.5%
		United States — 0.5%
		Affiliated Issuers — 0.5%
	4,096,829	GMO U.S. Treasury Fund		20,443,175
		TOTAL MUTUAL FUNDS (COST $20,521,894)		20,443,175
		SHORT-TERM INVESTMENTS — 7.5%
		Money Market Funds — 0.4%
	15,576,711	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (i)		15,576,711
	218,243	State Street U.S. Treasury Liquidity Fund – Class D Shares, 2.04% (j)		218,243
		Total Money Market Funds		15,794,954
		Repurchase Agreements — 6.4%
	260,038,590	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 08/31/22, maturing on 09/01/22 with a maturity value of $260,054,842 and an effective yield of 2.25%, collateralized by a U.S. Treasury Note with maturity date 02/15/28 and a market value of $265,345,500.		260,038,590
		U.S. Government — 0.5%
	1,074,000	U.S. Treasury Bill, 2.64%, due 11/03/22 (b) (j) (k)		1,069,056
	2,100,000	U.S. Treasury Bill, 3.21%, due 02/02/23 (j) (k)		2,071,725
	16,300,000	U.S. Treasury Bill, 3.10%, due 05/18/23 (b) (j) (k)		15,946,726
		Total U.S. Government		19,087,507
		U.S. Government Agency — 0.2%
	7,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 2.36%, due 11/10/22		7,500,485
		TOTAL SHORT-TERM INVESTMENTS (COST $302,546,665)		302,421,536

77 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Description		Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Value ($)
Equity Options – Puts — 0.0%
VMware, Inc.			110.00		10/21/22		399		USD 4,629,597		85,785
	TOTAL PURCHASED OPTIONS (COST $72,241)										85,785
	TOTAL INVESTMENTS — 119.8% (Cost $5,537,035,581)										4,825,434,246

Shares		Description	Value ($)
		SECURITIES SOLD SHORT — (21.4)%
		Common Stocks — (21.1)%
		Australia — (0.5)%
	(750,061)	APA Group		(5,656,077	)
	(85,625)	ASX Ltd		(4,558,013	)
	(17,104)	Cochlear Ltd		(2,489,948	)
	(16,326)	Domino’s Pizza Enterprises Ltd		(703,685	)
	(64,267)	IDP Education Ltd		(1,265,198	)
	(1,578,229)	Qantas Airways Ltd*		(5,671,725	)
		Total Australia		(20,344,646	)
		Austria — (0.2)%
	(66,438)	Verbund AG		(6,348,659	)
		Belgium — (0.1)%
	(104,741)	Anheuser-Busch InBev SA/NV		(5,058,416	)
		Canada — (1.1)%
	(9,900)	Agnico Eagle Mines Ltd		(407,979	)
	(216,100)	Algonquin Power & Utilities Corp		(2,962,731	)
	(253,700)	AltaGas Ltd		(5,470,578	)
	(140,500)	Brookfield Renewable Corp – Class A		(5,393,795	)
	(145,100)	Enbridge Inc		(5,981,022	)
	(41,700)	Franco-Nevada Corp		(5,012,340	)
	(232,700)	Pan American Silver Corp		(3,462,576	)
	(179,400)	Pembina Pipeline Corp		(6,336,408	)
	(105,800)	Restaurant Brands International Inc		(6,242,200	)
	(19,600)	Ritchie Bros Auctioneers Inc		(1,359,064	)
		Total Canada		(42,628,693	)
		Finland — (0.0)%
	(5,253)	Elisa Oyj		(280,921	)
		France — (0.7)%
	(189,085)	Accor SA*		(4,509,898	)
	(40,185)	Aeroports de Paris*		(5,502,544	)
	(356,005)	Getlink SE		(6,703,942	)
	(4,447)	Hermes International		(5,695,563	)
	(4,669)	Sartorius Stedim Biotech		(1,707,740	)
	(35,201)	Ubisoft Entertainment SA*		(1,623,296	)
	(24,240)	Wendel SE		(1,904,586	)
		Total France		(27,647,569	)

Shares		Description	Value ($)
		Germany — (0.7)%
	(132,024)	Delivery Hero SE*		(5,479,156	)
	(7,606)	MTU Aero Engines AG		(1,341,412	)
	(54,477)	Puma SE		(3,329,829	)
	(30,458)	QIAGEN NV*		(1,381,468	)
	(4,690)	Rational AG		(2,529,603	)
	(28,186)	Scout24 SE		(1,623,881	)
	(51,520)	Symrise AG – Class A		(5,390,753	)
	(2,420,312)	Telefonica Deutschland Holding AG		(6,282,993	)
	(42,647)	Zalando SE*		(987,400	)
		Total Germany		(28,346,495	)
		Israel — (0.2)%
	(40,600)	CyberArk Software Ltd*		(5,857,768	)
	(34,100)	Kornit Digital Ltd*		(1,059,828	)
	(18,400)	Wix.com Ltd*		(1,164,536	)
		Total Israel		(8,082,132	)
		Italy — (0.5)%
	(143,236)	Amplifon SPA		(3,732,861	)
	(26,610)	Ferrari NV		(5,136,857	)
	(437,456)	FinecoBank Banca Fineco SPA		(4,729,903	)
	(499,261)	Infrastrutture Wireless Italiane SPA		(4,627,106	)
		Total Italy		(18,226,727	)
		Japan — (2.3)%
	(178,100)	Aeon Co Ltd		(3,473,972	)
	(267,300)	ANA Holdings Inc*		(5,139,203	)
	(211,000)	Asahi Intecc Co Ltd		(3,753,180	)
	(58,700)	East Japan Railway Co		(3,040,463	)
	(1,400)	Fast Retailing Co Ltd		(818,624	)
	(62,500)	GMO Payment Gateway Inc		(4,956,516	)
	(283,400)	Japan Airlines Co Ltd*		(5,183,478	)
	(114,000)	Japan Exchange Group Inc		(1,698,852	)
	(94,900)	Keio Corp		(3,610,977	)
	(31,600)	Keisei Electric Railway Co Ltd		(881,523	)
	(53,800)	Kintetsu Group Holdings Co Ltd		(1,826,870	)
	(41,600)	Lasertec Corp		(5,759,413	)
	(19,900)	LIXIL Corp		(346,050	)
	(190,800)	M3 Inc		(6,111,677	)
	(369,300)	MonotaRO Co Ltd		(6,626,085	)
	(51,600)	Nidec Corp		(3,427,890	)
	(274,600)	Nihon M&A Center Inc		(3,403,185	)

See accompanying notes to the financial statements. 78

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	(496,300)	Nippon Paint Holdings Co Ltd		(3,827,634	)
	(43,800)	Nissin Foods Holdings Co Ltd		(3,133,732	)
	(252,400)	Odakyu Electric Railway Co Ltd		(3,448,047	)
	(39,500)	ORIENTAL LAND CO LTD		(5,888,954	)
	(1,033,200)	Rakuten Group Inc		(5,014,387	)
	(33,600)	Shiseido Co Ltd		(1,269,200	)
	(106,600)	Tobu Railway Co Ltd		(2,518,544	)
	(252,700)	Tokyu Corp		(3,004,033	)
	(143,700)	West Japan Railway Co		(5,592,571	)
		Total Japan		(93,755,060	)
		Netherlands — (0.4)%
	(3,904)	Adyen NV*		(6,024,436	)
	(20,067)	IMCD NV		(2,768,359	)
	(171,659)	Just Eat Takeaway.com NV*		(2,855,624	)
	(244,322)	Universal Music Group NV		(4,851,734	)
		Total Netherlands		(16,500,153	)
		New Zealand — (0.1)%
	(90,042)	Xero Ltd*		(5,297,091	)
		Norway — (0.1)%
	(150,302)	Aker BP ASA		(5,265,204	)
		Peru — (0.1)%
	(72,955)	Southern Copper Corp		(3,433,992	)
		Singapore — (0.2)%
	(129,100)	City Developments Ltd		(749,581	)
	(1,198,200)	Singapore Airlines Ltd*		(4,549,389	)
	(551,700)	Singapore Exchange Ltd		(3,743,842	)
		Total Singapore		(9,042,812	)
		South Africa — (0.2)%
	(839,985)	Gold Fields Ltd – Sponsored ADR		(6,795,479	)
		Spain — (0.3)%
	(11,508)	Aena SME SA*		(1,413,432	)
	(136,545)	Cellnex Telecom SA		(5,317,433	)
	(267,241)	Ferrovial SA		(6,701,039	)
		Total Spain		(13,431,904	)
		Sweden — (0.2)%
	(476,380)	Embracer Group AB – Class B*		(2,955,683	)
	(53,578)	Evolution AB		(4,286,415	)
		Total Sweden		(7,242,098	)
		Switzerland — (0.3)%
	(9)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(980,045	)
	(5,138)	Partners Group Holding AG		(4,959,472	)
	(3,010)	Sika AG (Registered)		(677,234	)

Shares		Description	Value ($)
		Switzerland — continued
	(34,485)	Straumann Holding AG (Registered)		(3,778,961	)
		Total Switzerland		(10,395,712	)
		United Kingdom — (1.2)%
	(62,143)	Admiral Group Plc		(1,528,643	)
	(806,909)	Auto Trader Group Plc		(6,092,711	)
	(15,650)	Croda International Plc		(1,219,838	)
	(72,265)	Halma Plc		(1,738,331	)
	(380,565)	Hargreaves Lansdown Plc		(3,602,876	)
	(950,082)	Informa Plc*		(6,010,829	)
	(52,123)	InterContinental Hotels Group Plc		(2,829,558	)
	(173,082)	Land Securities Group Plc (REIT)		(1,305,455	)
	(70,480)	London Stock Exchange Group Plc		(6,611,132	)
	(560,673)	Ocado Group Plc*		(4,711,965	)
	(74,987)	Prudential Plc		(787,001	)
	(1,082,353)	Rentokil Initial Plc		(6,536,840	)
	(5,297,070)	Rolls-Royce Holdings Plc*		(4,720,846	)
	(18,182)	Spirax-Sarco Engineering Plc		(2,219,593	)
		Total United Kingdom		(49,915,618	)
		United States — (11.7)%
	(246,100)	AES Corp. (The)		(6,263,245	)
	(23,762)	Albertsons Cos., Inc. – Class A		(653,693	)
	(31,900)	Alnylam Pharmaceuticals, Inc.*		(6,592,773	)
	(108,700)	Altria Group, Inc.		(4,904,544	)
	(13,700)	American Tower Corp. (REIT)		(3,480,485	)
	(44,539)	Aon Plc – Class A		(12,437,961	)
	(145,300)	Aramark		(5,188,663	)
	(34,300)	Arthur J Gallagher & Co.		(6,227,851	)
	(23,600)	Autodesk, Inc.*		(4,761,064	)
	(45,600)	Bill.Com Holdings, Inc.*		(7,381,728	)
	(47,200)	BioMarin Pharmaceutical, Inc.*		(4,210,240	)
	(14,900)	Bio-Techne Corp.		(4,943,969	)
	(39,200)	Boeing Co. (The)*		(6,281,800	)
	(16,739)	Broadcom, Inc.		(8,354,602	)
	(27,700)	Burlington Stores, Inc.*		(3,883,263	)
	(121,300)	Caesars Entertainment, Inc.*		(5,230,456	)
	(12,300)	Carnival Corp.*		(116,358	)
	(133,300)	Carvana Co. – Class A*		(4,397,567	)
	(38,100)	Catalent, Inc.*		(3,352,800	)
	(105,900)	Ceridian HCM Holding, Inc.*		(6,315,876	)
	(28,244)	Charter Communications, Inc. – Class A*		(11,654,322	)
	(4,200)	Chipotle Mexican Grill, Inc. – Class A*		(6,706,560	)
	(228,500)	Clarivate Plc*		(2,666,595	)
	(84,900)	Cloudflare, Inc. – Class A*		(5,312,193	)
	(28,000)	CME Group, Inc.		(5,477,080	)
	(432,510)	Columbia Banking System, Inc.		(12,953,675	)
	(90,600)	Coupa Software, Inc.*		(5,291,040	)
	(19,400)	Crown Castle, Inc. (REIT)		(3,314,102	)
	(12,400)	Delta Air Lines, Inc.*		(385,268	)
	(73,200)	Dexcom, Inc.*		(6,017,772	)
	(40,500)	Diamondback Energy, Inc.		(5,397,840	)
	(41,100)	DocuSign, Inc. – Class A*		(2,392,842	)

79 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments—(Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	(56,800)	Dominion Energy, Inc.		(4,646,240	)
	(14,700)	Dynatrace, Inc.*		(561,246	)
	(3,600)	Equinix, Inc. (REIT)		(2,366,532	)
	(43,800)	Equity LifeStyle Properties, Inc. (REIT)		(3,070,380	)
	(129,300)	Exact Sciences Corp.*		(4,596,615	)
	(92,900)	Fastenal Co.		(4,675,657	)
	(93,500)	Fortinet, Inc.*		(4,552,515	)
	(184,911)	Fox Corp. – Class A		(6,320,258	)
	(14,100)	Gartner, Inc.*		(4,023,012	)
	(1)	Goldman Sachs Group, Inc. (The)		(333	)
	(65,600)	Guidewire Software, Inc.*		(4,704,176	)
	(29,158)	HEICO Corp.		(4,440,763	)
	(29,700)	Hess Corp.		(3,587,166	)
	(16,500)	HubSpot, Inc.*		(5,561,160	)
	(13,500)	IDEXX Laboratories, Inc.*		(4,692,870	)
	(73,400)	Ingersoll Rand, Inc.		(3,476,958	)
	(26,200)	Insulet Corp.*		(6,693,314	)
	(29,500)	IQVIA Holdings, Inc.*		(6,273,470	)
	(68,700)	Iron Mountain, Inc. (REIT)		(3,614,307	)
	(14,600)	Kroger Co.		(699,924	)
	(170,920)	Liberty Global Plc – Class C*		(3,642,305	)
	(109,100)	Liberty Media Corp.-Liberty Formula One – Class C*		(6,947,488	)
	(19,300)	Linde Plc*		(5,459,198	)
	(63,500)	Live Nation Entertainment, Inc.*		(5,737,860	)
	(3)	M&T Bank Corp.		(545	)
	(20,800)	MarketAxess Holdings, Inc.		(5,170,672	)
	(28,600)	Marriott International, Inc. – Class A		(4,396,964	)
	(30,643)	MaxLinear, Inc.*		(1,101,003	)
	(19,500)	MongoDB, Inc. – Class A*		(6,295,770	)
	(8,800)	Monolithic Power Systems, Inc.		(3,987,984	)
	(9,300)	Moody’s Corp.		(2,646,036	)
	(12,800)	MSCI, Inc. – Class A		(5,750,272	)
	(1,114,114)	New York Community Bancorp, Inc.		(10,907,176	)
	(174,800)	NiSource, Inc.		(5,158,348	)
	(83,000)	Novocure Ltd.*		(6,816,790	)
	(58,800)	Okta, Inc.*		(5,374,320	)
	(86,000)	ONEOK, Inc.		(5,265,780	)
	(198,300)	Palantir Technologies, Inc. – Class A*		(1,530,876	)
	(11,300)	Palo Alto Networks, Inc.*		(6,291,953	)
	(45,800)	Paychex, Inc.		(5,648,972	)
	(96,100)	Peloton Interactive, Inc. – Class A*		(979,259	)
	(60,700)	Philip Morris International, Inc.		(5,796,243	)
	(140,806)	Prologis, Inc. (REIT)		(17,531,755	)
	(2,100)	PTC, Inc.*		(241,269	)
	(1,800)	Public Storage (REIT)		(595,494	)
	(15,500)	RingCentral, Inc. – Class A*		(667,120	)
	(110,800)	ROBLOX Corp. – Class A*		(4,333,388	)
	(57,100)	Roku, Inc.*		(3,882,800	)
	(152,750)	Rollins, Inc.		(5,156,840	)
	(135,200)	Royal Caribbean Cruises Ltd.*		(5,522,920	)
	(1,500)	S&P Global, Inc.		(528,270	)
	(39,500)	Seagen, Inc.*		(6,094,455	)

Shares /     Par Value†		Description	Value ($)
		United States — continued
	(12,400)	ServiceNow, Inc.*		(5,389,288	)
	(18,600)	Sherwin-Williams Co. (The)		(4,317,060	)
	(25,700)	Simon Property Group, Inc. (REIT)		(2,620,886	)
	(182,800)	Snap, Inc. – Class A*		(1,988,864	)
	(15,300)	Starbucks Corp.		(1,286,271	)
	(64,400)	Sysco Corp.		(5,294,968	)
	(126,000)	Teladoc Health, Inc.*		(3,913,560	)
	(27,000)	Tesla, Inc.*		(7,441,470	)
	(7,800)	TransDigm Group, Inc.*		(4,683,042	)
	(56,100)	Twilio, Inc. – Class A*		(3,903,438	)
	(161,100)	Uber Technologies, Inc.*		(4,633,236	)
	(63,700)	UDR, Inc. (REIT)		(2,858,219	)
	(22,800)	Vail Resorts, Inc.		(5,122,704	)
	(27,300)	Wayfair, Inc. – Class A*		(1,438,983	)
	(215,600)	Williams Cos, Inc. (The)		(7,336,868	)
	(67,749)	Zillow Group, Inc. – Class C*		(2,266,882	)
	(9,100)	Zoetis, Inc.		(1,424,423	)
	(34,100)	Zscaler, Inc.*		(5,430,084	)
		Total United States		(471,915,494	)
		TOTAL COMMON STOCKS (PROCEEDS $1,024,287,380)		(849,954,875	)
		PREFERRED STOCKS (g) — (0.2)%
		Germany — (0.2)%
	(14,744)	Sartorius AG		(6,142,721	)
		TOTAL PREFERRED STOCKS (PROCEEDS $6,028,725)		(6,142,721	)
		DEBT OBLIGATIONS — (0.1)%
		China — (0.1)%
		Corporate Debt — (0.1)%
	(2,500,000)	Huarong Finance 2019 Co. Ltd, 3.75%, due 05/29/24		(2,325,238	)
	(2,500,000)	Huarong Finance 2019 Co. Ltd, 5.50%, due 01/16/25		(2,346,506	)
		Total China		(4,671,744	)
		United States — (0.0)%
		Corporate Debt — (0.0)%
	(1,447,000)	Brand Industrial Services, Inc., 8.50%, due 07/15/25		(1,144,231	)
		TOTAL DEBT OBLIGATIONS (PROCEEDS $6,002,177)		(5,815,975	)
		TOTAL SECURITIES SOLD SHORT (PROCEEDS $1,036,318,282)		(861,913,571	)
		Other Assets and Liabilities (net) — 2.0%		64,925,504
		TOTAL NET ASSETS — 100.0%		$4,028,446,179

See accompanying notes to the financial statements. 80

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost		Value as a Percentage of Fund’s Net Assets		Value as of August 31, 2022
Alrosa PJSC		12/06/17	$	15,372,968		0.0%		$	857,392
Magnitogorsk Iron & Steel Works PJSC		06/16/21		3,780,889		0.0%			142,166
Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered)		10/11/17		1,033,976		0.0%			51,275
PhosAgro PJSC GDR		10/15/21		2,792		0.0%			359
Sberbank of Russia PJSC		09/09/20		29,636,901		0.0%			1,243,855
Sberbank of Russia PJSC		01/10/22		183,324		0.0%			7,293
VTB Bank PJSC		01/09/20		587,690		0.0%			16,699
								$	2,319,039

A summary of outstanding financial instruments at August 31, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
11/09/2022	JPM	AUD	10,410,000		USD	7,171,642		41,852
09/09/2022	BOA	CAD	8,871,768		USD	6,865,741		110,869
10/03/2022	DB	CAD	11,969,490		USD	9,340,299		228,851
09/09/2022	MSCI	CAD	1,791,437		USD	1,386,136		22,155
09/19/2022	MSCI	CAD	1,806,246		USD	1,403,450		28,319
10/24/2022	MSCI	CAD	10,757,977		USD	8,318,415		129,808
09/09/2022	SSB	CAD	26,845,021		USD	21,397,411		957,891
09/16/2022	JPM	CHF	11,260,000		USD	11,866,017		334,403
09/30/2022	UBSA	CHF	30,561,281		USD	31,887,714		553,235
09/16/2022	MSCI	CLP	3,040,274,000		USD	3,429,912		46,685
09/16/2022	JPM	COP	27,360,000,000		USD	6,772,336		608,076
11/18/2022	JPM	CZK	115,511,617		USD	4,734,898		39,795
11/18/2022	MSCI	CZK	22,200,000		USD	916,432		14,087
09/30/2022	BCLY	EUR	9,890,000		USD	10,157,934		200,714
09/30/2022	DB	EUR	30,490,000		USD	32,335,262		1,638,026
09/30/2022	JPM	EUR	3,923,117		USD	3,995,984		46,202
09/30/2022	SSB	EUR	2,388,877		USD	2,447,098		41,984
10/18/2022	SSB	EUR	672,400		USD	677,944		136
09/30/2022	UBSA	EUR	6,141,076		USD	6,301,380		118,564
09/21/2022	BOA	GBP	3,210,000		USD	3,845,491		115,104
09/21/2022	BCLY	GBP	2,210,000		USD	2,618,739		50,466
09/21/2022	JPM	GBP	5,170,000		USD	6,275,164		267,032
10/18/2022	MSCI	GBP	9,913,136		USD	11,945,924		419,475
09/19/2022	UBSA	GBP	13,523,961		USD	15,999,942		284,149
11/30/2022	JPM	ILS	10,437,392		USD	3,224,453		76,057
11/30/2022	MSCI	ILS	2,400,000		USD	727,395		3,446
09/13/2022	BCLY	JPY	694,595,191		USD	5,280,671		276,842
10/11/2022	BCLY	JPY	225,908,306		USD	1,655,582		24,293
10/11/2022	JPM	JPY	852,302,626		USD	6,338,920		184,422
10/11/2022	MSCI	JPY	726,784,291		USD	5,387,172		139,046
10/11/2022	UBSA	JPY	458,671,698		USD	3,468,044		155,965

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
11/04/2022	MSCI	KRW	1,320,418,559		USD	1,011,005		26,750
11/30/2022	MSCI	NZD	65,250,000		USD	40,521,555		604,858
09/19/2022	SSB	NZD	4,736,376		USD	2,900,245		2,454
09/02/2022	BCLY	PHP	221,626,450		USD	3,990,494		43,803
10/03/2022	BCLY	PHP	284,126,450		USD	5,045,665		2,150
09/02/2022	CITI	PHP	62,500,000		USD	1,117,888		4,897
10/19/2022	DB	PLN	6,200,000		USD	1,332,002		23,247
10/19/2022	MSCI	PLN	7,450,000		USD	1,600,989		28,372
09/30/2022	BOA	RON	3,350,000		USD	694,036		1,718
09/21/2022	BOA	SGD	1,100,000		USD	799,462		12,256
09/21/2022	JPM	SGD	860,000		USD	618,783		3,332
09/21/2022	MSCI	SGD	6,696,457		USD	4,816,742		24,483
11/18/2022	BCLY	THB	284,398,956		USD	8,059,333		221,375
09/12/2022	BCLY	TWD	18,300,000		USD	605,319		2,840
09/12/2022	JPM	TWD	219,915,523		USD	7,334,674		94,537
10/04/2022	GS	USD	827,494		BRL	4,450,000		21,195
10/04/2022	MSCI	USD	6,625,654		BRL	35,526,756		149,894
09/16/2022	MSCI	USD	947,867		CLP	900,000,000		53,656
09/16/2022	JPM	USD	779,276		COP	3,640,000,000		40,823
11/04/2022	MSCI	USD	7,890,634		IDR	117,927,015,400		29,733
10/24/2022	MSCI	USD	7,152,985		MXN	149,181,232		178,441
10/18/2022	JPM	USD	27,933,040		NOK	288,322,042		1,102,674
09/16/2022	JPM	USD	741,964		PEN	2,920,000		15,929
09/16/2022	MSCI	USD	2,004,362		PEN	7,760,000		9,764
09/02/2022	BCLY	USD	5,055,541		PHP	284,126,450		4,141
09/21/2022	MSCI	USD	904,363		SGD	1,270,000		4,501
09/19/2022	DB	AUD	25,976,963		USD	17,565,934		(213,381	)
10/04/2022	GS	BRL	9,150,000		USD	1,654,829		(90,230	)
10/04/2022	JPM	BRL	4,750,000		USD	886,328		(19,577	)
09/19/2022	SSB	CAD	16,715,851		USD	12,725,619		(494	)
09/16/2022	JPM	CHF	26,002,875		USD	26,427,501		(202,616	)

81 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
11/18/2022	CITI	CZK	39,200,000		USD	1,580,781		(12,547	)
09/30/2022	BCLY	EUR	2,364,697		USD	2,375,047		(5,722	)
09/30/2022	JPM	EUR	1,720,996		USD	1,709,003		(23,691	)
09/30/2022	SSB	EUR	3,389,539		USD	3,392,374		(20,203	)
09/30/2022	UBSA	EUR	3,827,176		USD	3,841,340		(11,848	)
11/16/2022	BOA	HUF	315,000,000		USD	753,431		(22,082	)
11/16/2022	CITI	HUF	560,000,000		USD	1,377,796		(893	)
11/16/2022	MSCI	HUF	235,000,000		USD	569,487		(9,071	)
11/25/2022	GS	INR	23,000,000		USD	285,565		(1,571	)
11/25/2022	JPM	INR	526,193,440		USD	6,534,454		(34,654	)
10/03/2022	CITI	PHP	38,500,000		USD	682,648		(763	)
10/19/2022	BOA	PLN	4,450,000		USD	915,377		(23,972	)
10/19/2022	DB	PLN	4,450,000		USD	930,234		(9,114	)
10/19/2022	MSCI	PLN	883,099		USD	183,477		(2,936	)
09/30/2022	DB	RON	5,550,000		USD	1,141,104		(5,871	)
09/30/2022	GS	RON	3,300,000		USD	671,416		(10,569	)
09/30/2022	MSCI	RON	13,923,094		USD	2,839,999		(37,378	)
09/19/2022	BCLY	USD	8,211,206		AUD	11,816,169		(123,910	)
11/09/2022	BCLY	USD	21,692,883		AUD	31,169,950		(344,642	)
09/19/2022	DB	USD	5,515,776		AUD	7,987,342		(49,031	)
11/09/2022	JPM	USD	4,955,105		AUD	7,050,000		(126,573	)
09/19/2022	JPM	USD	3,463,799		AUD	4,956,508		(71,435	)
09/19/2022	SSB	USD	3,416,158		AUD	4,814,584		(120,931	)
10/04/2022	GS	USD	1,153,369		BRL	6,000,000		(9,069	)
10/04/2022	JPM	USD	648,447		BRL	3,300,000		(19,082	)
10/03/2022	BCLY	USD	54,057,918		CAD	69,452,532		(1,189,074	)
09/09/2022	BBH	USD	9,922,195		CAD	12,792,249		(182,309	)
09/19/2022	JPM	USD	4,778,376		CAD	6,152,107		(94,654	)
10/24/2022	JPM	USD	1,799,918		CAD	2,349,885		(11,266	)
09/19/2022	MSCI	USD	5,532,274		CAD	7,129,796		(104,217	)
10/24/2022	MSCI	USD	3,096,824		CAD	4,049,547		(14,447	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/19/2022	SSB	USD	11,075,402		CAD	14,213,024			(254,742	)
10/24/2022	SSB	USD	2,927,706		CAD	3,808,662			(28,681	)
10/24/2022	UBSA	USD	5,700,034		CAD	7,394,558			(71,547	)
09/30/2022	BCLY	USD	3,444,280		CHF	3,268,316			(93,275	)
09/30/2022	DB	USD	3,987,550		CHF	3,794,443			(97,109	)
09/16/2022	JPM	USD	22,426,567		CHF	21,570,000			(336,254	)
09/30/2022	UBSA	USD	3,890,538		CHF	3,721,773			(74,603	)
09/16/2022	MSCI	USD	493,550		CLP	440,000,000			(3,917	)
09/16/2022	JPM	USD	12,695,540		COP	49,361,529,900			(1,574,294	)
09/16/2022	MSCI	USD	2,190,808		COP	8,840,000,000			(199,140	)
09/30/2022	BCLY	USD	1,387,653		EUR	1,362,138			(16,257	)
09/30/2022	SSB	USD	5,391,315		EUR	5,293,752			(61,582	)
10/18/2022	BOA	USD	11,723,778		GBP	9,913,136			(197,330	)
09/19/2022	BCLY	USD	7,364,758		GBP	6,253,071			(98,250	)
09/21/2022	DB	USD	4,255,960		GBP	3,520,000			(165,317	)
09/19/2022	DB	USD	1,827,408		GBP	1,504,274			(79,336	)
09/21/2022	JPM	USD	22,885,730		GBP	19,460,000			(270,982	)
09/19/2022	SSB	USD	1,121,678		GBP	920,631			(51,839	)
09/19/2022	UBSA	USD	2,091,427		GBP	1,734,162			(76,209	)
11/16/2022	MSCI	USD	2,672,342		HUF	1,044,351,113			(101,206	)
09/15/2022	BOA	USD	27,331,667		JPY	3,678,470,971			(827,801	)
09/13/2022	DB	USD	25,102,364		JPY	3,383,291,647			(729,297	)
10/11/2022	MSCI	USD	47,292,044		JPY	6,332,266,650			(1,566,598	)
09/13/2022	SSB	USD	2,129,673		JPY	293,460,764			(15,596	)
11/04/2022	CITI	USD	768,120		KRW	1,000,000,000			(22,708	)
11/08/2022	BCLY	USD	15,535,933		SEK	157,716,128			(694,301	)
09/21/2022	SSB	USD	2,204,819		SGD	3,060,000			(14,958	)
11/30/2022	DB	USD	494,501		ZAR	8,400,000			(8,026	)
11/30/2022	MSCI	USD	806,097		ZAR	13,648,506			(15,662	)
								$	(1,100,868	)

See accompanying notes to the financial statements. 82

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration         Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
52	Australian Government Bond 10 Yr.	September 2022		4,268,269		37,126
792	CAC40 10 Euro	September 2022		48,475,535
						(3,715,770	)
118	Euro Bund	September 2022		17,546,896		(387,337	)
611	FTSE 100 Index	September 2022		51,562,975		(545,892	)
73	Hang Seng Index	September 2022		9,186,761		(140,031	)
1,369	Mini MSCI Emerging Markets	September 2022		67,211,055		(2,994,237	)
579	MSCI Singapore	September 2022		11,938,443		(307,548	)
96	Silver(j)	December 2022		8,583,360		(1,249,150	)
286	Soybean(j)	November 2022		20,341,750		(802,990	)
139	TOPIX Index	September 2022		19,492,194		(374,235	)
			$	258,607,238	$	(10,480,064	)

Number of Contracts +	Type	Expiration         Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
11	Canadian Government Bond 10 Yr.	December 2022		1,043,507		13
22	Corn(j)	December 2022		737,550		255
9	DAX Index	September 2022		2,898,442		206,852
55	E-mini Russell 2000 Index	September 2022		5,072,650		428,390
183	FTSE Taiwan Index	September 2022		9,482,869		217,837
23	Gold 100 OZ(j)	December 2022		3,970,260		49,710
2,248	S&P 500 E-Mini	September 2022		444,710,600		4,755,787
77	S&P/TSX 60	September 2022		13,660,487		543,597
479	SGX Nifty 50	September 2022		16,530,594		435,337
201	SPI 200 Futures	September 2022		23,504,580		(267,374	)
373	U.S. Treasury Note 10 Yr. (CBT)	December 2022		43,606,031		222,831
4	U.S. Ultra Bond (CBT)	December 2022		598,000		(6,068	)
82	UK Gilt Long Bond	December 2022		10,281,352		161,695
68	WTI Crude(j)	September 2022		6,089,400		274,352
			$	582,186,322	$	7,023,214

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Written Options

Description	Exercise Price	Expiration Date		Number of Contracts		Notional Amount				Value ($)
Equity Options – Calls
VMware, Inc.	115.00		10/21/22		(399)		USD	(4,629,597	)		(249,774	)
			TOTAL WRITTEN OPTIONS
					(Premiums $214,127)					$	(249,774	)

83 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount			Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)				Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Halliburton Co.	BOA		USD	1,140,000		1.00%		0.67%		N/A		12/20/2024		Quarterly			96,637				(8,323	)			(104,960	)
HCA, Inc.	BCLY		USD	1,140,000		5.00%		1.05%		N/A		12/20/2024		Quarterly			(139,584	)			(99,042	)			40,542
Tenet Healthcare Corp.	JPM		USD	570,000		5.00%		2.77%		N/A		12/20/2024		Quarterly			14,842				(27,345	)			(42,187	)
Tenet Healthcare Corp.	JPM		USD	1,140,000		5.00%		2.77%		N/A		12/20/2024		Quarterly			142,500				(54,690	)			(197,190	)
United Rentals North America, Inc.	CSI		USD	1,140,000		5.00%		1.14%		N/A		12/20/2024		Quarterly			(96,605	)			(96,679	)			(74	)
United Rentals North America, Inc.	JPM		USD	1,140,000		5.00%		1.14%		N/A		12/20/2024		Quarterly			(51,323	)			(96,679	)			(45,356	)
American Airlines Group, Inc.	GS		USD	1,120,000		5.00%		14.58%		N/A		12/20/2025		Quarterly			232,400				245,411				13,011
American Airlines Group, Inc.	BCLY		USD	2,970,000		5.00%		14.81%		N/A		06/20/2026		Quarterly			564,300				717,980				153,680
Sell Protection^:
American Airlines Group, Inc.	GS		USD	1,120,000		5.00%		10.57%		1,120,000 USD		12/20/2023		Quarterly			(128,800	)			(73,625	)			55,175
American Airlines Group, Inc.	BCLY		USD	2,970,000		5.00%		11.93%		2,970,000 USD		06/20/2024		Quarterly			(222,750	)			(315,487	)			(92,737	)
																$	411,617			$	191,521			$	(220,096	)

^ Buy Protection - 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.

Sell Protection - 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.

⁽¹⁾  As of August 31, 2022, 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.

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.83%	3 Month AUD BBSW	AUD	48,900,000		09/21/2024		Quarterly		—		(92,988	)		(92,988	)
3.40%	3 Month CAD CDOR	CAD	114,930,000		09/21/2024		Semi-Annually		—		1,171,536			1,171,536
3.53%	3 Month CAD CDOR	CAD	716,240,000		09/21/2024		Semi-Annually		646,612		5,943,785			5,297,173
3.69%	3 Month CAD CDOR	CAD	36,500,000		09/21/2024		Semi-Annually		—		215,647			215,647
3.61%	3 Month CAD CDOR	CAD	13,170,000		09/21/2024		Semi-Annually		—		93,647			93,647
3 Month CAD CDOR	3.45%	CAD	42,150,000		09/21/2024		Semi-Annually		—		(399,550	)		(399,550	)
3 Month CAD CDOR	3.52%	CAD	47,520,000		09/21/2024		Semi-Annually		—		(399,890	)		(399,890	)
3 Month CAD CDOR	3.69%	CAD	72,050,000		09/21/2024		Semi-Annually		—		(429,882	)		(429,882	)
3 Month CAD CDOR	3.76%	CAD	30,900,000		09/21/2024		Semi-Annually		—		(155,087	)		(155,087	)
3 Month CAD CDOR	3.91%	CAD	122,120,000		09/21/2024		Semi-Annually		—		(335,236	)		(335,236	)
3 Month CAD CDOR	3.93%	CAD	99,682,475		09/21/2024		Semi-Annually		—		(246,036	)		(246,036	)
3 Month CAD CDOR	3.95%	CAD	122,120,000		09/21/2024		Semi-Annually		—		(263,146	)		(263,146	)
3 Month CAD CDOR	3.97%	CAD	59,810,000		09/21/2024		Semi-Annually		—		(116,674	)		(116,674	)

See accompanying notes to the financial statements. 84

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3 Month CAD CDOR	3.98%	CAD	99,667,525		09/21/2024	Semi-Annually		—			(169,729	)		(169,729	)
3 Month CAD CDOR	4.01%	CAD	24,000,000		09/21/2024	Semi-Annually		—			(29,677	)		(29,677	)
CHF - SARON - OIS - COMPOUND	0.68%	CHF	48,100,000		09/21/2024	Semi-Annually		—			(530,729	)		(530,729	)
CHF - SARON - OIS - COMPOUND	0.89%	CHF	11,500,000		09/21/2024	Semi-Annually		—			(76,282	)		(76,282	)
CHF - SARON - OIS - COMPOUND	0.90%	CHF	28,500,000		09/21/2024	Semi-Annually		—			(183,212	)		(183,212	)
CHF - SARON - OIS - COMPOUND	1.18%	CHF	53,050,000		09/21/2024	Semi-Annually		—			(41,882	)		(41,882	)
CHF - SARON - OIS - COMPOUND	1.35%	CHF	222,200,000		09/21/2024	Semi-Annually		—			618,213			618,213
CHF - SARON - OIS - COMPOUND	1.42%	CHF	147,450,000		09/21/2024	Semi-Annually		—			633,577			633,577
0.84%	CHF - SARON - OIS - COMPOUND	CHF	572,530,000		09/21/2024	Annually		—			4,442,226			4,442,226
0.87%	CHF - SARON - OIS - COMPOUND	CHF	73,490,000		09/21/2024	Annually		(5,414	)		525,078			530,492
0.72%	CHF - SARON - OIS - COMPOUND	CHF	43,000,000		09/21/2024	Semi-Annually		—			434,850			434,850
EUR - EuroSTR - COMPOUND	1.35%	EUR	331,800,000		09/21/2024	Annually		1,275			(4,181,542	)		(4,182,817	)
EUR - EuroSTR - COMPOUND	1.37%	EUR	62,560,000		09/21/2024	Annually		17,981			(767,279	)		(785,260	)
1.82%	EUR - EuroSTR - COMPOUND	EUR	47,539,406		09/21/2024	Annually		—			158,317			158,317
1.87%	EUR - EuroSTR - COMPOUND	EUR	47,510,594		09/21/2024	Annually		—			104,394			104,394
1.37%	EUR - EuroSTR - COMPOUND	EUR	21,750,000		09/21/2024	Annually		—			264,163			264,163
1.19%	EUR - EuroSTR - COMPOUND	EUR	36,700,000		09/21/2024	Annually		—			576,312			576,312
1.14%	EUR - EuroSTR - COMPOUND	EUR	17,000,000		09/21/2024	Annually		—			284,865			284,865
1.28%	EUR - EuroSTR - COMPOUND	EUR	23,500,000		09/21/2024	Annually		—			330,493			330,493
1.03%	EUR - EuroSTR - COMPOUND	EUR	27,000,000		09/21/2024	Annually		—			511,734			511,734
1.13%	EUR - EuroSTR - COMPOUND	EUR	33,500,000		09/21/2024	Annually		—			567,678			567,678
1.81%	EUR - EuroSTR - COMPOUND	EUR	71,230,000		09/21/2024	Annually		—			252,079			252,079
1.79%	EUR - EuroSTR - COMPOUND	EUR	77,570,000		09/21/2024	Annually		—			306,894			306,894
GBP - SONIA - COMPOUND	2.65%	GBP	16,300,000		09/21/2024	Annually		—			(461,122	)		(461,122	)
GBP - SONIA - COMPOUND	2.73%	GBP	369,870,000		09/21/2024	Annually		332,010			(9,840,852	)		(10,172,862	)
3.28%	GBP - SONIA - COMPOUND	GBP	47,150,000		09/21/2024	Annually		—			683,808			683,808
3.27%	GBP - SONIA - COMPOUND	GBP	47,100,000		09/21/2024	Annually		—			697,075			697,075
2.84%	GBP - SONIA - COMPOUND	GBP	10,000,000		09/21/2024	Annually		—			241,746			241,746
2.67%	GBP - SONIA - COMPOUND	GBP	39,200,000		09/21/2024	Annually		—			1,099,037			1,099,037
3.13%	GBP - SONIA - COMPOUND	GBP	68,020,000		09/21/2024	Annually		—			1,217,747			1,217,747
3.08%	GBP - SONIA - COMPOUND	GBP	68,030,000		09/21/2024	Annually		—			1,282,301			1,282,301
3 Month SEK STIBOR	2.41%	SEK	1,068,500,000		09/21/2024	Quarterly		—			(1,433,615	)		(1,433,615	)
3 Month SEK STIBOR	2.54%	SEK	1,125,010,000		09/21/2024	Quarterly		195,171			(1,239,165	)		(1,434,336	)
3.23%	3 Month SEK STIBOR	SEK	528,500,000		09/21/2024	Quarterly		—			(71,794	)		(71,794	)
3.17%	3 Month SEK STIBOR	SEK	781,000,000		09/21/2024	Quarterly		—			(24,978	)		(24,978	)
3 Month SEK STIBOR	3.21%	SEK	315,000,000		09/21/2024	Quarterly		—			34,256			34,256
USD - SOFR - COMPOUND	2.71%	USD	29,790,000		09/21/2024	Semi-Annually		1,728			(480,070	)		(481,798	)
USD - SOFR - COMPOUND	2.95%	USD	52,080,000		09/21/2024	Semi-Annually		(11,822	)		(593,414	)		(581,592	)
3.29%	USD - SOFR - COMPOUND	USD	41,800,000		09/21/2024	Semi-Annually		—			205,253			205,253
2.87%	USD - SOFR - COMPOUND	USD	23,700,000		09/21/2024	Semi-Annually		—			305,208			305,208
3.49%	USD - SOFR - COMPOUND	USD	40,650,000		09/21/2024	Semi-Annually		—			39,427			39,427

85 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
2.11%	EUR - EuroSTR - COMPOUND	EUR	25,500,000		12/21/2024		Annually		—			(380	)		(380	)
GBP - SONIA - COMPOUND	4.04%	GBP	30,000,000		12/21/2024		Annually		—			(6,775	)		(6,775	)
6 Month AUD BBSW	3.73%	AUD	13,000,000		09/21/2032		Semi-Annually		—			(264,347	)		(264,347	)
6 Month AUD BBSW	3.85%	AUD	14,400,000		09/21/2032		Semi-Annually		—			(193,471	)		(193,471	)
6 Month AUD BBSW	3.93%	AUD	22,080,000		09/21/2032		Semi-Annually		—			(198,199	)		(198,199	)
6 Month AUD BBSW	4.04%	AUD	16,880,000		09/21/2032		Semi-Annually		(15,489	)		(54,477	)		(38,988	)
6 Month AUD BBSW	4.04%	AUD	16,800,000		09/21/2032		Semi-Annually		—			(53,276	)		(53,276	)
6 Month AUD BBSW	4.08%	AUD	101,980,000		09/21/2032		Semi-Annually		—			(83,161	)		(83,161	)
6 Month AUD BBSW	4.27%	AUD	11,350,000		09/21/2032		Semi-Annually		20,009			110,427			90,418
4.67%	6 Month AUD BBSW	AUD	27,890,000		09/21/2032		Semi-Annually		—			(899,423	)		(899,423	)
4.59%	6 Month AUD BBSW	AUD	11,690,000		09/21/2032		Semi-Annually		—			(326,831	)		(326,831	)
4.27%	6 Month AUD BBSW	AUD	17,850,000		09/21/2032		Semi-Annually		—			(180,175	)		(180,175	)
4.38%	6 Month AUD BBSW	AUD	14,290,000		09/21/2032		Semi-Annually		—			(230,403	)		(230,403	)
4.33%	6 Month AUD BBSW	AUD	18,290,000		09/21/2032		Semi-Annually		—			(243,603	)		(243,603	)
4.27%	6 Month AUD BBSW	AUD	13,630,000		09/21/2032		Semi-Annually		(20,617	)		(133,374	)		(112,757	)
3.65%	6 Month AUD BBSW	AUD	14,300,000		09/21/2032		Semi-Annually		—			354,145			354,145
4.16%	6 Month AUD BBSW	AUD	13,600,000		09/21/2032		Semi-Annually		—			(48,409	)		(48,409	)
3.90%	3 Month CAD CDOR	CAD	23,081,495		09/21/2032		Semi-Annually		—			(493,856	)		(493,856	)
3.99%	3 Month CAD CDOR	CAD	23,078,505		09/21/2032		Semi-Annually		—			(615,772	)		(615,772	)
3.88%	3 Month CAD CDOR	CAD	9,160,000		09/21/2032		Semi-Annually		—			(180,638	)		(180,638	)
3.77%	3 Month CAD CDOR	CAD	16,530,000		09/21/2032		Semi-Annually		—			(211,972	)		(211,972	)
3.51%	3 Month CAD CDOR	CAD	9,560,000		09/21/2032		Semi-Annually		—			37,621			37,621
3.25%	3 Month CAD CDOR	CAD	15,200,000		09/21/2032		Semi-Annually		—			317,487			317,487
3.20%	3 Month CAD CDOR	CAD	11,000,000		09/21/2032		Semi-Annually		—			265,920			265,920
3.06%	3 Month CAD CDOR	CAD	10,500,000		09/21/2032		Semi-Annually		—			345,877			345,877
3.13%	3 Month CAD CDOR	CAD	14,700,000		09/21/2032		Semi-Annually		—			422,640			422,640
3.27%	3 Month CAD CDOR	CAD	11,000,000		09/21/2032		Semi-Annually		—			212,744			212,744
3.52%	3 Month CAD CDOR	CAD	12,100,000		09/21/2032		Semi-Annually		—			41,377			41,377
3.58%	3 Month CAD CDOR	CAD	12,200,000		09/21/2032		Semi-Annually		—			(9,788	)		(9,788	)
3 Month CAD CDOR	3.15%	CAD	26,201,000		09/21/2032		Semi-Annually		(5,545	)		(717,839	)		(712,294	)
3 Month CAD CDOR	3.49%	CAD	26,040,000		09/21/2032		Semi-Annually		—			(136,042	)		(136,042	)
3 Month CAD CDOR	3.55%	CAD	8,300,000		09/21/2032		Semi-Annually		—			(13,938	)		(13,938	)
3 Month CAD CDOR	3.58%	CAD	164,260,000		09/21/2032		Semi-Annually		(314,102	)		94,733			408,835
3.97%	CAD CDOR	CAD	13,790,000		09/21/2032		Semi-Annually		—			(350,607	)		(350,607	)
3.94%	CAD CDOR	CAD	28,150,000		09/21/2032		Semi-Annually		—			(667,623	)		(667,623	)
3.90%	CAD CDOR	CAD	28,150,000		09/21/2032		Semi-Annually		—			(596,859	)		(596,859	)
CHF - SARON - OIS - COMPOUND	1.27%	CHF	97,478,000		09/21/2032		Semi-Annually		210,911			(4,089,677	)		(4,300,588	)
CHF - SARON - OIS - COMPOUND	1.27%	CHF	8,200,000		09/21/2032		Semi-Annually		—			(350,292	)		(350,292	)
CHF - SARON - OIS - COMPOUND	1.64%	CHF	109,640,000		09/21/2032		Annually		—			(790,458	)		(790,458	)
CHF - SARON - OIS - COMPOUND	1.64%	CHF	15,230,000		09/21/2032		Annually		—			(112,709	)		(112,709	)
CHF - SARON - OIS - COMPOUND	1.70%	CHF	7,360,000		09/21/2032		Annually		(4,396	)		(12,315	)		(7,919	)
2.13%	CHF - SARON - OIS - COMPOUND	CHF	32,340,000		09/21/2032		Semi-Annually		—			(1,285,639	)		(1,285,639	)
2.08%	CHF - SARON - OIS - COMPOUND	CHF	48,840,000		09/21/2032		Semi-Annually		—			(1,689,830	)		(1,689,830	)
1.77%	CHF - SARON - OIS - COMPOUND	CHF	2,500,000		09/21/2032		Semi-Annually		—			(12,521	)		(12,521	)
1.60%	CHF - SARON - OIS - COMPOUND	CHF	10,410,000		09/21/2032		Semi-Annually		—			111,818			111,818
1.54%	CHF - SARON - OIS - COMPOUND	CHF	1,740,000		09/21/2032		Semi-Annually		—			27,991			27,991

See accompanying notes to the financial statements. 86

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.63%	CHF - SARON - OIS - COMPOUND	CHF	6,100,000		09/21/2032		Semi-Annually		—			47,181			47,181
1.17%	CHF - SARON - OIS - COMPOUND	CHF	12,700,000		09/21/2032		Semi-Annually		—			660,721			660,721
1.73%	CHF - SARON - OIS - COMPOUND	CHF	6,000,000		09/21/2032		Semi-Annually		—			(10,006	)		(10,006	)
EUR - EuroSTR - COMPOUND	1.43%	EUR	7,500,000		09/21/2032		Annually		—			(459,898	)		(459,898	)
EUR - EuroSTR - COMPOUND	1.44%	EUR	90,700,000		09/21/2032		Annually		305,959			(5,507,866	)		(5,813,825	)
EUR - EuroSTR - COMPOUND	1.49%	EUR	5,800,000		09/21/2032		Annually		—			(328,378	)		(328,378	)
EUR - EuroSTR - COMPOUND	1.49%	EUR	7,900,000		09/21/2032		Annually		—			(441,503	)		(441,503	)
EUR - EuroSTR - COMPOUND	1.49%	EUR	6,600,000		09/21/2032		Annually		—			(369,754	)		(369,754	)
EUR - EuroSTR - COMPOUND	1.71%	EUR	4,900,000		09/21/2032		Annually		—			(178,312	)		(178,312	)
EUR - EuroSTR - COMPOUND	1.76%	EUR	5,100,000		09/21/2032		Annually		—			(161,839	)		(161,839	)
EUR - EuroSTR - COMPOUND	1.90%	EUR	8,030,000		09/21/2032		Annually		—			(149,959	)		(149,959	)
EUR - EuroSTR - COMPOUND	2.00%	EUR	4,770,000		09/21/2032		Annually		—			(45,739	)		(45,739	)
EUR - EuroSTR - COMPOUND	2.19%	EUR	17,110,000		09/21/2032		Annually		—			134,359			134,359
EUR - EuroSTR - COMPOUND	2.21%	EUR	10,375,654		09/21/2032		Annually		—			96,636			96,636
EUR - EuroSTR - COMPOUND	2.22%	EUR	15,710,000		09/21/2032		Annually		—			164,968			164,968
EUR - EuroSTR - COMPOUND	2.32%	EUR	10,554,346		09/21/2032		Annually		—			202,390			202,390
2.25%	EUR - EuroSTR - COMPOUND	EUR	8,540,000		09/21/2032		Annually		—			(109,563	)		(109,563	)
1.81%	EUR - EuroSTR - COMPOUND	EUR	66,420,000		09/21/2032		Annually		57,904			1,807,485			1,749,581
1.82%	EUR - EuroSTR - COMPOUND	EUR	13,560,000		09/21/2032		Annually		(13,322	)		352,910			366,232
1.51%	EUR - EuroSTR - COMPOUND	EUR	10,600,000		09/21/2032		Annually		—			579,329			579,329
1.46%	EUR - EuroSTR - COMPOUND	EUR	18,700,000		09/21/2032		Annually		—			1,102,281			1,102,281
1.83%	EUR - EuroSTR - COMPOUND	EUR	8,400,000		09/21/2032		Annually		—			213,248			213,248
2.09%	EUR - EuroSTR - COMPOUND	EUR	7,400,000		09/21/2032		Annually		—			13,181			13,181
GBP - SONIA - COMPOUND	1.89%	GBP	9,600,000		09/21/2032		Annually		—			(1,031,086	)		(1,031,086	)
GBP - SONIA - COMPOUND	2.15%	GBP	11,000,000		09/21/2032		Annually		—			(906,494	)		(906,494	)
GBP - SONIA - COMPOUND	2.18%	GBP	7,000,000		09/21/2032		Annually		—			(551,815	)		(551,815	)
GBP - SONIA - COMPOUND	2.25%	GBP	8,550,000		09/21/2032		Annually		—			(616,592	)		(616,592	)
GBP - SONIA - COMPOUND	2.44%	GBP	2,200,000		09/21/2032		Annually		—			(118,328	)		(118,328	)
GBP - SONIA - COMPOUND	2.46%	GBP	9,800,000		09/21/2032		Annually		—			(503,562	)		(503,562	)
GBP - SONIA - COMPOUND	2.58%	GBP	10,480,000		09/21/2032		Annually		—			(415,742	)		(415,742	)
GBP - SONIA - COMPOUND	2.58%	GBP	15,050,000		09/21/2032		Annually		—			(608,098	)		(608,098	)
GBP - SONIA - COMPOUND	2.63%	GBP	15,040,000		09/21/2032		Annually		—			(534,717	)		(534,717	)

87 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
GBP - SONIA - COMPOUND	2.74%	GBP	10,370,000		09/21/2032		Annually		—			(257,376	)		(257,376	)
2.26%	GBP - SONIA - COMPOUND	GBP	78,360,000		09/21/2032		Annually		(107,319	)		5,597,244			5,704,563
2.56%	GBP - SONIA - COMPOUND	GBP	4,550,000		09/21/2032		Annually		—			193,210			193,210
2.18%	GBP - SONIA - COMPOUND	GBP	2,730,000		09/21/2032		Annually		9,836			216,412			206,576
2.09%	GBP - SONIA - COMPOUND	GBP	79,883,000		09/21/2032		Annually		8,506			7,037,212			7,028,706
2.93%	GBP - SONIA - COMPOUND	GBP	7,700,000		09/21/2032		Annually		—			45,812			45,812
4.13%	3 Month NZD Bank Bill Rate	NZD	111,770,000		09/21/2032		Quarterly		—			(7,387	)		(7,387	)
4.17%	3 Month NZD Bank Bill Rate	NZD	29,080,000		09/21/2032		Quarterly		23,847			(61,721	)		(85,568	)
4.06%	3 Month NZD Bank Bill Rate	NZD	26,700,000		09/21/2032		Quarterly		—			83,941			83,941
3.94%	3 Month NZD Bank Bill Rate	NZD	21,200,000		09/21/2032		Quarterly		—			196,372			196,372
3.99%	3 Month NZD Bank Bill Rate	NZD	18,700,000		09/21/2032		Quarterly		—			122,568			122,568
3 Month NZD Bank Bill Rate	3.63%	NZD	24,700,000		09/21/2032		Quarterly		—			(612,832	)		(612,832	)
3 Month NZD Bank Bill Rate	3.80%	NZD	16,925,000		09/21/2032		Quarterly		—			(275,616	)		(275,616	)
3 Month NZD Bank Bill Rate	4.16%	NZD	19,960,000		09/21/2032		Quarterly		—			37,859			37,859
3 Month NZD Bank Bill Rate	4.21%	NZD	20,200,000		09/21/2032		Quarterly		—			81,373			81,373
3 Month NZD Bank Bill Rate	4.26%	NZD	10,460,000		09/21/2032		Quarterly		—			72,303			72,303
3 Month NZD Bank Bill Rate	4.26%	NZD	15,990,000		09/21/2032		Quarterly		—			104,513			104,513
3 Month NZD Bank Bill Rate	4.54%	NZD	16,180,000		09/21/2032		Quarterly		—			335,008			335,008
3 Month NZD Bank Bill Rate	4.55%	NZD	39,090,000		09/21/2032		Quarterly		—			833,868			833,868
3 Month SEK STIBOR	2.63%	SEK	75,000,000		09/21/2032		Quarterly		—			(120,425	)		(120,425	)
3 Month SEK STIBOR	2.71%	SEK	112,000,000		09/21/2032		Quarterly		—			(100,317	)		(100,317	)
3 Month SEK STIBOR	2.77%	SEK	96,000,000		09/21/2032		Quarterly		—			(45,091	)		(45,091	)
3 Month SEK STIBOR	2.83%	SEK	191,000,000		09/21/2032		Quarterly		—			6,374			6,374
3 Month SEK STIBOR	2.85%	SEK	47,976,000		09/21/2032		Quarterly		(13,996	)		11,022			25,018
3 Month SEK STIBOR	2.87%	SEK	85,000,000		09/21/2032		Quarterly		—			29,045			29,045
3 Month SEK STIBOR	2.89%	SEK	233,000,000		09/21/2032		Quarterly		—			126,881			126,881
2.62%	3 Month SEK STIBOR	SEK	237,000,000		09/21/2032		Quarterly		—			381,503			381,503
2.77%	3 Month SEK STIBOR	SEK	243,050,000		09/21/2032		Quarterly		(68,231	)		104,300			172,531
2.65%	3 Month SEK STIBOR	SEK	142,100,000		09/21/2032		Quarterly		—			205,104			205,104
2.48%	3 Month SEK STIBOR	SEK	115,200,000		09/21/2032		Quarterly		—			318,172			318,172
2.59%	3 Month SEK STIBOR	SEK	309,000,000		09/21/2032		Quarterly		—			590,170			590,170
2.51%	3 Month SEK STIBOR	SEK	112,000,000		09/21/2032		Quarterly		—			286,614			286,614
2.42%	3 Month SEK STIBOR	SEK	190,000,000		09/21/2032		Quarterly		—			617,262			617,262
2.23%	3 Month SEK STIBOR	SEK	153,000,000		09/21/2032		Quarterly		—			732,933			732,933
2.35%	3 Month SEK STIBOR	SEK	131,000,000		09/21/2032		Quarterly		—			507,964			507,964
2.24%	3 Month SEK STIBOR	SEK	194,000,000		09/21/2032		Quarterly		—			921,469			921,469
2.39%	3 Month SEK STIBOR	SEK	81,000,000		09/21/2032		Quarterly		—			285,166			285,166
2.85%	3 Month SEK STIBOR	SEK	70,000,000		09/21/2032		Quarterly		20,461			(15,968	)		(36,429	)
3 Month SEK STIBOR	3.03%	SEK	552,138,000		09/21/2032		Quarterly		330,813			932,357			601,544
3 Month SEK STIBOR	3.08%	SEK	175,700,000		09/21/2032		Quarterly		173,848			362,984			189,136
3 Month SEK STIBOR	3.12%	SEK	119,300,000		09/21/2032		Quarterly		160,601			287,606			127,005
USD - SOFR - COMPOUND	2.56%	USD	9,000,000		09/21/2032		Semi-Annually		—			(289,126	)		(289,126	)

See accompanying notes to the financial statements. 88

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)				Net Unrealized Appreciation/ (Depreciation) ($)
USD - SOFR - COMPOUND	2.57%	USD	7,800,000		09/21/2032		Semi-Annually			—				(249,569	)			(249,569	)
USD - SOFR - COMPOUND	2.58%	USD	14,300,000		09/21/2032		Semi-Annually			—				(436,002	)			(436,002	)
USD - SOFR - COMPOUND	2.61%	USD	9,600,000		09/21/2032		Semi-Annually			—				(270,389	)			(270,389	)
USD - SOFR - COMPOUND	2.63%	USD	5,260,000		09/21/2032		Semi-Annually			—				(137,963	)			(137,963	)
USD - SOFR - COMPOUND	2.77%	USD	10,820,000		09/21/2032		Semi-Annually			—				(153,401	)			(153,401	)
USD - SOFR - COMPOUND	2.78%	USD	22,300,000		09/21/2032		Semi-Annually			—				(302,722	)			(302,722	)
USD - SOFR - COMPOUND	2.79%	USD	10,600,000		09/21/2032		Semi-Annually			—				(137,051	)			(137,051	)
USD - SOFR - COMPOUND	3.02%	USD	9,290,000		09/21/2032		Semi-Annually			—				68,610				68,610
USD - SOFR - COMPOUND	3.06%	USD	44,110,000		09/21/2032		Semi-Annually			—				458,664				458,664
USD - SOFR - COMPOUND	3.11%	USD	39,970,000		09/21/2032		Semi-Annually			—				603,129				603,129
USD - SOFR - COMPOUND	3.11%	USD	39,972,798		09/21/2032		Semi-Annually			—				580,805				580,805
USD - SOFR - COMPOUND	3.11%	USD	41,877,202		09/21/2032		Semi-Annually			—				617,488				617,488
USD - SOFR - COMPOUND	3.12%	USD	31,890,000		09/21/2032		Semi-Annually			—				501,793				501,793
USD - SOFR - COMPOUND	3.12%	USD	9,130,000		09/21/2032		Semi-Annually			—				142,876				142,876
3.18%	USD - SOFR - COMPOUND	USD	17,410,000		09/21/2032		Semi-Annually			—				(356,374	)			(356,374	)
2.64%	USD - SOFR - COMPOUND	USD	6,810,000		09/21/2032		Semi-Annually			(17,904	)			174,514				192,418
2.57%	USD - SOFR - COMPOUND	USD	12,010,000		09/21/2032		Semi-Annually			—				379,620				379,620
2.68%	USD - SOFR - COMPOUND	USD	27,650,000		09/21/2032		Semi-Annually			—				615,739				615,739
2.80%	USD - SOFR - COMPOUND	USD	268,800,000		09/21/2032		Semi-Annually			(498,721	)			3,186,190				3,684,911
2.83%	USD - SOFR - COMPOUND	USD	11,610,000		09/21/2032		Semi-Annually			(1,642	)			107,636				109,278
2.88%	USD - SOFR - COMPOUND	USD	5,800,000		09/21/2032		Semi-Annually			—				30,806				30,806
3.56%	3 Month CAD CDOR	CAD	13,000,000		12/21/2032		Semi-Annually			—				5,793				5,793
EUR - EuroSTR - COMPOUND	2.17%	EUR	5,600,000		12/21/2032		Annually			—				10,987				10,987
3.00%	GBP - SONIA - COMPOUND	GBP	6,600,000		12/21/2032		Annually			—				(4,401	)			(4,401	)
2.96%	GBP - SONIA - COMPOUND	GBP	11,800,000		12/21/2032		Annually			—				28,304				28,304
2.89%	USD - SOFR - COMPOUND	USD	14,100,000		12/21/2032		Semi-Annually			—				46,186				46,186
									$	1,418,952			$	5,481,084			$	4,062,132

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

1 Month Federal Funds Rate plus 0.09%

Total Return on MSCI World Daily Total Return Net Growth Index

GS

USD

9,357,786

05/09/2023

Monthly

—

(347,950

)

(347,950

)

89 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

OTC Total Return Swaps — continued

Fund Pays	Fund Receives	Counterparty		Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%		GS	USD	8,810,852		05/09/2023	Monthly		—		468,372				468,372
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.08%		GS	USD	900,972		05/09/2023	Monthly		—		47,894				47,894
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Growth Index		UBSA	USD	11,083,701		05/12/2023	Monthly		—		(579,035	)			(579,035	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%		UBSA	USD	11,777,375		05/12/2023	Monthly		—		831,742				831,742
1 Month Federal Funds Rate plus 0.05%	Total Return on MSCI World Daily Total Return Net Growth Index		UBSA	USD	10,031,814		05/22/2023	Monthly		—		(219,389	)			(219,389	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.06%		UBSA	USD	10,679,402		05/22/2023	Monthly		—		389,562				389,562
1 Month Federal Funds Rate plus 0.01%	Total Return on MSCI World Daily Total Return Net Growth Index		UBSA	USD	10,321,360		08/09/2023	Monthly		—		(383,779	)			(383,779	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 1.00%		UBSA	USD	8,676,923		08/09/2023	Monthly		—		461,252				461,252
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.75%		GS	USD	1		05/24/2024	Monthly		—		(15,836	)			(15,836	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 1.00%		MORD	USD	1		05/24/2024	Monthly		—		(3,188	)			(3,188	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.40%		MORD	USD	1		05/24/2024	Monthly		—		(140,848	)			(140,848	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.40%		GS	USD	17,543,020		05/24/2024	Monthly		—		473,306				473,306
Total Return on Equity Basket (m)	1 Month Federal Funds Rate plus 0.40%		MORD	USD	87,231,926		05/24/2024	Monthly		—		2,105,162				2,105,162
										$—	$	3,087,265			$	3,087,265

See accompanying notes to the financial statements. 90

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

As of August 31, 2022, 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.

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

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

(c) Securities are traded on separate exchanges for the same entity.

(d) 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. Investment valued using significant unobservable inputs (Note 2).

(e) Investment valued using significant unobservable inputs (Note 2).

(f) The security is restricted as to resale.

(g) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(h) Security is in default.

(i) The rate disclosed is the 7 day net yield as of August 31, 2022.

(j) 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.

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

(l) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(m) The following table represents the individual long and/or short positions within the custom equity basket swap as of August 31, 2022:

Shares		Description	%of Equity Basket		Value ($)
	(3,184,800)	Airports of Thailand Pcl NVDR		7.5%		(6,346,518	)
	(4,978,000)	Alibaba Health Information Technology Ltd		3.4%		(2,852,712	)
	(1,400)	Alibaba Pictures Group Ltd		11.0%		(7,123	)
	(6,000)	China Cosco Holdings Co – Class H		2.0%		(8,396	)
	(313,200)	China Molybdenum Co Lt – Class H		13.2%		(1,133,622	)
	499	China Resources Beer Holdings Co Ltd		6.5%		2,515
	(132,100)	China Yuhua Education Corp Ltd		2.1%		(5,322,906	)
	(649,000)	Far EasTone Telecommunications Co Ltd		1.9%		(1,591,708	)
	(433,720)	Ganfeng Lithium Co Ltd – Class H		4.5%		(3,810,429	)
	(2,826,000)	Greentown Service Group Co Ltd		7.1%		(5,484,991	)
	(3,421,600)	Gulf Energy Development Pcl NVDR		5.6%		(4,801,370	)
	(4,752,000)	Haidilao International Holding Ltd		0.4%		(5,369,632	)
	(6,699)	Hanmi Pharm Co Ltd		1.8%		(1,535,144	)
	(680,000)	Hong Kong Exchanges and Clearing Ltd		11.7%		(4,740,292	)
	(64,874)	Hotel Shilla Co Ltd		4.2%		(3,553,741	)
	(126)	Iljin Materials Co Ltd		0.0%		(6,905	)
	(45,846)	Kakao Corp		2.9%		(2,489,605	)
	(920,000)	Kingdee International Software Group Co Ltd		10.0%		(736,968	)
	(128,296)	Korea Aerospace Industries Ltd		6.8%		(5,821,531	)
	(8,523,000)	New World Development Co Ltd		1.4%		(3,800,547	)
	(10,120)	POSCO Chemical Co Ltd		1.5%		(1,258,056	)
	(8,628)	Samsung Biologics Co Ltd		6.3%		(5,366,263	)
	(953,502)	Samsung Heavy Industries Co Ltd		5.0%		(4,230,537	)
	(2,524,000)	Sands China Ltd		3.4%		(5,643,908	)
	(327,700)	SJM Holdings Ltd		0.7%		(651,166	)
	(548,000)	Taiwan High Speed Rail Corp		0.6%		(523,925	)
	(913,500)	Wynn Resorts Ltd		5.8%		(1,851,515	)
	(1,368,000)	Yihai International Holding Ltd.		9.7%		(988,317	)
	(37,829)	Yuhan Corp		1.9%		(1,599,823	)
	(325,600)	Zhaojin Mining Industry Co Ltd		2.2%		(2,821,156	)
	(8,660,000)	Zijin Mining Group Co Ltd – Class H		12.8%		(681,258	)
		TOTAL COMMON STOCKS			$	(85,027,549	)

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 114.

91 See accompanying notes to the financial statements.

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.5	%
Short-Term Investments		4.1
Preferred Stocks		1.1
Debt Obligations		0.9
Futures Contracts		(0.1	)
Other		(2.5	)
		100.0	%

Country/Region Summary¤	% of Investments
Japan		28.8	%
United Kingdom		16.4
France		8.9
Netherlands		6.0
Switzerland		5.6
Spain		4.8
Singapore		4.2
Germany		3.9
Australia		3.5
Norway		3.5
Other Emerging		3.2	†
Taiwan		2.8
Hong Kong		2.1
Other Developed		1.9	‡
Korea		1.7
Italy		1.4
Portugal		1.3
		100.0	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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 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.

92

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,202,662	GMO Emerging Markets ex-China Fund, Class VI		15,959,328
	8,739,699	GMO International Equity Fund, Class IV		170,511,523
	497,119	GMO-Usonian Japan Value Creation Fund, Class VI		7,869,392
		TOTAL MUTUAL FUNDS (COST $233,480,809)		194,340,243
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	73,454	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (a)		73,454
		TOTAL SHORT-TERM INVESTMENTS (COST $73,454)		73,454
		TOTAL INVESTMENTS — 100.0% (Cost $233,554,263)		194,413,697
		Other Assets and Liabilities (net) — (0.0%)		(14,345	)
		TOTAL NET ASSETS — 100.0%	$	194,399,352

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2022.

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 114.

93 See accompanying notes to the financial statements.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.6	%
Short-Term Investments		3.2
Preferred Stocks		2.1
Debt Obligations		0.7
Futures Contracts		(0.1	)
Other		(1.5	)
		100.0	%

Country/Region Summary¤	% of Investments
Japan		19.9	%
Taiwan		10.9
United Kingdom		10.6
China		10.2
France		5.9
Korea		5.8
Other Emerging		5.0	†
Netherlands		3.9
Switzerland		3.7
Spain		3.1
Singapore		2.9
India		2.7
Germany		2.6
Australia		2.3
Norway		2.3
Other Developed		2.2	‡
Brazil		1.7
Mexico		1.5
Hong Kong		1.5
Indonesia		1.3
		100.0	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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 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.

94

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	2,926,608	GMO Emerging Markets ex-China Fund, Class VI		38,836,092
	6,016,609	GMO Emerging Markets Fund, Class VI		141,149,641
	14,159,861	GMO International Equity Fund, Class IV		276,258,891
	1,257,486	GMO-Usonian Japan Value Creation Fund, Class VI		19,905,999
		TOTAL MUTUAL FUNDS (COST $591,121,721)		476,150,623
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	361,767	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (a)		361,767
		TOTAL SHORT-TERM INVESTMENTS (COST $361,767)		361,767
		TOTAL INVESTMENTS — 100.0% (Cost $591,483,488)		476,512,390
		Other Assets and Liabilities (net) — (0.0%)		(34,003	)
		TOTAL NET ASSETS — 100.0%	$	476,478,387

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2022.

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 114.

95 See accompanying notes to the financial statements.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		85.3	%
Short-Term Investments		18.3
Swap Contracts		0.2
Forward Currency Contracts		(0.7	)
Futures Contracts		(2.5	)#
Other		(0.6	)
		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.

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). The exposure the Fund has to futures contracts based on notional amounts is 14.4% of total net assets.

# Some or all is comprised of commodity exposure. See the Consolidated Schedule of Investments.

96

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Par Value† /         Shares		Description	Value ($)
		DEBT OBLIGATIONS — 85.3%
		United States — 85.3%
		U.S. Government — 77.2%
	21,000,000	U.S. Treasury Note, 0.13%, due 12/31/22 (a)		20,799,112
	1,400,000	U.S. Treasury Note, 0.13%, due 04/30/23 (a)		1,370,633
	31,000,000	U.S. Treasury Note, 0.13%, due 06/30/23		30,163,242
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 10/31/23 (b)		20,015,535
	85,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 2.83%, due 04/30/24 (a) (b)		84,816,717
	5,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 2.94%, due 07/31/24 (a) (b)		4,993,375
		Total U.S. Government		162,158,614
		U.S. Government Agency — 8.1%
	10,000,000	Federal Home Loan Banks, 1.67%, due 12/19/22		9,965,210
	7,000,000	Federal Home Loan Banks, 1.00%, due 03/02/23		7,000,234
		Total U.S. Government Agency		16,965,444
		Total United States		179,124,058
		TOTAL DEBT OBLIGATIONS (COST $180,268,253)		179,124,058
		SHORT-TERM INVESTMENTS — 18.3%
		Money Market Funds — 1.2%
	2,277,352	State Street Institutional Treasury Money Market Fund – Premier Class, 2.10% (c)		2,277,352
	214,769	State Street U.S. Treasury Liquidity Fund – Class D Shares, 2.04% (a)		214,769
		Total Money Market Funds		2,492,121
		U.S. Government — 17.1%
	1,500,000	U.S. Treasury Bill, 3.21%, due 02/02/23 (a) (d)		1,479,804
	35,000,000	U.S. Treasury Bill, 3.30%, due 02/23/23 (d)		34,452,578
		Total U.S. Government		35,932,382
		TOTAL SHORT-TERM INVESTMENTS (COST $38,441,380)		38,424,503
		TOTAL INVESTMENTS — 103.6% (Cost $218,709,633)		217,548,561
		Other Assets and Liabilities (net) — (4.0%)		(7,570,208	)
		TOTAL NET ASSETS — 100.0%	$	209,978,353

97 See accompanying notes to the financial statements.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

A summary of outstanding financial instruments at August 31, 2022 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold	Currency Purchased		Net Unrealized Appreciation (Depreciation)($)
09/19/2022	MSCI	CAD            22,432	USD	17,430		352
10/24/2022	MSCI	CAD       6,633,799	USD	5,129,467		80,045
09/30/2022	UBSA	CHF     19,258,067	USD	20,093,913		348,619
09/30/2022	JPM	EUR       2,292,345	USD	2,334,922		26,997
09/30/2022	SSB	EUR       1,650,650	USD	1,690,879		29,010
09/30/2022	UBSA	EUR       3,600,586	USD	3,694,989		69,931
09/19/2022	UBSA	GBP       8,524,494	USD	10,085,167		179,106
09/13/2022	BCLY	JPY   578,860,608	USD	4,350,096		180,013
10/11/2022	BCLY	JPY   134,963,537	USD	989,088		14,514
09/13/2022	GS	JPY   430,331,791	USD	3,236,836		136,747
10/11/2022	JPM	JPY   612,653,107	USD	4,558,177		134,195
10/11/2022	MSCI	JPY   425,465,947	USD	3,153,852		81,553
10/11/2022	UBSA	JPY   269,813,934	USD	2,040,079		91,746
09/19/2022	SSB	NZD       3,012,789	USD	1,844,834		1,561
09/19/2022	DB	AUD     16,534,044	USD	11,180,519		(135,815	)
09/19/2022	SSB	CAD     11,792,462	USD	8,977,489		(349	)
09/30/2022	BCLY	EUR       1,369,352	USD	1,375,346		(3,314	)
09/30/2022	JPM	EUR       1,000,392	USD	993,421		(13,771	)
09/30/2022	SSB	EUR       1,945,792	USD	1,947,420		(11,598	)
09/30/2022	UBSA	EUR       2,216,546	USD	2,224,749		(6,862	)
09/19/2022	BOA	USD          888,285	AUD	1,270,553		(18,685	)
09/19/2022	BCLY	USD       4,700,596	AUD	6,764,357		(70,893	)
09/19/2022	DB	USD       3,231,734	AUD	4,679,738		(28,798	)
09/19/2022	JPM	USD       2,124,883	AUD	3,040,592		(43,822	)

Settlement Date	Counter- party	Currency Sold	Currency Purchased		Net Unrealized Appreciation (Depreciation)($)
09/19/2022	SSB	USD        2,027,496	AUD	2,857,464		(71,772	)
09/19/2022	JPM	USD        2,863,592	CAD	3,686,843		(56,724	)
10/24/2022	JPM	USD        1,042,916	CAD	1,361,580		(6,528	)
09/19/2022	MSCI	USD        3,285,228	CAD	4,233,884		(61,887	)
10/24/2022	MSCI	USD        1,790,787	CAD	2,341,714		(8,354	)
09/19/2022	SSB	USD        7,401,063	CAD	9,493,063		(173,806	)
10/24/2022	SSB	USD        1,682,437	CAD	2,188,688		(16,482	)
10/24/2022	UBSA	USD        3,301,692	CAD	4,283,224		(41,447	)
09/30/2022	BCLY	USD        2,398,327	CHF	2,276,866		(63,857	)
09/30/2022	DB	USD        2,343,642	CHF	2,230,160		(57,060	)
09/30/2022	SSB	USD        1,016,609	CHF	963,546		(28,685	)
09/30/2022	UBSA	USD        2,464,739	CHF	2,357,830		(47,257	)
09/30/2022	BCLY	USD           861,627	EUR	845,784		(10,094	)
09/30/2022	SSB	USD        3,402,620	EUR	3,341,045		(38,866	)
09/19/2022	BCLY	USD        4,781,984	GBP	4,043,589		(83,051	)
09/19/2022	DB	USD        1,214,700	GBP	1,000,413		(52,151	)
09/19/2022	SSB	USD           707,724	GBP	580,873		(32,708	)
09/19/2022	UBSA	USD        1,323,455	GBP	1,097,377		(48,225	)
09/13/2022	DB	USD      10,512,530	JPY	1,416,876,640		(305,420	)
10/11/2022	MSCI	USD      37,748,736	JPY	5,055,781,481		(1,240,820	)
09/13/2022	SSB	USD           392,634	JPY	54,103,498		(2,875	)
					$	(1,407,587	)

See accompanying notes to the financial statements. 98

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
30	Australian Government Bond 10 Yr.	September 2022			2,462,463			21,418
457	CAC40 10 Euro	September 2022			27,971,363			(2,144,945	)
68	Euro Bund	September 2022			10,111,771			(192,249	)
353	FTSE 100 Index	September 2022			29,790,065			(302,939	)
42	Hang Seng Index	September 2022			5,285,534			(80,568	)
793	Mini MSCI Emerging Markets	September 2022			38,932,335			(1,813,575	)
344	MSCI Singapore	September 2022			7,092,961			(182,736	)
57	Silver(a)	December 2022			5,096,370			(737,353	)
165	Soybean(a)	November 2022			11,735,625			(540,089	)
80	TOPIX Index	September 2022			11,218,529			(244,309	)
				$	149,697,016		$	(6,217,345	)

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
7	Canadian Government Bond 10 Yr.	December 2022			664,050			(26	)
12	Corn(a)	December 2022			402,300			139
5	DAX Index	September 2022			1,610,246			210,665
32	E-mini Russell 2000 Index	September 2022			2,951,360			249,417
109	FTSE Taiwan Index	September 2022			5,648,266			129,679
13	Gold 100 OZ(a)	December 2022			2,244,060			27,995
248	S&P 500 E-Mini	September 2022			49,060,600			(215,485	)
45	S&P/TSX 60	September 2022			7,983,401			330,954
117	SPI 200 Futures	September 2022			13,681,770			(186,031	)
216	U.S. Treasury Note 10 Yr. (CBT)	December 2022			25,251,750			129,315
51	UK Gilt Long Bond	December 2022			6,394,500			101,112
39	WTI Crude(a)	September 2022			3,492,450			158,208
				$	119,384,753		$	935,942

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

Swap Contracts

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/   (Depreciation) ($)

Total Return on MSCI World

1 Month Federal Funds Rate plus 0.09%

Daily Total Return Net Growth Index

GS

USD

7,921,690

05/09/2023

Monthly

—

(294,552

)

(294,552

)

TotalReturnon MSCI World Daily Total Return Net Growth Index

1 Month Federal Funds Rate minus 0.08%

GS

USD

7,451,277

05/09/2023

Monthly

—

396,099

396,099

Total Return on MSCI World Daily Total Return Net Growth Index

1 Month Federal Funds Rate minus 0.08%

GS

USD

762,985

05/09/2023

Monthly

—

40,559

40,559

Total Return on MSCI World

1 Month Federal Funds Rate plus 0.01%

Daily Total Return Net Growth Index

UBSA

USD

9,378,560

05/12/2023

Monthly

—

(489,955

)

(489,955

)

Total Return on MSCI World Daily Total Return Net Growth Index

1 Month Federal Funds Rate plus 0.02%

UBSA

USD

9,965,389

05/12/2023

Monthly

—

703,776

703,776

99 See accompanying notes to the financial statements.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

Swap Contracts — continued

OTC Total Return Swaps — continued

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)		Value ($)				Net Unrealized Appreciation/   (Depreciation) ($)
	Total Return on MSCI World
1 Month Federal Funds Rate plus 0.05%	Daily Total Return Net Growth Index	UBSA		USD	6,875,355		05/22/2023	Monthly		—			(150,359	)			(150,359	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.06%	UBSA		USD	7,099,980		05/22/2023	Monthly		—			258,992				258,992
										$—		$	464,560			$	464,560

As of August 31, 2022, 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) 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.

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

(c) The rate disclosed is the 7 day net yield as of August 31, 2022.

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

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 114.

See accompanying notes to the financial statements. 100

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2022 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		89.0	%
Short-Term Investments		17.6
Debt Obligations		15.1
Preferred Stocks		1.3
Swap Contracts		0.1
Loan Assignments		0.1
Forward Currency Contracts		0.0	^
Loan Participations		0.0	^
Investment Funds		0.0	^
Rights/Warrants		0.0	^
Written Options/Credit Linked Options		0.0	^
Reverse Repurchase Agreements		(0.0	)^
Futures Contracts		(0.0	)^
Securities Sold Short		(16.6	)
Other		(6.6	)
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		4.1	%
Other Emerging		3.1	†
European Union		0.2	§
Other Developed		(0.1	)‡
		7.3	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		20.4	%
Japan		11.8
Taiwan		6.0
China		5.6
Other Developed		5.2	‡
United Kingdom		4.2
South Korea		3.4
Other Emerging		2.8	†
France		2.2
India		1.7
Netherlands		1.6
Spain		1.4
Australia		1.2
Brazil		1.2
Hong Kong		1.1
Mexico		1.1
Switzerland		1.1
Singapore		1.0
		73.0	%

& The table 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, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table 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. 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 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%.

101

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 38.3%
		Australia — 1.2%
	28,066	Aurizon Holdings Ltd (a)		70,983
	81,259	Beach Energy Ltd		93,921
	24,559	BlueScope Steel Ltd		275,548
	26,364	Brambles Ltd (a)		221,885
	1,134	Brickworks Ltd		15,698
	15,165	CSR Ltd		46,528
	16,867	Dexus (REIT) (a)		99,768
	31,193	Fortescue Metals Group Ltd (a)		387,653
	22,136	Genworth Mortgage Insurance Australia Ltd		42,589
	44,850	GPT Group (The) (REIT) (a)		127,800
	16,654	GrainCorp Ltd – Class A (a)		94,194
	9,515	Incitec Pivot Ltd		25,145
	4,845	JB Hi-Fi Ltd (a)		133,624
	3,919	McMillan Shakespeare Ltd		38,184
	38,140	Metcash Ltd (a)		106,731
	98,347	Mirvac Group (REIT) (a)		140,059
	453	Rio Tinto Ltd (a)		28,771
	44,089	Scentre Group (REIT) (a)		87,618
	5,324	Sims Ltd		54,930
	42,562	Stockland (REIT) (a)		104,697
		Total Australia		2,196,326
		Belgium — 0.4%
	476	Ackermans & van Haaren NV		69,588
	5,008	Ageas SA/NV		203,202
	1,493	Bekaert SA		45,795
	6,633	Proximus SADP		84,432
	569	Sofina SA		114,059
	2,479	UCB SA (a)		174,191
		Total Belgium		691,267
		Brazil — 0.1%
	3,700	Banco do Brasil SA		29,650
	7,000	Petroleo Brasileiro SA Sponsored ADR (a)		100,030
	8,200	Telefonica Brasil SA ADR (a)		66,584
	1,655	Vale SA		20,519
		Total Brazil		216,783
		Canada — 1.6%
	3,000	Birchcliff Energy Ltd		26,429
	7,200	BlackBerry Ltd * (a)		42,768
	4,670	Brookfield Asset Management Inc – Class A (a)		224,674
	3,500	Canadian Apartment Properties (REIT) (a)		119,043
	1,700	Canadian Tire Corp Ltd – Class A (a)		199,946
	2,600	Canfor Corp *		51,016
	8,358	Celestica Inc *		86,231
	700	Cogeco Inc (a)		33,669
	3,500	Finning International Inc		75,418
	400	iA Financial Corp Inc		21,487
	4,000	Interfor Corp *		98,405

Shares		Description	Value ($)
		Canada — continued
	3,800	Magna International Inc		219,519
	9,200	Manulife Financial Corp (a) (b)		159,153
	3,700	Manulife Financial Corp (a) (b)		63,973
	2,918	Nutrien Ltd (a)		267,785
	2,300	Onex Corp		113,743
	1,700	Parex Resources Inc		27,195
	2,000	Power Corp of Canada (a)		51,426
	3,200	PrairieSky Royalty Ltd		43,614
	7,300	Quebecor Inc – Class B (a)		157,689
	1,100	Sleep Country Canada Holdings Inc		22,195
	12,700	Teck Resources Ltd – Class B* (a) (b)		430,118
	3,000	Teck Resources Ltd – Class B (b)		101,550
	1,900	Topaz Energy Corp		29,917
	1,800	Uni-Select Inc * (a)		50,916
	3,200	West Fraser Timber Co Ltd (b)		286,291
	400	West Fraser Timber Co Ltd (b)		35,880
		Total Canada		3,040,050
		China — 1.2%
	17,195	Alibaba Group Holding Ltd *		205,146
	1,300	Autohome Inc ADR (a)		46,293
	330,000	Bank of China Ltd – Class H		115,159
	269,000	Bank of Communications Co Ltd – Class H		153,268
	16,000	Beijing Enterprises Holdings Ltd		47,591
	110,000	China Communications Services Corp Ltd – Class H		47,234
	12,500	China Conch Venture Holdings Ltd		25,510
	318,000	China Construction Bank Corp – Class H		196,582
	71,000	China Overseas Land & Investment Ltd		190,810
	270,000	China Railway Group Ltd – Class H		154,573
	286,000	China Zhongwang Holdings Ltd * (c)		61,218
	131,000	CITIC Ltd		135,045
	82,000	Dongfeng Motor Group Co Ltd – Class H*		51,992
	32,000	Fosun International Ltd		23,620
	17,500	Kingboard Holdings Ltd		55,260
	40,800	Shanghai Pharmaceuticals Holding Co Ltd – Class H		59,315
	154,000	Shimao Group Holdings Ltd (c)		86,725
	46,400	Sinopharm Group Co Ltd – Class H		103,369
	271,000	Sunac China Holdings Ltd * (c)		158,138
	2,301	Tencent Holdings Ltd		95,102
	14,500	Vipshop Holdings Ltd ADR * (a)		168,345
		Total China		2,180,295
		Denmark — 0.4%
	34	AP Moller – Maersk A/S – Class A (a)		79,428
	88	AP Moller – Maersk A/S – Class B (a)		211,125
	17,132	Danske Bank A/S		228,762
	2,296	Pandora A/S		137,936
	3,387	Scandinavian Tobacco Group A/S		50,759
		Total Denmark		708,010

See accompanying notes to the financial statements. 102

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Finland — 0.4%
	2,711	Metsa Board Oyj – Class B		23,307
	3,575	Neste Oyj (a)		176,379
	57,326	Nokia Oyj (a)		288,886
	27,393	Outokumpu Oyj		109,845
	11,386	Stora Enso Oyj – R Shares (a)		169,492
		Total Finland		767,909
		France — 1.4%
	3,743	ALD SA (a)		40,740
	1,888	APERAM SA		50,960
	8,555	ArcelorMittal SA		203,045
	865	Arkema SA		73,025
	3,837	BNP Paribas SA (a)		178,306
	7,301	Coface SA *		73,006
	7,253	Derichebourg SA		40,802
	2,637	Ipsen SA		252,722
	1,905	IPSOS (a)		86,546
	289	Kering SA (a)		145,007
	368	LVMH Moet Hennessy Louis Vuitton SE (a)		237,458
	4,198	Metropole Television SA (a)		51,821
	8,528	Publicis Groupe SA (a)		416,382
	2,705	Quadient SA		45,820
	2,438	Safran SA (a)		248,565
	16,358	SES SA, ADR – Class A		114,839
	702	Societe BIC SA		39,934
	9,024	Societe Generale SA		198,938
	8,502	Television Francaise 1 (a)		53,918
		Total France		2,551,834
		Germany — 0.6%
	1,118	Aurubis AG		67,691
	1,522	Bayer AG (Registered) (a)		80,496
	2,466	Bayerische Motoren Werke AG		181,692
	1,625	Beiersdorf AG (a)		164,027
	3,942	Deutsche Pfandbriefbank AG		34,020
	182	Draegerwerk AG & Co KGaA (a)		7,357
	2,702	Fresenius SE & Co KGaA (a)		66,843
	3,578	HeidelbergCement AG		161,573
	368	Hornbach Holding AG & Co KGaA		25,957
	9,298	Kloeckner & Co SE		83,909
	3,422	Mercedes-Benz Group AG		191,857
	1,307	Salzgitter AG		32,132
	986	SAP SE (a)		83,977
		Total Germany		1,181,531
		Hong Kong — 0.8%
	15,300	ASMPT Ltd (a)		118,505
	13,200	Bank of East Asia Ltd (The)		16,631
	12,000	Chow Sang Sang Holdings International Ltd		13,510
	122,000	CITIC Telecom International Holdings Ltd		42,122
	36,500	CK Hutchison Holdings Ltd (a)		235,704

Shares		Description	Value ($)
		Hong Kong —continued
	7,200	Dah Sing Financial Holdings Ltd		19,169
	114,000	First Pacific Co Ltd		43,962
	21,248	Galaxy Entertainment Group Ltd		118,770
	21,000	HK Electric Investments & HK Electric Investments Ltd – Class SS (a)		17,522
	70,000	HKT Trust & HKT Ltd – Class SS (a)		93,911
	26,000	Johnson Electric Holdings Ltd		30,708
	40,000	K Wah International Holdings Ltd (a)		15,085
	20,000	Kerry Properties Ltd (a)		46,111
	74,000	Pacific Textiles Holdings Ltd		27,790
	47,000	PCCW Ltd		23,528
	28,000	Power Assets Holdings Ltd (a)		167,474
	60,000	Shun Tak Holdings Ltd * (a)		9,992
	16,000	Sino Land Co Ltd (a)		23,397
	34,000	Sun Hung Kai & Co Ltd		15,670
	2,000	Sun Hung Kai Properties Ltd (a)		23,496
	9,000	Swire Pacific Ltd – Class A (a)		62,251
	64,000	VSTECS Holdings Ltd		42,311
	11,600	VTech Holdings Ltd		78,885
	289,500	WH Group Ltd (a)		197,243
	23,500	Yue Yuen Industrial Holdings Ltd		35,039
		Total Hong Kong		1,518,786
		India — 0.4%
	17,787	GAIL India Ltd		30,225
	9,803	Hindalco Industries Ltd		53,046
	17,130	Hindustan Petroleum Corp Ltd		51,876
	25,377	Indian Oil Corp Ltd		22,660
	70,886	NTPC Ltd		145,085
	160,581	Oil & Natural Gas Corp Ltd		277,382
	163,782	Tata Steel Ltd		220,199
		Total India		800,473
		Ireland — 0.4%
	47,279	Bank of Ireland Group Plc		291,312
	5,092	Glanbia Plc		64,801
	6,929	Origin Enterprises Plc		25,974
	12,511	Ryanair Holdings Plc *		155,001
	325	Ryanair Holdings Plc Sponsored ADR * (a)		23,631
	7,081	Smurfit Kappa Group Plc		237,423
		Total Ireland		798,142
		Israel — 0.3%
	8,071	Bank Leumi Le-Israel BM		85,320
	8,519	Isracard Ltd		28,358
	26,900	Teva Pharmaceutical Industries Ltd Sponsored ADR * (a)		243,176
	7,600	ZIM Integrated Shipping Services Ltd		274,284
		Total Israel		631,138
		Italy — 0.8%
	2,000	ACEA SPA (a)		23,949
	2,745	Ascopiave SPA (a)		7,110

103 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	2,511	Banca IFIS SPA		29,983
	3,249	Credito Emiliano SPA		18,783
	7,906	EXOR NV (a)		475,982
	25,115	Italgas SPA (a)		129,184
	32,364	Leonardo SPA		264,861
	69,988	MFE-MediaForEurope NV – Class A* (a)		29,689
	12,322	Stellantis NV (a)		164,136
	783,313	Telecom Italia SPA *		161,565
	83,254	Telecom Italia SPA – RSP *		16,511
	37,435	Unipol Gruppo SPA		156,762
		Total Italy		1,478,515
		Japan — 10.3%
	1,500	ADEKA Corp		25,312
	18,600	Aeon Mall Co Ltd (a)		221,849
	1,821	AGC Inc (a)		61,803
	2,700	Aisin Corp		80,284
	9,400	Amano Corp		173,888
	400	Arata Corp		11,852
	2,300	Arcland Sakamoto Co Ltd		24,662
	8,000	Arcs Co Ltd (a)		116,976
	32,300	Asahi Kasei Corp (a)		236,042
	1,600	Astellas Pharma Inc (a)		22,684
	9,800	Brother Industries Ltd		187,548
	1,900	Canon Marketing Japan Inc		43,086
	17,400	Chugoku Marine Paints Ltd		110,328
	14,200	Citizen Watch Co Ltd		60,671
	8,300	Dai Nippon Printing Co Ltd (a)		174,705
	200	Dai Nippon Toryo Co Ltd		1,069
	300	Daiichi Jitsugyo Co Ltd		8,245
	600	Daishi Hokuetsu Financial Group Inc		11,289
	4,900	Daiwa House Industry Co Ltd (a)		109,550
	26,600	Daiwabo Holdings Co Ltd		374,452
	9,700	Denka Co Ltd		232,374
	200	Eizo Corp		5,444
	2,200	ENEOS Holdings Inc (a)		8,314
	700	ESPEC Corp		9,149
	16,800	EXEO Group Inc		257,753
	7,700	Ezaki Glico Co Ltd		200,351
	12,700	Fuji Corp		184,728
	3,700	Fuji Electric Co Ltd (a)		159,848
	2,000	FUJIFILM Holdings Corp (a)		101,534
	1,600	Fukuoka Financial Group Inc		28,591
	8,500	H.U. Group Holdings Inc (a)		172,645
	1,900	Hanwa Co Ltd		47,003
	29,900	Haseko Corp		342,631
	2,900	Hazama Ando Corp		17,986
	8,600	Hogy Medical Co Ltd (a)		215,088
	17,900	Honda Motor Co Ltd (a)		476,539
	2,900	Idemitsu Kosan Co Ltd		76,465
	3,100	Iida Group Holdings Co Ltd		47,222
	1,300	Inabata & Co Ltd		22,748
	54,800	Inpex Corp (a)		629,906

Shares		Description	Value ($)
		Japan — continued
	4,300	Isuzu Motors Ltd		53,405
	7,300	ITOCHU Corp (a)		200,901
	2,100	Itochu Enex Co Ltd		16,476
	5,300	Itoham Yonekyu Holdings Inc		25,631
	1,500	Jaccs Co Ltd		41,250
	15,800	JFE Holdings Inc		169,748
	1,700	Juroku Financial Group Inc		30,081
	28,900	JVCKenwood Corp		42,423
	21,800	Kajima Corp		229,391
	4,800	Kandenko Co Ltd		28,884
	800	Kaneka Corp		21,457
	17,000	Kanematsu Corp		183,906
	500	Kanematsu Electronics Ltd (a)		15,253
	2,600	KDDI Corp (a)		79,563
	4,500	Kinden Corp		47,485
	17,000	Kirin Holdings Co Ltd (a)		279,850
	600	Kissei Pharmaceutical Co Ltd		10,683
	800	Kohnan Shoji Co Ltd		19,830
	3,100	Kokuyo Co Ltd (a)		39,925
	2,900	Komeri Co Ltd		54,466
	10,000	Konoike Transport Co Ltd (a)		94,902
	17,300	K’s Holdings Corp (a)		159,392
	9,700	Kyudenko Corp		195,270
	1,000	Macnica Holdings Inc		21,456
	14,400	Macromill Inc		109,195
	16,300	Mandom Corp (a)		175,328
	11,100	Maruichi Steel Tube Ltd		236,629
	400	Maruzen Showa Unyu Co Ltd		9,134
	15,700	Maxell Ltd		166,521
	10,800	Mebuki Financial Group Inc		20,699
	7,400	Mitsubishi Corp (a)		242,281
	700	Mitsuboshi Belting Ltd		16,092
	900	Mitsui DM Sugar Holdings Co Ltd		12,112
	6,900	Mitsui OSK Lines Ltd (a)		179,770
	6,800	Morinaga & Co Ltd		194,229
	6,500	MS&AD Insurance Group Holdings Inc (a)		193,933
	8,100	NEC Corp (a)		295,420
	10,600	NGK Spark Plug Co Ltd		217,487
	9,500	NH Foods Ltd		271,940
	1,100	Nichiha Corp		21,921
	16,800	Nikon Corp		191,776
	1,100	Nippon Soda Co Ltd		36,374
	7,200	Nippon Steel Corp (a)		113,732
	200	Nippon Steel Trading Corp		7,695
	10,700	Nippon Suisan Kaisha Ltd		43,785
	10,900	Nippon Telegraph & Telephone Corp (a)		295,437
	8,500	Nippon Television Holdings Inc (a)		72,230
	800	Nippon Yusen KK (a)		61,019
	1,900	Nojima Corp (a)		38,280
	27,700	Obayashi Corp		191,589
	3,400	Okamura Corp		32,466
	1,200	Organo Corp		79,819
	3,600	ORIX Corp (a)		59,175
	400	Osaka Soda Co Ltd		10,857

See accompanying notes to the financial statements. 104

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	17,200	Pacific Industrial Co Ltd		133,922
	38,600	Penta-Ocean Construction Co Ltd		203,705
	1,400	Proto Corp		11,235
	1,000	Raito Kogyo Co Ltd		13,280
	1,200	Raiznext Corp		10,361
	2,400	Renesas Electronics Corp * (a)		22,725
	2,900	Rohm Co Ltd (a)		216,972
	2,600	San-A Co Ltd (a)		77,644
	1,600	San-Ai Oil Co Ltd		12,660
	3,100	Sanki Engineering Co Ltd		36,617
	8,400	Sankyu Inc (a)		258,361
	5,100	Sawai Group Holdings Co Ltd		150,719
	4,100	Secom Co Ltd (a)		261,208
	1,300	Sega Sammy Holdings Inc		19,298
	10,500	Seiko Epson Corp		164,995
	13,100	Sekisui House Ltd (a)		222,761
	400	Sekisui Jushi Corp		4,946
	2,400	Shimamura Co Ltd (a)		217,536
	28,800	Shimizu Corp		157,924
	1,100	Shizuoka Gas Co Ltd (a)		8,233
	1,100	Sinko Industries Ltd		12,730
	16,940	Sojitz Corp		285,031
	19,300	Stanley Electric Co Ltd		356,262
	7,600	Subaru Corp		138,148
	16,100	SUMCO Corp (a)		218,523
	102,600	Sumitomo Chemical Co Ltd		403,867
	15,400	Sumitomo Corp (a)		216,610
	5,700	Sumitomo Forestry Co Ltd		96,373
	11,000	Sumitomo Mitsui Financial Group Inc (a)		331,796
	9,700	Sumitomo Mitsui Trust Holdings Inc		301,701
	400	Sumitomo Seika Chemicals Co Ltd		8,955
	28,800	T&D Holdings Inc		314,531
	12,000	Tachi-S Co Ltd		105,420
	6,100	Taisei Corp (a)		184,949
	7,800	Takara Holdings Inc		59,182
	5,700	Takara Leben Co Ltd		15,505
	16,100	Takuma Co Ltd		161,755
	1,300	Tamron Co Ltd		28,403
	23,900	Teijin Ltd		252,682
	11,700	THK Co Ltd		237,491
	9,400	Toho Holdings Co Ltd (a)		124,501
	28,900	Tokai Carbon Co Ltd		210,963
	16,800	Tokyo Gas Co Ltd (a)		315,188
	7,200	Tokyo Seimitsu Co Ltd (a)		239,841
	5,000	Tokyu Construction Co Ltd		23,519
	15,400	Toppan Inc (a)		241,851
	15,100	Tosei Corp		150,835
	10,700	Tosoh Corp		138,349
	1,200	Totetsu Kogyo Co Ltd		20,006
	900	Towa Pharmaceutical Co Ltd		14,273
	3,300	Toyo Construction Co Ltd		20,359
	5,800	Toyota Boshoku Corp		84,231
	5,300	Toyota Industries Corp (a)		296,232
	5,000	Tsumura & Co		114,457

Shares		Description	Value ($)
		Japan — continued
	1,700	TV Asahi Holdings Corp (a)		17,715
	1,500	Ulvac Inc (a)		58,164
	2,000	YAMABIKO Corp		16,327
	9,300	Yamada Holdings Co Ltd (a)		32,188
	2,700	Yamaha Motor Co Ltd		55,956
	2,000	Yamazen Corp		13,393
	2,200	Yellow Hat Ltd		28,404
	7,800	Yokogawa Bridge Holdings Corp		109,064
	600	Yuasa Trading Co Ltd		15,116
	6,800	Zenkoku Hosho Co Ltd		224,699
		Total Japan		19,451,814
		Malta — 0.0%
	125,500	BGP Holdings (d)		0
		Mexico — 0.2%
	36,102	Fomento Economico Mexicano SAB de CV		225,968
	51,752	Grupo Mexico SAB de CV – Series B		194,971
		Total Mexico		420,939
		Netherlands — 1.0%
	5,793	ABN AMRO Bank NV CVA GDR		55,653
	52,055	Aegon NV		232,635
	3,400	AerCap Holdings NV *		149,770
	1,568	ASR Nederland NV		63,997
	13,099	ING Groep NV		114,805
	7,104	JDE Peet’s NV (a)		219,054
	7,095	Koninklijke Ahold Delhaize NV (a)		195,161
	5,533	Koninklijke Philips NV (a)		91,892
	6,517	NN Group NV		267,835
	4,160	Prosus NV *		257,127
	6,371	Randstad NV (a)		296,702
		Total Netherlands		1,944,631
		New Zealand — 0.1%
	7,740	Auckland International Airport Ltd * (a)		35,695
	35,486	Meridian Energy Ltd (a)		108,260
	7,741	Spark New Zealand Ltd		25,607
		Total New Zealand		169,562
		Norway — 0.1%
	9,444	Elkem ASA		37,583
	12,647	Europris ASA		75,873
	3,519	SpareBank 1 Nord Norge		31,718
	3,239	SpareBank 1 SMN		39,437
	2,107	SpareBank 1 SR-Bank ASA		24,101
	7,121	Wallenius Wilhelmsen ASA (a)		40,091
		Total Norway		248,803
		Portugal — 0.4%
	4,843	Altri SGPS SA		27,326
	135,103	Banco Comercial Portugues SA – Class R		19,656

105 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Portugal — continued
	13,312	CTT-Correios de Portugal SA		43,361
	24,809	EDP – Energias de Portugal SA		118,478
	28,532	Galp Energia SGPS SA		308,116
	14,937	Navigator Co SA (The)		59,269
	16,961	NOS SGPS SA		62,519
	13,264	REN - Redes Energeticas Nacionais SGPS SA		35,163
	98,476	Sonae SGPS SA		98,982
		Total Portugal		772,870
		Russia — 0.0%
	2,505	LUKOIL PJSC (d)		12,274
	5,410	Novatek PJSC (d)		7,034
		Total Russia		19,308
		Singapore — 0.5%
	17,200	City Developments Ltd		99,867
	53,400	ComfortDelGro Corp Ltd		53,819
	222,800	Golden Agri-Resources Ltd		44,664
	27,900	Japfa Ltd		11,970
	8,400	Jardine Cycle & Carriage Ltd		197,199
	33,900	Keppel Corp Ltd		176,060
	48,600	StarHub Ltd		42,727
	8,100	UOL Group Ltd		40,077
	212,500	Yangzijiang Financial Holding Ltd *		56,848
	388,900	Yangzijiang Shipbuilding Holdings Ltd		269,522
	35,100	Yanlord Land Group Ltd		25,832
		Total Singapore		1,018,585
		South Africa — 0.1%
	11,775	Bidvest Group Ltd (The)		147,502
		South Korea — 0.3%
	3,662	Kia Corp		219,492
	1,223	LG Corp		74,629
	137	POSCO Holdings Inc		25,915
	2,700	POSCO Holdings Inc Sponsored ADR (a)		126,954
	47	Samsung Electronics Co Ltd GDR (Registered) (a)		51,398
	1,856	SK Square Co Ltd *		55,771
		Total South Korea		554,159
		Spain — 1.0%
	30,150	Acerinox SA		272,792
	3,641	Amadeus IT Group SA * (a)		192,206
	7,772	Atresmedia Corp de Medios de Comunicacion SA (a)		21,284
	52,770	Banco Bilbao Vizcaya Argentaria SA		236,789
	260,361	Banco de Sabadell SA		179,059
	85,453	Banco Santander SA		206,856
	1,991	Bankinter SA		10,203
	4,325	Cia de Distribucion Integral Logista Holdings SA (a)		84,062

Shares		Description	Value ($)
		Spain — continued
	3,874	Faes Farma SA		15,386
	721	Grupo Catalana Occidente SA		21,201
	6,826	Industria de Diseno Textil SA (a)		147,383
	27,561	Repsol SA (a)		357,965
	23,525	Telefonica SA (a)		97,088
		Total Spain		1,842,274
		Sweden — 0.6%
	13,005	Fastighets AB Balder – Class B* (a)		71,816
	2,695	Industrivarden AB – A Shares		59,726
	3,217	Industrivarden AB – C Shares		70,574
	6,618	Investor AB – A Shares (a)		109,996
	12,212	Investor AB – B Shares (a)		192,476
	5,114	Inwido AB		50,012
	7,068	Kinnevik AB – Class B*		100,585
	1,539	New Wave Group AB – B Shares		24,754
	5,381	Skanska AB – B Shares (a)		79,492
	37,851	SSAB AB – A Shares		182,054
	6,143	Svenska Cellulosa AB SCA – Class B (a)		92,043
		Total Sweden		1,033,528
		Switzerland — 0.3%
	5,369	Adecco Group AG (Registered) * (a)		170,200
	3,677	Logitech International SA (Registered)		182,953
	689	Roche Holding AG – Genusschein (a)		222,024
	27	Schindler Holding AG (Registered) (a)		4,560
	281	Zehnder Group AG		16,600
		Total Switzerland		596,337
		Taiwan — 0.2%
	34,000	Hon Hai Precision Industry Co Ltd		121,066
	77,800	Ruentex Development Co Ltd		160,428
		Total Taiwan		281,494
		United Kingdom — 2.5%
	14,950	3i Group Plc (a)		210,440
	40,420	Airtel Africa Plc		62,053
	923	Bank of Georgia Group Plc		21,436
	53,965	Barratt Developments Plc		267,169
	6,788	Bellway Plc		160,498
	7,761	Berkeley Group Holdings Plc		328,547
	129,122	BT Group Plc (a)		225,873
	4,600	Bunzl Plc (a)		152,555
	23,338	Centrica Plc * (a)		20,469
	20,027	Coca-Cola HBC AG * (a)		457,003
	15,721	Compass Group Plc (a)		338,175
	9,585	Crest Nicholson Holdings Plc		26,049
	290	DCC Plc (a)		16,691
	34,999	Ferrexpo Plc		60,202
	3,201	Go-Ahead Group Plc (The) * (a)		57,422
	1,249	Grafton Group Plc		10,484
	13,618	Halfords Group Plc		20,587
	2,405	IG Group Holdings Plc		22,823

See accompanying notes to the financial statements. 106

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	33,563	Indivior Plc *		112,460
	17,036	Investec Plc		81,888
	62,403	Kingfisher Plc (a)		167,631
	222,865	M&G Plc		505,777
	2,915	Morgan Sindall Group Plc		58,197
	11,884	OSB Group Plc		75,769
	3,784	Paragon Banking Group Plc		23,521
	6,089	Persimmon Plc		104,190
	10,305	Pets at Home Group Plc (a)		37,861
	11,397	Plus500 Ltd		224,590
	45,667	Premier Foods Plc		57,145
	9,276	Redde Northgate Plc (a)		36,819
	16,468	Redrow Plc		96,740
	13,663	S4 Capital Plc * (a)		21,000
	5,278	Serica Energy Plc		22,848
	7,807	Shell Plc (a)		206,636
	72,474	Taylor Wimpey Plc		90,921
	1,464	Unilever Plc (a)		66,663
	400	Unilever Plc Sponsored ADR (a)		18,156
	1,900	Vodafone Group Plc Sponsored ADR (a)		25,498
	13,835	WPP Plc (a)		119,162
		Total United Kingdom		4,611,948
		United States — 10.7%
	1,183	ADTRAN Holdings, Inc.		27,493
	2,800	Aflac, Inc. (a)		166,376
	700	Akamai Technologies, Inc. * (a)		63,196
	5,800	Ally Financial, Inc. (a)		192,560
	1,578	American Express Co. (a)		239,856
	600	AppLovin Corp. – Class A* (a)		14,778
	800	Arch Capital Group Ltd. * (a)		36,576
	2,100	Arrow Electronics, Inc. *		220,101
	2,400	AT&T, Inc. (a)		42,096
	2,500	Best Buy Co., Inc. (a)		176,725
	1,200	Biogen, Inc. * (a)		234,456
	400	Bio-Rad Laboratories, Inc. – Class A* (a)		194,016
	105	Booking Holdings, Inc. * (a)		196,960
	10,313	BorgWarner, Inc.		388,800
	1,900	Capital One Financial Corp. (a)		201,058
	636	CarMax, Inc. * (a)		56,248
	6,300	Carrier Global Corp. (a)		246,456
	2,900	CBRE Group, Inc. – Class A* (a)		228,984
	2,800	Centene Corp. * (a)		251,272
	1,178	Chevron Corp. (a)		186,195
	900	Cigna Corp. (a)		255,105
	4,300	Citigroup, Inc. (a)		209,883
	11,800	Cleveland-Cliffs, Inc. *		203,786
	3,400	Cognizant Technology Solutions Corp. – Class A (a)		214,778
	5,900	Comcast Corp. – Class A (a)		213,521
	2,000	CVS Health Corp. (a)		196,300
	3,452	Darling Ingredients, Inc. * (a)		262,559
	3,100	Dell Technologies, Inc. – Class C (a)		118,699
	2,100	Discover Financial Services (a)		211,029

Shares		Description	Value ($)
		United States — continued
	11,000	DISH Network Corp. – Class A* (a)		190,850
	3,500	DR Horton, Inc. (a)		249,025
	5,100	eBay, Inc. (a)		225,063
	2,232	EOG Resources, Inc. (a)		270,742
	700	FedEx Corp. (a)		147,567
	5,600	Fidelity National Financial, Inc. (a)		218,960
	17,800	Ford Motor Co. (a)		271,272
	1,400	Fortune Brands Home & Security, Inc. (a)		86,002
	200	Fox Corp. – Class A (a)		6,836
	9,500	Fox Corp. – Class B (a)		300,390
	9,800	Franklin Resources, Inc. (a)		255,486
	200	Garmin Ltd. (a)		17,698
	6,000	General Motors Co. * (a)		229,260
	4,300	Gilead Sciences, Inc. (a)		272,921
	1,580	Global Payments, Inc. (a)		196,283
	600	Goldman Sachs Group, Inc. (The) (a)		199,602
	2,338	Green Plains, Inc. *		85,641
	1,500	Henry Schein, Inc. * (a)		110,115
	1,496	Hilton Worldwide Holdings, Inc. (a)		190,531
	7,700	HP, Inc. (a)		221,067
	3,200	IAC, Inc. * (a)		205,664
	3,600	Incyte Corp. * (a)		253,548
	6,400	Intel Corp. (a)		204,288
	2,492	Intercontinental Exchange, Inc. (a)		251,318
	2,400	International Business Machines Corp. (a)		308,280
	9,600	Invesco Ltd.		158,112
	1,800	Jazz Pharmaceuticals Plc * (a)		279,396
	16,600	Kinder Morgan, Inc. (a)		304,112
	2,000	Knight-Swift Transportation Holdings, Inc. (a)		101,020
	2,100	Kroger Co. (The) (a)		100,674
	1,000	Laboratory Corp. of America Holdings (a)		225,270
	182	Lam Research Corp. (a)		79,700
	3,710	Las Vegas Sands Corp. * (a)		139,607
	3,400	Lennar Corp. – Class A (a)		263,330
	4,388	Liberty Global Plc – Class A* (a)		88,638
	9,699	Liberty Global Plc – Class C* (a)		206,686
	4,000	Lincoln National Corp.		184,240
	900	LKQ Corp. (a)		47,898
	18,400	Lumen Technologies, Inc. (a)		183,264
	5,447	Lyft, Inc. – Class A* (a)		80,234
	3,000	LyondellBasell Industries NV – Class A (a)		249,000
	166	Markel Corp. * (a)		198,222
	1,400	Meta Platforms, Inc. – Class A* (a)		228,102
	3,200	MetLife, Inc. (a)		205,856
	4,424	Micron Technology, Inc. (a)		250,089
	1,600	Mohawk Industries, Inc. *		176,576
	4,400	Molson Coors Brewing Co. – Class B (a)		227,348
	500	Netflix, Inc. * (a)		111,780
	4,100	NRG Energy, Inc. (a)		169,248
	300	Nucor Corp. (a)		39,882
	2,800	Oracle Corp. (a)		207,620
	8,100	Paramount Global – Class B (a)		189,459
	3,200	PayPal Holdings, Inc. * (a)		299,008

107 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	100	Pfizer, Inc. (a)		4,523
	2,700	Prudential Financial, Inc. (a)		258,525
	5,000	PulteGroup, Inc.		203,300
	1,600	Quest Diagnostics, Inc. (a)		200,496
	2,906	Raytheon Technologies Corp. (a)		260,813
	500	Regeneron Pharmaceuticals, Inc. * (a)		290,530
	4,898	Sensata Technologies Holding Plc		197,291
	700	Skyworks Solutions, Inc. (a)		68,985
	1,200	SS&C Technologies Holdings, Inc. (a)		66,912
	400	Stanley Black & Decker, Inc. (a)		35,240
	3,100	Steel Dynamics, Inc.		250,232
	6,700	Synchrony Financial (a)		219,425
	2,700	Textron, Inc. (a)		168,426
	3,000	Tyson Foods, Inc. – Class A (a)		226,140
	200	United Parcel Service, Inc. – Class B (a)		38,902
	1,900	Universal Health Services, Inc. – Class B (a)		185,896
	5,018	US Bancorp (a)		228,871
	4,900	Verizon Communications, Inc. (a)		204,869
	800	Vertex Pharmaceuticals, Inc. * (a)		225,408
	3,392	VF Corp. (a)		140,598
	24,000	Viatris, Inc. (a)		229,200
	4,500	Walgreens Boots Alliance, Inc. (a)		157,770
	3,023	Warner Bros Discovery, Inc. * (a)		40,025
	5,252	Wells Fargo & Co. (a)		229,565
	16,100	Western Union Co. (The) (a)		238,602
	4,600	Western Digital Corp. * (a)		194,396
	300	Westlake Corp. (a)		29,589
	1,000	Whirlpool Corp.		156,600
	2,600	Zoom Video Communications, Inc. – Class A* (a)		209,040
		Total United States		20,172,811
		TOTAL COMMON STOCKS (COST $80,755,621)		72,047,624
		PREFERRED STOCKS (e) —0.2%
		Brazil — 0.1%
	31,790	Bradespar SA		133,762
	14,400	Petroleo Brasileiro SA Sponsored ADR (a)		183,456
		Total Brazil		317,218
		Germany — 0.1%
	1,572	Bayerische Motoren Werke AG (a)		109,292
	742	Draegerwerk AG & Co KGaA (a)		35,106
	184	Volkswagen AG (a)		26,172
		Total Germany		170,570
		TOTAL PREFERRED STOCKS (COST $518,044)		487,788

Par Value† /     Shares		Description	Value ($)
		DEBT OBLIGATIONS — 6.7%
		United States — 6.7%
		U.S. Government — 6.7%
	12,725,000	U.S. Treasury Note, 0.13%, due 02/28/23		12,529,652
	51,000	U.S. Treasury Note, 0.13%, due 04/30/23 (a)		49,930
		Total U.S. Government		12,579,582
		Total United States		12,579,582
		TOTAL DEBT OBLIGATIONS (COST $12,742,343)		12,579,582
		MUTUAL FUNDS — 65.0%
		United States — 65.0%
		Affiliated Issuers — 65.0%
	391,219	GMO Emerging Country Debt Fund, Class VI		7,261,026
	970,630	GMO Emerging Markets ex-China Fund, Class VI		12,880,253
	1,066,758	GMO Emerging Markets Fund, Class VI		25,026,146
	1,247,647	GMO International Equity Fund, Class IV		24,341,598
	635,829	GMO Multi-Sector Fixed Income Fund, Class IV		11,006,205
	395,428	GMO Quality Fund, Class VI		9,802,659
	1,253,918	GMO U.S. Equity Fund, Class VI		14,984,319
	765,618	GMO U.S. Small Cap Value Fund, Class VI		12,540,822
	906,185	GMO U.S. Treasury Fund		4,521,861
		Total Affiliated Issuers		122,364,889
		TOTAL MUTUAL FUNDS (COST $143,711,087)		122,364,889
		SHORT-TERM INVESTMENTS — 12.2%
		Money Market Funds — 6.3%
	11,894,262	State Street Institutional Treasury Money Market Fund, 2.10% (f)		11,894,262
		Repurchase Agreements — 5.9%
	10,999,221	Nomura Securities International, Inc. Repurchase Agreement, dated 08/31/22, maturing on 09/01/22 with a maturity value of $10,998,908 and an effective yield of 2.25%, collateralized by a U.S. Treasury Note with maturity date 08/15/24 and a market value of 11,223,695.		10,999,221
		TOTAL SHORT-TERM INVESTMENTS (COST $22,893,483)		22,893,483
		TOTAL INVESTMENTS — 122.4% (Cost $260,620,578)		230,373,366

See accompanying notes to the financial statements. 108

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		SECURITIES SOLD SHORT — (16.6)%
		Common Stocks — (16.5)%
		Australia — (0.5)%
	(32,979)	APA Group		(248,689	)
	(3,448)	ASX Ltd		(183,545	)
	(641)	Cochlear Ltd		(93,315	)
	(564)	Domino’s Pizza Enterprises Ltd		(24,309	)
	(3,371)	IDP Education Ltd		(66,363	)
	(71,647)	Qantas Airways Ltd*		(257,480	)
		Total Australia		(873,701	)
		Austria — (0.1)%
	(2,362)	Verbund AG		(225,707	)
		Belgium — (0.1)%
	(4,223)	Anheuser-Busch InBev SA/NV		(203,948	)
		Canada — (0.9)%
	(600)	Agnico Eagle Mines Ltd		(24,726	)
	(8,200)	Algonquin Power & Utilities Corp		(112,422	)
	(10,100)	AltaGas Ltd		(217,788	)
	(5,700)	Brookfield Renewable Corp – Class A		(218,823	)
	(5,400)	Enbridge Inc		(222,588	)
	(1,500)	Franco-Nevada Corp		(180,300	)
	(10,364)	Pan American Silver Corp		(154,216	)
	(8,100)	Pembina Pipeline Corp		(286,092	)
	(4,000)	Restaurant Brands International Inc		(236,000	)
	(1,000)	Ritchie Bros Auctioneers Inc		(69,340	)
		Total Canada		(1,722,295	)
		France — (0.6)%
	(7,842)	Accor SA*		(187,041	)
	(1,812)	Aeroports de Paris*		(248,118	)
	(13,476)	Getlink SE		(253,767	)
	(179)	Hermes International		(229,257	)
	(248)	Sartorius Stedim Biotech		(90,709	)
	(1,272)	Ubisoft Entertainment SA*		(58,658	)
	(1,163)	Wendel SE		(91,379	)
		Total France		(1,158,929	)
		Germany — (0.6)%
	(5,797)	Delivery Hero SE*		(240,583	)
	(295)	MTU Aero Engines AG		(52,027	)
	(1,968)	Puma SE		(120,291	)
	(1,100)	QIAGEN NV*		(49,892	)
	(189)	Rational AG		(101,939	)
	(1,445)	Scout24 SE		(83,251	)
	(1,870)	Symrise AG – Class A		(195,666	)
	(97,320)	Telefonica Deutschland Holding AG		(252,637	)
	(1,308)	Zalando SE*		(30,284	)
		Total Germany		(1,126,570	)

Shares		Description	Value ($)
		Israel — (0.2)%
	(1,800)	CyberArk Software Ltd*		(259,704	)
	(1,400)	Kornit Digital Ltd*		(43,512	)
	(500)	Wix.com Ltd*		(31,645	)
		Total Israel		(334,861	)
		Italy — (0.4)%
	(6,384)	Amplifon SPA		(166,373	)
	(986)	Ferrari NV		(190,340	)
	(19,363)	FinecoBank Banca Fineco SPA		(209,358	)
	(22,515)	Infrastrutture Wireless Italiane SPA		(208,667	)
		Total Italy		(774,738	)
		Japan — (2.1)%
	(7,700)	Aeon Co Ltd		(150,194	)
	(11,300)	ANA Holdings Inc*		(217,258	)
	(9,500)	Asahi Intecc Co Ltd		(168,982	)
	(2,900)	East Japan Railway Co		(150,210	)
	(2,400)	GMO Payment Gateway Inc		(190,330	)
	(11,200)	Japan Airlines Co Ltd*		(204,852	)
	(4,200)	Japan Exchange Group Inc		(62,589	)
	(3,700)	Keio Corp		(140,786	)
	(900)	Keisei Electric Railway Co Ltd		(25,107	)
	(2,900)	Kintetsu Group Holdings Co Ltd		(98,474	)
	(1,700)	Lasertec Corp		(235,361	)
	(200)	LIXIL Corp		(3,478	)
	(8,000)	M3 Inc		(256,255	)
	(15,200)	MonotaRO Co Ltd		(272,723	)
	(2,100)	Nidec Corp		(139,507	)
	(12,400)	Nihon M&A Center Inc		(153,676	)
	(20,000)	Nippon Paint Holdings Co Ltd		(154,247	)
	(1,600)	Nissin Foods Holdings Co Ltd		(114,474	)
	(10,700)	Odakyu Electric Railway Co Ltd		(146,173	)
	(1,800)	ORIENTAL LAND CO LTD		(268,357	)
	(44,100)	Rakuten Group Inc		(214,029	)
	(1,700)	Shiseido Co Ltd		(64,216	)
	(3,400)	Tobu Railway Co Ltd		(80,329	)
	(10,200)	Tokyu Corp		(121,255	)
	(6,500)	West Japan Railway Co		(252,969	)
		Total Japan		(3,885,831	)
		Netherlands — (0.4)%
	(169)	Adyen NV*		(260,792	)
	(68)	Heineken Holding NV		(4,824	)
	(746)	IMCD NV		(102,915	)
	(7,938)	Just Eat Takeaway.com NV*		(132,052	)
	(10,812)	Universal Music Group NV		(214,704	)
		Total Netherlands		(715,287	)
		New Zealand — (0.1)%
	(4,074)	Xero Ltd*		(239,670	)
		Norway — (0.1)%
	(5,228)	Aker BP ASA		(183,141	)

109 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		Peru — (0.1)%
	(3,300)	Southern Copper Corp		(155,331	)
		Singapore — (0.2)%
	(4,700)	City Developments Ltd		(27,289	)
	(49,500)	Singapore Airlines Ltd*		(187,944	)
	(22,100)	Singapore Exchange Ltd		(149,971	)
		Total Singapore		(365,204	)
		Spain — (0.3)%
	(585)	Aena SME SA*		(71,851	)
	(6,269)	Cellnex Telecom SA		(244,132	)
	(10,793)	Ferrovial SA		(270,633	)
		Total Spain		(586,616	)
		Sweden — (0.2)%
	(17,216)	Embracer Group AB – Class B*		(106,816	)
	(2,276)	Evolution AB		(182,088	)
		Total Sweden		(288,904	)
		Switzerland — (0.2)%
	(5)	Chocoladefabriken Lindt & Spruengli AG		(52,882	)
	(196)	Partners Group Holding AG		(189,190	)
	(26)	Schindler Holding AG		(4,529	)
	(109)	Sika AG (Registered)		(24,525	)
	(1,550)	Straumann Holding AG (Registered)		(169,853	)
		Total Switzerland		(440,979	)
		United Kingdom — (0.9)%
	(2,205)	Admiral Group Plc		(54,240	)
	(30,631)	Auto Trader Group Plc		(231,285	)
	(580)	Croda International Plc		(45,208	)
	(2,894)	Halma Plc		(69,615	)
	(14,090)	Hargreaves Lansdown Plc		(133,393	)
	(37,649)	Informa Plc*		(238,192	)
	(2,126)	InterContinental Hotels Group Plc		(115,412	)
	(7,895)	Land Securities Group Plc (REIT)		(59,547	)
	(2,985)	London Stock Exchange Group Plc		(279,998	)
	(25,187)	Ocado Group Plc*		(211,675	)
	(3,448)	Prudential Plc		(36,187	)
	(245,783)	Rolls-Royce Holdings Plc*		(219,046	)
	(605)	Spirax-Sarco Engineering Plc		(73,856	)
		Total United Kingdom		(1,767,654	)
		United States — (8.5)%
	(9,800)	AES Corp. (The)		(249,410	)
	(1,200)	Alnylam Pharmaceuticals, Inc.*		(248,004	)
	(4,600)	Altria Group, Inc.		(207,552	)
	(500)	American Tower Corp. (REIT)		(127,025	)
	(700)	Aon Plc – Class A		(195,482	)
	(5,700)	Aramark		(203,547	)
	(1,500)	Arthur J Gallagher & Co.		(272,355	)
	(900)	Autodesk, Inc.*		(181,566	)
	(2,100)	Bill.Com Holdings, Inc.*		(339,948	)

Shares		Description	Value ($)
		United States — continued
	(1,600)	BioMarin Pharmaceutical, Inc.*		(142,720	)
	(600)	Bio-Techne Corp.		(199,086	)
	(1,500)	Boeing Co. (The)*		(240,375	)
	(500)	Broadcom, Inc.		(249,555	)
	(1,200)	Burlington Stores, Inc.*		(168,228	)
	(5,400)	Caesars Entertainment, Inc.*		(232,848	)
	(5,300)	Carvana Co. – Class A*		(174,847	)
	(1,800)	Catalent, Inc.*		(158,400	)
	(4,300)	Ceridian HCM Holding, Inc.*		(256,452	)
	(200)	Chipotle Mexican Grill, Inc. – Class A*		(319,360	)
	(10,900)	Clarivate Plc*		(127,203	)
	(3,800)	Cloudflare, Inc. – Class A*		(237,766	)
	(1,200)	CME Group, Inc.		(234,732	)
	(4,000)	Coupa Software, Inc.*		(233,600	)
	(800)	Crown Castle, Inc. (REIT)		(136,664	)
	(800)	Delta Air Lines, Inc.*		(24,856	)
	(2,800)	Dexcom, Inc.*		(230,188	)
	(1,700)	Diamondback Energy, Inc.		(226,576	)
	(2,000)	DocuSign, Inc. – Class A*		(116,440	)
	(2,400)	Dominion Energy, Inc.		(196,320	)
	(700)	Dynatrace, Inc.*		(26,726	)
	(100)	Equinix, Inc. (REIT)		(65,737	)
	(1,800)	Equity LifeStyle Properties, Inc. (REIT)		(126,180	)
	(5,500)	Exact Sciences Corp.*		(195,525	)
	(3,500)	Fastenal Co.		(176,155	)
	(4,000)	Fortinet, Inc.*		(194,760	)
	(600)	Gartner, Inc.*		(171,192	)
	(3,100)	Guidewire Software, Inc.*		(222,301	)
	(1,000)	Hess Corp.		(120,780	)
	(700)	HubSpot, Inc.*		(235,928	)
	(500)	IDEXX Laboratories, Inc.*		(173,810	)
	(2,500)	Ingersoll Rand, Inc.		(118,425	)
	(1,100)	Insulet Corp.*		(281,017	)
	(1,300)	IQVIA Holdings, Inc.*		(276,458	)
	(3,200)	Iron Mountain, Inc. (REIT)		(168,352	)
	(4,100)	Liberty Media Corp.-Liberty Formula One – Class C*		(261,088	)
	(700)	Linde Plc*		(198,002	)
	(2,900)	Live Nation Entertainment, Inc.*		(262,044	)
	(900)	MarketAxess Holdings, Inc.		(223,731	)
	(1,100)	Marriott International, Inc. – Class A		(169,114	)
	(800)	MongoDB, Inc. – Class A*		(258,288	)
	(400)	Monolithic Power Systems, Inc.		(181,272	)
	(400)	Moody’s Corp.		(113,808	)
	(500)	MSCI, Inc. – Class A		(224,620	)
	(6,800)	NiSource, Inc.		(200,668	)
	(3,700)	Novocure Ltd.*		(303,881	)
	(2,400)	Okta, Inc.*		(219,360	)
	(3,800)	ONEOK, Inc.		(232,674	)
	(10,200)	Palantir Technologies, Inc. – Class A*		(78,744	)
	(500)	Palo Alto Networks, Inc.*		(278,405	)
	(2,100)	Paychex, Inc.		(259,014	)
	(5,700)	Peloton Interactive, Inc. – Class A*		(58,083	)
	(1,600)	Philip Morris International, Inc.		(152,784	)

See accompanying notes to the financial statements. 110

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2022 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	(100)	Public Storage (REIT)		(33,083	)
	(500)	RingCentral, Inc. – Class A*		(21,520	)
	(4,000)	ROBLOX Corp. – Class A*		(156,440	)
	(2,600)	Roku, Inc.*		(176,800	)
	(6,200)	Rollins, Inc.		(209,312	)
	(5,600)	Royal Caribbean Cruises Ltd.*		(228,760	)
	(1,500)	Seagen, Inc.*		(231,435	)
	(500)	ServiceNow, Inc.*		(217,310	)
	(700)	Sherwin-Williams Co. (The)		(162,470	)
	(1,200)	Simon Property Group, Inc. (REIT)		(122,376	)
	(7,200)	Snap, Inc. – Class A*		(78,336	)
	(700)	Starbucks Corp.		(58,849	)
	(2,600)	Sysco Corp.		(213,772	)
	(4,300)	Teladoc Health, Inc.*		(133,558	)
	(900)	Tesla, Inc.*		(248,049	)
	(300)	TransDigm Group, Inc.*		(180,117	)
	(2,500)	Twilio, Inc. – Class A*		(173,950	)
	(6,000)	Uber Technologies, Inc.*		(172,560	)
	(2,500)	UDR, Inc. (REIT)		(112,175	)
	(900)	Vail Resorts, Inc.		(202,212	)
	(1,100)	Wayfair, Inc. – Class A*		(57,981	)
	(8,600)	Williams Cos, Inc. (The)		(292,658	)
	(2,242)	Zillow Group, Inc. – Class C*		(75,017	)
	(300)	Zoetis, Inc.		(46,959	)
	(200)	ZoomInfo Technologies, Inc. – Class A*		(9,084	)
	(1,400)	Zscaler, Inc.*		(222,936	)
		Total United States		(15,997,750	)
		TOTAL COMMON STOCKS (PROCEEDS $39,723,540)		(31,047,116	)
		PREFERRED STOCKS (e) — (0.1)%
		Germany — (0.1)%
	(561)	Sartorius AG		(233,727	)
		TOTAL PREFERRED STOCKS (PROCEEDS $236,085)		(233,727	)
		TOTAL SECURITIES SOLD SHORT (PROCEEDS $39,959,625)		(31,280,843	)
		Other Assets and Liabilities (net) — (6.0%)		(10,852,258	)
		TOTAL NET ASSETS — 100.0%		$188,240,265

111 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

A summary of outstanding financial instruments at August 31, 2022 is as follows:

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount	Expiration Date	Periodic Payment Frequency	Premiums Paid/ (Received) ($)	Value ($)	Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.75%	GS	USD                  1	05/24/2024	Monthly	—	(773)	(773)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 1.00%	MORD	USD                  1	05/24/2024	Monthly	—	(271)	(271)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	MORD	USD                  1	05/24/2024	Monthly	—	(7,865)	(7,865)
Total Return on Equity Basket (g)	1 Month Federal Funds Rate minus 0.40%	GS	USD       872,459	05/24/2024	Monthly	—	20,254	20,254
Total Return on Equity Basket (g) (h)	1 Month Federal Funds Rate minus 0.40%	MORD	USD    3,408,245	05/24/2024	Monthly	—	85,474	85,474
						$—	$96,819	$96,819

Notes to Schedule of Investments:

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

* Non-income producing security.

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

(b) Securities are traded on separate exchanges for the same entity. (c) Investment valued using significant unobservable inputs (Note 2).

(d) 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. Investment valued using significant unobservable inputs (Note 2).

(e) Preferred dividend rates are disclosed to the extent that a stated rate exists. (f) The rate disclosed is the 7 day net yield as of August 31, 2022.

(g) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

See accompanying notes to the financial statements. 112

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2022 (Unaudited)

(h) The following table represents the individual long and/or short positions within the custom equity basket swap as of August 31, 2022:

Shares		Description	%of Equity Basket		Value ($)
	(32,000)	Air China Ltd – Class H		0.8%		(25,634	)
	(134,300)	Airports of Thailand Pcl NVDR		8.1%		(267,627	)
	(244,000)	Alibaba Health Information Technology Ltd		4.2%		(139,827	)
	(320,000)	Alibaba Pictures Group Ltd		0.8%		(25,173	)
	(378,000)	China Molybdenum Co Ltd – Class H		5.0%		(168,556	)
	(24,000)	China Resources Beer Holdings Co Ltd		5.0%		(167,304	)
	(27,500)	Citic Securities Co Ltd – Class H		1.7%		(55,738	)
	(27,000)	Far EasTone Telecommunications Co Ltd		2.0%		(66,219	)
	(20,440)	Ganfeng Lithium Co Ltd – Class H		5.4%		(179,575	)
	(52,000)	Greentown Service Group Co Ltd		1.1%		(37,568	)
	(139,800)	Gulf Energy Development Pcl NVDR		5.9%		(196,175	)
	(348)	Hanmi Pharm Co Ltd		2.4%		(79,748	)
	(4,900)	Hong Kong Exchanges and Clearing Ltd		5.9%		(197,443	)
	(2,364)	Hotel Shilla Co Ltd		3.9%		(129,498	)
	(1,795)	Kakao Corp		2.9%		(97,475	)
	(104,000)	Kingdee International Software Group Co Ltd		6.1%		(201,854	)
	(16,300)	Klabin SA		1.8%		(58,998	)
	(4,107)	Korea Aerospace Industries Ltd		5.6%		(186,358	)
	(12,000)	Kuaishou Technology		3.1%		(103,974	)
	(17,600)	Microport Scientific Corp		1.1%		(34,973	)
	(281)	POSCO Chemical Co Ltd		1.1%		(34,932	)
	(327)	Samsung Biologics Co Ltd		6.1%		(203,381	)
	(41,898)	Samsung Heavy Industries Co Ltd		5.6%		(185,895	)
	(113,600)	Sands China Ltd		7.7%		(254,020	)
	(489)	Yuhan Corp		0.6%		(20,680	)
	(178,000)	Zijin Mining Group Co Ltd – Class H		6.1%		(201,135	)
		TOTAL COMMON STOCKS			$	(3,319,760	)

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 114.

113 See accompanying notes to the financial statements.

GMO Trust Funds

August 31, 2022 (Unaudited)

Portfolio Abbreviations:

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

ADR - American Depositary Receipt

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

CDOR - Canadian Dollar Offering Rate

CMT - Constant Maturity Treasury

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

EuroSTR - Euro Short-Term Rate

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OIS - Overnight Indexed Swaps

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

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

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

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

The rates shown on variable rate notes are the current interest rates at August 31, 2022, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co BCLY - Barclays Bank PLC BOA - Bank of America, N.A. CGMI - Citigroup Global Markets Inc. CITI - Citibank N.A. CSI - Credit Suisse International DB - Deutsche Bank AG GS - Goldman Sachs International JPM - JPMorgan Chase Bank, N.A. MLCS - Merrill Lynch Capital Services, Inc. MORD - Morgan Stanley Capital Services LLC MSCI - Morgan Stanley & Co. International PLC SSB - State Street Bank and Trust Company UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar BRL - Brazil Real CAD - Canada Dollar CHF - Switzerland Franc CLP - Chile Peso COP - Colombia Peso CZK - Czech Republic Koruna EUR - Euro GBP - United Kingdom Pound HUF - Hungary Forint IDR - Indonesia Rupiah ILS - Israel Shekel INR - Indian Rupee JPY - Japan Yen KRW - Korean Won MXN - Mexico Peso NOK - Norway Krone NZD - New Zealand Dollar PEN - Peru Nuevo Sol PHP - Philippines Peso PLN - Poland Zloty RON - Romania New Leu SEK - Sweden Krona SGD - Singapore Dollar THB - Thailand Baht TWD - Taiwan New Dollar USD - United States Dollar ZAR - South Africa Rand

See accompanying notes to the financial statements. 114

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited)

	Consolidated Alternative Allocation Fund		Benchmark- Free Allocation Fund		Benchmark- Free Fund		Global Asset Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	6,007,107	$	4,621,465,431	$	298,140,475	$	370,586,119
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		201,496,133		3,612,347		1,172,894,678		376,778
Repurchase agreements, at value (Note 2)(d)		51,017,820		—		—		—
Foreign currency, at value (Note 2)(e)		258,492		—		1,129,031		—
Cash		2,153,166		—		—		—
Receivable for investments sold		10,799,719		9,225,000		2,757,706		1,519,798
Receivable for Fund shares sold		254,015		5,757,763		—		105
Receivable for closed swap contracts (Note 4)		1,486		—		1,932		—
Dividends and interest receivable		331,654		5,114		4,439,179		666
Dividend withholding tax receivable		25,487		—		248,753		—
Foreign capital gains tax refund receivable (Note 2)		—		—		123,540		—
Unrealized appreciation on open forward currency contracts (Note 4)		1,468,151		—		905,232		—
Receivable from liquidated underlying funds (Note 2)		412,038		—		—		268,567
Receivable for variation margin on open cleared swap contracts (Note 4)		64,172		—		53,939		—
Due from broker (Note 2)		2,428,416		—		1,233,632		—
Receivable for variation margin on open futures contracts (Note 4)		228,761		—		1,044,835		—
Receivable for open OTC swap contracts (Note 4)		6,603,162		—		758,647		—
Interest receivable for open OTC swap contracts (Note 4)		413,783		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		70,858		308,836		47,464		14,135
Total assets		284,034,420		4,640,374,491		1,483,779,043		372,766,168
Liabilities:
Investments sold short, at value (Note 2)(f)		61,411,769		—		224,588,761		—
Due to custodian		—		—		50,716		—
Payable for cash collateral from securities loaned (Note 2)		—		—		11,574,058		—
Payable for investments purchased		22,814,958		—		6,977,380		—
Payable for Fund shares repurchased		1,130,355		9,155,929		—		72,707
Accrued foreign capital gains tax payable (Note 2)		3,099		—		218,326		—
Payable to affiliate for (Note 5):
Management fee		121,572		2,579,881		—		—
Supplemental support fee – Class MF		—		103,655		—		—
Shareholder service fee		28,477		387,122		—		—
Payable for variation margin on open futures contracts (Note 4)		176,198		—		—		—
Payable for closed swap contracts (Note 4)		1,754		—		1,461		—
Unrealized depreciation on open forward currency contracts (Note 4)		1,608,391		—		1,013,388		—
Interest payable for open OTC swap contracts (Note 4)		64,169		—		—		—
Interest and dividend payable for short sales		50,532		—		250,139		—
Payable for open OTC swap contracts (Note 4)		999,532		—		52,801		—
Payable to Trustees and related expenses		2,165		31,000		10,984		5,590
Written options outstanding, at value (Note 4)(g)		877,244		—		—		—
Accrued expenses		150,185		182,550		685,277		63,821
Total liabilities		89,440,400		12,440,137		245,423,291		142,118
Net assets	$	194,594,020	$	4,627,934,354	$	1,238,355,752	$	372,624,050
(a)       Cost of investments – affiliated issuers:	$	8,893,542	$	5,136,177,295	$	336,686,126	$	459,340,274
(b)       Cost of investments – unaffiliated issuers:	$	213,581,219	$	3,612,347	$	1,399,194,739	$	376,778
(c)       Includes securities on loan at value (Note 2):	$	—	$	—	$	18,646,086	$	—
(d)       Cost of investments – repurchase agreements:	$	51,017,820	$	—	$	—	$	—
(e)       Cost of foreign currency:	$	273,180	$	—	$	1,179,151	$	—
(f)       Proceeds from securities sold short:	$	73,662,219	$	—	$	265,839,534	$	—
(g)       Premiums on written options:	$	360,629	$	—	$	—	$	—

115 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited) — (Continued)

	Consolidated Alternative Allocation Fund			Benchmark- Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Net assets consist of:
Paid-in capital	$	216,171,357		$	5,349,509,607		$	1,648,326,729		$	648,359,562
Distributable earnings (accumulated loss)		(21,577,337	)		(721,575,253	)		(409,970,977	)		(275,735,512	)
	$	194,594,020		$	4,627,934,354		$	1,238,355,752		$	372,624,050
Net assets attributable to:
Class III	$	—		$	1,558,430,280		$	1,238,355,752		$	337,138,879
Class IV	$	—		$	1,251,001,175		$	—		$	—
Class VI	$	57,125,741		$	—		$	—		$	—
Class MF	$	—		$	1,188,696,186		$	—		$	—
Class R6	$	4,114		$	278,394,001		$	—		$	23,062,786
Class I	$	137,464,165		$	351,412,712		$	—		$	12,422,385
Shares outstanding:
Class III		—			64,671,435			70,856,675			11,454,185
Class IV		—			51,897,262			—			—
Class VI		3,235,731			—			—			—
Class MF		—			49,272,283			—			—
Class R6		232			11,560,756			—			784,040
Class I		7,826,766			14,607,012			—			422,074
Net asset value per share:
Class III	$	—		$	24.10		$	17.48		$	29.43
Class IV	$	—		$	24.11		$	—		$	—
Class VI	$	17.65		$	—		$	—		$	—
Class MF	$	—		$	24.13		$	—		$	—
Class R6	$	17.76		$	24.08		$	—		$	29.42
Class I	$	17.56		$	24.06		$	—		$	29.43

See accompanying notes to the financial statements. 116

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund		Global Equity Allocation Fund		Consolidated Implementation Fund		International Developed Equity Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	75,977,016	$	1,319,157,000	$	20,443,175	$	194,340,243
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		36,838		75,077		4,804,991,071		73,454
Receivable for investments sold		—		—		43,463,608		—
Receivable for Fund shares sold		—		—		—		132,757
Receivable for closed swap contracts (Note 4)		—		—		13,996		—
Dividends and interest receivable		64		209		17,133,558		138
Dividend withholding tax receivable		—		—		511,475		—
Foreign capital gains tax refund receivable (Note 2)		—		—		4,314		—
EU tax reclaims receivable (Note 2)		—		—		192,194		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		9,865,772		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		—		389,988		—
Due from broker (Note 2)		—		—		93,468,107		—
Receivable for variation margin on open futures contracts (Note 4)		—		—		3,595,435		—
Receivable for open OTC swap contracts (Note 4)		—		—		5,740,681		—
Interest receivable for open OTC swap contracts (Note 4)		—		—		83,376		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		4,579		19,673		199,635		10,362
Total assets		76,018,497		1,319,251,959		5,000,096,385		194,556,954
Liabilities:
Investments sold short, at value (Note 2)(d)		—		—		861,913,571		—
Foreign currency due to custodian		—		—		2,798,067		—
Due to custodian		—		—		120,960		—
Due to broker (Note 2)		—		—		505,162		—
Payable for cash collateral from securities loaned (Note 2)		—		—		20,609,596		—
Payable for investments purchased		—		—		58,279,295		98,672
Payable for Fund shares repurchased		—		8,931		9,225,000		33,549
Accrued foreign capital gains tax payable (Note 2)		—		—		833,345		—
Payable for variation margin on open futures contracts (Note 4)		—		—		882,462		—
Payable for closed swap contracts (Note 4)		—		—		20,461		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		10,966,640		—
Interest payable for open OTC swap contracts (Note 4)		—		—		138,626		—
Interest and dividend payable for short sales		—		—		1,021,571		—
Payable for open OTC swap contracts (Note 4)		—		—		2,461,895		—
Payable to Trustees and related expenses		505		10,177		30,417		1,402
Written options outstanding, at value (Note 4)(e)		—		—		249,774		—
Accrued expenses		18,961		85,769		1,593,364		23,979
Total liabilities		19,466		104,877		971,650,206		157,602
Net assets	$	75,999,031	$	1,319,147,082	$	4,028,446,179	$	194,399,352
(a)       Cost of investments – affiliated issuers:	$	84,206,065	$	1,594,640,412	$	20,521,894	$	233,480,809
(b)       Cost of investments – unaffiliated issuers:	$	36,838	$	75,077	$	5,516,513,687	$	73,454
(c)       Includes securities on loan at value (Note 2):	$	—	$	—	$	51,272,585	$	—
(d)       Proceeds from securities sold short:	$	—	$	—	$	1,036,318,282	$	—
(e)       Premiums on written options:	$	—	$	—	$	214,127	$	—

117 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Net assets consist of:
Paid-in capital	$	155,551,694		$	1,613,880,288		$	5,371,038,927		$	397,170,167
Distributable earnings (accumulated loss)		(79,552,663	)		(294,733,206	)		(1,342,592,748	)		(202,770,815	)
	$	75,999,031		$	1,319,147,082		$	4,028,446,179		$	194,399,352
Net assets attributable to:
Core Class	$	—		$	—		$	4,028,446,179		$	—
Class III	$	75,999,031		$	1,307,605,462		$	—		$	187,302,188
Class R6	$	—		$	5,792,985		$	—		$	7,097,164
Class I	$	—		$	5,748,635		$	—		$	—
Shares outstanding:
Core Class		—			—			342,315,846			—
Class III		3,724,735			55,187,403			—			13,538,541
Class R6		—			244,479			—			513,062
Class I		—			242,805			—			—
Net asset value per share:
Core Class	$	—		$	—		$	11.77		$	—
Class III	$	20.40		$	23.69		$	—		$	13.83
Class R6	$	—		$	23.70		$	—		$	13.83
Class I	$	—		$	23.68		$	—		$	—

See accompanying notes to the financial statements. 118

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited) — (Continued)

	International Equity Allocation Fund		Consolidated SGM Major Markets Fund		Strategic Opportunities Allocation Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	476,150,623	$	—	$	122,364,889
Investments in unaffiliated issuers, at value (Note 2)(b)		361,767		217,548,561		108,008,477
Foreign currency, at value (Note 2)(c)		—		39		80,341
Cash		—		544		—
Receivable for Fund shares sold		67		42,207		1,530,000
Dividends and interest receivable		483		299,883		306,682
Dividend withholding tax receivable		—		—		21,183
Foreign capital gains tax refund receivable (Note 2)		—		—		2,767
Unrealized appreciation on open forward currency contracts (Note 4)		—		1,374,389		—
Due from broker (Note 2)		—		583,628		—
Receivable for variation margin on open futures contracts (Note 4)		—		446,221		—
Receivable for open OTC swap contracts (Note 4)		—		1,399,426		105,728
Interest receivable for open OTC swap contracts (Note 4)		—		24,966		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		10,381		25,141		23,614
Total assets		476,523,321		221,745,005		232,443,681
Liabilities:
Investments sold short, at value (Note 2)(d)		—		—		31,280,843
Due to custodian		—		—		624
Payable for investments purchased		—		7,000,000		11,294,453
Payable for Fund shares repurchased		—		45,080		1,425,000
Accrued foreign capital gains tax payable (Note 2)		—		—		9,659
Payable to affiliate for (Note 5):
Management fee		—		154,126		—
Shareholder service fee		—		12,905		—
Payable for variation margin on open futures contracts (Note 4)		—		644,106		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		2,781,976		—
Interest payable for open OTC swap contracts (Note 4)		—		24,579		—
Interest and dividend payable for short sales		—		—		31,602
Payable for open OTC swap contracts (Note 4)		—		934,866		8,909
Payable to Trustees and related expenses		4,955		1,742		3,214
Accrued expenses		39,979		167,272		149,112
Total liabilities		44,934		11,766,652		44,203,416
Net assets	$	476,478,387	$	209,978,353	$	188,240,265
(a)       Cost of investments – affiliated issuers:	$	591,121,721	$	—	$	143,711,087
(b)       Cost of investments – unaffiliated issuers:	$	361,767	$	218,709,633	$	116,909,491
(c)       Cost of foreign currency:	$	—	$	40	$	81,073
(d)       Proceeds from securities sold short:	$	—	$	—	$	39,959,625

119 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Assets and Liabilities — August 31, 2022 (Unaudited) — (Continued)

	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Strategic Opportunities Allocation Fund
Net assets consist of:
Paid-in capital	$	726,421,853		$	299,531,216		$	207,604,544
Distributable earnings (accumulated loss)		(249,943,466	)		(89,552,863	)		(19,364,279	)
	$	476,478,387		$	209,978,353		$	188,240,265
Net assets attributable to:
Class III	$	269,057,060		$	21,659,823		$	188,240,265
Class VI	$	—		$	176,793,202		$	—
Class R6	$	207,421,327		$	—		$	—
Class I	$	—		$	11,525,328		$	—
Shares outstanding:
Class III		10,965,831			822,343			12,192,392
Class VI		—			6,720,421			—
Class R6		8,456,623			—			—
Class I		—			438,383			—
Net asset value per share:
Class III	$	24.54		$	26.34		$	15.44
Class VI	$	—		$	26.31		$	—
Class R6	$	24.53		$	—		$	—
Class I	$	—		$	26.29		$	—

See accompanying notes to the financial statements. 120

GMO Trust Funds

Statements of Operations —Six Months Ended August 31, 2022 (Unaudited)

	Consolidated Alternative Allocation Fund			Benchmark- Free Allocation Fund			Benchmark- Free Fund			Global Asset Allocation Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	2,499,229		$	13,729		$	28,934,524		$	5,491
Dividends from affiliated issuers (Note 10)		104,779			34,310,670			3,427,115			2,090,435
Interest		595,844			93			2,185,660			—
Non-cash paid in-kind dividends from unaffiliated issuers		—			—			1,873,113			—
Securities lending income from affiliated issuers (net)		—			—			85,283			—
Securities lending income (net)		—			—			94,248			—
Other income (Note 2)		14,496			—			464,496			9,432
Total investment income		3,214,348			34,324,492			37,064,439			2,105,358
Expenses:
Management fee (Note 5)		803,778			15,779,561			—			—
Shareholder service fee – Class III (Note 5)		—			1,235,974			—			—
Shareholder service fee – Class IV (Note 5)		—			639,350			—			—
Shareholder service fee – Class VI (Note 5)		21,556			—			—			—
Shareholder service fee – Class R6 (Note 5)		22			209,439			—			—
Shareholder service fee – Class I (Note 5)		155,989			274,502			—			—
Supplemental support fee – Class MF (Note 5)		—			641,665			—			—
Audit and tax fees		70,268			13,432			72,864			14,904
Custodian, fund accounting agent and transfer agent fees		287,274			258,777			630,607			45,791
Dividend expense on short sales		607,233			—			2,239,813			—
Legal fees		5,401			61,537			19,729			5,853
Registration fees		35,513			48,082			1,042			20,598
Trustees’ fees and related expenses (Note 5)		5,415			105,185			33,491			10,667
Interest expense and borrowing costs for investments sold short (Note 2)		132,386			—			521,353			—
Miscellaneous		25,824			12,511			34,101			2,808
Total expenses		2,150,659			19,280,015			3,553,000			100,621
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(309,283	)		(209,590	)		(411,407	)		(83,827	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(22,489	)		(1,302,261	)		—			—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(692	)		(145,378	)		—			—
Net expenses		1,818,195			17,622,786			3,141,593			16,794
Net investment income (loss)		1,396,153			16,701,706			33,922,846			2,088,564
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(5,827,938	)		—			4,320,871			—
Investments in affiliated issuers		(313,594	)		(19,586,276	)		(9,848,996	)		(18,014,056	)
Investments in securities sold short		9,600,375			—			42,343,405			—
Realized gain distributions from affiliated issuers (Note 10)		—			8,712,522			5,564,540			6,185,719
Futures contracts		771,850			—			38,824,100			—
Written options		624,801			—			—			—
Swap contracts		(2,724,930	)		—			251,704			—
Forward currency contracts		(4,772,030	)		—			1,648,637			—
Foreign currency and foreign currency related transactions		1,852			—			(1,070,419	)		—
Net realized gain (loss)		(2,639,614	)		(10,873,754	)		82,033,842			(11,828,337	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(8,718,732	)		—			(197,891,406	)		—
Investments in affiliated issuers		(1,406,172	)		(292,199,573	)		(14,261,581	)		(39,703,603	)
Investments in securities sold short		6,102,171			—			15,006,017			—
Futures contracts		(533,367	)		—			(18,611,390	)		—
Written options		(607,287	)		—			—			—
Swap contracts		1,273,585			—			1,148,035			—
Forward currency contracts		1,291,492			—			440,240			—
Foreign currency and foreign currency related transactions		(72,229	)		—			(83,408	)		—
Net change in unrealized appreciation (depreciation)		(2,670,539	)		(292,199,573	)		(214,253,493	)		(39,703,603	)
Net realized and unrealized gain (loss)		(5,310,153	)		(303,073,327	)		(132,219,651	)		(51,531,940	)
Net increase (decrease) in net assets resulting from operations	$	(3,914,000	)	$	(286,371,621	)	$	(98,296,805	)	$	(49,443,376	)
(a)   Withholding tax:	$	154,469		$	—		$	2,650,201		$	—
(b)   Foreign capital gains tax (benefit) on net realized gain (loss):	$	7,305		$	—		$	72,311		$	—
(c)   Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	(12,929	)	$	—		$	(82,620	)	$	—

121 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Operations —Six Months Ended August 31, 2022 (Unaudited) — (Continued)

	Global Developed Equity Allocation Fund			Global Equity Allocation Fund			Consolidated Implementation Fund			International Developed Equity Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	295,679		$	7,593,023		$	—		$	701,795
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)		184			1,657			86,819,759			66
Interest		1			—			14,005,852			—
Non-cash paid in-kind dividends from unaffiliated issuers		—			—			5,533,617			—
Securities lending income from affiliated issuers (net)		—			—			174,899			—
Securities lending income (net)		—			—			224,815			—
Other income (Note 2)		—			—			1,667,946			—
Total investment income		295,864			7,594,680			108,426,888			701,861
Expenses:
Audit and tax fees		12,604			11,500			112,240			12,880
Custodian, fund accounting agent and transfer agent fees		7,068			43,593			1,254,032			19,270
Dividend expense on short sales		—			—			7,814,413			—
Legal fees		997			18,179			58,784			2,597
Registration fees		1,827			34,040			—			22,448
Trustees’ fees and related expenses (Note 5)		1,777			32,693			96,222			4,681
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			1,297,054			—
Miscellaneous		1,381			5,798			51,607			1,748
Total expenses		25,654			145,803			10,684,352			63,624
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(23,877	)		(110,834	)		(1,346,337	)		(58,943	)
Net expenses		1,777			34,969			9,338,015			4,681
Net investment income (loss)		294,087			7,559,711			99,088,873			697,180
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			—			(69,536,648	)		—
Investments in affiliated issuers		68,655			(14,255,717	)		(104,536	)		(186,769	)
Investments in securities sold short		—			—			94,180,264			—
Realized gain distributions from affiliated issuers (Note 10)		1,853,153			26,659,288			—			467,684
Futures contracts		—			—			114,061,686			—
Written options		—			—			982,969			—
Swap contracts		—			—			(9,345,567	)		—
Forward currency contracts		—			—			(17,687,321	)		—
Foreign currency and foreign currency related transactions		—			—			33,806			—
Net realized gain (loss)		1,921,808			12,403,571			112,584,653			280,915
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		—			—			(527,862,408	)		4,591,576
Investments in affiliated issuers		(12,982,259	)		(235,302,323	)		(15,337	)		(39,140,566	)
Investments in securities sold short		—			—			106,356,744			—
Futures contracts		—			—			(50,931,905	)		—
Written options		—			—			(296,804	)		—
Swap contracts		—			—			10,468,987			—
Forward currency contracts		—			—			4,915,191			—
Foreign currency and foreign currency related transactions		—			—			(535,113	)		—
Net change in unrealized appreciation (depreciation)		(12,982,259	)		(235,302,323	)		(457,900,645	)		(34,548,990	)
Net realized and unrealized gain (loss)		(11,060,451	)		(222,898,752	)		(345,315,992	)		(34,268,075	)
Net increase (decrease) in net assets resulting from operations	$	(10,766,364	)	$	(215,339,041	)	$	(246,227,119	)	$	(33,570,895	)
(a)   Withholding tax:	$	—		$	—		$	7,500,489		$	—
(b)   Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	—		$	379,066		$	—
(c)   Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	—		$	(344,018	)	$	—

See accompanying notes to the financial statements. 122

GMO Trust Funds

Statements of Operations —Six Months Ended August 31, 2022 (Unaudited) — (Continued)

	International Equity Allocation Fund			Consolidated SGM Major Markets Fund			Strategic Opportunities Allocation Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	3,631,918		$	—		$	904,373
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)		1,399			16,047			1,929,147
Interest		—			1,005,032			138,064
Non-cash paid in-kind dividends from unaffiliated issuers		—			—			258,546
Total investment income		3,633,317			1,021,079			3,230,130
Expenses:
Management fee (Note 5)		—			1,030,356			—
Shareholder service fee – Class III (Note 5)		—			22,502			—
Shareholder service fee – Class VI (Note 5)		—			53,359			—
Shareholder service fee – Class I (Note 5)		—			13,801			—
Audit and tax fees		12,236			43,148			30,724
Custodian, fund accounting agent and transfer agent fees		33,576			87,230			121,042
Dividend expense on short sales		—			—			311,537
Legal fees		7,665			5,074			2,466
Registration fees		7,728			25,527			1,922
Trustees’ fees and related expenses (Note 5)		13,530			5,355			4,335
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			71,863
Miscellaneous		2,283			10,025			16,683
Total expenses		77,018			1,296,377			560,572
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(63,464	)		(156,142	)		(157,909	)
Net expenses		13,554			1,140,235			402,663
Net investment income (loss)		3,619,763			(119,156	)		2,827,467
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			(1,054,886	)		(554,787	)
Investments in affiliated issuers		(5,674,170	)		—			(368,661	)
Investments in securities sold short		—			—			4,766,601
Realized gain distributions from affiliated issuers (Note 10)		1,154,154			—			2,266,597
Futures contracts		—			2,174,655			—
Swap contracts		—			(616,842	)		484,028
Forward currency contracts		—			(7,752,261	)		—
Foreign currency and foreign currency related transactions		—			123,636			(48,413	)
Net realized gain (loss)		(4,520,016	)		(7,125,698	)		6,545,365
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		—			16,072			(14,344,934	)
Investments in affiliated issuers		(97,165,954	)		—			(21,618,460	)
Investments in securities sold short		—			—			3,391,153
Futures contracts		—			(3,635,782	)		—
Swap contracts		—			1,195,901			(48,693	)
Forward currency contracts		—			(1,108,497	)		—
Foreign currency and foreign currency related transactions		—			(3,583	)		(5,420	)
Net change in unrealized appreciation (depreciation)		(97,165,954	)		(3,535,889	)		(32,626,354	)
Net realized and unrealized gain (loss)		(101,685,970	)		(10,661,587	)		(26,080,989	)
Net increase (decrease) in net assets resulting from operations	$	(98,066,207	)	$	(10,780,743	)	$	(23,253,522	)
(a)   Withholding tax:	$	—		$	—		$	174,765
(b)     Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	—		$	1,912
(c)   Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	—		$	(5,010	)

123 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets

	Consolidated Alternative Allocation Fund						Benchmark- Free Allocation Fund
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022			Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,396,153		$	604,065		$	16,701,706		$	125,445,340
Net realized gain (loss)		(2,639,614	)		1,862,748			(10,873,754	)		(51,783,321	)
Change in net unrealized appreciation (depreciation)		(2,670,539	)		(3,368,084	)		(292,199,573	)		(9,001,883	)
Net increase (decrease) in net assets from operations		(3,914,000	)		(901,271	)		(286,371,621	)		64,660,136
Distributions to shareholders:
Class III		—			—			—			(40,126,356	)
Class IV		—			—			—			(36,148,761	)
Class VI		(566,438	)		(6,442,811	)		—			—
Class MF		—			—			—			(34,695,369	)
Class R6		(239	)		(15,298	)		—			(5,897,575	)
Class I		(1,316,124	)		(6,161,945	)		—			(8,143,311	)
Total distributions		(1,882,801	)		(12,620,054	)		—			(125,011,372	)
Net share transactions (Note 9):
Class III		—			—			(70,803,250	)		(488,898,874	)
Class IV		—			—			(61,243,142	)		(553,716,829	)
Class VI		(71,565,539	)		(91,476,207	)		—			—
Class MF		—			—			(106,114,195	)		(330,119,921	)
Class R6		(17,553	)		(445,328	)		21,191,850			(35,040,180	)
Class I		(7,191,059	)		(114,729,175	)		7,629,673			46,774,244
Increase (decrease) in net assets resulting from net share transactions		(78,774,151	)		(206,650,710	)		(209,339,064	)		(1,361,001,560	)
Total increase (decrease) in net assets		(84,570,952	)		(220,172,035	)		(495,710,685	)		(1,421,352,796	)
Net assets:
Beginning of period		279,164,972			499,337,007			5,123,645,039			6,544,997,835
End of period	$	194,594,020		$	279,164,972		$	4,627,934,354		$	5,123,645,039

See accompanying notes to the financial statements. 124

GMO Trust Funds

Statements of Changes in Net Assets—(Continued)

	Benchmark- Free Fund						Global Asset Allocation Fund
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022			Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	33,922,846		$	65,016,102		$	2,088,564		$	17,733,383
Net realized gain (loss)		82,033,842			147,007,130			(11,828,337	)		68,360,369
Change in net unrealized appreciation (depreciation)		(214,253,493	)		(190,582,429	)		(39,703,603	)		(76,899,817	)
Net increase (decrease) in net assets from operations		(98,296,805	)		21,440,803			(49,443,376	)		9,193,935
Distributions to shareholders:
Class III		(9,885,900	)		(78,012,250	)		(1,396,710	)		(36,020,211	)
Class R6		—			—			(90,412	)		(1,757,031	)
Class I		—			—			(41,678	)		(758,336	)
Total distributions		(9,885,900	)		(78,012,250	)		(1,528,800	)		(38,535,578	)
Net share transactions (Note 9):
Class III		(267,315,313	)		(488,070,825	)		(201,113,219	)		(73,648,726	)
Class R6		—			—			(350,572	)		(161,766,780	)
Class I		—			—			1,079,271			(7,391,714	)
Increase (decrease) in net assets resulting from net share transactions		(267,315,313	)		(488,070,825	)		(200,384,520	)		(242,807,220	)
Total increase (decrease) in net assets		(375,498,018	)		(544,642,272	)		(251,356,696	)		(272,148,863	)
Net assets:
Beginning of period		1,613,853,770			2,158,496,042			623,980,746			896,129,609
End of period	$	1,238,355,752		$	1,613,853,770		$	372,624,050		$	623,980,746

125 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets—(Continued)

	Global Developed Equity Allocation Fund						Global Equity Allocation Fund
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022			Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	294,087		$	3,386,302		$	7,559,711		$	62,828,244
Net realized gain (loss)		1,921,808			12,253,128			12,403,571			174,474,499
Change in net unrealized appreciation (depreciation)		(12,982,259	)		(9,298,594	)		(235,302,323	)		(190,742,470	)
Net increase (decrease) in net assets from operations		(10,766,364	)		6,340,836			(215,339,041	)		46,560,273
Distributions to shareholders:
Class III		(3,431,469	)		(10,659,337	)		(45,516,882	)		(122,025,655	)
Class R6		—			—			(209,491	)		(541,431	)
Class I		—			—			(200,297	)		(191,269	)
Total distributions		(3,431,469	)		(10,659,337	)		(45,926,670	)		(122,758,355	)
Net share transactions (Note 9):
Class III		3,386,990			2,974,852			(4,186,503	)		7,964,576
Class R6		—			—			(109,071	)		649,789
Class I		—			—			3,875,190			535,784
Increase (decrease) in net assets resulting from net share transactions		3,386,990			2,974,852			(420,384	)		9,150,149
Total increase (decrease) in net assets		(10,810,843	)		(1,343,649	)		(261,686,095	)		(67,047,933	)
Net assets:
Beginning of period		86,809,874			88,153,523			1,580,833,177			1,647,881,110
End of period	$	75,999,031		$	86,809,874		$	1,319,147,082		$	1,580,833,177

See accompanying notes to the financial statements. 126

GMO Trust Funds

Statements of Changes in Net Assets—(Continued)

	Consolidated Implementation Fund						International Developed Equity Allocation Fund
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022			Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	99,088,873		$	161,653,705		$	697,180		$	14,383,762
Net realized gain (loss)		112,584,653			208,144,198			280,915			3,380,347
Change in net unrealized appreciation (depreciation)		(457,900,645	)		(253,804,818	)		(34,548,990	)		(10,962,253	)
Net increase (decrease) in net assets from operations		(246,227,119	)		115,993,085			(33,570,895	)		6,801,856
Distributions to shareholders:
Core Class		(27,052,053	)		(150,035,453	)		—			—
Class III		—			—			(680,835	)		(15,331,043	)
Class R6		—			—			(26,116	)		(544,452	)
Total distributions		(27,052,053	)		(150,035,453	)		(706,951	)		(15,875,495	)
Net share transactions (Note 9):
Core Class		(379,500,548	)		(1,255,098,954	)		—			—
Class III		—			—			(2,006,641	)		13,953,404
Class R6		—			—			107,722			313,408
Increase (decrease) in net assets resulting from net share transactions		(379,500,548	)		(1,255,098,954	)		(1,898,919	)		14,266,812
Total increase (decrease) in net assets		(652,779,720	)		(1,289,141,322	)		(36,176,765	)		5,193,173
Net assets:
Beginning of period		4,681,225,899			5,970,367,221			230,576,117			225,382,944
End of period	$	4,028,446,179		$	4,681,225,899		$	194,399,352		$	230,576,117

127 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Changes in Net Assets—(Continued)

	International Equity Allocation Fund						Consolidated SGM Major Markets Fund
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022			Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,619,763		$	41,077,456		$	(119,156	)	$	(2,449,340	)
Net realized gain (loss)		(4,520,016	)		19,415,944			(7,125,698	)		(6,698,606	)
Change in net unrealized appreciation (depreciation)		(97,165,954	)		(81,975,337	)		(3,535,889	)		1,094,883
Net increase (decrease) in net assets from operations		(98,066,207	)		(21,481,937	)		(10,780,743	)		(8,053,063	)
Distributions to shareholders:
Class III		(763,302	)		(29,164,941	)		(1,480,938	)		(2,188,743	)
Class VI		—			—			(11,552,358	)		(23,082,080	)
Class R6		(588,823	)		(15,335,754	)		—			—
Class I		—			—			(1,083,342	)		(1,575,727	)
Total distributions		(1,352,125	)		(44,500,695	)		(14,116,638	)		(26,846,550	)
Net share transactions (Note 9):
Class III		(109,742,650	)		(119,007,367	)		(8,300,543	)		5,866,671
Class VI		—			—			(9,929,251	)		(77,631,000	)
Class R6		6,322,029			2,753,167			—			—
Class I		—			—			(7,285,372	)		8,999,513
Increase (decrease) in net assets resulting from net share transactions		(103,420,621	)		(116,254,200	)		(25,515,166	)		(62,764,816	)
Total increase (decrease) in net assets		(202,838,953	)		(182,236,832	)		(50,412,547	)		(97,664,429	)
Net assets:
Beginning of period		679,317,340			861,554,172			260,390,900			358,055,329
End of period	$	476,478,387		$	679,317,340		$	209,978,353		$	260,390,900

See accompanying notes to the financial statements. 128

GMO Trust Funds

Statements of Changes in Net Assets—(Continued)

	Strategic Opportunities Allocation Fund
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28, 2022
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,827,467		$	10,033,100
Net realized gain (loss)		6,545,365			64,829,890
Change in net unrealized appreciation (depreciation)		(32,626,354	)		(48,805,216	)
Net increase (decrease) in net assets from operations		(23,253,522	)		26,057,774
Distributions to shareholders:
Class III		(7,922,837	)		(67,555,650	)
Total distributions		(7,922,837	)		(67,555,650	)
Net share transactions (Note 9):
Class III		(17,035,398	)		(301,846,406	)
Increase (decrease) in net assets resulting from net share transactions		(17,035,398	)		(301,846,406	)
Total increase (decrease) in net assets		(48,211,757	)		(343,344,282	)
Net assets:
Beginning of period		236,452,022			579,796,304
End of period	$	188,240,265		$	236,452,022

129 See accompanying notes to the financial statements.

GMO Trust Funds

Statements of Cash Flows—Six Months Ended August 31, 2022

	Consolidated Alternative Allocation Fund (Unaudited)			Benchmark- Free Fund (Unaudited)			Consolidated Implementation Fund (Unaudited)			Strategic Opportunities Allocation Fund (Unaudited)
Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$	(3,914,000	)	$	(98,296,805	)	$	(246,227,119	)	$	(23,253,522	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Net change in unrealized (appreciation) depreciation		2,670,539			214,253,493			457,900,645			32,626,354
Net realized (gain) loss		2,639,614			(82,033,842	)		(112,584,653	)		(6,545,365	)
Cost of purchase of investments held long		(189,106,315	)		(803,684,228	)		(2,241,516,923	)		(29,075,118	)
Cost of purchase of investments held short		(73,152,891	)		(156,813,666	)		(483,166,464	)		(18,806,081	)
Proceeds from sale of investments held long		295,891,525			1,043,343,726			2,178,861,089			74,214,137
Proceeds of sales to securities sold short		47,868,531			106,558,333			470,231,418			12,897,259
Net accretion of discount and amortization of premium		(308,360	)		(1,483,421	)		(6,362,849	)		(85,709	)
Short-term investments, net		1,920,616			150,234,212			240,614,682			326,892
Realized gain distributions from affiliated issuers		—			5,564,540			—			2,266,597
Cash flows related to derivative transactions:
Futures contracts		(270,711	)		21,197,927			64,232,000			—
Written option contracts		(421,296	)		—			241,873			—
Swap contracts		(2,707,659	)		1,310,381			(3,280,486	)		484,028
Forward currency contracts		(4,772,030	)		1,648,637			(17,687,321	)		—
Foreign currency and foreign currency related transactions		(70,377	)		(1,153,827	)		(501,307	)		(53,833	)
Change in assets and liabilities:
(Increase) decrease in due from broker		2,590,360			2,951,449			85,698,774			85
(Increase) decrease in dividends and interest receivable		(118,183	)		(872,520	)		(4,707,891	)		(113,410	)
(Increase) decrease in dividend tax withholding		(10,966	)		89,577			369,276			18,510
(Increase) decrease in receivable for expenses reimbursed and/or waived by GMO		91,461			(34,276	)		(178,047	)		(17,601	)
(Increase) decrease in interest receivable for open OTC swap contracts		(111,311	)		—			(83,376	)		—
(Increase) decrease in receivable for closed swap contracts		(10,729	)		(73,537	)		(125,201	)		(6,086	)
(Increase) decrease in foreign capital gains tax refund receivable		—			(2,723	)		2,781			(1,515	)
(Increase) decrease in receivable from liquidated underlying funds		(14,470	)		—			—			—
(Increase) decrease in EU tax reclaims receivable		—			—			(192,194	)		—
Increase (decrease) in payable to affiliate for:
Management fee		(39,332	)		—			—			—
Shareholder service fee		(3,012	)		—			—			—
Increase (decrease) in foreign currency due to custodian		—			—			2,798,067			—
Increase (decrease) in due to custodian		—			50,716			(35,211	)		(220	)
Increase (decrease) in due to broker		—			(649	)		504,886			—
Increase (decrease) in dividends and interest payable		(16,591	)		81,630			417,841			8,646
Increase (decrease) in payable to Trustees and related expenses		898			4,385			12,372			(48	)
Increase (decrease) in interest payable for OTC swap contracts^		45,117			—			85,790			—
Increase (decrease) in accrued expenses		(93,869	)		(459,876	)		(518,672	)		(107,034	)
Increase (decrease) in accrued foreign capital gains tax payable		—			(38,653	)		(82,889	)		—
Increase (decrease) in payable for cash collateral from securities loaned		—			1,464,017			8,053,960			—
Net cash provided by (used in) operating activities		78,576,559			403,805,000			392,774,851			44,776,966
Cash flows from financing activities:
Proceeds from shares sold		21,055,583			769			182,909,600			9,968,068
Shares repurchased		(100,136,070	)		(403,594,200	)		(577,720,794	)		(52,188,159	)
Cash distributions paid		(611,372	)		(223,963	)		—			(2,523,144	)
Net cash provided by (used in) financing activities		(79,691,859	)		(403,817,394	)		(394,811,194	)		(44,743,235	)
Net increase (decrease) in cash		(1,115,300	)		(12,394	)		(2,036,343	)		33,731
Cash, beginning of period		3,526,958			1,141,425			2,036,343			46,610
Cash, end of period	$	2,411,658		$	1,129,031		$	—		$	80,341
Cash paid during the period for:
^ Interest	$	(199,410	)	$	—		$	—		$	—

See accompanying notes to the financial statements. 130

GMO Trust Funds

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED ALTERNATIVE ALLOCATION FUND

	Class VI Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28,						Period from May 1, 2019 (commencement of operations) through February 29,          2020
					2022			2021
Net asset value, beginning of period		$	18.08		$	18.99		$	19.45			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.12			0.05			(0.02	)			0.15
Net realized and unrealized gain (loss)			(0.38	)		(0.23	)		0.03	(b)			(0.18	)
Total from investment operations			(0.26	)		(0.18	)		0.01				(0.03	)
Less distributions to shareholders:
From net investment income			—			—			(0.47	)			(0.06	)
From net realized gains			(0.17	)		(0.73	)		—				(0.46	)
Total distributions			(0.17	)		(0.73	)		(0.47	)			(0.52	)
Net asset value, end of period		$	17.65		$	18.08		$	18.99			$	19.45
Total Return(c)			(1.44	)%**		(0.99	)%		0.01	%			(0.21	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	57,126		$	130,896		$	230,386			$	200,812
Net operating expenses to average daily net assets(d)			0.81	%*		0.80	%		0.76	%			0.77	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.66	%*		0.51	%		0.49	%			0.29	%*
Total net expenses to average daily net assets(d)			1.47	%*		1.31	%		1.25	%			1.05	%*
Net investment income (loss) to average daily net assets			1.36	%*		0.29	%		(0.10	)%			0.88	%*
Portfolio turnover rate(f)			139	%**		572	%		410	%			243	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(g)			0.30	%*		0.17	%		0.15	%			0.27	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 the Fund shares in relation to fluctuating market values of the investments of the Fund.

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

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

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

^(f)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020
Portfolio turnover rate including transactions in USTF	139%	572%	411%	250%

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

131 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED ALTERNATIVE ALLOCATION FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28,				Period from July 31, 2020 (commencement of operations) through February 28,         2021
					2022
Net asset value, beginning of period		$	18.18			$	18.95			$	19.33
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.13				(0.00	)(b)			(0.03	)
Net realized and unrealized gain (loss)			(0.38	)			(0.04	)			0.07	(c)
Total from investment operations			(0.25	)			(0.04	)			0.04
Less distributions to shareholders:
From net investment income			—				—				(0.42	)
From net realized gains			(0.17	)			(0.73	)			—
Total distributions			(0.17	)			(0.73	)			(0.42	)
Net asset value, end of period		$	17.76			$	18.18			$	18.95
Total Return(d)			(1.38	)%**			(0.23	)%			0.16	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	4			$	22			$	478
Net operating expenses to average daily net assets(e)			0.97	%*			0.97	%			0.93	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f)			0.63	%*			0.58	%			0.53	%*
Total net expenses to average daily net assets(e)			1.60	%*			1.55	%			1.46	%*
Net investment income (loss) to average daily net assets(a)			1.43	%*			0.01	%			(0.26	)%*
Portfolio turnover rate(g)			139	%**			572	%			410	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)			0.30	%*			0.13	%			0.16	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) Rounds to less than $0.01.

^(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 the Fund shares in relation to fluctuating market values of the investments of the Fund.

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

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

^(f)  Interest and dividend expense and/or borrowing costs incurred as a result of entering into reverse repurchase agreements, securities sold short 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)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021
Portfolio turnover rate including transactions in USTF	139%	572%	411%

^(h)  Ratio includes 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. 132

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED ALTERNATIVE ALLOCATION FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28,						Period from September 4, 2019 (commencement of operations) through February 29,            2020
					2022			2021
Net asset value, beginning of period		$	18.01		$	18.96		$	19.44			$	20.18
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.11			0.01			(0.09	)			0.10
Net realized and unrealized gain (loss)			(0.39	)		(0.23	)		0.04	(b)			(0.33	)
Total from investment operations			(0.28	)		(0.22	)		(0.05	)			(0.23	)
Less distributions to shareholders:
From net investment income			—			—			(0.43	)			(0.05	)
From net realized gains			(0.17	)		(0.73	)		—				(0.46	)
Total distributions			(0.17	)		(0.73	)		(0.43	)			(0.51	)
Net asset value, end of period		$	17.56		$	18.01		$	18.96			$	19.44
Total Return(c)			(1.56	)%**		(1.21	)%		(0.30	)%			(1.20	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	137,464		$	148,247		$	268,473			$	34,229
Net operating expenses to average daily net assets(d)			1.07	%*		1.07	%		1.02	%			1.02	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.68	%*		0.50	%		0.51	%			0.23	%*
Total net expenses to average daily net assets(d)			1.75	%*		1.57	%		1.53	%			1.25	%*
Net investment income (loss) to average daily net assets(a)			1.22	%*		0.06	%		(0.44	)%			0.98	%*
Portfolio turnover rate(f)			139	%**		572	%		410	%			243	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(g)			0.30	%*		0.19	%		0.15	%			0.24	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 the Fund shares in relation to fluctuating market values of the investments of the Fund.

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

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

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

^(f)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		139	%		572	%		411	%		250	%

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

133 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28/29,
				2022			2021			2020			2019			2018
Net asset value, beginning of period	$	25.56		$	25.97		$	25.53		$	26.36		$	27.76		$	25.78
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.08			0.57			0.40			0.83			0.82			0.52
Net realized and unrealized gain (loss)		(1.54	)		(0.35	)		0.98			(0.75	)		(1.30	)		2.12
Total from investment operations		(1.46	)		0.22			1.38			0.08			(0.48	)		2.64
Less distributions to shareholders:
From net investment income		—			(0.63	)		(0.78	)		(0.90	)		(0.90	)		(0.66	)
From net realized gains		—			—			(0.16	)		(0.01	)		(0.02	)		—
Total distributions		—			(0.63	)		(0.94	)		(0.91	)		(0.92	)		(0.66	)
Net asset value, end of period	$	24.10		$	25.56		$	25.97		$	25.53		$	26.36		$	27.76
Total Return(b)		(5.71	)%**		0.86	%		5.60	%		0.11	%		(1.55	)%		10.28	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,558,430		$	1,726,440		$	2,227,712		$	3,785,568		$	4,642,211		$	5,162,084
Net expenses to average daily net assets(c)		0.74	%*		0.75	%		0.70	%		0.66	%		0.65	%		0.65	%
Net investment income (loss) to average daily net assets(a)		0.66	%*		2.15	%		1.59	%		3.12	%		3.07	%		1.93	%
Portfolio turnover rate		9	%**		7	%		20	%		10	%		18	%		9	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)		0.07	%*		0.06	%		0.11	%		0.15	%		0.15	%		0.16	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.00	(e)	$	0.01

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5). (d) Ratio includes indirect fees waived or borne by GMO.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 134

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class IV Shares
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28/29,
				2022			2021			2020			2019			2018
Net asset value, beginning of period	$	25.56		$	25.96		$	25.53		$	26.35		$	27.75		$	25.78
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.09			0.49			0.43			0.83			0.88			0.58
Net realized and unrealized gain (loss)		(1.54	)		(0.25	)		0.96			(0.73	)		(1.35	)		2.06
Total from investment operations		(1.45	)		0.24			1.39			0.10			(0.47	)		2.64
Less distributions to shareholders:
From net investment income		—			(0.64	)		(0.80	)		(0.91	)		(0.91	)		(0.67	)
From net realized gains		—			—			(0.16	)		(0.01	)		(0.02	)		—
Total distributions		—			(0.64	)		(0.96	)		(0.92	)		(0.93	)		(0.67	)
Net asset value, end of period	$	24.11		$	25.56		$	25.96		$	25.53		$	26.35		$	27.75
Total Return(b)		(5.67	)%**		0.93	%		5.61	%		0.21	%		(1.50	)%		10.30	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,251,001		$	1,388,080		$	1,965,528		$	2,085,324		$	2,737,619		$	2,756,005
Net expenses to average daily net assets(c)		0.69	%*		0.70	%		0.66	%		0.61	%		0.60	%		0.60	%
Net investment income (loss) to average daily net assets(a)		0.73	%*		1.85	%		1.73	%		3.12	%		3.29	%		2.13	%
Portfolio turnover rate		9	%**		7	%		20	%		10	%		18	%		9	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)		0.07	%*		0.06	%		0.10	%		0.15	%		0.15	%		0.16	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.00	(e)	$	0.01

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5). (d) Ratio includes indirect fees waived or borne by GMO.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

135 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class MF Shares
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28/29,
				2022			2021			2020			2019			2018
Net asset value, beginning of period	$	25.58		$	25.99		$	25.55		$	26.38		$	27.77		$	25.80
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.09			0.60			0.38			0.83			0.77			0.56
Net realized and unrealized gain (loss)		(1.54	)		(0.37	)		1.01			(0.74	)		(1.23	)		2.08
Total from investment operations		(1.45	)		0.23			1.39			0.09			(0.46	)		2.64
Less distributions to shareholders:
From net investment income		—			(0.64	)		(0.79	)		(0.91	)		(0.91	)		(0.67	)
From net realized gains		—			—			(0.16	)		(0.01	)		(0.02	)		—
Total distributions		—			(0.64	)		(0.95	)		(0.92	)		(0.93	)		(0.67	)
Net asset value, end of period	$	24.13		$	25.58		$	25.99		$	25.55		$	26.38		$	27.77
Total Return(b)		(5.67	)%**		0.91	%		5.64	%		0.16	%		(1.47	)%		10.29	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,188,696		$	1,370,527		$	1,716,252		$	2,827,442		$	3,926,518		$	5,622,091
Net expenses to average daily net assets(c)		0.69	%*		0.70	%		0.65	%		0.61	%		0.60	%		0.60	%
Net investment income (loss) to average daily net assets(a)		0.71	%*		2.25	%		1.54	%		3.12	%		2.88	%		2.06	%
Portfolio turnover rate		9	%**		7	%		20	%		10	%		18	%		9	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)		0.07	%*		0.06	%		0.11	%		0.15	%		0.15	%		0.16	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.00	(e)	$	0.01

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5). (d) Ratio includes indirect fees waived or borne by GMO.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 136

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28,         2022				Period from May 1, 2020 (commencement of operations) through February 28,         2021
Net asset value, beginning of period		$	25.54			$	25.95			$	23.95
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.08				0.55				0.24
Net realized and unrealized gain (loss)			(1.54	)			(0.33	)			2.72
Total from investment operations			(1.46	)			0.22				2.96
Less distributions to shareholders:
From net investment income			—				(0.63	)			(0.80	)
From net realized gains			—				—				(0.16	)
Total distributions			—				(0.63	)			(0.96	)
Net asset value, end of period		$	24.08			$	25.54			$	25.95
Total Return(b)			(5.72	)%**			0.86	%			12.55	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	278,394			$	273,491			$	310,687
Net expenses to average daily net assets(c)			0.74	%*			0.75	%			0.74	%*
Net investment income (loss) to average daily net assets(a)			0.68	%*			2.06	%			1.16	%*
Portfolio turnover rate			9	%**			7	%			20	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)			0.07	%*			0.06	%			0.08	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5). (d) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

137 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28,						Period from August 8, 2019 (commencement of operations) through February 29,           2020
					2022			2021
Net asset value, beginning of period		$	25.53		$	25.95		$	25.52			$	26.24
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.08			0.63			0.33				1.10
Net realized and unrealized gain (loss)			(1.55	)		(0.44	)		1.02				(0.93	)
Total from investment operations			(1.47	)		0.19			1.35				0.17
Less distributions to shareholders:
From net investment income			—			(0.61	)		(0.76	)			(0.89	)
From net realized gains			—			—			(0.16	)			—
Total distributions			—			(0.61	)		(0.92	)			(0.89	)
Net asset value, end of period		$	24.06		$	25.53		$	25.95			$	25.52
Total Return(b)			(5.76	)%**		0.77	%		5.47	%			0.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	351,413		$	365,107		$	324,819			$	98,453
Net expenses to average daily net assets(c)			0.84	%*		0.85	%		0.81	%			0.74	%*
Net investment income (loss) to average daily net assets(a)			0.61	%*		2.38	%		1.30	%			7.22	%*
Portfolio turnover rate			9	%**		7	%		20	%			10	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)			0.08	%*		0.07	%		0.10	%			0.15	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5). (d) Ratio includes 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. 138

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE FUND

	Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28/29,
				2022			2021			2020			2019			2018
Net asset value, beginning of period	$	18.85		$	19.48		$	18.88		$	19.56		$	20.91		$	18.95
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.43			0.63			0.52			0.72			0.58			0.46
Net realized and unrealized gain (loss)		(1.67	)		(0.39	)		0.71			(0.59	)		(1.21	)		2.10
Total from investment operations		(1.24	)		0.24			1.23			0.13			(0.63	)		2.56
Less distributions to shareholders:
From net investment income		(0.13	)		(0.87	)		(0.63	)		(0.81	)		(0.72	)		(0.60	)
Total distributions		(0.13	)		(0.87	)		(0.63	)		(0.81	)		(0.72	)		(0.60	)
Net asset value, end of period	$	17.48		$	18.85		$	19.48		$	18.88		$	19.56		$	20.91
Total Return(b)		(6.58	)%**		1.21	%		6.64	%		0.41	%		(2.80	)%		13.59	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,238,356		$	1,613,854		$	2,158,496		$	2,583,930		$	3,165,731		$	4,486,489
Net operating expenses to average daily net assets(c)		0.06	%*		0.03	%		0.04	%		0.02	%		0.02	%		0.02	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)		0.38	%*		0.26	%		0.08	%		0.03	%		0.04	%		0.00	%(e)
Total net expenses to average daily net assets(c)		0.44	%*		0.29	%		0.12	%		0.05	%		0.06	%		0.02	%
Net investment income (loss) to average daily net assets(a)		4.73	%*		3.19	%		2.86	%		3.64	%		2.92	%		2.29	%
Portfolio turnover rate(f)		59	%**		138	%		145	%		50	%		59	%		78	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.06	%*		0.07	%		0.05	%		0.04	%		0.03	%		0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	—		$	—		$	0.00	(g)	$	0.01

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

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

^(e)  Rounds to less than 0.01%.

^(f)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019			February 28, 2018
Portfolio turnover rate including transactions in USTF		65	%		145	%		151	%		52	%		59	%		81	%

^(g)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

139 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022			2021			2020			2019			2018
Net asset value, beginning of period		$	32.86		$	34.92		$	31.50		$	31.47		$	33.31		$	30.48
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.14			0.96			0.88			1.08			1.02			0.73
Net realized and unrealized gain (loss)			(3.46	)		(0.90	)		3.91			0.29			(1.74	)		2.93
Total from investment operations			(3.32	)		0.06			4.79			1.37			(0.72	)		3.66
Less distributions to shareholders:
From net investment income			(0.11	)		(2.12	)		(1.37	)		(1.34	)		(1.12	)		(0.83	)
Total distributions			(0.11	)		(2.12	)		(1.37	)		(1.34	)		(1.12	)		(0.83	)
Net asset value, end of period		$	29.43		$	32.86		$	34.92		$	31.50		$	31.47		$	33.31
Total Return(b)			(10.08	)%**		(0.10	)%		15.39	%		4.12	%		(1.96	)%		12.04	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	337,139		$	585,212		$	692,580		$	1,539,522		$	1,909,728		$	2,475,605
Net expenses to average daily net assets(c)			0.00	%(d)*		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)			0.93	%*		2.68	%		2.78	%		3.32	%		3.17	%		2.24	%
Portfolio turnover rate(e)			10	%**		27	%		30	%		27	%		21	%		20	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*		0.03	%		0.01	%		0.01	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—		$	—		$	—		$	—		$	0.00	(f)	$	0.01

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5). (d) Rounds to less than 0.01%.

^(e)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019			February 28, 2018
Portfolio turnover rate including transactions in USTF		11	%		31	%		41	%		28	%		24	%		22	%

^(f)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 140

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28,						Period from September 30, 2019 (commencement of operations) through February 29,          2020
					2022			2021
Net asset value, beginning of period		$	32.84		$	34.93		$	31.50			$	32.56
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.15			0.51			0.93				0.86
Net realized and unrealized gain (loss)			(3.46	)		(0.48	)		3.87				(0.71	)
Total from investment operations			(3.31	)		0.03			4.80				0.15
Less distributions to shareholders:
From net investment income			(0.11	)		(2.12	)		(1.37	)			(1.21	)
Total distributions			(0.11	)		(2.12	)		(1.37	)			(1.21	)
Net asset value, end of period		$	29.42		$	32.84		$	34.93			$	31.50
Total Return(b)			(10.06	)%**		(0.19	)%		15.42	%			0.22	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	23,063		$	26,148		$	183,052			$	17,888
Net expenses to average daily net assets(c)			0.00	%(d)*		0.00	%(d)		0.01	%			0.00	%(d)
Net investment income (loss) to average daily net assets(a)			1.00	%*		1.44	%		2.78	%			6.23	%*
Portfolio turnover rate(e)			10	%**		27	%		30	%			27	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*		0.02	%		0.02	%			0.01	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  Rounds to less than 0.01%.

^(e)  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 including transactions in USTF during the period and/or year ended:

	August 31,  2022	February 28,  2022	February 28,  2021	February 29,  2020
Portfolio turnover rate including transactions in USTF	11%	N/A	N/A	N/A

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

141 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28,           2022				Period from January 6, 2021 (commencement of operations) through February 28,           2021
Net asset value, beginning of period		$	32.87			$	34.92			$	34.71
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.14				0.87				(0.01	)
Net realized and unrealized gain (loss)			(3.48	)			(0.84	)			0.22
Total from investment operations			(3.34	)			0.03				0.21
Less distributions to shareholders:
From net investment income			(0.10	)			(2.08	)			—
Total distributions			(0.10	)			(2.08	)			—
Net asset value, end of period		$	29.43			$	32.87			$	34.92
Total Return(b)			(10.15	)%**			(0.18	)%			0.61	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	12,422			$	12,621			$	20,497
Net expenses to average daily net assets(c)			0.10	%*			0.10	%			0.11	%
Net investment income (loss) to average daily net assets(a)			0.94	%*			2.41	%			(0.10	)%*
Portfolio turnover rate(d)			10	%**			27	%			30	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*			0.03	%			0.02	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  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 including transactions in USTF during the period and/or year ended:

	August 31,  2022	February 28,  2022	February 28,  2021
Portfolio turnover rate including transactions in USTF	11%	N/A	N/A

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 142

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022				2021				2020				2019				2018
Net asset value, beginning of period		$	24.43			$	25.79			$	20.87			$	21.20			$	22.88			$	19.60
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.08	(b)			1.00				0.75				0.25				0.57				0.42
Net realized and unrealized gain (loss)			(3.14	)			0.94				5.12				0.42				(1.67	)			3.55
Total from investment operations			(3.06	)			1.94				5.87				0.67				(1.10	)			3.97
Less distributions to shareholders:
From net investment income			(0.13	)			(2.08	)			(0.95	)			(0.74	)			(0.58	)			(0.69	)
From net realized gains			(0.84	)			(1.22	)			—				(0.26	)			—				—
Total distributions			(0.97	)			(3.30	)			(0.95	)			(1.00	)			(0.58	)			(0.69	)
Net asset value, end of period		$	20.40			$	24.43			$	25.79			$	20.87			$	21.20			$	22.88
Total Return(c)			(12.41	)%**			6.80	%			28.41	%			2.87	%			(4.58	)%			20.39	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	75,999			$	86,810			$	88,154			$	73,383			$	447,874			$	469,283
Net expenses to average daily net assets(d) (e)			0.00	%*			0.00	%			0.00	%			0.00	%			0.00	%			0.00	%
Net investment income (loss) to average daily net assets(a)			0.72	%*			3.61	%			3.39	%			1.16	%			2.62	%			1.99	%
Portfolio turnover rate			1	%**			19	%			25	%			21	%			6	%			5	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%*			0.05	%			0.06	%			0.03	%			0.02	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	—			$	0.00	(b)		$	0.02

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Rounds to less than $0.01.

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

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

^(e)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

143 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND

		Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022			2021			2020			2019			2018
Net asset value, beginning of period		$	28.45		$	29.91		$	24.37		$	24.63		$	26.86		$	22.84
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.14			1.18			0.88			0.83			0.65			0.68
Net realized and unrealized gain (loss)			(4.04	)		(0.28	)		5.75			(0.16	)		(2.18	)		4.11
Total from investment operations			(3.90	)		0.90			6.63			0.67			(1.53	)		4.79
Less distributions to shareholders:
From net investment income			(0.04	)		(2.35	)		(1.09	)		(0.93	)		(0.70	)		(0.77	)
From net realized gains			(0.82	)		(0.01	)		—			—			—			—
Total distributions			(0.86	)		(2.36	)		(1.09	)		(0.93	)		(0.70	)		(0.77	)
Net asset value, end of period		$	23.69		$	28.45		$	29.91		$	24.37		$	24.63		$	26.86
Total Return(b)			(13.63	)%**		2.49	%		27.51	%		2.36	%		(5.43	)%		21.06	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,307,605		$	1,571,153		$	1,638,868		$	1,456,064		$	1,637,744		$	2,328,921
Net expenses to average daily net assets(c)			0.00	%(d)*		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)			1.05	%*		3.69	%		3.44	%		3.26	%		2.56	%		2.67	%
Portfolio turnover rate			7	%**		20	%		20	%		20	%		11	%		14	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*		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	(e)	$	0.01

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  Rounds to less than 0.01%.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 144

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28, 2022				Period from July 15, 2020 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	28.46			$	29.91			$	25.19
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.14				1.19				0.81
Net realized and unrealized gain (loss)			(4.04	)			(0.28	)			4.96
Total from investment operations			(3.90	)			0.91				5.77
Less distributions to shareholders:
From net investment income			(0.04	)			(2.35	)			(1.05	)
From net realized gains			(0.82	)			(0.01	)			—
Total distributions			(0.86	)			(2.36	)			(1.05	)
Net asset value, end of period		$	23.70			$	28.46			$	29.91
Total Return(b)			(13.62	)%**			2.52	%			23.14	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,793			$	7,065			$	6,781
Net expenses to average daily net assets(c)			0.00	%(d)*			0.00	%(d)			0.00	%(d)*
Net investment income (loss) to average daily net assets(a)			1.07	%*			3.74	%			4.70	%*
Portfolio turnover rate			7	%**			20	%			20	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*			0.01	%			0.01	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

145 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28, 2022			Period from August 17, 2020 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	28.44			$29.91				$26.14
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.17			1.17				0.90
Net realized and unrealized gain (loss)			(4.08	)		(0.31	)			3.91
Total from investment operations			(3.91	)		0.86				4.81
Less distributions to shareholders:
From net investment income			(0.03	)		(2.32	)			(1.04	)
From net realized gains			(0.82	)		(0.01	)			—
Total distributions			(0.85	)		(2.33	)			(1.04	)
Net asset value, end of period		$	23.68			$28.44				$29.91
Total Return(b)			(13.65	)%**		2.37	%			18.64	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,749			$2,615			$	2,233
Net expenses to average daily net assets(c)			0.10	%*		0.10	%			0.10	%*
Net investment income (loss) to average daily net assets(a)			1.36	%*		3.67	%			5.95	%*
Portfolio turnover rate			7	%**		20	%			20	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*		0.01	%			0.01	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 146

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND

	Core Shares
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28/29,
				2022			2021			2020			2019			2018
Net asset value, beginning of period	$	12.54		$	12.70		$	12.74		$	13.22		$	14.09		$	13.06
Income (loss) from investment operations:
Net investment income (loss)†		0.28(a)			0.38	(a)		0.35	(a)		0.49	(a)		0.40			0.33
Net realized and unrealized gain (loss)		(0.97)			(0.13	)		(0.11	)		(0.43	)		(0.69	)		1.11
Total from investment operations		(0.69)			0.25			0.24			0.06			(0.29	)		1.44
Less distributions to shareholders:
From net investment income		(0.08)			(0.41	)		(0.28	)		(0.54	)		(0.58	)		(0.41	)
Total distributions		(0.08)			(0.41	)		(0.28	)		(0.54	)		(0.58	)		(0.41	)
Net asset value, end of period	$	11.77		$	12.54		$	12.70		$	12.74		$	13.22		$	14.09
Total Return(b)		(5.50	)%**		2.02	%		1.95	%		0.25	%		(1.88	)%		11.12	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	4,028,446		$	4,681,226		$	5,970,367		$	7,114,306		$	8,965,578		$	11,505,699
Net operating expenses to average daily net assets		0.01	%(c)*		0.00	%(c)(d)		0.01	%(c)		0.00	%(c)(d)		0.00	%(d)		0.00	%(d)
Interest and/or dividend expenses to average daily net assets(e)		0.42	%*		0.32	%		0.15	%		0.06	%		0.10	%		0.04	%
Total net expenses to average daily net assets		0.43	%(c)*		0.32	%(c)		0.16	%(c)		0.06	%(c)		0.10	%		0.04	%
Net investment income (loss) to average daily net assets		4.58	%(a)*		2.95	%(a)		2.89	%(a)		3.65	%(a)		2.95	%		2.44	%
Portfolio turnover rate		60	%(f)**		194	%(f)		189	%(f)		97	%(f)		112	%		146	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.06	%*		0.06	%(g)		0.06	%(g)		0.05	%(g)		0.04	%		0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts: (Note 2)†	$	—		$	—		$	—		$	—		$	0.00	(h)	$	0.01

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  Rounds to less than 0.01%.

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

^(f)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019	February 28, 2018
Portfolio turnover rate including transactions in USTF	64%	200%	196%	100%	N/A	N/A

^(g)  Ratio includes indirect fees waived or borne by GMO.

^(h)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

147 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)			Year Ended February 28/29,
				2022				2021				2020				2019				2018
Net asset value, beginning of period		$    16.35			$	16.95			$	14.52			$	14.75			$	17.32			$	14.72
Income (loss) from investment operations:
Net investment income (loss)(a)†		(0.00	)(b)			1.05				0.61				0.49				0.51				0.53
Net realized and unrealized gain (loss)		(2.47	)			(0.51	)			2.56				(0.12	)			(2.56	)			2.61
Total from investment operations		(2.47	)			0.54				3.17				0.37				(2.05	)			3.14
Less distributions to shareholders:
From net investment income		(0.01	)			(1.09	)			(0.74	)			(0.60	)			(0.52	)			(0.54	)
From net realized gains		(0.04	)			(0.05	)			0.00				0.00				0.00				0.00
Total distributions		(0.05	)			(1.14	)			(0.74	)			(0.60	)			(0.52	)			(0.54	)
Net asset value, end of period		$    13.83			$	16.35			$	16.95			$	14.52			$	14.75			$	17.32
Total Return(c)		(15.09	)%**			2.88	%			22.02	%			2.14	%			(11.57	)%			21.41	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$187,302			$	222,308			$	217,129			$	297,463			$	572,830			$	664,867
Net expenses to average daily net assets(d)		0.00	%(e)*			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)
Net investment income (loss) to average daily net assets(a)		(0.00	)%*			5.82	%			4.20	%			3.25	%			3.25	%			3.20	%
Portfolio turnover rate		5	%**			18	%			17	%			11	%			8	%			5	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:		0.06	%*			0.05	%			0.03	%			0.02	%			0.02	%			0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$         —			$	—			$	—			$	—			$	0.00	(b)		$	0.00	(b)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Rounds to less than $0.01.

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

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

^(e)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 148

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28, 2022				Period from January 22, 2021 (commencement of operations) through February 28, 2021
Net asset value, beginning of period		$	16.35			$	16.95			$	17.08
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.00	)(b)			1.02				(0.00	)(b)
Net realized and unrealized gain (loss)			(2.47	)			(0.48	)			(0.13	)
Total from investment operations			(2.47	)			0.54				(0.13	)
Less distributions to shareholders:
From net investment income			(0.01	)			(1.09	)			—
From net realized gains			(0.04	)			(0.05	)			—
Total distributions			(0.05	)			(1.14	)			—
Net asset value, end of period		$	13.83			$	16.35			$	16.95
Total Return(c)			(15.09	)%**			2.88	%			(0.76	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	7,097			$	8,268			$	8,254
Net expenses to average daily net assets(d)			0.00	(e)%*			0.00	%(e)			0.01	%*
Net investment income (loss) to average daily net assets(a)			(0.01	)%*			5.66	%			(0.01	)%*
Portfolio turnover rate			5	%**			18	%			17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%*			0.05	%			0.05	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Rounds to less than $0.01.

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

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

^(e)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

149 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022			2021			2020			2019			2018
Net asset value, beginning of period		$	29.43		$	32.31		$	27.45		$	28.09		$	32.62		$	27.49
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.17			1.64			1.24			1.02			0.91			0.93
Net realized and unrealized gain (loss)			(4.99	)		(2.59	)		4.91			(0.46	)		(4.47	)		5.19
Total from investment operations			(4.82	)		(0.95	)		6.15			0.56			(3.56	)		6.12
Less distributions to shareholders:
From net investment income			(0.07	)		(1.93	)		(1.29	)		(1.20	)		(0.97	)		(0.99	)
Total distributions			(0.07	)		(1.93	)		(1.29	)		(1.20	)		(0.97	)		(0.99	)
Net asset value, end of period		$	24.54		$	29.43		$	32.31		$	27.45		$	28.09		$	32.62
Total Return(b)			(16.37	)%**		(3.37	)%		22.67	%		1.62	%		(10.69	)%		22.38	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	269,057		$	437,139		$	598,701		$	646,622		$	929,967		$	1,151,327
Net expenses to average daily net assets(c)			0.01	%*		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)			1.28	%*		4.90	%		4.40	%		3.55	%		3.09	%		3.00	%
Portfolio turnover rate			4	%**		18	%		16	%		7	%		8	%		12	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*		0.02	%		0.02	%		0.01	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—		$	—		$	—		$	—		$	0.00	(e)	$	0.02

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  Rounds to less than 0.01%.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 150

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28,						Period from August 30, 2019 (commencement of operations) through February 29,          2020
					2022			2021
Net asset value, beginning of period		$	29.42		$	32.30		$	27.44			$	27.07
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.19			1.74			1.29				1.14
Net realized and unrealized gain (loss)			(5.01	)		(2.69	)		4.86				0.33
Total from investment operations			(4.82	)		(0.95	)		6.15				1.47
Less distributions to shareholders:
From net investment income			(0.07	)		(1.93	)		(1.29	)			(1.10	)
Total distributions			(0.07	)		(1.93	)		(1.29	)			(1.10	)
Net asset value, end of period		$	24.53		$	29.42		$	32.30			$	27.44
Total Return(b)			(16.38	)%**		(3.37	)%		22.68	%			5.04	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	207,421		$	242,178		$	262,853			$	210,223
Net expenses to average daily net assets(c)			0.01	%*		0.00	%		0.00	%			0.00	%*
Net investment income (loss) to average daily net assets(a)			1.41	%*		5.20	%		4.56	%			7.83	%*
Portfolio turnover rate			4	%**		18	%		16	%			7	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.02	%*		0.02	%		0.02	%			0.02	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

151 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND

	Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022			2021			2020			2019			2018
Net asset value, beginning of period		$	29.30		$	32.07		$	31.13		$	32.17		$	31.87		$	32.68
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.03	)		(0.24	)		(0.09	)		0.27			0.31			0.24
Net realized and unrealized gain (loss)			(1.23	)		(0.39	)		1.81			(0.83	)		0.11	(b)		0.23
Total from investment operations			(1.26	)		(0.63	)		1.72			(0.56	)		0.42			0.47
Less distributions to shareholders:
From net investment income			(0.44	)		(0.71	)		(0.03	)		(0.48	)		(0.12	)		—
From net realized gains			(1.26	)		(1.43	)		(0.75	)		—			—			(1.28	)
Total distributions			(1.70	)		(2.14	)		(0.78	)		(0.48	)		(0.12	)		(1.28	)
Net asset value, end of period		$	26.34		$	29.30		$	32.07		$	31.13		$	32.17		$	31.87
Total Return(c)			(4.30	)%**		(2.00	)%		5.48	%		(1.74	)%		1.32	%		1.44	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	21,660		$	32,796		$	30,126		$	18,527		$	45,409		$	26,630
Net expenses to average daily net assets(d)			1.01	%*		1.00	%		1.01	%		1.01	%		1.00	%		1.00	%
Net investment income (loss) to average daily net assets(a)			(0.20	)%*		(0.81	)%		(0.27	)%		0.85	%		0.97	%		0.75	%
Portfolio turnover rate			45	%**		81	%		76	%		46	%		49	%(e)		106	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.12	%*		0.10	%		0.07	%		0.05	%		0.04	%		0.03	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

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

^(e)  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 including transactions in USTF during the period and/or year ended:

	August 31,   2022	February 28,   2022	February 28,   2021	February 29,   2020	February 28,   2019	February 28,   2018
Portfolio turnover rate including transactions in USTF	N/A	N/A	N/A	N/A	75%	51%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 152

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022			2021			2020			2019			2018
Net asset value, beginning of period		$	29.27		$	32.03		$	31.07		$	32.11		$	31.78		$	32.57
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.01	)		(0.22	)		(0.06	)		0.25			0.33			0.05
Net realized and unrealized gain (loss)			(1.23	)		(0.38	)		1.80			(0.77	)		0.13	(b)		0.44
Total from investment operations			(1.24	)		(0.60	)		1.74			(0.52	)		0.46			0.49
Less distributions to shareholders:
From net investment income			(0.46	)		(0.73	)		(0.03	)		(0.52	)		(0.13	)		—
From net realized gains			(1.26	)		(1.43	)		(0.75	)		—			—			(1.28	)
Total distributions			(1.72	)		(2.16	)		(0.78	)		(0.52	)		(0.13	)		(1.28	)
Net asset value, end of period		$	26.31		$	29.27		$	32.03		$	31.07		$	32.11		$	31.78
Total Return(c)			(4.24	)%**		(1.92	)%		5.56	%		(1.65	)%		1.47	%		1.50	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	176,793		$	206,841		$	314,087		$	831,870		$	1,161,238		$	1,843,748
Net expenses to average daily net assets(d)			0.91	%*		0.91	%		0.91	%		0.91	%		0.91	%		0.91	%
Net investment income (loss) to average daily net assets(a)			(0.07	)%*		(0.71	)%		(0.17	)%		0.79	%		1.04	%		0.16	%
Portfolio turnover rate			45	%**		81	%		76	%		46	%		49	%(e)		106	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.13	%*		0.09	%		0.07	%		0.04	%		0.04	%		0.03	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies 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 returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

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

^(e)  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 including transactions in USTF during the period and/or year ended:

	August 31,   2022	February 28,   2022	February 28,   2021	February 29,   2020	February 28,   2019	February 28,   2018
Portfolio turnover rate including transactions in USTF	N/A	N/A	N/A	N/A	75%	51%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

153 See accompanying notes to the financial statements.

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28,         2022				Period from September 23, 2020 (commencement of operations) through February 28,             2021
Net asset value, beginning of period		$	29.23			$	32.06			$	32.37
Income (loss) from investment operations:
Net investment income (loss)(a)†			(0.04	)			(0.28	)			(0.04	)
Net realized and unrealized gain (loss)			(1.23	)			(0.40	)			0.48
Total from investment operations			(1.27	)			(0.68	)			0.44
Less distributions to shareholders:
From net investment income			(0.41	)			(0.72	)			—
From net realized gains			(1.26	)			(1.43	)			(0.75	)
Total distributions			(1.67	)			(2.15	)			(0.75	)
Net asset value, end of period		$	26.29			$	29.23			$	32.06
Total Return(b)			(4.32	)%**			(2.16	)%			1.30	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	11,525			$	20,753			$	13,842
Net expenses to average daily net assets(c)			1.11	%*			1.10	%			1.11	%*
Net investment income (loss) to average daily net assets(a)			(0.28	)%*			(0.93	)%			(0.28	)%*
Portfolio turnover rate			45	%**			81	%			76	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.17	%*			0.15	%			0.14	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 154

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND

		Class III Shares
	Six Months Ended August 31, 2022 (Unaudited)				Year Ended February 28/29,
					2022			2021			2020			2019			2018
Net asset value, beginning of period		$	17.91		$	21.56		$	18.98		$	19.48		$	22.08		$	19.76
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.22			0.59			0.54			0.67			0.62			0.58
Net realized and unrealized gain (loss)			(2.05	)		0.32			2.93			(0.11	)		(1.45	)		2.39
Total from investment operations			(1.83	)		0.91			3.47			0.56			(0.83	)		2.97
Less distributions to shareholders:
From net investment income			(0.12	)		(1.22	)		(0.71	)		(0.77	)		(0.67	)		(0.63	)
From net realized gains			(0.52	)		(3.34	)		(0.18	)		(0.29	)		(1.10	)		(0.02	)
Total distributions			(0.64	)		(4.56	)		(0.89	)		(1.06	)		(1.77	)		(0.65	)
Net asset value, end of period		$	15.44		$	17.91		$	21.56		$	18.98		$	19.48		$	22.08
Total Return(b)			(10.13	)%**		3.57	%		18.66	%		2.57	%		(3.45	)%		15.10	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	188,240		$	236,452		$	579,796		$	773,438		$	915,148		$	1,302,441
Net operating expenses to average daily net assets(c)			0.02	%*		0.01	%		0.01	%		0.01	%		0.01	%		0.00	%(d)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.35	%*		0.26	%		0.07	%		0.03	%		0.03	%		—
Total net expenses to average daily net assets(c)			0.37	%*		0.27	%		0.08	%		0.04	%		0.04	%		0.00	%(d)
Net investment income (loss) to average daily net assets(a)			2.60	%*		2.71	%		2.85	%		3.35	%		3.01	%		2.73	%
Portfolio turnover rate(f)			28	%**		95	%		61	%		36	%		35	%		20	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.15	%*		0.14	%		0.07	%		0.03	%		0.03	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—		$	—		$	—		$	—		$	0.00	(g)	$	0.02

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

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

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

^(d)  Rounds to less than 0.01%.

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

^(f)  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 including transactions in USTF during the period and/or year ended:

	August 31, 2022			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019			February 28, 2018
Portfolio turnover rate including transactions in USTF		27	%		122	%		80	%		41	%		38	%		25	%

^(g)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

155 See accompanying notes to the financial statements.

GMO Trust Funds

Notes to Financial Statements

August 31, 2022 (Unaudited)

1. Organization

Each of Alternative Allocation 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 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 Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund may also invest in GMO Alternative Allocation SPC Ltd., GMO Implementation SPC Ltd. and GMO Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), 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 financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

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

Fund Name	Benchmark	Investment Objective
Alternative Allocation Fund	Not Applicable	Positive total return
Benchmark-Free Allocation Fund	Not Applicable	Positive total return
Benchmark-Free Fund	Not Applicable	Positive total return
Global Asset Allocation Fund	GMO Global Asset Allocation Index (65% MSCI ACWI, 35% Bloomberg 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	Not Applicable	Long-term total return
Strategic Opportunities Allocation Fund	GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series), 25% Bloomberg U.S. Aggregate Index)	Total return greater than benchmark

Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Allocation Fund currently limit subscriptions.

2. Significant accounting policies

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

156

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Basis of presentation and principles of consolidation: Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund

Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries 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. 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 that 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 when a Fund calculates its net asset value, the 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.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before 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. 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) and are described in the disclosures of the underlying funds.

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates 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 source) 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.

“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 when a Fund calculates its net asset value, 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.

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 fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2022, 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.

157

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

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.

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; certain securities that are valued at the local price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; 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 may be 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; 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 August 31, 2022:

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,853,742	$	—	$	1,853,742
Belgium		—		642,169		—		642,169
Brazil		203,835		37,664		—		241,499
Canada		6,560,358		—		—		6,560,358
China		210,921		1,889,575		419,044		2,519,540
Denmark		—		883,857		—		883,857
Finland		—		358,752		—		358,752
France		—		895,741		—		895,741

158

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Germany	$	—	$	1,033,454	$	—	$	1,033,454
Hong Kong		—		439,159		—		439,159
India		—		1,088,378		—		1,088,378
Israel		1,827,777		—		—		1,827,777
Italy		—		762,877		—		762,877
Japan		45,084		15,751,281		—		15,796,365
Netherlands		237,870		1,785,169		—		2,023,039
New Zealand		—		209,930		—		209,930
Portugal		—		184,873		—		184,873
South Africa		—		205,100		—		205,100
South Korea		150,464		552,524		—		702,988
Spain		—		710,025		—		710,025
Sweden		—		3,235,692		—		3,235,692
Switzerland		—		770,062		—		770,062
Taiwan		2,786,832		151,466		—		2,938,298
United Kingdom		30,866		1,453,108		—		1,483,974
United States		68,466,923		—		34,109		68,501,032
TOTAL COMMON STOCKS		80,520,930		34,894,598		453,153		115,868,681
Preferred Stocks
Brazil		250,978		—		—		250,978
Germany		—		184,672		—		184,672
TOTAL PREFERRED STOCKS		250,978		184,672		—		435,650
Rights/Warrants
United States		—		—		361,026		361,026
TOTAL RIGHTS/WARRANTS		—		—		361,026		361,026
Investment Funds
United States		—		—		3,753,090		3,753,090
TOTAL INVESTMENT FUNDS		—		—		3,753,090		3,753,090
Debt Obligations
United States		44,671,091		13,000,435		—		57,671,526
TOTAL DEBT OBLIGATIONS		44,671,091		13,000,435		—		57,671,526
Mutual Funds
United States		6,007,107		—		—		6,007,107
TOTAL MUTUAL FUNDS		6,007,107		—		—		6,007,107
Short-Term Investments		23,386,595		51,017,820		—		74,404,415
Purchased Options		19,565		—		—		19,565
Total Investments		154,856,266		99,097,525		4,567,269		258,521,060
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,468,151		—		1,468,151
Futures Contracts
Equity Risk		605,432		87,966		—		693,398
Interest Rate Risk		81,128		—		—		81,128

159

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^ (continued)
Swap Contracts
Credit Risk	$	—		$	6,132,057		$	—	$	6,132,057
Equity Risk		—			603,052			—		603,052
Interest Rate Risk		—			6,896,213			—		6,896,213
Total	$	155,542,826		$	114,284,964		$	4,567,269	$	274,395,059
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(1,131,070	)	$	—	$	(1,131,070	)
Austria		—			(359,775	)		—		(359,775	)
Belgium		—			(273,154	)		—		(273,154	)
Canada		(2,396,465	)		—			—		(2,396,465	)
France		—			(1,584,742	)		—		(1,584,742	)
Germany		—			(1,593,412	)		—		(1,593,412	)
Israel		(461,060	)		—			—		(461,060	)
Italy		(38,932	)		(999,216	)		—		(1,038,148	)
Japan		—			(5,335,135	)		—		(5,335,135	)
Netherlands		—			(945,847	)		—		(945,847	)
New Zealand		—			(320,207	)		—		(320,207	)
Norway		—			(293,874	)		—		(293,874	)
Peru		(202,401	)		—			—		(202,401	)
Singapore		—			(504,944	)		—		(504,944	)
South Africa		(1,311,664	)		—			—		(1,311,664	)
Spain		—			(786,767	)		—		(786,767	)
Sweden		—			(419,676	)		—		(419,676	)
Switzerland		—			(577,392	)		—		(577,392	)
United Kingdom		—			(3,644,425	)		—		(3,644,425	)
United States		(37,894,145	)		—			—		(37,894,145	)
TOTAL COMMON STOCKS		(42,304,667	)		(18,769,636	)		—		(61,074,303	)
Preferred Stocks
Germany		—			(337,466	)		—		(337,466	)
TOTAL PREFERRED STOCKS		—			(337,466	)		—		(337,466	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(1,608,391	)		—		(1,608,391	)
Futures Contracts
Equity Risk		(609,478	)		(1,008,245	)		—		(1,617,723	)
Interest Rate Risk		(83,517	)		—			—		(83,517	)
Written Options
Credit Risk		—			(40,378	)		—		(40,378	)
Equity Risk		(836,866	)		—			—		(836,866	)
Swap Contacts
Credit Risk		—			(521,802	)		—		(521,802	)
Equity Risk		—			(643,341	)		—		(643,341	)
Interest Rate Risk		—			(6,266,256	)		—		(6,266,256	)
Total	$	(43,834,528	)	$	(29,195,515	)	$	—	$	(73,030,043	)

160

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	4,621,465,431	$	—	$	—	$	4,621,465,431
Short-Term Investments		3,612,347		—		—		3,612,347
Total Investments		4,625,077,778		—		—		4,625,077,778
Total	$	4,625,077,778	$	—	$	—	$	4,625,077,778
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	42,513	$	—	$	—	$	42,513
Australia		—		16,033,852		—		16,033,852
Austria		—		82,165		—		82,165
Belgium		—		4,762,485		—		4,762,485
Brazil		4,761,116		7,876,709		—		12,637,825
Canada		27,927,118		72,683		—		27,999,801
Chile		138,555		1,341,386		—		1,479,941
China		6,209,357		69,569,918		2,140,925		77,920,200
Czech Republic		—		343,532		—		343,532
Denmark		—		4,900,444		—		4,900,444
Egypt		—		412,049		—		412,049
Finland		—		5,607,600		—		5,607,600
France		949,280		22,419,137		—		23,368,417
Germany		—		12,103,557		—		12,103,557
Greece		—		289,724		—		289,724
Hong Kong		—		10,727,460		—		10,727,460
Hungary		—		1,672,663		—		1,672,663
India		1,010,160		31,055,678		18,130		32,083,968
Indonesia		—		7,122,304		—		7,122,304
Ireland		997,799		4,236,246		—		5,234,045
Israel		3,572,086		442,749		—		4,014,835
Italy		49,602		9,346,608		—		9,396,210
Japan		87,516		167,489,711		—		167,577,227
Kuwait		—		155,563		—		155,563
Luxembourg		522,014		—		—		522,014
Malaysia		—		632,857		—		632,857
Mexico		13,528,143		—		8,873		13,537,016
Netherlands		1,136,490		14,636,291		—		15,772,781
New Zealand		—		1,172,837		—		1,172,837
Norway		—		4,334,600		—		4,334,600
Panama		15,133		—		—		15,133
Peru		889,623		—		—		889,623
Philippines		—		171,920		—		171,920
Poland		—		3,048,219		—		3,048,219
Portugal		—		5,130,974		—		5,130,974
Qatar		—		1,247,863		—		1,247,863
Russia		—		319,453		3,073,200		3,392,653
Saudi Arabia		—		2,702,908		—		2,702,908
Singapore		—		8,285,280		—		8,285,280

161

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
South Africa	$	89,800	$	9,488,921		$	—	$	9,578,721
South Korea		1,370,812		42,208,378			—		43,579,190
Spain		—		16,381,458			—		16,381,458
Sweden		—		6,954,359			—		6,954,359
Switzerland		—		7,827,255			—		7,827,255
Taiwan		5,291,537		55,990,158			—		61,281,695
Thailand		—		8,898,557			—		8,898,557
Turkey		—		6,600,415			—		6,600,415
United Arab Emirates		—		139,237			—		139,237
United Kingdom		5,352,862		37,621,420			553		42,974,835
United States		164,345,160		—			—		164,345,160
Vietnam		—		564,594			—		564,594
TOTAL COMMON STOCKS		238,286,676		612,422,177			5,241,681		855,950,534
Preferred Stocks
Brazil		3,078,730		7,823,525			—		10,902,255
Chile		—		321,018			—		321,018
Colombia		44,726		—			—		44,726
Germany		—		1,395,050			—		1,395,050
Russia		—		—			345,419		345,419
South Korea		—		2,802,405			—		2,802,405
Taiwan		—		41,149			—		41,149
TOTAL PREFERRED STOCKS		3,123,456		12,383,147			345,419		15,852,022
Debt Obligations
United States		210,457,756		2			—		210,457,758
TOTAL DEBT OBLIGATIONS		210,457,756		2			—		210,457,758
Mutual Funds
United States		298,140,475		—			—		298,140,475
TOTAL MUTUAL FUNDS		298,140,475		—			—		298,140,475
Short-Term Investments		3,635,088		86,999,276			—		90,634,364
Total Investments		753,643,451		711,804,602			5,587,100		1,471,035,153
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		905,232			—		905,232
Futures Contracts
Equity Risk		1,450,382		160,917			—		1,611,299
Swap Contracts
Equity Risk		—		758,647			—		758,647
Interest Rate Risk		—		9,330,037			—		9,330,037
Total	$	755,093,833	$	722,959,435		$	5,587,100	$	1,483,640,368
Liability Valuation Inputs
Common Stocks
Australia	$	—	$	(5,937,433	)	$	—	$	(5,937,433	)
Austria		—		(1,762,274	)		—		(1,762,274	)
Belgium		—		(1,480,613	)		—		(1,480,613	)

162

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Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Description	Level 1			Level 2			Level 3			Total
Benchmark-Free Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
Canada	$	(12,614,986	)	$	—		$	—		$	(12,614,986	)
France		—			(8,173,535	)		—			(8,173,535	)
Germany		—			(8,239,604	)		—			(8,239,604	)
Israel		(2,366,029	)		—			—			(2,366,029	)
Italy		—			(5,348,634	)		—			(5,348,634	)
Japan		—			(27,355,566	)		—			(27,355,566	)
Netherlands		—			(4,714,376	)		—			(4,714,376	)
New Zealand		—			(1,623,801	)		—			(1,623,801	)
Norway		—			(1,536,908	)		—			(1,536,908	)
Peru		(998,825	)		—			—			(998,825	)
Russia		—			—			(7,170	)		(7,170	)
Singapore		—			(2,642,295	)		—			(2,642,295	)
Spain		—			(4,043,792	)		—			(4,043,792	)
Sweden		—			(2,120,760	)		—			(2,120,760	)
Switzerland		—			(3,037,616	)		—			(3,037,616	)
United Kingdom		—			(12,858,617	)		—			(12,858,617	)
United States		(115,874,861	)		—			—			(115,874,861	)
TOTAL COMMON STOCKS		(131,854,701	)		(90,875,824	)		(7,170	)		(222,737,695	)
Preferred Stocks
Germany		—			(1,851,066	)		—			(1,851,066	)
TOTAL PREFERRED STOCKS		—			(1,851,066	)		—			(1,851,066	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(1,013,388	)		—			(1,013,388	)
Swap Contacts
Equity Risk		—			(52,801	)		—			(52,801	)
Interest Rate Risk		—			(8,457,894	)		—			(8,457,894	)
Total	$	(131,854,701	)	$	(102,250,973	)	$	(7,170	)	$	(234,112,844	)
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	370,586,119		$	—		$	—		$	370,586,119
Short-Term Investments		376,778			—			—			376,778
Total Investments		370,962,897			—			—			370,962,897
Total	$	370,962,897		$	—		$	—		$	370,962,897
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	75,977,016		$	—		$	—		$	75,977,016
Short-Term Investments		36,838			—			—			36,838
Total Investments		76,013,854			—			—			76,013,854
Total	$	76,013,854		$	—		$	—		$	76,013,854

163

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	1,319,157,000	$	—	$	—	$	1,319,157,000
Short-Term Investments		75,077		—		—		75,077
Total Investments		1,319,232,077		—		—		1,319,232,077
Total	$	1,319,232,077	$	—	$	—	$	1,319,232,077
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,610,596	$	—	$	—	$	1,610,596
Australia		—		59,500,630		—		59,500,630
Austria		—		2,242,279		—		2,242,279
Belgium		—		15,710,625		—		15,710,625
Brazil		14,264,963		30,598,671		—		44,863,634
Canada		125,877,254		169,987		—		126,047,241
Chile		614,165		4,133,144		—		4,747,309
China		17,393,001		205,778,078		6,108,736		229,279,815
Colombia		820,662		—		—		820,662
Czech Republic		—		1,038,554		—		1,038,554
Denmark		—		18,931,062		—		18,931,062
Egypt		—		1,238,127		—		1,238,127
Finland		—		18,247,741		—		18,247,741
France		2,840,860		71,283,836		—		74,124,696
Germany		—		37,777,501		—		37,777,501
Greece		—		937,207		—		937,207
Hong Kong		—		33,750,412		—		33,750,412
Hungary		—		6,749,318		—		6,749,318
India		3,056,100		95,467,055		55,359		98,578,514
Indonesia		—		21,127,810		—		21,127,810
Ireland		3,800,988		11,704,588		—		15,505,576
Israel		18,382,899		2,606,142		—		20,989,041
Italy		94,480		30,875,873		—		30,970,353
Japan		559,356		496,280,883		—		496,840,239
Kuwait		—		165,605		—		165,605
Luxembourg		1,505,931		—		—		1,505,931
Malaysia		—		1,913,287		—		1,913,287
Mexico		41,062,436		—		20,368		41,082,804
Netherlands		3,841,160		49,345,668		166		53,186,994
New Zealand		—		3,699,402		—		3,699,402
Norway		—		18,070,108		—		18,070,108
Pakistan		—		229,005		—		229,005
Panama		25,140		—		—		25,140
Peru		2,377,035		—		—		2,377,035
Philippines		—		1,363,761		—		1,363,761
Poland		—		11,219,877		—		11,219,877
Portugal		—		20,114,585		—		20,114,585
Qatar		—		3,748,471		—		3,748,471
Russia		—		625,241		8,344,664		8,969,905

164

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Saudi Arabia	$	—	$	7,807,216	$	—	$	7,807,216
Singapore		—		25,610,932		—		25,610,932
South Africa		376,262		33,447,066		—		33,823,328
South Korea		5,121,626		116,792,422		—		121,914,048
Spain		—		53,031,187		—		53,031,187
Sweden		—		34,519,994		—		34,519,994
Switzerland		—		26,275,011		—		26,275,011
Taiwan		35,055,528		154,921,308		—		189,976,836
Thailand		—		26,455,584		—		26,455,584
Turkey		—		20,310,271		—		20,310,271
Ukraine		—		163,975		—		163,975
United Arab Emirates		—		334,947		—		334,947
United Kingdom		17,647,793		131,538,004		728		149,186,525
United States		819,849,187		—		9,802,556		829,651,743
Vietnam		—		1,741,872		—		1,741,872
TOTAL COMMON STOCKS		1,116,177,422		1,909,594,322		24,332,577		3,050,104,321
Preferred Stocks
Brazil		11,066,790		30,949,064		—		42,015,854
Chile		2,541,840		312,016		—		2,853,856
Colombia		17,359		—		—		17,359
Germany		—		5,241,183		—		5,241,183
Russia		—		—		766,119		766,119
South Korea		—		13,261,822		—		13,261,822
Taiwan		—		422,539		—		422,539
United States		—		—		1,625,970		1,625,970
TOTAL PREFERRED STOCKS		13,625,989		50,186,624		2,392,089		66,204,702
Rights/Warrants
Canada		—		—		277,856		277,856
United States		—		—		756,582		756,582
TOTAL RIGHTS/WARRANTS		—		—		1,034,438		1,034,438
Investment Funds
United States		—		—		14,728,710		14,728,710
TOTAL INVESTMENT FUNDS		—		—		14,728,710		14,728,710
Debt Obligations
Austria		—		639,495		—		639,495
Canada		—		4,346,319		—		4,346,319
China		—		426,105		—		426,105
Israel		—		4,978,346		—		4,978,346
Macau		—		3,156,300		—		3,156,300
Netherlands		—		—		49		49
Ukraine		—		—		1,270,880		1,270,880
United States		1,219,018,219		111,531,865		25,044,001		1,355,594,085
TOTAL DEBT OBLIGATIONS		1,219,018,219		125,078,430		26,314,930		1,370,411,579

165

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	20,443,175		$	—		$	—	$	20,443,175
TOTAL MUTUAL FUNDS		20,443,175			—			—		20,443,175
Short-Term Investments		42,164,703			260,256,833			—		302,421,536
Purchased Options		85,785			—			—		85,785
Total Investments		2,411,515,293			2,345,116,209			68,802,744		4,825,434,246
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			9,865,772			—		9,865,772
Futures Contracts
Equity Risk		5,727,774			860,026			—		6,587,800
Interest Rate Risk		421,665			—			—		421,665
Physical Commodity Contract Risk		324,317			—			—		324,317
Swap Contracts
Credit Risk		—			963,391			—		963,391
Equity Risk		—			4,777,290			—		4,777,290
Interest Rate Risk		—			60,182,576			—		60,182,576
Total	$	2,417,989,049		$	2,421,765,264		$	68,802,744	$	4,908,557,057
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(20,344,646	)	$	—	$	(20,344,646	)
Austria		—			(6,348,659	)		—		(6,348,659	)
Belgium		—			(5,058,416	)		—		(5,058,416	)
Canada		(42,628,693	)		—			—		(42,628,693	)
Finland		—			(280,921	)		—		(280,921	)
France		—			(27,647,569	)		—		(27,647,569	)
Germany		—			(28,346,495	)		—		(28,346,495	)
Israel		(8,082,132	)		—			—		(8,082,132	)
Italy		—			(18,226,727	)		—		(18,226,727	)
Japan		—			(93,755,060	)		0§		(93,755,060	)
Netherlands		—			(16,500,153	)		—		(16,500,153	)
New Zealand		—			(5,297,091	)		—		(5,297,091	)
Norway		—			(5,265,204	)		—		(5,265,204	)
Peru		(3,433,992	)		—			—		(3,433,992	)
Singapore		—			(9,042,812	)		—		(9,042,812	)
South Africa		(6,795,479	)		—			—		(6,795,479	)
Spain		—			(13,431,904	)		—		(13,431,904	)
Sweden		—			(7,242,098	)		—		(7,242,098	)
Switzerland		—			(10,395,712	)		—		(10,395,712	)
United Kingdom		—			(49,915,618	)		—		(49,915,618	)
United States		(471,915,494	)		—			—		(471,915,494	)
TOTAL COMMON STOCKS		(532,855,790	)		(317,099,085	)		0§		(849,954,875	)
Preferred Stocks
Germany		—			(6,142,721	)		—		(6,142,721	)
TOTAL PREFERRED STOCKS		—			(6,142,721	)		—		(6,142,721	)

166

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Debt Obligations
China	$	—		$	(4,671,744	)	$	—	$	(4,671,744	)
United States		—			(1,144,231	)		—		(1,144,231	)
TOTAL DEBT OBLIGATIONS		—			(5,815,975	)		—		(5,815,975	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(10,966,640	)		—		(10,966,640	)
Futures Contracts
Equity Risk		(2,994,237	)		(5,350,850	)		—		(8,345,087	)
Interest Rate Risk		(393,405	)		—			—		(393,405	)
Physical Commodity Contract Risk		(2,052,140	)		—			—		(2,052,140	)
Written Options
Equity Risk		(249,774	)		—			—		(249,774	)
Swap Contacts
Credit Risk		—			(771,870	)		—		(771,870	)
Equity Risk		—			(1,690,025	)		—		(1,690,025	)
Interest Rate Risk		—			(54,701,492	)		—		(54,701,492	)
Total	$	(538,545,346	)	$	(402,538,658	)	$	0§	$	(941,084,004	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	194,340,243		$	—		$	—	$	194,340,243
Short-Term Investments		73,454			—			—		73,454
Total Investments		194,413,697			—			—		194,413,697
Total	$	194,413,697		$	—		$	—	$	194,413,697
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	476,150,623		$	—		$	—	$	476,150,623
Short-Term Investments		361,767			—			—		361,767
Total Investments		476,512,390			—			—		476,512,390
Total	$	476,512,390		$	—		$	—	$	476,512,390
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
United States	$	172,123,824		$	7,000,234		$	—	$	179,124,058
TOTAL DEBT OBLIGATIONS		172,123,824			7,000,234			—		179,124,058
Short-Term Investments		38,209,734			214,769			—		38,424,503
Total Investments		210,333,558			7,215,003			—		217,548,561
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,374,389			—		1,374,389

167

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated SGM Major Markets Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^ (continued)
Futures Contracts
Equity Risk	$	580,371		$	340,344		$	—	$	920,715
Interest Rate Risk		251,845			—			—		251,845
Physical Commodity Contract Risk		186,342			—			—		186,342
Swap Contracts
Equity Risk		—			1,399,426			—		1,399,426
Total	$	211,352,116		$	10,329,162		$	—	$	221,681,278
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(2,781,976	)	$	—	$	(2,781,976	)
Futures Contracts
Equity Risk		(2,029,060	)		(3,141,528	)		—		(5,170,588	)
Interest Rate Risk		(192,275	)		—			—		(192,275	)
Physical Commodity Contract Risk		(1,277,442	)		—			—		(1,277,442	)
Swap Contacts
Equity Risk		—			(934,866	)		—		(934,866	)
Total	$	(3,498,777	)	$	(6,858,370	)	$	—	$	(10,357,147	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	2,196,326		$	—	$	2,196,326
Belgium		—			691,267			—		691,267
Brazil		166,614			50,169			—		216,783
Canada		3,040,050			—			—		3,040,050
China		214,638			1,659,576			306,081		2,180,295
Denmark		—			708,010			—		708,010
Finland		—			767,909			—		767,909
France		—			2,551,834			—		2,551,834
Germany		—			1,181,531			—		1,181,531
Hong Kong		—			1,518,786			—		1,518,786
India		—			800,473			—		800,473
Ireland		23,631			774,511			—		798,142
Israel		517,460			113,678			—		631,138
Italy		—			1,478,515			—		1,478,515
Japan		—			19,451,814			—		19,451,814
Malta		—			—			—		—
Mexico		420,939			—			—		420,939
Netherlands		149,770			1,794,861			—		1,944,631
New Zealand		—			169,562			—		169,562
Norway		—			248,803			—		248,803
Portugal		—			772,870			—		772,870
Russia		—			—			19,308		19,308
Singapore		—			1,018,585			—		1,018,585
South Africa		—			147,502			—		147,502

168

GMO Trust Funds

Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
South Korea	$	126,954		$	427,205		$	—	$	554,159
Spain		—			1,842,274			—		1,842,274
Sweden		—			1,033,528			—		1,033,528
Switzerland		—			596,337			—		596,337
Taiwan		—			281,494			—		281,494
United Kingdom		43,654			4,568,294			—		4,611,948
United States		20,172,811			—			—		20,172,811
TOTAL COMMON STOCKS		24,876,521			46,845,714			325,389		72,047,624
Preferred Stocks
Brazil		183,456			133,762			—		317,218
Germany		—			170,570			—		170,570
TOTAL PREFERRED STOCKS		183,456			304,332			—		487,788
Debt Obligations
United States		12,579,582			—			—		12,579,582
TOTAL DEBT OBLIGATIONS		12,579,582			—			—		12,579,582
Mutual Funds
United States		122,364,889			—			—		122,364,889
TOTAL MUTUAL FUNDS		122,364,889			—			—		122,364,889
Short-Term Investments		11,894,262			10,999,221			—		22,893,483
Total Investments		171,898,710			58,149,267			325,389		230,373,366
Derivatives
Swap Contracts
Equity Risk		—			105,728			—		105,728
Total	$	171,898,710		$	58,254,995		$	325,389	$	230,479,094
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(873,701	)	$	—	$	(873,701	)
Austria		—			(225,707	)		—		(225,707	)
Belgium		—			(203,948	)		—		(203,948	)
Canada		(1,722,295	)		—			—		(1,722,295	)
France		—			(1,158,929	)		—		(1,158,929	)
Germany		—			(1,126,570	)		—		(1,126,570	)
Israel		(334,861	)		—			—		(334,861	)
Italy		—			(774,738	)		—		(774,738	)
Japan		—			(3,885,831	)		—		(3,885,831	)
Netherlands		—			(715,287	)		—		(715,287	)
New Zealand		—			(239,670	)		—		(239,670	)
Norway		—			(183,141	)		—		(183,141	)
Peru		(155,331	)		—			—		(155,331	)
Singapore		—			(365,204	)		—		(365,204	)
Spain		—			(586,616	)		—		(586,616	)
Sweden		—			(288,904	)		—		(288,904	)
Switzerland		—			(440,979	)		—		(440,979	)
United Kingdom		—			(1,767,654	)		—		(1,767,654	)

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Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
United States	$	(15,997,750	)	$	—		$	—	$	(15,997,750	)
TOTAL COMMON STOCKS		(18,210,237	)		(12,836,879	)		—		(31,047,116	)
Preferred Stocks
Germany		—			(233,727	)		—		(233,727	)
TOTAL PREFERRED STOCKS		—			(233,727	)		—		(233,727	)
Derivatives
Swap Contacts
Equity Risk		—			(8,909	)		—		(8,909	)
Total	$	(18,210,237	)	$	(13,079,515	)	$	—	$	(31,289,752	)

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.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). 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 August 31, 2022.

The underlying funds held at period end are classified above as Level 1. Certain 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 which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

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). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Allocation Fund’s Level 3 holdings each include three common stocks valued at their last price prior to trading being suspended. Benchmark-Free Fund’s Level 3 holdings also include thirteen common and/or preferred stocks valued off the last traded price with a 93% discount. Implementation Fund’s Level 3 holdings also include eleven common and/or preferred stocks valued off the last traded price with a 93% discount, three common and/or preferred stocks that are priced at the average of broker bids, a depositary receipt valued off the corresponding local security with a 93% discount and adjusted for the depositary receipt conversion ratio and currency impact and a common stock priced with a 2,000 basis point discount to a comparable stock and an additional 1,000 basis point discount for liquidity considerations. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at August 31, 2022.

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For Funds with material total Level 3 assets and/or liabilities, the following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2022		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of August 31, 2022			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2022
Consolidated Alternative Allocation Fund
Common Stocks
China	$	66,215	$	—	$	—		$	—	$	—		$	(288	)	$	353,117	‡	$	—	$	419,044		$	(288	)
United States		—		16,968		—			—		—			17,141			—			—		34,109			17,141
Rights/Warrants
United States		263,451		—		—			—		—			97,575			—			—		361,026			97,575
Investment Funds
United States		5,607,602		301,290		(2,421,994	)				—			266,192			—			—		3,753,090			266,192
Total Investments	$	5,937,268	$	318,258	$	(2,421,994	)	$	—	$	—		$	380,620		$	353,117		$	—	$	4,567,269		$	380,620
Benchmark-Free Fund
Common Stocks
China	$	381,895	$	—	$	(251,326	)	$	—	$	—		$	249,665		$	1,760,691	‡	$	—	$	2,140,925		$	(1,659	)
India		—		14,884		—			—		—			3,246			—			—		18,130			3,246
Mexico		—		—		—			—		—			—			8,873	‡		—		8,873			—
Russia		965,229		—		—			—		—			(345,642	)		2,453,613	‡		—		3,073,200			(345,642	)
United Kingdom		—		—		—			—		—			—			553	‡		—		553			—
Preferred Stocks
Russia		—		—		—			—		—			—			345,419	‡		—		345,419			—
Securities Sold Short
Russia		—		—		(78,267	)				—			71,097			—			—		(7,170	)		71,097
Total Investments	$	1,347,124	$	14,884	$	(329,593	)	$	—	$	—		$	(21,634	)	$	4,569,149		$	—	$	5,579,930		$	(272,958	)
Consolidated Implementation Fund
Common Stocks
China	$	965,024	$	—	$	(898,218	)	$	—	$	(33,595	)	$	873,841		$	5,201,684	‡	$	—	$	6,108,736		$	(3,958	)
India		—		46,321		—			—		—			9,038			—			—		55,359			9,038
Mexico		—		—		—			—		—			—			20,368	‡		—		20,368			20,368
Netherlands		185		—		—			—		—			(19	)		—			—		166			(19	)
Russia		1,248,215		—		—			—		—			(1,099,487	)		8,195,936	‡		—		8,344,664			(670,026	)
United Kingdom		—		—		—			—		—			—			728	‡		—		728			—
United States		8,961,199		1,527,556		—			—		—			(686,199	)		—			—		9,802,556			(686,199	)
Preferred Stocks
Russia		—		—		—			—		—			—			766,119	‡		—		766,119			—
United States		875,250		—		—			—		—			750,720			—			—		1,625,970			750,720
Rights/Warrants
Canada		300,085		—		—			—		—			(22,229	)		—			—		277,856			(22,229	)
United States		682,940		—		(277,922	)		—		277,922			73,642			—			—		756,582			73,642

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	Balances as of February 28, 2022		Purchases		Sales			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)			Transfer into Level 3			Transfer out of Level 3		Balances as of August 31, 2022		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2022
Consolidated Implementation Fund (continued)
Investment Funds
United States	$	22,156,919	$	1,030,031	$	(9,504,927	)	$	—	$	—		$	1,046,687		$	—		$	—	$	14,728,710	$	1,046,687
Debt Obligations
Bank Loans
Luxembourg		2,436,433		—		(2,429,250	)		695		(21,290	)		13,412			—			—		—		—
United States		18,428,534		7,226,845		(5,295,816	)		399,427		(97,128	)		(2,347,588	)		—			—		18,314,274		(2,371,425	)
Corporate Debt
Netherlands		55		—		—			—		—			(6	)		—			—		49		(6	)
Ukraine		—		1,249,515		—			101,803		—			(80,438	)		—			—		1,270,880		(80,438	)
United States		140		6,806,790		—			—		—			(77,203	)		—			—		6,729,727		(77,203	)
Total Investments	$	56,054,979	$	17,887,058	$	(18,406,133	)#	$	501,925	$	125,909		$	(1,545,829	)	$	14,184,835		$	—	$	68,802,744	$	(2,011,048	)
Strategic Opportunities Allocation Fund
Common Stocks
China	$	61,485	$	—	$	—		$	—	$	—		$	(267	)	$	244,863	‡	$	—	$	306,081	$	(267	)
Russia		—		—	$	—			—		—			—			19,308	‡		—		19,308		—
Total Investments	$	61,485	$	—	$	—		$	—	$	—		$	(267	)	$	264,171		$	—	$	325,389	$	(267	)

‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs as well as the impact of the Russian invasion of Ukraine on local and global markets, as applicable.

# Includes $1,336,909 of proceeds received from partial calls and/or principal paydowns as applicable.

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The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended August 31, 2022 for Funds with material Level 3 investments.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Consolidated Alternative Allocation Fund*
Benchmark-Free Fund
Common Stock		0	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		2,190,910	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock		553	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (American Depository Receipt)		754,241	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depository Receipt)		128,049	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Preferred Stock		345,419	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Consolidated Implementation Fund
Common Stock		1,680,963	Fair Value	Discount rate	30% (N/A)
Common Stock		8,786,332	Fair Value	Most relevant broker quote	N/A
Common Stock		15,131	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Corporate Debt		189	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		5,950,718	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock		728	Fair Value	Price of comparable equity/Discount for liquidity	99%/(N/A)
Common Stock (American Depository Receipt)		2,030,184	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Common Stock (Global Depository Receipt)		363,762	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Preferred Stock		766,119	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)
Strategic Opportunities Allocation Fund
Common Stock		0	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)
Common Stock		19,308	Fair Value	Price of comparable equity/Discount for liquidity	93%/(N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of August 31, 2022, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund, Benchmark-Free Fund, Consolidated Implementation Fund and Strategic Opportunities Allocation Fund was $4,567,269, $2,160,758, $49,208,618 and $306,081, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

Cash

Cash and foreign currency, if any, in 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.

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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 in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Loan assignments and participations

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

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” in Note 4 “Derivative financial instruments”. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Repurchase agreements

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

Fund Name	Counterparty	Gross Value ($)		Net Value (with related collateral) ($)		Weighted Average Maturity (days)
Consolidated Alternative Allocation Fund	Daiwa Capital Markets America, Inc.		51,017,820		52,059,000		1.0
Benchmark-Free Fund	Nomura Securities International, Inc.		86,999,276		88,774,677		1.0
Consolidated Implementation Fund	Daiwa Capital Markets America, Inc.		260,038,590		265,345,500		1.0
Strategic Opportunities Allocation Fund	Nomura Securities International, Inc.		10,999,221		11,223,695		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

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bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Inflation-indexed bonds

Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/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.

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

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities in an amount equal to the securities loaned (marked to market daily). Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the following business day. Funds participating in securities lending receive compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company serves as the Funds’ lending agent.

A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, the inability to invest proceeds from the sales of such securities and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline and bears the risk of total loss with respect to the investment of collateral.

At August 31, 2022, securities on loan at value and collateral from securities on loan are listed below:

Fund Name	Value of securities on loan ($)		Cash collateral ($)		Non-cash collateral ($)*		Total collateral ($)
Benchmark-Free Fund		19,529,492		11,574,058		9,275,170		20,849,228
Consolidated Implementation Fund		51,272,585		20,609,596		33,870,681		54,480,277

* Non-cash collateral is comprised of U.S. Treasuries and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities.

In addition, some Funds may loan their portfolio securities through an “enhanced custody” program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales. Under the program, a Fund borrows securities from the custodian and sells short those borrowed securities. The Fund may utilize various ways of collateralizing its obligation to return the borrowed securities, including by pledging securities held in the Fund’s custodial account to the custodian. For its participation in the enhanced custody program, the Fund will pay the custodian a securities borrow fee and a financing charge.

Information regarding the value of the securities loaned and the value of cash collateral at year end is included in the Statements of Assets and Liabilities.

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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 dividend and/or interest payable on such securities, if any, are reflected as a liability in 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. Some Funds may also loan their portfolio securities through an enhanced custody program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales (see Securities lending above). Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Municipal obligations

Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: “general obligation” bonds and “revenue” bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer’s pledge of its full faith, credit, and taxing power for the payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is generally the net revenues derived from a particular facility or group of facilities or, in some cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Trade claims

Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to the underlying transaction giving rise to the trade claim. Trade claims outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Taxes and distributions

Each Fund has elected to be treated or intends to elect 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.

Alternative Allocation SPC Ltd., Alternative Asset SPC Ltd. and Implementation SPC Ltd. are wholly-owned subsidiaries of Alternative Allocation Fund, SGM Major Markets Fund and Implementation 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.

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August 31, 2022 (Unaudited)

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. 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, interest charges and related fees.

As a result of court cases involving several countries across the European Union, certain Funds and/or underlying funds have filed tax reclaims in addition to treaty-based claims, in respect of previously withheld taxes on dividends earned (“EU tax reclaims”). These filings are subject to various administrative proceedings by each local jurisdiction’s tax authority, as well as judicial proceedings. EU tax reclaim and associated interest entitlements that have been recognized, if any, are reflected as Other income in the Statements of Operations. As a result of its entitlements to EU tax reclaims and related interest amounts, a Fund may incur contingent legal fees. Such fees are presented within Legal fees in the Statements of Operations. Related receivables, if any, are reflected as EU tax reclaims receivable in the Statements of Assets and Liabilities. Receivables resulting from EU tax reclaims pursued by liquidated underlying funds, if any, are reflected as Receivable from liquidated underlying funds in the Statements of Assets and Liabilities. Generally, unless GMO believes that recovery amounts are collectible and free from significant contingencies, recoveries will not be reflected in a Fund’s net asset value. EU tax reclaims and related interest entitlements recognized by a Fund, if any, reduce the amount of foreign taxes, if any, that a Fund may elect to pass-through to its shareholders from a U.S. federal tax perspective. In certain circumstances and to the extent that EU tax reclaims recognized by a Fund were previously passed-through as foreign tax credits to its U.S. taxable shareholders, a Fund may enter into a closing agreement with the U.S. Internal Revenue Service. Doing so will enable a Fund to quantify and remit its tax liability related to any recoveries (on behalf of its 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. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 2022, 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.

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.

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 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, 2022, certain Funds elected to defer to March 1, 2022, late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Losses Deferral ($)
Consolidated Alternative Allocation Fund		(5,005,107)		—
Benchmark-Free Allocation Fund		(2,845,246)		(21,630,301)
Benchmark-Free Fund		—		—
Global Asset Allocation Fund		—		—
Global Developed Equity Allocation Fund		(599)		—

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Fund Name	Late-Year Ordinary Loss Deferral ($)		Post-October Capital Losses Deferral ($)
Global Equity Allocation Fund		(11,633)		—
Consolidated Implementation Fund		—		—
International Developed Equity Allocation Fund		(1,231)		—
International Equity Allocation Fund		(4,145)		(3,228,388)
Consolidated SGM Major Markets Fund		—		—
Strategic Opportunities Allocation Fund		—		(2,024,041)

As of February 28, 2022, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses 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, 2022, 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:

Fund Name	Short-Term ($)		Long-Term ($)
Consolidated Alternative Allocation Fund		—		(892,348)
Benchmark-Free Allocation Fund		(1,561,499)		(51,299,064)
Benchmark-Free Fund		(125,199,260)		(139,518,611)
Global Asset Allocation Fund		—		(167,761,990)
Global Developed Equity Allocation Fund		—		(68,957,360)
Global Equity Allocation Fund		—		—
Consolidated Implementation Fund		(625,499,699)		(258,667,017)
International Developed Equity Allocation Fund		—		(134,524,362)
International Equity Allocation Fund		—		(102,201,850)
Consolidated SGM Major Markets Fund		(1,102,705)		—
Strategic Opportunities Allocation Fund		—		—

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August 31, 2022 (Unaudited)

As of August 31, 2022, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments								Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Consolidated Alternative Allocation Fund		210,083,832		16,214,556		(29,189,097)		(12,974,541)		(1,666,308)
Benchmark-Free Allocation Fund		5,255,261,458		—		(630,183,680)		(630,183,680)		—
Benchmark-Free Fund		1,478,449,537		78,903,865		(310,907,010)		(232,003,145)		2,858,118
Global Asset Allocation Fund		467,676,037		—		(96,713,140)		(96,713,140)		—
Global Developed Equity Allocation Fund		88,803,183		503,767		(13,293,096)		(12,789,329)		—
Global Equity Allocation Fund		1,639,616,464		4,087,771		(324,472,158)		(320,384,387)		—
Consolidated Implementation Fund		4,571,597,954		325,715,834		(933,793,113)		(608,077,279)		4,063,691
International Developed Equity Allocation Fund		263,679,498		—		(69,265,801)		(69,265,801)		—
International Equity Allocation Fund		613,836,063		—		(137,323,673)		(137,323,673)		—
Consolidated SGM Major Markets Fund		300,483,477		14,827		(82,949,743)		(82,934,916)		(5,133,330)
Strategic Opportunities Allocation Fund		224,485,108		14,264,500		(39,657,085)		(25,392,585)		96,819

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. 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 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. As of August 31, 2022, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

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 underlying funds, if any, 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/deflation 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.

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August 31, 2022 (Unaudited)

During the period ended August 31, 2022, the Funds did not recognize dividends on local Russian shares, if any, due to restrictions imposed by the Russian government on dividend payments received by foreign shareholders like the Funds. At this time, no assurance can be given regarding the future payment of outstanding dividends by Russian issuers, the time period during which such Russia’s restrictions will remain in place or on the future ability of foreign shareholders to claim or otherwise gain control over or access to dividends paid.

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).

Custodian, Fund Accounting Agent and Transfer Agent

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds or a wholly-owned subsidiary) as a result of an investor’s 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 redemption fee or increase or decrease 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 for a purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs. For example, GMO may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees), and GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

As of August 31, 2022, none of the Funds charge a purchase premium or redemption fee. Historical information on purchase premiums and redemption fees are provided in the table below.

Benchmark-Free Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed.
Benchmark-Free Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.25% of the amount invested or redeemed.
Global Asset Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.15% of the amount invested or redeemed.

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Global Developed Equity Allocation Fund	For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed.
Global Equity Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.18% of the amount invested or redeemed.
Implementation Fund	For the period from June 30, 2015 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed.
International Developed Equity Allocation Fund	For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed.
International Equity Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.25% of the amount invested or redeemed.
Strategic Opportunities Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed.

Recently-issued accounting guidance

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. The Investment Adviser does not expect ASU No. 2020-04 to have a material impact on the financial statements.

3. Investment and other risks

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

Market Risk – Equities	X	X	X	X	X	X	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X	X	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X	X	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X	X	X	X	X
Futures Contracts Risk	X	X	X	X						X	X

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August 31, 2022 (Unaudited)

Currency Risk	X	X	X	X	X	X	X	X	X	X	X
Market Risk – Fixed Income	X	X	X	X	X	X	X	X	X	X	X
Fund of Funds Risk	X	X	X	X	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X	X	X	X	X	X	X
Commodities Risk	X	X	X	X			X			X	X
Smaller Company Risk	X	X	X	X	X	X	X	X	X		X
Credit Risk	X	X	X	X	X	X	X	X	X	X	X
Counterparty Risk	X	X	X	X	X	X	X	X	X	X	X
Event Driven Risk	X	X					X				X
Illiquidity Risk	X	X	X	X	X	X	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X	X	X	X	X	X	X
Market Risk – Asset-Backed Securities		X	X	X			X			X	X
Large Shareholder Risk	X	X	X	X	X	X	X	X	X	X	X
Non-Diversified Funds	X	X	X	X	X	X		X	X	X	X

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 possible risk of investing in the Funds. Particular Funds could be subject to additional risks because of the types of investments they make and market conditions, which can change over time. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

Funds that invest in other GMO Funds, other investment companies or in a wholly-owned subsidiary (collectively, “Underlying Funds”) are 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 and indirectly by the Fund.

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

• MARKET RISK — EQUITIES. The market price of an equity may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If the Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO and GMO’s assessment proves to be incorrect, a Fund runs the risk that the market price of the equity will not appreciate or will decline. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

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• MANAGEMENT AND OPERATIONAL RISK. A Fund runs the risk that GMO’s investment techniques will fail to produce desired results. GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. A Fund also runs the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities (particularly of companies tied economically to emerging countries) fluctuate more than those of U.S. securities. Many non-U.S. securities markets (particularly emerging markets) are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, issuers of non-U.S. securities (particularly those tied economically to emerging countries) often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund may be subject to non-U.S. taxes, 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. Also, the Funds need a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, 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. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. 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 index or underlying securities. A Fund may create short investment exposure selling securities short or by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index. The risks of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

• FUTURES CONTRACTS RISK. The 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 increases the volatility of the Fund’s net asset value. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund may be unable when it wishes to effect closing transactions to terminate its exposure under that contract. When a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are subject to the hedge. In addition, a Fund may be unable to recover or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. Foreign futures contracts are often less liquid and more volatile than U.S. futures contracts.

• CURRENCY RISK. Fluctuations in exchange rates can adversely affect the market value of a Fund’s foreign currency holdings and investments denominated in foreign currencies.

• MARKET RISK – FIXED INCOME. 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 due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments).

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August 31, 2022 (Unaudited)

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment (if any) in its wholly-owned subsidiary and the underlying funds (including underlying GMO Funds and ETFs) in which it invests, including the risk that its wholly-owned subsidiary (if any) and those underlying funds will not perform as expected. Because a Fund bears the fees and expenses of the underlying funds in which it invests, an increase in fees and expenses of an underlying fund or a reallocation of the Fund’s investments to underlying funds with higher fees or expenses will increase the Fund’s total expenses.

• LEVERAGING RISK. The use of derivatives, short sales and securities lending can create leverage. Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. In addition, the Fund’s portfolio will be leveraged if it exercises its right to delay payment on a redemption, and losses will result if the value of the Fund’s assets declines between the time a redemption request is deemed to be received by the Fund and the time the Fund liquidates assets to meet that request.

• COMMODITIES RISK. Commodity prices can be extremely volatile, and exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate in a rapid and unpredictable manner.

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations 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.

• CREDIT RISK. A Fund runs the risk that the issuer or guarantor of a fixed income investment (including a sovereign or quasi-sovereign debt issuer) or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligations to pay principal and interest or otherwise to honor their obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such failure. In addition, investments in emerging country sovereign or quasi-sovereign debt are subject to the risk that a Fund may lack recourse against the issuer in the event of default. Investments in quasi-sovereign debt also are subject to the risk that the issuer will default independently of its sovereign. Below investment grade investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments. Investments in distressed or defaulted or other low quality debt investments 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 their issuers’ payment defaults and insolvency proceedings. 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 the Fund may incur additional expenses to seek recovery. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, the 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.

• COUNTERPARTY RISK. A Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund’s securities is unable or unwilling to make timely settlement payments, return the Fund’s margin or collateral or otherwise honor its obligations.

• EVENT-DRIVEN RISK. If a Fund purchases securities in anticipation of a proposed merger, acquisition, exchange offer, tender offer, or other similar transaction and that transaction later appears likely to be delayed or unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of event-driven strategies (such as merger arbitrage) typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. Event-driven strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated.

• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size or legal restrictions may limit or prevent a Fund or an underlying fund from selling particular securities or closing derivative positions at desirable prices.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) may disrupt securities markets and adversely affect particular economies and markets as well as global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Fund’s investments.

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Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Russia’s invasion of Ukraine beginning in late February, and subsequent related events, have had, and could continue to have, severe adverse effects on regional and global economic markets for securities and commodities. Following Russia’s actions, various governments, including the United States, issued broad-ranging economic sanctions against Russia, including, among other sanctions, a prohibition on doing business with certain Russian companies, large financial institutions, officials and oligarchs; the removal by certain countries and the European Union of selected Russian banks from the Society for Worldwide Interbank Financial Telecommunications (commonly referred to as “SWIFT”), the electronic banking network that connects banks globally; and restrictive measures to prevent the Russian Central Bank from undermining the impact of the sanctions. Those events, including sanctions and the potential for future sanctions, including any affecting Russia’s energy sector, and other actions, and Russia’s retaliatory responses to those sanctions and actions, have adversely affected the Russian economy and may result in the further decline of the value and liquidity of Russian securities, a continued weakening of the ruble and continued exchange closures, and may have other adverse consequences on the Russian economy that affect the value of Russian investments and impair the ability of a Fund to buy, sell, receive or deliver those securities. In particular, where a Fund holds securities of a Russian issuer that is subject to blocking sanctions imposed by the U.S. Department of the Treasury’s Office of Foreign Assets Control, those securities will be frozen and consequently unable to be sold or transferred. Moreover, those events have, and could continue to have, an adverse effect on global markets performance and liquidity, thereby negatively affecting the value of a Fund’s investments beyond any direct exposure to Russian issuers.

• FOCUSED INVESTMENT RISK. Investments focused in countries, regions, asset classes, sectors, industries, currencies, or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated.

• MARKET RISK — ASSET BACKED SECURITIES. The market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including market uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by a Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure, creditworthiness of any credit-support provider, and reliability of various other service providers with access to the payment stream), and a problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security.

• LARGE SHAREHOLDER RISK. To the extent that 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 that shareholder or group of all or a large portion of their Fund shares will require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• NON-DIVERSIFIED FUNDS. Alternative Allocation Fund and SGM Major Markets Fund are non-diversified investment companies under the 1940 Act and therefore a decline in the market price of a particular security held by the Funds may affect the Funds’ performance more than if the Funds were a diversified investment company.

4. Derivative financial instruments

During the period ended August 31, 2022, only Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund, and Strategic Opportunities Allocation Fund held derivative financial instruments directly. For a listing of derivative financial instruments, if any, held by the underlying funds, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund and Strategic Opportunities Allocation Fund (or their respective wholly-owned subsidiary, if any).

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.

Consolidated Alternative Allocation Fund may use derivatives in some or all of the ways described below.

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Use of Derivatives by Benchmark-Free Fund, Consolidated Implementation Fund and Strategic Opportunities Allocation Fund

The Funds may use derivatives to gain long or short 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, options, and swap contracts, 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 (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Funds 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 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 adjusting investment exposures, each Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio. Each Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

The 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 Consolidated SGM Major Markets Fund

The Fund may use derivatives to gain long and/or short investment exposure to securities, 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, options, and swap contracts, in an attempt to adjust elements of its investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In addition, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange

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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 their equities are traded.

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

***

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

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

For Funds that held derivatives during the period ended August 31, 2022, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Consolidated   Alternative Allocation Fund*	Benchmark-   Free Fund	Consolidated Implementation   Fund*	Consolidated   SGM Major Markets Fund*	Strategic Opportunities   Allocation Fund
Forward currency contracts
Adjust currency exchange rate risk				X
Adjust exposure to foreign currencies	X	X	X	X
Manage against anticipated currency exchange rate changes	X		X
Futures contracts
Adjust exposure to certain securities markets	X	X	X	X
Adjust interest rate exposure	X			X
Maintain the diversity and liquidity of the portfolio	X	X	X	X
Substitute for direct investment				X
Options (Purchased)
Substitute for direct equity investment	X		X
Options (Written)
Substitute for direct equity investment	X		X
Swap contracts
Achieve exposure to a reference entity’s credit	X		X

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Type of Derivative and Objective for Use (continued)	Consolidated   Alternative Allocation Fund*	Benchmark-   Free Fund	Consolidated Implementation   Fund*	Consolidated   SGM Major Markets Fund*	Strategic Opportunities   Allocation Fund
Adjust exposure to certain markets				X
Adjust interest rate exposure	X	X	X	X
Substitute for direct investment in securities	X	X	X		X

* Certain derivatives may be held by the Fund’s wholly-owned subsidiary.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

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

Options

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

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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, the 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.

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, basis swaps, currency 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. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

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.

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

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

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

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

Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. 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.

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

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environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

* * *

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

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

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2022 and the Statements of Operations for the period ended August 31, 2022^:

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			Total
Consolidated Alternative Allocation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—		$	—		$	19,565		$	—		$	—		$	19,565
Unrealized Appreciation on Forward Currency Contracts		—			—			—			1,468,151			—			1,468,151
Unrealized Appreciation on Futures Contracts¤		—			—			693,398			—			81,128			774,526
Swap Contracts, at value¤		6,132,057			—			603,052			—			6,896,213			13,631,322
Total	$	6,132,057		$	—		$	1,316,015		$	1,468,151		$	6,977,341		$	15,893,564
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(1,608,391	)	$	—		$	(1,608,391	)
Unrealized Depreciation on Futures Contracts¤		—			—			(1,617,723	)		—			(83,517	)		(1,701,240	)
Written Options, at value		(40,378	)		—			(836,866	)		—			—			(877,244	)
Swap Contracts, at value¤		(521,802	)		—			(643,341	)		—			(6,266,256	)		(7,431,399	)
Total	$	(562,180	)	$	—		$	(3,097,930	)	$	(1,608,391	)	$	(6,349,773	)	$	(11,618,274	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	8,518		$	—		$	(181,904	)	$	(173,386	)
Futures Contracts		—			—			(372,241	)		—			1,144,091			771,850
Written Options		—			—			32,440			—			592,361			624,801
Swap Contracts		491,144			(555,411	)		681,300			—			(3,341,963	)		(2,724,930	)
Forward Currency Contracts		—			—			—			(4,772,030	)		—			(4,772,030	)
Total	$	491,144		$	(555,411	)	$	350,017		$	(4,772,030	)	$	(1,787,415	)	$	(6,273,695	)
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	3,089		$	—		$	(63,439	)	$	(60,350	)
Futures Contracts		—			—			(305,887	)		—			(227,480	)		(533,367	)
Written Options		—			—			(626,742	)		—			19,455			(607,287	)
Swap Contracts		(317,473	)		—			199,140			—			1,391,918			1,273,585
Forward Currency Contracts		—			—			—			1,291,492			—			1,291,492
Total	$	(317,473	)	$	—		$	(730,400	)	$	1,291,492		$	1,120,454		$	1,364,073

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	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Benchmark-Free Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	905,232		$	—		$	905,232
Unrealized Appreciation on Futures Contracts¤		—			—			1,611,299			—			—			1,611,299
Swap Contracts, at value¤		—			—			758,647			—			9,330,037			10,088,684
Total	$	—		$	—		$	2,369,946		$	905,232		$	9,330,037		$	12,605,215
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(1,013,388	)	$	—		$	(1,013,388	)
Swap Contracts, at value¤		—			—			(52,801	)		—			(8,457,894	)		(8,510,695	)
Total	$	—		$	—		$	(52,801	)	$	(1,013,388	)	$	(8,457,894	)	$	(9,524,083	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	38,824,100		$	—		$	—		$	38,824,100
Swap Contracts		—			—			3,713,503			—			(3,461,799	)		251,704
Forward Currency Contracts		—			—			—			1,648,637			—			1,648,637
Total	$	—		$	—		$	42,537,603		$	1,648,637		$	(3,461,799	)	$	40,724,441
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—			(18,611,390	)	$	—		$	—			(18,611,390	)
Swap Contracts		—			—			(337,096	)		—			1,485,131			1,148,035
Forward Currency Contracts		—			—			—			440,240			—			440,240
Total	$	—		$	—		$	(18,948,486	)	$	440,240		$	1,485,131		$	(17,023,115	)
Consolidated Implementation Fund
Asset Derivatives
Investments, at value (purchased options)	$	—		$	—		$	85,785		$	—		$	—		$	85,785
Unrealized Appreciation on Forward Currency Contracts		—			—			—			9,865,772			—			9,865,772
Unrealized Appreciation on Futures Contracts¤		—			324,317			6,587,800			—			421,665			7,333,782
Swap Contracts, at value¤		963,391			—			4,777,290			—			60,182,576			65,923,257
Total	$	963,391		$	324,317		$	11,450,875		$	9,865,772		$	60,604,241		$	83,208,596
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—			(10,966,640	)	$	—			(10,966,640	)
Unrealized Depreciation on Futures Contracts¤		—			(2,052,140	)		(8,345,087	)		—			(393,405	)		(10,790,632	)
Written Options, at value		—			—			(249,774	)		—			—			(249,774	)
Swap Contracts, at value¤		(771,870	)		—			(1,690,025	)		—			(54,701,492	)		(57,163,387	)
Total	$	(771,870	)	$	(2,052,140	)	$	(10,284,886	)	$	(10,966,640	)	$	(55,094,897	)	$	(79,170,433	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	—		$	—		$	68,093		$	—		$	—		$	68,093
Futures Contracts		—			4,343,487			104,351,277			—			5,366,922			114,061,686
Written Options		—			—			982,969			—			—			982,969
Swap Contracts		(139,159	)		—			10,491,280			—			(19,697,688	)		(9,345,567	)
Forward Currency Contracts		—			—			—			(17,687,321	)		—			(17,687,321	)
Total	$	(139,159	)	$	4,343,487		$	115,893,619		$	(17,687,321	)	$	(14,330,766	)	$	88,079,860
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	—		$	—		$	76,350		$	—		$	—		$	76,350
Futures Contracts		—			(2,958,447	)		(47,210,300	)		—			(763,158	)		(50,931,905	)
Written Options		—			—			(296,804	)		—			—			(296,804	)
Swap Contracts		287,195			—			1,051,039			—			9,130,753			10,468,987
Forward Currency Contracts		—			—			—			4,915,191			—			4,915,191
Total	$	287,195		$	(2,958,447	)	$	(46,379,715	)	$	4,915,191		$	8,367,595		$	(35,768,181	)

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	Credit Contracts		Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—	$	—		$	—		$	1,374,389		$	—		$	1,374,389
Unrealized Appreciation on Futures Contracts¤		—		186,342			920,715			—			251,845			1,358,902
Swap Contracts, at value¤		—		—			1,399,426			—			—			1,399,426
Total	$	—	$	186,342		$	2,320,141		$	1,374,389		$	251,845		$	4,132,717
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—	$	—		$	—		$	(2,781,976	)	$	—		$	(2,781,976	)
Unrealized Depreciation on Futures Contracts¤		—		(1,277,442	)		(5,170,589	)		—			(192,275	)		(6,640,306	)
Swap Contracts, at value¤		—		—			(934,866	)		—			—			(934,866	)
Total	$	—	$	(1,277,442	)	$	(6,105,455	)	$	(2,781,976	)	$	(192,275	)	$	(10,357,148	)
Net Realized Gain (Loss) on
Futures Contracts	$	—	$	2,973,798		$	(7,421,029	)	$	—		$	6,621,886		$	2,174,655
Swap Contracts		—		—			(616,842	)		—			—			(616,842	)
Forward Currency Contracts		—		—			—			(7,752,261	)		—			(7,752,261	)
Total	$	—	$	2,973,798		$	(8,037,871	)	$	(7,752,261	)	$	6,621,886		$	(6,194,448	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—	$	(1,941,480	)	$	(1,156,832	)	$	—		$	(537,470	)	$	(3,635,782	)
Swap Contracts		—		—			1,195,901			—			—			1,195,901
Forward Currency Contracts		—		—			—			(1,108,497	)		—			(1,108,497	)
Total	$	—	$	(1,941,480	)	$	39,069		$	(1,108,497	)	$	(537,470	)	$	(3,548,378	)
Strategic Opportunities Allocation Fund
Asset Derivatives
Swap Contracts, at value¤	$	—	$	—		$	105,728		$	—		$	—		$	105,728
Total	$	—	$	—		$	105,728		$	—		$	—		$	105,728
Liability Derivatives
Swap Contracts, at value¤	$	—	$	—		$	(8,909	)	$	—		$	—		$	(8,909	)
Total	$	—	$	—		$	(8,909	)	$	—		$	—		$	(8,909	)
Net Realized Gain (Loss) on
Swap Contracts	$	—	$	—		$	484,028		$	—		$	—		$	484,028
Total	$	—	$	—		$	484,028		$	—		$	—		$	484,028
Change in Net Appreciation (Depreciation) on
Swap Contracts	$	—	$	—		$	(48,693	)	$	—		$	—		$	(48,693	)
Total	$	—	$	—		$	(48,693	)	$	—		$	—		$	(48,693	)

^Ù  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 value of cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. The Master Agreements may include collateral posting terms and set-off 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

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restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting 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 an early termination of 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 paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, in 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, reverse repurchase agreements and securities loans held by the Funds at August 31, 2022, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2022:

Consolidated Alternative Allocation 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.		$	33,560		$	—			$	(33,560	)		$	—
Barclays Bank PLC			119,742			—				(119,742	)			—
Citibank N.A.			786,946			(782,954	)			(3,992	)			—	*
Citigroup Global Markets Inc.			527,329			(320,000	)			(101,879	)			105,450
Deutsche Bank AG			286,825			—				(217,686	)			69,139
Goldman Sachs International			2,460,213			(2,310,000	)			(144,902	)			5,311
JPMorgan Chase Bank, N.A.			328,147			—				(328,147	)			—
Merrill Lynch Capital Services, Inc.			454,146			(265,207	)			(167,304	)			21,635
Morgan Stanley & Co. International PLC			1,963,408			(1,301,290	)			(662,118	)			—	*
Morgan Stanley & Co. LLC			19,565			—				(19,565	)			—
Morgan Stanley Capital Services LLC			366,068			—				(8,444	)			357,624
State Street Bank and Trust Company			226,797			(113,375	)			(107,694	)			5,728
UBS AG			518,132			—				(264,762	)			253,370
Total		$	8,090,878		$	(5,092,826	)		$	(2,179,795	)		$	818,257

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August 31, 2022 (Unaudited)

Consolidated Alternative Allocation Fund (Continued)

Counterparty	Gross Derivative Liabilities Subject to Master Agreement				Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Bank of America, N.A.		$	(130,949	)		$	—		$	33,560		$	(97,389	)
Barclays Bank PLC			(376,075	)			52,918			119,742			(203,415	)
Brown Brothers Harriman & Co.			(34,944	)			—			—			(34,944	)
Citibank N.A.			(3,992	)			—			3,992			—
Citigroup Global Markets Inc.			(101,879	)			—			101,879			—
Deutsche Bank AG			(217,686	)			—			217,686			—
Goldman Sachs International			(144,902	)			—			144,902			—
JPMorgan Chase Bank, N.A.			(427,552	)			—			328,147			(99,405	)
Merrill Lynch Capital Services, Inc.			(167,304	)			—			167,304			—
Morgan Stanley & Co. International PLC			(662,118	)			—			662,118			—
Morgan Stanley & Co. LLC			(836,866	)			817,301			19,565			—	*
Morgan Stanley Capital Services LLC			(8,444	)			—			8,444			—
State Street Bank and Trust Company			(107,694	)			—			107,694			—
UBS AG			(264,762	)			—			264,762			—
Total		$	(3,485,167	)		$	870,219		$	2,179,795		$	(435,153	)

Benchmark-Free 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.		$	17,679			$	—			$	(17,679	)		$	—
Barclays Bank PLC			74,677				—				(74,677	)			—
Citibank N.A.			666				—				(666	)			—
Deutsche Bank AG			266,607				(240,895	)			(25,712	)			—	*
Goldman Sachs International			132,386				—				(23,285	)			109,101
JPMorgan Chase Bank, N.A.			376,603				—				(376,603	)			—
Morgan Stanley & Co. International PLC			169,000				(120,385	)			(48,615	)			—	*
Morgan Stanley Capital Services LLC			626,261				(430,000	)			(46,923	)			149,338
Total		$	1,663,879			$	(791,280	)		$	(614,160	)		$	258,439
Counterparty	Gross Derivative Liabilities Subject to Master Agreement				Collateral Pledged				Derivative Assets/Liabilities Available for Offset				Net Amount of Derivative Liabilities
Bank of America, N.A.		$	(120,705	)		$	—			$	17,679			$	(103,026	)
Barclays Bank PLC			(385,893	)			297,537				74,677				(13,679	)
Citibank N.A.			(5,226	)			—				666				(4,560	)
Deutsche Bank AG			(25,712	)			—				25,712				—
Goldman Sachs International			(23,285	)			—				23,285				—
JPMorgan Chase Bank, N.A.			(407,435	)			30,832				376,603				—	*
Morgan Stanley & Co. International PLC			(48,615	)			—				48,615				—
Morgan Stanley Capital Services LLC			(46,923	)			—				46,923				—
State Street Bank and Trust Company			(2,395	)			—				—				(2,395	)
Total		$	(1,066,189	)		$	328,369			$	614,160			$	(123,660	)

195

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August 31, 2022 (Unaudited)

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.		$	239,947			$	—			$	(239,947	)		$	—
Barclays Bank PLC			1,544,604				—				(1,544,604	)			—
Citibank N.A.			4,897				—				(4,897	)			—
Deutsche Bank AG			1,890,124				(533,642	)			(1,356,482	)			—	*
Goldman Sachs International			1,256,178				—				(548,850	)			707,328
JPMorgan Chase Bank, N.A.			2,855,134				—				(2,855,134	)			—
Morgan Stanley & Co. International PLC			1,913,473				—				(1,913,473	)			—
Morgan Stanley & Co. LLC			85,785				—				(85,785	)			—
Morgan Stanley Capital Services LLC			2,105,162				—				(144,036	)			1,961,126
State Street Bank and Trust Company			1,002,465				(288,953	)			(569,026	)			144,486
UBS AG			2,794,469				—				(1,416,410	)			1,378,059
Total		$	15,692,238			$	(822,595	)		$	(10,678,644	)		$	4,190,999
Counterparty	Gross Derivative Liabilities Subject to Master Agreement				Collateral Pledged				Derivative Assets/Liabilities Available for Offset				Net Amount of Derivative Liabilities
Bank of America, N.A.		$	(1,079,508	)		$	609,053			$	239,947			$	(230,508	)
Barclays Bank PLC			(2,979,960	)			1,199,136				1,544,604				(236,220	)
Brown Brothers Harriman & Co.			(182,309	)			—				—				(182,309	)
Citibank N.A.			(36,911	)			—				4,897				(32,014	)
Credit Suisse International			(96,679	)			—				—				(96,679	)
Deutsche Bank AG			(1,356,482	)			—				1,356,482				—
Goldman Sachs International			(548,850	)			—				548,850				—
JPMorgan Chase Bank, N.A.			(2,963,792	)			—				2,855,134				(108,658	)
Morgan Stanley & Co. International PLC			(2,054,572	)			—				1,913,473				(141,099	)
Morgan Stanley & Co. LLC			(249,774	)			163,989				85,785				—	*
Morgan Stanley Capital Services LLC			(144,036	)			—				144,036				—
State Street Bank and Trust Company			(569,026	)			—				569,026				—
UBS AG			(1,416,410	)			—				1,416,410				—
Total		$	(13,678,309	)		$	1,972,178			$	10,678,644			$	(1,027,487	)

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
Barclays Bank PLC		$	194,527		$	—			$	(194,527	)		$	—
Goldman Sachs International			573,405			—				(294,552	)			278,853
JPMorgan Chase Bank, N.A.			161,192			—				(120,845	)			40,347
Morgan Stanley & Co. International PLC			161,950			—				(161,950	)			—
State Street Bank and Trust Company			30,571			—				(30,571	)			—
UBS AG			1,652,170			(745,931	)			(784,105	)			122,134
Total		$	2,773,815		$	(745,931	)		$	(1,586,550	)		$	441,334

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Consolidated SGM Major Markets Fund (Continued)

Counterparty	Gross Derivative Liabilities Subject to Master Agreement			Collateral Pledged		Derivative Assets/Liabilities Available for Offset		Net Amount of Derivative Liabilities
Bank of America, N.A.	$	(18,685	)	$	—	$	—	$	(18,685	)
Barclays Bank PLC		(231,209	)		—		194,527		(36,682	)
Deutsche Bank AG		(579,244	)		403,041		—		(176,203	)
Goldman Sachs International		(294,552	)		—		294,552		—
JPMorgan Chase Bank, N.A.		(120,845	)		—		120,845		—
Morgan Stanley & Co. International PLC		(1,311,061	)		1,107,366		161,950		(41,745	)
State Street Bank and Trust Company		(377,141	)		304,276		30,571		(42,294	)
UBS AG		(784,105	)		—		784,105		—
Total	$	(3,716,842	)	$	1,814,683	$	1,586,550	$	(315,609	)

Strategic Opportunities Allocation 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	$	20,254		$	—	$	(773	)	$	19,481
Morgan Stanley Capital Services LLC		85,474			—		(8,136	)		77,338
Total	$	105,728		$	—	$	(8,909	)	$	96,819
Counterparty	Gross Derivative Liabilities Subject to Master Agreement			Collateral Pledged		Derivative Assets/Liabilities Available for Offset			Net Amount of Derivative Liabilities
Goldman Sachs International	$	(773	)	$	—	$	773		$	—
Morgan Stanley Capital Services LLC		(8,136	)		—		8,136			—
Total	$	(8,909	)	$	—	$	8,909		$	—

* 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) and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2022:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Options (Contracts)		Swap Contracts ($)
Consolidated Alternative Allocation Fund		253,231,507		93,601,490		58,888,500		931		1,075,776,073
Benchmark-Free Fund		232,374,764		198,099,924		—		—		1,066,583,006
Consolidated Implementation Fund		1,527,677,380		956,080,855		—		3,680		6,653,583,590
Consolidated SGM Major Markets Fund		147,880,686		265,871,823		—		—		50,336,438
Strategic Opportunities Allocation Fund		—		—		—		—		4,877,316

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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:

	Alternative Allocation 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	Strategic Opportunities Allocation Fund
Management Fee	0.73%	0.65%	—	—	—	—	—	—	—	0.85%	—

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. Those supplemental support services include, without limitation, (i) providing and presenting (a) educational and explanatory information about the Fund and its asset allocation strategy as requested or directed by an investor or its investment adviser; (b) similar educational and explanatory information about the strategies of the GMO Funds in which the Fund invests; (c) information for inclusion in the quarterly or other periodic reports of the investor; (ii) responding to information requests relating to oversight functions of the investor’s board of directors in areas including pricing, compliance, and taxation; (iii) providing access to and setting up meetings with GMO’s Chief Investment Strategist and Head of GMO’s Asset Allocation Team and other investment professionals of GMO; (iv) assisting with inquiries from an investor’s investment adviser; and (v) providing such other assistance as may be requested from time to time by an investor or its agent, so long as that assistance is not primarily intended to result in the sale of Fund shares.

Shareholder service and/or supplemental support fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class II	Class III	Class IV	Class V	Class VI	Class MF	Class R6	Class I
Alternative Allocation Fund	0.22%*	0.15%*	0.105%*	0.085%*	0.055%		0.22%	0.22%
Benchmark-Free Allocation Fund		0.15%	0.10%			0.10%	0.15%	0.15%
SGM Major Markets Fund		0.15%	0.10%*		0.055%		0.15%*	0.15%

* Class is offered but has no shareholders as of August 31, 2022.

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.

For each Fund (prior to June 30, 2022), other than Alternative Allocation Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For the period starting June 30, 2022, Implementation Fund and SGM Major Markets Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.01% of the Funds’ 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 (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, 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 Alternative Allocation Fund (the “Fund), GMO has contractually agreed to waive its fees with respect to and/or reimburse the Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the

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average daily net assets for the indicated class of shares: 0.99% for Class II shares; 0.92% for Class III shares; 0.875% for Class IV shares; 0.855% for Class V shares; 0.825% for Class VI shares; 0.99% for Class R6 shares; and 0.99% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (collectively, “Excluded Expenses”), are excluded from the Expense Cap. GMO is permitted to recover from the Fund, on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap set forth above or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses. GMO also has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust (“GMO Funds”). Management fees and shareholder service fees will not be waived below zero. The reimbursement and waiver arrangements described above, including the Expense Cap, will remain in effect through at least June 30, 2023 and may not be terminated prior to this date without the action or consent of the Trust’s Board of Trustees.

For each Fund, other than Benchmark-Free Allocation Fund, that pays GMO a management fee and shareholder service fee, GMO has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust (“GMO Funds”). Management fees and shareholder service fees will not be waived below zero.

These contractual waivers and reimbursements will continue through at least June 30, 2023 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.

For Benchmark-Free Allocation Fund only, GMO has contractually agreed to waive or reduce the Fund’s management, shareholder service, and supplemental support fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust. In addition, GMO has contractually agreed to reduce the rate of the supplemental support fees charged to the Fund’s Class MF shares 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 fees paid to GMO. This reduction will continue through at least June 30, 2023, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.

GMO has contractually agreed to reimburse Class I assets of each Fund (or waive its fees) to the extent that payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets.

Sub-Transfer Agent/Recordkeeping Payments

Class II, III, IV, V, VI, MF and R6 shares are not subject to payments to third parties for sub-transfer agent/recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI, MF or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

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Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

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 period ended August 31, 2022 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and   their legal counsel ($)
Consolidated Alternative Allocation Fund		5,415
Benchmark-Free Allocation Fund		105,185
Benchmark-Free Fund		33,491
Global Asset Allocation Fund		10,667
Global Developed Equity Allocation Fund		1,777
Global Equity Allocation Fund		32,693
Consolidated Implementation Fund		96,222
International Developed Equity Allocation Fund		4,681
International Equity Allocation Fund		13,530
Consolidated SGM Major Markets Fund		5,355
Strategic Opportunities Allocation Fund		4,335

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2022, the Funds below had indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

Fund Name	Total Indirect Expenses
Consolidated Alternative Allocation Fund		0.025%
Benchmark-Free Allocation Fund		0.444%	*
Benchmark-Free Fund		0.109%
Global Asset Allocation Fund		0.682%	*
Global Developed Equity Allocation Fund		0.509%
Global Equity Allocation Fund		0.553%
International Developed Equity Allocation Fund		0.600%
International Equity Allocation Fund		0.657%
Strategic Opportunities Allocation Fund		0.336%

* Includes indirect interest and dividend expense on reverse repurchase agreements and short sales, respectively, and borrowing costs for investments sold short.

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 period ended August 31, 2022, the Funds did not engage in these transactions.

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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, if applicable, for the period ended August 31, 2022 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)
Consolidated Alternative Allocation Fund		37,451,257		195,012,995		90,651,033		207,295,304
Benchmark-Free Allocation Fund		—		437,486,589		—		626,396,984
Benchmark-Free Fund		119,108,964		711,180,872		185,391,450		814,978,244
Global Asset Allocation Fund		—		47,360,484		—		242,088,208
Global Developed Equity Allocation Fund		—		3,248,832		—		1,136,000
Global Equity Allocation Fund		—		93,702,312		—		105,264,225
Consolidated Implementation Fund		292,411,870		2,210,179,960		201,451,195		2,212,154,926
International Developed Equity Allocation Fund		—		10,475,008		—		11,890,500
International Equity Allocation Fund		—		20,850,621		—		120,835,000
Consolidated SGM Major Markets Fund		90,795,003		—		157,973,158		—
Strategic Opportunities Allocation Fund		4,415,977		51,102,689		16,494,543		56,633,409

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 as of August 31, 2022

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
Alternative Allocation Fund	3‡	89.56%
Benchmark-Free Allocation Fund	1	25.66%
Benchmark-Free Fund	3	43.67%
Global Asset Allocation Fund	1	18.47%
Global Developed Equity Allocation Fund	2	89.91%
Global Equity Allocation Fund	3	68.24%
Implementation Fund	1‡	100.00%
International Developed Equity Allocation Fund	2	95.25%
International Equity Allocation Fund	4	89.09%
SGM Major Markets Fund	3#	92.73%

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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
Strategic Opportunities Allocation Fund	3	83.40%

‡ 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:

	Six Months Ended August 31, 2022 (Unaudited)						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
Consolidated Alternative Allocation Fund
Class VI:
Shares sold		19,696		$	349,995			451,346		$	8,431,840
Shares issued to shareholders in reinvestment of distributions		32,535			566,438			350,410			6,442,811
Shares repurchased		(4,055,573	)		(72,481,972	)		(5,696,131	)		(106,350,858	)
Net increase (decrease)		(4,003,342	)	$	(71,565,539	)		(4,894,375	)	$	(91,476,207	)
Class R6:
Shares sold		286		$	5,155			2,173		$	39,785
Shares issued to shareholders in reinvestment of distributions		14			239			831			15,298
Shares repurchased		(1,299	)		(22,947	)		(27,006	)		(500,411	)
Net increase (decrease)		(999	)	$	(17,553	)		(24,002	)	$	(445,328	)
Class I:
Shares sold		1,169,234		$	20,747,794			6,111,527		$	113,826,130
Shares issued to shareholders in reinvestment of distributions		40,690			704,752			190,953			3,500,091
Shares repurchased		(1,613,365	)		(28,643,605	)		(12,228,627	)		(232,055,396	)
Net increase (decrease)		(403,441	)	$	(7,191,059	)		(5,926,147	)	$	(114,729,175	)
Benchmark-Free Allocation Fund
Class III:
Shares sold		1,314,981		$	32,901,521			6,218,317		$	163,296,953
Shares issued to shareholders in reinvestment of distributions		—			—			1,502,582			38,090,456
Shares repurchased		(4,188,165	)		(103,704,771	)		(25,965,137	)		(690,286,283	)
Net increase (decrease)		(2,873,184	)	$	(70,803,250	)		(18,244,238	)	$	(488,898,874	)
Class IV:
Shares sold		5,751,599		$	142,165,241			9,376,363		$	249,787,539
Shares issued to shareholders in reinvestment of distributions		—			—			1,019,586			25,846,502
Shares repurchased		(8,159,196	)		(203,408,383	)		(31,796,804	)		(829,350,870	)
Net increase (decrease)		(2,407,597	)	$	(61,243,142	)		(21,400,855	)	$	(553,716,829	)

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	Six Months Ended August 31, 2022 (Unaudited)						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
Benchmark-Free Allocation Fund (continued)
Class MF:
Shares sold		807,908		$	19,811,689			1,764,590		$	46,575,757
Shares issued to shareholders in reinvestment of distributions		—			—			1,367,575			34,695,369
Shares repurchased		(5,108,256	)		(125,925,884	)		(15,595,646	)		(411,391,047	)
Net increase (decrease)		(4,300,348	)	$	(106,114,195	)		(12,463,481	)	$	(330,119,921	)
Class R6:
Shares sold		2,220,145		$	54,857,975			3,354,486		$	88,104,972
Shares issued to shareholders in reinvestment of distributions		—			—			231,232			5,857,098
Shares repurchased		(1,366,704	)		(33,666,125	)		(4,851,336	)		(129,002,250	)
Net increase (decrease)		853,441		$	21,191,850			(1,265,618	)	$	(35,040,180	)
Class I:
Shares sold		2,478,426		$	61,146,866			4,397,334		$	116,032,792
Shares issued to shareholders in reinvestment of distributions		—			—			286,161			7,248,470
Shares repurchased		(2,172,246	)		(53,517,193	)		(2,900,373	)		(76,507,018	)
Net increase (decrease)		306,180		$	7,629,673			1,783,122		$	46,774,244
Benchmark-Free Fund
Class III:
Shares sold		42		$	769			—		$	—
Shares issued to shareholders in reinvestment of distributions		564,695			9,661,937			4,034,320			76,313,230
Shares repurchased		(15,342,194	)		(276,978,019	)		(29,222,706	)		(564,384,055	)
Net increase (decrease)		(14,777,457	)	$	(267,315,313	)		(25,188,386	)	$	(488,070,825	)
Global Asset Allocation Fund
Class III:
Shares sold		103,515		$	3,316,976			1,002,856		$	36,431,590
Shares issued to shareholders in reinvestment of distributions		41,053			1,177,402			920,717			31,925,106
Shares repurchased		(6,497,572	)		(205,607,597	)		(3,947,615	)		(142,005,422	)
Net increase (decrease)		(6,353,004	)	$	(201,113,219	)		(2,024,042	)	$	(73,648,726	)
Class R6:
Shares sold		33,266		$	1,035,391			106,284		$	3,777,306
Shares issued to shareholders in reinvestment of distributions		1,191			34,127			19,569			679,038
Shares repurchased		(46,531	)		(1,420,090	)		(4,570,426	)		(166,223,124	)
Net increase (decrease)		(12,074	)	$	(350,572	)		(4,444,573	)	$	(161,766,780	)
Class I:
Shares sold		114,849		$	3,485,050			50,466		$	1,828,908
Shares issued to shareholders in reinvestment of distributions		1,453			41,678			21,862			758,336
Shares repurchased		(78,247	)		(2,447,457	)		(275,252	)		(9,978,958	)
Net increase (decrease)		38,055		$	1,079,271			(202,924	)	$	(7,391,714	)

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	Six Months Ended August 31, 2022 (Unaudited)						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
Global Developed Equity Allocation Fund
Class III:
Shares issued to shareholders in reinvestment of distributions		171,754		$	3,386,990			380,228		$	9,954,295
Shares repurchased		—			—			(245,335	)		(6,979,443	)
Net increase (decrease)		171,754		$	3,386,990			134,893		$	2,974,852
Global Equity Allocation Fund
Class III:
Shares sold		427,795		$	11,401,100			1,623		$	50,000
Shares issued to shareholders in reinvestment of distributions		1,888,946			43,275,741			3,748,182			114,586,982
Shares repurchased		(2,346,739	)		(58,863,344	)		(3,319,307	)		(106,672,406	)
Net increase (decrease)		(29,998	)	$	(4,186,503	)		430,498		$	7,964,576
Class R6:
Shares sold		10,891		$	284,516			29,814		$	945,665
Shares issued to shareholders in reinvestment of distributions		9,144			209,491			17,711			541,431
Shares repurchased		(23,833	)		(603,078	)		(25,923	)		(837,307	)
Net increase (decrease)		(3,798	)	$	(109,071	)		21,602		$	649,789
Class I:
Shares sold		159,522		$	4,129,004			16,756		$	528,647
Shares issued to shareholders in reinvestment of distributions		8,496			194,482			6,260			191,269
Shares repurchased		(17,154	)		(448,296	)		(5,730	)		(184,132	)
Net increase (decrease)		150,864		$	3,875,190			17,286		$	535,784
Consolidated Implementation Fund
Core Class:
Shares sold		14,869,204		$	180,393,193			17,972,770		$	234,356,377
Shares issued to shareholders in reinvestment of distributions		2,354,400			27,052,053			12,158,465			150,035,453
Shares repurchased		(48,227,737	)		(586,945,794	)		(126,745,748	)		(1,639,490,784	)
Net increase (decrease)		(31,004,133	)	$	(379,500,548	)		(96,614,513	)	$	(1,255,098,954	)
International Developed Equity Allocation Fund
Class III:
Shares sold		752,288		$	11,169,883			1,325,004		$	23,754,550
Shares issued to shareholders in reinvestment of distributions		31,401			423,914			509,965			8,777,681
Shares repurchased		(841,111	)		(13,600,438	)		(1,049,987	)		(18,578,827	)
Net increase (decrease)		(57,422	)	$	(2,006,641	)		784,982		$	13,953,404
Class R6:
Shares sold		16,286		$	246,694			40,654		$	734,355
Shares issued to shareholders in reinvestment of distributions		1,936			26,115			31,628			544,452
Shares repurchased		(10,871	)		(165,087	)		(53,617	)		(965,399	)
Net increase (decrease)		7,351		$	107,722			18,665		$	313,408

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August 31, 2022 (Unaudited)

	Six Months Ended August 31, 2022 (Unaudited)						Year Ended February 28, 2022
	Shares			Amount			Shares			Amount
International Equity Allocation Fund
Class III:
Shares sold		553,872		$	15,600,000			221,915		$	7,458,093
Shares issued to shareholders in reinvestment of distributions		30,275			723,573			913,296			29,091,830
Shares repurchased		(4,472,455	)		(126,066,223	)		(4,811,910	)		(155,557,290	)
Net increase (decrease)		(3,888,308	)	$	(109,742,650	)		(3,676,699	)	$	(119,007,367	)
Class R6:
Shares sold		257,010		$	7,218,312			168,085		$	5,589,401
Shares issued to shareholders in reinvestment of distributions		24,637			588,823			481,805			15,335,754
Shares repurchased		(56,843	)		(1,485,106	)		(556,099	)		(18,171,988	)
Net increase (decrease)		224,804		$	6,322,029			93,791		$	2,753,167
Consolidated SGM Major Markets Fund
Class III:
Shares sold		182,703		$	5,141,487			665,260		$	20,088,895
Shares issued to shareholders in reinvestment of distributions		1,090			28,664			1,205			35,766
Shares repurchased		(480,959	)		(13,470,694	)		(486,422	)		(14,257,990	)
Net increase (decrease)		(297,166	)	$	(8,300,543	)		180,043		$	5,866,671
Class VI:
Shares sold		—		$	—			1,958,773		$	61,237,349
Shares issued to shareholders in reinvestment of distributions		439,733			11,551,798			723,031			21,457,199
Shares repurchased		(787,069	)		(21,481,049	)		(5,419,611	)		(160,325,548	)
Net increase (decrease)		(347,336	)	$	(9,929,251	)		(2,737,807	)	$	(77,631,000	)
Class I:
Shares sold		70,784		$	2,020,027			884,435		$	26,693,141
Shares issued to shareholders in reinvestment of distributions		39,555			1,038,725			40,852			1,208,514
Shares repurchased		(381,876	)		(10,344,124	)		(647,184	)		(18,902,142	)
Net increase (decrease)		(271,537	)	$	(7,285,372	)		278,103		$	8,999,513
Strategic Opportunities Allocation Fund
Class III:
Shares sold		680,124		$	11,498,068			407,969		$	8,475,000
Shares issued to shareholders in reinvestment of distributions		358,784			5,399,693			2,573,255			51,157,762
Shares repurchased		(2,049,855	)		(33,933,159	)		(16,664,409	)		(361,479,168	)
Net increase (decrease)		(1,010,947	)	$	(17,035,398	)		(13,683,185	)	$	(301,846,406	)

205

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Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

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 or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended August 31, 2022 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Consolidated Alternative Allocation Fund
GMO Emerging Markets Fund, Class VI	$	9,811,873	$	—	$	2,085,000	$	104,779		$	—	$	(313,594	)	$	(1,406,172	)	$	6,007,107
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class VI	$	115,273,843	$	43,375,197	$	—	$	3,775,197		$	—	$	—		$	(16,753,546	)	$	141,895,494
GMO High Yield Fund, Class VI		—		144,265,956		2,480,000		—			265,956		(6,759	)		(1,438,252	)		140,340,945
GMO Implementation Fund		4,681,432,538		207,415,450		586,945,794		27,052,053			—		(16,882,219	)		(255,962,471	)		4,029,057,504
GMO Opportunistic Income Fund, Class VI		183,719,672		34,664,014		27,408,277		1,415,480			2,748,534		(1,580,275	)		(5,553,654	)		183,841,480
GMO SGM Major Markets Fund, Class VI		141,735,622		7,765,972		9,562,913		2,067,940			5,698,032		(1,117,023	)		(12,491,650	)		126,330,008
Totals	$	5,122,161,675	$	437,486,589	$	626,396,984	$	34,310,670		$	8,712,522	$	(19,586,276	)	$	(292,199,573	)	$	4,621,465,431
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class VI	$	48,097,631	$	10,383,089	$	—	$	1,383,089		$	—	$	—		$	(6,495,583	)	$	51,985,137
GMO High Yield Fund, Class VI		—		72,633,902		11,000,000		—			133,902		190,437			(654,746	)		61,169,593
GMO Emerging Markets Fund, Class VI		34,016,640		—		30,376,059		—			—		(8,199,771	)		4,559,190			—
GMO Resources Fund		—		60,151,011		—		415,301			1,495,710		—			(3,908,177	)		56,242,834
GMO U.S. Treasury Fund		10,090,292		82,125,600		80,661,584		—	**		—		(91,021	)		26,600			11,489,887
GMO Opportunistic Income Fund, Class VI		91,945,071		1,998,978		20,500,000		679,516			1,319,462		(198,526	)		(3,214,398	)		70,031,125
GMO SGM Major Markets Fund, Class VI		60,781,806		3,564,675		11,000,000		949,209			2,615,466		(1,550,115	)		(4,574,467	)		47,221,899
Totals	$	244,931,440	$	230,857,255	$	153,537,643	$	3,427,115		$	5,564,540	$	(9,848,996	)	$	(14,261,581	)	$	298,140,475
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	130,004,197	$	908,341	$	72,481,972	$	—		$	558,341	$	(7,604,951	)	$	5,419,482		$	56,245,097
GMO Asset Allocation Bond Fund, Class VI		37,983,141		1,187,844		14,425,650		157,843			—		(324,121	)		(2,812,273	)		21,608,941
GMO Emerging Country Debt Fund, Class VI		18,116,964		344,686		3,600,000		344,687			—		(849,108	)		(1,057,069	)		12,955,473
GMO Emerging Markets ex-China Fund, Class VI		27,671,845		3,695,234		7,616,422		46,772			90,494		(1,137,355	)		(3,789,574	)		18,823,728
GMO Emerging Markets Fund, Class VI		68,376,141		8,116,059		18,370,470		794,735			—		(2,599,770	)		(10,002,190	)		45,519,770
GMO High Yield Fund, Class VI		—		8,515,699		981,784		—			15,699		5,188			(75,888	)		7,463,215

206

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Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Asset Allocation Fund (continued)
GMO International Equity Fund, Class IV	$	107,093,353	$	484,675	$	34,209,900	$	244,637	$	—	$	(744,150	)	$	(10,809,154	)	$	61,814,824
GMO-Usonian Japan Value Creation Fund, Class VI		24,981,389		871,680		7,297,124		67,282		804,397		(794,075	)		(3,209,272	)		14,552,598
GMO Multi-Sector Fixed Income Fund, Class IV		56,164,303		14,685,000		23,111,576		—		—		(3,656,465	)		(636,400	)		43,444,862
GMO Opportunistic Income Fund, Class VI		19,591,715		758,742		8,733,183		87,955		170,787		(382,552	)		(138,445	)		11,096,277
GMO Quality Cyclicals Fund, Class VI		20,219,676		423,310		7,144,178		166,014		257,296		1,474,898			(3,878,175	)		11,095,531
GMO Quality Fund, Class VI		12,268,439		246,128		4,218,561		16,593		229,536		860,670			(1,879,461	)		7,277,215
GMO U.S. Equity Fund, Class VI		61,434,084		2,377,710		22,658,629		104,128		2,173,583		(1,439,476	)		(2,984,688	)		36,729,001
GMO U.S. Small Cap Value Fund, Class VI		39,124,376		1,945,077		14,436,859		59,490		1,885,586		(822,578	)		(3,850,503	)		21,959,513
GMO U.S. Treasury Fund		1,879		2,800,299		2,801,900		299		—		(211	)		7			74
Totals	$	623,031,502	$	47,360,484	$	242,088,208	$	2,090,435	$	6,185,719	$	(18,014,056	)	$	(39,703,603	)	$	370,586,119
Global Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	5,198,953	$	1,136,369	$	—	$	12,393	$	23,977	$	—		$	(1,189,352	)	$	5,145,970
GMO Emerging Markets Fund, Class VI		2,322,106		32,145		—		32,145		—		—			(478,475	)		1,875,776
GMO International Equity Fund, Class IV		35,410,730		113,666		—		113,666		—		—			(5,320,454	)		30,203,942
GMO-Usonian Japan Value Creation Fund, Class VI		3,551,214		157,562		—		12,161		145,400		—			(699,072	)		3,009,704
GMO Quality Cyclicals Fund, Class VI		4,855,891		129,578		500,000		50,818		78,760		97,909			(869,763	)		3,713,615
GMO Quality Fund, Class VI		10,955,561		302,313		—		20,381		281,932		—			(1,272,011	)		9,985,863
GMO U.S. Equity Fund, Class VI		15,406,078		792,638		36,000		36,236		756,402		(9,047	)		(1,754,640	)		14,399,029
GMO U.S. Small Cap Value Fund, Class VI		9,077,255		584,561		600,000		17,879		566,682		(20,207	)		(1,398,492	)		7,643,117
Totals	$	86,777,788	$	3,248,832	$	1,136,000	$	295,679	$	1,853,153	$	68,655		$	(12,982,259	)	$	75,977,016
Global Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	109,848,838	$	24,016,678	$	2,500,000	$	256,127	$	495,551	$	(1,242,515	)	$	(23,766,820	)	$	106,356,181
GMO Emerging Markets Fund, Class VI		234,294,075		38,200,512		14,015,000		3,550,512		—		(4,552,033	)		(46,742,420	)		207,185,134
GMO International Equity Fund, Class IV		558,402,561		1,633,617		45,695,000		1,633,617		—		(8,737,842	)		(71,509,735	)		434,093,601
GMO-Usonian Japan Value Creation Fund, Class VI		64,071,354		3,331,192		506,524		220,847		2,640,345		(132,746	)		(12,519,355	)		54,243,921
GMO Quality Cyclicals Fund, Class VI		88,997,330		2,318,041		11,000,000		909,089		1,408,952		2,154,001			(16,036,157	)		66,433,215
GMO Quality Fund, Class VI		217,951,740		6,125,638		9,465,317		389,031		5,381,607		686,624			(25,629,804	)		189,668,881
GMO U.S. Equity Fund, Class VI		142,993,024		6,783,356		10,837,384		310,107		6,473,249		(1,956,141	)		(13,919,763	)		123,063,092

207

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Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Equity Allocation Fund (continued)
GMO U.S. Small Cap Value Fund, Class VI	$	163,718,031	$	11,293,278	$	11,245,000	$	323,693		$	10,259,584	$	(475,065	)	$	(25,178,269	)	$	138,112,975
Totals	$	1,580,276,953	$	93,702,312	$	105,264,225	$	7,593,023		$	26,659,288	$	(14,255,717	)	$	(235,302,323	)	$	1,319,157,000
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	12,509,088	$	183,716,813	$	175,662,853	$	—	**	$	—	$	(104,536	)	$	(15,337	)	$	20,443,175
International Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	16,722,440	$	3,048,550	$	107,500	$	38,407		$	74,309	$	(52,351	)	$	(3,651,811	)	$	15,959,328
GMO International Equity Fund, Class IV		204,248,674		6,499,085		11,070,000		630,485			—		(18,772	)		(29,147,464	)		170,511,523
GMO-Usonian Japan Value Creation Fund, Class VI		9,520,380		927,373		713,000		32,903			393,375		(115,646	)		(1,749,715	)		7,869,392
Totals	$	230,491,494	$	10,475,008	$	11,890,500	$	701,795		$	467,684	$	(186,769	)	$	(34,548,990	)	$	194,340,243
International Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	51,415,947	$	4,543,927	$	7,150,000	$	93,732		$	181,351	$	(1,978,558	)	$	(7,995,224	)	$	38,836,092
GMO Emerging Markets Fund, Class VI		195,154,856		13,917,883		29,530,000		2,417,177			—		(6,128,797	)		(32,264,301	)		141,149,641
GMO International Equity Fund, Class IV		404,162,685		1,189,641		79,500,000		1,039,641			—		2,808,063			(52,401,498	)		276,258,891
GMO-Usonian Japan Value Creation Fund, Class VI		28,241,638		1,199,170		4,655,000		81,368			972,803		(374,878	)		(4,504,931	)		19,905,999
Totals	$	678,975,126	$	20,850,621	$	120,835,000	$	3,631,918		$	1,154,154	$	(5,674,170	)	$	(97,165,954	)	$	476,150,623
Strategic Opportunities Allocation Fund
GMO Emerging Country Debt Fund, Class VI	$	8,106,380	$	193,183	$	—	$	193,183		$	—	$	—		$	(1,038,537	)	$	7,261,026
GMO Emerging Markets ex-China Fund, Class VI		14,945,997		1,091,032		—		31,018			60,014		—			(3,156,776	)		12,880,253
GMO Emerging Markets Fund, Class VI		30,720,697		2,456,093		1,600,000		456,093			—		(373,085	)		(6,177,559	)		25,026,146
GMO International Equity Fund, Class IV		31,835,141		96,977		3,065,000		96,977			—		148,851			(4,674,371	)		24,341,598
GMO Multi-Sector Fixed Income Fund, Class IV		6,442,772		7,650,000		2,420,000		—			—		(278,876	)		(387,691	)		11,006,205
GMO Quality Fund, Class VI		12,951,749		335,656		2,055,000		22,628			313,028		254,709			(1,684,455	)		9,802,659
GMO U.S. Equity Fund, Class VI		19,532,079		920,605		3,380,000		42,087			878,518		144,898			(2,233,263	)		14,984,319
GMO U.S. Small Cap Value Fund, Class VI		16,286,703		1,047,062		2,280,000		32,025			1,015,037		(265,158	)		(2,247,785	)		12,540,822

208

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Notes to Financial Statements — (Continued)

August 31, 2022 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Strategic Opportunities Allocation Fund (continued)
GMO U.S. Treasury Fund	$	4,509,502	$	30,382	$	—	$	30,362	$	—	$	—		$	(18,023	)	$	4,521,861
Totals	$	145,331,020	$	13,820,990	$	14,800,000	$	904,373	$	2,266,597	$	(368,661	)	$	(21,618,460	)	$	122,364,889

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2022 through August 31, 2022. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2023.

** Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $85,283 and $174,899 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

209

GMO Trust Funds

Board Review of Investment Management Agreements

August 31, 2022 (Unaudited)

GMO Alternative Allocation Fund

Approval of renewal of management agreement for GMO Alternative Allocation Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those other funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

210

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Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Benchmark-Free Allocation Fund

Approval of renewal of management agreement for GMO Benchmark-Free Allocation Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing and supplemental support fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

211

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that some GMO funds in which the Fund may invest (“underlying GMO funds”) do not pay any management fees. The Trustees also noted that, with respect to all other underlying GMO funds, GMO offsets against the fees it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those other funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Benchmark-Free Fund

Approval of renewal of management agreement for GMO Benchmark-Free Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

212

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund indirectly bears the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Asset Allocation Fund

Approval of renewal of management agreement for GMO Global Asset Allocation Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their

213

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund indirectly bears the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Developed Equity Allocation Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

214

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund indirectly bears the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

215

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Equity Allocation Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund indirectly bears the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

216

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Implementation Fund

Approval of renewal of management agreement for GMO Implementation Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses, including changes GMO was considering proposing.

The Trustees considered the fact that the Fund does not pay GMO any fees.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

217

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO International Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO International Developed Equity Allocation Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund indirectly bears the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees reviewed information comparing the management fees indirectly borne by the Fund as a result of its investing in other GMO funds to the fees shown on GMO’s fee schedule for its separately managed account with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to that other account, as well as

218

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing that other account. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO International Equity Allocation Fund

Approval of renewal of management agreement for GMO International Equity Allocation Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under

219

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund indirectly bears the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO SGM Major Markets Fund

Approval of renewal of management agreement for GMO SGM Major Markets Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”)

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

220

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses, including changes GMO was considering proposing.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

221

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

GMO Strategic Opportunities Allocation Fund

Approval of renewal of management agreement for GMO Strategic Opportunities Allocation Fund (the “Fund”). At a meeting on June 2, 2022, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2022 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and the other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement, meeting both privately and with representatives of GMO and others at and apart from Board meetings. In deciding whether to approve the management agreement, the Trustees also considered information the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) requested specifically for that purpose.

At a meeting on May 16, 2022, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 2, 2022 meeting of the Trustees. Prior to and at the June 2 meeting, representatives of GMO answered the Trustees’ questions, and the Independent Trustees then met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds whose investments were managed by the investment division of GMO that managed the Fund’s investments. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform under various market conditions and considered whether the Fund had performed in accordance with those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund indirectly bears the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services. In addition, the Trustees observed that GMO had successfully transitioned to a remote/hybrid work environment without interrupting or reducing the quality of its services to the Fund.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information, changes to that methodology compared to the preceding year, and the effect that those changes had had on various measures of profitability. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

222

GMO Trust Funds

Board Review of Investment Management Agreements — (Continued)

August 31, 2022 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, compliance, accounting and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In the Trustees’ deliberations, each Trustee weighted specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

223

GMO Trust Funds

Liquidity Risk Management Program

August 31, 2022 (Unaudited)

Rule 22e-4 under the Investment Company Act of 1940, as amended, requires open-end registered investment companies (other than money market funds) to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk. Each Fund has adopted a Liquidity Risk Management Program (the “Program”) that is designed to assess and manage liquidity risk, defined as the risk that the Fund could not meet redemption requests without significant dilution of the remaining shareholders’ interests in the Fund. The Program includes the following elements, among others:

• Monitoring of factors material to liquidity risk for each Fund;

• Classification of each Fund’s portfolio investments into one of four liquidity categories: highly liquid, moderately liquid, less liquid, and illiquid;

• Oversight of third parties providing services in support of the Program;

• Determination and review of a highly liquid investment minimum for any Fund that does not primarily hold assets that are highly liquid investments;

• A restriction on each Fund acquiring an illiquid investment if immediately after the acquisition the Fund would have more than 15% of its net assets invested in illiquid investments;

• Periodic reporting to the Board of Trustees, including a written report at least annually that addresses the operation of the Program and assesses its adequacy and effectiveness.

The GMO Trust Board of Trustees reviewed a written report from GMO dated April 20, 2022 addressing the Program’s operation, adequacy and effectiveness.

224

GMO Trust Funds

Fund Expenses

August 31, 2022 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2022.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and supplemental support fees to Class MF and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2022 through August 31, 2022.

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. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value March 1, 2022		Ending Account Value August 31, 2022		Expenses Paid During the Period*		Beginning Account Value March 1, 2022		Ending Account Value August 31, 2022		Expenses Paid During the Period*		Annualized Expense Ratio
Alternative Allocation Fund
Class VI		$1,000.00		$985.60		$7.51		$1,000.00		$1,017.64		$7.63		1.50	%
Class R6		$1,000.00		$986.20		$8.16		$1,000.00		$1,016.99		$8.29		1.63	%
Class I		$1,000.00		$984.40		$8.90		$1,000.00		$1,016.23		$9.05		1.78	%
Benchmark-Free Allocation Fund
Class III		$1,000.00		$942.90		$5.78		$1,000.00		$1,019.26		$6.01		1.18	%
Class IV		$1,000.00		$943.30		$5.53		$1,000.00		$1,019.51		$5.75		1.13	%
Class MF		$1,000.00		$943.30		$5.53		$1,000.00		$1,019.51		$5.75		1.13	%
Class R6		$1,000.00		$942.80		$5.78		$1,000.00		$1,019.26		$6.01		1.18	%
Class I		$1,000.00		$942.40		$6.27		$1,000.00		$1,018.75		$6.51		1.28	%
Benchmark-Free Fund
Class III		$1,000.00		$934.20		$2.68		$1,000.00		$1,022.43		$2.80		0.55	%
Global Asset Allocation Fund
Class III		$1,000.00		$899.20		$3.26		$1,000.00		$1,021.78		$3.47		0.68	%
Class R6		$1,000.00		$899.40		$3.26		$1,000.00		$1,021.78		$3.47		0.68	%
Class I		$1,000.00		$898.50		$3.73		$1,000.00		$1,021.27		$3.97		0.78	%
Global Developed Equity Allocation Fund
Class III		$1,000.00		$875.90		$2.41		$1,000.00		$1,022.64		$2.60		0.51	%
Global Equity Allocation Fund
Class III		$1,000.00		$863.70		$2.58		$1,000.00		$1,022.43		$2.80		0.55	%
Class R6		$1,000.00		$863.80		$2.58		$1,000.00		$1,022.43		$2.80		0.55	%
Class I		$1,000.00		$863.50		$3.05		$1,000.00		$1,021.93		$3.31		0.65	%

225

GMO Trust Funds

Fund Expenses — (Continued)

August 31, 2022 (Unaudited)

	Actual						Hypothetical
	Beginning Account Value March 1, 2022		Ending Account Value August 31, 2022		Expenses Paid During the Period*		Beginning Account Value March 1, 2022		Ending Account Value August 31, 2022		Expenses Paid During the Period*		Annualized Expense Ratio
Implementation Fund
Core Class		$1,000.00		$945.00		$2.11		$1,000.00		$1,023.04		$2.19		0.43	%
International Developed Equity Allocation Fund
Class III		$1,000.00		$849.10		$2.80		$1,000.00		$1,022.18		$3.06		0.60	%
Class R6		$1,000.00		$849.10		$2.80		$1,000.00		$1,022.18		$3.06		0.60	%
International Equity Allocation Fund
Class III		$1,000.00		$836.30		$3.10		$1,000.00		$1,021.83		$3.41		0.67	%
Class R6		$1,000.00		$836.20		$3.10		$1,000.00		$1,021.83		$3.41		0.67	%
SGM Major Markets Fund
Class III		$1,000.00		$957.00		$4.98		$1,000.00		$1,020.11		$5.14		1.01	%
Class VI		$1,000.00		$957.60		$4.49		$1,000.00		$1,020.62		$4.63		0.91	%
Class I		$1,000.00		$956.80		$5.47		$1,000.00		$1,019.61		$5.65		1.11	%
Strategic Opportunities Allocation Fund
Class III		$1,000.00		$898.70		$3.40		$1,000.00		$1,021.63		$3.62		0.71	%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2022, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 365 days in the year.

226

SR-083122-AA

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

The complete schedule of investments for each series of the registrant is included as part of the semi-annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

(b) 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 13. Exhibits.

(a)(1) Not applicable to this filing.

(a)(2) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX-99.CERT.

(a)(3) Not applicable to this registrant.

(b) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Tara Pari
	Tara Pari, Chief Executive Officer
	Date: November 2, 2022

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/ Tara Pari
	Tara Pari, Principal Executive Officer
	Date: November 2, 2022
By (Signature and Title):	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer
	Date: November 2, 2022

EX-99.CERT

EX-99.CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:

I, Tara Pari, Principal Executive Officer of the registrant, certify that:

1. I have reviewed this report on Form N-CSR of the Series of GMO Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during 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; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 2, 2022	/s/ Tara Pari
	Tara Pari, Principal Executive Officer

EX-99.CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:

I, Betty Maganzini, Principal Financial Officer of the registrant, certify that:

1. I have reviewed this report on Form N-CSR of the Series of GMO Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during 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; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 2, 2022	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer

EX-99.906 CERT

EX-99.906 CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(b) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

Tara Pari, Principal Executive Officer of GMO Trust (the “Registrant”), certifies to the best of her knowledge that:

1. The Registrant’s periodic report on Form N-CSR for the period ended August 31, 2022 (the “Form N-CSR”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

/s/ Tara Pari        

Tara Pari

Principal Executive Officer

Date: November 2, 2022          

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.

EX-99.906 CERT

CERTIFICATION PURSUANT TO RULE 30(a)-2(b) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

Betty Maganzini, Principal Financial Officer of GMO Trust (the “Registrant”), certifies to the best of her knowledge that:

1. The Registrant’s periodic report on Form N-CSR for the period ended August 31, 2022 (the “Form N-CSR”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

/s/ Betty Maganzini

Betty Maganzini

Principal Financial Officer

Date: November 2, 2022          

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.